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Other Assets (Tables) | 12 Months Ended
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Dec. 31, 2019
Other Assets [Abstract] |
Schedule of other assets | The following table presents the components of the Company’s Other assets at December 31, 2019 and 2018:
(In Thousands) |  | December 31, 2019 |  | December 31, 2018
REO (1) |  | $ | 411,659 |  |  | $ | 249,413 |
Capital contributions made to loan origination partners |  | 147,992 |  |  | 23,210 |
Other interest-earning assets |  | 70,468 |  |  | 92,022 |
MBS and loan related receivables |  | 114,828 |  |  | 130,964 |
Other |  | 39,304 |  |  | 32,176 |
Total Other Assets |  | $ | 784,251 |  |  | $ | 527,785 |
(1) Includes $27.3 million of REO that is held-for-investment at December 31, 2019.
Schedule of activity for real estate owned | The following table presents the activity in the Company’s REO for the years ended December 31, 2019 and 2018:
|  | For the Year Ended December 31,
(Dollars In Thousands) |  | 2019 |  | 2018
Balance at beginning of period |  | $ | 249,413 |  |  | $ | 152,356 |
Adjustments to record at lower of cost or fair value |  | (14,884 | ) |  | (15,929 | )
Transfer from residential whole loans (1) |  | 257,701 |  |  | 215,038 |
Purchases and capital improvements |  | 20,746 |  |  | 13,367 |
Disposals (2) |  | (101,317 | ) |  | (115,419 | )
Balance at end of period |  | $ | 411,659 |  |  | $ | 249,413 |
Number of properties |  | 1,652 |  |  | 1,093 |
(1) | Includes net gain recorded on transfer of approximately $19.8 million and $19.6 million, respectively, for the years ended December 31, 2019 and 2018.
(2) | During the year ended December 31, 2019, the company sold 571 REO properties for consideration of $109.2 million, realizing net gains of approximately $7.4 million. During the year ended December 31, 2018, the Company sold 705 REO properties for consideration of $123.2 million, realizing net gains of approximately $7.7 million. These amounts are included in Other Income, net on the Company’s consolidated statements of operations.
Schedule of derivative instruments and balance sheet location | The following table presents the fair value of the Company’s derivative instruments at December 31, 2019 and 2018:
|  |  |  | December 31,
|  |  |  | 2019 |  | 2018
Derivative Instrument (1) |  | Designation |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
(In Thousands) |  |  |  |  |  |  |  |  |  |
Swaps |  | Hedging |  | $ | 2,942,000 |  |  | $ | — |  |  | $ | 2,622,000 |  |  | $ | — |
Swaps |  | Non-Hedging |  | $ | 230,000 |  |  | $ | — |  |  | $ | 595,000 |  |  | $ | — |
(1) Represents Swaps executed bilaterally with a counterparty in the over-the-counter market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties.
Schedule of assets pledged as collateral against derivative contracts | The following table presents the assets pledged as collateral against the Company’s Swap contracts at December 31, 2019 and 2018:
|  | December 31,
(In Thousands) |  | 2019 |  | 2018
Agency MBS, at fair value |  | $ | 2,241 |  |  | $ | 2,735 |
Restricted cash |  | 16,777 |  |  | 30,068 |
Total assets pledged against Swaps |  | $ | 19,018 |  |  | $ | 32,803 |
Schedule of information about swaps | The following table presents information about the Company’s Swaps at December 31, 2019 and 2018:
|  | December 31, 2019 |  | December 31, 2018
Maturity (1) |  | 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)
(Dollars in Thousands) |  |  |  |  |  |  |  |  |  |  |  |
Within 30 days |  | $ | — |  |  | — | % |  | — | % |  | $ | — |  |  | — | % |  | — | %
Over 30 days to 3 months |  | — |  |  | — |  |  | — |  |  | 100,000 |  |  | 1.71 |  |  | 2.50 |
Over 3 months to 6 months |  | 200,000 |  |  | 2.05 |  |  | 1.70 |  |  | 100,000 |  |  | 1.71 |  |  | 2.50 |
Over 6 months to 12 months |  | 1,430,000 |  |  | 2.30 |  |  | 1.77 |  |  | — |  |  | — |  |  | — |
Over 12 months to 24 months |  | 1,300,000 |  |  | 2.11 |  |  | 1.86 |  |  | 1,630,000 |  |  | 2.27 |  |  | 2.50 |
Over 24 months to 36 months |  | 20,000 |  |  | 1.38 |  |  | 1.90 |  |  | 800,000 |  |  | 2.57 |  |  | 2.64 |
Over 36 months to 48 months |  | 222,000 |  |  | 2.88 |  |  | 1.84 |  |  | — |  |  | — |  |  | — |
Over 48 months to 60 months |  | — |  |  | — |  |  | — |  |  | 417,000 |  |  | 2.88 |  |  | 2.63 |
Over 84 months |  | — |  |  | — |  |  | — |  |  | 170,000 |  |  | 3.00 |  |  | 2.66 |
Total Swaps |  | $ | 3,172,000 |  |  | 2.24 | % |  | 1.81 | % |  | $ | 3,217,000 |  |  | 2.42 | % |  | 2.56 | %
(1) Each maturity category reflects contractual amortization and/or maturity of notional amounts. (2) Reflects the benchmark variable rate due from the counterparty at the date presented, which rate adjusts monthly or quarterly based on one-month or three-month LIBOR, respectively.
Schedule of interest expense and the weighted average interest rate paid and received on swaps | The following table presents the net impact of the Company’s derivative hedging instruments on its net interest expense and the weighted average interest rate paid and received for such Swaps for the years ended December 31, 2019, 2018 and 2017:
|  | For the Year Ended December 31,
(Dollars in Thousands) |  | 2019 |  | 2018 |  | 2017
Interest expense attributable to Swaps |  | $ | 927 |  |  | $ | 3,780 |  |  | $ | 24,524 |
Weighted average Swap rate paid |  | 2.28 | % |  | 2.12 | % |  | 1.98 | %
Weighted average Swap rate received |  | 2.24 | % |  | 1.96 | % |  | 1.07 | %
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 years ended December 31, 2019, 2018 and 2017:
|  | For the Year Ended December 31,
(In Thousands) |  | 2019 |  | 2018 |  | 2017
AOCI from derivative hedging instruments: |  |  |  |  |  |  |  |  |
Balance at beginning of period |  | $ | 3,121 |  |  | $ | (11,424 | ) |  | $ | (46,721 | )
Net (loss)/gain on Swaps |  | (23,342 | ) |  | 14,545 |  |  | 35,297 |
Amortization of de-designated hedging instruments, net |  | (2,454 | ) |  | — |  |  | — |
Balance at end of period |  | $ | (22,675 | ) |  | $ | 3,121 |  |  | $ | (11,424 | )

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