☒ | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
27-0312904 | ||||||||
Incorporation or Organization) | (I.R.S. Employer Identification No.) |
1601 Utica Avenue South, Suite 900 | |||||||||||
St. Louis Park, | Minnesota | 55416 | |||||||||
(Address of Principal Executive Offices) | (Zip Code) |
Title of Each Class: | Trading Symbol(s) | Name of Exchange on Which Registered: | ||||||||||||
Common Stock, par value $0.01 per share | TWO | New York Stock Exchange | ||||||||||||
8.125% Series A Cumulative Redeemable Preferred Stock | TWO PRA | New York Stock Exchange | ||||||||||||
7.625% Series B Cumulative Redeemable Preferred Stock | TWO PRB | New York Stock Exchange | ||||||||||||
7.25% Series C Cumulative Redeemable Preferred Stock | TWO PRC | New York Stock Exchange | ||||||||||||
Large accelerated filer | ☒ | Accelerated filer | ☐ | ||||||||
Non-accelerated filer | ☐ | Smaller reporting company | ☐ | ||||||||
Emerging growth company | ☐ |
Page | ||||||||
PART I | ||||||||
PART II | ||||||||
PART III | ||||||||
PART IV | ||||||||
Agency RMBS | Agency RMBS collateralized by fixed rate mortgage loans, adjustable-rate mortgage (or ARM) loans or hybrid mortgage loans, or derivatives thereof, including: | |||||||
• | mortgage pass-through certificates; | |||||||
• | collateralized mortgage obligations; | |||||||
• | uniform mortgage-backed securities; | |||||||
• | Freddie Mac gold certificates; | |||||||
• | Fannie Mae certificates; | |||||||
• | Ginnie Mae certificates; | |||||||
• | “to-be-announced” forward contracts, or TBAs, which are pools of mortgages with specific investment terms to be issued by | |||||||
• | interest-only and inverse interest-only securities. | |||||||
MSR | The right to control the servicing of residential mortgage loans, receive the servicing income therefrom and the obligation to service the loans in accordance with relevant standards; the actual servicing functions are outsourced to appropriately licensed third-party subservicers, which service the loans in their own names. |
December 31, | ||||||||||||||||||||
Plan Category | Number of securities to be issued upon exercise of outstanding options, warrants and rights | Weighted-average exercise price of outstanding options, warrants and rights | Number of securities remaining available for future issuance under equity compensation plans (excluding securities reflected in the first column of this table) | |||||||||||||||||
Equity compensation plans approved by stockholders (1) | — | $ | — | |||||||||||||||||
Equity compensation plans not approved by stockholders | — | — | — | |||||||||||||||||
Total | — | $ | — |
(1)For a detailed description of the Equity Incentive Plans, see Note 17 - Equity Incentive Plans of the consolidated financial statements included under Item 8 of this Annual Report on Form 10-K. |
December 31, | ||||||||||||||||||||||||||||||||
Index | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||||||
Two Harbors Investment Corp. | $ | 69.68 | $ | 69.62 | $ | 145.66 | $ | 113.21 | $ | 126.47 | ||||||||||||||||||||||
S&P 500 | $ | 233.28 | $ | 181.29 | $ | 153.13 | $ | 116.47 | $ | 121.82 | ||||||||||||||||||||||
Bloomberg REIT Mortgage Index | $ | 132.08 | $ | 112.30 | $ | 144.35 | $ | 116.77 | $ | 120.27 |
December 31, | ||||||||||||||||||||
Index | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||
Two Harbors Investment Corp. | $ | 165.05 | $ | 122.72 | $ | 137.09 | $ | 108.40 | $ | 90.23 | ||||||||||
S&P 500 | $ | 208.05 | $ | 132.19 | $ | 138.26 | $ | 113.49 | $ | 101.37 | ||||||||||
Bloomberg REIT Mortgage Index | $ | 154.54 | $ | 128.65 | $ | 132.51 | $ | 110.18 | $ | 90.11 |
(in thousands) | For the Years Ended December 31, | ||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||
Interest income: | |||||||||||||||||||
Available-for-sale securities | $ | 962,283 | $ | 847,325 | $ | 631,853 | $ | 414,050 | $ | 458,515 | |||||||||
Residential mortgage loans held-for-investment in securitization trusts | — | — | 102,886 | 133,993 | 95,740 | ||||||||||||||
Other | 32,407 | 22,707 | 10,350 | 27,037 | 38,624 | ||||||||||||||
Total interest income | 994,690 | 870,032 | 745,089 | 575,080 | 592,879 | ||||||||||||||
Interest expense: | |||||||||||||||||||
Repurchase agreements | 654,280 | 469,437 | 210,430 | 88,850 | 72,653 | ||||||||||||||
Collateralized borrowings in securitization trusts | — | — | 82,573 | 97,729 | 57,216 | ||||||||||||||
Federal Home Loan Bank advances | 10,920 | 20,417 | 36,911 | 26,101 | 11,921 | ||||||||||||||
Revolving credit facilities | 19,354 | 10,820 | 2,341 | 604 | — | ||||||||||||||
Term notes payable | 10,708 | — | — | — | — | ||||||||||||||
Convertible senior notes | 19,067 | 18,997 | 17,933 | — | — | ||||||||||||||
Total interest expense | 714,329 | 519,671 | 350,188 | 213,284 | 141,790 | ||||||||||||||
Net interest income | 280,361 | 350,361 | 394,901 | 361,796 | 451,089 | ||||||||||||||
Other-than-temporary impairment losses | (14,312 | ) | (470 | ) | (789 | ) | (1,822 | ) | (535 | ) | |||||||||
Other income (loss): | |||||||||||||||||||
Gain (loss) on investment securities | 280,118 | (341,312 | ) | (34,695 | ) | (107,374 | ) | 363,379 | |||||||||||
Servicing income | 501,612 | 343,096 | 209,065 | 143,579 | 127,398 | ||||||||||||||
Loss on servicing asset | (697,659 | ) | (69,033 | ) | (91,033 | ) | (83,531 | ) | (99,584 | ) | |||||||||
(Loss) gain on interest rate swap, cap and swaption agreements | (108,289 | ) | 16,043 | (9,753 | ) | 45,371 | (210,621 | ) | |||||||||||
Gain (loss) on other derivative instruments | 259,998 | (54,857 | ) | (70,159 | ) | 99,379 | (5,049 | ) | |||||||||||
Other income (loss) | 337 | 3,037 | 30,141 | 9,964 | (7,686 | ) | |||||||||||||
Total other income (loss) | 236,117 | (103,026 | ) | 33,566 | 107,388 | 167,837 | |||||||||||||
Expenses: | |||||||||||||||||||
Management fees | 60,102 | 30,272 | 40,472 | 39,261 | 49,116 | ||||||||||||||
Servicing expenses | 74,607 | 61,136 | 35,289 | 32,119 | 28,028 | ||||||||||||||
Securitization deal costs | — | — | — | 6,152 | 8,971 | ||||||||||||||
Other operating expenses | 57,055 | 62,983 | 54,160 | 56,605 | 56,764 | ||||||||||||||
Acquisition transaction costs | — | 86,703 | — | — | — | ||||||||||||||
Restructuring charges | — | 8,238 | — | 2,990 | — | ||||||||||||||
Total expenses | 191,764 | 249,332 | 129,921 | 137,127 | 142,879 | ||||||||||||||
Income (loss) from continuing operations before income taxes | 310,402 | (2,467 | ) | 297,757 | 330,235 | 475,512 | |||||||||||||
(Benefit from) provision for income taxes | (13,560 | ) | 41,823 | (10,482 | ) | 12,314 | (16,560 | ) | |||||||||||
Net income (loss) from continuing operations | 323,962 | (44,290 | ) | 308,239 | 317,921 | 492,072 | |||||||||||||
Income from discontinued operations, net of tax | — | — | 44,146 | 35,357 | 138 | ||||||||||||||
Net income (loss) | 323,962 | (44,290 | ) | 352,385 | 353,278 | 492,210 | |||||||||||||
Income from discontinued operations attributable to noncontrolling interest | — | — | 3,814 | — | — | ||||||||||||||
Net income (loss) attributable to Two Harbors Investment Corp. | 323,962 | (44,290 | ) | 348,571 | 353,278 | 492,210 | |||||||||||||
Dividends on preferred stock | 75,801 | 65,395 | 25,122 | — | — | ||||||||||||||
Net income (loss) attributable to common stockholders | $ | 248,161 | $ | (109,685 | ) | $ | 323,449 | $ | 353,278 | $ | 492,210 |
(in thousands, except share data) | For the Years Ended December 31, | ||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||
Basic earnings (loss) per weighted average share: | |||||||||||||||||||
Continuing operations | $ | 0.93 | $ | (0.53 | ) | $ | 1.62 | $ | 1.83 | $ | 2.70 | ||||||||
Discontinued operations | — | — | 0.23 | 0.20 | — | ||||||||||||||
Net income (loss) | $ | 0.93 | $ | (0.53 | ) | $ | 1.85 | $ | 2.03 | $ | 2.70 | ||||||||
Diluted earnings (loss) per weighted average share: | |||||||||||||||||||
Continuing operations | $ | 0.93 | $ | (0.53 | ) | $ | 1.60 | $ | 1.83 | $ | 2.70 | ||||||||
Discontinued operations | — | — | 0.21 | 0.20 | — | ||||||||||||||
Net income (loss) | $ | 0.93 | $ | (0.53 | ) | $ | 1.81 | $ | 2.03 | $ | 2.70 | ||||||||
Dividends declared per common share | $ | 1.67 | $ | 1.88 | $ | 2.01 | $ | 1.86 | $ | 2.08 | |||||||||
Weighted average number of shares of common stock: | |||||||||||||||||||
Basic | 267,826,739 | 206,020,502 | 174,433,999 | 174,036,852 | 182,623,869 | ||||||||||||||
Diluted | 267,826,739 | 206,020,502 | 188,133,341 | 174,036,852 | 182,623,869 | ||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||
Net income (loss) | $ | 323,962 | $ | (44,290 | ) | $ | 352,385 | $ | 353,278 | $ | 492,210 | ||||||||
Other comprehensive income (loss), net of tax: | |||||||||||||||||||
Unrealized gain (loss) on available-for-sale securities, net | 578,583 | (233,914 | ) | 135,586 | (159,834 | ) | (496,728 | ) | |||||||||||
Other comprehensive income (loss) | 578,583 | (233,914 | ) | 135,586 | (159,834 | ) | (496,728 | ) | |||||||||||
Comprehensive income (loss) | 902,545 | (278,204 | ) | 487,971 | 193,444 | (4,518 | ) | ||||||||||||
Comprehensive income attributable to noncontrolling interest | — | — | 3,814 | — | — | ||||||||||||||
Comprehensive income (loss) attributable to Two Harbors Investment Corp. | 902,545 | (278,204 | ) | 484,157 | 193,444 | (4,518 | ) | ||||||||||||
Dividends on preferred stock | 75,801 | 65,395 | 25,122 | — | — | ||||||||||||||
Comprehensive income (loss) attributable to common stockholders | $ | 826,744 | $ | (343,599 | ) | $ | 459,035 | $ | 193,444 | $ | (4,518 | ) |
At December 31, | |||||||||||||||||||
(in thousands) | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||
Available-for-sale securities | $ | 31,406,328 | $ | 25,552,604 | $ | 21,220,819 | $ | 13,116,171 | $ | 7,825,320 | |||||||||
Mortgage servicing rights | $ | 1,909,444 | $ | 1,993,440 | $ | 1,086,717 | $ | 693,815 | $ | 493,688 | |||||||||
Total assets | $ | 35,921,622 | $ | 30,132,479 | $ | 24,789,313 | $ | 20,112,056 | $ | 14,575,772 | |||||||||
Repurchase agreements | $ | 29,147,463 | $ | 23,133,476 | $ | 8,865,184 | $ | 8,865,184 | $ | 4,948,926 | |||||||||
Federal Home Loan Bank advances | $ | 210,000 | $ | 865,024 | $ | 1,215,024 | $ | 4,000,000 | $ | 3,785,000 | |||||||||
Total stockholders’ equity | $ | 4,970,466 | $ | 4,254,489 | $ | 3,571,424 | $ | 3,401,112 | $ | 3,576,561 |
Capital Allocations(1) as of | |||||||||
December 31, 2019 | September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | |||||
Rates strategy | 78% | 79% | 76% | 77% | 74% | ||||
Credit strategy | 22% | 21% | 24% | 23% | 26% |
Three Months Ended | Three Months Ended | |||||||||||||||||||||||||||||||||||||
December 31, 2019 | September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | December 31, 2021 | September 30, 2021 | June 30, 2021 | March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||
Average annualized portfolio yield (1) | 3.54% | 3.67% | 3.93% | 4.25% | 4.14% | Average annualized portfolio yield (1) | 3.72% | 3.33% | 2.72% | 2.25% | 2.26% | |||||||||||||||||||||||||||
Cost of financing (2) | 2.35% | 2.51% | 2.55% | 2.47% | 2.53% | Cost of financing (2) | 0.73% | 0.78% | 0.79% | 0.60% | 0.50% | |||||||||||||||||||||||||||
Net portfolio yield | 1.19% | 1.16% | 1.38% | 1.78% | 1.61% | |||||||||||||||||||||||||||||||||
Net spread | Net spread | 2.99% | 2.55% | 1.93% | 1.65% | 1.76% |
(dollars in thousands) | December 31, 2021 | December 31, 2020 | |||||||||||||||||||||
Agency RMBS | $ | 7,149,399 | 76.1 | % | $ | 14,637,891 | 89.7 | % | |||||||||||||||
Mortgage servicing rights | 2,191,578 | 23.3 | % | 1,596,153 | 9.8 | % | |||||||||||||||||
Agency Derivatives | 40,911 | 0.5 | % | 61,617 | 0.4 | % | |||||||||||||||||
Non-Agency securities | 12,304 | 0.1 | % | 13,031 | 0.1 | % | |||||||||||||||||
Total | $ | 9,394,192 | $ | 16,308,692 |
(dollars in thousands) | December 31, 2019 | December 31, 2018 | |||||||||||
Agency | |||||||||||||
Fixed Rate | $ | 27,763,471 | 83.2 | % | $ | 21,665,960 | 78.5 | % | |||||
Hybrid ARM | 14,584 | — | % | 19,073 | 0.1 | % | |||||||
Total Agency | 27,778,055 | 83.2 | % | 21,685,033 | 78.6 | % | |||||||
Agency Derivatives | 68,925 | 0.2 | % | 70,257 | 0.2 | % | |||||||
Non-Agency | |||||||||||||
Senior | 3,073,098 | 9.2 | % | 2,854,731 | 10.3 | % | |||||||
Mezzanine | 480,765 | 1.5 | % | 928,632 | 3.4 | % | |||||||
Interest-only securities | 74,410 | 0.2 | % | 84,208 | 0.3 | % | |||||||
Total Non-Agency | 3,628,273 | 10.9 | % | 3,867,571 | 14.0 | % | |||||||
Mortgage servicing rights | 1,909,444 | 5.7 | % | 1,993,440 | 7.2 | % | |||||||
Total | $ | 33,384,697 | $ | 27,616,301 |
Three Months Ended | |||||||||||||||
Weighted Average CPR | December 31, 2019 | September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | ||||||||||
Agency RMBS | 14.3 | % | 13.4 | % | 10.1 | % | 6.5 | % | 6.8 | % | |||||
Non-Agency securities | 6.4 | % | 5.9 | % | 5.3 | % | 4.9 | % | 5.1 | % | |||||
Mortgage servicing rights | 20.8 | % | 20.5 | % | 13.7 | % | 7.7 | % | 7.3 | % |
Three Months Ended | ||||||||||||||||||||||||||||||||
December 31, 2021 | September 30, 2021 | June 30, 2021 | March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||
Agency RMBS | 27.7 | % | 30.1 | % | 32.3 | % | 30.8 | % | 27.0 | % | ||||||||||||||||||||||
Mortgage servicing rights | 22.1 | % | 26.7 | % | 29.0 | % | 37.7 | % | 41.2 | % |
December 31, 2019 | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | Principal/ Current Face | Carrying Value | % of Agency Portfolio | Weighted Average CPR | % Prepayment Protected | Gross Weighted Average Coupon Rate | Amortized Cost | Weighted Average Loan Age (months) | (dollars in thousands) | Principal/ Current Face | Carrying Value | Weighted Average CPR (1) | % Prepayment Protected | Gross Weighted Average Coupon Rate | Amortized Cost | Allowance for Credit Losses | Weighted Average Loan Age (months) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency RMBS AFS: | Agency RMBS AFS: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
30-Year Fixed | 30-Year Fixed | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
≤ 2.5% | ≤ 2.5% | $ | 1,243,928 | $ | 1,271,382 | 5.9 | % | — | % | 3.3 | % | $ | 1,272,323 | $ | — | 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3.0% | $ | 6,034,075 | $ | 6,168,095 | 22.1 | % | 3.3 | % | 98.3 | % | 3.8 | % | $ | 6,169,224 | 3 | 3.0% | 1,316,662 | 1,384,176 | 9.6 | % | 100.0 | % | 3.7 | % | 1,381,936 | — | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3.5% | 6,174,872 | 6,451,660 | 23.2 | % | 7.0 | % | 100.0 | % | 4.3 | % | 6,386,051 | 7 | 3.5% | 739,922 | 789,499 | 27.3 | % | 100.0 | % | 4.2 | % | 769,989 | — | 29 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
4.0% | 8,455,585 | 8,993,011 | 32.3 | % | 19.4 | % | 100.0 | % | 4.6 | % | 8,808,458 | 25 | 4.0% | 1,421,793 | 1,543,595 | 26.5 | % | 100.0 | % | 4.6 | % | 1,478,444 | — | 49 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
4.5% | 4,714,844 | 5,082,166 | 18.3 | % | 25.2 | % | 100.0 | % | 5.0 | % | 4,942,234 | 20 | 4.5% | 1,307,504 | 1,435,877 | 27.7 | % | 100.0 | % | 5.0 | % | 1,373,076 | — | 47 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
≥ 5% | 741,000 | 813,503 | 2.9 | % | 23.5 | % | 100.0 | % | 5.8 | % | 786,727 | 48 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
≥ 5.0% | ≥ 5.0% | 325,485 | 361,746 | 37.6 | % | 98.0 | % | 5.9 | % | 344,543 | — | 84 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
26,120,376 | 27,508,435 | 98.8 | % | 14.4 | % | 99.6 | % | 4.5 | % | 27,092,694 | 16 | 6,355,294 | 6,786,275 | 20.5 | % | 81.2 | % | 4.3 | % | 6,620,311 | — | 31 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other P&I | 119,168 | 133,436 | 0.5 | % | 7.3 | % | 0.3 | % | 6.7 | % | 133,174 | 210 | Other P&I | 56,069 | 62,228 | 53.9 | % | — | % | 6.5 | % | 61,739 | — | 224 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-only | 2,601,693 | 136,184 | 0.5 | % | 10.9 | % | — | % | 4.4 | % | 169,811 | 104 | Interest-only | 3,198,447 | 300,896 | 20.2 | % | — | % | 3.6 | % | 305,577 | (12,851) | 47 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency Derivatives | 397,137 | 68,925 | 0.2 | % | 12.3 | % | — | % | 6.7 | % | 56,959 | 184 | Agency Derivatives | 247,101 | 40,911 | 18.6 | % | — | % | 6.7 | % | 33,237 | — | 206 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Agency RMBS | $ | 29,238,374 | $ | 27,846,980 | 100.0 | % | 98.4 | % | $ | 27,452,638 | Total Agency RMBS | $ | 9,856,911 | $ | 7,190,310 | 76.6 | % | $ | 7,020,864 | $ | (12,851) |
December 31, 2018 | ||||||||||||||||||||||||||
(dollars in thousands) | Principal/ Current Face | Carrying Value | % of Agency Portfolio | Weighted Average CPR | % Prepayment Protected | Gross Weighted Average Coupon Rate | Amortized Cost | Weighted Average Loan Age (months) | ||||||||||||||||||
Agency RMBS AFS: | ||||||||||||||||||||||||||
30-Year Fixed | ||||||||||||||||||||||||||
3.0% | $ | 3,255 | $ | 3,200 | — | % | 2.0 | % | 100.0 | % | 3.6 | % | $ | 3,314 | 47 | |||||||||||
3.5% | 231,068 | 231,321 | 1.1 | % | 6.6 | % | 100.0 | % | 4.1 | % | 232,200 | 19 | ||||||||||||||
4.0% | 8,640,859 | 8,846,367 | 40.7 | % | 7.2 | % | 83.0 | % | 4.4 | % | 9,047,282 | 22 | ||||||||||||||
4.5% | 10,237,108 | 10,686,699 | 49.1 | % | 6.3 | % | 99.0 | % | 5.0 | % | 10,765,144 | 16 | ||||||||||||||
≥ 5% | 1,367,700 | 1,452,170 | 6.7 | % | 7.1 | % | 74.4 | % | 5.8 | % | 1,449,256 | 24 | ||||||||||||||
20,479,990 | 21,219,757 | 97.6 | % | 6.7 | % | 90.7 | % | 4.8 | % | 21,497,196 | 19 | |||||||||||||||
