(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | ||||||
(Address of principal executive offices) | (Zip Code) | ||||||
Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered |
Preferred Stock, par value $0.01 per share | ||
Preferred Stock, par value $0.01 per share | ||
x | Accelerated filer | ☐ | ||
Non-accelerated filer | ☐ | Smaller reporting company | ||
Emerging growth company | ||||
Page | ||
PART I | ||
FINANCIAL INFORMATION | ||
MFA FINANCIAL, INC. CONSOLIDATED BALANCE SHEETS | ||||||||
(In Thousands Except Per Share Amounts) | March 31, 2020 | December 31, 2019 | ||||||
(Unaudited) | ||||||||
Assets: | ||||||||
Residential whole loans: | ||||||||
Residential whole loans, at carrying value ($5,055,177 and $4,847,782 pledged as collateral, respectively) (1) (2) | $ | $ | ||||||
Residential whole loans, at fair value ($718,343 and $794,684 pledged as collateral, respectively) (1) | ||||||||
Allowance for credit and valuation losses on residential whole loans held at carrying value and held-for-sale | ( | ) | ( | ) | ||||
Total residential whole loans, net | ||||||||
Residential mortgage securities: | ||||||||
Non-Agency MBS, at fair value ($1,331,674 and $2,055,802 pledged as collateral, respectively) | ||||||||
Agency MBS, at fair value ($568,704 and $1,658,614 pledged as collateral, respectively) | ||||||||
Credit Risk Transfer (“CRT”) securities, at fair value ($263,225 and $252,175 pledged as collateral, respectively) | ||||||||
Mortgage servicing rights (“MSR”) related assets ($877,204 and $1,217,002 pledged as collateral, respectively) | ||||||||
Cash and cash equivalents | ||||||||
Restricted cash | ||||||||
Other assets | ||||||||
Total Assets | $ | $ | ||||||
Liabilities: | ||||||||
Repurchase agreements | $ | $ | ||||||
Other liabilities | ||||||||
Total Liabilities | $ | $ | ||||||
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) | $ | $ | ||||||
Preferred stock, $.01 par value; 6.50% Series C fixed-to-floating rate cumulative redeemable; 12,650 shares authorized; 11,000 shares issued and outstanding ($275,000 aggregate liquidation preference) | ||||||||
Common stock, $.01 par value; 874,300 and 886,950 shares authorized; 453,138 and 452,369 shares issued and outstanding, respectively | ||||||||
Additional paid-in capital, in excess of par | ||||||||
Accumulated deficit | ( | ) | ( | ) | ||||
Accumulated other comprehensive income | ||||||||
Total Stockholders’ Equity | $ | $ | ||||||
Total Liabilities and Stockholders’ Equity | $ | $ | ||||||
(1) |
(2) | Includes Non-QM loans held-for-sale with an amortized cost of $ |
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) | ||||||||
Three Months Ended March 31, | ||||||||
(In Thousands, Except Per Share Amounts) | 2020 | 2019 | ||||||
Interest Income: | ||||||||
Residential whole loans held at carrying value | $ | $ | ||||||
Non-Agency MBS | ||||||||
Agency MBS | ||||||||
CRT securities | ||||||||
MSR-related assets | ||||||||
Cash and cash equivalent investments | ||||||||
Other interest-earning assets | ||||||||
Interest Income | $ | $ | ||||||
Interest Expense: | ||||||||
Repurchase agreements | $ | $ | ||||||
Other interest expense | ||||||||
Interest Expense | $ | $ | ||||||
Net Interest Income | $ | $ | ||||||
Provision for credit and valuation losses on residential whole loans and other financial instruments | $ | ( | ) | $ | ( | ) | ||
Net Interest Income after Provision for Credit and Valuation Losses | $ | ( | ) | $ | ||||
Other Income, net: | ||||||||
Impairment and other losses on securities available-for-sale and other assets | $ | ( | ) | $ | ||||
Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans | ( | ) | ||||||
Net unrealized (loss)/gain on residential mortgage securities measured at fair value through earnings | ( | ) | ||||||
Net (loss)/gain on residential whole loans measured at fair value through earnings | ( | ) | ||||||
Net loss on Swaps not designated as hedges for accounting purposes | ( | ) | ( | ) | ||||
Other, net | ||||||||
Other (Loss)/Income, net | $ | ( | ) | $ | ||||
Operating and Other Expense: | ||||||||
Compensation and benefits | $ | $ | ||||||
Other general and administrative expense | ||||||||
Loan servicing and other related operating expenses | ||||||||
Costs associated with restructuring/forbearance agreement | ||||||||
Operating and Other Expense | $ | $ | ||||||
Net (Loss)/Income | $ | ( | ) | $ | ||||
Less Preferred Stock Dividend Requirement | $ | $ | ||||||
Net (Loss)/Income Available to Common Stock and Participating Securities | $ | ( | ) | $ | ||||
Basic (Loss)/Earnings per Common Share | $ | ( | ) | $ | ||||
Diluted (Loss)/Earnings per Common Share | $ | ( | ) | $ | ||||
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) (UNAUDITED) | ||||||||
Three Months Ended March 31, | ||||||||
(In Thousands) | 2020 | 2019 | ||||||
Net (loss)/income | $ | ( | ) | $ | ||||
Other Comprehensive Income/(Loss): | ||||||||
Unrealized gains on securities available-for-sale | ||||||||
Reclassification adjustment for MBS sales included in net income | ( | ) | ( | ) | ||||
Reclassification adjustment for impairments included in net income | ( | ) | ||||||
Derivative hedging instrument fair value changes, net | ( | ) | ( | ) | ||||
Amortization of de-designated hedging instruments, net | ( | ) | ||||||
Other Comprehensive Income/(Loss) | ( | ) | ( | ) | ||||
Comprehensive income before preferred stock dividends | $ | ( | ) | $ | ||||
Dividends required on preferred stock | ( | ) | ( | ) | ||||
Comprehensive Income Available to Common Stock and Participating Securities | $ | ( | ) | $ | ||||
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED) | |||||||||||||||||||||||||||||||||||||
Three Months Ended March 31, 2020 | |||||||||||||||||||||||||||||||||||||
(In Thousands, Except Per Share Amounts) | Preferred Stock 6.50% Series C Fixed-to-Floating Rate Cumulative Redeemable - Liquidation Preference $25.00 per Share | Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share | Common Stock | Additional Paid-in Capital | Accumulated Deficit | Accumulated Other Comprehensive Income | Total | ||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Balance at December 31, 2019 | $ | $ | $ | $ | $ | ( | ) | $ | $ | ||||||||||||||||||||||||||||
Cumulative effect adjustment on adoption of new accounting standard ASU 2016-13 | — | — | — | — | — | — | — | ( | ) | — | ( | ) | |||||||||||||||||||||||||
Net loss | — | — | — | — | — | — | — | ( | ) | — | ( | ) | |||||||||||||||||||||||||
Issuance of Series C Preferred Stock, net of expenses | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
Issuance of common stock, net of expenses | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
Repurchase of shares of common stock (1) | — | — | — | — | ( | ) | — | ( | ) | — | — | ( | ) | ||||||||||||||||||||||||
Equity based compensation expense | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Change in unrealized gains on MBS, net | — | — | — | — | — | — | — | — | ( | ) | ( | ) | |||||||||||||||||||||||||
Derivative hedging instrument fair value changes and amortization, net | — | — | — | — | — | — | — | — | ( | ) | ( | ) | |||||||||||||||||||||||||
Balance at March 31, 2020 | $ | $ | $ | $ | $ | ( | ) | $ | $ | ||||||||||||||||||||||||||||
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED) | ||||||||||||||||||||||||||||||
Three Months Ended March 31, 2019 | ||||||||||||||||||||||||||||||
(In Thousands, Except Per Share Amounts) | Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share | Common Stock | Additional Paid-in Capital | Accumulated Deficit | Accumulated Other Comprehensive Income | Total | ||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||
Balance at December 31, 2018 | $ | $ | $ | $ | ( | ) | $ | $ | ||||||||||||||||||||||
Net income | — | — | — | — | — | — | ||||||||||||||||||||||||
Issuance of common stock, net of expenses | — | — | — | — | ||||||||||||||||||||||||||
Repurchase of shares of common stock (1) | — | — | ( | ) | — | ( | ) | — | — | ( | ) | |||||||||||||||||||
Equity based compensation expense | — | — | — | — | — | — | ||||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | — | — | — | — | — | — | ||||||||||||||||||||||||
Dividends declared on common stock ($0.20 per share) | — | — | — | — | — | ( | ) | — | ( | ) | ||||||||||||||||||||
Dividends declared on preferred stock ($0.46875 per share) | — | — | — | — | — | ( | ) | — | ( | ) | ||||||||||||||||||||
Dividends attributable to dividend equivalents | — | — | — | — | — | ( | ) | — | ( | ) | ||||||||||||||||||||
Change in unrealized losses on MBS, net | — | — | — | — | — | — | ||||||||||||||||||||||||
Derivative hedging instruments fair value changes, net | — | — | — | — | — | — | ( | ) | ( | ) | ||||||||||||||||||||
Balance at March 31, 2019 | $ | $ | $ | $ | ( | ) | $ | $ | ||||||||||||||||||||||
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) | ||||||||
Three Months Ended March 31, | ||||||||
(In Thousands) | 2020 | 2019 | ||||||
Cash Flows From Operating Activities: | ||||||||
Net (loss)/income | $ | ( | ) | $ | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Loss on sales of residential whole loans at carrying value | ||||||||
Loss/(gain) on sales of residential mortgage securities and MSR-related assets | ( | ) | ||||||
Gain on sales of real estate owned | ( | ) | ( | ) | ||||
Gain on liquidation of residential whole loans | ( | ) | ( | ) | ||||
Impairment and other losses on securities available-for-sale and other assets | ||||||||
Accretion of purchase discounts on residential mortgage securities, residential whole loans and MSR-related assets | ( | ) | ( | ) | ||||
Amortization of purchase premiums on residential mortgage securities and residential whole loans, and amortization of terminated hedging instruments | ||||||||
Depreciation and amortization on real estate, fixed assets and other assets | ||||||||
Equity-based compensation expense | ||||||||
Unrealized losses on residential whole loans at fair value | ||||||||
Provision for credit and valuation losses on residential whole loans and other financial instruments | ||||||||
Unrealized losses on residential mortgage securities and interest rate swap agreements (“Swaps”) and other | ||||||||
Increase in other assets | ( | ) | ( | ) | ||||
Decrease in other liabilities | ( | ) | ( | ) | ||||
Net cash provided by operating activities | $ | $ | ||||||
Cash Flows From Investing Activities: | ||||||||
Purchases of residential whole loans, loan related investments and capitalized advances | $ | ( | ) | $ | ( | ) | ||
Principal payments on residential whole loans | ||||||||
Principal payments on residential mortgage securities and MSR-related assets | ||||||||
Proceeds from sales of residential mortgage securities | ||||||||
Purchases of residential mortgage securities and MSR-related assets | ( | ) | ( | ) | ||||
Proceeds from sales of real estate owned | ||||||||
Purchases of real estate owned and capital improvements | ( | ) | ( | ) | ||||
Additions to leasehold improvements, furniture and fixtures | ( | ) | ( | ) | ||||
Net cash provided by/(used in) investing activities | $ | $ | ( | ) | ||||
Cash Flows From Financing Activities: | ||||||||
Principal payments on repurchase agreements | $ | ( | ) | $ | ( | ) | ||
Proceeds from borrowings under repurchase agreements | ||||||||
Principal payments on securitized debt | ( | ) | ( | ) | ||||
Payments made for settlements and unwinds of Swaps | ( | ) | ( | ) | ||||
Proceeds from issuance of Series C Preferred Stock | ||||||||
Payments made for costs related to Series C Preferred Stock issuance | ( | ) | ||||||
Proceeds from issuances of common stock | ||||||||
Dividends paid on preferred stock | ( | ) | ||||||
Dividends paid on common stock and dividend equivalents | ( | ) | ( | ) | ||||
Net cash (used in)/provided by financing activities | $ | ( | ) | $ | ||||
Net increase in cash, cash equivalents and restricted cash | $ | $ | ||||||
Cash, cash equivalents and restricted cash at beginning of period | $ | $ | ||||||
Cash, cash equivalents and restricted cash at end of period | $ | $ | ||||||
Supplemental Disclosure of Cash Flow Information | ||||||||
Interest Paid | $ | $ | ||||||
Non-cash Investing and Financing Activities: | ||||||||
Transfer from residential whole loans to real estate owned | $ | $ | ||||||
Dividends and dividend equivalents declared and unpaid | $ | $ | ||||||
Receivable for unsettled MBS, MSR-related asset, and residential whole loan sales | $ | $ | ||||||
(Dollars In Thousands) | March 31, 2020 | December 31, 2019 | ||||||
Purchased Performing Loans: | ||||||||
Non-QM loans (1) | $ | $ | ||||||
Rehabilitation loans | ||||||||
Single-family rental loans | ||||||||
Seasoned performing loans | ||||||||
Total Purchased Performing Loans | ||||||||
Purchased Credit Deteriorated Loans (2) | ||||||||
Total Residential whole loans, at carrying value | $ | $ | ||||||
Allowance for credit and valuation losses on residential whole loans held at carrying value and held-for-sale | ( | ) | ( | ) | ||||
Total Residential whole loans at carrying value, net | $ | $ | ||||||
Number of loans | ||||||||
(1) | Includes Non-QM loans held-for-sale with an amortized cost of $ |
(2) | The amortized cost basis of Purchased Credit Deteriorated Loans was increased by $ |
Three Months Ended March 31, | ||||||||
(In Thousands) | 2020 | 2019 | ||||||
Purchased Performing Loans: | ||||||||
Non-QM loans (1) | $ | $ | ||||||
Rehabilitation loans | ||||||||
Single-family rental loans | ||||||||
Seasoned performing loans | ||||||||
Total Purchased Performing Loans | ||||||||
Purchased Credit Deteriorated Loans | ||||||||
Total Residential whole loans, at carrying value | $ | $ | ||||||
(1) | Includes interest income on Non-QM loans held-for-sale at March 31, 2020. |
Carrying Value | Amortized Cost Basis | Unpaid Principal Balance (“UPB”) | Weighted Average Coupon (1) | Weighted Average Term to Maturity (Months) | Weighted Average LTV Ratio (2) | Weighted Average Original FICO (3) | Aging by Amortized Cost Basis | |||||||||||||||||||||||||||||||
Past Due Days | ||||||||||||||||||||||||||||||||||||||
(Dollars In Thousands) | Current | 30-59 | 60-89 | 90+ | ||||||||||||||||||||||||||||||||||
Purchased Performing Loans: | ||||||||||||||||||||||||||||||||||||||
Non-QM loans (4)(5) | $ | $ | $ | % | % | $ | $ | $ | $ | |||||||||||||||||||||||||||||
Rehabilitation loans (4) | ||||||||||||||||||||||||||||||||||||||
Single-family rental loans (4) | ||||||||||||||||||||||||||||||||||||||
Seasoned performing loans (4) | ||||||||||||||||||||||||||||||||||||||
Purchased Credit Deteriorated Loans (4)(6) | N/A | N/M | N/M | N/M | ||||||||||||||||||||||||||||||||||
Residential whole loans, at carrying value, total or weighted average | $ | $ | $ | % | ||||||||||||||||||||||||||||||||||
Carrying Value | Amortized Cost Basis | Unpaid Principal Balance (“UPB”) | Weighted Average Coupon (1) | Weighted Average Term to Maturity (Months) | Weighted Average LTV Ratio (2) | Weighted Average Original FICO (3) | Aging by UPB | |||||||||||||||||||||||||||||||
Past Due Days | ||||||||||||||||||||||||||||||||||||||
(Dollars In Thousands) | Current | 30-59 | 60-89 | 90+ | ||||||||||||||||||||||||||||||||||
Purchased Performing Loans: | ||||||||||||||||||||||||||||||||||||||
Non-QM loans (4) | $ | $ | $ | % | % | $ | $ | $ | $ | |||||||||||||||||||||||||||||
Rehabilitation loans (4) | ||||||||||||||||||||||||||||||||||||||
Single-family rental loans (4) | ||||||||||||||||||||||||||||||||||||||
Seasoned performing loans | ||||||||||||||||||||||||||||||||||||||
Purchased Credit Impaired Loans (6) | N/A | N/M | N/M | N/M | ||||||||||||||||||||||||||||||||||
Residential whole loans, at carrying value, total or weighted average | $ | $ | $ | % | ||||||||||||||||||||||||||||||||||
(1) | Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. |
(2) | LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $ |
(3) | Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. |
(4) | At March 31, 2020 and December 31, 2019 the difference between the Carrying Value and Amortized Cost Basis represents the related allowance for credit losses. |
(5) | Includes Non-QM loans held-for-sale with a net carrying value of $ |
(6) | Purchased Credit Deteriorated Loans tend to be characterized by varying performance of the underlying borrowers over time, including loans where multiple months of payments are received in a period to bring the loan to current status, followed by months where no payments are received. Accordingly, delinquency information is presented for loans that are more than 90 days past due that are considered to be seriously delinquent. |
Three Months Ended March 31, 2020 | ||||||||||||||||||||||||
(Dollars In Thousands) | Non-QM Loans (1) | Rehabilitation Loans (2)(3) | Single-family Rental Loans | Seasoned Performing Loans | Purchased Credit Deteriorated Loans (4) | Totals | ||||||||||||||||||
Allowance for credit losses at beginning of period | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Transition adjustment on adoption of ASU 2016-13 (5) | ||||||||||||||||||||||||
Current provision | ||||||||||||||||||||||||
Write-offs | ( | ) | ( | ) | ( | ) | ||||||||||||||||||
Valuation adjustment on loans held for sale | ||||||||||||||||||||||||
Allowance for credit and valuation losses at end of period | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Three Months Ended March 31, 2019 | ||||||||||||||||||||||||
(Dollars In Thousands) | Non-QM Loans | Rehabilitation Loans | Single-family Rental Loans | Seasoned Performing Loans | Purchased Credit Deteriorated Loans | Totals | ||||||||||||||||||
Allowance for credit losses at beginning of period | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Current provision | ( | ) | ||||||||||||||||||||||
Write-offs | ( | ) | ( | ) | ||||||||||||||||||||
Allowance for credit losses at end of period | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
(1) | Includes Non-QM loans held-for-sale with a net carrying value of $ |
(2) | In connection with purchased Rehabilitation loans, the Company had unfunded commitments of $ |
(3) | Includes $ |
(4) | Includes $ |
(5) | Of the $ |
Amortized Cost Basis by Origination Year and LTV Bands | ||||||||||||||||||||||||||||
(Dollars In Thousands) | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | Total | |||||||||||||||||||||
Non-QM loans (1) | ||||||||||||||||||||||||||||
LTV < 80% (2) | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
LTV >= 80% (2) | ||||||||||||||||||||||||||||
Total Non-QM loans | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
Three Months Ended March 31, 2020 Gross write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Three Months Ended March 31, 2020 Recoveries | — | — | — | — | — | — | — | |||||||||||||||||||||
Three Months Ended March 31, 2020 Net write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Rehabilitation loans | ||||||||||||||||||||||||||||
LTV < 80% (2) | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
LTV >= 80% (2) | ||||||||||||||||||||||||||||
Total Rehabilitation loans | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
Three Months Ended March 31, 2020 Gross write-offs | $ | — | $ | — | $ | $ | — | $ | — | $ | $ | |||||||||||||||||
Three Months Ended March 31, 2020 Recoveries | — | — | — | — | — | — | — | |||||||||||||||||||||
Three Months Ended March 31, 2020 Net write-offs | $ | — | $ | — | $ | $ | — | $ | — | $ | $ | |||||||||||||||||
Single family rental loans | ||||||||||||||||||||||||||||
LTV < 80% (2) | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
LTV >= 80% (2) | ||||||||||||||||||||||||||||
Total Single family rental loans | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
Three Months Ended March 31, 2020 Gross write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Three Months Ended March 31, 2020 Recoveries | — | — | — | — | — | — | — | |||||||||||||||||||||
Three Months Ended March 31, 2020 Net write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Seasoned performing loans | ||||||||||||||||||||||||||||
LTV < 80% (2) | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
LTV >= 80% (2) | ||||||||||||||||||||||||||||
Total Seasoned performing loans | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
Three Months Ended March 31, 2020 Gross write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Three Months Ended March 31, 2020 Recoveries | — | — | — | — | — | — | — | |||||||||||||||||||||
Three Months Ended March 31, 2020 Net write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Purchased credit deteriorated loans | ||||||||||||||||||||||||||||
LTV < 80% (2) | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
LTV >= 80% (2) | ||||||||||||||||||||||||||||
Total Purchased credit deteriorated loans | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
Three Months Ended March 31, 2020 Gross write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | $ | ||||||||||||||||
Three Months Ended March 31, 2020 Recoveries | — | — | — | — | — | — | — | |||||||||||||||||||||
Three Months Ended March 31, 2020 Net write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | $ | ||||||||||||||||
Total LTV < 80% (2) | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
Total LTV >= 80% (2) | ||||||||||||||||||||||||||||
Total residential whole loans, at carrying value | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
Total Gross write-offs | $ | — | $ | — | $ | $ | — | $ | — | $ | $ | |||||||||||||||||
Total Recoveries | — | — | — | — | — | — | — | |||||||||||||||||||||
Total Net write-offs | $ | — | $ | — | $ | $ | — | $ | — | $ | $ | |||||||||||||||||
(1) | Excludes Non-QM loans held-for-sale with an amortized cost of $ |
(2) |
(Dollars in Thousands) | March 31, 2020 | December 31, 2019 | ||||||
Less than 60 Days Past Due: | ||||||||
Outstanding principal balance | $ | $ | ||||||
Aggregate fair value | $ | $ | ||||||
Weighted Average LTV Ratio (1) | % | % | ||||||
Number of loans | ||||||||
60 Days to 89 Days Past Due: | ||||||||
Outstanding principal balance | $ | $ | ||||||
Aggregate fair value | $ | $ | ||||||
Weighted Average LTV Ratio (1) | % | % | ||||||
Number of loans | ||||||||
90 Days or More Past Due: | ||||||||
Outstanding principal balance | $ | $ | ||||||
Aggregate fair value | $ | $ | ||||||
Weighted Average LTV Ratio (1) | % | % | ||||||
Number of loans | ||||||||
