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Financing Agreements (Tables) | 9 Months Ended
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Sep. 30, 2021
Disclosure of Repurchase Agreements [Abstract] |
Financing agreements | The following tables present the components of the Company’s Financing agreements at September 30, 2021 and December 31, 2020:
|  | September 30, 2021
(In Thousands) |  | Unpaid Principal Balance |  | Amortized Cost Balance |  | Fair Value/Carrying Value(1)
Financing agreements, at fair value |  |  |  |  |  |
Agreements with mark-to-market collateral provisions |  | $ | 1,275,172 |  |  | $ | 1,275,172 |  |  | $ | 1,275,172 |
Agreements with non-mark-to-market collateral provisions |  | 689,205 |  |  | 689,205 |  |  | 690,583 |
Securitized debt |  | 527,160 |  |  | 527,154 |  |  | 530,829 |
Total Financing agreements, at fair value |  | $ | 2,491,537 |  |  | $ | 2,491,531 |  |  | $ | 2,496,584 |
Financing agreements, at carrying value |  |  |  |  |  |
Securitized debt |  | $ | 1,522,354 |  |  |  |  | $ | 1,514,900 |
Agreements with mark-to-market collateral provisions |  | 1,155,964 |  |  |  |  | 1,155,820 |
Agreements with non-mark-to-market collateral provisions |  | 157,784 |  |  |  |  | 157,366 |
Convertible senior notes |  | 230,000 |  |  |  |  | 226,138 |
Total Financing agreements, at carrying value |  | $ | 3,066,102 |  |  |  |  | $ | 3,054,224 |
Total Financing agreements |  | $ | 5,557,639 |  |  |  |  | $ | 5,550,808 |
|  | 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 |
Financing agreements, at carrying value |  |  |  |  |  |
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, at fair value with non-mark-to-market collateral provisions and associated assets pledged as collateral at September 30, 2021 and December 31, 2020:
(Dollars in Thousands) |  | September 30, 2021 |  | December 31, 2020
Non-mark-to-market financing secured by residential whole loans |  | $ | 681,567 |  |  | $ | 1,156,125 |
Fair value of residential whole loans pledged as collateral under financing agreements |  | $ | 1,191,747 |  |  | $ | 1,930,283 |
Weighted average haircut on residential whole loans |  | 42.03 | % |  | 39.46 | %
Non-mark-to-market financing secured by real estate owned |  | $ | 9,016 |  |  | $ | 3,088 |
Fair value of real estate owned pledged as collateral under financing agreements |  | $ | 23,296 |  |  | $ | 7,441 |
Weighted average haircut on real estate owned |  | 61.09 | % |  | 59.73 | %
Financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral | The following table presents information with respect to the Company’s financing agreements, at fair value with mark-to-market collateral provisions and associated assets pledged as collateral at September 30, 2021 and December 31, 2020:
(Dollars in Thousands) |  | September 30, 2021 |  | December 31, 2020
Mark-to-market financing agreements secured by residential whole loans |  | $ | 1,262,811 |  |  | $ | 1,113,553 |
Fair value of residential whole loans pledged as collateral under financing agreements (1) |  | $ | 1,910,051 |  |  | $ | 1,798,813 |
Weighted average haircut on residential whole loans (2) |  | 31.84 | % |  | 34.17 | %
Mark-to-market financing agreements secured by securities at fair value |  | $ | — |  |  | $ | 213,915 |
Securities at fair value pledged as collateral under financing agreements |  | $ | — |  |  | $ | 399,999 |
Weighted average haircut on securities at fair value (2) |  | — | % |  | 41.16 | %
Mark-to-market financing agreements secured by real estate owned |  | $ | 12,361 |  |  | $ | 10,609 |
Fair value of real estate owned pledged as collateral under financing agreements |  | $ | 38,388 |  |  | $ | 22,525 |
Weighted average haircut on real estate owned (2) |  | 61.22 | % |  | 55.56 | %
(1)At December 31, 2020, includes Non-Agency MBS with an aggregate fair value of $141.9 million 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 financing agreements | The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements, at fair value that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at September 30, 2021 and December 31, 2020:
|  | September 30, 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 |  | $ | 1,964,377 |  |  | 2.55 | % |  | $ | 2,494,976 |  |  | 3.16 | %
Over 30 days to 3 months |  | — |  |  | — |  |  | — |  |  | — |
Over 3 months to 12 months |  | — |  |  | — |  |  | — |  |  | — |
Over 12 months |  | — |  |  | — |  |  | — |  |  | — |
Total financing agreements |  | $ | 1,964,377 |  |  | 2.55 | % |  | $ | 2,494,976 |  |  | 3.16 | %