Other P&I | 295,800 | 289,860 | 1.3 | % | 9.6 | % | 0.3 | % | 5.7 | % | 291,290 | 151 | ||||||||||||||
Interest-only | 3,115,967 | 175,416 | 0.8 | % | 9.3 | % | — | % | 4.5 | % | 209,901 | 92 | ||||||||||||||
Agency Derivatives | 476,299 | 70,257 | 0.3 | % | 11.9 | % | — | % | 6.7 | % | 69,496 | 173 | ||||||||||||||
Total Agency RMBS | $ | 24,368,056 | $ | 21,755,290 | 100.0 | % | 88.4 | % | $ | 22,067,883 |
December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | Principal/ Current Face | Carrying Value | Weighted Average CPR | % Prepayment Protected | Gross Weighted Average Coupon Rate | Amortized Cost | Allowance for Credit Losses | Weighted Average Loan Age (months) | |||||||||||||||||||||||||||||||||||||||||||||
Agency RMBS AFS: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
30-Year Fixed | |||||||||||||||||||||||||||||||||||||||||||||||||||||
≤ 2.5% | $ | 1,878,319 | $ | 2,005,269 | 7.7 | % | 100.0 | % | 3.4 | % | $ | 1,977,388 | $ | — | 7 | ||||||||||||||||||||||||||||||||||||||
3.0% | 2,359,772 | 2,541,676 | 19.3 | % | 100.0 | % | 3.7 | % | 2,433,757 | — | 14 | ||||||||||||||||||||||||||||||||||||||||||
3.5% | 3,327,048 | 3,636,988 | 28.5 | % | 100.0 | % | 4.2 | % | 3,485,035 | — | 17 | ||||||||||||||||||||||||||||||||||||||||||
4.0% | 2,642,730 | 2,911,556 | 37.5 | % | 100.0 | % | 4.6 | % | 2,751,139 | — | 36 | ||||||||||||||||||||||||||||||||||||||||||
4.5% | 2,276,487 | 2,538,418 | 34.3 | % | 100.0 | % | 5.0 | % | 2,400,043 | — | 35 | ||||||||||||||||||||||||||||||||||||||||||
≥ 5.0% | 519,976 | 590,044 | 33.6 | % | 98.4 | % | 5.8 | % | 551,230 | — | 65 | ||||||||||||||||||||||||||||||||||||||||||
13,004,332 | 14,223,951 | 27.4 | % | 99.9 | % | 4.3 | % | 13,598,592 | — | 24 | |||||||||||||||||||||||||||||||||||||||||||
Other P&I | 99,023 | 113,302 | 9.6 | % | — | % | 6.6 | % | 110,002 | — | 226 | ||||||||||||||||||||||||||||||||||||||||||
Interest-only | 3,649,556 | 300,638 | 14.0 | % | — | % | 3.5 | % | 315,876 | (17,889) | 48 | ||||||||||||||||||||||||||||||||||||||||||
Agency Derivatives | 318,162 | 61,617 | 16.5 | % | — | % | 6.7 | % | 45,618 | — | 195 | ||||||||||||||||||||||||||||||||||||||||||
Total Agency RMBS | $ | 17,071,073 | $ | 14,699,508 | 96.7 | % | $ | 14,070,088 | $ | (17,889) |
December 31, 2019 | |||||||||||||||||||
(in thousands) | Principal/ Current Face | Un-amortized Premium | Accretable Purchase Discount | Credit Reserve Purchase Discount | Amortized Cost | ||||||||||||||
Principal and interest securities | |||||||||||||||||||
Senior | $ | 4,861,854 | $ | 8,966 | $ | (445,566 | ) | $ | (1,594,480 | ) | $ | 2,830,774 | |||||||
Mezzanine | 636,800 | 14 | (114,574 | ) | (117,471 | ) | 404,769 | ||||||||||||
Total P&I securities | 5,498,654 | 8,980 | (560,140 | ) | (1,711,951 | ) | 3,235,543 | ||||||||||||
Interest-only | 4,356,603 | 79,935 | — | — | 79,935 | ||||||||||||||
Total Non-Agency | $ | 9,855,257 | $ | 88,915 | $ | (560,140 | ) | $ | (1,711,951 | ) | $ | 3,315,478 |
December 31, 2018 | |||||||||||||||||||
(in thousands) | Principal/ Current Face | Un-amortized Premium | Accretable Purchase Discount | Credit Reserve Purchase Discount | Amortized Cost | ||||||||||||||
Principal and interest securities | |||||||||||||||||||
Senior | $ | 4,227,631 | $ | 5,381 | $ | (477,682 | ) | $ | (1,204,325 | ) | $ | 2,551,005 | |||||||
Mezzanine | 1,132,493 | 1,301 | (216,437 | ) | (118,437 | ) | 798,920 | ||||||||||||
Total P&I securities | 5,360,124 | 6,682 | (694,119 | ) | (1,322,762 | ) | 3,349,925 | ||||||||||||
Interest-only | 5,137,169 | 83,846 | — | — | 83,846 | ||||||||||||||
Total Non-Agency | $ | 10,497,293 | $ | 90,528 | $ | (694,119 | ) | $ | (1,322,762 | ) | $ | 3,433,771 |
Three Months Ended | ||||||||||||||||||||||||||||||||
(in thousands) | December 31, 2021 | September 30, 2021 | June 30, 2021 | March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||||
UPB at beginning of period | $ | 194,393,942 | $ | 185,209,738 | $ | 179,014,244 | $ | 177,861,483 | $ | 156,444,362 | ||||||||||||||||||||||
Purchases of mortgage servicing rights | 13,562,240 | 29,347,318 | 22,983,402 | 22,389,501 | 43,363,541 | |||||||||||||||||||||||||||
Sales of mortgage servicing rights | 9,065 | (3,633,709) | — | — | (33,232) | |||||||||||||||||||||||||||
Scheduled payments | (1,441,835) | (1,407,996) | (1,283,474) | (1,233,382) | (1,161,019) | |||||||||||||||||||||||||||
Prepaid | (11,966,741) | (14,564,141) | (15,119,403) | (20,337,506) | (21,562,076) | |||||||||||||||||||||||||||
Other changes | (786,105) | (557,268) | (385,031) | 334,148 | 809,907 | |||||||||||||||||||||||||||
UPB at end of period | $ | 193,770,566 | $ | 194,393,942 | $ | 185,209,738 | $ | 179,014,244 | $ | 177,861,483 |
(in thousands, except share data) | Three Months Ended | Year Ended | ||||||||||||||||||||||||||||||
Income Statement Data: | December 31, | December 31, | ||||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||||||||||
Interest income: | ||||||||||||||||||||||||||||||||
Available-for-sale securities | $ | 32,729 | $ | 72,071 | $ | 167,310 | $ | 515,685 | ||||||||||||||||||||||||
Other | 276 | 429 | 1,287 | 9,365 | ||||||||||||||||||||||||||||
Total interest income | 33,005 | 72,500 | 168,597 | 525,050 | ||||||||||||||||||||||||||||
Interest expense: | ||||||||||||||||||||||||||||||||
Repurchase agreements | 4,562 | 11,001 | 25,774 | 233,069 | ||||||||||||||||||||||||||||
Revolving credit facilities | 5,050 | 3,513 | 22,425 | 12,261 | ||||||||||||||||||||||||||||
Term notes payable | 3,251 | 3,296 | 12,936 | 14,974 | ||||||||||||||||||||||||||||
Convertible senior notes | 7,295 | 4,831 | 28,038 | 19,197 | ||||||||||||||||||||||||||||
Federal Home Loan Bank advances | — | — | — | 1,747 | ||||||||||||||||||||||||||||
Total interest expense | 20,158 | 22,641 | 89,173 | 281,248 | ||||||||||||||||||||||||||||
Net interest income | 12,847 | 49,859 | 79,424 | 243,802 | ||||||||||||||||||||||||||||
Other income (loss): | ||||||||||||||||||||||||||||||||
Gain (loss) on investment securities | 1,626 | 37,363 | 121,617 | (999,859) | ||||||||||||||||||||||||||||
Servicing income | 125,511 | 100,549 | 468,406 | 443,351 | ||||||||||||||||||||||||||||
(Loss) gain on servicing asset | (131,828) | 2,522 | (114,941) | (935,697) | ||||||||||||||||||||||||||||
Gain (loss) on interest rate swap and swaption agreements | 36,989 | (14,689) | 42,091 | (310,806) | ||||||||||||||||||||||||||||
(Loss) gain on other derivative instruments | (11,565) | 81,289 | (251,283) | 90,023 | ||||||||||||||||||||||||||||
Other income (loss) | 1,856 | 474 | (3,845) | 1,422 | ||||||||||||||||||||||||||||
Total other income (loss) | 22,589 | 207,508 | 262,045 | (1,711,566) | ||||||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Management fees | — | — | — | 31,738 | ||||||||||||||||||||||||||||
Servicing expenses | 21,582 | 24,217 | 86,250 | 94,266 | ||||||||||||||||||||||||||||
Compensation and benefits | 6,396 | 11,220 | 35,041 | 37,723 | ||||||||||||||||||||||||||||
Other operating expenses | 6,648 | 7,237 | 28,759 | 28,626 | ||||||||||||||||||||||||||||
Restructuring charges | — | (294) | — | 5,706 | ||||||||||||||||||||||||||||
Total expenses | 34,626 | 42,380 | 150,050 | 198,059 | ||||||||||||||||||||||||||||
Income (loss) before income taxes | 810 | 214,987 | 191,419 | (1,665,823) | ||||||||||||||||||||||||||||
Provision for (benefit from) income taxes | 2,104 | 3,816 | 4,192 | (35,688) | ||||||||||||||||||||||||||||
Net (loss) income | (1,294) | 211,171 | 187,227 | (1,630,135) | ||||||||||||||||||||||||||||
Dividends on preferred stock | 13,747 | 18,951 | 58,458 | 75,802 | ||||||||||||||||||||||||||||
Net (loss) income attributable to common stockholders | $ | (15,041) | $ | 192,220 | $ | 128,769 | $ | (1,705,937) | ||||||||||||||||||||||||
Basic (loss) earnings per weighted average common share | $ | (0.05) | $ | 0.70 | $ | 0.43 | $ | (6.24) | ||||||||||||||||||||||||
Diluted (loss) earnings per weighted average common share | $ | (0.05) | $ | 0.68 | $ | 0.43 | $ | (6.24) | ||||||||||||||||||||||||
Dividends declared per common share | $ | 0.17 | $ | 0.17 | $ | 0.68 | $ | 0.50 | ||||||||||||||||||||||||
Weighted average number of shares of common stock: | ||||||||||||||||||||||||||||||||
Basic | 335,100,737 | 273,699,079 | 297,772,001 | 273,600,947 | ||||||||||||||||||||||||||||
Diluted | 335,100,737 | 291,870,229 | 298,043,538 | 273,600,947 |
(in thousands, except share data) | Three Months Ended | Year Ended | ||||||||||||||||||
Income Statement Data: | December 31, | December 31, | ||||||||||||||||||
2019 | 2018 | 2019 | 2018 | 2017 | ||||||||||||||||
(unaudited) | ||||||||||||||||||||
Interest income: | ||||||||||||||||||||
Available-for-sale securities | $ | 230,567 | $ | 242,535 | $ | 962,283 | $ | 847,325 | $ | 631,853 | ||||||||||
Residential mortgage loans held-for-investment in securitization trusts | — | — | — | — | 102,886 | |||||||||||||||
Other | 7,871 | 9,420 | 32,407 | 22,707 | 10,350 | |||||||||||||||
Total interest income | 238,438 | 251,955 | 994,690 | 870,032 | 745,089 | |||||||||||||||
Interest expense: | ||||||||||||||||||||
Repurchase agreements | 152,919 | 146,702 | 654,280 | 469,437 | 210,430 | |||||||||||||||
Collateralized borrowings in securitization trusts | — | — | — | — | 82,573 | |||||||||||||||
Federal Home Loan Bank advances | 514 | 5,762 | 10,920 | 20,417 | 36,911 | |||||||||||||||
Revolving credit facilities | 4,038 | 5,044 | 19,354 | 10,820 | 2,341 | |||||||||||||||
Term notes payable | 5,002 | — | 10,708 | — | — | |||||||||||||||
Convertible senior notes | 4,811 | 4,793 | 19,067 | 18,997 | 17,933 | |||||||||||||||
Total interest expense | 167,284 | 162,301 | 714,329 | 519,671 | 350,188 | |||||||||||||||
Net interest income | 71,154 | 89,654 | 280,361 | 350,361 | 394,901 | |||||||||||||||
Other-than-temporary impairment losses | (3,308 | ) | (107 | ) | (14,312 | ) | (470 | ) | (789 | ) | ||||||||||
Other income (loss): | ||||||||||||||||||||
Gain (loss) on investment securities | 28,141 | (245,763 | ) | 280,118 | (341,312 | ) | (34,695 | ) | ||||||||||||
Servicing income | 127,690 | 104,623 | 501,612 | 343,096 | 209,065 | |||||||||||||||
Loss on servicing asset | (21,739 | ) | (171,284 | ) | (697,659 | ) | (69,033 | ) | (91,033 | ) | ||||||||||
(Loss) gain on interest rate swap, cap and swaption agreements | (6,875 | ) | (239,492 | ) | (108,289 | ) | 16,043 | (9,753 | ) | |||||||||||
(Loss) gain on other derivative instruments | (10,800 | ) | (39,122 | ) | 259,998 | (54,857 | ) | (70,159 | ) | |||||||||||
Other income | 60 | 342 | 337 | 3,037 | 30,141 | |||||||||||||||
Total other income (loss) | 116,477 | (590,696 | ) | 236,117 | (103,026 | ) | 33,566 | |||||||||||||
Expenses: | ||||||||||||||||||||
Management fees | 17,546 | 12,152 | 60,102 | 30,272 | 40,472 | |||||||||||||||
Servicing expenses | 20,253 | 18,610 | 74,607 | 61,136 | 35,289 | |||||||||||||||
Other operating expenses | 14,142 | 15,943 | 57,055 | 62,983 | 54,160 | |||||||||||||||
Acquisition transaction costs | — | — | — | 86,703 | ||||||||||||||||
Restructuring charges | — | — | — | 8,238 | — | |||||||||||||||
Total expenses | 51,941 | 46,705 | 191,764 | 249,332 | 129,921 | |||||||||||||||
Income (loss) before income taxes | 132,382 | (547,854 | ) | 310,402 | (2,467 | ) | 297,757 | |||||||||||||
(Benefit from) provision for income taxes | (2,372 | ) | 6,681 | (13,560 | ) | 41,823 | (10,482 | ) | ||||||||||||
Net income (loss) from continuing operations | 134,754 | (554,535 | ) | 323,962 | (44,290 | ) | 308,239 | |||||||||||||
Income from discontinued operations, net of tax | — | — | — | — | 44,146 | |||||||||||||||
Net income (loss) | 134,754 | (554,535 | ) | 323,962 | (44,290 | ) | 352,385 | |||||||||||||
Income from discontinued operations attributable to noncontrolling interest | — | — | — | — | 3,814 | |||||||||||||||
Net income (loss) attributable to Two Harbors Investment Corp. | 134,754 | (554,535 | ) | 323,962 | (44,290 | ) | 348,571 | |||||||||||||
Dividends on preferred stock | 18,950 | 18,950 | 75,801 | 65,395 | 25,122 | |||||||||||||||
Net income (loss) attributable to common stockholders | $ | 115,804 | $ | (573,485 | ) | $ | 248,161 | $ | (109,685 | ) | $ | 323,449 |
(in thousands) | Three Months Ended | Year Ended | ||||||||||||||||||||||||||||||
Income Statement Data: | December 31, | December 31, | ||||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||||||||||
Comprehensive (loss) income: | ||||||||||||||||||||||||||||||||
Net (loss) income | $ | (1,294) | $ | 211,171 | $ | 187,227 | $ | (1,630,135) | ||||||||||||||||||||||||
Other comprehensive loss, net of tax: | ||||||||||||||||||||||||||||||||
Unrealized loss on available-for-sale securities | (113,553) | (78,739) | (455,255) | (47,799) | ||||||||||||||||||||||||||||
Other comprehensive loss | (113,553) | (78,739) | (455,255) | (47,799) | ||||||||||||||||||||||||||||
Comprehensive (loss) income | (114,847) | 132,432 | (268,028) | (1,677,934) | ||||||||||||||||||||||||||||
Dividends on preferred stock | 13,747 | 18,951 | 58,458 | 75,802 | ||||||||||||||||||||||||||||
Comprehensive (loss) income attributable to common stockholders | $ | (128,594) | $ | 113,481 | $ | (326,486) | $ | (1,753,736) |
(in thousands) | December 31, 2021 | December 31, 2020 | ||||||||||||
Balance Sheet Data: | ||||||||||||||
(unaudited) | ||||||||||||||
Available-for-sale securities | $ | 7,161,703 | $ | 14,650,922 | ||||||||||
Mortgage servicing rights | $ | 2,191,578 | $ | 1,596,153 | ||||||||||
Total assets | $ | 12,114,305 | $ | 19,515,921 | ||||||||||
Repurchase agreements | $ | 7,656,445 | $ | 15,143,898 | ||||||||||
Revolving credit facilities | $ | 420,761 | $ | 283,830 | ||||||||||
Term notes payable | $ | 396,776 | $ | 395,609 | ||||||||||
Convertible senior notes | $ | 424,827 | $ | 286,183 | ||||||||||
Total stockholders’ equity | $ | 2,743,953 | $ | 3,088,926 | ||||||||||
(in thousands) | Three Months Ended | Year Ended | ||||||||||||||||||
Income Statement Data: | December 31, | December 31, | ||||||||||||||||||
2019 | 2018 | 2019 | 2018 | 2017 | ||||||||||||||||
(unaudited) | ||||||||||||||||||||
Basic earnings (loss) per weighted average share: | ||||||||||||||||||||
Continuing operations | $ | 0.42 | $ | (2.31 | ) | $ | 0.93 | $ | (0.53 | ) | $ | 1.62 | ||||||||
Discontinued operations | — | — | — | — | 0.23 | |||||||||||||||
Net income (loss) | $ | 0.42 | $ | (2.31 | ) | $ | 0.93 | $ | (0.53 | ) | $ | 1.85 | ||||||||
Diluted earnings (loss) per weighted average share: | ||||||||||||||||||||
Continuing operations | $ | 0.41 | $ | (2.31 | ) | $ | 0.93 | $ | (0.53 | ) | $ | 1.60 | ||||||||
Discontinued operations | — | — | — | — | 0.21 | |||||||||||||||
Net income (loss) | $ | 0.41 | $ | (2.31 | ) | $ | 0.93 | $ | (0.53 | ) | $ | 1.81 | ||||||||
Dividends declared per common share | $ | 0.40 | $ | 0.47 | $ | 1.67 | $ | 1.88 | $ | 2.01 | ||||||||||
Weighted average number of shares of common stock: | ||||||||||||||||||||
Basic | 272,906,815 | 248,081,168 | 267,826,739 | 206,020,502 | 174,433,999 | |||||||||||||||
Diluted | 291,070,864 | 248,081,168 | 267,826,739 | 206,020,502 | 188,133,341 | |||||||||||||||
Comprehensive income (loss): | ||||||||||||||||||||
Net income (loss) | $ | 134,754 | $ | (554,535 | ) | $ | 323,962 | $ | (44,290 | ) | $ | 352,385 | ||||||||
Other comprehensive (loss) income, net of tax: | ||||||||||||||||||||
Unrealized (loss) gain on available-for-sale securities | (58,954 | ) | 265,546 | 578,583 | (233,914 | ) | 135,586 | |||||||||||||
Other comprehensive (loss) income | (58,954 | ) | 265,546 | 578,583 | (233,914 | ) | 135,586 | |||||||||||||
Comprehensive income (loss) | 75,800 | (288,989 | ) | 902,545 | (278,204 | ) | $ | 487,971 | ||||||||||||
Comprehensive income attributable to noncontrolling interest | — | — | — | — | 3,814 | |||||||||||||||
Comprehensive income (loss) attributable to Two Harbors Investment Corp. | 75,800 | (288,989 | ) | 902,545 | (278,204 | ) | 484,157 | |||||||||||||
Dividends on preferred stock | 18,950 | 18,950 | 75,801 | 65,395 | 25,122 | |||||||||||||||
Comprehensive income (loss) attributable to common stockholders | $ | 56,850 | $ | (307,939 | ) | $ | 826,744 | $ | (343,599 | ) | $ | 459,035 |
(in thousands) | December 31, 2019 | December 31, 2018 | ||||||
Balance Sheet Data: | ||||||||
Available-for-sale securities | $ | 31,406,328 | $ | 25,552,604 | ||||
Mortgage servicing rights | $ | 1,909,444 | $ | 1,993,440 | ||||
Total assets | $ | 35,921,622 | $ | 30,132,479 | ||||
Repurchase agreements | $ | 29,147,463 | $ | 23,133,476 | ||||
Federal Home Loan Bank advances | $ | 210,000 | $ | 865,024 | ||||
Revolving credit facilities | $ | 300,000 | $ | 310,000 | ||||
Term notes payable | $ | 394,502 | $ | — | ||||
Convertible senior notes | $ | 284,954 | $ | 283,856 | ||||
Total stockholders’ equity | $ | 4,970,466 | $ | 4,254,489 |
Three Months Ended December 31, 2021 | Year Ended December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | Average Balance (1) | Interest Income/Expense | Net Yield/Cost of Funds (2) | Average Balance (1) | Interest Income/Expense | Net Yield/Cost of Funds (2) | |||||||||||||||||||||||||||||||||||||||||||||||
Interest-earning assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale securities | $ | 6,067,568 | $ | 32,729 | 2.2 | % | $ | 8,450,440 | $ | 167,310 | 2.0 | % | |||||||||||||||||||||||||||||||||||||||||
Other | — | 276 | — | % | — | 1,287 | — | % | |||||||||||||||||||||||||||||||||||||||||||||
