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Financing Agreements (Tables) | 9 Months Ended
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Sep. 30, 2020
Disclosure of Repurchase Agreements [Abstract] |
Financing Agreements | The following tables present the components of the Company’s Financing agreements at September 30, 2020 and December 31, 2019:
|  | September 30, 2020
(In Thousands) |  | Unpaid Principal Balance |  | Amortized Cost Balance |  | Fair Value/Carrying Value(1)
Financing agreements, at fair value |  |  |  |  |  |
Agreements with non-mark-to-market collateral provisions |  | $ | 1,723,959 |  |  | $ | 1,723,959 |  |  | $ | 1,727,407 |
Agreements with mark-to-market collateral provisions |  | 1,489,097 |  |  | 1,489,097 |  |  | 1,490,271 |
Senior secured credit agreement |  | 481,250 |  |  | 462,923 |  |  | 473,993 |
Securitized debt |  | 389,051 |  |  | 380,407 |  |  | 388,790 |
Total Financing agreements, at fair value |  | $ | 4,083,357 |  |  | $ | 4,056,386 |  |  | $ | 4,080,461 |
Other financing agreements |  |  |  |  |  |
Securitized debt |  | $ | 451,197 |  |  |  |  | $ | 448,893 |
Convertible senior notes |  | 230,000 |  |  |  |  | 224,867 |
Senior notes |  | 100,000 |  |  |  |  | 96,900 |
Total Financing agreements at carrying value |  | $ | 781,197 |  |  |  |  | $ | 770,660 |
Total Financing agreements |  | $ | 4,864,554 |  |  |  |  | $ | 4,851,121 |
(1) Financing agreements at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. Other financing arrangements are reported at their carrying value (amortized cost basis) as the fair value option was not elected on these liabilities. Consequently, Total Financing agreements as presented reflects a summation of balances reported at fair value and carrying value. Set out below is information about the Company’s Financing agreements that existed as of December 31, 2019. During the second quarter of 2020, outstanding repurchase agreement transactions at that time were renegotiated as part of a reinstatement agreement that was entered into by the Company. The Company elected to account for these reinstated transactions under the fair value option from the time these repurchase agreements were reinstated. Accordingly, as of September 30, 2020, such liabilities are reported as Financing agreements at fair value.
|  | December 31, 2019
(In Thousands) |  | Unpaid Principal Balance |  | Carrying Value
Repurchase agreements |  | $ | 9,140,944 |  |  | $ | 9,139,821 |
Securitized debt |  | 573,900 |  |  | 570,952 |
Convertible senior notes |  | 230,000 |  |  | 223,971 |
Senior notes |  | 100,000 |  |  | 96,862 |
Total Financing agreements at carrying value |  | $ | 10,044,844 |  |  | $ | 10,031,606 |
Financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral | The following table presents information with respect to the Company’s financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral at September 30, 2020 and December 31, 2019:
(Dollars in Thousands) |  | September 30, 2020 |  | December 31, 2019
Non-mark-to-market financing secured by residential whole loans at carrying value |  | $ | 1,471,269 |  |  | $ | — |
Fair value of residential whole loans at carrying value pledged as collateral under financing agreements |  | $ | 2,323,085 |  |  | $ | — |
Weighted average haircut on residential whole loans at carrying value |  | 41.91 | % |  | — | %
Non-mark-to-market financing secured by residential whole loans at fair value |  | $ | 256,138 |  |  | $ | — |
Fair value of residential whole loans at fair value pledged as collateral under financing agreements |  | $ | 435,081 |  |  | $ | — |
Weighted average haircut on residential whole loans at fair value |  | 41.25 | % |  | — | %
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 financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral at September 30, 2020 and December 31, 2019:
(Dollars in Thousands) |  | September 30, 2020 |  | December 31, 2019
Mark-to-market financing agreements secured by residential whole loans (1) |  | $ | 1,231,734 |  |  | $ | 4,743,094 |
Fair value of residential whole loans pledged as collateral under financing agreements (2) |  | $ | 2,002,903 |  |  | $ | 5,986,267 |
Weighted average haircut on residential whole loans (3) |  | 30.88 | % |  | 20.07 | %
Mark-to-market financing agreement borrowings secured by Agency MBS |  | $ | — |  |  | $ | 1,557,675 |