Total Residential whole loans, at fair value | $ | $ | ||||||
(1) | LTV represents the ratio of the total unpaid principal balance of the loan, to the estimated value of the collateral securing the related loan. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. |
Three Months Ended March 31, | ||||||||
(In Thousands) | 2020 | 2019 | ||||||
Coupon payments, realized gains, and other income received (1) | $ | $ | ||||||
Net unrealized losses | ( | ) | ( | ) | ||||
Net gain on transfers to REO | ||||||||
Total | $ | ( | ) | $ | ||||
(1) | Primarily includes gains on liquidation of non-performing loans, including the recovery of delinquent interest payments, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated loans. |
(In Thousands) | Principal/ Current Face | Purchase Premiums | Accretable Purchase Discounts | Discount Designated as Credit Reserve (1) | Gross Amortized Cost (2) | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | Fair Value | |||||||||||||||||||||||||||
Agency MBS: (3) | ||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | $ | $ | ( | ) | $ | ( | ) | $ | $ | $ | $ | $ | |||||||||||||||||||||||
Freddie Mac | ( | ) | ||||||||||||||||||||||||||||||||||
Ginnie Mae | ||||||||||||||||||||||||||||||||||||
Total Agency MBS | ( | ) | ( | ) | ||||||||||||||||||||||||||||||||
Non-Agency MBS: | ||||||||||||||||||||||||||||||||||||
Expected to Recover Par (4)(5) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||||||||||
Expected to Recover Less than Par (4) | ( | ) | ( | ) | ||||||||||||||||||||||||||||||||
Total Non-Agency MBS (6) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||||||||||
Total MBS | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||||||||||
CRT securities (7) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||||||||
Total MBS and CRT securities | $ | $ | $ | ( | ) | $ | ( | ) | $ | $ | $ | ( | ) | $ | $ | |||||||||||||||||||||
(In Thousands) | Principal/ Current Face | Purchase Premiums | Accretable Purchase Discounts | Discount Designated as Credit Reserve (1) | Gross Amortized Cost (2) | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | Fair Value | |||||||||||||||||||||||||||
Agency MBS: (3) | ||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | $ | $ | ( | ) | $ | $ | $ | $ | ( | ) | $ | ( | ) | $ | |||||||||||||||||||||
Freddie Mac | ( | ) | ||||||||||||||||||||||||||||||||||
Ginnie Mae | ||||||||||||||||||||||||||||||||||||
Total Agency MBS | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||||||||||
Non-Agency MBS: | ||||||||||||||||||||||||||||||||||||
Expected to Recover Par (4)(5) | ( | ) | ( | ) | ||||||||||||||||||||||||||||||||
Expected to Recover Less than Par (4) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||||||||||
Total Non-Agency MBS (6) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||||||||||
Total MBS | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||||||||||
CRT securities (7) | ( | ) | ( | ) | ||||||||||||||||||||||||||||||||
Total MBS and CRT securities | $ | $ | $ | ( | ) | $ | ( | ) | $ | $ | $ | ( | ) | $ | $ | |||||||||||||||||||||
(1) | Discount designated as Credit Reserve is generally not expected to be accreted into interest income. |
(2) | Includes principal payments receivable of $ |
(3) | Amounts disclosed at March 31, 2020 and December 31, 2019 include Agency MBS with a fair value of $ |
(4) | Based on management’s current estimates of future principal cash flows expected to be received. |
(5) | Includes RPL/NPL MBS, which at March 31, 2020 had an $ |
(6) | At March 31, 2020 and December 31, 2019, the Company expected to recover approximately |
(7) | Amounts disclosed at March 31, 2020 includes CRT securities with a fair value of $ |
Three Months Ended March 31, 2020 | Three Months Ended March 31, 2019 | |||||||||||||||
(In Thousands) | Sales Proceeds | Gains/(Losses) | Sales Proceeds | Gains/(Losses) | ||||||||||||
Agency MBS | $ | $ | ( | ) | $ | $ | ||||||||||
Non-Agency MBS | ( | ) | ||||||||||||||
CRT Securities | ( | ) | ||||||||||||||
Total | $ | $ | ( | ) | $ | $ | ||||||||||
Less than 12 Months | 12 Months or more | Total | ||||||||||||||||||||||||||||
Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | |||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||
Agency MBS: | ||||||||||||||||||||||||||||||
Fannie Mae | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
Freddie Mac | ||||||||||||||||||||||||||||||
Ginnie Mae | ||||||||||||||||||||||||||||||
Total Agency MBS | ||||||||||||||||||||||||||||||
Non-Agency MBS: | ||||||||||||||||||||||||||||||
Expected to Recover Par (1) | ||||||||||||||||||||||||||||||
Expected to Recover Less than Par (1) | ||||||||||||||||||||||||||||||
Total Non-Agency MBS | ||||||||||||||||||||||||||||||
Total MBS | ||||||||||||||||||||||||||||||
CRT securities (2) | ||||||||||||||||||||||||||||||
Total MBS and CRT securities | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
(1) | Based on management’s current estimates of future principal cash flows expected to be received. |
(2) | Amounts disclosed at March 31, 2020 include CRT securities with a fair value of $ |
Three Months Ended March 31, | ||||||||
(Dollars In Thousands) | 2020 | 2019 | ||||||
Allowance for credit losses at beginning of period | $ | $ | ||||||
Current provision: | — | — | ||||||
Securities with no prior loss allowance | ||||||||
Securities with a prior loss allowance | ||||||||
Write-offs, including allowance related to securities we intend to sell | ( | ) | ||||||
Allowance for credit losses at end of period | $ | $ | ||||||
Three Months Ended March 31, 2020 | Three Months Ended March 31, 2019 | |||||||||||||||
(In Thousands) | Discount Designated as Credit Reserve | Accretable Discount (1) | Discount Designated as Credit Reserve | Accretable Discount (1) | ||||||||||||
Balance at beginning of period | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||||
Impact of RMBS Issuer Settlement (2) | ( | ) | ||||||||||||||
Accretion of discount | ||||||||||||||||
Realized credit losses | ||||||||||||||||
Purchases | ( | ) | ||||||||||||||
Sales/Redemptions | ( | ) | ||||||||||||||
Net impairment losses recognized in earnings | ( | ) | ||||||||||||||
Transfers/release of credit reserve | ( | ) | ( | ) | ||||||||||||
Balance at end of period | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||||
(1) | Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security. |
(2) | Includes the impact of $ |
Three Months Ended March 31, | ||||||||
(In Thousands) | 2020 | 2019 | ||||||
AOCI from AFS securities: | ||||||||
Unrealized gain on AFS securities at beginning of period | $ | $ | ||||||
Unrealized gain on Agency MBS, net | ||||||||
Unrealized gain on Non-Agency MBS, net | ||||||||
Unrealized (loss)/gain on MSR term notes, net | ( | ) | ||||||
Reclassification adjustment for MBS sales included in net income | ( | ) | ( | ) | ||||
Reclassification adjustment for impairment included in net income | ( | ) | ||||||
Change in AOCI from AFS securities | ( | ) | ||||||
Balance at end of period | $ | $ | ||||||
Three Months Ended March 31, | ||||||||
(In Thousands) | 2020 | 2019 | ||||||
Agency MBS | ||||||||
Coupon interest | $ | $ | ||||||
Effective yield adjustment (1) | ( | ) | ( | ) | ||||
Interest income | $ | $ | ||||||
Legacy Non-Agency MBS | ||||||||
Coupon interest | $ | $ | ||||||
Effective yield adjustment (2) | ||||||||
Interest income | $ | $ | ||||||
RPL/NPL MBS | ||||||||
Coupon interest | $ | $ | ||||||
Effective yield adjustment (1)(3) | ||||||||
Interest income | $ | $ | ||||||
CRT securities | ||||||||
Coupon interest | $ | $ | ||||||
Effective yield adjustment (2) | ( | ) | ||||||
Interest income | $ | $ | ||||||
MSR-related assets | ||||||||
Coupon interest | $ | $ | ||||||
Effective yield adjustment (1) | ||||||||
Interest income | $ | $ | ||||||
(In Thousands) | March 31, 2020 | December 31, 2019 | ||||||
REO (1) | $ | $ | ||||||
Receivable for unsettled MBS sales | ||||||||
Capital contributions made to loan origination partners | ||||||||
Other interest-earning assets | ||||||||
Interest receivable | ||||||||
Other MBS and loan related receivables | ||||||||
Other | ||||||||
Total Other Assets | $ | $ | ||||||
(1) | Includes $ |
Three Months Ended March 31, | ||||||||
(In Thousands) | 2020 | 2019 | ||||||
Balance at beginning of period | $ | $ | ||||||
Adjustments to record at lower of cost or fair value | ( | ) | ( | ) | ||||
Transfer from residential whole loans (1) | ||||||||
Purchases and capital improvements, net | ||||||||
Disposals (2) | ( | ) | ( | ) | ||||
Balance at end of period | $ | $ | ||||||
Number of properties | ||||||||
(1) | Includes net gain recorded on transfer of approximately $ |
(2) |
March 31, 2020 | December 31, 2019 | |||||||||||||||||
Derivative Instrument (1) | Designation | Notional Amount | Fair Value | Notional Amount | Fair Value | |||||||||||||
(In Thousands) | ||||||||||||||||||
Swaps | Hedging | $ | $ | $ | $ | |||||||||||||
Swaps | Non-Hedging | $ | $ | $ | $ | |||||||||||||
(In Thousands) | March 31, 2020 | December 31, 2019 | ||||||
Agency MBS, at fair value | $ | $ | ||||||
Restricted cash | ||||||||
Total assets pledged against Swaps | $ | $ | ||||||
March 31, 2020 | December 31, 2019 | ||||||||||||||||||||
Notional Amount | Weighted Average Fixed-Pay Interest Rate | Weighted Average Variable Interest Rate (2) | Notional Amount | Weighted Average Fixed-Pay Interest Rate | Weighted Average Variable Interest Rate (2) | ||||||||||||||||
Maturity (1) | |||||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||
Over 3 months to 6 months | $ | % | % | $ | % | % | |||||||||||||||
Over 6 months to 12 months | |||||||||||||||||||||
Over 12 months to 24 months | |||||||||||||||||||||
Over 24 months to 36 months | |||||||||||||||||||||
Over 36 months to 48 months | |||||||||||||||||||||
Total Swaps | $ | % | % | $ | % | % | |||||||||||||||
Three Months Ended March 31, | ||||||||
(Dollars in Thousands) | 2020 | 2019 | ||||||
Interest (expense)/income attributable to Swaps | $ | ( | ) | $ | ||||
Weighted average Swap rate paid | % | % | ||||||
Weighted average Swap rate received | % | % | ||||||
Three Months Ended March 31, | ||||||||
(In Thousands) | 2020 | 2019 | ||||||
AOCI from derivative hedging instruments: | ||||||||
Balance at beginning of period | $ | ( | ) | $ | ||||
Net loss on Swaps | ( | ) | ( | ) | ||||
Amortization of de-designated hedging instruments, net | ( | ) | ||||||
Balance at end of period | $ | ( | ) | $ | ( | ) | ||
(Dollars in Thousands) | March 31, 2020 | December 31, 2019 | ||||||
Repurchase agreements secured by residential whole loans (1) | $ | $ | ||||||
Fair value of residential whole loans pledged as collateral under repurchase agreements (2)(3) | $ | $ | ||||||
Weighted average haircut on residential whole loans (4) | % | % | ||||||
Repurchase agreement borrowings secured by Agency MBS | $ | $ | ||||||
Fair value of Agency MBS pledged as collateral under repurchase agreements | $ | $ | ||||||
Weighted average haircut on Agency MBS (4) | % | % | ||||||
Repurchase agreement borrowings secured by Legacy Non-Agency MBS | $ | $ | ||||||
Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements | $ | $ | ||||||
Weighted average haircut on Legacy Non-Agency MBS (4) | % | % | ||||||
Repurchase agreement borrowings secured by RPL/NPL MBS | $ | $ | ||||||
Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements | $ | $ | ||||||
Weighted average haircut on RPL/NPL MBS (4) | % | % | ||||||
Repurchase agreements secured by CRT securities | $ | $ | ||||||
Fair value of CRT securities pledged as collateral under repurchase agreements | $ | $ | ||||||
Weighted average haircut on CRT securities (4) | % | % | ||||||
Repurchase agreements secured by MSR-related assets | $ | $ | ||||||
Fair value of MSR-related assets pledged as collateral under repurchase agreements | $ | $ | ||||||
Weighted average haircut on MSR-related assets (4) | % | % | ||||||
Repurchase agreements secured by other interest-earning assets | $ | $ | ||||||
Fair value of other interest-earning assets pledged as collateral under repurchase agreements | $ | $ | ||||||
Weighted average haircut on other interest-earning assets (4) | % | % | ||||||
(1) | Excludes $ |
(2) | At March 31, 2020 and December 31, 2019, includes RPL/NPL MBS with an aggregate fair value of $ |
March 31, 2020 | December 31, 2019 | |||||||||||||
Balance | Weighted Average Interest Rate | Balance | Weighted Average Interest Rate | |||||||||||
Time Until Interest Rate Reset | ||||||||||||||
(Dollars in Thousands) | ||||||||||||||
Within 30 days | $ | % | $ | % | ||||||||||
Over 30 days to 3 months | ||||||||||||||
Over 3 months to 12 months | ||||||||||||||
Over 12 months | ||||||||||||||
Total repurchase agreements | $ | % | $ | % | ||||||||||
Less debt issuance costs | ||||||||||||||
Total repurchase agreements less debt issuance costs | $ | $ | ||||||||||||
March 31, 2020 | |||||||||||
Counterparty Rating (1) | Amount at Risk (2) | Weighted Average Months to Maturity for Repurchase Agreements (3) | Percent of Stockholders’ Equity | ||||||||
Counterparty | |||||||||||
(Dollars in Thousands) | |||||||||||
Credit Suisse (4) | BBB+/Baa2/A- | $ | % | ||||||||
Barclays Bank | BBB/Aa3/A | ||||||||||
Goldman Sachs (5) | BBB+/A3/A | ||||||||||
Wells Fargo (6) | A+/Aa2/AA- | ||||||||||
(1) | As rated at March 31, 2020 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published for these entities. |
(2) | The amount at risk reflects the difference between (a) the amount loaned to the Company through 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) | See Note 16 “Subsequent Events” for details regarding the Company’s Forbearance Agreements, which impacts the maturity dates of the Company’s repurchase agreement financings. |
(4) | Includes $ |
(5) | Includes $ |
(6) |
(In Thousands) | March 31, 2020 | December 31, 2019 | ||||||
Securitized debt (1) | $ | $ | ||||||
Convertible Senior Notes | ||||||||
Senior Notes | ||||||||
Dividends and dividend equivalents payable | ||||||||
Accrued interest payable | ||||||||
Accrued expenses and other | ||||||||
Total Other Liabilities | $ | $ | ||||||
(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.) |
Three Months Ended March 31, 2020 | ||||||||||||
(In Thousands) | Net Unrealized Gain/(Loss) on AFS Securities | Net (Loss) on Swaps | Total AOCI | |||||||||
Balance at beginning of period | $ | $ | ( | ) | $ | |||||||
OCI before reclassifications | ( | ) | ||||||||||
Amounts reclassified from AOCI (1) | ( | ) | ( | ) | ||||||||
Net OCI during the period (2) | ( | ) | ( | ) | ( | ) | ||||||
Balance at end of period | $ | $ | ( | ) | $ | |||||||
Three Months Ended March 31, 2019 | ||||||||||||
(In Thousands) | Net Unrealized Gain/(Loss) on AFS Securities | Net Gain on Swaps | Total AOCI | |||||||||
Balance at beginning of period | $ | $ | $ | |||||||||
OCI before reclassifications | ( | ) | ||||||||||
Amounts reclassified from AOCI (1) | ( | ) | ( | ) | ( | ) | ||||||
Net OCI during the period (2) | ( | ) | ( | ) | ||||||||
Balance at end of period | $ | $ | ( | ) | $ | |||||||
Three Months Ended March 31, 2020 | ||||||
Details about AOCI Components | Amounts Reclassified from AOCI | Affected Line Item in the Statement Where Net Income is Presented | ||||
(In Thousands) | ||||||
AFS Securities: | ||||||
Realized gain on sale of securities | $ | ( | ) | Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans | ||
Impairment recognized in earnings | ( | ) | Other, net | |||
Total AFS Securities | $ | ( | ) | |||
Swaps designated as cash flow hedges: | ||||||
Amortization of de-designated hedging instruments | Other, net | |||||
Total Swaps designated as cash flow hedges | $ | |||||
Total reclassifications for period | $ | ( | ) | |||
Three Months Ended March 31, 2019 | ||||||
Details about AOCI Components | Amounts Reclassified from AOCI | Affected Line Item in the Statement Where Net Income is Presented | ||||
(In Thousands) | ||||||
AFS Securities: | ||||||
Realized gain on sale of securities | $ | ( | ) | Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans | ||
Total AFS Securities | $ | ( | ) | |||
Amortization of de-designated hedging instruments | ( | ) | ||||
Total reclassifications for period | $ | ( | ) | |||
Three Months Ended March 31, | ||||||||
(In Thousands, Except Per Share Amounts) | 2020 | 2019 | ||||||
Basic (Loss)/Earnings per Share: | ||||||||
Net (loss)/income to common stockholders | $ | ( | ) | $ | ||||
Dividends declared on preferred stock | ( | ) | ( | ) | ||||
Dividends, dividend equivalents and undistributed earnings allocated to participating securities | ( | ) | ||||||
Net (loss)/income to common stockholders - basic | $ | ( | ) | $ | ||||
Basic weighted average common shares outstanding | ||||||||
Basic (Loss)/ Earnings per Share | $ | ( | ) | $ | ||||
Diluted (Loss)/Earnings per Share: | ||||||||
Net (loss)/income to common stockholders - basic | $ | ( | ) | $ | ||||
Interest expense on Convertible Senior Notes | ||||||||
Net (loss)/income to common stockholders - diluted | $ | ( | ) | $ | ||||
Basic weighted average common shares outstanding | ||||||||
Effect of assumed Convertible Senior Notes conversion to common shares | ||||||||
Diluted weighted average common shares outstanding (1) | ||||||||
Diluted (Loss)/Earnings per Share | $ | ( | ) | $ | ||||
(1) |
Three Months Ended March 31, | ||||||||
(In Thousands) | 2020 | 2019 | ||||||
RSUs | $ | $ | ||||||
Total | $ | $ | ||||||
Three Months Ended March 31, | ||||||||
(In Thousands) | 2020 | 2019 | ||||||
Non-employee directors | $ | ( | ) | $ | ||||
Total | $ | ( | ) | $ | ||||
March 31, 2020 | December 31, 2019 | |||||||||||||||
(In Thousands) | Undistributed Income Deferred (1) | Liability Under Deferred Plans | Undistributed Income Deferred (1) | Liability Under Deferred Plans | ||||||||||||
Non-employee directors | $ | $ | $ | $ | ||||||||||||
Total | $ | $ | $ | $ | ||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Residential whole loans, at fair value | $ | $ | $ | $ | ||||||||||||
Non-Agency MBS | ||||||||||||||||
Agency MBS | ||||||||||||||||
CRT securities | ||||||||||||||||
Term notes backed by MSR-related collateral | ||||||||||||||||
Total assets carried at fair value | $ | $ | $ | $ | ||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Residential whole loans, at fair value | $ | $ | $ | $ | ||||||||||||
Non-Agency MBS | ||||||||||||||||
Agency MBS | ||||||||||||||||
CRT securities | ||||||||||||||||
Term notes backed by MSR-related collateral | ||||||||||||||||
Total assets carried at fair value | $ | $ | $ | $ | ||||||||||||
Residential Whole Loans, at Fair Value | ||||||||
Three Months Ended March 31, | ||||||||
(In Thousands) | 2020 | 2019 | ||||||
Balance at beginning of period | $ | $ | ||||||
Purchases and capitalized advances (1) | ||||||||
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings | ( | ) | ( | ) | ||||
Collection of principal, net of liquidation gains/(losses) | ( | ) | ( | ) | ||||
Repurchases | ( | ) | ( | ) | ||||
Transfer to REO | ( | ) | ( | ) | ||||
Balance at end of period | $ | $ | ||||||
(1) | Included in the activity presented for the three months ended March 31, 2019 is an adjustment of $ |
Term Notes Backed by MSR-Related Collateral | ||||
Three Months Ended March 31, | ||||
(In Thousands) | 2019 | |||
Balance at beginning of period | $ | |||
Purchases | ||||
Sales | — | |||
Collection of principal | ( | ) | ||
Changes in unrealized gain/(losses) | ||||
Transfer to Level 2 | ||||
Balance at end of period | $ | |||
March 31, 2020 | ||||||||||||||
(Dollars in Thousands) | Fair Value (1) | Valuation Technique | Unobservable Input | Weighted Average (2) | Range | |||||||||
Residential whole loans, at fair value | $ | Discounted cash flow | Discount rate | % | 5.1-9.7% | |||||||||
Prepayment rate | % | 0.1-19.9% | ||||||||||||
Default rate | % | 0.0-23.5% | ||||||||||||
Loss severity | % | 0.0-100.0% | ||||||||||||
$ | Liquidation model | Discount rate | % | 6.2-50.0% | ||||||||||
Annual change in home prices | % | (0.5)-6.9% | ||||||||||||
Liquidation timeline (in years) | 0.1-4.8 | |||||||||||||
Current value of underlying properties (3) | $ | $5-$4,500 | ||||||||||||
Total | $ | |||||||||||||
December 31, 2019 | ||||||||||||||
(Dollars in Thousands) | Fair Value (1) | Valuation Technique | Unobservable Input | Weighted Average (2) | Range | |||||||||
Residential whole loans, at fair value | $ | Discounted cash flow | Discount rate | % | 3.8-8.0% | |||||||||
Prepayment rate | % | 0.7-18.0% | ||||||||||||
Default rate | % | 0.0-23.0% | ||||||||||||
Loss severity | % | 0.0-100.0% | ||||||||||||
$ | Liquidation model | Discount rate | % | 6.2-50.0% | ||||||||||
Annual change in home prices | % | 2.4-8.0% | ||||||||||||
Liquidation timeline (in years) | 0.1-4.5 | |||||||||||||
Current value of underlying properties (3) | $ | $10-$4,500 | ||||||||||||
Total | $ | |||||||||||||
March 31, 2020 | March 31, 2020 | December 31, 2019 | ||||||||||||||||
Level in Fair Value Hierarchy | Carrying Value | Estimated Fair Value | Carrying Value | Estimated Fair Value | ||||||||||||||
(In Thousands) | ||||||||||||||||||
Financial Assets: | ||||||||||||||||||
Residential whole loans, at carrying value (1) | 3 | $ | $ | $ | $ | |||||||||||||
Residential whole loans, at fair value | 3 | |||||||||||||||||
Non-Agency MBS | 2 | |||||||||||||||||
Agency MBS | 2 | |||||||||||||||||
CRT securities | 2 | |||||||||||||||||
MSR-related assets (2) | 2 and 3 | |||||||||||||||||
Cash and cash equivalents | 1 | |||||||||||||||||
Restricted cash | 1 | |||||||||||||||||
Financial Liabilities (3): | ||||||||||||||||||
Repurchase agreements | 2 | |||||||||||||||||
Securitized debt | 2 | |||||||||||||||||
Convertible Senior Notes | 2 | |||||||||||||||||
Senior Notes | 1 | |||||||||||||||||
(1) | Includes Non-QM loans held-for-sale with a net carrying value of $ |
(2) | Includes $ |
(3) | Carrying value of securitized debt, Convertible Senior Notes, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. |
(Dollars in Thousands) | March 31, 2020 | December 31, 2019 | |||||||
Aggregate unpaid principal balance of residential whole loans sold | $ | $ | |||||||
Face amount of Senior Bonds issued by the VIE and purchased by third-party investors | $ | $ | |||||||
Outstanding amount of Senior Bonds | $ | (1) | $ | (1) | |||||
Weighted average fixed rate for Senior Bonds issued | % | (2) | % | (2) | |||||