Total interest income/net asset yield | $ | 6,067,568 | $ | 33,005 | 2.2 | % | $ | 8,450,440 | $ | 168,597 | 2.0 | % | |||||||||||||||||||||||||||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Borrowings collateralized by: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale securities | $ | 6,503,608 | $ | 2,911 | 0.2 | % | $ | 9,098,301 | $ | 20,794 | 0.2 | % | |||||||||||||||||||||||||||||||||||||||||
Agency Derivatives (3) | 38,045 | 69 | 0.7 | % | 43,910 | 349 | 0.8 | % | |||||||||||||||||||||||||||||||||||||||||||||
Mortgage servicing rights and advances (4) | 942,357 | 9,883 | 4.2 | % | 931,565 | 39,992 | 4.3 | % | |||||||||||||||||||||||||||||||||||||||||||||
Unsecured borrowings: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Convertible senior notes | 424,641 | 7,295 | 6.9 | % | 412,107 | 28,038 | 6.8 | % | |||||||||||||||||||||||||||||||||||||||||||||
Total interest expense/cost of funds | $ | 7,908,651 | $ | 20,158 | 1.0 | % | $ | 10,485,883 | $ | 89,173 | 0.9 | % | |||||||||||||||||||||||||||||||||||||||||
Net interest income/spread (5) | $ | 12,847 | 1.2 | % | $ | 79,424 | 1.1 | % |
Three Months Ended December 31, 2019 | Year Ended December 31, 2019 | ||||||||||||||||||||
(dollars in thousands) | Average Balance (1) | Interest Income/Expense | Net Yield/Cost of Funds (2) | Average Balance (1) | Interest Income/Expense | Net Yield/Cost of Funds (2) | |||||||||||||||
Interest-earning assets | |||||||||||||||||||||
Agency available-for-sale securities | $ | 24,694,426 | $ | 178,621 | 2.9 | % | $ | 23,593,771 | $ | 763,601 | 3.2 | % | |||||||||
Non-Agency available-for-sale securities | 3,300,836 | 51,946 | 6.3 | % | 3,278,228 | 198,682 | 6.1 | % | |||||||||||||
Other | 9,308 | 7,871 | 4.2 | % | 15,530 | 32,407 | 4.6 | % | |||||||||||||
Total interest income/net asset yield | $ | 28,004,570 | $ | 238,438 | 3.4 | % | $ | 26,887,529 | $ | 994,690 | 3.7 | % | |||||||||
Interest-bearing liabilities | |||||||||||||||||||||
Repurchase agreements, FHLB advances, revolving credit facilities and term notes payable collateralized by: | |||||||||||||||||||||
Agency available-for-sale securities | $ | 24,728,724 | $ | 137,919 | 2.2 | % | $ | 23,018,643 | $ | 583,646 | 2.5 | % | |||||||||
Non-Agency available-for-sale securities | 1,598,573 | 12,179 | 3.0 | % | 1,909,564 | 67,442 | 3.5 | % | |||||||||||||
Agency derivatives (3) | 50,263 | 359 | 2.9 | % | 47,824 | 1,556 | 3.3 | % | |||||||||||||
Mortgage servicing rights (4) | 956,985 | 12,016 | 5.0 | % | 807,486 | 42,618 | 5.3 | % | |||||||||||||
Other unassignable | |||||||||||||||||||||
Convertible senior notes | 284,848 | 4,811 | 6.8 | % | 284,413 | 19,067 | 6.7 | % | |||||||||||||
Total interest expense/cost of funds | $ | 27,619,393 | 167,284 | 2.4 | % | $ | 26,067,930 | 714,329 | 2.7 | % | |||||||||||
Net interest income/spread (5) | $ | 71,154 | 1.0 | % | $ | 280,361 | 1.0 | % |
Three Months Ended December 31, 2018 | Year Ended December 31, 2018 | Three Months Ended December 31, 2020 | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | Average Balance (1) | Interest Income/Expense | Net Yield/Cost of Funds (2) | Average Balance (1) | Interest Income/Expense | Net Yield/Cost of Funds (2) | (dollars in thousands) | Average Balance (1) | Interest Income/Expense | Net Yield/Cost of Funds (2) | Average Balance (1) | Interest Income/Expense | Net Yield/Cost of Funds (2) | |||||||||||||||||||||||||||||||||||||||||||
Interest-earning assets | Interest-earning assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency available-for-sale securities | $ | 21,401,757 | $ | 176,997 | 3.3 | % | $ | 19,782,775 | $ | 620,581 | 3.1 | % | ||||||||||||||||||||||||||||||||||||||||||||
Non-Agency available-for-sale securities | 3,405,550 | 65,538 | 7.7 | % | 2,935,601 | 226,743 | 7.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale securities | Available-for-sale securities | $ | 14,660,468 | $ | 72,071 | 2.0 | % | $ | 19,432,462 | $ | 515,685 | 2.7 | % | |||||||||||||||||||||||||||||||||||||||||||
Other | 28,551 | 9,420 | 4.0 | % | 30,148 | 22,707 | 4.2 | % | Other | — | 429 | — | % | 2,059 | 9,365 | 3.8 | % | |||||||||||||||||||||||||||||||||||||||
Total interest income/net asset yield | $ | 24,835,858 | $ | 251,955 | 4.1 | % | $ | 22,748,524 | $ | 870,031 | 3.8 | % | Total interest income/net asset yield | $ | 14,660,468 | $ | 72,500 | 2.0 | % | $ | 19,434,521 | $ | 525,050 | 2.7 | % | |||||||||||||||||||||||||||||||
Interest-bearing liabilities | Interest-bearing liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase agreements, FHLB advances, revolving credit facilities and term notes payable collateralized by: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency available-for-sale securities | $ | 19,796,348 | $ | 125,014 | 2.5 | % | $ | 18,603,631 | $ | 396,786 | 2.1 | % | ||||||||||||||||||||||||||||||||||||||||||||
Non-Agency available-for-sale securities | 2,569,298 | 23,802 | 3.7 | % | 2,278,651 | 79,772 | 3.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Agency derivatives (3) | 48,018 | 404 | 3.4 | % | 56,393 | 1,650 | 2.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Borrowings collateralized by: | Borrowings collateralized by: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale securities | Available-for-sale securities | $ | 15,415,108 | $ | 11,091 | 0.3 | % | $ | 19,530,877 | $ | 231,491 | 1.2 | % | |||||||||||||||||||||||||||||||||||||||||||
Agency Derivatives (3) | Agency Derivatives (3) | 52,244 | 123 | 0.9 | % | 51,740 | 850 | 1.6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage servicing rights (4) | 579,348 | 8,288 | 5.7 | % | 407,085 | 22,466 | 5.5 | % | Mortgage servicing rights (4) | 678,094 | 6,596 | 3.9 | % | 729,172 | 29,710 | 4.1 | % | |||||||||||||||||||||||||||||||||||||||
Other unassignable | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unsecured borrowings: | Unsecured borrowings: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Convertible senior notes | 283,755 | 4,793 | 6.8 | % | 283,347 | 18,997 | 6.7 | % | Convertible senior notes | 286,070 | 4,831 | 6.8 | % | 285,592 | 19,197 | 6.7 | % | |||||||||||||||||||||||||||||||||||||||
Total interest expense/cost of funds | $ | 23,276,767 | 162,301 | 2.8 | % | $ | 21,629,107 | 519,671 | 2.4 | % | Total interest expense/cost of funds | $ | 16,431,516 | $ | 22,641 | 0.6 | % | $ | 20,597,381 | $ | 281,248 | 1.4 | % | |||||||||||||||||||||||||||||||||
Net interest income/spread (5) | $ | 89,654 | 1.3 | % | $ | 350,360 | 1.4 | % | Net interest income/spread (5) | $ | 49,859 | 1.4 | % | $ | 243,802 | 1.3 | % |
Three Months Ended December 31, 2019 | Year Ended December 31, 2019 | ||||||||||||||||
Agency (1) | Non-Agency | Total | Agency (1) | Non-Agency | Total | ||||||||||||
Gross yield/stated coupon | 3.9 | % | 4.4 | % | 4.0 | % | 4.1 | % | 4.7 | % | 4.2 | % | |||||
Net (premium amortization) discount accretion | (1.0 | )% | 1.9 | % | (0.7 | )% | (0.9 | )% | 1.4 | % | (0.6 | )% | |||||
Net yield (2) | 2.9 | % | 6.3 | % | 3.3 | % | 3.2 | % | 6.1 | % | 3.6 | % |
Three Months Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
Three Months Ended December 31, 2018 | Year Ended December 31, 2018 | December 31, | December 31, | |||||||||||||||||||||||||||||||||||||
Agency (1) | Non-Agency | Total | Agency (1) | Non-Agency | Total | |||||||||||||||||||||||||||||||||||
(in thousands) | (in thousands) | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||||||||||||||||||
Gross yield/stated coupon | 4.1 | % | 4.8 | % | 4.2 | % | 4.1 | % | 4.7 | % | 4.1 | % | Gross yield/stated coupon | 4.9 | % | 3.9 | % | 4.7 | % | 3.9 | % | |||||||||||||||||||
Net (premium amortization) discount accretion | (0.8 | )% | 2.9 | % | (0.3 | )% | (1.0 | )% | 3.0 | % | (0.4 | )% | Net (premium amortization) discount accretion | (2.7) | % | (1.9) | % | (2.7) | % | (1.2) | % | |||||||||||||||||||
Net yield | 3.3 | % | 7.7 | % | 3.9 | % | 3.1 | % | 7.7 | % | 3.7 | % | 2.2 | % | 2.0 | % | 2.0 | % | 2.7 | % |
(1)Excludes Agency Derivatives. For |
Three Months Ended | Year Ended | ||||||||||||||
December 31, | December 31, | ||||||||||||||
(in thousands) | 2019 | 2018 | 2019 | 2018 | |||||||||||
Other-than-temporary impairment losses | $ | (3,308 | ) | $ | (107 | ) | $ | (14,312 | ) | $ | (470 | ) | |||
Number of non-Agency securities | 6 | 1 | 18 | 3 |
Three Months Ended December 31, 2021 | Year Ended December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | Available-For-Sale Securities | Trading Securities | Total | Available-For-Sale Securities | Trading Securities | Total | |||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from sales | $ | 1,171,299 | $ | — | $ | 1,171,299 | $ | 6,274,193 | $ | — | $ | 6,274,193 | |||||||||||||||||||||||||||||||||||||||||
Amortized cost sold | (1,139,241) | — | (1,139,241) | (6,137,824) | — | (6,137,824) | |||||||||||||||||||||||||||||||||||||||||||||||
Total realized gains on sales | 32,058 | — | 32,058 | 136,369 | — | 136,369 | |||||||||||||||||||||||||||||||||||||||||||||||
Provision for credit losses | (3,347) | — | (3,347) | (9,763) | — | (9,763) | |||||||||||||||||||||||||||||||||||||||||||||||
Other | (27,085) | — | (27,085) | (4,989) | — | (4,989) | |||||||||||||||||||||||||||||||||||||||||||||||
Gain on investment securities | $ | 1,626 | $ | — | $ | 1,626 | $ | 121,617 | $ | — | $ | 121,617 |
Three Months Ended December 31, 2019 | Year Ended December 31, 2019 | ||||||||||||||||||||||
(in thousands) | Available-For-Sale Securities | Equity Securities | Total | Available-For-Sale Securities | Equity Securities | Total | |||||||||||||||||
Proceeds from sales | $ | 1,814,250 | $ | — | $ | 1,814,250 | $ | 15,879,823 | $ | — | $ | 15,879,823 | |||||||||||
Amortized cost of securities sold | (1,786,635 | ) | — | (1,786,635 | ) | (15,595,809 | ) | — | (15,595,809 | ) | |||||||||||||
Total realized gains | 27,615 | — | 27,615 | 284,014 | — | 284,014 | |||||||||||||||||
Change in unrealized gains (losses) (1) | 526 | — | 526 | (3,896 | ) | — | (3,896 | ) | |||||||||||||||
Dividend income | — | — | — | — | — | — | |||||||||||||||||
Gain (loss) on investment securities | $ | 28,141 | $ | — | $ | 28,141 | $ | 280,118 | $ | — | $ | 280,118 |
Three Months Ended December 31, 2020 | Year Ended December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | Available-For-Sale Securities | Trading Securities | Total | Available-For-Sale Securities | Trading Securities | Total | |||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from sales | $ | 1,379,468 | $ | — | $ | 1,379,468 | 18,349,338 | $ | 1,053,477 | $ | 19,402,815 | ||||||||||||||||||||||||||||||||||||||||||
Amortized cost sold | (1,325,981) | — | (1,325,981) | (19,273,667) | (1,052,500) | (20,326,167) | |||||||||||||||||||||||||||||||||||||||||||||||
Total realized gains (losses) on sales | 53,487 | — | 53,487 | (924,329) | 977 | (923,352) | |||||||||||||||||||||||||||||||||||||||||||||||
Provision for credit losses | (4,509) | — | (4,509) | (58,440) | — | (58,440) | |||||||||||||||||||||||||||||||||||||||||||||||
Other | (11,615) | — | (11,615) | (18,067) | — | (18,067) | |||||||||||||||||||||||||||||||||||||||||||||||
Gain (loss) on investment securities | $ | 37,363 | $ | — | $ | 37,363 | $ | (1,000,836) | $ | 977 | $ | (999,859) |
Three Months Ended December 31, 2018 | Year Ended December 31, 2018 | ||||||||||||||||||||||
(in thousands) | Available-For-Sale Securities | Equity Securities | Total | Available-For-Sale Securities | Equity Securities | Total | |||||||||||||||||
Proceeds from sales | $ | 6,045,720 | $ | — | $ | 6,045,720 | $ | 15,202,406 | $ | 31,276 | $ | 15,233,682 | |||||||||||
Amortized cost of securities sold | (6,294,564 | ) | — | (6,294,564 | ) | (15,551,968 | ) | (30,054 | ) | (15,582,022 | ) | ||||||||||||
Total realized (losses) gains | (248,844 | ) | — | (248,844 | ) | (349,562 | ) | 1,222 | (348,340 | ) | |||||||||||||
Change in unrealized gains(1) | 3,081 | — | 3,081 | 5,094 | 641 | 5,735 | |||||||||||||||||
Dividend income | — | — | — | — | 1,293 | 1,293 | |||||||||||||||||
(Loss) gain on investment securities | $ | (245,763 | ) | $ | — | $ | (245,763 | ) | $ | (344,468 | ) | $ | 3,156 | $ | (341,312 | ) |
Three Months Ended | Year Ended | ||||||||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||||||||
(in thousands) | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||||||||
Servicing fee income | $ | 123,912 | $ | 98,250 | $ | 461,381 | $ | 416,936 | |||||||||||||||||||||
Ancillary and other fee income | 548 | 557 | 2,436 | 1,945 | |||||||||||||||||||||||||
Float income | 1,051 | 1,742 | 4,589 | 24,470 | |||||||||||||||||||||||||
Total | $ | 125,511 | $ | 100,549 | $ | 468,406 | $ | 443,351 |
Three Months Ended | Year Ended | ||||||||||||||
December 31, | December 31, | ||||||||||||||
(in thousands) | 2019 | 2018 | 2019 | 2018 | |||||||||||
Servicing fee income | $ | 109,403 | $ | 94,078 | $ | 436,587 | $ | 312,100 | |||||||
Ancillary and other fee income | 499 | 276 | 1,801 | 1,280 | |||||||||||
Float income | 17,788 | 10,269 | 63,224 | 29,716 | |||||||||||
Total | $ | 127,690 | $ | 104,623 | $ | 501,612 | $ | 343,096 |
Three Months Ended | Year Ended | ||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||
(in thousands) | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||
Changes in fair value due to changes in valuation inputs or assumptions used in the valuation model | $ | 21,189 | $ | 173,447 | $ | 562,843 | $ | (396,900) | |||||||||||||||
Changes in fair value due to realization of cash flows (runoff) | (152,450) | (170,897) | (666,160) | (538,761) | |||||||||||||||||||
Losses on sales | (567) | (28) | (11,624) | (36) | |||||||||||||||||||
(Loss) gain on servicing asset | $ | (131,828) | $ | 2,522 | $ | (114,941) | $ | (935,697) |
Three Months Ended | Year Ended | ||||||||||||||
December 31, | December 31, | ||||||||||||||
(in thousands) | 2019 | 2018 | 2019 | 2018 | |||||||||||
Changes in fair value due to changes in valuation inputs or assumptions used in the valuation model | $ | 87,561 | $ | (129,401 | ) | $ | (390,149 | ) | $ | 80,209 | |||||
Changes in fair value due to realization of cash flows (runoff) | (109,333 | ) | (42,125 | ) | (307,918 | ) | (149,879 | ) | |||||||
Gains on sales | 33 | 242 | 408 | 637 | |||||||||||
Loss on servicing asset | $ | (21,739 | ) | $ | (171,284 | ) | $ | (697,659 | ) | $ | (69,033 | ) |
Three Months Ended | Year Ended | ||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||
(in thousands) | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||
Net interest spread | $ | 5,772 | $ | 1,953 | $ | 14,262 | $ | (66,175) | |||||||||||||||
Early termination, agreement maturation and option expiration (losses) gains | (5,143) | (2,546) | 2,369 | (387,748) | |||||||||||||||||||
Change in unrealized gain (loss) on interest rate swap and swaption agreements, at fair value | 36,360 | (14,096) | 25,460 | 143,117 | |||||||||||||||||||
Gain (loss) on interest rate swap and swaption agreements | $ | 36,989 | $ | (14,689) | $ | 42,091 | $ | (310,806) |
Three Months Ended | Year Ended | ||||||||||||||
December 31, | December 31, | ||||||||||||||
(in thousands) | 2019 | 2018 | 2019 | 2018 | |||||||||||
Net interest spread | $ | 4,768 | $ | 15,331 | $ | 70,514 | $ | 49,217 | |||||||
Early termination, agreement maturation and option expiration (losses) gains | (1,495 | ) | (35,757 | ) | 94,929 | (3,593 | ) | ||||||||
Change in unrealized loss on interest rate swap, cap and swaption agreements, at fair value | (10,148 | ) | (219,066 | ) | (273,732 | ) | (29,581 | ) | |||||||
(Loss) gain on interest rate swap, cap and swaption agreements | $ | (6,875 | ) | $ | (239,492 | ) | $ | (108,289 | ) | $ | 16,043 |
Three Months Ended | Year Ended | Three Months Ended | Year Ended | |||||||||||||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||||||||||||
(in thousands) | 2019 | 2018 | 2019 | 2018 | (in thousands) | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||||||||||||
Interest income, net of accretion, on inverse interest-only securities | $ | 1,702 | $ | 1,437 | $ | 5,586 | $ | 6,463 | Interest income, net of accretion, on inverse interest-only securities | $ | 1,058 | $ | 2,232 | $ | 5,418 | $ | 9,479 | |||||||||||||||||||||
Interest expense on short U.S. treasuries | — | (5,592 | ) | (1,315 | ) | (9,302 | ) | |||||||||||||||||||||||||||||||
Realized and unrealized net gains (losses) on other derivative instruments (1) | (12,502 | ) | (34,967 | ) | 255,727 | (52,018 | ) | Realized and unrealized net gains (losses) on other derivative instruments (1) | (12,623) | 79,057 | (256,701) | 80,544 | ||||||||||||||||||||||||||
(Loss) gain on other derivative instruments | $ | (10,800 | ) | $ | (39,122 | ) | $ | 259,998 | $ | (54,857 | ) | (Loss) gain on other derivative instruments | $ | (11,565) | $ | 81,289 | $ | (251,283) | $ | 90,023 |
Three Months Ended | Year Ended | ||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||
(in thousands, except share data) | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||
Management fees | $ | — | $ | — | $ | — | $ | 31,738 | |||||||||||||||
Servicing expenses | $ | 21,582 | $ | 24,217 | $ | 86,250 | $ | 94,266 | |||||||||||||||
Operating expenses: | |||||||||||||||||||||||
Compensation and benefits: | |||||||||||||||||||||||
Non-cash equity compensation expenses | $ | 2,525 | $ | 2,243 | $ | 11,485 | $ | 9,730 | |||||||||||||||
All other compensation and benefits | 3,871 | 8,977 | 23,556 | 27,993 | |||||||||||||||||||
Total compensation and benefits | $ | 6,396 | $ | 11,220 | $ | 35,041 | $ | 37,723 | |||||||||||||||
Other operating expenses: | |||||||||||||||||||||||
