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Other Assets (Tables)
 9 Months Ended
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, 2020December 31, 2019
REO (1)
$298,866 $411,659 
Capital contributions made to loan origination partners108,887 147,992 
Other interest-earning assets45,442 70,468 
Interest receivable42,723 70,986 
Other MBS and loan related receivables36,342 43,842 
Other39,354 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)2020201920202019
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, net536 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 properties1,131 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, 2020December 31, 2019
Derivative Instrument (1)
Designation Notional AmountFair ValueNotional AmountFair Value
(In Thousands)  
Swaps
Hedging$— $— $2,942,000 $— 
SwapsNon-Hedging$— $— $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, 2020December 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, 2020December 31, 2019
 Notional AmountWeighted 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)2020201920202019
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)2020201920202019
AOCI from derivative hedging instruments:
Balance at beginning of period$(7,176)$(28,114)$(22,675)$3,121 
Net loss on Swaps— (233)(50,127)(30,384)
Reclassification adjustment for losses/gains related to hedging instruments included in net income7,176 (685)72,802 (1,769)
Balance at end of period$— $(29,032)$— $(29,032)