Weighted average contractual maturity of Senior Bonds | (2) | (2) | |||||||
Face amount of Senior Support Certificates received by the Company (3) | $ | $ | |||||||
Cash received | $ | $ | |||||||
(1) | Net of $ |
(2) | At March 31, 2020 and December 31, 2019, $ |
(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. |
• | Participating counterparties to the Initial FBA represented repurchase obligations of an aggregate of $ |
• | In connection with the Initial FBA, the Company also granted the participating counterparties a security interest in Company assets that were unencumbered prior to the Initial FBA, including residential whole loans, real estate owned (REO), unrestricted cash and other assets, with an estimated aggregate market value as of the date of the Initial FBA of approximately $ |
• | Counterparties agreed to forbear from exercising any rights or remedies through the close of business on April 27, 2020s (unless terminated sooner upon the occurrence of certain events) under their respective repurchase agreements, including refraining from selling collateral to enforce margin calls. |
• | The terms and conditions of the Second FBA were substantially similar to those under the Initial FBA. |
• | Participating counterparties to the Second FBA represented repurchase obligations of an aggregate of $ |
• | Under the terms of the Second FBA, the Company also agreed to make a cash payment to the participating counterparties of $ |
• | The Company has disposed of approximately $ |
• | The Company also disposed of approximately $ |
(In Millions) | December 31, 2019 | Runoff (1) | Acquisitions | Sales | Other (2) | March 31, 2020 | Change | |||||||||||||||||||||
Residential whole loans and REO (3) | $ | 7,860 | $ | (541 | ) | $ | 1,091 | $ | (806 | ) | $ | (233 | ) | $ | 7,371 | $ | (489 | ) | ||||||||||
RPL/NPL MBS | 635 | (320 | ) | — | (211 | ) | (24 | ) | 80 | (555 | ) | |||||||||||||||||
MSR-related assets | 1,217 | (33 | ) | 4 | (161 | ) | (289 | ) | 738 | (479 | ) | |||||||||||||||||
CRT securities | 255 | (1 | ) | 159 | (38 | ) | (121 | ) | 254 | (1 | ) | |||||||||||||||||
Legacy Non-Agency MBS | 1,429 | (68 | ) | — | (96 | ) | (225 | ) | 1,040 | (389 | ) | |||||||||||||||||
Agency MBS | 1,665 | (123 | ) | — | (988 | ) | (1 | ) | 553 | (1,112 | ) | |||||||||||||||||
Totals | $ | 13,061 | $ | (1,086 | ) | $ | 1,254 | $ | (2,300 | ) | $ | (893 | ) | $ | 10,036 | $ | (3,025 | ) | ||||||||||
(1) | Primarily includes principal repayments, cash collections on Purchased Credit Deteriorated Loans and sales of REO. |
(2) | Primarily includes changes in fair value, net premium amortization/discount accretion and adjustments to record lower of cost or estimated fair value adjustments on REO and loans held-for-sale. |
(3) | Includes Non-QM loans held-for-sale with a net carrying value of $895.3 million at March 31, 2020. |
• | We have disposed of approximately $2.4 billion of residential mortgage securities, including $533.1 million of Agency MBS, $1.1 billion of Non-Agency MBS and $207.4 million of CRT securities. In addition, we sold $574.9 million of term notes backed by MSR-related collateral and $15.6 million of other interest earning assets. Improvement in market pricing since the end of the first quarter resulted in us recording realized gains of approximately $177.5 million to date in the second quarter. In addition, we recorded $57.0 million of unrealized gains on securities (primarily CRT securities) on which we had previously elected the fair value option. |
• | We also disposed of approximately $845.2 million of residential whole loans, resulting in realized losses of approximately $128.4 million. However, after the reversal of the valuation allowance associated with loans that were designated as held-for-sale at the end of the first quarter, the net impact on second quarter results is a loss of approximately $58.2 million. |
(Dollars in Millions) | Residential Whole Loans, at Carrying Value (1) | Residential Whole Loans, at Fair Value | Agency MBS | Legacy Non-Agency MBS | RPL/NPL MBS (2) | Credit Risk Transfer Securities | MSR-Related Assets | Other, net (3) | Total | |||||||||||||||||||||||||||
Fair Value/Carrying Value | $ | 5,716 | $ | 1,244 | $ | 553 | $ | 1,040 | $ | 80 | $ | 254 | $ | 738 | $ | 1,019 | $ | 10,644 | ||||||||||||||||||
Plus Receivable for Unsettled Sales | 27 | — | 28 | 53 | 164 | 11 | 137 | — | 420 | |||||||||||||||||||||||||||
Less Repurchase Agreements | (4,092 | ) | (609 | ) | (522 | ) | (1,003 | ) | (255 | ) | (298 | ) | (930 | ) | (59 | ) | (7,768 | ) | ||||||||||||||||||
Less Securitized Debt | (123 | ) | (411 | ) | — | — | — | — | — | — | (534 | ) | ||||||||||||||||||||||||
Less Convertible Senior Notes | — | — | — | — | — | — | — | (224 | ) | (224 | ) | |||||||||||||||||||||||||
Less Senior Notes | — | — | — | — | — | — | — | (97 | ) | (97 | ) | |||||||||||||||||||||||||
Net Equity Allocated | $ | 1,528 | $ | 224 | $ | 59 | $ | 90 | $ | (11 | ) | $ | (33 | ) | $ | (55 | ) | $ | 639 | $ | 2,441 | |||||||||||||||
Debt/Net Equity Ratio (4) | 2.7 | x | 4.6 | x | 8.4 | x | 10.6 | x | N/M | N/M | N/M | 3.4 | x | |||||||||||||||||||||||
(1) | Includes $3.4 billion of Non-QM loans (including $895.3 million held-for-sale), $943.3 million of Rehabilitation loans, $498.9 million of Single-family rental loans, $165.3 million of Seasoned performing loans, and $673.5 million of Purchased Credit Deteriorated Loans. At March 31, 2020, the total fair value of these loans is estimated to be approximately $5.6 billion. |
(2) | RPL/NPL MBS are backed primarily by securitized re-performing and non-performing loans. The securities are generally 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. |
(3) | Includes cash and cash equivalents and restricted cash, other assets and other liabilities. |
(4) | Represents the sum of borrowings under repurchase agreements and securitized debt as a multiple of net equity allocated. The numerator of our Total Debt/Net Equity Ratio also includes Convertible Senior Notes and Senior Notes. |
(In Thousands) | Purchased Performing Loans (1) | Purchased Credit Deteriorated Loans (2) | Residential Whole Loans, at Fair Value | |||||||||
Amount due: | ||||||||||||
Within one year | $ | 780,632 | $ | 737 | $ | 4,212 | ||||||
After one year: | ||||||||||||
Over one to five years | 239,496 | 4,302 | 5,687 | |||||||||
Over five years | 4,169,506 | 739,369 | 1,233,893 | |||||||||
Total due after one year | $ | 4,409,002 | $ | 743,671 | $ | 1,239,580 | ||||||
Total residential whole loans | $ | 5,189,634 | $ | 744,408 | $ | 1,243,792 | ||||||
(1) | Excludes an allowance for credit and valuation losses of $147.1 million at March 31, 2020. |
(2) | Excludes an allowance for credit losses of $70.9 million at March 31, 2020. |
(In Thousands) | Purchased Performing Loans (1)(2) | Purchased Credit Deteriorated Loans (1)(3) | Residential Whole Loans, at Fair Value (1) | |||||||||
Interest rates: | ||||||||||||
Fixed | $ | 1,434,688 | $ | 501,139 | $ | 879,535 | ||||||
Adjustable | 2,974,314 | 242,532 | 360,045 | |||||||||
Total | $ | 4,409,002 | $ | 743,671 | $ | 1,239,580 | ||||||
(1) | Includes loans on which borrowers have defaulted and are not making payments of principal and/or interest as of March 31, 2020. |
(2) | Excludes an allowance for credit and valuation losses of $147.1 million at March 31, 2020. |
(3) | Excludes an allowance for credit losses of $70.9 million at March 31, 2020. |
(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) | $ | 125,543 | 103.8 | % | 105.3 | % | $ | 132,204 | 110 | 3.90 | % | 8.6 | % | ||||||||||
Generic | 36,157 | 104.0 | 105.3 | 38,086 | 113 | 4.10 | 7.2 | ||||||||||||||||
Total 15-Year Fixed Rate | $ | 161,700 | 103.8 | % | 105.3 | % | $ | 170,290 | 111 | 3.95 | % | 8.3 | % | ||||||||||
30-Year Fixed Rate: | |||||||||||||||||||||||
Generic | $ | 13,461 | 104.0 | % | 107.7 | % | $ | 14,499 | 21 | 4.50 | % | 25.1 | % | ||||||||||
Total 30-Year Fixed Rate | $ | 13,461 | 104.0 | % | 107.7 | % | $ | 14,499 | 21 | 4.50 | % | 25.1 | % | ||||||||||
Hybrid | $ | 315,351 | 103.5 | % | 102.8 | % | $ | 324,197 | 120 | 3.67 | % | 11.4 | % | ||||||||||
CMO/Other | $ | 42,393 | 102.6 | % | 103.6 | % | $ | 43,911 | 215 | 4.03 | % | 13.5 | % | ||||||||||
Total Portfolio | $ | 532,905 | 103.5 | % | 103.8 | % | $ | 552,897 | 122 | 3.80 | % | 12.6 | % | ||||||||||
(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) | $ | 460,094 | 104.5 | % | 102.4 | % | $ | 471,123 | 93 | 3.04 | % | 10.5 | % | ||||||||||
Generic | 100,886 | 104.5 | 103.1 | 104,060 | 99 | 3.45 | 10.7 | ||||||||||||||||
Total 15-Year Fixed Rate | $ | 560,980 | 104.5 | % | 102.5 | % | $ | 575,183 | 94 | 3.11 | % | 10.6 | % | ||||||||||
30-Year Fixed Rate: | |||||||||||||||||||||||
Generic | $ | 264,760 | 104.2 | % | 105.9 | % | $ | 280,303 | 18 | 4.50 | % | 34.4 | % | ||||||||||
Total 30-Year Fixed Rate | $ | 264,760 | 104.2 | % | 105.9 | % | $ | 280,303 | 18 | 4.50 | % | 34.4 | % | ||||||||||
Hybrid | $ | 732,968 | 103.5 | % | 103.8 | % | $ | 760,836 | 121 | 4.11 | % | 18.3 | % | ||||||||||
CMO/Other | $ | 45,875 | 102.6 | % | 103.9 | % | $ | 47,646 | 211 | 4.23 | % | 11.7 | % | ||||||||||
Total Portfolio | $ | 1,604,583 | 103.9 | % | 103.7 | % | $ | 1,663,968 | 97 | 3.83 | % | 18.1 | % | ||||||||||
(1) | Does not include principal payments receivable of $516,000 and $614,000 at March 31, 2020 and December 31, 2019, respectively. |
(2) | Weighted average is based on MBS current face at March 31, 2020 and December 31, 2019, 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% | $ | 4,319 | 104.8 | % | 104.1 | % | $ | 4,497 | 88 | 3.08 | % | 100 | % | 6.8 | % | ||||||||||
3.0% | 8,509 | 105.5 | 104.8 | 8,919 | 92 | 3.61 | 100 | 6.5 | |||||||||||||||||
3.5% | 2,525 | 103.5 | 105.3 | 2,658 | 113 | 4.19 | 100 | 15.3 | |||||||||||||||||
4.0% | 131,275 | 103.5 | 105.4 | 138,325 | 112 | 4.40 | 82 | 12.6 | |||||||||||||||||
4.5% | 15,072 | 105.3 | 105.4 | 15,891 | 117 | 4.89 | 52 | 9.1 | |||||||||||||||||
Total 15-Year Fixed Rate | $ | 161,700 | 103.8 | % | 105.3 | % | $ | 170,290 | 111 | 4.37 | % | 81 | % | 8.3 | % | ||||||||||
30-Year Fixed Rate: | |||||||||||||||||||||||||
4.5% | $ | 13,461 | 104.0 | % | 107.7 | % | $ | 14,499 | 21 | 4.86 | % | — | % | 25.1 | % | ||||||||||
Total 30-Year Fixed Rate | $ | 13,461 | 104.0 | % | 107.7 | % | $ | 14,499 | 21 | 4.86 | % | — | % | 25.1 | % | ||||||||||
Total Fixed Rate Portfolio | $ | 175,161 | 103.9 | % | 105.5 | % | $ | 184,789 | 104 | 4.41 | % | 75 | % | 13.6 | % | ||||||||||
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% | $ | 241,045 | 104.1 | % | 101.2 | % | $ | 243,946 | 85 | 3.06 | % | 100 | % | 9.3 | % | ||||||||||
3.0% | 147,665 | 105.9 | 102.6 | 151,470 | 89 | 3.49 | 100 | 10.0 | |||||||||||||||||
3.5% | 2,761 | 103.5 | 103.6 | 2,862 | 110 | 4.19 | 100 | 7.5 | |||||||||||||||||
4.0% | 145,910 | 103.5 | 104.3 | 152,234 | 109 | 4.40 | 81 | 13.0 | |||||||||||||||||
4.5% | 23,599 | 105.3 | 104.5 | 24,671 | 113 | 4.89 | 36 | 11.2 | |||||||||||||||||
Total 15-Year Fixed Rate | $ | 560,980 | 104.5 | % | 102.5 | % | $ | 575,183 | 94 | 3.60 | % | 92 | % | 10.6 | % | ||||||||||
30-Year Fixed Rate: | |||||||||||||||||||||||||
4.5% | $ | 264,760 | 104.2 | % | 105.9 | % | $ | 280,303 | 18 | 5.16 | % | — | % | 34.4 | % | ||||||||||
Total 30-Year Fixed Rate | $ | 264,760 | 104.2 | % | 105.9 | % | $ | 280,303 | 18 | 5.16 | % | — | % | 34.4 | % | ||||||||||
Total Fixed Rate Portfolio | $ | 825,740 | 104.4 | % | 103.6 | % | $ | 855,486 | 70 | 4.10 | % | 63 | % | 18.3 | % | ||||||||||
(1) | Does not include principal payments receivable of $516,000 and $614,000 at March 31, 2020 and December 31, 2019, respectively. |
(2) | Weighted average is based on MBS current face at March 31, 2020 and December 31, 2019, 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 | $ | 43,650 | 102.6 | % | 103.7 | % | $ | 45,277 | 4.13 | % | 168 | 5 | — | % | 8.0 | % | |||||||||||
Agency 5/1 | 70,169 | 102.7 | 102.8 | 72,142 | 4.10 | 140 | 3 | 41 | 11.0 | ||||||||||||||||||
Agency 7/1 | 74,565 | 103.6 | 102.8 | 76,645 | 3.89 | 105 | 9 | 55 | 12.7 | ||||||||||||||||||
Agency 10/1 | 126,967 | 104.2 | 102.5 | 130,133 | 3.12 | 101 | 23 | 61 | 11.6 | ||||||||||||||||||
Total Hybrids | $ | 315,351 | 103.5 | % | 102.8 | % | $ | 324,197 | 3.67 | % | 120 | 13 | 47 | % | 11.4 | % | |||||||||||
(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 | $ | 46,530 | 102.5 | % | 104.6 | % | $ | 48,686 | 4.28 | % | 165 | 6 | — | % | 16.6 | % | |||||||||||
Agency 5/1 | 318,843 | 103.3 | 104.2 | 332,234 | 4.35 | 131 | 5 | 15 | 20.1 | ||||||||||||||||||
Agency 7/1 | 232,565 | 103.5 | 103.9 | 241,552 | 4.29 | 111 | 6 | 20 | 18.6 | ||||||||||||||||||
Agency 10/1 | 135,030 | 104.2 | 102.5 | 138,364 | 3.17 | 98 | 25 | 60 | 14.2 | ||||||||||||||||||
Total Hybrids | $ | 732,968 | 103.5 | % | 103.8 | % | $ | 760,836 | 4.11 | % | 121 | 9 | 24 | % | 18.3 | % | |||||||||||
(1) | Does not include principal payments receivable of $516,000 and $614,000 at March 31, 2020 and December 31, 2019, respectively. |
(2) | Weighted average is based on MBS current face at March 31, 2020 and December 31, 2019, 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 March 31, 2020 and December 31, 2019, respectively. |
(In Thousands) | March 31, 2020 | December 31, 2019 | ||||||
Non-Agency MBS | ||||||||
Face/Par | $ | 1,455,848 | $ | 2,195,303 | ||||
Fair Value | 1,119,940 | 2,063,529 | ||||||
Amortized Cost | 975,408 | 1,668,088 | ||||||
Purchase Discount Designated as Credit Reserve | (389,472 | ) | (436,598 | ) | ||||
Purchase Discount Designated as Accretable | (90,968 | ) | (90,617 | ) | ||||
Purchase Premiums | — | — | ||||||
Three Months Ended March 31, 2020 | Three Months Ended March 31, 2019 | |||||||||||||||
(In Thousands) | Discount Designated as Credit Reserve | Accretable Discount (1) | Discount Designated as Credit Reserve | Accretable Discount (1) | ||||||||||||
Balance at beginning of period | $ | (436,598 | ) | $ | (90,617 | ) | $ | (516,116 | ) | $ | (155,025 | ) | ||||
Impact of RMBS Issuer Settlement (2) | — | — | — | (855 | ) | |||||||||||
Accretion of discount | — | 9,889 | — | 13,307 | ||||||||||||
Realized credit losses | 4,459 | — | 7,504 | — | ||||||||||||
Purchases | — | — | — | (118 | ) | |||||||||||
Sales/Redemptions | 49,491 | (5,551 | ) | 3,191 | 16,346 | |||||||||||
Net impairment losses recognized in earnings | (11,513 | ) | — | — | — | |||||||||||
Transfers/release of credit reserve | 4,689 | (4,689 | ) | 3,802 | (3,802 | ) | ||||||||||
Balance at end of period | $ | (389,472 | ) | $ | (90,968 | ) | $ | (501,619 | ) | $ | (130,147 | ) | ||||
(1) | Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security. |
(2) | Includes the impact of $855,000 of cash proceeds (a one-time payment) received by the Company during the three months ended March 31, 2019 in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by JP Morgan Chase & Co. and affiliated entities. |
Three Months Ended March 31, 2020 | Three Months Ended March 31, 2019 | |||||||||||
Legacy Non-Agency MBS | RPL/NPL MBS | Legacy Non-Agency MBS | RPL/NPL MBS | |||||||||
Non-Agency MBS | ||||||||||||
Coupon Yield (1) | 6.83 | % | 4.96 | % | 6.78 | % | 4.86 | % | ||||
Effective Yield Adjustment (2) | 3.72 | 0.25 | 3.67 | 0.04 | ||||||||
Net Yield | 10.55 | % | 5.21 | % | 10.45 | % | 4.90 | % | ||||
(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 | $ | — | — | % | $ | 5,449 | 1.63 | % | $ | 105,646 | 2.87 | % | $ | 332,921 | 2.77 | % | $ | 444,016 | $ | 448,258 | 2.78 | % | |||||||||||||||||
Freddie Mac | — | — | 5,903 | — | 54,725 | 2.34 | 38,994 | 3.90 | 99,622 | 101,277 | 2.95 | ||||||||||||||||||||||||||||
Ginnie Mae | — | — | — | — | 65 | 3.91 | 3,753 | 3.09 | 3,818 | 3,878 | 3.10 | ||||||||||||||||||||||||||||
Total Agency MBS | $ | — | — | % | $ | 11,352 | 2.00 | % | $ | 160,436 | 2.69 | % | $ | 375,668 | 2.89 | % | $ | 547,456 | $ | 553,413 | 2.81 | % | |||||||||||||||||
Non-Agency MBS | $ | — | — | % | $ | 50,116 | 4.81 | % | $ | 1,701 | 5.36 | % | $ | 923,591 | 11.09 | % | $ | 975,408 | $ | 1,119,940 | 10.76 | % | |||||||||||||||||
Total MBS | $ | — | — | % | $ | 61,468 | 4.29 | % | $ | 162,137 | 2.72 | % | $ | 1,299,259 | 8.72 | % | $ | 1,522,864 | $ | 1,673,353 | 7.90 | % | |||||||||||||||||
Three Months Ended March 31, | ||||||||||||||||||||||
2020 | 2019 | |||||||||||||||||||||
(Dollars in Thousands) | Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | ||||||||||||||||
Assets: | ||||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||
Residential whole loans, at carrying value (1) | $ | 6,584,538 | $ | 83,486 | 5.07 | % | $ | 3,369,301 | $ | 49,620 | 5.89 | % | ||||||||||
Agency MBS (2) | 1,527,036 | 8,861 | 2.32 | 2,667,573 | 18,441 | 2.77 | ||||||||||||||||
Legacy Non-Agency MBS (2) | 1,011,810 | 26,688 | 10.55 | 1,432,014 | 37,416 | 10.45 | ||||||||||||||||
RPL/NPL MBS (2) | 449,789 | 5,863 | 5.21 | 1,353,954 | 16,585 | 4.90 | ||||||||||||||||
Total MBS | 2,988,635 | 41,412 | 5.54 | 5,453,541 | 72,442 | 5.31 | ||||||||||||||||
CRT securities (2) | 300,069 | 2,962 | 3.95 | 441,528 | 6,200 | 5.62 | ||||||||||||||||
MSR-related assets (2) | 1,197,956 | 14,207 | 4.74 | 788,705 | 10,620 | 5.39 | ||||||||||||||||
Cash and cash equivalents (3) | 206,899 | 486 | 0.94 | 156,306 | 764 | 1.96 | ||||||||||||||||
Other interest-earning assets | 129,947 | 2,907 | 8.95 | 89,648 | 1,306 | 5.83 | ||||||||||||||||
Total interest-earning assets | 11,408,044 | 145,460 | 5.10 | 10,299,029 | 140,952 | 5.47 | ||||||||||||||||
Total non-interest-earning assets | 2,277,842 | 2,493,634 | ||||||||||||||||||||
Total assets | $ | 13,685,886 | $ | 12,792,663 | ||||||||||||||||||
Liabilities and stockholders’ equity: | ||||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||
Total repurchase agreements (4) | $ | 9,233,808 | $ | 72,698 | 3.11 | % | $ | 8,282,621 | $ | 70,809 | 3.42 | % | ||||||||||
Securitized debt | 558,007 | 5,161 | 3.66 | 675,678 | 6,206 | 3.67 | ||||||||||||||||
Convertible Senior Notes | 224,071 | 3,888 | 6.94 | — | — | — | ||||||||||||||||
Senior Notes | 96,866 | 2,012 | 8.31 | 96,819 | 2,011 | 8.31 | ||||||||||||||||
Total interest-bearing liabilities | 10,112,752 | 83,759 | 3.28 | 9,055,118 | 79,026 | 3.49 | ||||||||||||||||
Total non-interest-bearing liabilities | 152,941 | 320,586 | ||||||||||||||||||||
Total liabilities | 10,265,693 | 9,375,704 | ||||||||||||||||||||
Stockholders’ equity | 3,420,193 | 3,416,959 | ||||||||||||||||||||
Total liabilities and stockholders’ equity | $ | 13,685,886 | $ | 12,792,663 | ||||||||||||||||||
Net interest income/net interest rate spread (5) | $ | 61,701 | 1.82 | % | $ | 61,926 | 1.98 | % | ||||||||||||||
Net interest-earning assets/net interest margin (6) | $ | 1,295,292 | 2.20 | % | $ | 1,243,911 | 2.41 | % | ||||||||||||||
(1) | Excludes residential whole loans held at fair value that are reported as a component of total non-interest-earning assets. Includes Non-QM loans held-for-sale with a net carrying value of $895.3 million at March 31, 2020. |
(2) | 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. |
(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 March 31, 2020 | ||||||||||||
Compared to | ||||||||||||
Three Months Ended March 31, 2019 | ||||||||||||
Increase/(Decrease) due to | Total Net Change in Interest Income/Expense | |||||||||||
(In Thousands) | Volume | Rate | ||||||||||
Interest-earning assets: | ||||||||||||
Residential whole loans, at carrying value (1) | $ | 41,604 | $ | (7,738 | ) | $ | 33,866 | |||||
Agency MBS | (6,960 | ) | (2,620 | ) | (9,580 | ) | ||||||
Legacy Non-Agency MBS | (11,078 | ) | 350 | (10,728 | ) | |||||||
RPL/NPL MBS | (11,712 | ) | 990 | (10,722 | ) | |||||||
CRT securities | (1,680 | ) | (1,558 | ) | (3,238 | ) | ||||||
MSR-related assets | 4,976 | (1,389 | ) | 3,587 | ||||||||
Cash and cash equivalents | 198 | (476 | ) | (278 | ) | |||||||
Other interest-earning assets | 730 | 871 | 1,601 | |||||||||
Total net change in income from interest-earning assets | $ | 16,078 | $ | (11,570 | ) | $ | 4,508 | |||||
Interest-bearing liabilities: | ||||||||||||
Residential whole loan at carrying value repurchase agreements | $ | 23,874 | $ | (4,722 | ) | $ | 19,152 | |||||
Residential whole loan at fair value repurchase agreements | 905 | (1,286 | ) | (381 | ) | |||||||
Agency repurchase agreements | (6,096 | ) | (126 | ) | (6,222 | ) | ||||||
Legacy Non-Agency repurchase agreements | (2,242 | ) | (543 | ) | (2,785 | ) | ||||||
RPL/NPL MBS repurchase agreements | (4,958 | ) | (1,908 | ) | (6,866 | ) | ||||||
CRT securities repurchase agreements | (820 | ) | (721 | ) | (1,541 | ) | ||||||
MSR-related assets repurchase agreements | 2,494 | (1,818 | ) | 676 | ||||||||
Other repurchase agreements | (136 | ) | (8 | ) | (144 | ) | ||||||
Securitized debt | (1,021 | ) | (24 | ) | (1,045 | ) | ||||||
Convertible Senior Notes | 3,888 | — | 3,888 | |||||||||
Senior Notes | 1 | — | 1 | |||||||||
Total net change in expense from interest-bearing liabilities | $ | 15,889 | $ | (11,156 | ) | $ | 4,733 | |||||
Net change in net interest income | $ | 189 | $ | (414 | ) | $ | (225 | ) | ||||
(1) | Excludes residential whole loans held at fair value which are reported as a component of non-interest-earning assets. Includes Non-QM loans held-for-sale with a net carrying value of $895.3 million at March 31, 2020. |
Total Interest-Earning Assets and Interest- Bearing Liabilities | ||||||
Net Interest Spread (1) | Net Interest Margin (2) | |||||
Quarter Ended | ||||||
March 31, 2020 | 1.82 | % | 2.20 | % | ||
December 31, 2019 | 2.33 | 2.68 | ||||
September 30, 2019 | 1.82 | 2.19 | ||||
June 30, 2019 | 1.90 | 2.29 | ||||
March 31, 2019 | 1.98 | 2.41 | ||||
(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. |
Purchased Performing Loans | Purchased Credit Deteriorated Loans | Total Residential Whole Loans, at Carrying Value | |||||||||||||||||||||||||
Quarter Ended | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | ||||||||||||||||||
March 31, 2020 | 5.10 | % | 3.44 | % | 1.66 | % | 4.84 | % | 3.39 | % | 1.45 | % | 5.07 | % | 3.43 | % | 1.64 | % | |||||||||
December 31, 2019 | 5.24 | 3.61 | 1.63 | 5.79 | 3.51 | 2.28 | 5.31 | 3.59 | 1.72 | ||||||||||||||||||
September 30, 2019 | 5.55 | 3.92 | 1.63 | 5.76 | 3.79 | 1.97 | 5.58 | 3.90 | 1.68 | ||||||||||||||||||
June 30, 2019 | 5.71 | 4.22 | 1.49 | 5.75 | 3.98 | 1.77 | 5.72 | 4.17 | 1.55 | ||||||||||||||||||