Nonrecurring expenses | $ | 665 | $ | 1,541 | $ | 5,220 | $ | 5,205 | |||||||||||||||
All other operating expenses | 5,983 | 5,696 | 23,539 | 23,421 | |||||||||||||||||||
Total other operating expenses | $ | 6,648 | $ | 7,237 | $ | 28,759 | $ | 28,626 | |||||||||||||||
Annualized operating expense ratio | 1.9 | % | 2.4 | % | 2.3 | % | 2.0 | % | |||||||||||||||
Annualized operating expense ratio, excluding non-cash equity compensation and other nonrecurring expenses | 1.4 | % | 1.9 | % | 1.7 | % | 1.5 | % |
Three Months Ended | Year Ended | ||||||||||||||
December 31, | December 31, | ||||||||||||||
(in thousands, except share data) | 2019 | 2018 | 2019 | 2018 | |||||||||||
Management fees | $ | 17,546 | $ | 12,152 | $ | 60,102 | $ | 30,272 | |||||||
Servicing expenses | $ | 20,253 | $ | 18,610 | $ | 74,607 | $ | 61,136 | |||||||
Other operating expenses: | |||||||||||||||
Officers’ compensation incurred by PRCM Advisers on our behalf and reimbursed by us (1) | $ | 141 | $ | 242 | $ | 3,054 | $ | 1,785 | |||||||
Other direct and allocated costs incurred by PRCM Advisers on our behalf and reimbursed by us | 4,423 | 5,263 | 24,548 | 24,512 | |||||||||||
Non-cash equity compensation expenses | |||||||||||||||
Amortization of executive officers’ restricted stock (2) | 1,221 | 1,791 | 3,395 | 6,791 | |||||||||||
Amortization of other restricted stock | 1,202 | 1,420 | 5,265 | 5,501 | |||||||||||
Total non-cash equity compensation expenses | 2,423 | 3,211 | 8,660 | 12,292 | |||||||||||
All other operating expenses | 7,155 | 7,227 | 20,793 | 24,394 | |||||||||||
Total other operating expenses | $ | 14,142 | $ | 15,943 | $ | 57,055 | $ | 62,983 | |||||||
Annualized other operating expense ratio | 1.1 | % | 1.4 | % | 1.2 | % | 1.6 | % | |||||||
Annualized other operating expense ratio, excluding non-cash equity compensation expenses | 0.9 | % | 1.1 | % | 1.0 | % | 1.3 | % |
December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands, except purchase price) | Principal/ Current Face | Net (Discount) Premium | Amortized Cost | Allowance for Credit Losses | Unrealized Gain | Unrealized Loss | Carrying Value | Weighted Average Coupon Rate | Weighted Average Purchase Price | ||||||||||||||||||||||||||||||||||||||||||||
P&I securities | $ | 6,411,363 | $ | 270,687 | $ | 6,682,050 | $ | — | $ | 171,308 | $ | (4,855) | $ | 6,848,503 | 3.65 | % | $ | 104.66 | |||||||||||||||||||||||||||||||||||
Interest-only securities | 3,198,447 | 305,577 | 305,577 | (12,851) | 20,699 | (12,529) | 300,896 | 2.93 | % | $ | 14.09 | ||||||||||||||||||||||||||||||||||||||||||
Total | $ | 9,609,810 | $ | 576,264 | $ | 6,987,627 | $ | (12,851) | $ | 192,007 | $ | (17,384) | $ | 7,149,399 |
December 31, 2019 | ||||||||||||||||||||||||||||||
(dollars in thousands, except purchase price) | Principal/ Current Face | Net (Discount) Premium | Amortized Cost | Unrealized Gain | Unrealized Loss | Carrying Value | Weighted Average Coupon Rate | Weighted Average Purchase Price | ||||||||||||||||||||||
P&I securities | ||||||||||||||||||||||||||||||
Fixed | $ | 26,225,918 | $ | 985,699 | $ | 27,211,617 | $ | 424,428 | $ | (8,758 | ) | $ | 27,627,287 | 3.80 | % | $ | 103.96 | |||||||||||||
Hybrid ARM | 13,626 | 625 | 14,251 | 390 | (57 | ) | 14,584 | 5.81 | % | $ | 107.58 | |||||||||||||||||||
Total P&I securities | 26,239,544 | 986,324 | 27,225,868 | 424,818 | (8,815 | ) | 27,641,871 | 3.80 | % | $ | 103.96 | |||||||||||||||||||
Interest-only securities | ||||||||||||||||||||||||||||||
Fixed | 609,012 | 44,970 | 44,970 | 3,482 | (676 | ) | 47,776 | 3.13 | % | $ | 34.16 | |||||||||||||||||||
Fixed Other (1) | 1,992,681 | 124,841 | 124,841 | 10,242 | (46,675 | ) | 88,408 | 1.68 | % | $ | 8.72 | |||||||||||||||||||
Total | $ | 28,841,237 | $ | 1,156,135 | $ | 27,395,679 | $ | 438,542 | $ | (56,166 | ) | $ | 27,778,055 |
December 31, 2018 | ||||||||||||||||||||||||||||||
(dollars in thousands, except purchase price) | Principal/ Current Face | Net (Discount) Premium | Amortized Cost | Unrealized Gain | Unrealized Loss | Carrying Value | Weighted Average Coupon Rate | Weighted Average Purchase Price | ||||||||||||||||||||||
Principal and interest securities: | ||||||||||||||||||||||||||||||
Fixed | $ | 20,757,850 | $ | 1,011,781 | $ | 21,769,631 | $ | 60,819 | $ | (339,906 | ) | $ | 21,490,544 | 4.33 | % | $ | 105.19 | |||||||||||||
Hybrid ARM | 17,940 | 915 | 18,855 | 309 | (91 | ) | 19,073 | 5.12 | % | $ | 107.63 | |||||||||||||||||||
Total P&I Securities | 20,775,790 | 1,012,696 | 21,788,486 | 61,128 | (339,997 | ) | 21,509,617 | 4.33 | % | $ | 105.20 | |||||||||||||||||||
Interest-only securities | ||||||||||||||||||||||||||||||
Fixed | 794,144 | 58,886 | 58,886 | 4,880 | (403 | ) | 63,363 | 2.84 | % | $ | 33.15 | |||||||||||||||||||
Fixed Other (1) | 2,321,823 | 151,015 | 151,015 | 9,290 | (48,252 | ) | 112,053 | 1.55 | % | $ | 8.82 | |||||||||||||||||||
Total | $ | 23,891,757 | $ | 1,222,597 | $ | 21,998,387 | $ | 75,298 | $ | (388,652 | ) | $ | 21,685,033 |
December 31, 2019 | |||||||||||||||||||||||||||||||
(in thousands) | Principal/Current Face | Un-amortized Premium | Accretable Purchase Discount | Credit Reserve Purchase Discount | Amortized Cost | Unrealized Gain | Unrealized Loss | Carrying Value | |||||||||||||||||||||||
P&I securities | |||||||||||||||||||||||||||||||
Senior | $ | 4,861,854 | $ | 8,966 | $ | (445,566 | ) | $ | (1,594,480 | ) | $ | 2,830,774 | $ | 262,527 | $ | (20,203 | ) | $ | 3,073,098 | ||||||||||||
Mezzanine | 636,800 | 14 | (114,574 | ) | (117,471 | ) | 404,769 | 79,056 | (3,060 | ) | 480,765 | ||||||||||||||||||||
Total P&I | 5,498,654 | 8,980 | (560,140 | ) | (1,711,951 | ) | 3,235,543 | 341,583 | (23,263 | ) | 3,553,863 | ||||||||||||||||||||
Interest-only securities | 4,356,603 | 79,935 | — | — | 79,935 | 3,039 | (8,564 | ) | 74,410 | ||||||||||||||||||||||
Total | $ | 9,855,257 | $ | 88,915 | $ | (560,140 | ) | $ | (1,711,951 | ) | $ | 3,315,478 | $ | 344,622 | $ | (31,827 | ) | $ | 3,628,273 |
December 31, 2018 | |||||||||||||||||||||||||||||||
(in thousands) | Principal/Current Face | Un-amortized Premium | Accretable Purchase Discount | Credit Reserve Purchase Discount | Amortized Cost | Unrealized Gain | Unrealized Loss | Carrying Value | |||||||||||||||||||||||
P&I securities | |||||||||||||||||||||||||||||||
Senior | $ | 4,227,631 | $ | 5,381 | $ | (477,682 | ) | $ | (1,204,325 | ) | $ | 2,551,005 | $ | 343,358 | $ | (39,632 | ) | $ | 2,854,731 | ||||||||||||
Mezzanine | 1,132,493 | 1,301 | (216,437 | ) | (118,437 | ) | 798,920 | 134,737 | (5,025 | ) | 928,632 | ||||||||||||||||||||
Total P&I | 5,360,124 | 6,682 | (694,119 | ) | (1,322,762 | ) | 3,349,925 | 478,095 | (44,657 | ) | 3,783,363 | ||||||||||||||||||||
Interest-only securities | 5,137,169 | 83,846 | — | — | 83,846 | 3,655 | (3,293 | ) | 84,208 | ||||||||||||||||||||||
Total | $ | 10,497,293 | $ | 90,528 | $ | (694,119 | ) | $ | (1,322,762 | ) | $ | 3,433,771 | $ | 481,750 | $ | (47,950 | ) | $ | 3,867,571 |
December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands, except purchase price) | Principal/ Current Face | Net (Discount) Premium | Amortized Cost | Allowance for Credit Losses | Unrealized Gain | Unrealized Loss | Carrying Value | Weighted Average Coupon Rate | Weighted Average Purchase Price | ||||||||||||||||||||||||||||||||||||||||||||
P&I securities | $ | 13,103,355 | $ | 605,239 | $ | 13,708,594 | $ | — | $ | 629,079 | $ | (420) | $ | 14,337,253 | 3.64 | % | $ | 104.95 | |||||||||||||||||||||||||||||||||||
Interest-only securities | 3,649,556 | 315,876 | 315,876 | (17,889) | 15,680 | (13,029) | 300,638 | 2.72 | % | $ | 14.42 | ||||||||||||||||||||||||||||||||||||||||||
Total | $ | 16,752,911 | $ | 921,115 | $ | 14,024,470 | $ | (17,889) | $ | 644,759 | $ | (13,449) | $ | 14,637,891 |
December 31, 2019 | December 31, 2018 | ||||
AAA | 0.4 | % | 0.5 | % | |
AA | — | % | — | % | |
A | — | % | 0.1 | % | |
BBB | — | % | 2.1 | % | |
BB | — | % | 0.6 | % | |
B | 1.3 | % | 5.3 | % | |
Below B | 78.5 | % | 73.3 | % | |
Not rated | 19.8 | % | 18.1 | % | |
Total | 100.0 | % | 100.0 | % |
December 31, 2019 | ||||||||||||
Non-Agency P&I Securities | Senior | Mezzanine | Total | |||||||||
Carrying value (in thousands) | $ | 3,073,098 | $ | 480,765 | $ | 3,553,863 | ||||||
% of total | 86.5 | % | 13.5 | % | 100.0 | % | ||||||
Weighted average purchase price (1) | $ | 63.63 | $ | 65.36 | $ | 63.86 | ||||||
Weighted average coupon | 2.9 | % | 2.5 | % | 2.8 | % | ||||||
Weighted average fixed coupon | 5.8 | % | 5.5 | % | 5.8 | % | ||||||
Weighted average floating coupon | 2.5 | % | 2.3 | % | 2.5 | % | ||||||
Weighted average hybrid coupon | 4.6 | % | 5.4 | % | 4.6 | % | ||||||
Collateral attributes | ||||||||||||
Weighted average loan age (months) | 160 | 167 | 161 | |||||||||
Weighted average current loan size (in thousands) | $ | 207 | $ | 255 | $ | 214 | ||||||
Weighted average current loan-to-value | 60.5 | % | 58.3 | % | 60.2 | % | ||||||
Current performance | ||||||||||||
60+ day delinquencies | 18.1 | % | 16.5 | % | 17.9 | % | ||||||
Average credit enhancement (2) | 1.9 | % | 8.1 | % | 2.8 | % | ||||||
3-month CPR (3) | 6.1 | % | 8.5 | % | 6.4 | % | ||||||
CDR (4) | 5.0 | % | 4.5 | % | 4.9 | % | ||||||
Severity (5) | 48.6 | % | 33.2 | % | 46.6 | % | ||||||
Cumulative loss (6) | 36.3 | % | 21.9 | % | 34.3 | % |
December 31, 2018 | ||||||||||||
Non-Agency P&I Securities | Senior | Mezzanine | Total P&I | |||||||||
Carrying value (in thousands) | $ | 2,854,731 | $ | 928,632 | $ | 3,783,363 | ||||||
% of total | 75.5 | % | 24.5 | % | 100.0 | % | ||||||
Weighted average purchase price (1) | $ | 60.79 | $ | 67.51 | $ | 62.44 | ||||||
Weighted average coupon | 3.4 | % | 3.2 | % | 3.3 | % | ||||||
Weighted average fixed coupon | 5.7 | % | 4.0 | % | 5.0 | % | ||||||
Weighted average floating coupon | 3.1 | % | 3.1 | % | 3.1 | % | ||||||
Weighted average hybrid coupon | 4.6 | % | — | % | 4.6 | % | ||||||
Collateral Attributes | ||||||||||||
Weighted average loan age (months) | 147 | 144 | 147 | |||||||||
Weighted average current loan size (in thousands) | $ | 215 | $ | 180 | $ | 206 | ||||||
Weighted average current loan-to-value | 64.4 | % | 55.0 | % | 62.2 | % | ||||||
Current Performance | ||||||||||||
60+ day delinquencies | 19.5 | % | 15.9 | % | 18.6 | % | ||||||
Average credit enhancement (2) | 5.1 | % | 15.0 | % | 7.5 | % | ||||||
3-month CPR (3) | 5.0 | % | 5.7 | % | 5.1 | % | ||||||
CDR (4) | 4.8 | % | 4.2 | % | 4.7 | % | ||||||
Severity (5) | 48.5 | % | 39.7 | % | 46.4 | % | ||||||
Cumulative loss (6) | 34.9 | % | 17.4 | % | 30.8 | % |
December 31, 2019 | |||||||||||||||||||||
Non-Agency P&I Securities | |||||||||||||||||||||
(dollars in thousands) | Senior | Mezzanine | Total | ||||||||||||||||||
Collateral Type | Carrying Value | % of Senior | Carrying Value | % of Mezzanine | Carrying Value | % of Total | |||||||||||||||
Prime | $ | 26,840 | 0.9 | % | $ | 3,482 | 0.7 | % | $ | 30,322 | 0.9 | % | |||||||||
Alt-A | 385,414 | 12.5 | % | 72,434 | 15.1 | % | 457,848 | 12.9 | % | ||||||||||||
Pay-option ARM | 234,603 | 7.6 | % | 166,777 | 34.7 | % | 401,380 | 11.3 | % | ||||||||||||
Subprime | 2,421,860 | 78.9 | % | 238,072 | 49.5 | % | 2,659,932 | 74.8 | % | ||||||||||||
Other | 4,381 | 0.1 | % | — | — | % | 4,381 | 0.1 | % | ||||||||||||
Total | $ | 3,073,098 | 100.0 | % | $ | 480,765 | 100.0 | % | $ | 3,553,863 | 100.0 | % |
December 31, 2018 | |||||||||||||||||||||
Non-Agency P&I Securities | |||||||||||||||||||||
(dollars in thousands) | Senior | Mezzanine | Total | ||||||||||||||||||
Collateral Type | Carrying Value | % of Senior | Carrying Value | % of Mezzanine | Carrying Value | % of Total | |||||||||||||||
Prime | $ | 35,519 | 1.2 | % | $ | 13,797 | 1.5 | % | $ | 49,316 | 1.3 | % | |||||||||
Alt-A | 367,985 | 12.9 | % | 89,785 | 9.7 | % | 457,770 | 12.1 | % | ||||||||||||
Pay-option ARM | 214,683 | 7.5 | % | 171,348 | 18.4 | % | 386,031 | 10.2 | % | ||||||||||||
Subprime | 2,232,166 | 78.2 | % | 525,009 | 56.5 | % | 2,757,175 | 72.9 | % | ||||||||||||
Other | 4,378 | 0.2 | % | 128,693 | 13.9 | % | 133,071 | 3.5 | % | ||||||||||||
Total | $ | 2,854,731 | 100.0 | % | $ | 928,632 | 100.0 | % | $ | 3,783,363 | 100.0 | % |
December 31, 2019 | |||||||||||||||||||||
Non-Agency P&I Securities | |||||||||||||||||||||
(dollars in thousands) | Senior | Mezzanine | Total | ||||||||||||||||||
Coupon Type | Carrying Value | % of Senior | Carrying Value | % of Mezzanine | Carrying Value | % of Total | |||||||||||||||
Fixed rate | $ | 250,189 | 8.1 | % | $ | 27,387 | 5.7 | % | $ | 277,576 | 7.8 | % | |||||||||
Hybrid or floating | 2,822,909 | 91.9 | % | 453,378 | 94.3 | % | 3,276,287 | 92.2 | % | ||||||||||||
Total | $ | 3,073,098 | 100.0 | % | $ | 480,765 | 100.0 | % | $ | 3,553,863 | 100.0 | % |
December 31, 2018 | |||||||||||||||||||||
Non-Agency P&I Securities | |||||||||||||||||||||
(dollars in thousands) | Senior | Mezzanine | Total | ||||||||||||||||||
Coupon Type | Carrying Value | % of Senior | Carrying Value | % of Mezzanine | Carrying Value | % of Total | |||||||||||||||
Fixed rate | $ | 228,939 | 8.0 | % | $ | 149,089 | 16.1 | % | $ | 378,028 | 10.0 | % | |||||||||
Hybrid or floating | 2,625,792 | 92.0 | % | 779,543 | 83.9 | % | 3,405,335 | 90.0 | % | ||||||||||||
Total | $ | 2,854,731 | 100.0 | % | $ | 928,632 | 100.0 | % | $ | 3,783,363 | 100.0 | % |
December 31, 2019 | |||||||||||||||||||||
Non-Agency P&I Securities | |||||||||||||||||||||
(dollars in thousands) | Senior | Mezzanine | Total | ||||||||||||||||||
Origination Year | Carrying Value | % of Senior | Carrying Value | % of Mezzanine | Carrying Value | % of Total | |||||||||||||||
2006 and thereafter | $ | 2,848,895 | 92.7 | % | $ | 260,819 | 54.3 | % | $ | 3,109,714 | 87.5 | % | |||||||||
2002-2005 | 223,597 | 7.3 | % | 219,848 | 45.7 | % | 443,445 | 12.5 | % | ||||||||||||
Pre-2002 | 606 | — | % | 98 | — | % | 704 | — | % | ||||||||||||
Total | $ | 3,073,098 | 100.0 | % | $ | 480,765 | 100.0 | % | $ | 3,553,863 | 100.0 | % |
December 31, 2018 | |||||||||||||||||||||
Non-Agency P&I Securities | |||||||||||||||||||||
(dollars in thousands) | Senior | Mezzanine | Total | ||||||||||||||||||
Origination Year | Carrying Value | % of Senior | Carrying Value | % of Mezzanine | Carrying Value | % of Total | |||||||||||||||
2006 and thereafter | $ | 2,630,095 | 92.1 | % | $ | 444,007 | 47.8 | % | $ | 3,074,102 | 81.2 | % | |||||||||
2002-2005 | 219,183 | 7.7 | % | 483,061 | 52.0 | % | 702,244 | 18.6 | % | ||||||||||||
Pre-2002 | 5,453 | 0.2 | % | 1,564 | 0.2 | % | 7,017 | 0.2 | % | ||||||||||||
Total | $ | 2,854,731 | 100.0 | % | $ | 928,632 | 100.0 | % | $ | 3,783,363 | 100.0 | % |
December 31, 2019 | December 31, 2018 | ||||||||||||
(dollars in thousands) | Carrying Value | % of Total Non-Agency Securities | Carrying Value | % of Total Non-Agency Securities | |||||||||
California | $ | 1,051,536 | 29.0 | % | $ | 1,041,464 | 26.9 | % | |||||
New York | 545,407 | 15.0 | % | 393,936 | 10.2 | % | |||||||
Florida | 360,696 | 9.9 | % | 529,738 | 13.7 | % | |||||||
New Jersey | 165,501 | 4.6 | % | 153,687 | 4.0 | % | |||||||
Texas | 157,307 | 4.3 | % | 176,265 | 4.6 | % | |||||||
Total | $ | 2,280,447 | 62.8 | % | $ | 2,295,090 | 59.4 | % |
December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | Number of Loans | Unpaid Principal Balance | Weighted Average Gross Coupon Rate | Weighted Average Current Loan Size | Weighted Average Loan Age (months) | Weighted Average Original FICO | Weighted Average Original LTV | 60+ Day Delinquencies | 3-Month CPR | Net Servicing Fee (bps) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
30-Year Fixed: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
≤ 3.25% | 215,128 | $ | 72,197,662 | 2.8 | % | $ | 395 | 11 | 767 | 70.7 | % | 0.3 | % | 10.7 | % | 25.7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 3.25 - 3.75% | 167,615 | 43,576,971 | 3.4 | % | 321 | 28 | 755 | 74.2 | % | 0.8 | % | 24.0 | % | 26.3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 3.75 - 4.25% | 125,831 | 26,250,276 | 3.9 | % | 263 | 54 | 753 | 75.7 | % | 2.3 | % | 34.0 | % | 27.4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 4.25 - 4.75% | 79,107 | 14,291,435 | 4.4 | % | 239 | 58 | 737 | 77.5 | % | 4.4 | % | 36.4 | % | 26.3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 4.75 - 5.25% | 38,902 | 6,318,470 | 4.9 | % | 230 | 52 | 722 | 78.9 | % | 6.4 | % | 37.4 | % | 27.3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 5.25% | 15,796 | 2,176,065 | 5.5 | % | 211 | 51 | 705 | 79.2 | % | 9.2 | % | 37.6 | % | 30.5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
642,379 | 164,810,879 | 3.4 | % | 332 | 29 | 756 | 73.4 | % | 1.5 | % | 22.7 | % | 26.3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
15-Year Fixed: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
≤ 2.25% | 16,525 | 5,397,141 | 2.0 | % | 371 | 9 | 778 | 57.1 | % | 0.1 | % | 8.3 | % | 25.2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 2.25 - 2.75% | 41,168 | 9,901,133 | 2.4 | % | 294 | 13 | 774 | 58.0 | % | 0.2 | % | 14.2 | % | 25.6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 2.75 - 3.25% | 46,236 | 7,568,257 | 2.9 | % | 220 | 40 | 768 | 61.3 | % | 0.4 | % | 21.6 | % | 26.1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 3.25 - 3.75% | 28,010 | 3,485,491 | 3.4 | % | 172 | 55 | 758 | 64.3 | % | 1.1 | % | 26.6 | % | 27.4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 3.75 - 4.25% | 12,685 | 1,302,862 | 3.9 | % | 152 | 55 | 742 | 65.3 | % | 2.1 | % | 28.5 | % | 28.8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 4.25% | 5,965 | 513,255 | 4.5 | % | 130 | 47 | 727 | 66.1 | % | 2.6 | % | 29.4 | % | 31.2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
