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Other Assets (Tables) | 9 Months Ended
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Sep. 30, 2020
Other Assets [Abstract] |
Schedule of other assets | The following table presents the components of the Company’s Other assets at September 30, 2020 and December 31, 2019:
(In Thousands) |  | September 30, 2020 |  | December 31, 2019
REO (1) |  | $ | 298,866 |  |  | $ | 411,659 |
Capital contributions made to loan origination partners |  | 108,887 |  |  | 147,992 |
Other interest-earning assets |  | 45,442 |  |  | 70,468 |
Interest receivable |  | 42,723 |  |  | 70,986 |
Other MBS and loan related receivables |  | 36,342 |  |  | 43,842 |
Other |  | 39,354 |  |  | 39,304 |
Total Other Assets |  | $ | 571,614 |  |  | $ | 784,251 |
(1) Includes $59.3 million and $27.3 million of REO that is held-for-investment at September 30, 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 and nine months ended September 30, 2020 and 2019:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2020 |  | 2019 |  | 2020 |  | 2019
Balance at beginning of period |  | $ | 348,516 |  |  | $ | 334,069 |  |  | $ | 411,659 |  |  | $ | 249,413 |
Adjustments to record at lower of cost or fair value |  | 93 |  |  | (3,875) |  |  | (11,796) |  |  | (9,264) |
Transfer from residential whole loans (1) |  | 15,672 |  |  | 61,888 |  |  | 74,891 |  |  | 193,531 |
Purchases and capital improvements, net |  | 536 |  |  | 5,108 |  |  | 9,334 |  |  | 16,307 |
Disposals (2) |  | (65,951) |  |  | (20,990) |  |  | (185,222) |  |  | (73,787) |
Balance at end of period |  | $ | 298,866 |  |  | $ | 376,200 |  |  | $ | 298,866 |  |  | $ | 376,200 |
Number of properties |  | 1,131 |  |  | 1,508 |  |  | 1,131 |  |  | 1,508 |
(1)Includes net gain recorded on transfer of approximately $834,000 and $5.0 million for the three months ended September 30, 2020 and 2019, respectively; and approximately $4.1 million and $16.1 million for nine months ended September 30, 2020 and 2019, respectively. (2)During the three and nine months ended September 30, 2020, the Company sold 267 and 812 REO properties for consideration of $69.9 million and $195.2 million, realizing net gains of approximately $3.9 million and $10.0 million, respectively. During the three and nine months ended September 30, 2019, the Company sold 142 and 431 REO properties for consideration of $23.0 million and $80.0 million, realizing net gains of approximately $2.1 million and $5.8 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 September 30, 2020 and December 31, 2019:
|  |  |  | September 30, 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 September 30, 2020 and December 31, 2019:
(In Thousands) |  | September 30, 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 September 30, 2020 and December 31, 2019:
|  | September 30, 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 and nine months ended September 30, 2020 and 2019:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(Dollars in Thousands) |  | 2020 |  | 2019 |  | 2020 |  | 2019
Interest (expense)/income attributable to Swaps |  | $ | — |  |  | $ | (322) |  |  | $ | (3,359) |  |  | $ | 1,561 |
Weighted average Swap rate paid |  | — | % |  | 2.29 | % |  | 2.06 | % |  | 2.32 | %
Weighted average Swap rate received |  | — | % |  | 2.24 | % |  | 1.63 | % |  | 2.40 | %
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 and nine months ended September 30, 2020 and 2019:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2020 |  | 2019 |  | 2020 |  | 2019
AOCI from derivative hedging instruments: |  |  |  |  |  |  |  |
Balance at beginning of period |  | $ | (7,176) |  |  | $ | (28,114) |  |  | $ | (22,675) |  |  | $ | 3,121 |
Net loss on Swaps |  | — |  |  | (233) |  |  | (50,127) |  |  | (30,384) |
Reclassification adjustment for losses/gains related to hedging instruments included in net income |  | 7,176 |  |  | (685) |  |  | 72,802 |  |  | (1,769) |
Balance at end of period |  | $ | — |  |  | $ | (29,032) |  |  | $ | — |  |  | $ | (29,032) |

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