March 31, 2019 | 5.93 | 4.27 | 1.66 | 5.77 | 4.06 | 1.71 | 5.89 | 4.21 | 1.68 | ||||||||||||||||||
(1) | Reflects annualized interest income on Residential whole loans, at carrying value divided by average amortized cost of Residential whole loans, at carrying value. Excludes servicing costs. |
(2) | Reflects annualized interest expense divided by average balance of repurchase agreements and securitized debt. Total Residential whole loans, at carrying value cost of funding includes 3, 5, 3, 5, and 6 basis points associated with Swaps to hedge interest rate sensitivity on these assets for the quarters ended March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019, respectively. |
(3) | Reflects the difference between the net yield on average Residential whole loans, at carrying value and average cost of funds on Residential whole loans, at carrying value. |
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) | ||||||||||||||||||||||||
March 31, 2020 | 2.32 | % | 2.51 | % | (0.19 | )% | 10.55 | % | 3.13 | % | 7.42 | % | 5.21 | % | 2.56 | % | 2.65 | % | 5.54 | % | 2.78 | % | 2.76 | % | ||||||||||||
December 31, 2019 | 2.38 | 2.33 | 0.05 | 14.76 | 3.18 | 11.58 | 5.17 | 2.78 | 2.39 | 6.76 | 2.70 | 4.06 | ||||||||||||||||||||||||
September 30, 2019 | 2.32 | 2.47 | (0.15 | ) | 10.32 | 3.24 | 7.08 | 5.18 | 3.18 | 2.00 | 5.28 | 2.86 | 2.42 | |||||||||||||||||||||||
June 30, 2019 | 2.50 | 2.56 | (0.06 | ) | 11.30 | 3.30 | 8.00 | 4.98 | 3.39 | 1.59 | 5.45 | 2.95 | 2.50 | |||||||||||||||||||||||
March 31, 2019 | 2.77 | 2.53 | 0.24 | 10.45 | 3.30 | 7.15 | 4.90 | 3.43 | 1.47 | 5.31 | 2.95 | 2.36 | ||||||||||||||||||||||||
(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 78, 36, 1, (9), and (13) basis points and Legacy Non-Agency MBS cost of funding includes 52, 24, 1, (14), and (20) basis points associated with Swaps to hedge interest rate sensitivity on these assets for the quarters ended March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019, 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) | ||||||||||||||||||
March 31, 2020 | 3.57 | % | 2.32 | % | 12.6 | % | 6.83 | % | 10.55 | % | 13.6 | % | 4.96 | % | 5.21 | % | 34.4 | % | |||||||||
December 31, 2019 | 3.63 | 2.38 | 18.1 | 6.88 | 14.76 | 16.4 | 5.07 | 5.17 | 18.8 | ||||||||||||||||||
September 30, 2019 | 3.73 | 2.32 | 18.6 | 6.92 | 10.32 | 14.9 | 5.18 | 5.18 | 18.2 | ||||||||||||||||||
June 30, 2019 | 3.76 | 2.50 | 18.3 | 6.91 | 11.30 | 15.7 | 4.98 | 4.98 | 16.1 | ||||||||||||||||||
March 31, 2019 | 3.69 | 2.77 | 13.6 | 6.78 | 10.45 | 12.7 | 4.86 | 4.90 | 11.6 | ||||||||||||||||||
(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 March 31, | ||||||||
(In Thousands) | 2020 | 2019 | ||||||
Impairment and other losses on securities available-for-sale and other assets | $ | (419,651 | ) | $ | — | |||
Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans | (238,380 | ) | 24,609 | |||||
Net unrealized (loss)/gain on residential mortgage securities measured at fair value through earnings | (77,961 | ) | 8,672 | |||||
Net (loss)/gain on residential whole loans measured at fair value through earnings | (52,760 | ) | 25,267 | |||||
Net loss on Swaps not designated as hedges for accounting purposes | (4,239 | ) | (8,944 | ) | ||||
Liquidations gains on Purchased Credit Deteriorated Loans and other loan related income | 1,429 | 2,807 | ||||||
Other | 799 | (1,242 | ) | |||||
Total Other (Loss)/Income, net | $ | (790,763 | ) | $ | 51,169 | |||
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) | Economic Book Value per Share of Common Stock (7) | ||||||||||||||
March 31, 2020 | (26.72 | )% | (106.31 | )% | 24.99 | % | 0.00 | 3.4 | $ | 4.34 | $ | 4.09 | |||||||||
December 31, 2019 | 2.92 | 11.90 | 25.48 | 0.95 | 3.0 | 7.04 | 7.44 | ||||||||||||||
September 30, 2019 | 2.79 | 11.24 | 25.80 | 1.00 | 2.8 | 7.09 | 7.41 | ||||||||||||||
June 30, 2019 | 2.74 | 10.91 | 26.13 | 1.00 | 2.8 | 7.11 | 7.40 | ||||||||||||||
March 31, 2019 | 2.66 | 10.40 | 26.71 | 1.05 | 2.7 | 7.11 | 7.32 | ||||||||||||||
(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, Convertible Senior Notes 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. |
(7) | “Economic book value” is a non-GAAP financial measure of our financial position. To calculate our Economic book value, our portfolios of Residential whole loans at carrying value are adjusted to their fair value, rather than the carrying value that is required to be reported under the GAAP accounting model applied to these loans. For additional information please refer to page 82 under the heading “Economic Book Value”. |
(In Thousands, Except Per Share Amounts) | March 31, 2020 | December 31, 2019 | September 30, 2019 | June 30, 2019 | March 31, 2019 | |||||||||||||||
GAAP Total Stockholders’ Equity | $ | 2,440.7 | $ | 3,384.0 | $ | 3,403.4 | $ | 3,403.4 | $ | 3,404.5 | ||||||||||
Preferred Stock, liquidation preference | (475.0 | ) | (200.0 | ) | (200.0 | ) | (200.0 | ) | (200.0 | ) | ||||||||||
GAAP Stockholders’ Equity for book value per common share | 1,965.7 | 3,184.0 | 3,203.4 | 3,203.4 | 3,204.5 | |||||||||||||||
Adjustments: | ||||||||||||||||||||
Fair value adjustment to Residential whole loans, at carrying value | (113.5 | ) | 182.4 | 145.8 | 131.2 | 92.1 | ||||||||||||||
Stockholders’ Equity including fair value adjustment to Residential whole loans, at carrying value (Economic book value) | $ | 1,852.2 | $ | 3,366.4 | $ | 3,349.2 | $ | 3,334.6 | $ | 3,296.7 | ||||||||||
GAAP book value per common share | $ | 4.34 | $ | 7.04 | $ | 7.09 | $ | 7.11 | $ | 7.11 | ||||||||||
Economic book value per common share | $ | 4.09 | $ | 7.44 | $ | 7.41 | $ | 7.40 | $ | 7.32 | ||||||||||
Number of shares of common stock outstanding | 453.1 | 452.4 | 451.7 | 450.6 | 450.5 | |||||||||||||||
At March 31, 2020 | Weighted Average Haircut | Low | High | ||||||
Repurchase agreement borrowings secured by: | |||||||||
Residential whole loans (1) | 19.17 | % | 8.00 | % | 50.00 | % | |||
Agency MBS | 4.99 | 4.00 | 6.00 | ||||||
Legacy Non-Agency MBS | 21.60 | 15.00 | 50.00 | ||||||
RPL/NPL MBS | 20.30 | 15.00 | 25.00 | ||||||
CRT securities | 20.89 | 12.50 | 35.00 | ||||||
MSR-related assets | 22.11 | 20.00 | 30.00 | ||||||
Other | 21.88 | 20.00 | 35.00 | ||||||
At December 31, 2019 | Weighted Average Haircut | Low | High | ||||||
Repurchase agreement borrowings secured by: | |||||||||
Residential whole loans (2) | 20.07 | % | 8.00 | % | 50.00 | % | |||
Agency MBS | 4.46 | 3.00 | 5.00 | ||||||
Legacy Non-Agency MBS | 20.27 | 15.00 | 35.00 | ||||||
RPL/NPL MBS | 21.52 | 15.00 | 30.00 | ||||||
CRT securities | 18.84 | 12.50 | 25.00 | ||||||
MSR-related assets | 21.18 | 20.00 | 30.00 | ||||||
Other | 22.01 | 20.00 | 35.00 | ||||||
(1) | At March 31, 2020, includes repurchase agreements with an aggregate balance of $146.3 million secured by RPL/NPL MBS obtained in connection with our loan securitization transactions that are eliminated in consolidation. Such repurchase agreements had a weighted average haircut of 29.7%, a minimum haircut of 15.0%, and a maximum haircut of 50.0%. |
(2) | At December 31, 2019, includes repurchase agreements with an aggregate balance of $146.3 million secured by RPL/NPL MBS obtained in connection with our loan securitization transactions that are eliminated in consolidation. Such repurchase agreements had a weighted average haircut of 29.7%, a minimum haircut of 15.0%, and a maximum haircut of 50.0%. |
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) | ||||||||||||||||||||||||
March 31, 2020 | $ | 9,233,808 | $ | 7,768,180 | $ | 9,486,555 | $ | 558,007 | $ | 533,733 | $ | 562,681 | ||||||||||||
December 31, 2019 | 8,781,646 | 9,139,821 | 9,139,821 | 590,813 | 570,952 | 594,458 | ||||||||||||||||||
September 30, 2019 | 8,654,350 | 8,571,422 | 8,833,159 | 617,689 | 605,712 | 621,071 | ||||||||||||||||||
June 30, 2019 | 8,621,895 | 8,630,642 | 8,639,311 | 645,972 | 627,487 | 649,405 | ||||||||||||||||||
March 31, 2019 | 7,672,309 | 7,879,087 | 7,879,087 | 699,207 | 684,420 | 702,377 | ||||||||||||||||||
(1) | The information presented in the table above excludes $230.0 million of Convertible Senior Notes issued in June 2019 and $100.0 million of Senior Notes issued in April 2012. The outstanding balance of both the Convertible Senior Notes and Senior Notes have been unchanged 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) | ||||||||||||||||||||
March 31, 2020 | $ | 30,187 | $ | 213,392 | $ | 243,579 | $ | 67,343 | $ | (176,236 | ) | |||||||||
December 31, 2019 | — | 26,972 | 26,972 | 18,311 | (8,661 | ) | ||||||||||||||
September 30, 2019 | 77,214 | 35,271 | 112,485 | 129,132 | 16,647 | |||||||||||||||
June 30, 2019 | 26,037 | 1,019 | 27,056 | 7,295 | (19,761 | ) | ||||||||||||||
March 31, 2019 | 49,139 | — | 49,139 | 65,461 | 16,322 | |||||||||||||||
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) | $ | 290,259 | 5 | 11.6 | % | $ | 645,380 | 4 | 13.5 | % | $ | 935,639 | 5 | 12.7 | % | |||||||||||||||
2-5 years | 76,273 | 33 | 11.8 | — | — | — | 76,273 | 33 | 11.8 | |||||||||||||||||||||
> 5 years | 1,576 | 87 | 0.2 | — | — | — | 1,576 | 87 | 0.2 | |||||||||||||||||||||
ARM-MBS Total | $ | 368,108 | 11 | 11.6 | % | $ | 645,380 | 4 | 13.5 | % | $ | 1,013,488 | 7 | 12.6 | % | |||||||||||||||
15-year fixed (6) | $ | 170,290 | 13.5 | % | $ | 418 | 12.6 | % | $ | 170,708 | 13.5 | % | ||||||||||||||||||
30-year fixed (6) | 14,499 | 20.6 | 378,228 | 13.9 | 392,727 | 14.0 | ||||||||||||||||||||||||
40-year fixed (6) | — | — | 34,254 | 12.4 | 34,254 | 12.4 | ||||||||||||||||||||||||
Fixed-Rate Total | $ | 184,789 | 13.6 | % | $ | 412,900 | 13.6 | % | $ | 597,689 | 13.6 | % | ||||||||||||||||||
MBS Total | $ | 552,897 | 12.6 | % | $ | 1,058,280 | 13.6 | % | $ | 1,611,177 | 13.1 | % | ||||||||||||||||||
(1) | Excludes $80.0 million of RPL/NPL MBS. Refer to table below for further information. |
(2) | Does not include principal payments receivable of $516,000. |
(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) | Amounts presented are based on origination data. Includes floating-rate MBS that may be collateralized by fixed-rate mortgages. In addition, underlying loans may have been modified to be fixed or step rate. |
(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 | $ | — | — | % | — | — | % | ||||||
Non-Performing loans | 79,464 | 4.82 | 27 | 34.4 | |||||||||
Total RPL/NPL MBS | $ | 79,464 | 4.82 | % | 27 | 34.4 | % | ||||||
(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 Securitized and Other Fixed Rate Debt | Estimated Value of Financial Instruments | Change in Estimated Value | Percentage Change in Net Interest Income | Percentage Change in Portfolio Value | ||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||
+100 Basis Point Increase | $ | 10,326,036 | $ | (41,223 | ) | $ | 10,284,813 | $ | (218,692 | ) | (19.12 | )% | (2.08 | )% | ||||||||
+ 50 Basis Point Increase | $ | 10,451,785 | $ | (48,805 | ) | $ | 10,402,980 | $ | (100,525 | ) | (10.28 | )% | (0.96 | )% | ||||||||
Actual at March 31, 2020 | $ | 10,559,892 | $ | (56,387 | ) | $ | 10,503,505 | $ | — | — | % | — | % | |||||||||
- 50 Basis Point Decrease | $ | 10,650,358 | $ | (63,969 | ) | $ | 10,586,389 | $ | 82,884 | 8.35 | % | 0.79 | % | |||||||||
-100 Basis Point Decrease | $ | 10,723,183 | $ | (71,551 | ) | $ | 10,651,632 | $ | 148,127 | 16.00 | % | 1.41 | % | |||||||||
(1) | Such assets include residential whole loans and REO, MBS and CRT securities, MSR-related assets, cash and cash equivalents and restricted cash. |
Purchased Performing Loans | Purchased Credit Deteriorated Loans | |||||||||||||||||||
Loans with an LTV: | Loans with an LTV: | |||||||||||||||||||
(Dollars in Thousands) | 80% or Below | Above 80% | 80% or Below | Above 80% | Total | |||||||||||||||
Amortized cost | $ | 4,845,142 | $ | 344,492 | $ | 434,506 | $ | 309,901 | $ | 5,934,041 | ||||||||||
Unpaid principal balance (UPB) | $ | 4,749,863 | $ | 336,094 | $ | 477,667 | $ | 380,455 | $ | 5,944,079 | ||||||||||
Weighted average coupon (1) | 6.1 | % | 6.3 | % | 4.5 | % | 4.4 | % | 5.9 | % | ||||||||||
Weighted average term to maturity (months) | 279 | 349 | 269 | 322 | 285 | |||||||||||||||
Weighted average LTV (2) | 63.7 | % | 86.9 | % | 57.4 | % | 108.9 | % | 67.3 | % | ||||||||||
Loans 90+ days delinquent (UPB) | $ | 115,212 | $ | 4,733 | $ | 44,426 | $ | 62,234 | $ | 226,605 | ||||||||||
(1) | Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. |
(2) | LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $259.4 million, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68%. 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. |
Property Location | Percent of Interest-Bearing Unpaid Principal Balance | ||
California | 36.2 | % | |
Florida | 12.6 | % | |
New York | 8.0 | % | |
New Jersey | 5.6 | % | |
Georgia | 3.2 | % | |
Month | Total Number of Shares Purchased | Weighted Average Price Paid Per Share (1) | Total Number of Shares Repurchased as Part of Publicly Announced Repurchase Program or Employee Plan | Maximum Number of Shares that May Yet be Purchased Under the Repurchase Program or Employee Plan | |||||||||
January 1-31, 2020: | |||||||||||||
Repurchase Program | (2) | — | $ | — | — | 6,616,355 | |||||||
Employee Transactions | (3) | 337,026 | 7.87 | N/A | N/A | ||||||||
February 1-29, 2020: | |||||||||||||
Repurchase Program | (2) | — | — | — | 6,616,355 | ||||||||
Employee Transactions | (3) | — | — | N/A | N/A | ||||||||
March 1-31, 2020: | |||||||||||||
Repurchase Program | (2) | — | — | — | 6,616,355 | ||||||||
Employee Transactions | (3) | — | $ | — | N/A | N/A | |||||||
Total Repurchase Program | (2) | — | $ | — | — | 6,616,355 | |||||||
Total Employee Transactions | (3) | 337,026 | $ | 7.87 | N/A | N/A | |||||||
(1) | Includes brokerage commissions. |
(2) | As of March 31, 2020, the Company had repurchased an aggregate of 3,383,645 shares under the Repurchase Program. |
(3) | The Company’s Equity Plan provides that the value of the shares delivered or withheld be based on the price of its common stock on the date the relevant transaction occurs. |
Date: June 22, 2020 | MFA FINANCIAL, INC. | |
(Registrant) | ||
By: | /s/ Stephen D. Yarad | |
Stephen D. Yarad | ||
Chief Financial Officer | ||
(Principal Financial Officer) | ||
Exhibit | Description | |
Articles Supplementary designating the Registrant’s 6.50% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, liquidation preference $25.00 per share (incorporated herein by reference to Exhibit 3.10 to the Company’s Registration Statement on Form 8-A, filed February 28, 2020 (Commission File No. 1-13991)). | ||
Specimen of certificate representing the 6.50% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (incorporated herein by reference to Exhibit 4.4 to the Company’s Registration Statement on Form 8-A, filed February 28, 2020 (Commission File No. 1-13991)). | ||
Forbearance Agreement, dated as of April 10, 2020, by and among the Company and the several Participating Counterparties thereto (incorporated herein by reference to Exhibit 10.1 to the Company’s Form 8-K, filed April 13, 2020 (Commission File No. 1-13991)). | ||
Second Forbearance Agreement, dated as of April 27, 2020, by and among the Company and the several Secondary Participating Counterparties thereto (incorporated herein by reference to Exhibit 10.1 to the Company’s Form 8-K, filed April 29, 2020 (Commission File No. 1-13991)). | ||
Agreement, entered into as of May 6, 2020, by and between the Company and Stephen D. Yarad (incorporated herein by reference to Exhibit 10.1 to the Company’s Form 8-K, filed May 8, 2020 (Commission File No. 1-13991)). | ||
Form of Indemnification Agreement (incorporated herein by reference to Exhibit 10.1 to the Company’s Form 8-K, filed May 19, 2020 (Commission File No. 1-13991)). | ||
Third Forbearance Agreement, dated as of June 1, 2020, by and among the Company and the several Secondary Participating Counterparties thereto (incorporated herein by reference to Exhibit 10.1 to the Company’s Form 8-K, filed June 3, 2020 (Commission File No. 1-13991)). | ||
Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||
Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||
Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||
Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||
101 | Interactive Data Files pursuant to Rule 405 of Regulation S-T formatted in iXBRL (Inline Extensible Business Reporting Language): (i) our Consolidated Balance Sheets as of March 31, 2020 (Unaudited) and December 31, 2019; (ii) our Consolidated Statements of Operations (Unaudited) for the three months ended March 31, 2020 and 2019; (iii) our Consolidated Statements of Comprehensive Income / (Loss) (Unaudited) for the three months ended March 31, 2020 and 2019; (iv) Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the three months ended March 31, 2020 and 2019; (v) our Consolidated Statements of Cash Flows (Unaudited) for the three months ended March 31, 2020 and 2019; and (vi) the notes to our Unaudited Consolidated Financial Statements. | |
104 | Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101). | |
Date: June 22, 2020 | |
By: | /s/ Craig L. Knutson |
Name: Craig L. Knutson | |
Title: President and Chief Executive Officer | |
Date: June 22, 2020 | |
By: | /s/ Stephen D. Yarad |
Name: Stephen D. Yarad | |
Title: Chief Financial Officer | |
By: | /s/ Craig L. Knutson | Date: June 22, 2020 | |
Name: Craig L. Knutson | |||
Title: President and Chief Executive Officer | |||
By: | /s/ Stephen D. Yarad | Date: June 22, 2020 | |
Name: Stephen D. Yarad | |||
Title: Chief Financial Officer | |||
Summary of Significant Accounting Policies (Depreciation) (Details) |
3 Months Ended |
|---|---|
Mar. 31, 2020 | |
| Furniture, fixtures, computers and related hardwares | Minimum | |
| Estimated useful life of long-lived assets | |
| Estimated useful life | 5 years |
| Furniture, fixtures, computers and related hardwares | Maximum | |
| Estimated useful life of long-lived assets | |
| Estimated useful life | 8 years |
| Building | |
| Estimated useful life of long-lived assets | |
| Estimated useful life | 27 years 6 months |
Stockholders' Equity (Tables) |
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| Stockholders' Equity Note [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Schedule of changes in balances of each component of the entity's AOCI | The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2020:
(1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2019:
(1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss).
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| Information about the significant amounts reclassified out of the entity's AOCI | The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three months ended March 31, 2020:
The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three months ended March 31, 2019:
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Use of Special Purpose Entities and Variable Interest Entities (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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| Summary of key details related to securitization transactions | The following table summarizes the key details of the Company’s loan securitization transactions as of March 31, 2020 and December 31, 2019:
(3) Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions.
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Offsetting Assets and Liabilities |
3 Months Ended |
|---|---|
Mar. 31, 2020 | |
| Offsetting [Abstract] | |
| Offsetting Assets and Liabilities | Offsetting Assets and Liabilities 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. In the Company’s consolidated balance sheets, all balances associated with repurchase agreements are presented on a gross basis. The fair value of financial instruments pledged against the Company’s repurchase agreements was $8.8 billion and $11.2 billion at March 31, 2020 and December 31, 2019, respectively. Since January 2017, variation margin payments on the Company’s cleared Swaps have been 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 related Swap contract. The effect of this change is to reduce what would have otherwise been reported as fair value of the Swap. As previously discussed, in response to the turmoil in the financial markets resulting from the COVID-19 pandemic experienced during the three months ended March 31, 2020, the Company unwound all of its Swaps late in the quarter. The fair value of financial instruments pledged against the Company’s Swaps at December 31, 2019 was $2.2 million. In addition, cash that has been pledged as collateral against repurchase agreements and Swaps is reported as Restricted cash on the Company’s consolidated balance sheets. (See Notes 2(f), 5(c) and 6). See Note 6 regarding the Company’s inability to meet its margin requirements at March 31, 2020.
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Residential Mortgage Securities and MSR-Related Assets |
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| Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Residential Mortgage Securities and MSR-Related Assets | Residential Mortgage Securities and MSR-Related Assets Agency and Non-Agency MBS 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 generally structured with a contractual coupon step-up feature where the coupon increases from 300 - 400 basis points at 36 - 48 months from issuance or sooner. The Company pledges a significant portion of its MBS as collateral against its borrowings under repurchase agreements 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 or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. The Company assesses the credit risk associated with its investments in CRT securities by assessing the current and expected future performance of the associated loan pool. The Company pledges a portion of its CRT securities as collateral against its borrowings under repurchase agreements. (See Note 7) The following tables present certain information about the Company’s residential mortgage securities at March 31, 2020 and December 31, 2019: March 31, 2020
December 31, 2019
Sales of Residential Mortgage Securities The following table presents information about the Company’s sales of its residential mortgage securities for the three months ended March 31, 2020 and 2019. The Company has no continuing involvement with any of the sold MBS.