150,589 | 28,168,139 | 2.7 | % | 264 | 27 | 769 | 60.0 | % | 0.5 | % | 18.1 | % | 26.1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total ARMs | 3,237 | 791,548 | 3.0 | % | 315 | 54 | 762 | 68.0 | % | 2.9 | % | 29.5 | % | 25.2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | 796,205 | $ | 193,770,566 | 3.3 | % | $ | 322 | 28 | 758 | 71.5 | % | 1.3 | % | 22.1 | % | 26.3 |
December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | Number of Loans | Unpaid Principal Balance | Weighted Average Gross Coupon Rate | Weighted Average Current Loan Size | Weighted Average Loan Age (months) | Weighted Average Original FICO | Weighted Average Original LTV | 60+ Day Delinquencies | 3-Month CPR | Net Servicing Fee (bps) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
30-Year Fixed: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
≤ 3.25% | 87,561 | $ | 29,304,400 | 2.9 | % | $ | 390 | 4 | 769 | 71.8 | % | 0.1 | % | 9.0 | % | 25.5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 3.25 - 3.75% | 148,065 | 39,634,267 | 3.5 | % | 322 | 30 | 764 | 73.1 | % | 1.6 | % | 38.2 | % | 26.3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 3.75 - 4.25% | 188,805 | 43,124,073 | 3.9 | % | 282 | 44 | 757 | 76.3 | % | 3.8 | % | 49.1 | % | 27.5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 4.25 - 4.75% | 130,598 | 26,096,168 | 4.4 | % | 257 | 45 | 741 | 78.3 | % | 6.2 | % | 49.2 | % | 26.6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 4.75 - 5.25% | 64,424 | 11,727,196 | 4.9 | % | 249 | 39 | 727 | 79.6 | % | 8.5 | % | 46.5 | % | 27.8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 5.25% | 25,637 | 3,958,181 | 5.5 | % | 228 | 36 | 707 | 79.7 | % | 10.8 | % | 41.2 | % | 30.8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
645,090 | 153,844,285 | 3.8 | % | 305 | 32 | 755 | 75.3 | % | 3.5 | % | 42.7 | % | 26.8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
15-Year Fixed: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
≤ 2.25% | 1,996 | 665,514 | 2.0 | % | 367 | 2 | 780 | 59.6 | % | — | % | 7.8 | % | 25.0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 2.25 - 2.75% | 19,260 | 5,256,640 | 2.5 | % | 324 | 7 | 778 | 59.5 | % | 0.1 | % | 12.4 | % | 25.8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 2.75 - 3.25% | 47,710 | 8,571,486 | 2.9 | % | 239 | 37 | 771 | 61.9 | % | 1.1 | % | 27.6 | % | 26.1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 3.25 - 3.75% | 36,327 | 5,223,663 | 3.4 | % | 196 | 45 | 759 | 64.9 | % | 2.2 | % | 33.7 | % | 27.6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 3.75 - 4.25% | 17,611 | 2,148,413 | 3.9 | % | 176 | 43 | 745 | 65.6 | % | 3.4 | % | 35.1 | % | 29.2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
> 4.25% | 9,149 | 958,531 | 4.5 | % | 153 | 34 | 731 | 66.3 | % | 3.6 | % | 37.0 | % | 31.2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
132,053 | 22,824,247 | 3.1 | % | 243 | 32 | 766 | 62.5 | % | 1.4 | % | 28.8 | % | 26.8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total ARMs | 4,762 | 1,192,951 | 3.3 | % | 312 | 47 | 762 | 67.2 | % | 4.3 | % | 45.4 | % | 25.2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | 781,905 | $ | 177,861,483 | 3.7 | % | $ | 297 | 32 | 756 | 73.6 | % | 3.2 | % | 41.2 | % | 26.8 |
December 31, 2019 | ||||||||||||||||||||||||||||||||||
(dollars in thousands) | Number of Loans | Unpaid Principal Balance | Fair Value | % Fannie Mae | Gross Weighted Average Coupon Rate | Weighted Average Loan Age (months) | Weighted Average Original FICO | Weighted Average Original LTV | 60+ Day Delinquencies | 3-Month CPR | Net Servicing Fee (bps) | |||||||||||||||||||||||
30-Year Fixed | ||||||||||||||||||||||||||||||||||
≤ 3.75% | 106,097 | $ | 27,627,966 | $ | 329,685 | 71.3 | % | 3.5 | % | 47 | 771 | 70.5 | % | 0.1 | % | 10.5 | % | 26.4 | ||||||||||||||||
> 3.75 - 4.25% | 241,274 | 59,172,782 | 672,441 | 64.5 | % | 3.9 | % | 39 | 761 | 76.3 | % | 0.2 | % | 16.1 | % | 26.9 | ||||||||||||||||||
> 4.25 - 4.75% | 194,543 | 43,611,524 | 454,666 | 65.2 | % | 4.4 | % | 33 | 745 | 78.9 | % | 0.4 | % | 26.4 | % | 26.3 | ||||||||||||||||||
> 4.75 - 5.25% | 95,468 | 19,780,323 | 206,745 | 65.9 | % | 4.9 | % | 26 | 732 | 80.4 | % | 0.5 | % | 32.9 | % | 28.0 | ||||||||||||||||||
> 5.25% | 34,524 | 5,987,442 | 61,447 | 70.5 | % | 5.5 | % | 24 | 709 | 80.2 | % | 1.0 | % | 30.8 | % | 30.8 | ||||||||||||||||||
671,906 | 156,180,037 | 1,724,984 | 66.3 | % | 4.2 | % | 37 | 753 | 76.7 | % | 0.3 | % | 21.4 | % | 26.9 | |||||||||||||||||||
15-Year Fixed | ||||||||||||||||||||||||||||||||||
≤ 2.75% | 2,325 | 464,650 | 4,263 | 80.8 | % | 2.6 | % | 46 | 778 | 59.7 | % | — | % | 8.6 | % | 26.1 | ||||||||||||||||||
> 2.75 - 3.25% | 39,977 | 6,893,458 | 63,318 | 79.9 | % | 2.9 | % | 48 | 772 | 62.2 | % | 0.1 | % | 11.2 | % | 25.8 | ||||||||||||||||||
> 3.25 - 3.75% | 40,052 | 6,311,291 | 61,207 | 74.0 | % | 3.4 | % | 40 | 760 | 65.0 | % | 0.1 | % | 15.0 | % | 27.6 | ||||||||||||||||||
> 3.75 - 4.25% | 21,243 | 2,990,294 | 29,517 | 64.2 | % | 3.9 | % | 32 | 747 | 66.0 | % | 0.2 | % | 19.2 | % | 29.4 | ||||||||||||||||||
> 4.25% | 11,644 | 1,423,018 | 13,774 | 61.9 | % | 4.5 | % | 23 | 734 | 66.6 | % | 0.2 | % | 24.8 | % | 31.4 | ||||||||||||||||||
115,241 | 18,082,711 | 172,079 | 73.9 | % | 3.4 | % | 40 | 761 | 64.0 | % | 0.1 | % | 15.0 | % | 27.5 | |||||||||||||||||||
Total ARMs | 6,323 | 1,619,394 | 12,381 | 69.9 | % | 3.6 | % | 44 | 762 | 65.8 | % | 0.3 | % | 27.3 | % | 25.2 | ||||||||||||||||||
Total | 793,470 | $ | 175,882,142 | $ | 1,909,444 | 67.1 | % | 4.1 | % | 37 | 754 | 75.3 | % | 0.3 | % | 20.8 | % | 27.0 |
December 31, 2018 | ||||||||||||||||||||||||||||||||||
(dollars in thousands) | Number of Loans | Unpaid Principal Balance | Fair Value | % Fannie Mae | Gross Weighted Average Coupon Rate | Weighted Average Loan Age (months) | Weighted Average Original FICO | Weighted Average Original LTV | 60+ Day Delinquencies | 3-Month CPR | Net Servicing Fee (bps) | |||||||||||||||||||||||
30-Year Fixed | ||||||||||||||||||||||||||||||||||
≤ 3.75% | 87,201 | $ | 22,717,526 | $ | 298,599 | 76.6 | % | 3.5 | % | 43 | 770 | 69.4 | % | 0.2 | % | 5.6 | % | 25.1 | ||||||||||||||||
> 3.75 - 4.25% | 205,718 | 50,363,220 | 648,969 | 69.8 | % | 3.9 | % | 34 | 760 | 75.8 | % | 0.3 | % | 6.9 | % | 25.4 | ||||||||||||||||||
> 4.25 - 4.75% | 190,095 | 44,614,930 | 545,197 | 66.7 | % | 4.4 | % | 24 | 745 | 79.0 | % | 0.4 | % | 7.5 | % | 25.6 | ||||||||||||||||||
> 4.75 - 5.25% | 93,283 | 20,802,919 | 247,663 | 65.3 | % | 4.9 | % | 15 | 732 | 80.7 | % | 0.5 | % | 7.5 | % | 26.7 | ||||||||||||||||||
> 5.25% | 31,535 | 5,911,778 | 66,482 | 70.2 | % | 5.5 | % | 14 | 709 | 80.5 | % | 0.6 | % | 9.5 | % | 29.1 | ||||||||||||||||||
607,832 | 144,410,373 | 1,806,910 | 69.3 | % | 4.2 | % | 29 | 751 | 76.7 | % | 0.3 | % | 7.0 | % | 25.8 | |||||||||||||||||||
15-Year Fixed | ||||||||||||||||||||||||||||||||||
≤ 2.75% | 2,271 | 505,880 | 5,174 | 83.5 | % | 2.6 | % | 35 | 777 | 59.3 | % | 0.1 | % | 5.7 | % | 26.1 | ||||||||||||||||||
> 2.75 - 3.25% | 36,431 | 6,505,051 | 63,300 | 87.0 | % | 2.9 | % | 42 | 771 | 61.5 | % | 0.1 | % | 7.2 | % | 25.3 | ||||||||||||||||||
> 3.25 - 3.75% | 37,409 | 6,144,286 | 62,870 | 79.4 | % | 3.4 | % | 33 | 758 | 64.4 | % | 0.2 | % | 8.6 | % | 26.5 | ||||||||||||||||||
> 3.75 - 4.25% | 18,608 | 2,781,505 | 29,387 | 68.6 | % | 3.9 | % | 25 | 746 | 65.8 | % | 0.2 | % | 9.1 | % | 28.7 | ||||||||||||||||||
> 4.25% | 8,209 | 1,102,846 | 11,426 | 63.8 | % | 4.5 | % | 14 | 739 | 67.1 | % | 0.3 | % | 9.4 | % | 31.3 | ||||||||||||||||||
102,928 | 17,039,568 | 172,157 | 79.6 | % | 3.4 | % | 34 | 760 | 63.6 | % | 0.2 | % | 8.1 | % | 26.7 | |||||||||||||||||||
Total ARMs | 6,407 | 1,652,367 | 14,373 | 72.1 | % | 3.6 | % | 40 | 763 | 65.5 | % | 0.4 | % | 17.1 | % | 25.2 | ||||||||||||||||||
Total | 717,167 | $ | 163,102,308 | $ | 1,993,440 | 70.4 | % | 4.1 | % | 29 | 752 | 75.2 | % | 0.3 | % | 7.3 | % | 25.9 |
(dollars in thousands) | December 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||
Borrowing Type | Amount Outstanding | Weighted Average Borrowing Rate | Weighted Average Years to Maturity | Amount Outstanding | Weighted Average Borrowing Rate | Weighted Average Years to Maturity | ||||||||||||||||||||||||||||||||
Repurchase agreements | $ | 7,656,445 | 0.24 | % | 0.2 | $ | 15,143,898 | 0.28 | % | 0.2 | ||||||||||||||||||||||||||||
Revolving credit facilities | 420,761 | 3.46 | % | 1.2 | 283,830 | 2.95 | % | 1.1 | ||||||||||||||||||||||||||||||
Term notes payable | 396,776 | 2.90 | % | 2.5 | 395,609 | 2.95 | % | 3.5 | ||||||||||||||||||||||||||||||
Convertible senior notes (1) | 424,827 | 6.25 | % | 2.7 | 286,183 | 6.25 | % | 1.0 | ||||||||||||||||||||||||||||||
Total | $ | 8,898,809 | 0.80 | % | 0.5 | $ | 16,109,520 | 0.50 | % | 0.3 |
(dollars in thousands) | December 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||
Collateral Type | Amount Outstanding | Weighted Average Borrowing Rate | Weighted Average Haircut on Collateral Value | Amount Outstanding | Weighted Average Borrowing Rate | Weighted Average Haircut on Collateral Value | ||||||||||||||||||||||||||||||||
Agency RMBS | $ | 7,495,230 | 0.17 | % | 4.2 | % | $ | 15,089,726 | 0.28 | % | 4.4 | % | ||||||||||||||||||||||||||
Non-Agency securities | 171 | 1.24 | % | 43.9 | % | 1,899 | 2.33 | % | 34.3 | % | ||||||||||||||||||||||||||||
Agency Derivatives | 36,044 | 0.74 | % | 17.8 | % | 52,273 | 0.89 | % | 21.6 | % | ||||||||||||||||||||||||||||
Mortgage servicing rights | 923,337 | 3.30 | % | 27.9 | % | 670,439 | 2.95 | % | 24.6 | % | ||||||||||||||||||||||||||||
Mortgage servicing advances | 19,200 | 3.23 | % | 13.8 | % | 9,000 | 3.26 | % | 12.0 | % | ||||||||||||||||||||||||||||
Other (1) | 424,827 | 6.25 | % | N/A | 286,183 | 6.25 | % | N/A | ||||||||||||||||||||||||||||||
Total | $ | 8,898,809 | 0.80 | % | 6.6 | % | $ | 16,109,520 | 0.50 | % | 5.2 | % |
(dollars in thousands) | December 31, 2019 | December 31, 2018 | ||||||||||||||||||
Borrowing Type | Amount Outstanding | Weighted Average Borrowing Rate | Weighted Average Years to Maturity | Amount Outstanding | Weighted Average Borrowing Rate | Weighted Average Years to Maturity | ||||||||||||||
Repurchase agreements | $ | 29,147,463 | 2.14 | % | 0.2 | $ | 23,133,476 | 2.68 | % | 0.2 | ||||||||||
Federal Home Loan Bank advances | 210,000 | 2.00 | % | 3.5 | 865,024 | 2.53 | % | 1.3 | ||||||||||||
Revolving credit facilities | 300,000 | 4.26 | % | 1.2 | 310,000 | 5.60 | % | 4.2 | ||||||||||||
Term notes payable | 394,502 | 4.59 | % | 4.5 | — | — | % | — | ||||||||||||
Convertible senior notes (1) | 284,954 | 6.25 | % | 2.0 | 283,856 | 6.25 | % | 3.0 | ||||||||||||
Total | $ | 30,336,919 | 2.23 | % | 3.9 | $ | 24,592,356 | 2.76 | % | 3.7 |
(dollars in thousands) | December 31, 2019 | December 31, 2018 | ||||||||||||||||||
Collateral Type | Amount Outstanding | Weighted Average Borrowing Rate | Weighted Average Haircut on Collateral Value | Amount Outstanding | Weighted Average Borrowing Rate | Weighted Average Haircut on Collateral Value | ||||||||||||||
Agency RMBS | $ | 27,512,526 | 2.08 | % | 4.1 | % | $ | 20,954,730 | 2.53 | % | 4.6 | % | ||||||||
Non-Agency securities | 1,531,608 | 2.90 | % | 24.9 | % | 2,697,254 | 3.65 | % | 24.2 | % | ||||||||||
Agency Derivatives | 50,714 | 2.70 | % | 26.4 | % | 46,516 | 3.34 | % | 26.4 | % | ||||||||||
Mortgage servicing rights | 957,117 | 4.19 | % | 31.7 | % | 610,000 | 5.06 | % | 40.6 | % | ||||||||||
Other (1) | 284,954 | 6.25 | % | NA | 283,856 | 6.25 | % | NA | ||||||||||||
Total | $ | 30,336,919 | 2.23 | % | 6.0 | % | $ | 24,592,356 | 2.76 | % | 7.6 | % |
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
For the Three Months Ended | Quarterly Average | End of Period Balance | Maximum Balance of Any Month-End | End of Period Total Borrowings to Equity Ratio | End of Period Net Long (Short) TBA Notional | End of Period Economic Debt-to-Equity Ratio (1) | ||||||||||||||||||||||||||||||||
December 31, 2021 | $ | 7,908,651 | $ | 8,898,809 | $ | 8,898,809 | 3.2:1.0 | $ | 4,116,000 | 4.7:1.0 | ||||||||||||||||||||||||||||
September 30, 2021 | $ | 8,888,607 | $ | 8,365,211 | $ | 9,060,624 | 3.1:1.0 | $ | 8,742,000 | 6.1:1.0 | ||||||||||||||||||||||||||||
June 30, 2021 | $ | 11,129,575 | $ | 9,704,066 | $ | 12,837,520 | 3.9:1.0 | $ | 6,854,000 | 6.5:1.0 | ||||||||||||||||||||||||||||
March 31, 2021 | $ | 14,016,694 | $ | 12,938,748 | $ | 14,525,894 | 4.8:1.0 | $ | 4,800,000 | 6.4:1.0 | ||||||||||||||||||||||||||||
December 31, 2020 | $ | 16,431,516 | $ | 16,109,520 | $ | 16,842,273 | 5.2:1.0 | $ | 5,197,000 | 6.8:1.0 |
(dollars in thousands) | ||||||||||||||||||||
For the Three Months Ended | Quarterly Average | End of Period Balance | Maximum Balance of Any Month-End | End of Period Total Borrowings to Equity Ratio | End of Period Net Long (Short) TBA Notional | End of Period Economic Debt-to-Equity Ratio (1) | ||||||||||||||
December 31, 2019 | $ | 27,619,393 | $ | 30,336,919 | $ | 30,336,919 | 6.1:1.0 | $ | 7,427,000 | 7.5:1.0 | ||||||||||
September 30, 2019 | $ | 27,349,719 | $ | 26,596,006 | $ | 28,168,892 | 5.3:1.0 | $ | 9,863,000 | 7.2:1.0 | ||||||||||
June 30, 2019 | $ | 26,640,949 | $ | 28,896,436 | $ | 29,132,756 | 5.9:1.0 | $ | 9,422,000 | 7.8:1.0 | ||||||||||
March 31, 2019 | $ | 22,661,656 | $ | 21,254,108 | $ | 23,685,031 | 4.5:1.0 | $ | 10,168,000 | 6.5:1.0 | ||||||||||
December 31, 2018 | $ | 23,276,768 | $ | 24,592,356 | $ | 24,592,356 | 5.8:1.0 | $ | 6,484,000 | 7.2:1.0 |
(dollars in millions, except per share amounts) | Book Value | Common Shares Outstanding | Common Book Value Per Share | ||||||||||||||
Common stockholders' equity at December 31, 2020 | $ | 2,087.7 | 273.7 | $ | 7.63 | ||||||||||||
Earnings available for distribution, net of tax benefit of $1.5 million (1) | 302.7 | ||||||||||||||||
Dividends on preferred stock | (58.5) | ||||||||||||||||
Earnings available for distribution to common stockholders, net of tax benefit of $1.5 million (1) | 244.2 | ||||||||||||||||
Realized and unrealized gains and losses, net of tax expense of $5.7 million | (115.4) | ||||||||||||||||
Other comprehensive loss, net of tax | (455.3) | ||||||||||||||||
Dividend declarations | (205.6) | ||||||||||||||||
Other | 11.5 | 0.1 | |||||||||||||||
Issuance of common stock, net of offering costs | 450.6 | 70.1 | |||||||||||||||
Common stockholders' equity at December 31, 2021 | $ | 2,017.7 | 343.9 | $ | 5.87 | ||||||||||||
Total preferred stock liquidation preference | 726.3 | ||||||||||||||||
Total stockholders' equity at December 31, 2021 | $ | 2,744.0 |
(dollars in millions, except per share amounts) | Book Value | Common Shares Outstanding | Common Book Value Per Share | |||||||
Common stockholders' equity at December 31, 2018 | $ | 3,253.2 | 248.1 | $ | 13.11 | |||||
Reconciliation of non-GAAP measures to GAAP net income and Comprehensive income: | ||||||||||
Core Earnings, including dollar roll income, net of tax expense of $6.8 million ⁽¹⁾ | 437.2 | |||||||||
Dividends on preferred stock | (75.8 | ) | ||||||||
Core Earnings attributable to common stockholders, including dollar roll income, net of tax expense of $6.8 million ⁽¹⁾⁽²⁾ | 361.4 | |||||||||
Realized and unrealized gains and losses, net of tax benefit of $20.3 million | (113.3 | ) | ||||||||
Other comprehensive income, net of tax | 578.6 | |||||||||
Dividend declaration | (455.7 | ) | ||||||||
Other | 8.7 | 0.4 | ||||||||
Issuance of common stock, net of offering costs | 336.3 | 24.4 | ||||||||
Common stockholders' equity at December 31, 2019 | $ | 3,969.2 | 272.9 | $ | 14.54 | |||||
Total preferred stock liquidation preference | 1,001.3 | |||||||||
Total stockholders' equity at December 31, 2019 | $ | 4,970.5 |
Year Ended | |||
(in millions) | December 31, 2019 | ||
Comprehensive income attributable to common stockholders | $ | 826.7 | |
Adjustment for other comprehensive income attributable to common stockholders: | |||
Unrealized gains on available-for-sale securities | (578.6 | ) | |
Net income attributable to common stockholders | 248.1 | ||
Adjustments for non-Core Earnings: | |||
Other-than-temporary impairments and loss recovery adjustments | 22.6 | ||
Realized gain on investment securities | (284.0 | ) | |
Unrealized loss on investment securities | 3.9 | ||
Realized and unrealized losses on mortgage servicing rights | 408.6 | ||
Realized gain on termination or expiration of interest rate swaps, caps and swaptions | (94.9 | ) | |
Unrealized loss on interest rate swaps, caps and swaptions | 273.7 | ||
Gains on other derivative instruments | (205.6 | ) | |
Other loss | 1.3 | ||
Change in servicing reserves | (0.7 | ) | |
Non-cash equity compensation expense | 8.7 | ||
Net benefit for income taxes on non-Core Earnings | (20.3 | ) | |
Core Earnings attributable to common stockholders, including dollar roll income (1)(2) | $ | 361.4 |
Year Ended | ||||||||||||||
(in millions) | December 31, 2021 | |||||||||||||
Comprehensive loss attributable to common stockholders | $ | (326.5) | ||||||||||||
Adjustment for other comprehensive loss attributable to common stockholders: | ||||||||||||||
Unrealized losses on available-for-sale securities | 455.3 | |||||||||||||
Net income attributable to common stockholders | 128.8 | |||||||||||||
Adjustments for non-EAD (1): | ||||||||||||||
Realized gains on investment securities | (134.7) | |||||||||||||
