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Other Assets (Tables)
 3 Months Ended
Mar. 31, 2020
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:

(In Thousands)
 
March 31, 2020
 
December 31, 2019
REO (1)
 
$
411,473

 
$
411,659

Receivable for unsettled MBS sales
 
392,597

 
—

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



(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.
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:
 
 
Three Months Ended March 31,
(In Thousands)
 
2020
 
2019
Balance at beginning of period
 
$
411,659

 
$
249,413

Adjustments to record at lower of cost or fair value
 
(4,750
)
 
(4,072
)
Transfer from residential whole loans (1)
 
50,693

 
65,160

Purchases and capital improvements, net
 
5,606

 
5,923

Disposals (2)
 
(51,735
)
 
(25,837
)
Balance at end of period
 
$
411,473

 
$
290,587

 
 
 
 
 
Number of properties
 
1,622

 
1,233


(1)
Includes net gain recorded on transfer of approximately $3.0 million and $4.6 million for the three months ended March 31, 2020 and 2019, respectively.
(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.
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:
 
 
 
 
 
March 31, 2020
 
December 31, 2019
Derivative Instrument (1)
 
Designation 
 
Notional Amount
 
Fair Value
 
Notional Amount
 
Fair Value
(In Thousands)
 
 
 
 
 
 
 
 
 
 
Swaps
 
Hedging
 
$
—

 
$
—

 
$
2,942,000

 
$
—

Swaps
 
Non-Hedging
 
$
—

 
$
—

 
$
230,000

 
$
—

 
(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 March 31, 2020 and December 31, 2019:
 
(In Thousands)
 
March 31, 2020
 
December 31, 2019
Agency MBS, at fair value
 
$
—

 
$
2,241

Restricted cash
 
—

 
16,777

Total assets pledged against Swaps
 
$
—

 
$
19,018
Schedule of information about swaps

The following table presents information about the Company’s Swaps at March 31, 2020 and December 31, 2019:
 
 
 
 
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
 
$
—

 
—
%
 
—
%
 
$
200,000

 
2.05
%
 
1.70
%
 
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

 
Over 24 months to 36 months
 
—

 
—

 
—

 
20,000

 
1.38

 
1.90

 
Over 36 months to 48 months
 
—

 
—

 
—

 
222,000

 
2.88

 
1.84

 
Total Swaps
 
$
—

 
—
%
 
—
%
 
$
3,172,000

 
2.24
%
 
1.81
%

(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 three months ended March 31, 2020 and 2019:
 
 
 
Three Months Ended
March 31,
(Dollars in Thousands)
 
2020
 
2019
Interest (expense)/income attributable to Swaps
 
$
(3,359
)
 
$
1,191

Weighted average Swap rate paid
 
2.09
%
 
2.31
%
Weighted average Swap rate received
 
1.65
%
 
2.49
%
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:
 
 
 
Three Months Ended
March 31,
(In Thousands)
 
2020
 
2019
AOCI from derivative hedging instruments:
 
 
 
 
Balance at beginning of period
 
$
(22,675
)
 
$
3,121

Net loss on Swaps
 
(50,127
)
 
(10,445
)
Amortization of de-designated hedging instruments, net
 
1,594

 
(341
)
Balance at end of period
 
$
(71,208
)
 
$
(7,665
)