Unrealized Losses on Residential Mortgage Securities The following table presents information about the Company’s residential mortgage securities that were in an unrealized loss position at March 31, 2020, with respect to which no allowance for credit losses has been recorded: Unrealized Loss Position For:
At March 31, 2020, as a result of the COVID-19 pandemic and its impact on the Company’s liquidity (see Note 6), the Company determined that it intended to sell, or was “more likely than not” going to be required to sell, the majority of its residential mortgage securities that were in an unrealized loss position, before recovery of their amortized cost basis. As a result, those securities were written down to fair value through earnings and a new amortized cost basis was established. The write-down recorded in earnings aggregated $63.5 million for the three months ended March 31, 2020 and was included in “Impairment and other losses on securities available-for-sale and other assets” on the Consolidated Statement of Operations. Subsequent to these write-downs, there were no gross unrealized losses on the Company’s Agency MBS at March 31, 2020. 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. Based on these analyses, the Company determined that at March 31, 2020 no allowance for credit losses was required on its Agency MBS. Gross unrealized losses on the Company’s Non-Agency MBS were $21.6 million at March 31, 2020. Based upon the most recent evaluation, the Company does not consider these unrealized losses to require an allowance for credit losses and does not believe that these unrealized losses are credit related, but are rather a reflection of current market yields and/or marketplace bid-ask spreads. The Company has reviewed its Non-Agency MBS that are in an unrealized loss position to identify those securities that require an allowance for credit losses based on an assessment of changes in expected cash flows for such securities, which considers recent bond performance and, where possible, expected future performance of the underlying collateral. The Company did not recognize an allowance for credit losses (or other than temporary impairment in prior periods) through earnings related to its Non-Agency MBS during the three months ended March 31, 2020 and 2019. Non-Agency MBS on which credit losses were 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, 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 assessment date. The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential mortgage securities and MSR-related assets:
Purchase Discounts on Non-Agency MBS The following table presents the changes in the components of the Company’s purchase discount on its Non-Agency MBS between purchase discount designated as Credit Reserve and accretable purchase discount for the three months ended March 31, 2020 and 2019:
MSR-Related Assets (a) Term Notes Backed by MSR-Related Collateral At March 31, 2020 and December 31, 2019, the Company had $706.6 million and $1.2 billion, respectively, of term notes issued by SPVs that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. Payment of principal and interest on these term notes is considered to be largely dependent on cash flows generated by the underlying MSRs, as this impacts the cash flows available to the SPV that issued the term notes. At March 31, 2020, these term notes had an amortized cost and fair value of $706.6 million, a weighted average yield of 4.74% and a weighted average term to maturity of 5.1 years. During three months ended March 31, 2020, the Company sold certain term notes for $136.8 million, realizing losses of $24.6 million. During the three months ended March 31, 2020, the Company recognized an impairment loss related to its term notes of $280.8 million based on its intent to sell, or the likelihood it will be required to sell, such notes. At December 31, 2019, the term notes had an amortized cost of $1.2 billion, gross unrealized gains of $5.2 million, a weighted average yield of 4.75% and a weighted average term to maturity of 5.3 years. (b) Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are secured by MSRs, as well as certain other unencumbered assets owned by the borrower. During the year ended December 31, 2018, the Company participated in a loan where the Company committed to lend $100.0 million of which approximately $33.8 million was drawn at March 31, 2020. At March 31, 2020, the coupon paid by the borrower on the drawn amount is 3.93%, the remaining term associated with the loan is 5 months and the remaining commitment period on any undrawn amount is 5 months. During the remaining commitment period, the Company receives a commitment fee between 0.25% and 1.0% based on the undrawn amount of the loan. Impact of AFS Securities on AOCI The following table presents the impact of the Company’s AFS securities on its AOCI for the three months ended March 31, 2020 and 2019:
Interest Income on Residential Mortgage Securities and MSR-Related Assets The following table presents the components of interest income on the Company’s residential mortgage securities and MSR- related assets for the three months ended March 31, 2020 and 2019:
(1) Includes amortization of premium paid net of accretion of purchase discount. For Agency MBS, RPL/NPL MBS and the corporate loan secured by MSRs, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity. (2) The effective yield adjustment is the difference between the net income calculated using the net yield, 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 purchased at a discount of approximately $277,000 and $148,000 during the three months ended March 31, 2020 and 2019, respectively.
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Other Liabilities (Convertible Senior Notes) (Details) |
Jun. 03, 2019
USD ($)
$ / shares
|
|---|---|
| Convertible Debt | |
| Debt Instrument [Line Items] | |
| Proceeds from issuance of Series C Preferred Stock | $ 230,000,000.0 |
| Proceed from debt net of offering expenses and underwriting discount | $ 223,300,000 |
| Stated interest rate | 6.25% |
| Conversion ratio | 125.7387 |
| Debt instrument, face amount | $ 1,000 |
| Conversion price | $ / shares | $ 7.95 |
| Effective interest rate | 6.94% |
| Additional Convertible Senior Notes | |
| Debt Instrument [Line Items] | |
| Proceeds from issuance of Series C Preferred Stock | $ 30,000,000.0 |
Residential Mortgage Securities and MSR-Related Assets (Credit Losses Rollforward) (Details) - Mortgage-backed Securities, Issued by US Government Sponsored Enterprises - USD ($) |
3 Months Ended | |
|---|---|---|
Mar. 31, 2020 |
Mar. 31, 2019 |
|
| Debt Securities, Available-for-sale, Allowance for Credit Loss [Line Items] | ||
| Allowance for credit losses at beginning of period | $ 0 | $ 0 |
| Securities with no prior loss allowance | 332,756,000 | 0 |
| Securities with a prior loss allowance | 0 | 0 |
| Write-offs, including allowance related to securities we intend to sell | (332,756,000) | 0 |
| Allowance for credit losses at end of period | $ 0 | $ 0 |
Use of Special Purpose Entities and Variable Interest Entities (Narrative) (Details) - USD ($) $ in Thousands |
Mar. 31, 2020 |
Dec. 31, 2019 |
||||
|---|---|---|---|---|---|---|
| Variable Interest Entity [Line Items] | ||||||
| Residential whole loans, carrying value | [1],[2] | $ 5,934,042 | $ 6,069,370 | |||
| Residential whole loans, at fair value | [2] | 1,243,792 | 1,381,583 | |||
| Securitized debt | 533,733 | 570,952 | ||||
| Residential whole loans, net | 5,716,031 | 6,066,345 | ||||
| Total residential whole loans | 7,000,000 | 7,400,000 | ||||
| Asset-backed Securities, Securitized Loans and Receivables | ||||||
| Variable Interest Entity [Line Items] | ||||||
| Residential whole loans, carrying value | 185,900 | 186,400 | ||||
| Residential whole loans, at fair value | 516,400 | 567,400 | ||||
| Securitized debt | 533,733 | 570,952 | ||||
| Asset-backed Securities, Securitized Loans and Receivables | Other Assets | ||||||
| Variable Interest Entity [Line Items] | ||||||
| Real estate owned at fair value | $ 129,100 | $ 137,800 | ||||
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Other Assets (Derivative Instruments Narrative) (Details ) $ in Millions |
3 Months Ended |
|---|---|
|
Mar. 31, 2020
USD ($)
| |
| Derivative [Line Items] | |
| Derivative, terminated amount | $ 4,100.0 |
| Cash flow hedges that are expected to be reclassified into earnings within the next 12 months | $ 44.5 |
| Swap | |
| Derivative [Line Items] | |
| Derivative, term | 20 months |
| Swap | Hedging | |
| Derivative [Line Items] | |
| Loss on derivative | $ (71.2) |
Other Assets (Details) - USD ($) $ in Thousands |
Mar. 31, 2020 |
Dec. 31, 2019 |
Mar. 31, 2019 |
Dec. 31, 2018 |
|---|---|---|---|---|
| Other Assets [Abstract] | ||||
| REO | $ 411,473 | $ 411,659 | $ 290,587 | $ 249,413 |
| Receivable for unsettled MBS sales | 392,597 | 0 | ||
| Capital contributions made to loan origination partners | 113,923 | 147,992 | ||
| Other interest-earning assets | 73,443 | 70,468 | ||
| Interest receivable | 65,977 | 70,986 | ||
| Other MBS and loan related receivables | 55,789 | 43,842 | ||
| Other | 58,437 | 39,304 | ||
| Total Other Assets | 1,171,639 | 784,251 | ||
| Real estate held-for-investment | $ 39,500 | $ 27,300 |
Summary of Significant Accounting Policies (Repurchase Agreements) (Details) |
3 Months Ended |
|---|---|
Mar. 31, 2020 | |
| Accounting Policies [Abstract] | |
| Repurchase financing period, low end of range | 1 month |
| Repurchase financing period, high end of range | 6 months |
| Repurchase financings collateralized by residential whole loans, low end | 3 months |
| Repurchase financings collateralized by residential whole loans, high end | 12 months |
Residential Whole Loans (Narrative) (Details) - USD ($) $ in Thousands |
3 Months Ended | |
|---|---|---|
Mar. 31, 2020 |
Dec. 31, 2019 |
|
| Receivables [Abstract] | ||
| Total residential whole loans | $ 7,000,000 | $ 7,400,000 |
| Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
| Valuation adjustment on loans held for sale | 70,181 | |
| Non-QM Loans | ||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
| Financing receivable, sale | 659,900 | |
| Gain on sale of financing receivable | 145,800 | |
| Valuation adjustment on loans held for sale | 70,181 | |
| Purchased Performing Loans | ||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
| Financing receivable, nonaccrual | 134,400 | $ 99,900 |
| Purchased Credit Deteriorated Loans | ||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
| Valuation adjustment on loans held for sale | 0 | |
| Financing receivable, nonaccrual | $ 99,000 |
Subsequent Events |
3 Months Ended | ||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2020 | |||||||||||||||||||||||||||||||||
| Subsequent Events [Abstract] | |||||||||||||||||||||||||||||||||
| Subsequent Events | Subsequent Events Forbearance Agreements On March 24, 2020, the Company announced that due to turmoil in the financial markets resulting from the spread of the novel coronavirus and the global COVID-19 pandemic, the Company and its subsidiaries had received an unusually high number of margin calls starting approximately in mid-March. The Company’s announcement indicated that on March 23, 2020, the Company did not meet its margin calls and had notified its financing counterparties that it did not expect to be in a position to fund the anticipated volume of margin calls under its financing arrangements in the near term. In its announcement the Company also indicated that it was engaged in discussions with its financing counterparties with regard to entering into forbearance agreements pursuant to which each counterparty would agree to forbear from exercising its rights and remedies with respect to an event of default under its applicable financing arrangement(s) with the Company for an agreed upon period, including refraining from selling collateral to enforce margin calls. At the time of this announcement the Company’s obligations under its repurchase agreement financing arrangements were approximately $9.5 billion. On April 10, 2020, the Company announced that it had entered into a Forbearance Agreement (“Initial FBA”) with repurchase agreement counterparties holding a significant majority of its outstanding repurchase obligations. At the date of that announcement, the Company’s obligations under its repurchase agreement financing arrangements had decreased to approximately $5.8 billion. Significant details regarding the Initial FBA were as follows:
Extended Forbearance Agreement (“Second FBA”) On April 27, 2020, the Company entered into a Second FBA with certain counterparties holding a significant majority of its outstanding repurchase obligations. Similar to the Initial FBA, the counterparties that were party to the Second FBA agreed to forbear from exercising any rights or remedies under their respective repurchase agreements with the Company, including refraining from selling collateral to enforce margin calls, through June 1, 2020 (unless terminated sooner upon the occurrence of certain events). The Second FBA essentially extended the forbearance period agreed to under the Initial FBA. Significant details regarding the Second FBA are as follows:
Additional Extended Forbearance Agreement (“Third FBA”) On June 1, 2020, the Company entered into the Third FBA with counterparties to its repurchase agreement financings, further extending the period of forbearance. Under the Third FBA, the Company’s repurchase agreement counterparties continued to forbear from exercising any rights or remedies under their respective repurchase agreements with the Company, including refraining from selling collateral to enforce margin calls, through June 26, 2020 (unless terminated sooner upon the occurrence of certain events). All of the Company’s remaining repurchase agreement counterparties agreed to participate in the Third FBA. Agreement to enter into a senior secured term loan and commitment to enter into an asset level debt facility On June 15, 2020, the Company and certain of its wholly owned subsidiaries entered into a credit agreement for a $500 million senior secured term loan facility (the “Term Loan Facility”) to be funded by certain funds and accounts managed by subsidiaries of Apollo Global Management, Inc. (together with such funds and accounts, “Apollo”), including subsidiaries of Athene Holding Ltd. (“Athene”), to which Apollo provides asset management and advisory services. The loans under the Term Loan Facility are expected to be funded on or about June 26, 2020 (the “Funding Date”). The term loans will be issued with original issue discount of 1%. Interest on the outstanding principal amount of the term loans will accrue at a rate of 11% per annum until the third anniversary of the Funding Date. Prior to the third anniversary of the Funding Date, a portion of such interest, in an amount equal to up to 3% per annum, may be capitalized, compounded and added to the unpaid principal amount of the term loans. The interest rate on the term loans will increase by 1% per annum on the third anniversary of the Funding Date and by an additional 1% per annum on each subsequent anniversary of the Funding Date. Upon the occurrence and during the continuance of an event of default under the Term Loan Facility, the principal amount of all loans outstanding and, to the extent permitted by applicable law, any interest payments on such term loans or any fees or other amounts owing under the Term Loan Facility that, in either case, are then overdue, would thereafter bear interest at a rate that is 2% per annum in excess of the interest rate otherwise payable on the term loans. Under the Term Loan Facility, the Company will be permitted to voluntarily prepay the term loans without premium or penalty at any time; provided, however, that the Company may prepay the term loans in part on only one occasion prior to the maturity date of the Term Loan Facility and in an amount of not less than $250 million. Installment payments of principal equal to 3.75% of the initial principal amount for the first three years of the Term Loan Facility and 4.50% of the initial principal amount thereafter, together with accrued and unpaid interest on such principal amount, will be required to be made on the last business day of each March, June, September and December beginning on September 30, 2020. Mandatory prepayments of the term loans will be required to be made from net cash proceeds received in connection with certain events, that are set out in the credit agreement. Upon the event of a change in control as defined in the credit agreement, the Company is also required to make an offer to repay the loan at par, plus unpaid accrued interest, plus a specified redemption premium. In addition, the Company will be required to comply with certain affirmative and negative covenants as specified in the credit agreement that, among other things, impose certain limitations on the Company to incur liens or indebtedness, to make certain non-permitted investments or enter into new businesses, to modify or waive terms on certain of the Company’s existing debt or to prepay such debt, or to pay dividends in certain circumstances. The Company must also maintain a minimum level of liquidity as defined in the agreement. In connection with, and conditioned on, the funding of the Term Loan Facility, the Company also executed on June 15, 2020, a letter with Barclays and affiliates of Athene (the “Asset Level Lenders”), pursuant to which the Asset Level Lenders have committed, subject to satisfaction of customary conditions precedent, to a non-mark-to-market term loan facility with one or more subsidiaries of the Company to provide, severally and not jointly, financing in an aggregate amount of up to $1,650,000,000 (the “Asset Level Debt Facility”). The Company’s borrowing subsidiaries will pledge, as collateral security for the Asset Level Debt Facility, certain of their residential whole loans, as well as the equity in subsidiaries that own the loans. The Asset Level Debt Facility is also expected to close on or about June 26, 2020. In connection with these transactions, the Company also entered into an Investment Agreement with Apollo and Athene (together the “Purchasers”), under which. the Company agreed to issue to the Purchasers warrants (the “Warrants”) to purchase, in the aggregate, 37,039,106 shares (subject to adjustment in accordance with their terms) of the Company’s common stock. In addition, the Purchasers or one or more of their affiliates have agreed to purchase, prior to the first anniversary date of the Investment Agreement, in one or a series of open market or privately negotiated transactions, a number of shares of the Company’s common stock equal to the lesser of (a) such number of shares representing 4.9% of the outstanding shares of common stock as of the Funding Date or (b) such number of shares as the Purchasers may purchase for an aggregate gross purchase price of $50 million. The issuance of the Warrants is subject to satisfaction of certain terms and conditions set forth in the Investment Agreement, but is expected to occur on the Funding Date. The completion of the transactions contemplated by the Term Loan Facility, the Asset Level Debt Facility and the Investment Agreement are subject to and conditioned on, among other things, the completion of definitive documentation relating to the Asset Level Debt Facility, completion of documentation relating to the Company’s exit from the Third FBA and other customary closing conditions. Portfolio sales and composition changes and impact on Company liquidity Since the end of the first quarter through May 31, 2020, the Company has taken further steps to reduce the leverage on its portfolio, generate liquidity and reduce repurchase agreement balances with its counterparties. Actions taken by the Company include the sale of residential mortgage assets, generating proceeds of approximately $3.2 billion, which along with portfolio run-off and other payments to counterparties has resulted in an overall reduction in repurchase agreement balances of approximately $3.9 billion. Details of sales that have occurred in the second quarter through May 31, 2020 include:
The Company has now sold substantially all of its Agency MBS and Legacy Non-Agency MBS portfolios and greatly reduced its holdings of MSR-related assets and CRT securities. As of May 31, 2020, the Company’s $6.6 billion residential mortgage asset portfolio was comprised of $6.2 billion of residential whole loans and REO, approximately $235.4 million of MSR-related assets and $136.4 million of residential mortgage securities. These investments are financed with approximately $3.8 billion of repurchase agreements. Total debt was approximately 1.9 times stockholders’ equity at May 31, 2020. As of June 19, 2020, the Company had total cash balances of $343.6 million, including cash on deposit with repurchase agreement counterparties totaling $103.5 million. Since entering into forbearance agreements with its lenders in April, unpaid margins calls have been substantially reduced and were $29.1 million as of June 19, 2020.
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Organization |
3 Months Ended |
|---|---|
Mar. 31, 2020 | |
| Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
| Organization | Organization MFA Financial, Inc. (the “Company”) was incorporated in Maryland on July 24, 1997 and began operations on April 10, 1998. The Company has elected to be treated as a real estate investment trust (“REIT”) for U.S. federal income tax purposes. In order to maintain its qualification as a REIT, the Company must comply with a number of requirements under federal tax law, including that it must distribute at least 90% of its annual REIT taxable income to its stockholders. The Company has elected to treat certain of its subsidiaries as taxable REIT subsidiaries (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business. (See Note 2(n))
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EPS Calculation |
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| Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| EPS Calculation | EPS Calculation The following table presents a reconciliation of the (loss)/earnings and shares used in calculating basic and diluted (loss)/earnings per share for the three months ended March 31, 2020 and 2019:
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Cover page - shares |
3 Months Ended | |
|---|---|---|
Mar. 31, 2020 |
Jun. 10, 2020 |
|
| Entity Information [Line Items] | ||
| Document Type | 10-Q | |
| Document Quarterly Report | true | |
| Document Transition Report | false | |
| Document Period End Date | Mar. 31, 2020 | |
| Entity File Number | 1-13991 | |
| Entity Registrant Name | MFA FINANCIAL, INC. | |
| Entity Central Index Key | 0001055160 | |
| Current Fiscal Year End Date | --12-31 | |
| Document Fiscal Year Focus | 2020 | |
| Document Fiscal Period Focus | Q1 | |
| Amendment Flag | false | |
| Entity Incorporation, State or Country Code | MD | |
| Entity Tax Identification Number | 13-3974868 | |
| Entity Address, Address Line One | 350 Park Avenue, 20th Floor | |
| Entity Address, City or Town | New York | |
| Entity Address, State or Province | NY | |
| Entity Address, Postal Zip Code | 10022 | |
| City Area Code | 212 | |
| Local Phone Number | 207-6400 | |
| Entity Current Reporting Status | Yes | |
| Entity Interactive Data Current | Yes | |
| Entity Filer Category | Large Accelerated Filer | |
| Entity Small Business | false | |
| Entity Emerging Growth Company | false | |
| Entity Shell Company | false | |
| Entity Common Stock, Shares Outstanding | 453,242,244 | |
| Common Stock, par value $0.01 per share | ||
| Entity Information [Line Items] | ||
| Title of 12(b) Security | Common Stock, par value $0.01 per share | |
| Trading Symbol | MFA | |
| Security Exchange Name | NYSE | |
| 7.50% Series B Cumulative Redeemable Preferred Stock, par value $0.01 per share | ||
| Entity Information [Line Items] | ||
| Title of 12(b) Security | 7.50% Series B Cumulative RedeemablePreferred Stock, par value $0.01 per share | |
| Trading Symbol | MFA/PB | |
| Security Exchange Name | NYSE | |
| 6.50% Series C Cumulative Redeemable Preferred Stock [Member] | ||
| Entity Information [Line Items] | ||
| Title of 12(b) Security | 6.50% Series C Cumulative RedeemablePreferred Stock, par value $0.01 per share | |
| Trading Symbol | MFA/PC | |
| Security Exchange Name | NYSE | |
| 8.00% Senior Notes due 2042 | ||
| Entity Information [Line Items] | ||
| Title of 12(b) Security | 8.00% Senior Notes due 2042 | |
| Trading Symbol | MFO | |
| Security Exchange Name | NYSE |
Other Assets (Tables) |
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| Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Schedule of other assets | The following table presents the components of the Company’s Other assets at March 31, 2020 and December 31, 2019:
(1) Includes $39.5 million and $27.3 million of REO that is held-for-investment at March 31, 2020 and December 31, 2019, respectively.
|
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| Schedule of activity for real estate owned | The following table presents the activity in the Company’s REO for the three months ended March 31, 2020 and 2019:
(2) During the three months ended March 31, 2020 and 2019, the Company sold 249 and 137 REO properties for consideration of $54.8 million and $27.8 million, realizing net gains of approximately $3.1 million and $1.4 million, respectively. These amounts are included in Other Income, net on the Company’s consolidated statements of operations.
|
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| Schedule of derivative instruments and balance sheet location | The following table presents the fair value of the Company’s derivative instruments at March 31, 2020 and December 31, 2019:
(1) Represents Swaps executed bilaterally with a counterparty in the over-the-counter market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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 March 31, 2020 and December 31, 2019:
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Schedule of information about swaps | The following table presents information about the Company’s Swaps at March 31, 2020 and December 31, 2019:
(1) Each maturity category reflects contractual amortization and/or maturity of notional amounts. (2) Reflects the benchmark variable rate due from the counterparty at the date presented, which rate adjusts monthly or quarterly based on one-month or three-month LIBOR, respectively.
