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Repurchase Agreements (Tables) | 12 Months Ended
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Dec. 31, 2019
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 December 31, 2019 and 2018:
(Dollars in Thousands) |  | December 31, 2019 |  | December 31, 2018
Repurchase agreement borrowings secured by Agency MBS |  | $ | 1,557,675 |  |  | $ | 2,384,357 |
Fair value of Agency MBS pledged as collateral under repurchase agreements |  | $ | 1,656,373 |  |  | $ | 2,572,597 |
Weighted average haircut on Agency MBS (1) |  | 4.46 | % |  | 4.60 | %
Repurchase agreement borrowings secured by Legacy Non-Agency MBS |  | $ | 1,121,802 |  |  | $ | 1,447,585 |
Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements |  | $ | 1,420,797 |  |  | $ | 1,871,650 |
Weighted average haircut on Legacy Non-Agency MBS (1) |  | 20.27 | % |  | 21.38 | %
Repurchase agreement borrowings secured by RPL/NPL MBS |  | $ | 495,091 |  |  | $ | 1,084,532 |
Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements |  | $ | 635,005 |  |  | $ | 1,377,250 |
Weighted average haircut on RPL/NPL MBS (1) |  | 21.52 | % |  | 21.31 | %
Repurchase agreements secured by CRT securities |  | $ | 203,569 |  |  | $ | 391,586 |
Fair value of CRT securities pledged as collateral under repurchase agreements |  | $ | 252,175 |  |  | $ | 480,315 |
Weighted average haircut on CRT securities (1) |  | 18.84 | % |  | 20.01 | %
Repurchase agreements secured by residential whole loans (2) |  | $ | 4,743,094 |  |  | $ | 2,020,508 |
Fair value of residential whole loans pledged as collateral under repurchase agreements (3)(4) |  | $ | 5,986,267 |  |  | $ | 2,441,931 |
Weighted average haircut on residential whole loans (1) |  | 20.07 | % |  | 16.55 | %
Repurchase agreements secured by MSR-related assets |  | $ | 962,515 |  |  | $ | 474,127 |
Fair value of MSR-related assets pledged as collateral under repurchase agreements |  | $ | 1,217,002 |  |  | $ | 611,807 |
Weighted average haircut on MSR-related assets (1) |  | 21.18 | % |  | 21.88 | %
Repurchase agreements secured by other interest-earning assets |  | $ | 57,198 |  |  | $ | 76,419 |
Fair value of other interest-earning assets pledged as collateral under repurchase agreements |  | $ | 61,708 |  |  | $ | 81,494 |
Weighted average haircut on other interest-earning assets (1) |  | 22.01 | % |  | 21.15 | %
(1) | Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
(2) | Excludes $1.1 million and $27,000 of unamortized debt issuance costs at December 31, 2019 and 2018, respectively.
(3) | At December 31, 2019 and 2018, includes RPL/NPL MBS with an aggregate fair value of $238.8 million and $27.0 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.
(4) At December 31, 2019 and 2018, includes residential whole loans held at carrying value with an aggregate fair value of $5.0 billion and $1.7 billion and aggregate amortized cost of $4.8 billion and $1.6 billion, respectively and residential whole loans held at fair value with an aggregate fair value and amortized cost of $794.7 million and $738.6 million, respectively.
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 December 31, 2019 and 2018:
|  | December 31, 2019 |  | December 31, 2018
Time Until Interest Rate Reset |  | Balance |  | Weighted Average Interest Rate |  | Balance |  | Weighted Average Interest Rate
(Dollars in Thousands) |  |  |  |  |  |  |  |
Within 30 days |  | $ | 4,472,120 |  |  | 2.55 | % |  | $ | 6,747,166 |  |  | 3.35 | %
Over 30 days to 3 months |  | 2,746,384 |  |  | 3.43 |  |  | 368,857 |  |  | 3.10 |
Over 3 months to 12 months |  | 1,014,441 |  |  | 3.36 |  |  | 763,091 |  |  | 4.18 |
Over 12 months |  | 907,999 |  |  | 3.44 |  |  | — |  |  | — |
Total repurchase agreements |  | $ | 9,140,944 |  |  | 2.99 | % |  | $ | 7,879,114 |  |  | 3.42 | %
Less debt issuance costs |  | 1,123 |  |  |  |  | 27 |  |  |
Total repurchase agreements less debt issuance costs |  | $ | 9,139,821 |  |  |  |  | $ | 7,879,087 |  |  |
Schedule of contractual maturity information about repurchase agreements | The following table presents contractual maturity information about the Company’s borrowings under repurchase agreements, all of which are accounted for as secured borrowings, at December 31, 2019, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:
|  | December 31, 2019
Contractual Maturity |  | Overnight |  | Within 30 Days |  | Over 30 Days to 3 Months |  | Over 3 Months to 12 Months |  | Over 12 months |  | Total
(Dollars in Thousands) |  |  |  |  |  |  |  |  |  |  |  |
Agency MBS |  | $ | — |  |  | $ | 1,557,675 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,557,675 |