Unrealized losses on investment securities | 3.4 | |||||||||||||
Provision for credit losses on investment securities | 9.8 | |||||||||||||
Realized and unrealized gains on mortgage servicing rights, net | (144.6) | |||||||||||||
Realized gain on termination or expiration of interest rate swaps and | (2.4) | |||||||||||||
Unrealized gains on interest rate swaps and swaptions | (25.5) | |||||||||||||
Realized and unrealized | 382.7 |
Other loss | 3.9 | |||||||||||||
0.4 | ||||||||||||||
Non-cash equity compensation expense | 11.5 | |||||||||||||
Other nonrecurring expenses | 5.2 | |||||||||||||
Net provision for income taxes on non-EAD (1) | 5.7 | |||||||||||||
Earnings | $ | 244.2 |
Year Ended December 31, 2021 | |||||||||||||||||||||||
(dollars in millions) | TRS | REIT | Eliminations | Consolidated | |||||||||||||||||||
GAAP net income, pre-tax | $ | 60.1 | $ | 131.3 | $ | — | $ | 191.4 | |||||||||||||||
State taxes | 10.6 | — | — | 10.6 | |||||||||||||||||||
Adjusted GAAP net income, pre-tax | 70.7 | 131.3 | — | 202.0 | |||||||||||||||||||
Permanent differences | |||||||||||||||||||||||
State deferred tax benefit | (9.0) | — | — | (9.0) | |||||||||||||||||||
Other permanent differences | — | 0.1 | — | 0.1 | |||||||||||||||||||
Temporary differences | |||||||||||||||||||||||
Net accretion of OID and market discount | (53.7) | (59.4) | — | (113.1) | |||||||||||||||||||
Net unrealized gains and losses | (137.3) | (31.6) | — | (168.9) | |||||||||||||||||||
Net realized gains and losses on sales of RMBS | — | (4.9) | — | (4.9) | |||||||||||||||||||
Credit loss impairment | — | 9.8 | — | 9.8 | |||||||||||||||||||
Other temporary differences | 5.8 | 2.0 | — | 7.8 | |||||||||||||||||||
Capital loss carryforward deferral | — | 16.6 | — | 16.6 | |||||||||||||||||||
Estimated taxable (loss) income | (123.5) | 63.9 | — | (59.6) | |||||||||||||||||||
Dividend paid deduction | — | (63.9) | — | (63.9) | |||||||||||||||||||
Estimated taxable loss post-dividend deduction | $ | (123.5) | $ | — | $ | — | $ | (123.5) |
Year Ended December 31, 2019 | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
(dollars in millions) | TRS | REIT | Eliminations | Consolidated | (dollars in millions) | TRS | REIT | Eliminations | Consolidated | |||||||||||||||||||||||||||||
GAAP net income (loss), pre-tax | $ | (75.1 | ) | $ | 347.1 | $ | 38.4 | $ | 310.4 | |||||||||||||||||||||||||||||
GAAP net (loss) income, pre-tax | GAAP net (loss) income, pre-tax | $ | (175.7) | $ | (1,508.9) | $ | 18.8 | $ | (1,665.8) | |||||||||||||||||||||||||||||
State taxes | (2.1 | ) | (0.5 | ) | — | (2.6 | ) | State taxes | (1.2) | (0.1) | — | (1.3) | ||||||||||||||||||||||||||
Adjusted GAAP net income (loss), pre-tax | (77.2 | ) | 346.6 | 38.4 | 307.8 | |||||||||||||||||||||||||||||||||
Adjusted GAAP net (loss) income, pre-tax | Adjusted GAAP net (loss) income, pre-tax | (176.9) | (1,509.0) | 18.8 | (1,667.1) | |||||||||||||||||||||||||||||||||
Permanent differences | Permanent differences | |||||||||||||||||||||||||||||||||||||
Intercompany RMBS sales | — | — | (38.4 | ) | (38.4 | ) | Intercompany RMBS sales | — | — | (18.8) | (18.8) | |||||||||||||||||||||||||||
Dividends from TRSs | — | 50.0 | — | 50.0 | ||||||||||||||||||||||||||||||||||
Other permanent differences | — | (8.3 | ) | — | (8.3 | ) | Other permanent differences | 0.2 | 1.3 | — | 1.5 | |||||||||||||||||||||||||||
Temporary differences | Temporary differences | |||||||||||||||||||||||||||||||||||||
Net accretion of OID and market discount | (39.3 | ) | 45.8 | — | 6.5 | Net accretion of OID and market discount | (48.7) | (148.5) | — | (197.2) | ||||||||||||||||||||||||||||
Net unrealized gains and losses on derivatives | 231.0 | 557.9 | — | 788.9 | Net unrealized gains and losses on derivatives | 237.7 | 38.9 | — | 276.6 | |||||||||||||||||||||||||||||
Net realized gains and losses on sales of RMBS | Net realized gains and losses on sales of RMBS | — | (247.9) | — | (247.9) | |||||||||||||||||||||||||||||||||
Credit loss impairment | Credit loss impairment | — | 60.5 | — | 60.5 | |||||||||||||||||||||||||||||||||
Other temporary differences | 4.8 | 20.9 | — | 25.7 | Other temporary differences | 2.7 | 5.7 | — | 8.4 | |||||||||||||||||||||||||||||
Capital loss carryforward (utilized) deferral | (0.1 | ) | (490.6 | ) | — | (490.7 | ) | |||||||||||||||||||||||||||||||
Net operating loss carryforward (utilized) deferral | (77.9 | ) | (11.7 | ) | — | (89.6 | ) | |||||||||||||||||||||||||||||||
Estimated taxable income | 41.3 | 510.6 | — | 551.9 | ||||||||||||||||||||||||||||||||||
Prior year undistributed taxable income | — | — | — | — | ||||||||||||||||||||||||||||||||||
Dividend declaration deduction | — | (510.6 | ) | — | (510.6 | ) | ||||||||||||||||||||||||||||||||
Estimated taxable income post-dividend deduction | $ | 41.3 | $ | — | $ | — | $ | 41.3 | ||||||||||||||||||||||||||||||
Capital loss carryforward deferral | Capital loss carryforward deferral | — | 1,158.5 | — | 1,158.5 | |||||||||||||||||||||||||||||||||
Estimated taxable income (loss) | Estimated taxable income (loss) | 15.0 | (640.5) | — | (625.5) | |||||||||||||||||||||||||||||||||
Dividend paid deduction | Dividend paid deduction | — | — | — | — | |||||||||||||||||||||||||||||||||
Estimated taxable income (loss) post-dividend deduction | Estimated taxable income (loss) post-dividend deduction | $ | 15.0 | $ | (640.5) | $ | — | $ | (625.5) |
Year Ended December 31, 2018 | |||||||||||||||
(dollars in millions) | TRS | REIT | Eliminations | Consolidated | |||||||||||
GAAP net income (loss), pre-tax | $ | 114.2 | $ | (59.4 | ) | $ | (57.3 | ) | $ | (2.5 | ) | ||||
State taxes | — | — | — | — | |||||||||||
Adjusted GAAP net income (loss), pre-tax | 114.2 | (59.4 | ) | (57.3 | ) | (2.5 | ) | ||||||||
Permanent differences | |||||||||||||||
Intercompany RMBS sales | — | — | 57.3 | 57.3 | |||||||||||
Other permanent differences | — | (0.8 | ) | — | (0.8 | ) | |||||||||
Temporary differences | |||||||||||||||
Acquisition transaction costs | — | 82.4 | — | 82.4 | |||||||||||
Net accretion of OID and market discount | 0.1 | 76.3 | — | 76.4 | |||||||||||
Net unrealized gains and losses on derivatives | (68.0 | ) | (1.3 | ) | — | (69.3 | ) | ||||||||
Other temporary differences | (13.3 | ) | (0.6 | ) | — | (13.9 | ) | ||||||||
Capital loss carryforward (utilized) deferral | (8.0 | ) | 393.7 | — | 385.7 | ||||||||||
Net operating loss carryforward (utilized) deferral | (15.3 | ) | — | — | (15.3 | ) | |||||||||
Estimated taxable income | 9.7 | 490.3 | — | 500.0 | |||||||||||
Dividend declaration deduction | — | (490.3 | ) | — | (490.3 | ) | |||||||||
Estimated taxable income post-dividend deduction | $ | 9.7 | $ | — | $ | — | $ | 9.7 |
December 31, 2019 | December 31, 2018 | ||||||||||||||||||||
(dollars in thousands) | Amount Outstanding | Net Counterparty Exposure(1) | Percent of Funding | Amount Outstanding | Net Counterparty Exposure(1) | Percent of Funding | |||||||||||||||
North America | $ | 16,165,067 | $ | 1,026,474 | 57.6 | % | $ | 12,061,693 | $ | 1,120,101 | 55.4 | % | |||||||||
Europe (2) | 7,519,258 | 521,804 | 29.3 | % | 6,728,245 | 646,000 | 31.9 | % | |||||||||||||
Asia (2) | 5,463,138 | 234,180 | 13.1 | % | 4,343,538 | 255,973 | 12.7 | % | |||||||||||||
Total | $ | 29,147,463 | $ | 1,782,458 | 100.0 | % | $ | 23,133,476 | $ | 2,022,074 | 100.0 | % |
(dollars in thousands) | ||||||||||||||||
December 31, 2019 | ||||||||||||||||
Expiration Date (1) | Committed | Amount Outstanding | Unused Capacity | Total Capacity | Eligible Collateral | |||||||||||
June 21, 2021 | Yes (2) | $ | — | $ | 1,000,000 | $ | 1,000,000 | Mortgage servicing rights (3) | ||||||||
December 1, 2020 | Yes (2) | $ | 262,615 | $ | 137,385 | $ | 400,000 | Mortgage servicing rights (4) | ||||||||
March 12, 2021 | Yes (2) | $ | 300,000 | $ | 50,000 | $ | 350,000 | Mortgage servicing rights |
(dollars in thousands) | ||||||||||||||||||||||||||||||||
December 31, 2021 | ||||||||||||||||||||||||||||||||
Expiration Date (1) | Amount Outstanding | Unused Committed Capacity (2) | Unused Uncommitted Capacity | Total Capacity | Eligible Collateral | |||||||||||||||||||||||||||
August 31, 2022 | $ | 255,311 | $ | 94,689 | $ | 350,000 | $ | 700,000 | Mortgage servicing rights | |||||||||||||||||||||||
June 30, 2022 | $ | 125,000 | $ | — | $ | 275,000 | $ | 400,000 | Mortgage servicing rights (3) | |||||||||||||||||||||||
March 20, 2024 | $ | 146,250 | $ | 78,750 | $ | 75,000 | $ | 300,000 | Mortgage servicing rights (4) | |||||||||||||||||||||||
January 31, 2022 | $ | — | $ | 140,000 | $ | — | $ | 140,000 | Mortgage servicing rights | |||||||||||||||||||||||
September 28, 2022 | $ | 19,200 | $ | 180,800 | $ | — | $ | 200,000 | Mortgage servicing advances |
(1)The facilities are set to mature on the stated expiration date, unless extended pursuant to their terms. (2)Represents unused capacity amounts to which commitment fees are charged. (3)This repurchase facility |
(in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Available-for-sale securities, at fair value | $ | 7,009,449 | $ | 14,633,217 | |||||||
Mortgage servicing rights, at fair value | 2,130,807 | 1,146,710 | |||||||||
Restricted cash | 747,979 | 1,126,439 | |||||||||
Due from counterparties | 33,718 | 21,312 | |||||||||
Derivative assets, at fair value | 39,608 | 61,557 | |||||||||
Other assets | 33,767 | 28,540 | |||||||||
Total | $ | 9,995,328 | $ | 17,017,775 |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
Available-for-sale securities, at fair value | $ | 29,802,456 | $ | 25,157,999 | |||
Mortgage servicing rights, at fair value | 1,554,825 | 1,143,918 | |||||
Restricted cash | 919,010 | 416,696 | |||||
Due from counterparties | 102,365 | 110,695 | |||||
Derivative assets, at fair value | 68,874 | 70,191 | |||||
U.S. Treasuries, at fair value (1) | — | 6,457 | |||||
Total | $ | 32,447,530 | $ | 26,905,956 |
(in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Within 30 days | $ | 1,771,027 | $ | 5,370,506 | |||||||
30 to 59 days | 1,807,544 | 4,292,861 | |||||||||
60 to 89 days | 1,981,056 | 2,062,234 | |||||||||
90 to 119 days | 1,249,435 | 1,610,198 | |||||||||
120 to 364 days | 1,265,638 | 1,868,099 | |||||||||
One to three years | 543,026 | 510,013 | |||||||||
Three to five years | 281,083 | 395,609 | |||||||||
Total | $ | 8,898,809 | $ | 16,109,520 |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
Within 30 days | $ | 5,465,916 | $ | 7,488,869 | |||
30 to 59 days | 6,300,372 | 5,077,598 | |||||
60 to 89 days | 6,687,285 | 5,655,060 | |||||
90 to 119 days | 4,740,217 | 1,938,859 | |||||
120 to 364 days | 6,113,673 | 3,508,114 | |||||
One to three years | 584,954 | 300,000 | |||||
Three to five years | 394,502 | 573,856 | |||||
Five to ten years | — | — | |||||
Ten years and over | 50,000 | 50,000 | |||||
Total | $ | 30,336,919 | $ | 24,592,356 |
•Cash flows from operating activities. For the year ended December 31, 2021, operating activities increased our cash balances by approximately $423.5 million, primarily driven by our financial results |
Due During the Year Ended December 31, | |||||||||||||||||||||||||||
(in thousands) | 2020 | 2021 | 2022 | 2023 | 2024 | Thereafter | Total | ||||||||||||||||||||
Repurchase agreements | $ | 29,147,463 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 29,147,463 | |||||||||||||
Federal Home Loan Bank advances | 160,000 | — | — | — | — | 50,000 | 210,000 | ||||||||||||||||||||
Revolving credit facilities | — | 300,000 | — | — | — | — | 300,000 | ||||||||||||||||||||
Convertible senior notes | — | — | 284,954 | — | — | — | 284,954 | ||||||||||||||||||||
Interest expense on borrowings(1) | 153,525 | 21,761 | 2,043 | 1,305 | 1,305 | 12,785 | 192,724 | ||||||||||||||||||||
Long-term operating lease obligations | 1,616 | 1,523 | 1,003 | 327 | — | — | 4,469 | ||||||||||||||||||||
Management fee - PRCM Advisers(2) | 245,826 | — | — | — | — | — | 245,826 | ||||||||||||||||||||
Total | $ | 29,708,430 | $ | 323,284 | $ | 288,000 | $ | 1,632 | $ | 1,305 | $ | 62,785 | $ | 30,385,436 |
December 31, 2019 | December 31, 2018 | |||||||||||||||||||||||||||||
Index Type | Floating | Hybrid (1) | Total | Index % | Floating | Hybrid (1) | Total | Index % | ||||||||||||||||||||||
CMT | $ | — | $ | 11,884 | $ | 11,884 | — | % | $ | 9,502 | $ | 15,423 | $ | 24,925 | 1 | % | ||||||||||||||
LIBOR | 3,247,387 | 8,400 | 3,255,787 | 94 | % | 3,374,141 | 9,278 | 3,383,419 | 93 | % | ||||||||||||||||||||
Other (2) | 44,824 | 164,635 | 209,459 | 6 | % | 50,597 | 165,054 | 215,651 | 6 | % | ||||||||||||||||||||
Total | $ | 3,292,211 | $ | 184,919 | $ | 3,477,130 | 100 | % | $ | 3,434,240 | $ | 189,755 | $ | 3,623,995 | 100 | % |
Changes in Interest Rates | Changes in Interest Rates | |||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | -50 bps | -25 bps | +25 bps | +50 bps | (dollars in thousands) | -50 bps | -25 bps | +25 bps | +50 bps | |||||||||||||||||||||||||||||||||||||||||
Change in annualized net interest income (1): | $ | (14,670 | ) | $ | (7,363 | ) | $ | 7,345 | $ | 14,690 | Change in annualized net interest income (1): | $ | (8,777) | $ | (4,229) | $ | 3,655 | $ | 7,381 | |||||||||||||||||||||||||||||||
% change in net interest income (1) | (3.0 | )% | (1.5 | )% | 1.5 | % | 3.0 | % | % change in net interest income (1) | (4.4) | % | (2.1) | % | 1.8 | % | 3.7 | % | |||||||||||||||||||||||||||||||||
Change in value of financial position: | Change in value of financial position: | |||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale securities | $ | 384,030 | $ | 190,968 | $ | (222,976 | ) | $ | (507,398 | ) | Available-for-sale securities | $ | 49,639 | $ | 28,076 | $ | (35,802) | $ | (79,717) | |||||||||||||||||||||||||||||||
As a % of common equity | 9.7 | % | 4.8 | % | (5.6 | )% | (12.8 | )% | As a % of common equity | 2.5 | % | 1.4 | % | (1.8) | % | (4.0) | % | |||||||||||||||||||||||||||||||||
Mortgage servicing rights | $ | (270,100 | ) | $ | (135,821 | ) | $ | 130,899 | $ | 250,616 | ||||||||||||||||||||||||||||||||||||||||
As a % of common equity | (6.8 | )% | (3.4 | )% | 3.3 | % | 6.3 | % | ||||||||||||||||||||||||||||||||||||||||||
Mortgage servicing rights (2) | Mortgage servicing rights (2) | $ | (250,133) | $ | (114,470) | $ | 103,076 | $ | 183,561 | |||||||||||||||||||||||||||||||||||||||||
As a % of common equity (2) | As a % of common equity (2) | (12.4) | % | (5.6) | % | 5.1 | % | 9.1 | % | |||||||||||||||||||||||||||||||||||||||||
Derivatives, net | $ | (100,978 | ) | $ | (40,174 | ) | $ | 46,526 | $ | 126,802 | Derivatives, net | $ | 138,563 | $ | 75,018 | $ | (84,127) | $ | (173,752) | |||||||||||||||||||||||||||||||
As a % of common equity | (2.5 | )% | (1.0 | )% | 1.2 | % | 3.2 | % | As a % of common equity | 6.9 | % | 3.7 | % | (4.2) | % | (8.6) | % | |||||||||||||||||||||||||||||||||
Reverse repurchase agreements | $ | 46 | $ | 23 | $ | (23 | ) | $ | (46 | ) | Reverse repurchase agreements | $ | 28 | $ | 14 | $ | (14) | $ | (28) | |||||||||||||||||||||||||||||||
As a % of common equity | — | % | — | % | — | % | — | % | As a % of common equity | — | % | — | % | — | % | — | % | |||||||||||||||||||||||||||||||||
Repurchase agreements | $ | (30,532 | ) | $ | (15,266 | ) | $ | 15,266 | $ | 30,532 | Repurchase agreements | $ | (7,535) | $ | (3,767) | $ | 3,767 | $ | 7,471 | |||||||||||||||||||||||||||||||
As a % of common equity | (0.8 | )% | (0.4 | )% | 0.4 | % | 0.8 | % | As a % of common equity | (0.4) | % | (0.2) | % | 0.2 | % | 0.4 | % | |||||||||||||||||||||||||||||||||
Federal Home Loan Bank advances | $ | (44 | ) | $ | (22 | ) | $ | 22 | $ | 44 | ||||||||||||||||||||||||||||||||||||||||
As a % of common equity | — | % | — | % | — | % | — | % | ||||||||||||||||||||||||||||||||||||||||||
Revolving credit facilities | $ | (63 | ) | $ | (31 | ) | $ | 31 | $ | 63 | Revolving credit facilities | $ | (62) | $ | (31) | $ | 31 | $ | 62 | |||||||||||||||||||||||||||||||
As a % of common equity | — | % | — | % | — | % | — | % | As a % of common equity | — | % | — | % | — | % | — | % | |||||||||||||||||||||||||||||||||
Term notes payable | $ | (126 | ) | $ | (63 | ) | $ | 63 | $ | 126 | Term notes payable | $ | (1,054) | $ | (382) | $ | 205 | $ | 335 | |||||||||||||||||||||||||||||||
As a % of common equity | — | % | — | % | — | % | — | % | As a % of common equity | (0.1) | % | — | % | — | % | — | % | |||||||||||||||||||||||||||||||||
Convertible senior notes | $ | (2,518 | ) | $ | (1,255 | ) | $ | 1,248 | $ | 2,487 | Convertible senior notes | $ | (2,149) | $ | (1,075) | $ | 1,039 | $ | 2,077 | |||||||||||||||||||||||||||||||
As a % of common equity | (0.1 | )% | — | % | — | % | 0.1 | % | As a % of common equity | (0.1) | % | (0.1) | % | 0.1 | % | 0.1 | % | |||||||||||||||||||||||||||||||||
Total Net Assets | $ | (20,285 | ) | $ | (1,641 | ) | $ | (28,944 | ) | $ | (96,774 | ) | Total Net Assets | $ | (72,703) | $ | (16,617) | $ | (11,825) | $ | (59,991) | |||||||||||||||||||||||||||||
As a % of total assets | (0.1 | )% | — | % | (0.1 | )% | (0.3 | )% | As a % of total assets | (0.6) | % | (0.1) | % | (0.1) | % | (0.5) | % | |||||||||||||||||||||||||||||||||
As a % of common equity | (0.5 | )% | — | % | (0.7 | )% | (2.4 | )% | As a % of common equity | (3.6) | % | (0.8) | % | (0.6) | % | (3.0) | % |
Page | ||||||||
Valuation of Level 3 Fair Value Measurement | |||||
Description of the Matter | At December 31, Auditing the Company’s valuation of |
How We Addressed the Matter in Our Audit | Our audit procedures related to the fair value of To test the fair value of the Company’s |