|
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| Schedule of interest expense and the weighted average interest rate paid and received on swaps | The following table presents the net impact of the Company’s derivative hedging instruments on its net interest expense and the weighted average interest rate paid and received for such Swaps for the three months ended March 31, 2020 and 2019:
|
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| Schedule of impact of hedging instruments on AOCI | The following table presents the impact of the Company’s derivative hedging instruments on its AOCI for the three months ended March 31, 2020 and 2019:
|
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CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) - USD ($) $ in Thousands |
3 Months Ended | |
|---|---|---|
Mar. 31, 2020 |
Mar. 31, 2019 |
|
| Statement of Comprehensive Income [Abstract] | ||
| Net (loss)/income | $ (908,995) | $ 88,857 |
| Other Comprehensive Income/(Loss): | ||
| Unrealized gains on securities available-for-sale | 124,410 | 22,103 |
| Reclassification adjustment for MBS sales included in net income | (23,953) | (17,009) |
| Reclassification adjustment for impairments included in net income | (344,269) | 0 |
| Derivative hedging instrument fair value changes, net | (50,127) | (10,445) |
| Amortization of de-designated hedging instruments, net | 1,594 | (341) |
| Other Comprehensive Income/(Loss) | (292,345) | (5,692) |
| Comprehensive income before preferred stock dividends | (1,201,340) | 83,165 |
| Dividends required on preferred stock | (5,215) | (3,750) |
| Comprehensive Income Available to Common Stock and Participating Securities | $ (1,206,555) | $ 79,415 |
Subsequent Events (Details) - USD ($) |
2 Months Ended | 3 Months Ended | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 15, 2020 |
Apr. 27, 2020 |
May 31, 2020 |
Mar. 31, 2020 |
Mar. 31, 2019 |
Jun. 26, 2020 |
Jun. 19, 2020 |
Apr. 24, 2020 |
Apr. 10, 2020 |
Mar. 24, 2020 |
Dec. 31, 2019 |
|||||
| Subsequent Event [Line Items] | |||||||||||||||
| Proceeds from sale of debt securities available-for-sale | $ 1,009,316,000 | $ 208,306,000 | |||||||||||||
| Residential whole loans, carrying value | [1],[2] | 5,934,042,000 | $ 6,069,370,000 | ||||||||||||
| MSR-related assets | 738,054,000 | 1,217,002,000 | |||||||||||||
| Available-for-sale securities | 1,927,454,000 | 3,983,519,000 | |||||||||||||
| Repurchase agreements | 7,768,180,000 | 9,139,821,000 | |||||||||||||
| Cash and cash equivalents | 116,465,000 | 70,629,000 | |||||||||||||
| Cash on deposit with repurchase agreement counterparties | 216,902,000 | 64,035,000 | |||||||||||||
| Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Secured debt | $ 29,100,000 | ||||||||||||||
| Proceeds from sale of residential mortgage assets | $ 3,200,000,000 | ||||||||||||||
| Secured debt decrease | 3,900,000,000 | ||||||||||||||
| Proceeds from sale of debt securities available-for-sale | 2,400,000,000 | ||||||||||||||
| Proceeds from sale of term notes back by MSR-related collateral | 574,900,000 | ||||||||||||||
| Proceeds from sale of other interest earning assets | 15,600,000 | ||||||||||||||
| Available-for-salesecurities, realized gains | 177,500,000 | ||||||||||||||
| Unrealized gain on securities | 57,000,000.0 | ||||||||||||||
| Proceeds from sale of residential whole loans | 845,200,000 | ||||||||||||||
| Available-for-sale securities, gross realized losses | 128,400,000 | ||||||||||||||
| Realized loss, net of reversal | 58,200,000 | ||||||||||||||
| Residential whole loans, net | 6,600,000,000 | ||||||||||||||
| Residential whole loans, carrying value | 6,200,000,000 | ||||||||||||||
| MSR-related assets | 235,400,000 | ||||||||||||||
| Available-for-sale securities | 136,400,000 | ||||||||||||||
| Repurchase agreements | $ 3,800,000,000 | ||||||||||||||
| Debt to equity ratio | 190.00% | ||||||||||||||
| Cash and cash equivalents | 343,600,000 | ||||||||||||||
| Cash on deposit with repurchase agreement counterparties | $ 103,500,000 | ||||||||||||||
| Repurchase Agreement Financing Arrangements | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Secured debt | $ 9,500,000,000 | ||||||||||||||
| Initial FBA | Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Secured debt | $ 5,800,000,000 | ||||||||||||||
| Second FBA | Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Secured debt | $ 5,300,000,000 | ||||||||||||||
| Cash payment to counterparties | $ 150,000,000 | ||||||||||||||
| Investment Agreement | Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Warrant, number of securities callable by each warrant (in shares) | 37,039,106 | ||||||||||||||
| Participating Counterparties | Initial FBA | Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Secured debt | $ 4,800,000,000 | ||||||||||||||
| Secured debt as a percent | 83.00% | ||||||||||||||
| Collateralized financings | $ 1,300,000,000 | ||||||||||||||
| Participating Counterparties | Second FBA | Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Secured debt | $ 4,400,000,000 | ||||||||||||||
| Secured debt as a percent | 84.00% | ||||||||||||||
| Term Loan Facility | Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Maximum borrowing capacity | $ 500,000,000 | ||||||||||||||
| Original issue discount, term loan | 1.00% | ||||||||||||||
| Stated interest rate | 11.00% | ||||||||||||||
| Optional prepayment rate prior to 3rd anniversary | 3.00% | ||||||||||||||
| Interest rate increase on third anniversary | 1.00% | ||||||||||||||
| Additional interest rate increase on each subsequent anniversary of the Funding Date | 1.00% | ||||||||||||||
| Increase upon of default status | 2.00% | ||||||||||||||
| Optional Prepayment Amount | $ 250,000,000 | ||||||||||||||
| Asset Level Debt Facility | Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Maximum borrowing capacity | $ 1,650,000,000 | ||||||||||||||
| Amount of shares agreed to be purchased by counterparty | 4.90% | ||||||||||||||
| Aggregate gross purchase price per Agreement | $ 50,000,000 | ||||||||||||||
| Agency MBS | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Available-for-sale securities | 553,413,000 | 1,664,582,000 | |||||||||||||
| Repurchase agreements | 522,209,000 | 1,557,675,000 | |||||||||||||
| Agency MBS | Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Proceeds from sale of debt securities available-for-sale | $ 533,100,000 | ||||||||||||||
| Non-Agency MBS | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Available-for-sale securities | 1,119,940,000 | 2,063,529,000 | |||||||||||||
| Repurchase agreements | 1,003,122,000 | 1,121,802,000 | |||||||||||||
| Non-Agency MBS | Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Proceeds from sale of debt securities available-for-sale | 1,100,000,000 | ||||||||||||||
| CRT securities | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Available-for-sale securities | 254,101,000 | 255,408,000 | |||||||||||||
| Repurchase agreements | $ 297,628,000 | $ 203,569,000 | |||||||||||||
| CRT securities | Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Proceeds from sale of debt securities available-for-sale | $ 207,400,000 | ||||||||||||||
| First Three Years | Term Loan Facility | Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Stated interest rate | 3.75% | ||||||||||||||
| After Third Year | Term Loan Facility | Subsequent Event | |||||||||||||||
| Subsequent Event [Line Items] | |||||||||||||||
| Stated interest rate | 4.50% | ||||||||||||||
| |||||||||||||||
Other Assets (Derivative Instruments - Balance Sheet Location) (Details) - Swap - USD ($) $ in Thousands |
Mar. 31, 2020 |
Dec. 31, 2019 |
|---|---|---|
| Hedging | ||
| Derivative Instruments | ||
| Notional Amount | $ 0 | $ 2,942,000 |
| Fair Value | 0 | 0 |
| Non-Hedging | ||
| Derivative Instruments | ||
| Notional Amount | 0 | 230,000 |
| Fair Value | $ 0 | $ 0 |
Other Assets (Real Estate Owned) (Details) $ in Thousands |
Mar. 31, 2020
USD ($)
property
|
Dec. 31, 2019
USD ($)
property
|
Mar. 31, 2019
USD ($)
property
|
Dec. 31, 2018
USD ($)
|
|---|---|---|---|---|
| Real Estate Properties [Line Items] | ||||
| Number of real estate owned properties | property | 1,622 | 1,652 | 1,233 | |
| Real estate owned | $ 411,473 | $ 411,659 | $ 290,587 | $ 249,413 |
| Residential Whole Loans acquired through foreclosure ordered in lieu | 406,900 | |||
| Carrying Value | ||||
| Real Estate Properties [Line Items] | ||||
| Mortgage loans in process of foreclosure | 98,200 | |||
| Estimated Fair Value | ||||
| Real Estate Properties [Line Items] | ||||
| Mortgage loans in process of foreclosure | $ 514,400 |
Fair Value of Financial Instruments (Carrying Value vs Fair Value) (Details) - USD ($) $ in Thousands |
Mar. 31, 2020 |
Dec. 31, 2019 |
||||
|---|---|---|---|---|---|---|
| Financial Assets: | ||||||
| Residential whole loans, carrying value | [1],[2] | $ 5,934,042 | $ 6,069,370 | |||
| Residential whole loans, at fair value | [2] | 1,243,792 | 1,381,583 | |||
| Available-for-sale securities | 1,927,454 | 3,983,519 | ||||
| MSR-related assets | 738,054 | 1,217,002 | ||||
| Restricted cash | 216,902 | 64,035 | ||||
| Financial Liabilities (3): | ||||||
| Repurchase agreements | 7,768,180 | 9,139,821 | ||||
| Securitized debt | 533,733 | 570,952 | ||||
| Convertible Senior Notes | 224,264 | 223,971 | ||||
| Senior Notes | 96,874 | 96,862 | ||||
| Carrying Value | ||||||
| Financial Assets: | ||||||
| MSR-related assets | 738,054 | 1,217,002 | ||||
| Cash and cash equivalents | 116,465 | 70,629 | ||||
| Restricted cash | 216,902 | 64,035 | ||||
| Financial Liabilities (3): | ||||||
| Repurchase agreements | 7,768,180 | 9,139,821 | ||||
| Securitized debt | 533,733 | 570,952 | ||||
| Convertible Senior Notes | 224,264 | 223,971 | ||||
| Senior Notes | 96,874 | 96,862 | ||||
| Estimated Fair Value | ||||||
| Financial Assets: | ||||||
| MSR-related assets | 738,054 | 1,217,002 | ||||
| Cash and cash equivalents | 116,465 | 70,629 | ||||
| Restricted cash | 216,902 | 64,035 | ||||
| Financial Liabilities (3): | ||||||
| Repurchase agreements | 7,786,911 | 9,156,209 | ||||
| Securitized debt | 481,808 | 575,353 | ||||
| Convertible Senior Notes | 135,700 | 244,088 | ||||
| Senior Notes | 46,551 | 103,231 | ||||
| Agency MBS | ||||||
| Financial Assets: | ||||||
| Available-for-sale securities | 553,413 | 1,664,582 | ||||
| Financial Liabilities (3): | ||||||
| Repurchase agreements | 522,209 | 1,557,675 | ||||
| Agency MBS | Carrying Value | ||||||
| Financial Assets: | ||||||
| Available-for-sale securities | 553,413 | 1,664,582 | ||||
| Agency MBS | Estimated Fair Value | ||||||
| Financial Assets: | ||||||
| Available-for-sale securities | 553,413 | 1,664,582 | ||||
| Non-Agency MBS | ||||||
| Financial Assets: | ||||||
| Available-for-sale securities | 1,119,940 | 2,063,529 | ||||
| Financial Liabilities (3): | ||||||
| Repurchase agreements | 1,003,122 | 1,121,802 | ||||
| Non-Agency MBS | Carrying Value | ||||||
| Financial Assets: | ||||||
| Available-for-sale securities | 1,119,940 | 2,063,529 | ||||
| Non-Agency MBS | Estimated Fair Value | ||||||
| Financial Assets: | ||||||
| Available-for-sale securities | 1,119,940 | 2,063,529 | ||||
| CRT securities | ||||||
| Financial Assets: | ||||||
| Available-for-sale securities | 254,101 | 255,408 | ||||
| Financial Liabilities (3): | ||||||
| Repurchase agreements | 297,628 | 203,569 | ||||
| CRT securities | Carrying Value | ||||||
| Financial Assets: | ||||||
| Available-for-sale securities | 254,101 | 255,408 | ||||
| CRT securities | Estimated Fair Value | ||||||
| Financial Assets: | ||||||
| Available-for-sale securities | 254,101 | 255,408 | ||||
| Residential whole loans, at fair value | ||||||
| Financial Assets: | ||||||
| Residential whole loans, at fair value | 1,243,792 | 1,381,583 | ||||
| Financial Liabilities (3): | ||||||
| Repurchase agreements | 4,700,931 | 4,743,094 | ||||
| Residential whole loans, at fair value | Carrying Value | ||||||
| Financial Assets: | ||||||
| Residential whole loans, carrying value | 5,716,031 | 6,069,370 | ||||
| Residential whole loans, at fair value | 1,243,792 | 1,381,583 | ||||
| Residential whole loans, at fair value | Estimated Fair Value | ||||||
| Financial Assets: | ||||||
| Residential whole loans, carrying value | 5,602,536 | 6,248,745 | ||||
| Residential whole loans, at fair value | 1,243,792 | 1,381,583 | ||||
| Non-QM Loans | ||||||
| Financial Liabilities (3): | ||||||
| Loans net carrying amount | [1],[2] | 895,300 | ||||
| Level 3 | Agency MBS | ||||||
| Financial Assets: | ||||||
| Available-for-sale securities | 0 | 0 | ||||
| Level 3 | Non-Agency MBS | ||||||
| Financial Assets: | ||||||
| Available-for-sale securities | 0 | 0 | ||||
| Level 3 | CRT securities | ||||||
| Financial Assets: | ||||||
| Available-for-sale securities | 0 | 0 | ||||
| Level 3 | Residential whole loans, at fair value | ||||||
| Financial Assets: | ||||||
| Residential whole loans, at fair value | 1,243,792 | 1,381,583 | ||||
| Fair Value, Nonrecurring | Carrying Value | ||||||
| Financial Assets: | ||||||
| MSR-related assets | $ 31,400 | $ 59,500 | ||||
| ||||||
Summary of Significant Accounting Policies (Loan Securitization and Other Debt Issuance Costs ) (Details) |
Mar. 31, 2020 |
|---|---|
| Convertible Senior Note Due 2024 | |
| Debt Instrument [Line Items] | |
| Stated interest rate | 6.25% |
| Senior Note Due 2042 | |
| Debt Instrument [Line Items] | |
| Stated interest rate | 8.00% |
Summary of Significant Accounting Policies (Accounting Standards Adopted in 2020) (Details) $ in Thousands |
Jan. 01, 2020
USD ($)
|
|---|---|
| New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
| Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | $ (8,326) |
| Accounting Standards Update 2016-13 | |
| New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
| Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | $ 8,300 |
Residential Whole Loans (Residential Whole Loans, at Carrying Value - Additional Information) (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||
|---|---|---|---|---|---|---|---|
Mar. 31, 2020 |
Mar. 31, 2019 |
Dec. 31, 2019 |
|||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | $ 5,189,634 | $ 5,370,653 | |||||
| Purchased Credit Deteriorated Loans | 744,408 | 698,717 | |||||
| Residential whole loans, at carrying value, total or weighted average | $ 4,968,583 | ||||||
| Weighted Average LTV Ratio | 80.00% | ||||||
| Non-QM Loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | $ 3,538,725 | 3,707,245 | |||||
| Residential whole loans, at carrying value, total or weighted average | 2,573,266 | ||||||
| Loans net carrying amount | [1],[2] | 895,300 | |||||
| Rehabilitation loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | 978,965 | 1,026,097 | |||||
| Residential whole loans, at carrying value, total or weighted average | 978,965 | ||||||
| Single-family rental loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | 506,352 | 460,742 | |||||
| Residential whole loans, at carrying value, total or weighted average | 506,352 | ||||||
| Seasoned performing loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | 165,592 | 176,569 | |||||
| Residential whole loans, at carrying value, total or weighted average | $ 165,592 | ||||||
| 90 or more | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Weighted Average LTV Ratio | 88.12% | 89.69% | |||||
| Settled Whole Loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Residential whole loans, at carrying value, total or weighted average | $ 5,716,031 | 6,066,345 | |||||
| Amortized Cost Basis | 5,934,042 | 6,069,370 | |||||
| Unpaid Principal Balance (“UPB”) | $ 5,944,079 | $ 6,141,421 | |||||
| Weighted Average Coupon | 5.88% | 5.96% | |||||
| Weighted Average Term to Maturity (Months) | 285 months | 288 months | |||||
| Settled Whole Loans | Non-QM Loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | $ 3,434,894 | $ 3,706,857 | |||||
| Amortized Cost Basis | 3,538,725 | 3,707,245 | |||||
| Unpaid Principal Balance (“UPB”) | $ 3,424,646 | $ 3,592,701 | |||||
| Weighted Average Coupon | 5.84% | 5.96% | |||||
| Weighted Average Term to Maturity (Months) | 363 months | 368 months | |||||
| Weighted Average LTV Ratio | 66.00% | 67.00% | |||||
| Weighted Average FICO Scores | 717 | 716 | |||||
| Settled Whole Loans | Rehabilitation loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | $ 943,332 | $ 1,023,766 | |||||
| Amortized Cost Basis | 978,965 | 1,026,097 | |||||
| Unpaid Principal Balance (“UPB”) | $ 978,965 | $ 1,026,097 | |||||
| Weighted Average Coupon | 7.24% | 7.30% | |||||
| Weighted Average Term to Maturity (Months) | 7 months | 8 months | |||||
| Weighted Average LTV Ratio | 64.00% | 64.00% | |||||
| Weighted Average FICO Scores | 720 | 717 | |||||
| Settled Whole Loans | Single-family rental loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | $ 498,921 | $ 460,679 | |||||
| Amortized Cost Basis | 506,352 | 460,741 | |||||
| Unpaid Principal Balance (“UPB”) | $ 501,925 | $ 457,146 | |||||
| Weighted Average Coupon | 6.28% | 6.29% | |||||
| Weighted Average Term to Maturity (Months) | 322 months | 324 months | |||||
| Weighted Average LTV Ratio | 70.00% | 70.00% | |||||
| Weighted Average FICO Scores | 734 | 734 | |||||
| Settled Whole Loans | Seasoned performing loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | $ 165,343 | $ 176,569 | |||||
| Amortized Cost Basis | 165,592 | 176,569 | |||||
| Unpaid Principal Balance (“UPB”) | $ 180,421 | $ 192,151 | |||||
| Weighted Average Coupon | 4.11% | 4.24% | |||||
| Weighted Average Term to Maturity (Months) | 178 months | 181 months | |||||
| Weighted Average LTV Ratio | 42.00% | 46.00% | |||||
| Weighted Average FICO Scores | 723 | 723 | |||||
| Settled Whole Loans | Purchased credit impaired loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Credit Deteriorated Loans | $ 673,541 | $ 698,474 | |||||
| Amortized Cost Basis | 744,408 | 698,718 | |||||
| Unpaid Principal Balance (“UPB”) | $ 858,122 | $ 873,326 | |||||
| Weighted Average Coupon | 4.46% | 4.46% | |||||
| Weighted Average Term to Maturity (Months) | 292 months | 294 months | |||||
| Weighted Average LTV Ratio | 80.00% | 81.00% | |||||
| Settled Whole Loans | Certain Rehabilitation Loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | $ 259,400 | $ 269,200 | |||||
| Weighted Average LTV Ratio | 68.00% | 69.00% | |||||
| Settled Whole Loans | Current | Non-QM Loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | $ 3,450,648 | $ 3,492,533 | |||||
| Settled Whole Loans | Current | Rehabilitation loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 806,413 | 868,281 | |||||
| Settled Whole Loans | Current | Single-family rental loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 482,499 | 432,936 | |||||
| Settled Whole Loans | Current | Seasoned performing loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 160,944 | 187,683 | |||||
| Settled Whole Loans | 30-59 | Non-QM Loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 50,584 | 59,963 | |||||
| Settled Whole Loans | 30-59 | Rehabilitation loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 61,723 | 67,747 | |||||
| Settled Whole Loans | 30-59 | Single-family rental loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 17,536 | 15,948 | |||||
| Settled Whole Loans | 30-59 | Seasoned performing loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 1,670 | 2,164 | |||||
| Settled Whole Loans | 60-89 | Non-QM Loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 13,058 | 19,605 | |||||
| Settled Whole Loans | 60-89 | Rehabilitation loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 20,973 | 27,437 | |||||
| Settled Whole Loans | 60-89 | Single-family rental loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 2,009 | 2,047 | |||||
| Settled Whole Loans | 60-89 | Seasoned performing loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 1,099 | 430 | |||||
| Settled Whole Loans | 90 or more | Non-QM Loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 24,435 | 20,600 | |||||
| Settled Whole Loans | 90 or more | Rehabilitation loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 89,856 | 62,632 | |||||
| Settled Whole Loans | 90 or more | Single-family rental loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 4,308 | 6,215 | |||||
| Settled Whole Loans | 90 or more | Seasoned performing loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | 1,879 | 1,874 | |||||
| Settled Whole Loans | 90 or more | Purchased credit impaired loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Unpaid Principal Balance (“UPB”) | $ 87,179 | $ 108,998 | |||||
| |||||||
Repurchase Agreements (Tables) |
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Mar. 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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 March 31, 2020 and December 31, 2019:
(3) At March 31, 2020 and December 31, 2019, includes residential whole loans held at carrying value with an aggregate fair value of $4.8 billion and $5.0 billion and aggregate amortized cost of $5.1 billion and $4.8 billion, respectively and residential whole loans held at fair value with an aggregate fair value and amortized cost of $718.3 million and $794.7 million, respectively. (4) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. |
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| Schedule of repricing information about borrowings under repurchase agreements | The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at March 31, 2020 and December 31, 2019:
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| Schedule of information about counterparty for repurchase agreements for which the entity had greater than 5% of stockholders' equity at risk | The following table presents information with respect to each counterparty under repurchase agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at March 31, 2020:
(6) Includes $240.9 million at risk with Wells Fargo Bank, NA and approximately $6.0 million at risk with Wells Fargo Securities LLC
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CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands |
3 Months Ended | |
|---|---|---|
Mar. 31, 2020 |
Mar. 31, 2019 |
|
| Interest Income: | ||
| Residential whole loans held at carrying value | $ 83,486 | $ 49,620 |
| MSR-related assets | 14,207 | 10,620 |
| Cash and cash equivalent investments | 486 | 764 |
| Other interest-earning assets | 2,907 | 1,306 |
| Interest Income | 145,460 | 140,952 |
| Interest Expense: | ||
| Repurchase agreements | 72,698 | 70,809 |
| Other interest expense | 11,061 | 8,217 |
| Interest Expense | 83,759 | 79,026 |
| Net Interest Income | 61,701 | 61,926 |
| Provision for credit and valuation losses on residential whole loans and other financial instruments | (150,827) | (805) |
| Net Interest Income after Provision for Credit and Valuation Losses | (89,126) | 61,121 |
| Other Income, net: | ||
| Impairment and other losses on securities available-for-sale and other assets | (419,651) | 0 |
| Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans | (238,380) | 24,609 |
| Net unrealized (loss)/gain on residential mortgage securities measured at fair value through earnings | (77,961) | 8,672 |
| Net (loss)/gain on residential whole loans measured at fair value through earnings | (52,760) | 25,267 |
| Net loss on Swaps not designated as hedges for accounting purposes | (4,239) | (8,944) |
| Other, net | 2,228 | 1,565 |
| Other (Loss)/Income, net | (790,763) | 51,169 |
| Operating and Other Expense: | ||
| Compensation and benefits | 8,899 | 8,554 |
| Other general and administrative expense | 4,575 | 4,645 |
| Loan servicing and other related operating expenses | 11,164 | 10,234 |
| Costs associated with restructuring/forbearance agreement | 4,468 | 0 |
| Operating and Other Expense | 29,106 | 23,433 |
| Net (Loss)/Income | (908,995) | 88,857 |
| Less Preferred Stock Dividend Requirement | 5,215 | 3,750 |
| Net (Loss)/Income Available to Common Stock and Participating Securities | $ (914,210) | $ 85,107 |
| Basic Earnings per Common Share (usd per share) | $ (2.02) | $ 0.19 |
| Diluted Earnings per Common Share (usd per share) | $ (2.02) | $ 0.19 |
| Non-Agency MBS | ||
| Interest Income: | ||
| Securities | $ 32,551 | $ 54,001 |
| Agency MBS | ||
| Interest Income: | ||
| Securities | 8,861 | 18,441 |
| CRT securities | ||
| Interest Income: | ||
| Securities | $ 2,962 | $ 6,200 |
Summary of Significant Accounting Policies (Policies) |
3 Months Ended |
|---|---|
Mar. 31, 2020 | |
| Accounting Policies [Abstract] | |
| Basis of Presentation and Consolidation | Basis of Presentation and Consolidation The interim unaudited consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (the “SEC”). Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) have been condensed or omitted in accordance with these SEC rules and regulations. Management believes that the disclosures included in these interim unaudited consolidated financial statements are adequate to make the information presented not misleading. The accompanying unaudited consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2020 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2020 should not be construed as indicative of the results to be expected for the full year. The accompanying consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could differ from those estimates, which could materially impact the Company’s results of operations and its financial condition. Management has made significant estimates in several areas, including impairment, valuation allowances and loss allowances on residential whole loans (See Note 3), mortgage-backed securities (“MBS”) (See Note 4) and Other Assets (See Note 5), valuation of MBS, CRT securities and MSR-related assets (See Notes 4 and 14), income recognition and valuation of residential whole loans (See Notes 3 and 14), valuation of derivative instruments (See Notes 5(c) and 14) and income recognition on certain Non-Agency MBS (defined below) purchased at a discount. (See Note 4) In addition, estimates are used in the determination of taxable income used in the assessment of REIT compliance and contingent liabilities for related taxes, penalties and interest. (See Note 2(n)) Actual results could differ from those estimates. The Company has one reportable segment since it manages its business and analyzes and reports its results of operations on the basis of one operating segment: investing, on a leveraged basis, in residential mortgage assets. The consolidated financial statements of the Company include the accounts of all subsidiaries. All intercompany accounts and transactions have been eliminated. In addition, the Company consolidates entities established to facilitate transactions related to the acquisition and securitization of residential whole loans completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation. |
| Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) | Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired through consolidated trusts in secondary market transactions. The accounting model utilized by the Company is determined at the time each loan package is initially acquired and is generally based on the delinquency status of the majority of the underlying borrowers in the package at acquisition. The accounting model described below for Purchased Credit Deteriorated Loans that are held at carrying value is typically utilized by the Company for Purchased Credit Deteriorated Loans where the underlying borrower has a delinquency status of less than 60 days at the acquisition date. The Company also acquires Purchased Performing Loans that are typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required credit loss reserves (as discussed below) differ from those used for Purchased Credit Deteriorated Loans held at carrying value. The accounting model described below for residential whole loans held at fair value is typically utilized by the Company for loans where the underlying borrower has a delinquency status of 60 days or more at the acquisition date. The accounting model initially applied is not subsequently changed. The Company’s residential whole loans pledged as collateral against repurchase agreements are included in the consolidated balance sheets with amounts pledged disclosed parenthetically. Purchases and sales of residential whole loans that are subject to an extended period of due diligence that crosses a reporting date are recorded in our balance sheet at amounts reflecting management’s current estimate of assets that will be acquired or disposed at the closing of the transaction. This estimate is subject to revision at the closing of the transaction, pending the outcome of due diligence performed prior to closing. Residential whole loans purchased under flow arrangements with loan origination partners are generally recorded at the transaction settlement date. Recorded amounts of residential whole loans for which the closing of the purchase transaction is yet to occur are not eligible to be pledged as collateral against any repurchase agreement financing until the closing of the purchase transaction. Interest income, credit related losses and changes in the fair value of loans held at fair value are recorded post settlement for acquired loans and until transaction settlement for sold loans. (See Notes 3, 6, 7, 14 and 15) Residential Whole Loans at Carrying Value Purchased Performing Loans Acquisitions of Purchased Performing Loans to date have been primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) short-term business purpose loans collateralized by residential properties made to non-occupant borrowers who intend to rehabilitate and sell the property for a profit (“Rehabilitation loans” or “Fix and Flip loans”), (iii) loans to finance (or refinance) non-owner occupied one-to four-family residential properties that are rented to one or more tenants (“Single-family rental loans”), and (iv) previously originated loans secured by residential real estate that is generally owner occupied (“Seasoned performing loans”). Purchased Performing Loans are initially recorded at their purchase price. Interest income on Purchased Performing Loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate, net of related servicing costs. Interest income on such loans purchased at a premium/discount to par is recorded each period based on the contractual coupon net of any amortization of premium or accretion of discount, adjusted for actual prepayment activity. For loans acquired with related servicing rights retained by the seller, interest income is reported net of related serving costs. An allowance for credit losses is recorded at acquisition, and maintained on an ongoing basis, for all losses expected to be incurred over the life of the respective loan. Any required credit loss allowance would reduce the net carrying value of the loan with a corresponding charge to earnings, and may increase or decrease over time. Significant judgments are required in determining any allowance for credit loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. Income recognition is suspended for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful (i.e., such loans are placed on nonaccrual status). For nonaccrual loans other than Fix and Flip loans, all payments are applied to principal under the cost recovery method. For nonaccrual Fix and Flip loans, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. Modified loans are considered “troubled debt restructurings” if the Company grants a concession to a borrower who is experiencing financial difficulty (including the interpretation of this definition set forth in OCC Bulletin 2020-35). The aggregate allowance for credit losses is equal to the sum of the losses expected to be incurred over the life of each respective loan. These losses were estimated by projecting each loan’s expected cash flows based on their contractual terms, expected prepayments, and estimated default and loss severity rates. The default and severity rates were estimated based on the following steps: (i) obtained the Company’s historical experience through an entire economic cycle for each loan type or, to the extent the Company did not have sufficient historical loss experience for a given loan type, publicly available data derived from the historical loss experience of certain banks, which data the Company believes is generally representative of its portfolio, (ii) obtained historical economic data (U.S. unemployment rates and home price appreciation) over the same period, and (iii) estimated default and severity rates during three distinct future periods based on historical default and severity rates during periods when economic conditions similar to those forecasted were experienced. The three periods were as follows: (i) a one-year forecast of economic conditions based on U.S. unemployment rates and home price appreciation, followed by (ii) a two-year “reversion” period during which economic conditions (U.S. unemployment rates and home price appreciation) are projected to revert to historical averages on a straight line basis, followed by (iii) the remaining life of each loan, during which period economic conditions (U.S. unemployment rates and home price appreciation) are projected to equal historical averages. In addition, a liability is established (and recorded in Other Liabilities) each period using a similar methodology for committed but undrawn loan amounts. This methodology has not changed from the calculation of the allowance for credit losses on January 1, 2020 pursuant to the transition to ASU 2016-13 as described below under “New Accounting Standards and Interpretations,” other than a change in the reversion period from one year to two years to reflect the expected ongoing impact of current conditions. (See Note 3) Purchased Credit Deteriorated Loans The Company has elected to account for these loans as credit impaired as they have experienced a more-than-insignificant deterioration in credit quality since origination and were acquired at discounted prices that reflect, in part, the impaired credit history of the borrower. Substantially all of these loans have previously experienced payment delinquencies and the amount owed may exceed the value of the property pledged as collateral. Consequently, these loans generally have a higher likelihood of default than newly originated mortgage loans with LTVs of 80% or less to creditworthy borrowers. The Company believes that amounts paid to acquire these loans represent fair market value at the date of acquisition. Loans considered credit impaired are initially recorded at the purchase price on a net basis, after establishing an initial allowance for credit losses (their initial cost basis is equal to their purchase price plus the initial allowance for credit losses). Subsequent to acquisition, the gross recorded amount for these loans reflects the initial cost basis, plus accretion of interest income, less principal and interest cash flows received. These loans are presented on the Company’s consolidated balance sheets at carrying value, which reflects the recorded cost basis reduced by any allowance for credit losses. Interest income on such loans purchased is recorded each period based on the contractual coupon net of amortization of the difference between their cost basis and unpaid principal balance (“UPB”), subject to the Company’s nonaccrual policy. Residential Whole Loans Held-for-Sale The Company’s residential whole loans held-for-sale are presented on the Company’s consolidated balance sheets at the lower of the current carrying amount or fair value less estimated selling costs. Interest income on the Company’s residential whole loans held-for-sale is included in Residential whole loans held at carrying value on the Company’s consolidated statements of operations. Residential Whole Loans at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. For the majority of these loans, there is significant uncertainty associated with estimating the timing of and amount of cash flows that will be collected. Further, the cash flows ultimately collected may be dependent on the value of the property securing the loan. Consequently, the Company considers that accounting for these loans at fair value should result in a better reflection over time of the economic returns for the majority of these loans. The Company determines the fair value of its residential whole loans held at fair value after considering portfolio valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans and trading activity observed in the market place. Subsequent changes in fair value are reported in current period earnings and presented in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash received representing coupon interest payments on residential whole loans held at fair value is not included in Interest Income, but rather is included in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash outflows associated with loan-related advances made by the Company on behalf of the borrower are included in the basis of the loan and are reflected in unrealized gains or losses reported each period.
|
| Residential Mortgage Securities | Residential Mortgage 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 or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. Designation MBS that the Company generally intends to hold until maturity, but that it may sell from time to time as part of the overall management of its business, are designated as “available-for-sale” (“AFS”). Such MBS are carried at their fair value with unrealized gains and losses excluded from earnings (except when an allowance for losses is recognized, as discussed below) and reported in Accumulated other comprehensive income/(loss) (“AOCI”), a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. The Company 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 certain of its CRT securities as it considers this method of accounting to more appropriately reflect the risk-sharing structure of these securities. Such securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. Revenue Recognition, Premium Amortization and Discount Accretion Interest income on securities is accrued based on their outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. Interest income on 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 a change in the loss allowance. (See Note 4) Determination of Fair Value for Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. (See Note 14) Allowance for credit losses When the fair value of an AFS security is less than its amortized cost at the balance sheet date, the security is considered impaired. The Company assesses its impaired securities, as well as securities for which a credit loss allowance had been previously recorded, on at least a quarterly basis and determines whether any changes to the allowance for credit losses are required. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, then the Company must recognize a write-down through charges to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the balance sheet date. If the Company does not expect to sell an impaired security, only the portion of the impairment related to credit losses is recognized through a loss allowance charged to earnings with the remainder recognized through AOCI on the Company’s consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Credit loss allowances are subject to reversal through earnings resulting from improvements in expected cash flows. The determination as to whether to record (or reverse) a credit loss allowance is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future performance and cash flow projections. As a result, the timing and amount of losses constitute material estimates that are susceptible to significant change. (See Note 4) Non-Agency MBS that are assessed to be of less than high credit quality and on which impairments are recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. The Company’s estimate of cash flows for its Non-Agency MBS is based on its review of the underlying mortgage loans securing the MBS. The Company considers information available about the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, year of origination, loan-to-value ratios (“LTVs”), geographic concentrations and dialogue with market participants. As a result, significant judgment is used in the Company’s analysis to determine the expected cash flows for its Non-Agency MBS. In determining the allowance related to credit losses for securities that were purchased at significant discounts to par and/or are considered to be of less than high credit quality, the Company compares the present value of the remaining cash flows expected to be collected at the purchase date (or last date previously revised) against the present value of the cash flows expected to be collected at the current financial reporting date. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. Impairment assessment for Non-Agency MBS that were purchased at prices close to par and/or are otherwise considered to be of high credit quality involves comparing the present value of the remaining cash flows expected to be collected against the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the instrument’s IRR. Balance Sheet Presentation The Company’s residential mortgage securities pledged as collateral against 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.
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| MSR-Related Assets | MSR-Related Assets The Company has investments in financial instruments whose cash flows are considered to be largely dependent on underlying MSRs that either directly or indirectly act as collateral for the investment. These financial instruments, which are referred to as MSR-related assets, are discussed in more detail below. The Company’s MSR-related assets pledged as collateral against repurchase agreements are included in the consolidated balance sheets with the amounts pledged disclosed parenthetically. Purchases and sales of MSR-related assets are recorded on the trade date. (See Notes 4, 6, 7 and 14) Term Notes Backed by MSR-Related Collateral The Company has invested in term notes that are issued by special purpose vehicles (“SPV”) that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. The Company considers payment of principal and interest on these term notes to be largely dependent on the cash flows generated by the underlying MSRs as this impacts the cash flows available to the SPV that issued the term notes. Credit risk borne by the holders of the term notes is also mitigated by structural credit support in the form of over-collateralization. Credit support is also provided by a corporate guarantee from the ultimate parent or sponsor of the SPV that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the underlying MSRs be insufficient. The Company’s term notes backed by MSR-related collateral are treated as AFS securities and reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in AOCI, subject to impairment and loss allowances. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral, as applicable, and the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are generally secured by certain MSRs, as well as certain other unencumbered assets owned by the borrower. Corporate loans are recorded on the Company’s consolidated balance sheets at the drawn amount, on which interest income is recognized on an accrual basis on the Company’s consolidated statements of operations, subject to loss allowances. Commitment fees received on the undrawn amount are deferred and recognized as interest income over the remaining loan term at the time of draw. At the end of the commitment period, any remaining deferred commitment fees are recorded as Other Income on the Company’s consolidated statements of operations. The Company evaluates the recoverability of its corporate loans on a quarterly basis considering various factors, including the current status of the loan, changes in the fair value of the MSRs that secure the loan and the recent financial performance of the borrower.
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| Cash and Cash Equivalents | Cash and Cash Equivalents |
| Restricted Cash | Restricted Cash |
| Real Estate Owned (REO) | Real Estate Owned (“REO”) |
| Depreciation | Depreciation Leasehold Improvements, Real estate and Other Depreciable Assets Depreciation is computed on the straight-line method over the estimated useful life of the related assets or, in the case of leasehold improvements, over the shorter of the useful life or the lease term. Furniture, fixtures, computers and related hardware have estimated useful lives ranging from five to eight years at the time of purchase. The building component of real estate held-for-investment is depreciated over 27.5 years.
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| Loan Securitization and Other Debt Issuance Costs | Loan Securitization and Other Debt Issuance Costs Loan securitization related costs are costs associated with the issuance of beneficial interests by consolidated VIEs and incurred by the Company in connection with various financing transactions completed by the Company. Other debt issuance and related costs include costs incurred by the Company in connection with issuing its 6.25% Convertible Senior Notes due 2024 (“Convertible Senior Notes”), 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 the Convertible Senior Notes, 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.
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| 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 assets to a lender and agrees to repurchase the same assets in the future for a price that is higher than the original sale price. The difference between the sale price that the Company receives and the repurchase price that the Company pays represents interest paid to the lender. Although legally structured as sale and repurchase transactions, the Company accounts for repurchase agreements as secured borrowings. Under its repurchase agreements, the Company pledges its assets as collateral to secure the borrowing, in an amount which is equal to a specified percentage of the fair value of the pledged collateral, while the Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase financing, unless the repurchase financing is renewed with the same counterparty, the Company is required to repay the loan including any accrued interest and concurrently receives back its pledged collateral from the lender. With the consent of the lender, the Company may renew a repurchase financing at the then prevailing financing terms. Margin calls, whereby a lender requires that the Company pledge additional assets or cash as collateral to secure borrowings under its repurchase financing with such lender, are routinely experienced by the Company when the value of the assets pledged as collateral declines as a result of principal amortization and prepayments or due to changes in market interest rates, spreads or other market conditions. The Company also may make margin calls on counterparties when collateral values increase. The Company’s repurchase financings collateralized by residential mortgage securities and MSR-related assets typically have terms ranging from one month to six months at inception, while a significant amount of our repurchase financings collateralized by residential whole loans have terms ranging from three months to twelve months or longer. 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 on such collateral.
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| Equity-Based Compensation | Equity-Based Compensation Compensation expense for equity-based awards that are subject to vesting conditions, is recognized ratably over the vesting period of such awards, based upon the fair value of such awards at the grant date. The Company has made annual grants of restricted stock units (“RSUs”) certain of which cliff vest after a three-year period, subject only to continued employment, and others of which cliff vest after a three-year period, subject to both continued employment and the achievement of certain performance criteria based on a formula tied to the Company’s achievement of average total shareholder return during that three-year period, as well as the total shareholder return (“TSR”) of the Company relative to the TSR of a group of peer companies (over the three-year period) selected by the Compensation Committee of the Company’s Board of Directors (the “Compensation Committee”) at the date of grant. The features in these awards related to the attainment of total shareholder return over a specified period constitute a “market condition” which impacts the amount of compensation expense recognized for these awards. Specifically, the uncertainty regarding the achievement of the market condition was reflected in the grant date fair valuation of the RSUs, which is recognized as compensation expense over the relevant vesting period. The amount of compensation expense recognized is not dependent on whether the market condition was or will be achieved. |
| Earnings per Common Share (EPS) | Earnings per Common Share (“EPS”) |
| 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.
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| U.S. Federal Income Taxes | U.S. Federal Income Taxes The Company has elected to be taxed as a REIT under the provisions of the Internal Revenue Code of 1986, as amended, (the “Code”), and the corresponding provisions of state law. The Company expects to operate in a manner that will enable it to satisfy the various requirements to maintain its status as a REIT for federal income tax purposes. In order to maintain its status as a REIT, the Company must, among other things, distribute at least 90% of its REIT taxable income (excluding net long-term capital gains) to stockholders in the timeframe permitted by the Code. As long as the Company maintains its status as a REIT, the Company will not be subject to regular federal income tax to the extent that it distributes 100% of its REIT taxable income (including net long-term capital gains) to its stockholders within the permitted timeframe. Should this not occur, the Company would be subject to federal taxes at prevailing corporate tax rates on the difference between its REIT taxable income and the amounts deemed to be distributed for that tax year. As the Company’s objective is to distribute 100% of its REIT taxable income to its stockholders within the permitted timeframe, no provision for current or deferred income taxes has been made in the accompanying consolidated financial statements. Should the Company incur a liability for corporate income tax, such amounts would be recorded as REIT income tax expense on the Company’s consolidated statements of operations. Furthermore, if the Company fails to distribute during each calendar year, or by the end of January following the calendar year in the case of distributions with declaration and record dates falling in the last three months of the calendar year, at least the sum of (i) 85% of its REIT ordinary income for such year, (ii) 95% of its REIT capital gain income for such year, and (iii) any undistributed taxable income from prior periods, the Company would be subject to a 4% nondeductible excise tax on the excess of the required distribution over the amounts actually distributed. To the extent that the Company incurs interest, penalties or related excise taxes in connection with its tax obligations, including as a result of its assessment of uncertain tax positions, such amounts will be included in Operating and Other Expense on the Company’s consolidated statements of operations. In addition, the Company has elected to treat certain of its subsidiaries as TRS. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. Generally, a domestic TRS is subject to U.S. federal, state and local corporate income taxes. Since a portion of the Company’s business is conducted through one or more TRS, the net taxable income earned by its domestic TRS, if any, is subject to corporate income taxation. To maintain the Company’s REIT election, no more than 20% of the value of the Company’s assets at the end of each calendar quarter may consist of stock or securities in TRS. For purposes of the determination of U.S. federal and state income taxes, the Company’s subsidiaries that elected to be treated as TRS record current or deferred income taxes based on differences (both permanent and timing) between the determination of their taxable income and net income under GAAP. No net deferred tax benefit was recorded by the Company for the three months ended March 31, 2020 and 2019, related to the net taxable losses in the TRS, since a valuation allowance for the full amount of the associated deferred tax asset of approximately $73.5 million was recognized as its recovery is not considered more likely than not. The related net operating loss carryforwards generated prior to 2018 will begin to expire in 2034; those generated in 2020, 2019 and 2018 can be carried back to each of the five taxable years preceding the taxable year of such loss and thereafter can be carried forward and do not expire. Based on its analysis of any potentially uncertain tax positions, the Company concluded that it does not have any material uncertain tax positions that meet the relevant recognition or measurement criteria as of March 31, 2020, December 31, 2019, or March 31, 2019. As of the date of this filing the Company’s tax returns for tax years 2016 through 2018 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 have generally been comprised of Swaps, the majority of which were designated as cash flow hedges against the interest rate risk associated with its borrowings. Swaps The Company documents its risk-management policies, including objectives and strategies, as they relate to its hedging activities and the relationship between the hedging instrument and the hedged liability for all Swaps designated as hedging transactions. The Company assesses, both at the inception of a hedge and on a quarterly basis thereafter, whether or not the hedge is “highly effective.” 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. Since January 2017, variation margin payments on the Company’s Swaps that have been novated to a clearing house have been 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 related Swap contract. The effect of this change is to reduce what would have otherwise been reported as the fair value of the Swap. All of the Company’s Swaps were 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. 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) |
| 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. |
| Variable Interest Entities | Variable Interest Entities An entity is referred to as a VIE if it meets at least one of the following criteria: (i) the entity has equity that is insufficient to permit the entity to finance its activities without the additional subordinated financial support of other parties; or (ii) as a group, the holders of the equity investment at risk lack (a) the power to direct the activities of an entity that most significantly impact the entity’s economic performance; (b) the obligation to absorb the expected losses; or (c) the right to receive the expected residual returns; or (iii) the holders of the equity investment at risk have disproportional voting rights and the entity’s activities are conducted on behalf of the investor that has disproportionately few voting rights. The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. The Company has entered into several financing transactions which resulted in the Company forming entities to facilitate these transactions. In determining the accounting treatment to be applied to these transactions, the Company concluded that the entities used to facilitate these transactions are VIEs and that they should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfers of the underlying assets would qualify as sales or should be accounted for as secured financings under GAAP. (See Note 15) The Company also includes on its consolidated balance sheets certain financial assets and liabilities that are acquired/issued by trusts and/or other special purpose entities that have been evaluated as being required to be consolidated by the Company under the applicable accounting guidance.
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| Offering Costs Related to Issuance and Redemption of Preferred Stock | Offering Costs Related to Issuance and Redemption of Preferred Stock |
| New Accounting Standards and Interpretations | New Accounting Standards and Interpretations Accounting Standards Adopted in 2020 Financial Instruments - Credit Losses - Measurement of Credit Losses on Financial Instruments In June 2016, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU” 2016-13, Measurement of Credit Losses on Financial Instruments (“ASU 2016-13”), which has subsequently been amended by ASUs 2019-11, Codification Improvements to Topic 326, Financial Instruments - Credit Losses, 2019-05, Financial Instruments - Credit Losses (Topic 326): Targeted Transition Relief, 2019-04, Codification Improvements to Topic 326, Financial Instruments - Credit Losses, 2018-19, Codification Improvements to Topic 326, Financial Instruments - Credit Losses, 2020-02 Financial Instruments-Credit Losses (Topic 326)-Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date (SEC Update), and 2020-03 Codification Improvements to Financial Instruments. The amendments in ASU 2016-13 require entities to measure all expected credit losses (rather than incurred losses) for financial assets held at the reporting date, based on historical experience, current conditions and reasonable and supportable forecasts. ASU 2016-13 also requires enhanced financial statement disclosures to help financial statement users better understand significant estimates and judgments used in estimating credit losses, as well as the credit quality and underwriting standards of an entity’s portfolio. The amendments in this ASU were required to be applied by recording a cumulative-effect adjustment to equity as of the beginning of the first reporting period in which the guidance is effective. A prospective transition approach is required for debt securities for which an OTTI had been recognized before the effective date. The Company adopted the new ASU on January 1, 2020. The impact of adoption was that the allowance for credit losses on Purchased Performing Loans increased by approximately $8.3 million. This transition adjustment was recorded as an increase in the Company’s allowance for credit losses and an adjustment to decrease retained earnings as of the adoption date. In addition, for Purchased Credit Deteriorated Loans, the carrying value of the portfolio was adjusted on transition to include an estimate of the allowance for credit losses as required by the new standard. For financial statement reporting purposes, this adjusted carrying value is presented net of the estimated allowance for credit losses. Consequently, the adjustments recorded on transition for Purchased Credit Deteriorated Loans do not result in any adjustment to retained earnings as of the adoption date. The Company does not consider these transition adjustments to be material to its financial position or previously reported GAAP or economic book value. Under ASU 2016-13, credit losses for available-for-sale debt securities are measured in a manner similar to prior GAAP. However, the amendments in this ASU require that credit losses be recorded through an allowance for credit losses, which will allow subsequent reversals in credit loss estimates to be recognized in current income. In addition, the allowance on available-for-sale debt securities will be limited to the extent that the fair value is less than the amortized cost. Under prior GAAP, credit impairment losses were generally required to be recorded as “other than temporary” impairment, which directly reduced the carrying amount of impaired securities, and was recorded in earnings and was not reversed if expected cash flows subsequently recovered. Under the new guidance, credit impairments on such securities (other than those related to expected sales) are recorded as an allowance for credit losses that is also recorded in earnings, but the allowance can be reversed through earnings in a subsequent period if expected cash flows subsequently recover. Transition to the new available-for-sale debt securities guidance did not result in a change to our retained earnings. Reference Rate Reform - Facilitation of the Effects of Reference Rate Reform on Financial Reporting In March 2020, the FASB issued ASU 2020-04, Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”). The amendments in this ASU provide temporary optional expedients to ease the financial reporting burden of the expected transition from the London Interbank Offered Rate (“LIBOR”) to an alternative reference rate such as the Secured Overnight Financing Rate (“SOFR”). The amendments in the ASU are elective and apply to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The amendments in ASU 2020-04 were effective for all entities as of March 12, 2020 and will generally no longer be available to apply after December 31, 2022. The Company adopted this ASU as of the effective date and will utilize the optional expedients to the extent that they apply to the Company.