The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements, at carrying value that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, for which the fair value option was not elected, at September 30, 2021 and December 31, 2020:
|  | September 30, 2021
Amortized Cost Basis |  | Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands) |  |  |  |
Within 30 days |  | $ | 1,259,588 |  |  | 1.90 | %
Over 30 days to 3 months |  | 36,141 |  |  | 4.30 |
Over 3 months to 12 months |  | 18,018 |  |  | 4.50 |
Over 12 months |  | — |  |  | — |
Total financing agreements |  | $ | 1,313,747 |  |  | 2.00 | %
Schedule of Company's borrowings under financing agreements and associated assets pledged as collateral | The following table presents information with respect to the Company’s financing agreements, at carrying value with non-mark-to-market collateral provisions, for which the fair value option was not elected, and associated assets pledged as collateral at September 30, 2021 (none were outstanding at December 31, 2020):
(Dollars in Thousands) |  | September 30, 2021
Non-mark-to-market financing agreements secured by residential whole loans |  | $ | 157,366 |
Fair value of residential whole loans pledged as collateral under financing agreements |  | $ | 182,316 |
Weighted average haircut on residential whole loans (1) |  | 13.00 | %
(1)Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. The following table presents information with respect to the Company’s financing agreements, at carrying value with mark-to-market collateral provisions, for which the fair value option was not elected, and associated assets pledged as collateral at September 30, 2021 (none were outstanding at December 31, 2020):
(Dollars in Thousands) |  | September 30, 2021
Mark-to-market financing agreements secured by residential whole loans |  | $ | 984,016 |
Fair value of residential whole loans pledged as collateral under financing agreements |  | $ | 1,161,100 |
Weighted average haircut on residential whole loans (1) |  | 15.21 | %
Mark-to-market financing agreements secured by securities at fair value |  | $ | 171,804 |
Securities at fair value pledged as collateral under financing agreements |  | $ | 283,037 |
Weighted average haircut on securities at fair value (1) |  | 38.33 | %
(1)Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
Schedule of information about counterparty for financing 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, 2021:
|  | September 30, 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 (3) |  | BBB/Aa3/A |  | $ | 527,745 |  |  | 1 |  | 20.3 | %
Credit Suisse |  | BBB+/Baa1/A- |  | 420,704 |  |  | 1 |  | 16.2 |
Wells Fargo |  | A+/Aa2/AA- |  | 296,559 |  |  | 1 |  | 11.4 |
(1)As rated at September 30, 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 amounts at risk with various affiliates of Athene Holding, Ltd., held via participation in a loan syndication administered by Barclays Bank.
Schedule of Company's assets (based on carrying value) pledged as collateral for its various financing arrangements | The following tables present the Company’s assets (based on carrying value) pledged as collateral for its various financing arrangements as of September 30, 2021 and December 31, 2020:
|  | September 30, 2021
|  | Financing Agreements
(In Thousands) |  | Non-Mark-to-Market |  | Mark-to-Market |  | Securitized |  | Total
Assets: |  |  |  |  |  |  |  |
Residential whole loans, at carrying value |  | $ | 794,267 |  |  | $ | 533,633 |  |  | $ | 1,679,702 |  |  | $ | 3,007,602 |
Residential whole loans, at fair value |  | 555,738 |  |  | 2,499,284 |  |  | 650,507 |  |  | 3,705,529 |
Securities, at fair value |  | — |  |  | 222,705 |  |  | — |  |  | 222,705 |
Other assets: REO |  | 19,919 |  |  | 32,363 |  |  | 36,053 |  |  | 88,335 |
Total |  | $ | 1,369,924 |  |  | $ | 3,287,985 |  |  | $ | 2,366,262 |  |  | $ | 7,024,171 |
|  | December 31, 2020
|  | Financing Agreements
(In Thousands) |  | Non-Mark-to-Market |  | Mark-to-Market |  | Securitized |  | Total
Assets: |  |  |  |  |  |  |  |
Residential whole loans, at carrying value |  | $ | 1,497,281 |  |  | $ | 1,207,364 |  |  | $ | 1,436,316 |  |  | $ | 4,140,961 |
Residential whole loans, at fair value |  | 430,183 |  |  | 396,817 |  |  | 382,349 |  |  | 1,209,349 |
Securities, at fair value |  | — |  |  | 442,773 |  |  | — |  |  | 442,773 |
Other assets: REO |  | — |  |  | — |  |  | 49,477 |  |  | 49,477 |
Total |  | $ | 1,927,464 |  |  | $ | 2,046,954 |  |  | $ | 1,868,142 |  |  | $ | 5,842,560 |

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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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