December 31, 2019 | December 31, 2018 | ||||||
ASSETS | |||||||
Available-for-sale securities, at fair value | $ | 31,406,328 | $ | 25,552,604 | |||
Mortgage servicing rights, at fair value | 1,909,444 | 1,993,440 | |||||
Cash and cash equivalents | 558,136 | 409,758 | |||||
Restricted cash | 1,058,690 | 688,006 | |||||
Accrued interest receivable | 92,634 | 86,589 | |||||
Due from counterparties | 318,963 | 154,626 | |||||
Derivative assets, at fair value | 188,051 | 319,981 | |||||
Reverse repurchase agreements | 220,000 | 761,815 | |||||
Other assets | 169,376 | 165,660 | |||||
Total Assets (1) | $ | 35,921,622 | $ | 30,132,479 | |||
LIABILITIES AND STOCKHOLDERS’ EQUITY | |||||||
Liabilities | |||||||
Repurchase agreements | $ | 29,147,463 | $ | 23,133,476 | |||
Federal Home Loan Bank advances | 210,000 | 865,024 | |||||
Revolving credit facilities | 300,000 | 310,000 | |||||
Term notes payable | 394,502 | — | |||||
Convertible senior notes | 284,954 | 283,856 | |||||
Derivative liabilities, at fair value | 6,740 | 820,590 | |||||
Due to counterparties | 259,447 | 130,210 | |||||
Dividends payable | 128,125 | 135,551 | |||||
Accrued interest payable | 149,626 | 160,005 | |||||
Other liabilities | 70,299 | 39,278 | |||||
Total Liabilities (1) | 30,951,156 | 25,877,990 | |||||
Stockholders’ Equity | |||||||
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized and 40,050,000 and 40,050,000 shares issued and outstanding, respectively ($1,001,250 and $1,001,250 liquidation preference, respectively) | 977,501 | 977,501 | |||||
Common stock, par value $0.01 per share; 450,000,000 shares authorized and 272,935,731 and 248,085,721 shares issued and outstanding, respectively | 2,729 | 2,481 | |||||
Additional paid-in capital | 5,154,764 | 4,809,616 | |||||
Accumulated other comprehensive income | 689,400 | 110,817 | |||||
Cumulative earnings | 2,655,891 | 2,332,371 | |||||
Cumulative distributions to stockholders | (4,509,819 | ) | (3,978,297 | ) | |||
Total Stockholders’ Equity | 4,970,466 | 4,254,489 | |||||
Total Liabilities and Stockholders’ Equity | $ | 35,921,622 | $ | 30,132,479 |
December 31, 2021 | December 31, 2020 | ||||||||||
ASSETS | |||||||||||
Available-for-sale securities, at fair value (amortized cost $7,005,013 and $14,043,175, respectively; allowance for credit losses $14,238 and $22,528, respectively) | $ | 7,161,703 | $ | 14,650,922 | |||||||
Mortgage servicing rights, at fair value | 2,191,578 | 1,596,153 | |||||||||
Cash and cash equivalents | 1,153,856 | 1,384,764 | |||||||||
Restricted cash | 934,814 | 1,261,667 | |||||||||
Accrued interest receivable | 26,266 | 47,174 | |||||||||
Due from counterparties | 168,449 | 146,433 | |||||||||
Derivative assets, at fair value | 80,134 | 95,937 | |||||||||
Reverse repurchase agreements | 134,682 | 91,525 | |||||||||
Other assets | 262,823 | 241,346 | |||||||||
Total Assets (1) | $ | 12,114,305 | $ | 19,515,921 | |||||||
LIABILITIES AND STOCKHOLDERS’ EQUITY | |||||||||||
Liabilities: | |||||||||||
Repurchase agreements | $ | 7,656,445 | $ | 15,143,898 | |||||||
Revolving credit facilities | 420,761 | 283,830 | |||||||||
Term notes payable | 396,776 | 395,609 | |||||||||
Convertible senior notes | 424,827 | 286,183 | |||||||||
Derivative liabilities, at fair value | 53,658 | 11,058 | |||||||||
Due to counterparties | 196,627 | 135,838 | |||||||||
Dividends payable | 72,412 | 65,480 | |||||||||
Accrued interest payable | 18,382 | 21,666 | |||||||||
Commitments and contingencies (see Note 15) | — | — | |||||||||
Other liabilities | 130,464 | 83,433 | |||||||||
Total Liabilities (1) | 9,370,352 | 16,426,995 | |||||||||
Stockholders’ Equity: | |||||||||||
Preferred stock, par value $0.01 per share; 100,000,000 shares authorized and 29,050,000 and 40,050,000 shares issued and outstanding, respectively ($726,250 and $1,001,250 liquidation preference, respectively) | 702,550 | 977,501 | |||||||||
Common stock, par value $0.01 per share; 700,000,000 shares authorized and 343,911,324 and 273,703,882 shares issued and outstanding, respectively | 3,439 | 2,737 | |||||||||
Additional paid-in capital | 5,625,179 | 5,163,794 | |||||||||
Accumulated other comprehensive income | 186,346 | 641,601 | |||||||||
Cumulative earnings | 1,212,983 | 1,025,756 | |||||||||
Cumulative distributions to stockholders | (4,986,544) | (4,722,463) | |||||||||
Total Stockholders’ Equity | 2,743,953 | 3,088,926 | |||||||||
Total Liabilities and Stockholders’ Equity | $ | 12,114,305 | $ | 19,515,921 |
(1) |
Year Ended | |||||||||||
December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
Interest income: | |||||||||||
Available-for-sale securities | $ | 962,283 | $ | 847,325 | $ | 631,853 | |||||
Residential mortgage loans held-for-investment in securitization trusts | — | — | 102,886 | ||||||||
Other | 32,407 | 22,707 | 10,350 | ||||||||
Total interest income | 994,690 | 870,032 | 745,089 | ||||||||
Interest expense: | |||||||||||
Repurchase agreements | 654,280 | 469,437 | 210,430 | ||||||||
Collateralized borrowings in securitization trusts | — | — | 82,573 | ||||||||
Federal Home Loan Bank advances | 10,920 | 20,417 | 36,911 | ||||||||
Revolving credit facilities | 19,354 | 10,820 | 2,341 | ||||||||
Term notes payable | 10,708 | — | — | ||||||||
Convertible senior notes | 19,067 | 18,997 | 17,933 | ||||||||
Total interest expense | 714,329 | 519,671 | 350,188 | ||||||||
Net interest income | 280,361 | 350,361 | 394,901 | ||||||||
Other-than-temporary impairments: | |||||||||||
Total other-than-temporary impairment losses | (14,312 | ) | (470 | ) | (789 | ) | |||||
Other income (loss): | |||||||||||
Gain (loss) on investment securities | 280,118 | (341,312 | ) | (34,695 | ) | ||||||
Servicing income | 501,612 | 343,096 | 209,065 | ||||||||
Loss on servicing asset | (697,659 | ) | (69,033 | ) | (91,033 | ) | |||||
(Loss) gain on interest rate swap, cap and swaption agreements | (108,289 | ) | 16,043 | (9,753 | ) | ||||||
Gain (loss) on other derivative instruments | 259,998 | (54,857 | ) | (70,159 | ) | ||||||
Other income | 337 | 3,037 | 30,141 | ||||||||
Total other income (loss) | 236,117 | (103,026 | ) | 33,566 | |||||||
Expenses: | |||||||||||
Management fees | 60,102 | 30,272 | 40,472 | ||||||||
Servicing expenses | 74,607 | 61,136 | 35,289 | ||||||||
Other operating expenses | 57,055 | 62,983 | 54,160 | ||||||||
Acquisition transaction costs | — | 86,703 | — | ||||||||
Restructuring charges | — | 8,238 | — | ||||||||
Total expenses | 191,764 | 249,332 | 129,921 | ||||||||
Income (loss) from continuing operations before income taxes | 310,402 | (2,467 | ) | 297,757 | |||||||
(Benefit from) provision for income taxes | (13,560 | ) | 41,823 | (10,482 | ) | ||||||
Net income (loss) from continuing operations | 323,962 | (44,290 | ) | 308,239 | |||||||
Income from discontinued operations, net of tax | — | — | 44,146 | ||||||||
Net income (loss) | 323,962 | (44,290 | ) | 352,385 | |||||||
Income from discontinued operations attributable to noncontrolling interest | — | — | 3,814 | ||||||||
Net income (loss) attributable to Two Harbors Investment Corp. | 323,962 | (44,290 | ) | 348,571 | |||||||
Dividends on preferred stock | 75,801 | 65,395 | 25,122 | ||||||||
Net income (loss) attributable to common stockholders | $ | 248,161 | $ | (109,685 | ) | $ | 323,449 |
Year Ended | ||||||||||||||||||||||||||||||||
December 31, | ||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||||||||||||
Interest income: | ||||||||||||||||||||||||||||||||
Available-for-sale securities | $ | 167,310 | $ | 515,685 | $ | 962,283 | ||||||||||||||||||||||||||
Other | 1,287 | 9,365 | 32,407 | |||||||||||||||||||||||||||||
Total interest income | 168,597 | 525,050 | 994,690 | |||||||||||||||||||||||||||||
Interest expense: | ||||||||||||||||||||||||||||||||
Repurchase agreements | 25,774 | 233,069 | 654,280 | |||||||||||||||||||||||||||||
Revolving credit facilities | 22,425 | 12,261 | 19,354 | |||||||||||||||||||||||||||||
Term notes payable | 12,936 | 14,974 | 10,708 | |||||||||||||||||||||||||||||
Convertible senior notes | 28,038 | 19,197 | 19,067 | |||||||||||||||||||||||||||||
Federal Home Loan Bank advances | — | 1,747 | 10,920 | |||||||||||||||||||||||||||||
Total interest expense | 89,173 | 281,248 | 714,329 | |||||||||||||||||||||||||||||
Net interest income | 79,424 | 243,802 | 280,361 | |||||||||||||||||||||||||||||
Other-than-temporary impairments: | ||||||||||||||||||||||||||||||||
Total other-than-temporary impairment losses | — | — | (14,312) | |||||||||||||||||||||||||||||
Other income (loss): | ||||||||||||||||||||||||||||||||
Gain (loss) on investment securities | 121,617 | (999,859) | 280,118 | |||||||||||||||||||||||||||||
Servicing income | 468,406 | 443,351 | 501,612 | |||||||||||||||||||||||||||||
Loss on servicing asset | (114,941) | (935,697) | (697,659) | |||||||||||||||||||||||||||||
Gain (loss) on interest rate swap, cap and swaption agreements | 42,091 | (310,806) | (108,289) | |||||||||||||||||||||||||||||
(Loss) gain on other derivative instruments | (251,283) | 90,023 | 259,998 | |||||||||||||||||||||||||||||
Other (loss) income | (3,845) | 1,422 | 337 | |||||||||||||||||||||||||||||
Total other income (loss) | 262,045 | (1,711,566) | 236,117 | |||||||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Management fees | — | 31,738 | 60,102 | |||||||||||||||||||||||||||||
Servicing expenses | 86,250 | 94,266 | 74,607 | |||||||||||||||||||||||||||||
Compensation and benefits | 35,041 | 37,723 | 33,229 | |||||||||||||||||||||||||||||
Other operating expenses | 28,759 | 28,626 | 23,826 | |||||||||||||||||||||||||||||
Restructuring charges | — | 5,706 | — | |||||||||||||||||||||||||||||
Total expenses | 150,050 | 198,059 | 191,764 | |||||||||||||||||||||||||||||
Income (loss) before income taxes | 191,419 | (1,665,823) | 310,402 | |||||||||||||||||||||||||||||
Provision for (benefit from) income taxes | 4,192 | (35,688) | (13,560) | |||||||||||||||||||||||||||||
Net income (loss) | 187,227 | (1,630,135) | 323,962 | |||||||||||||||||||||||||||||
Dividends on preferred stock | 58,458 | 75,802 | 75,801 | |||||||||||||||||||||||||||||
Net income (loss) attributable to common stockholders | $ | 128,769 | $ | (1,705,937) | $ | 248,161 | ||||||||||||||||||||||||||
Basic earnings (loss) per weighted average common share | $ | 0.43 | $ | (6.24) | $ | 0.93 | ||||||||||||||||||||||||||
Diluted earnings (loss) per weighted average common share | $ | 0.43 | $ | (6.24) | $ | 0.93 | ||||||||||||||||||||||||||
Weighted average number of shares of common stock: | ||||||||||||||||||||||||||||||||
Basic | 297,772,001 | 273,600,947 | 267,826,739 | |||||||||||||||||||||||||||||
Diluted | 298,043,538 | 273,600,947 | 267,826,739 |
Year Ended | |||||||||||
December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
Basic earnings (loss) per weighted average common share: | |||||||||||
Continuing operations | $ | 0.93 | $ | (0.53 | ) | $ | 1.62 | ||||
Discontinued operations | — | — | 0.23 | ||||||||
Net income (loss) | $ | 0.93 | $ | (0.53 | ) | $ | 1.85 | ||||
Diluted earnings (loss) per weighted average common share: | |||||||||||
Continuing operations | $ | 0.93 | $ | (0.53 | ) | $ | 1.60 | ||||
Discontinued operations | — | — | 0.21 | ||||||||
Net income (loss) | $ | 0.93 | $ | (0.53 | ) | $ | 1.81 | ||||
Weighted average number of shares of common stock: | |||||||||||
Basic | 267,826,739 | 206,020,502 | 174,433,999 | ||||||||
Diluted | 267,826,739 | 206,020,502 | 188,133,341 | ||||||||
Comprehensive income (loss): | |||||||||||
Net income (loss) | $ | 323,962 | $ | (44,290 | ) | $ | 352,385 | ||||
Other comprehensive income (loss), net of tax: | |||||||||||
Unrealized gain (loss) on available-for-sale securities | 578,583 | (233,914 | ) | 135,586 | |||||||
Other comprehensive income (loss) | 578,583 | (233,914 | ) | 135,586 | |||||||
Comprehensive income (loss) | 902,545 | (278,204 | ) | 487,971 | |||||||
Comprehensive income attributable to noncontrolling interest | — | — | 3,814 | ||||||||
Comprehensive income (loss) attributable to Two Harbors Investment Corp. | 902,545 | (278,204 | ) | 484,157 | |||||||
Dividends on preferred stock | 75,801 | 65,395 | 25,122 | ||||||||
Comprehensive income (loss) attributable to common stockholders | $ | 826,744 | $ | (343,599 | ) | $ | 459,035 |
Year Ended | ||||||||||||||||||||||||||||||||
December 31, | ||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||||||||||||
Comprehensive (loss) income: | ||||||||||||||||||||||||||||||||
Net income (loss) | $ | 187,227 | $ | (1,630,135) | $ | 323,962 | ||||||||||||||||||||||||||
Other comprehensive (loss) income, net of tax: | ||||||||||||||||||||||||||||||||
Unrealized (loss) gain on available-for-sale securities | (455,255) | (47,799) | 578,583 | |||||||||||||||||||||||||||||
Other comprehensive (loss) income | (455,255) | (47,799) | 578,583 | |||||||||||||||||||||||||||||
Comprehensive (loss) income | (268,028) | (1,677,934) | 902,545 | |||||||||||||||||||||||||||||
Dividends on preferred stock | 58,458 | 75,802 | 75,801 | |||||||||||||||||||||||||||||
Comprehensive (loss) income attributable to common stockholders | $ | (326,486) | $ | (1,753,736) | $ | 826,744 |
Preferred Stock | Common Stock Par Value | Additional Paid-in Capital | Accumulated Other Comprehensive Income (Loss) | Cumulative Earnings | Cumulative Distributions to Stockholders | Total Stockholders’ Equity | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2018 | $ | 977,501 | $ | 2,481 | $ | 4,809,616 | $ | 110,817 | $ | 2,332,371 | $ | (3,978,297) | $ | 4,254,489 | |||||||||||||||||||||||||||||||||||||||
Cumulative effect of adoption of new accounting principle | — | — | — | — | (442) | — | (442) | ||||||||||||||||||||||||||||||||||||||||||||||
Adjusted balance, January 1, 2019 | 977,501 | 2,481 | 4,809,616 | 110,817 | 2,331,929 | (3,978,297) | 4,254,047 | ||||||||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | 323,962 | — | 323,962 | ||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income before reclassifications, net of tax | — | — | — | 796,346 | — | — | 796,346 | ||||||||||||||||||||||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income, net of tax | — | — | — | (217,763) | — | — | (217,763) | ||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income, net of tax | — | — | — | 578,583 | — | — | 578,583 | ||||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock, net of offering costs | — | 244 | 336,009 | — | — | — | 336,253 | ||||||||||||||||||||||||||||||||||||||||||||||
Repurchase of common stock | — | — | (19) | — | — | — | (19) | ||||||||||||||||||||||||||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | — | (75,801) | (75,801) | ||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared | — | — | — | — | — | (455,721) | (455,721) | ||||||||||||||||||||||||||||||||||||||||||||||
Non-cash equity award compensation | — | 4 | 9,158 | — | — | — | 9,162 | ||||||||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2019 | $ | 977,501 | $ | 2,729 | $ | 5,154,764 | $ | 689,400 | $ | 2,655,891 | $ | (4,509,819) | $ | 4,970,466 | |||||||||||||||||||||||||||||||||||||||
Net loss | — | — | — | — | (1,630,135) | — | (1,630,135) | ||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income before reclassifications, net of tax | — | — | — | 482,663 | — | — | 482,663 | ||||||||||||||||||||||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income, net of tax | — | — | — | (530,462) | — | — | (530,462) | ||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive loss, net of tax | — | — | — | (47,799) | — | — | (47,799) | ||||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock, net of offering costs | — | — | 372 | — | — | — | 372 | ||||||||||||||||||||||||||||||||||||||||||||||
Repurchase of common stock | — | (1) | (1,063) | — | — | — | (1,064) | ||||||||||||||||||||||||||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | — | (75,802) | (75,802) | ||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared | — | — | — | — | — | (136,842) | (136,842) | ||||||||||||||||||||||||||||||||||||||||||||||
Non-cash equity award compensation | — | 9 | 9,721 | — | — | — | 9,730 | ||||||||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2020 | $ | 977,501 | $ | 2,737 | $ | 5,163,794 | $ | 641,601 | $ | 1,025,756 | $ | (4,722,463) | $ | 3,088,926 | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | 187,227 | — | 187,227 | ||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive loss before reclassifications, net of tax | — | — | — | (319,694) | — | — | (319,694) | ||||||||||||||||||||||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income, net of tax | — | — | — | (135,561) | — | — | (135,561) | ||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive loss, net of tax | — | — | — | (455,255) | — | — | (455,255) | ||||||||||||||||||||||||||||||||||||||||||||||
Redemption of preferred stock | (274,951) | — | — | — | — | — | (274,951) | ||||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock, net of offering costs | — | 700 | 449,902 | — | — | — | 450,602 | ||||||||||||||||||||||||||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | — | (58,458) | (58,458) | ||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared | — | — | — | — | — | (205,623) | (205,623) | ||||||||||||||||||||||||||||||||||||||||||||||
Non-cash equity award compensation | — | 2 | 11,483 | — | — | — | 11,485 | ||||||||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2021 | $ | 702,550 | $ | 3,439 | $ | 5,625,179 | $ | 186,346 | $ | 1,212,983 | $ | (4,986,544) | $ | 2,743,953 |