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CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands |
3 Months Ended | |
|---|---|---|
Mar. 31, 2020 |
Mar. 31, 2019 |
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| Cash Flows From Operating Activities: | ||
| Net (loss)/income | $ (908,995) | $ 88,857 |
| Adjustments to reconcile net income to net cash provided by operating activities: | ||
| Loss on sales of residential whole loans at carrying value | 145,791 | 0 |
| Loss/(gain) on sales of residential mortgage securities and MSR-related assets | 92,589 | (24,609) |
| Gain on sales of real estate owned | (3,107) | (1,398) |
| Gain on liquidation of residential whole loans | (1,105) | (4,684) |
| Impairment and other losses on securities available-for-sale and other assets | 419,651 | 0 |
| Accretion of purchase discounts on residential mortgage securities, residential whole loans and MSR-related assets | (12,114) | (15,915) |
| Amortization of purchase premiums on residential mortgage securities and residential whole loans, and amortization of terminated hedging instruments | 15,266 | 7,620 |
| Depreciation and amortization on real estate, fixed assets and other assets | 3,582 | 432 |
| Equity-based compensation expense | 1,273 | 998 |
| Unrealized losses on residential whole loans at fair value | 74,556 | 1,060 |
| Provision for credit and valuation losses on residential whole loans and other financial instruments | 150,827 | 0 |
| Unrealized losses on residential mortgage securities and interest rate swap agreements (“Swaps”) and other | 82,464 | 200 |
| Increase in other assets | (37,811) | (8,770) |
| Decrease in other liabilities | (9,653) | (6,709) |
| Net cash provided by operating activities | 13,214 | 37,082 |
| Cash Flows From Investing Activities: | ||
| Purchases of residential whole loans, loan related investments and capitalized advances | (1,119,464) | (1,021,557) |
| Principal payments on residential whole loans | 508,855 | 233,724 |
| Principal payments on residential mortgage securities and MSR-related assets | 539,882 | 391,641 |
| Proceeds from sales of residential mortgage securities | 1,009,316 | 208,306 |
| Purchases of residential mortgage securities and MSR-related assets | (162,607) | (327,221) |
| Proceeds from sales of real estate owned | 52,042 | 23,963 |
| Purchases of real estate owned and capital improvements | (5,606) | (5,923) |
| Additions to leasehold improvements, furniture and fixtures | (176) | (391) |
| Net cash provided by/(used in) investing activities | 822,242 | (497,458) |
| Cash Flows From Financing Activities: | ||
| Principal payments on repurchase agreements | (12,903,818) | (18,879,173) |
| Proceeds from borrowings under repurchase agreements | 12,216,862 | 19,509,794 |
| Principal payments on securitized debt | (37,418) | (25,501) |
| Payments made for settlements and unwinds of Swaps | (88,405) | (21,478) |
| Proceeds from issuance of Series C Preferred Stock | 275,000 | 0 |
| Payments made for costs related to Series C Preferred Stock issuance | (8,912) | 0 |
| Proceeds from issuances of common stock | 687 | 551 |
| Dividends paid on preferred stock | 0 | (3,750) |
| Dividends paid on common stock and dividend equivalents | (90,749) | (90,198) |
| Net cash (used in)/provided by financing activities | (636,753) | 490,245 |
| Net increase in cash, cash equivalents and restricted cash | 198,703 | 29,869 |
| Cash, cash equivalents and restricted cash at beginning of period | 134,664 | 88,709 |
| Cash, cash equivalents and restricted cash at end of period | 333,367 | 118,578 |
| Supplemental Disclosure of Cash Flow Information | ||
| Interest Paid | 80,158 | 81,435 |
| Non-cash Investing and Financing Activities: | ||
| Transfer from residential whole loans to real estate owned | 50,693 | 65,160 |
| Dividends and dividend equivalents declared and unpaid | 0 | 90,353 |
| Receivable for unsettled MBS, MSR-related asset, and residential whole loan sales | $ 419,583 | $ 0 |
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 toward this limit. At March 31, 2020, approximately 2.0 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 March 31, 2020 are designated to be settled in shares of the Company’s common stock. The Company granted 1,204,713 and 752,500 RSUs during the three months ended March 31, 2020 and 2019, respectively. There were no RSUs forfeited during the three months ended March 31, 2020 and 20,000 RSUs forfeited during the three months ended March 31, 2019. All RSUs outstanding at March 31, 2020 may be entitled to receive dividend equivalent payments depending on the terms and conditions of the award either in cash at the time dividends are paid by the Company, or for certain performance-based RSU awards, as a grant of stock at the time such awards are settled. At March 31, 2020 and December 31, 2019, the Company had unrecognized compensation expense of $11.8 million and $5.5 million, respectively, related to RSUs. The unrecognized compensation expense at March 31, 2020 is expected to be recognized over a weighted average period of 2.3 years. Restricted Stock The Company did not award any shares of restricted common stock during the three months ended March 31, 2020 and 2019. At March 31, 2020, the Company did not have any unvested shares of restricted common stock outstanding. Dividend Equivalents A dividend equivalent is a right to receive a distribution equal to the dividend distributions that would be paid on a share of the Company’s common stock. Dividend equivalents may be granted as a separate instrument or may be a right associated with the grant of another award (e.g., an RSU) under the Equity Plan, and they are paid in cash or other consideration at such times and in accordance with such rules as the Compensation Committee of the Board shall determine in its discretion. Payments made on the Company’s outstanding dividend equivalent rights are generally charged to Stockholders’ Equity when common stock dividends are declared to the extent that such equivalents are expected to vest. The Company made dividend equivalent payments of approximately $276,000 and $241,000 during the three months ended March 31, 2020 and 2019, respectively. Expense Recognized for Equity-Based Compensation Instruments The following table presents the Company’s expenses related to its equity-based compensation instruments for the three months ended March 31, 2020 and 2019:
(b) Employment Agreements At March 31, 2020, 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 months ended March 31, 2020 and 2019:
The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through March 31, 2020 and December 31, 2019 that had not been distributed and the Company’s associated liability for such deferrals at March 31, 2020 and December 31, 2019:
(1) Represents the cumulative amounts that were deferred by participants through March 31, 2020 and December 31, 2019, which had not been distributed through such respective date. (d) Savings Plan |
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Other Liabilities (Tables) |
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| Other Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Other Liabilities | The following table presents the components of the Company’s Other liabilities at March 31, 2020 and December 31, 2019:
(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.)
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Fair Value of Financial Instruments (Tables) |
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| 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 March 31, 2020 and December 31, 2019:
(1) Excludes approximately $250,000 and $470,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at March 31, 2020 and December 31, 2019, respectively. (2) Amounts are weighted based on the fair value of the underlying loan. (3) The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately $368,000 and $365,000 as of March 31, 2020 and December 31, 2019, respectively. The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of March 31, 2020 and December 31, 2019, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at March 31, 2020
Fair Value at December 31, 2019
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| Schedule of significant unobservable inputs used in fair value measurement of residential whole loans | The following table presents additional information for the three months ended March 31, 2020 and 2019 about the Company’s Residential whole loans, at fair value, which are classified as Level 3 and measured at fair value on a recurring basis:
The following table presents additional information for the three months ended March 31, 2019 about the Company’s investments in term notes backed by MSR-related collateral, which were classified as Level 3 prior to September 30, 2019 and measured at fair value on a recurring basis:
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| Schedule of carrying value and fair value of financial instruments | The following table presents the carrying values and estimated fair values of the Company’s financial instruments at March 31, 2020 and December 31, 2019:
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Summary of Significant Accounting Policies (Cash and Cash Equivalents) (Details) - USD ($) $ in Thousands |
Mar. 31, 2020 |
Dec. 31, 2019 |
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| Accounting Policies [Abstract] | ||
| Cash and cash equivalents | $ 116,465 | $ 70,629 |
| Overnight money market funds | 0 | 39,600 |
| Restricted cash | $ 216,902 | $ 64,035 |
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 March 31, 2020 and December 31, 2019:
(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.) (a) Convertible Senior Notes On June 3, 2019, the Company issued $230.0 million in aggregate principal amount of its Convertible Senior Notes in an underwritten public offering, including an additional $30.0 million issued pursuant to the exercise of the underwriters’ option to purchase additional Convertible Senior Notes. The total net proceeds the Company received from the offering were approximately $223.3 million, after deducting offering expenses and the underwriting discount. The Convertible Senior Notes bear interest at a fixed rate of 6.25% per year, paid semiannually on June 15 and December 15 of each year commencing December 15, 2019 and will mature on June 15, 2024, unless earlier converted, redeemed or repurchased in accordance with their terms. The Convertible Senior Notes are convertible at the option of the holders at any time until the close of business on the business day immediately preceding the maturity date into shares of the Company’s common stock based on an initial conversion rate of 125.7387 shares of the Company’s common stock for each $1,000 principal amount of the Convertible Senior Notes, which is equivalent to an initial conversion price of approximately $7.95 per share of common stock. The Convertible Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 6.94%. The Company does not have the right to redeem the Convertible Senior Notes prior to maturity, except to the extent necessary to preserve its status as a REIT, in which case the Company may redeem the Convertible Senior Notes, in whole or in part, at a redemption price equal to the principal amount redeemed plus accrued and unpaid interest. The Convertible Senior Notes are the Company’s senior unsecured obligations and are effectively junior to all of the Company’s secured indebtedness, which includes the Company’s repurchase agreements and other financing arrangements, to the extent of the value of the collateral securing such indebtedness and equal in right of payment to the Company’s existing and future senior unsecured obligations, including the Senior Notes. (b) Senior Notes On April 11, 2012, the Company issued $100.0 million in aggregate principal amount of its Senior Notes in an underwritten public offering. The total net proceeds the Company received from the offering of the Senior Notes were approximately $96.6 million, after deducting offering expenses and the underwriting discount. The Senior Notes bear interest at a fixed rate of 8.00% per year, paid quarterly in arrears on January 15, April 15, July 15 and October 15 of each year and will mature on April 15, 2042. The Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 8.31%. The Company may redeem the Senior Notes, in whole or in part, at any time, at a redemption price equal to 100% of the principal amount redeemed plus accrued and unpaid interest. The Senior Notes are the Company’s senior unsecured obligations and are effectively junior to all of the Company’s secured indebtedness, which includes the Company’s repurchase agreements and other financing arrangements, to the extent of the value of the collateral securing such indebtedness and equal in right of payment to the Company’s existing and future senior unsecured obligations, including the Convertible Senior Notes.
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| Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Other Assets | Other Assets The following table presents the components of the Company’s Other assets at March 31, 2020 and December 31, 2019:
(1) Includes $39.5 million and $27.3 million of REO that is held-for-investment at March 31, 2020 and December 31, 2019, respectively. (a) Real Estate Owned At March 31, 2020, the Company had 1,622 REO properties with an aggregate carrying value of $411.5 million. At December 31, 2019, the Company had 1,652 REO properties with an aggregate carrying value of $411.7 million. At March 31, 2020, $406.9 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, excluding unsettled residential whole loans, formal foreclosure proceedings were in process with respect to $98.2 million of residential whole loans held at carrying value and $514.4 million of residential whole loans held at fair value at March 31, 2020. The following table presents the activity in the Company’s REO for the three months ended March 31, 2020 and 2019:
(2) During the three months ended March 31, 2020 and 2019, the Company sold 249 and 137 REO properties for consideration of $54.8 million and $27.8 million, realizing net gains of approximately $3.1 million and $1.4 million, respectively. These amounts are included in Other Income, net on the Company’s consolidated statements of operations.(b) Capital Contributions Made to Loan Origination Partners The Company has made investments in several loan originators as part of its strategy to be a reliable source of capital to select partners from whom it sources residential mortgage loans through both flow arrangements and bulk purchases. To date, such contributions of capital have included the acquisition of approximately $28.5 million of common equity, $69.4 million of preferred equity and $75.0 million of convertible notes. In addition, for certain partners, options or warrants may have also been acquired that provide the Company the ability to increase the level of its investment if certain conditions are met. At the end of each reporting period, or earlier if circumstances warrant, the Company evaluates whether the nature of its interests and other involvement with the investee entity requires the Company to apply equity method accounting or consolidate the results of the investee entity with the Company’s financial results. To date, the nature of the Company’s interests and/or involvement with investee companies has not resulted in consolidation. Further, to the extent that the nature of the Company’s interests has resulted in the need for the Company to apply equity method accounting, the impact of such accounting on the Company’s results for periods subsequent to that in which the Company was determined to have significant influence over the investee company was not material for any period. As the interests acquired to date by the Company generally do not have a readily determinable fair value, the Company accounts for its non-equity method interests (including any acquired options and warrants) in loan originators initially at cost. The carrying value of these investments will be adjusted if it is determined that an impairment has occurred or if there has been a subsequent observable transaction in either the investee company’s equity securities or a similar security that provides evidence to support an adjustment to the carrying value. Following an evaluation of the anticipated impact of the COVID-19 pandemic on economic conditions for the short to medium term, the Company recorded impairment charges of $58.1 million on investments in certain loan origination partners during the three months ended March 31, 2020, which was included in “Impairment and other losses on securities available-for-sale and other assets” on the consolidated statements of operations. At March 31, 2020, approximately $2.0 billion of the Company’s Residential whole loans, at carrying value were serviced by entities in which the Company has an investment. (c) Derivative Instruments The Company’s derivative instruments have generally been comprised of Swaps, the majority of which 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. In response to the turmoil in the financial markets resulting from the COVID-19 pandemic experienced during the three months ended March 31, 2020 and given that management no longer considered these transactions to be effective hedges in the prevailing interest rate environment, the Company unwound all of its approximately $4.1 billion of Swap hedging transactions late in the first quarter in order to recover previously posted margin. At March 31, 2020, losses of $71.2 million on unwound Swaps previously designated as hedges for accounting purposes continue to be included in AOCI. As the underlying hedged financing transactions are still considered probable of occurring, these losses will be amortized to interest expense over the remaining lives of the associated Swaps, which averaged 20 months at March 31, 2020. The following table presents the fair value of the Company’s derivative instruments at March 31, 2020 and December 31, 2019:
(1) Represents Swaps executed bilaterally with a counterparty in the over-the-counter market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Swaps The following table presents the assets pledged as collateral against the Company’s Swap contracts at March 31, 2020 and December 31, 2019:
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 if expected payments under the Swaps fail to adequately offset expected payments under the repurchase agreements. 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 LIBOR, on the notional amount of the Swap. During the three months ended March 31, 2019, the Company de-designated and re-designated any Swaps previously designated as a hedge in order to benefit from the simplified assessment requirements under ASU 2017-12. This de-designation and re-designation had no net impact on the Company’s financial condition or results of operations. The following table presents information about the Company’s Swaps at March 31, 2020 and December 31, 2019:
(1) Each maturity category reflects contractual amortization and/or maturity of notional amounts. (2) Reflects the benchmark variable rate due from the counterparty at the date presented, which rate adjusts monthly or quarterly based on one-month or three-month LIBOR, respectively. The following table presents the net impact of the Company’s derivative hedging instruments on its net interest expense and the weighted average interest rate paid and received for such Swaps for the three months ended March 31, 2020 and 2019:
During the three months ended March 31, 2020 and 2019, the Company recorded net losses on Swaps not designated in hedging relationships of approximately $4.3 million and $8.9 million, respectively, which included $9.4 million and $7.8 million of losses realized on the unwind of certain Swaps. These amounts are included in Other income, net on the Company’s consolidated statements of operations. Impact of Derivative Hedging Instruments on AOCI The following table presents the impact of the Company’s derivative hedging instruments on its AOCI for the three months ended March 31, 2020 and 2019:
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Commitments and Contingencies (Rehabilitation Loan Commitments) (Details) $ in Millions |
Mar. 31, 2020
USD ($)
|
|---|---|
| Commitments and Contingencies Disclosure [Abstract] | |
| Unfunded commitment for rehabilitation loans | $ 123.1 |
Repurchase Agreements (Undrawn Financing Commitment) (Details) - USD ($) $ in Thousands |
3 Months Ended | |
|---|---|---|
Mar. 31, 2020 |
Dec. 31, 2019 |
|
| Debt Instrument [Line Items] | ||
| Repurchase agreements | $ 7,768,180 | $ 9,139,821 |
| MSR Asset Financing | ||
| Debt Instrument [Line Items] | ||
| Repurchase agreement, borrowing commitment | 75,000 | |
| Repurchase agreements | $ 25,400 | |
| MSR Asset Financing | Minimum | ||
| Debt Instrument [Line Items] | ||
| Commitment fee | 0.125% | |
| MSR Asset Financing | Maximum | ||
| Debt Instrument [Line Items] | ||
| Commitment fee | 0.50% |
Other Liabilities (Details) - USD ($) $ in Thousands |
Mar. 31, 2020 |
Dec. 31, 2019 |
|---|---|---|
| Other Liabilities [Abstract] | ||
| Securitized debt | $ 533,733 | $ 570,952 |
| Convertible Senior Notes | 224,264 | 223,971 |
| Senior Notes | 96,874 | 96,862 |
| Dividends and dividend equivalents payable | 0 | 90,749 |
| Accrued interest payable | 21,840 | 18,238 |
| Accrued expenses and other | 44,771 | 42,819 |
| Total Other Liabilities | $ 921,482 | $ 1,043,591 |
EPS Calculation (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands |
3 Months Ended | |
|---|---|---|
Mar. 31, 2020 |
Mar. 31, 2019 |
|
| Basic (Loss)/Earnings per Share: | ||
| Net (loss)/income to common stockholders | $ (908,995) | $ 88,857 |
| Dividends declared on preferred stock | (5,215) | (3,750) |
| Dividends, dividend equivalents and undistributed earnings allocated to participating securities | 0 | (256) |
| Net (loss)/income to common stockholders - basic | $ (914,210) | $ 84,851 |
| Basic weighted average common shares outstanding (in shares) | 452,979 | 450,358 |
| Basic (Loss)/Earnings per Share (usd per share) | $ (2.02) | $ 0.19 |
| Diluted (Loss)/Earnings per Share: | ||
| Net (loss)/income to common stockholders - basic | $ (914,210) | $ 84,851 |
| Interest expense on Convertible Senior Notes | 0 | 0 |
| Net (loss)/income to common stockholders - diluted | $ (914,210) | $ 84,851 |
| Basic weighted average common shares outstanding (in shares) | 452,979 | 450,358 |
| Effect of assumed Convertible Senior Notes conversion to common shares (in shares) | 0 | 0 |
| Diluted weighted average common shares outstanding (in shares) | 452,979 | 450,358 |
| Diluted EPS (usd per share) | $ (2.02) | $ 0.19 |
| Anti-dilutive securities excluded from diluted earnings per share calculations (in shares) | 2,300 | |
| RSUs | ||
| Diluted (Loss)/Earnings per Share: | ||
| Weighted average grant date fair value (in dollars per share) | $ 7.73 | |
Residential Mortgage Securities and MSR-Related Assets (MSR Related Assets - Narrative) (Details) - USD ($) |
3 Months Ended | |||
|---|---|---|---|---|
Mar. 31, 2020 |
Mar. 31, 2019 |
Dec. 31, 2019 |
Dec. 31, 2018 |
|
| Term notes backed by MSR-related collateral | ||||
| Debt Securities, Available-for-sale [Line Items] | ||||
| Term notes backed by MSR related collateral | $ 706,608,000 | $ 1,157,463,000 | ||
| Amortized costs | $ 706,600,000 | 1,200,000,000 | ||
| Weighted average yield | 4.74% | 4.75% | ||
| Weighted average to maturity | 5 years 1 month 6 days | 5 years 3 months 18 days | ||
| Proceeds from sale of MSR | $ 136,800,000 | |||
| Realized losses | (24,600,000) | |||
| Impairment | 280,800,000 | |||
| Gross unrealized gains | $ 5,200,000 | |||
| Corporate Loan | ||||
| Debt Securities, Available-for-sale [Line Items] | ||||
| Commitment to lend | $ 100,000,000.0 | |||
| Amount drawn | $ 33,800,000 | |||
| Interest coupon rate | 3.93% | |||
| Debt term | 5 months | |||
| Commitment period on undrawn amount | 5 months | |||
| Minimum | Corporate Loan | ||||
| Debt Securities, Available-for-sale [Line Items] | ||||
| Commitment fee on undrawn amount | 0.25% | |||
| Maximum | Corporate Loan | ||||
| Debt Securities, Available-for-sale [Line Items] | ||||
| Commitment fee on undrawn amount | 1.00% | |||
Residential Mortgage Securities and MSR-Related Assets (Sale of MBS) (Details) - USD ($) $ in Thousands |
3 Months Ended | |
|---|---|---|
Mar. 31, 2020 |
Mar. 31, 2019 |
|
| Debt Securities, Available-for-sale [Line Items] | ||
| Sales Proceeds | $ 1,265,162 | $ 209,462 |
| Gains/(Losses) | (67,995) | 24,609 |
| Agency MBS | ||
| Debt Securities, Available-for-sale [Line Items] | ||
| Sales Proceeds | 965,132 | 0 |
| Gains/(Losses) | (22,854) | 0 |
| Non-Agency MBS | ||
| Debt Securities, Available-for-sale [Line Items] | ||
| Sales Proceeds | 264,385 | 126,094 |
| Gains/(Losses) | (43,124) | 18,153 |
| CRT securities | ||
| Debt Securities, Available-for-sale [Line Items] | ||
| Sales Proceeds | 35,645 | 83,368 |
| Gains/(Losses) | $ (2,017) | $ 6,456 |
Residential Whole Loans (Fair Value) (Details) $ in Thousands |
3 Months Ended | ||||
|---|---|---|---|---|---|
|
Mar. 31, 2020
USD ($)
loan
|
Mar. 31, 2019
loan
|
Dec. 31, 2019
USD ($)
|
|||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
| Weighted Average LTV Ratio | 80.00% | ||||
| Total Residential whole loans, at fair value | [1] | $ 1,243,792 | $ 1,381,583 | ||
| Less than 60 Days Past Due: | |||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
| Outstanding principal balance | 664,362 | 666,026 | |||
| Aggregate fair value | $ 593,037 | 641,616 | |||
| Weighted Average LTV Ratio | 75.27% | 76.69% | |||
| Number of loans | loan | 3,186 | 3,159 | |||
| 60 Days to 89 Days Past Due: | |||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
| Outstanding principal balance | $ 60,720 | 58,160 | |||
| Aggregate fair value | $ 50,999 | 53,485 | |||
| Weighted Average LTV Ratio | 85.06% | 79.48% | |||
| Number of loans | loan | 279 | 313 | |||
| 90 Days or More Past Due: | |||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
| Outstanding principal balance | $ 693,380 | 767,320 | |||
| Aggregate fair value | $ 599,756 | $ 686,482 | |||
| Weighted Average LTV Ratio | 88.12% | 89.69% | |||
| Number of loans | loan | 2,685 | 2,983 | |||
| |||||
Summary of Significant Accounting Policies (Equity Based Compensation) (Details) - RSUs |
63 Months Ended |
|---|---|
Mar. 31, 2019 | |
| Share based compensation | |
| Vesting period of restricted share units (RSUs) | 3 years |
| Period for measuring market condition of award | 3 years |
Residential Whole Loans (Residential Whole Loans, at Carrying Value) (Details) $ in Thousands |
Mar. 31, 2020
USD ($)
loan
|
Jan. 01, 2020
USD ($)
|
Dec. 31, 2019
USD ($)
loan
|
||||
|---|---|---|---|---|---|---|---|
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | $ 5,189,634 | $ 5,370,653 | |||||
| Purchased Credit Deteriorated Loans | 744,408 | 698,717 | |||||
| Total Residential whole loans, at carrying value | [1],[2] | 5,934,042 | 6,069,370 | ||||
| Allowance for credit and valuation losses on residential whole loans held at carrying value and held-for-sale | (218,011) | (3,025) | |||||
| Total Residential whole loans at carrying value, net | $ 5,716,031 | $ 6,066,345 | |||||
| Number of loans | loan | 16,999 | 17,082 | |||||
| Non-QM Loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | $ 3,538,725 | $ 3,707,245 | |||||
| Loan held for sale, amortized cost | 965,500 | ||||||
| Loans net carrying amount | [1],[2] | 895,300 | |||||
| Rehabilitation loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | 978,965 | 1,026,097 | |||||
| Single-family rental loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | 506,352 | 460,742 | |||||
| Seasoned performing loans | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Performing Loans | $ 165,592 | $ 176,569 | |||||
| Cumulative Effect, Period of Adoption, Adjustment | |||||||
| Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
| Purchased Credit Deteriorated Loans | $ 62,600 | ||||||
| |||||||
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