Fair value of Agency MBS pledged as collateral under financing agreements |  | $ | — |  |  | $ | 1,656,373 |
Weighted average haircut on Agency MBS (3) |  | — | % |  | 4.46 | %
Mark-to-market financing agreement borrowings secured by Legacy Non-Agency MBS |  | $ | 1,282 |  |  | $ | 1,121,802 |
Fair value of Legacy Non-Agency MBS pledged as collateral under financing agreements |  | $ | 2,621 |  |  | $ | 1,420,797 |
Weighted average haircut on Legacy Non-Agency MBS (3) |  | 50.00 | % |  | 20.27 | %
Mark-to-market financing agreement borrowings secured by RPL/NPL MBS |  | $ | 32,950 |  |  | $ | 495,091 |
Fair value of RPL/NPL MBS pledged as collateral under financing agreements |  | $ | 53,809 |  |  | $ | 635,005 |
Weighted average haircut on RPL/NPL MBS (3) |  | 38.75 | % |  | 21.52 | %
Mark-to-market financing agreements secured by CRT securities |  | $ | 54,883 |  |  | $ | 203,569 |
Fair value of CRT securities pledged as collateral under financing agreements |  | $ | 96,336 |  |  | $ | 252,175 |
Weighted average haircut on CRT securities (3) |  | 42.47 | % |  | 18.84 | %
Mark-to-market financing agreements secured by MSR-related assets |  | $ | 135,340 |  |  | $ | 962,515 |
Fair value of MSR-related assets pledged as collateral under financing agreements |  | $ | 252,183 |  |  | $ | 1,217,002 |
Weighted average haircut on MSR-related assets (3) |  | 39.87 | % |  | 21.18 | %
Mark-to-market financing agreements secured by other interest-earning assets |  | $ | 34,082 |  |  | $ | 57,198 |
Fair value of other interest-earning assets pledged as collateral under financing agreements |  | $ | 44,079 |  |  | $ | 61,708 |
Weighted average haircut on other interest-earning assets (3) |  | 25.00 | % |  | 22.01 | %
(1)Excludes $0 and $1.1 million of unamortized debt issuance costs at September 30, 2020 and December 31, 2019, respectively. (2)At September 30, 2020 and December 31, 2019, includes RPL/NPL MBS with an aggregate fair value of $192.7 million and $238.8 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. (3) 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 (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at September 30, 2020 and December 31, 2019:
|  | September 30, 2020 |  | December 31, 2019
Amortized Cost Basis |  | Weighted Average Interest Rate | Amortized Cost Basis |  | Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands) |  |  |  |  |  |  |  |
Within 30 days |  | $ | 2,932,213 |  |  | 3.36 | % |  | $ | 4,472,120 |  |  | 2.55 | %
Over 30 days to 3 months |  | — |  |  | — |  |  | 2,746,384 |  |  | 3.43 |
Over 3 months to 12 months |  | 280,843 |  |  | 3.02 |  |  | 1,014,441 |  |  | 3.36 |
Over 12 months |  | — |  |  | — |  |  | 907,999 |  |  | 3.44 |
Total financing agreements |  | $ | 3,213,056 |  |  | 3.33 | % |  | $ | 9,140,944 |  |  | 2.99 | %
Less debt issuance costs |  | — |  |  |  |  | 1,123 |  |  |
Total financing agreements less debt issuance costs |  | $ | 3,213,056 |  |  |  |  | $ | 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 financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at September 30, 2020:
|  | September 30, 2020
|  | Counterparty Rating (1) |  | Amount at Risk (2) |  | Weighted Average Months to Repricing for Repurchase Agreements |  | Percent of Stockholders’ Equity
Counterparty |  |  |  |
(Dollars in Thousands) |  |  |  |  |  |  |  |
Barclays Bank |  | BBB/Aa3/A |  | $ | 750,922 |  |  | 1 |  | 29.3 | %
Credit Suisse |  | BBB+/Baa2/A- |  | 574,835 |  |  | 1 |  | 22.4 |
Wells Fargo |  | A+/Aa2/AA- |  | 349,825 |  |  | 1 |  | 13.6 |
Goldman Sachs (3) |  | BBB+/A3/A |  | 173,266 |  |  | 3 |  | 6.8 |
Athene (4) |  | BBB+/N/A/BBB+ |  | 144,245 |  |  | 1 |  | 5.6 |
(1)As rated at September 30, 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 financing 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 $20.6 million at risk with Goldman Sachs and $152.7 million at risk with Goldman Sachs Bank USA. (4)Includes amounts at risk with various Athene affiliates that collectively exceed 5% of stockholders’ equity.

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- Definition Finance Agreements With Non Mark to Market Collateral Provisions and Associated Assets Pledged as Collateral [Table Text Block] + References No definition available. + Details
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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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