Legacy Non-Agency MBS |  | — |  |  | 942,212 |  |  | — |  |  | 179,590 |  |  | — |  |  | 1,121,802 |
RPL/NPL MBS |  | — |  |  | 495,091 |  |  | — |  |  | — |  |  | — |  |  | 495,091 |
CRT securities |  | — |  |  | 203,569 |  |  | — |  |  | — |  |  | — |  |  | 203,569 |
Residential whole loans (1) |  | — |  |  | 486,226 |  |  | 2,600,720 |  |  | 748,149 |  |  | 907,999 |  |  | 4,743,094 |
MSR-related assets |  | — |  |  | 772,197 |  |  | 145,664 |  |  | 44,654 |  |  | — |  |  | 962,515 |
Other |  | — |  |  | 15,150 |  |  | — |  |  | 42,048 |  |  | — |  |  | 57,198 |
Total (2) |  | $ | — |  |  | $ | 4,472,120 |  |  | $ | 2,746,384 |  |  | $ | 1,014,441 |  |  | $ | 907,999 |  |  | $ | 9,140,944 |
Weighted Average Interest Rate |  | — | % |  | 2.55 | % |  | 3.43 | % |  | 3.36 | % |  | 3.44 | % |  | 2.99 | %
(1) | Repurchase agreement financings secured by residential whole loan collateral are disclosed based on the contractual maturity agreed with the respective counterparty. At December 31, 2019, $2.4 billion of repurchase agreement financings are subject to termination, at the option of the lender, prior to the otherwise agreed contractual maturity following the conclusion of a properly advised notice period. Such notice periods currently range from one month to six months. In addition, such repurchase agreements are subject to periodic repricing during their terms.
(2) | Excludes $1.1 million of unamortized debt issuance costs at December 31, 2019.
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 December 31, 2019:
| December 31, 2019
Counterparty | Counterparty Rating (1) |  | Amount at Risk (2) |  | Weighted Average Months to Maturity for Repurchase Agreements |  | Percent of Stockholders’ Equity
(Dollars in Thousands) |  |  |  |  |  |  |
Credit Suisse (3) | BBB+/Baa2/A- |  | $ | 414,987 |  |  | 2 |  | 12.3 | %
Barclay's Bank | BBB/Aa3/A |  | 393,391 |  |  | 2 |  | 11.6 |
Goldman Sachs (4) | BBB+/A3/A |  | 247,191 |  |  | 7 |  | 7.3 |
Wells Fargo (5) | A+/Aa2/AA- |  | 206,651 |  |  | 17 |  | 6.1 |
(1) | As rated at December 31, 2019 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published for these entities.
(2) | The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities.
(3) | Includes $362.6 million at risk with Credit Suisse and $52.4 million at risk with Credit Suisse Cayman.
(4) | Includes $130.5 million at risk with Goldman Sachs Bank USA and $116.7 million at risk with Goldman Sachs Lending Partners.
(5) Includes $199.8 million at risk with Wells Fargo Bank, NA and $6.9 million at risk with Wells Fargo Securities LLC.

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- Definition Tabular disclosure of information pertaining to the company's borrowings under repurchase agreements and associated assets pledged as collateral. + References No definition available. + Details
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- Definition Tabular disclosure of the amounts and weighted average interest rates of repurchase agreements by length of time until interest rate reset. + References No definition available. + Details
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- Definition Tabular disclosure, as of the balance sheet date, of the amount at risk under repurchase agreements with any individual counterparty or group of related counterparties which exceeds 5 percent of stockholders' equity. This includes the name of each counterparty or group of related counterparties, the amount at risk with each, and the weighted average maturity of the repurchase agreements with each. The amount at risk under repurchase agreements is defined as the difference between (a) the amount loaned to the Company through repurchase agreements and repurchase agreements underlying Linked Transactions, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral and MBS underlying Linked Transactions, including accrued interest receivable on such securities. + References No definition available. + Details
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- Definition Tabular disclosure, as of the most recent balance sheet date, of securities or other assets sold under repurchase agreements when this amount exceeds 10 percent of total assets. Disclosure may include the following: the type of securities or assets sold under agreements to repurchase, the carrying amount, market value (including accrued interest plus any cash or other assets on deposit. The information is segregated into securities maturing (1) overnight; (2) term up to 30 days; (3) term of 30 to 90 days; (4) term over 90 days; (5) demand. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(m)(1)(i)(A)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 + Details
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