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Repurchase Agreements (Tables)
 3 Months Ended
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:
(Dollars in Thousands)
 
March 31,
2020
 
December 31,
2019
Repurchase agreements secured by residential whole loans (1)
 
$
4,700,931

 
$
4,743,094

Fair value of residential whole loans pledged as collateral under repurchase agreements (2)(3)
 
$
5,665,277

 
$
5,986,267

Weighted average haircut on residential whole loans (4)
 
19.17
%
 
20.07
%
Repurchase agreement borrowings secured by Agency MBS
 
$
522,209

 
$
1,557,675

Fair value of Agency MBS pledged as collateral under repurchase agreements
 
$
568,704

 
$
1,656,373

Weighted average haircut on Agency MBS (4)
 
4.99
%
 
4.46
%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS
 
$
1,003,122

 
$
1,121,802

Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements
 
$
1,088,549

 
$
1,420,797

Weighted average haircut on Legacy Non-Agency MBS (4)
 
21.60
%
 
20.27
%
Repurchase agreement borrowings secured by RPL/NPL MBS
 
$
255,409

 
$
495,091

Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements
 
$
243,125

 
$
635,005

Weighted average haircut on RPL/NPL MBS (4)
 
20.30
%
 
21.52
%
Repurchase agreements secured by CRT securities 
 
$
297,628

 
$
203,569

Fair value of CRT securities pledged as collateral under repurchase agreements
 
$
263,225

 
$
252,175

Weighted average haircut on CRT securities (4)
 
20.89
%
 
18.84
%
Repurchase agreements secured by MSR-related assets
 
$
929,915

 
$
962,515

Fair value of MSR-related assets pledged as collateral under repurchase agreements
 
$
877,204

 
$
1,217,002

Weighted average haircut on MSR-related assets (4)
 
22.11
%
 
21.18
%
Repurchase agreements secured by other interest-earning assets
 
$
59,777

 
$
57,198

Fair value of other interest-earning assets pledged as collateral under repurchase agreements
 
$
71,837

 
$
61,708

Weighted average haircut on other interest-earning assets (4)
 
21.88
%
 
22.01
%
 
(1)
Excludes $811,000 and $1.1 million of unamortized debt issuance costs at March 31, 2020 and December 31, 2019, respectively.
(2)
At March 31, 2020 and December 31, 2019, includes RPL/NPL MBS with an aggregate fair value of $193.9 million and $238.8 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.
(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.

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:

 
 
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
 
$
2,504,628

 
1.96
%
 
$
4,472,120

 
2.55
%
Over 30 days to 3 months
 
2,993,905

 
2.96

 
2,746,384

 
3.43

Over 3 months to 12 months
 
1,392,318

 
4.06

 
1,014,441

 
3.36

Over 12 months
 
878,140

 
5.65

 
907,999

 
3.44

Total repurchase agreements
 
$
7,768,991

 
3.14
%
 
$
9,140,944

 
2.99
%
Less debt issuance costs
 
811

 
 
 
1,123

 
 
Total repurchase agreements less debt
  issuance costs
 
$
7,768,180

 
 
 
$
9,139,821

 
 
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:
 
 
 
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-
 
$
421,642

 
2
 
17.3
%
Barclays Bank
 
BBB/Aa3/A
 
386,620

 
2
 
15.8

Goldman Sachs (5)
 
BBB+/A3/A
 
256,550

 
5
 
10.5

Wells Fargo (6)
 
A+/Aa2/AA-
 
246,865

 
16
 
10.1


(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 $369.0 million at risk with Credit Suisse and $52.6 million at risk with Credit Suisse Cayman.
(5)
Includes $118.1 million at risk with Goldman Sachs Lending Partners and $138.4 million at risk with Goldman Sachs Bank USA.
(6)
Includes $240.9 million at risk with Wells Fargo Bank, NA and approximately $6.0 million at risk with Wells Fargo Securities LLC