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Financing Agreements (Tables) | 3 Months Ended
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Mar. 31, 2021
Disclosure of Repurchase Agreements [Abstract] |
Financing Agreements | The following tables present the components of the Company’s Financing agreements at March 31, 2021 and December 31, 2020:
|  | March 31, 2021
(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 |  | $ | 1,039,205 |  |  | $ | 1,039,205 |  |  | $ | 1,041,283 |
Agreements with mark-to-market collateral provisions |  | 1,180,287 |  |  | 1,180,287 |  |  | 1,180,287 |
Securitized debt |  | 748,717 |  |  | 748,708 |  |  | 753,008 |
Total Financing agreements, at fair value |  | $ | 2,968,209 |  |  | $ | 2,968,200 |  |  | $ | 2,974,578 |
Other financing agreements |  |  |  |  |  |
Securitized debt |  | $ | 800,137 |  |  |  |  | $ | 795,912 |
Convertible senior notes |  | 230,000 |  |  |  |  | 225,492 |
Total Financing agreements at carrying value |  | $ | 1,030,137 |  |  |  |  | $ | 1,021,404 |
Total Financing agreements |  | $ | 3,998,346 |  |  |  |  | $ | 3,995,982 |
|  | December 31, 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 |  | $ | 1,156,899 |  |  | $ | 1,156,899 |  |  | $ | 1,159,213 |
Agreements with mark-to-market collateral provisions |  | 1,338,077 |  |  | 1,338,077 |  |  | 1,338,077 |
Securitized debt |  | 866,203 |  |  | 857,553 |  |  | 869,482 |
Total Financing agreements, at fair value |  | $ | 3,361,179 |  |  | $ | 3,352,529 |  |  | $ | 3,366,772 |
Other financing agreements |  |  |  |  |  |
Securitized debt |  | $ | 648,300 |  |  |  |  | $ | 645,027 |
Convertible senior notes |  | 230,000 |  |  |  |  | 225,177 |
Senior notes |  | 100,000 |  |  |  |  | 100,000 |
Total Financing agreements at carrying value |  | $ | 978,300 |  |  |  |  | $ | 970,204 |
Total Financing agreements |  | $ | 4,339,479 |  |  |  |  | $ | 4,336,976 |
(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.
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 March 31, 2021 and December 31, 2020:
(Dollars in Thousands) |  | March 31, 2021 |  | December 31, 2020
Non-mark-to-market financing secured by residential whole loans at carrying value |  | $ | 794,634 |  |  | $ | 906,466 |
Fair value of residential whole loans at carrying value pledged as collateral under financing agreements |  | $ | 1,313,629 |  |  | $ | 1,500,100 |
Weighted average haircut on residential whole loans at carrying value |  | 38.62 | % |  | 38.36 | %
Non-mark-to-market financing secured by residential whole loans at fair value |  | $ | 239,654 |  |  | $ | 249,659 |
Fair value of residential whole loans at fair value pledged as collateral under financing agreements |  | $ | 427,234 |  |  | $ | 430,183 |
Weighted average haircut on residential whole loans at fair value |  | 43.89 | % |  | 42.69 | %
Non-mark-to-market financing secured by real estate owned |  | $ | 6,995 |  |  | $ | 3,088 |
Fair value of real estate owned pledged as collateral under financing agreements |  | $ | 16,183 |  |  | $ | 7,441 |
Weighted average haircut on real estate owned |  | 56.41 | % |  | 59.65 | %
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 March 31, 2021 and December 31, 2020:
(Dollars in Thousands) |  | March 31, 2021 |  | December 31, 2020
Mark-to-market financing agreements secured by residential whole loans at carrying value |  | $ | 732,442 |  |  | $ | 839,594 |
Fair value of residential whole loans at carrying value pledged as collateral under financing agreements (1) |  | $ | 1,168,394 |  |  | $ | 1,297,243 |
Weighted average haircut on residential whole loans at carrying value (2) |  | 34.39 | % |  | 32.57 | %
Mark-to-market financing agreements secured by residential whole loans at fair value |  | $ | 236,321 |  |  | $ | 273,959 |
Residential whole loans at fair value pledged as collateral under financing agreements (1) |  | $ | 468,279 |  |  | $ | 501,570 |
Weighted average haircut on residential whole loans at fair value (2) |  | 48.71 | % |  | 39.02 | %
Mark-to-market financing agreements secured by securities at fair value |  | $ | 200,746 |  |  | $ | 213,915 |
Securities at fair value pledged as collateral under financing agreements |  | $ | 350,115 |  |  | $ | 399,999 |
Weighted average haircut on securities at fair value (2) |  | 40.06 | % |  | 41.16 | %
Mark-to-market financing agreements secured by real estate owned |  | $ | 10,778 |  |  | $ | 10,609 |
Fair value of real estate owned pledged as collateral under financing agreements |  | $ | 37,108 |  |  | $ | 22,525 |
Weighted average haircut on real estate owned (2) |  | 51.76 | % |  | 55.25 | %
(1)At March 31, 2021 and December 31, 2020, includes Non-Agency MBS with an aggregate fair value of $36.3 million and $141.9 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. (2)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 March 31, 2021 and December 31, 2020:
|  | March 31, 2021 |  | December 31, 2020
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 |  | $ | 2,083,420 |  |  | 3.08 | % |  | $ | 2,494,976 |  |  | 3.16 | %
Over 30 days to 3 months |  | 136,072 |  |  | 2.14 |  |  | — |  |  | — |
Over 3 months to 12 months |  | — |  |  | — |  |  | — |  |  | — |
Over 12 months |  | — |  |  | — |  |  | — |  |  | — |
Total financing agreements |  | $ | 2,219,492 |  |  | 3.02 | % |  | $ | 2,494,976 |  |  | 3.16 | %
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 March 31, 2021:
|  | March 31, 2021
|  | 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 |  | $ | 489,085 |  |  | 1 |  | 19.2 | %
Wells Fargo |  | A+/Aa2/AA- |  | 398,559 |  |  | 1 |  | 15.7 |
Credit Suisse |  | BBB+/Baa1/A- |  | 341,065 |  |  | 1 |  | 13.4 |
Goldman Sachs (3) |  | BBB+/A2/A |  | 149,368 |  |  | 1 |  | 5.9 |
(1)As rated at March 31, 2021 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published rating 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 $5.2 million at risk with Goldman Sachs and $144.2 million at risk with Goldman Sachs Bank USA.

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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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