Preferred Stock | Common Stock Par Value | Additional Paid-in Capital | Accumulated Other Comprehensive Income (Loss) | Cumulative Earnings | Cumulative Distributions to Stockholders | Total Stockholders’ Equity | Non- controlling Interest | Total Equity | |||||||||||||||||||||||||||
Balance, December 31, 2016 | $ | — | $ | 1,739 | $ | 3,661,711 | $ | 199,227 | $ | 2,038,033 | $ | (2,499,599 | ) | $ | 3,401,111 | $ | — | $ | 3,401,111 | ||||||||||||||||
Net income | — | — | — | — | 348,571 | — | 348,571 | 3,814 | 352,385 | ||||||||||||||||||||||||||
Other comprehensive income before reclassifications, net of tax expense of $45,157 | — | — | — | 129,590 | — | — | 129,590 | — | 129,590 | ||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income, net of tax benefit of $2,722 | — | — | — | 5,996 | — | — | 5,996 | — | 5,996 | ||||||||||||||||||||||||||
Other comprehensive income, net of tax expense of $42,435 | — | — | — | 135,586 | — | — | 135,586 | — | 135,586 | ||||||||||||||||||||||||||
Contribution of TH Commercial Holdings LLC to Granite Point | — | — | (13,771 | ) | — | — | — | (13,771 | ) | 195,646 | 181,875 | ||||||||||||||||||||||||
Acquisition of noncontrolling interests | — | — | 182 | — | — | — | 182 | (11,542 | ) | (11,360 | ) | ||||||||||||||||||||||||
Issuance of preferred stock, net of offering costs | 702,537 | — | — | — | — | — | 702,537 | — | 702,537 | ||||||||||||||||||||||||||
Issuance of common stock, net of offering costs | — | — | 449 | — | — | — | 449 | — | 449 | ||||||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | — | (25,122 | ) | (25,122 | ) | — | (25,122 | ) | |||||||||||||||||||||||
Common dividends declared | — | — | — | — | — | (350,709 | ) | (350,709 | ) | (3,177 | ) | (353,886 | ) | ||||||||||||||||||||||
Special dividend of Granite Point Mortgage Trust Inc. common stock | — | — | 11,267 | — | — | (650,848 | ) | (639,581 | ) | (184,741 | ) | (824,322 | ) | ||||||||||||||||||||||
Non-cash equity award compensation | — | 6 | 12,165 | — | — | — | 12,171 | — | 12,171 | ||||||||||||||||||||||||||
Balance, December 31, 2017 | 702,537 | 1,745 | 3,672,003 | 334,813 | 2,386,604 | (3,526,278 | ) | 3,571,424 | — | 3,571,424 | |||||||||||||||||||||||||
Cumulative effect of adoption of new accounting principle | — | — | 25 | 9,918 | (9,943 | ) | — | — | — | — | |||||||||||||||||||||||||
Adjusted balance, January 1, 2018 | 702,537 | 1,745 | 3,672,028 | 344,731 | 2,376,661 | (3,526,278 | ) | 3,571,424 | — | 3,571,424 | |||||||||||||||||||||||||
Net loss | — | — | — | — | (44,290 | ) | — | (44,290 | ) | — | (44,290 | ) | |||||||||||||||||||||||
Other comprehensive loss before reclassifications, net of tax benefit of $14,890 | — | — | — | (488,253 | ) | — | — | (488,253 | ) | — | (488,253 | ) | |||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income, net of tax benefit of $0 | — | — | — | 254,339 | — | — | 254,339 | — | 254,339 | ||||||||||||||||||||||||||
Other comprehensive loss, net of tax benefit of $14,890 | — | — | — | (233,914 | ) | — | — | (233,914 | ) | — | (233,914 | ) | |||||||||||||||||||||||
Acquisition of CYS Investments, Inc. | 274,950 | 726 | 1,124,388 | — | — | — | 1,400,064 | — | 1,400,064 | ||||||||||||||||||||||||||
Issuance of preferred stock, net of offering costs | 14 | — | — | — | — | — | 14 | — | 14 | ||||||||||||||||||||||||||
Issuance of common stock, net of offering costs | — | — | 215 | — | — | — | 215 | — | 215 | ||||||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | — | (65,395 | ) | (65,395 | ) | — | (65,395 | ) | |||||||||||||||||||||||
Common dividends declared | — | — | — | — | — | (386,624 | ) | (386,624 | ) | — | (386,624 | ) | |||||||||||||||||||||||
Non-cash equity award compensation | — | 10 | 12,985 | — | — | — | 12,995 | — | 12,995 | ||||||||||||||||||||||||||
Balance, December 31, 2018 | 977,501 | 2,481 | 4,809,616 | 110,817 | 2,332,371 | (3,978,297 | ) | 4,254,489 | — | 4,254,489 | |||||||||||||||||||||||||
Cumulative effect of adoption of new accounting principle | — | — | — | — | (442 | ) | — | (442 | ) | — | (442 | ) | |||||||||||||||||||||||
Adjusted balance, January 1, 2019 | 977,501 | 2,481 | 4,809,616 | 110,817 | 2,331,929 | (3,978,297 | ) | 4,254,047 | — | 4,254,047 | |||||||||||||||||||||||||
Net income | — | — | — | — | 323,962 | — | 323,962 | — | 323,962 | ||||||||||||||||||||||||||
Other comprehensive income before reclassifications, net of tax expense of $39 | — | — | — | 796,346 | — | — | 796,346 | — | 796,346 | ||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income, net of tax benefit of $0 | — | — | — | (217,763 | ) | — | — | (217,763 | ) | — | (217,763 | ) | |||||||||||||||||||||||
Other comprehensive income, net of tax expense of $39 | — | — | — | 578,583 | — | — | 578,583 | — | 578,583 | ||||||||||||||||||||||||||
Issuance of common stock, net of offering costs | — | 244 | 336,009 | — | — | — | 336,253 | — | 336,253 | ||||||||||||||||||||||||||
Repurchase of common stock | — | — | (19 | ) | — | — | — | (19 | ) | — | (19 | ) | |||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | — | (75,801 | ) | (75,801 | ) | — | (75,801 | ) | |||||||||||||||||||||||
Common dividends declared | — | — | — | — | — | (455,721 | ) | (455,721 | ) | — | (455,721 | ) | |||||||||||||||||||||||
Non-cash equity award compensation | — | 4 | 9,158 | — | — | — | 9,162 | — | 9,162 | ||||||||||||||||||||||||||
Balance, December 31, 2019 | $ | 977,501 | $ | 2,729 | $ | 5,154,764 | $ | 689,400 | $ | 2,655,891 | $ | (4,509,819 | ) | $ | 4,970,466 | $ | — | $ | 4,970,466 |
Year Ended | ||||||||||||||||||||
December 31, | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||
Cash Flows From Operating Activities: | ||||||||||||||||||||
Net income (loss) | $ | 187,227 | $ | (1,630,135) | $ | 323,962 | ||||||||||||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||||||||||||||||||||
Amortization of premiums and discounts on investment securities, net | 228,344 | 238,840 | 167,097 | |||||||||||||||||
Amortization of deferred debt issuance costs on term notes payable and convertible senior notes | 2,999 | 2,336 | 1,680 | |||||||||||||||||
Other-than-temporary impairment losses | — | — | 14,312 | |||||||||||||||||
Provision for credit losses on investment securities | 9,763 | 58,440 | — | |||||||||||||||||
Realized and unrealized (gains) losses on investment securities | (131,380) | 941,419 | (280,118) | |||||||||||||||||
Loss on servicing asset | 114,941 | 935,697 | 697,659 | |||||||||||||||||
Realized and unrealized (gains) losses on interest rate swaps, caps and swaptions | (27,830) | 244,631 | 178,803 | |||||||||||||||||
Unrealized gains on other derivative instruments | (5,217) | (25,530) | (34,745) | |||||||||||||||||
(Gains) losses on mortgage loans held-for-sale | (1,812) | (580) | 669 | |||||||||||||||||
Equity based compensation | 11,485 | 9,730 | 9,162 | |||||||||||||||||
Purchases of mortgage loans held-for-sale | (64,008) | — | — | |||||||||||||||||
Proceeds from sales of mortgage loans held-for-sale | 65,772 | 9,001 | 16,806 | |||||||||||||||||
Proceeds from repayment of mortgage loans held-for-sale | 8 | 212 | 914 | |||||||||||||||||
Net change in assets and liabilities: | ||||||||||||||||||||
Decrease (increase) in accrued interest receivable | 20,908 | 45,460 | (6,045) | |||||||||||||||||
Decrease (increase) in deferred income taxes, net | 5,960 | (40,267) | (24,912) | |||||||||||||||||
Decrease in accrued interest payable | (3,284) | (127,960) | (10,379) | |||||||||||||||||
Change in other operating assets and liabilities, net | 9,634 | (29,691) | 1,772 | |||||||||||||||||
Net cash provided by operating activities | 423,510 | 631,603 | 1,056,637 | |||||||||||||||||
Cash Flows From Investing Activities: | ||||||||||||||||||||
Purchases of available-for-sale securities | (2,494,603) | (7,120,871) | (24,656,050) | |||||||||||||||||
Proceeds from sales of available-for-sale securities | 6,274,193 | 18,349,338 | 15,879,823 | |||||||||||||||||
Principal payments on available-for-sale securities | 3,147,647 | 4,239,445 | 3,599,834 | |||||||||||||||||
Purchases of trading securities | — | (1,052,500) | — | |||||||||||||||||
Proceeds from sales of trading securities | — | 1,053,477 | — | |||||||||||||||||
Purchases of mortgage servicing rights, net of purchase price adjustments | (742,153) | (620,394) | (611,765) | |||||||||||||||||
Proceeds from (payments for) sales of mortgage servicing rights | 31,787 | (2,012) | (1,898) | |||||||||||||||||
Short sales (purchases) of derivative instruments, net | 51,438 | (29,286) | (76,752) | |||||||||||||||||
Proceeds from sales and settlement (payments for termination and settlement) of derivative instruments, net | 40,012 | (93,383) | (749,226) | |||||||||||||||||
Payments for reverse repurchase agreements | (1,174,883) | (2,208,977) | (2,056,825) | |||||||||||||||||
Proceeds from reverse repurchase agreements | 1,131,726 | 2,337,452 | 2,598,640 | |||||||||||||||||
Increase (decrease) in due to counterparties, net | 38,773 | 48,921 | (35,100) | |||||||||||||||||
Change in other investing assets and liabilities, net | 10,000 | 2,508 | 31,575 | |||||||||||||||||
Net cash provided by (used in) investing activities | $ | 6,313,937 | $ | 14,903,718 | $ | (6,077,744) | ||||||||||||||
Year Ended | |||||||||||
December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
Cash Flows From Operating Activities: | |||||||||||
Net income (loss) from continuing operations | $ | 323,962 | $ | (44,290 | ) | $ | 308,239 | ||||
Adjustments to reconcile net income (loss) from continuing operations to net cash provided by operating activities: | |||||||||||
Amortization of premiums and discounts on investment securities, net | 167,097 | 93,830 | 67,651 | ||||||||
Amortization of deferred debt issuance costs on term notes payable and convertible senior notes | 1,680 | 1,029 | 714 | ||||||||
Other-than-temporary impairment losses | 14,312 | 470 | 789 | ||||||||
Realized and unrealized (gains) losses on investment securities | (280,118 | ) | 344,468 | 35,401 | |||||||
Loss on servicing asset | 697,659 | 69,033 | 91,033 | ||||||||
Gain on residential mortgage loans held-for-investment and collateralized borrowings in securitization trusts | — | — | (22,683 | ) | |||||||
Realized and unrealized losses on interest rate swaps, caps and swaptions | 178,803 | 33,174 | 930 | ||||||||
Unrealized (gain) loss on other derivative instruments | (34,745 | ) | 23,489 | 50,099 | |||||||
Equity based compensation | 9,162 | 12,995 | 11,330 | ||||||||
Excess consideration in the acquisition of CYS Investments, Inc. | — | 77,602 | — | ||||||||
Net change in assets and liabilities: | |||||||||||
(Increase) decrease in accrued interest receivable | (6,045 | ) | 12,366 | (24,689 | ) | ||||||
(Increase) decrease in deferred income taxes, net | (24,912 | ) | 41,988 | (11,030 | ) | ||||||
(Decrease) increase in accrued interest payable | (10,379 | ) | 44,820 | 67,118 | |||||||
Change in other operating assets and liabilities, net | 20,161 | (8,104 | ) | (229 | ) | ||||||
Net cash provided by operating activities from discontinued operations | — | — | 32,108 | ||||||||
Net cash provided by operating activities | 1,056,637 | 702,870 | 606,781 | ||||||||
Cash Flows From Investing Activities: | |||||||||||
Purchases of available-for-sale securities | (24,656,050 | ) | (12,621,282 | ) | (18,232,105 | ) | |||||
Proceeds from sales of available-for-sale securities | 15,879,823 | 15,202,406 | 8,708,941 | ||||||||
Principal payments on available-for-sale securities | 3,599,834 | 2,434,071 | 1,553,051 | ||||||||
Purchases of mortgage servicing rights, net of purchase price adjustments | (611,765 | ) | (976,393 | ) | (484,261 | ) | |||||
(Payments for) proceeds from sales of mortgage servicing rights | (1,898 | ) | 637 | 355 | |||||||
(Purchases) short sales of derivative instruments, net | (76,752 | ) | (83,887 | ) | (103,175 | ) | |||||
(Payments for termination and settlement) proceeds from sales and settlement of derivative instruments, net | (749,226 | ) | 354,822 | 85,811 | |||||||
Proceeds from sales of beneficial interests in securitization trusts | — | — | 190,160 | ||||||||
Proceeds from repayment of residential mortgage loans held-for-investment in securitization trusts | — | — | 332,085 | ||||||||
Payments for reverse repurchase agreements | (2,056,825 | ) | (4,085,482 | ) | — | ||||||
Proceeds from reverse repurchase agreements | 2,598,640 | 4,085,127 | — | ||||||||
Net cash paid for the acquisition of CYS Investments, Inc. | — | (13,552 | ) | — | |||||||
(Decrease) increase in due to counterparties, net | (35,100 | ) | 449,274 | (805,158 | ) | ||||||
Change in other investing assets and liabilities, net | 31,575 | 44,257 | 83,976 | ||||||||
Net cash used in investing activities of discontinued operations | — | — | (813,939 | ) | |||||||
Net cash (used in) provided by investing activities | $ | (6,077,744 | ) | $ | 4,789,998 | $ | (9,484,259 | ) |
Year Ended | ||||||||||||||||||||
December 31, | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||
Cash Flows From Financing Activities: | ||||||||||||||||||||
Proceeds from repurchase agreements | $ | 29,934,379 | $ | 83,480,699 | $ | 236,071,952 | ||||||||||||||
Principal payments on repurchase agreements | (37,421,832) | (97,484,264) | (230,057,965) | |||||||||||||||||
Proceeds from revolving credit facilities | 296,500 | 152,000 | 450,000 | |||||||||||||||||
Principal payments on revolving credit facilities | (159,569) | (168,170) | (460,000) | |||||||||||||||||
Proceeds from issuance of term notes payable | — | — | 393,920 | |||||||||||||||||
Proceeds from issuance of convertible senior notes | 279,930 | — | — | |||||||||||||||||
Repurchase of convertible senior notes | (143,118) | — | — | |||||||||||||||||
Proceeds from Federal Home Loan Bank advances | — | 585,000 | 160,000 | |||||||||||||||||
Principal payments on Federal Home Loan Bank advances | — | (795,000) | (815,024) | |||||||||||||||||
Redemption of preferred stock | (274,951) | — | — | |||||||||||||||||
Proceeds from issuance of common stock, net of offering costs | 450,602 | 372 | 336,253 | |||||||||||||||||
Repurchase of common stock | — | (1,064) | (19) | |||||||||||||||||
Dividends paid on preferred stock | (63,661) | (75,802) | (75,801) | |||||||||||||||||
Dividends paid on common stock | (193,488) | (199,487) | (463,147) | |||||||||||||||||
Net cash (used in) provided by financing activities | (7,295,208) | (14,505,716) | 5,540,169 | |||||||||||||||||
Net (decrease) increase in cash, cash equivalents and restricted cash | (557,761) | 1,029,605 | 519,062 | |||||||||||||||||
Cash, cash equivalents and restricted cash at beginning of period | 2,646,431 | 1,616,826 | 1,097,764 | |||||||||||||||||
Cash, cash equivalents and restricted cash at end of period | $ | 2,088,670 | $ | 2,646,431 | $ | 1,616,826 | ||||||||||||||
Supplemental Disclosure of Cash Flow Information: | ||||||||||||||||||||
Cash paid for interest | $ | 81,248 | $ | 404,261 | $ | 720,213 | ||||||||||||||
Cash (received) paid for taxes, net | $ | (23,322) | $ | 9,574 | $ | 28,202 | ||||||||||||||
Noncash Activities: | ||||||||||||||||||||
Cumulative-effect adjustment to equity for adoption of new accounting principle | $ | — | $ | — | $ | 442 | ||||||||||||||
Dividends declared but not paid at end of period | $ | 72,412 | $ | 65,480 | $ | 128,125 |
Year Ended | |||||||||||
December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
Cash Flows From Financing Activities: | |||||||||||
Proceeds from repurchase agreements | $ | 236,071,952 | $ | 151,887,922 | $ | 139,559,059 | |||||
Principal payments on repurchase agreements | (230,057,965 | ) | (156,949,180 | ) | (128,973,036 | ) | |||||
Principal payments on collateralized borrowings in securitization trusts | — | — | (328,978 | ) | |||||||
Proceeds from Federal Home Loan Bank advances | 160,000 | — | — | ||||||||
Principal payments on Federal Home Loan Bank advances | (815,024 | ) | (350,000 | ) | (2,784,976 | ) | |||||
Proceeds from revolving credit facilities | 450,000 | 397,400 | 123,000 | ||||||||
Principal payments on revolving credit facilities | (460,000 | ) | (107,400 | ) | (173,000 | ) | |||||
Proceeds from issuance of term notes payable | 393,920 | — | — | ||||||||
Proceeds from convertible senior notes | — | — | 282,113 | ||||||||
Proceeds from issuance of preferred stock, net of offering costs | — | (36 | ) | 702,537 | |||||||
Proceeds from issuance of common stock, net of offering costs | 336,253 | 215 | 449 | ||||||||
Repurchase of common stock | (19 | ) | — | — | |||||||
Dividends paid on preferred stock | (75,801 | ) | (58,394 | ) | (13,173 | ) | |||||
Dividends paid on common stock | (463,147 | ) | (270,626 | ) | (422,885 | ) | |||||
Net cash provided by financing activities from discontinued operations | — | — | 1,146,168 | ||||||||
Net cash provided by (used in) financing activities | 5,540,169 | (5,450,099 | ) | 9,117,278 | |||||||
Net increase in cash, cash equivalents and restricted cash | 519,062 | 42,769 | 239,800 | ||||||||
Cash, cash equivalents and restricted cash of continuing operations at beginning of period | 1,097,764 | 1,054,995 | 758,916 | ||||||||
Cash, cash equivalents and restricted cash of discontinued operations at beginning of period | — | — | 56,279 | ||||||||
Cash, cash equivalents and restricted cash at beginning of period | 1,097,764 | 1,054,995 | 815,195 | ||||||||
Cash, cash equivalents and restricted cash at end of period | $ | 1,616,826 | $ | 1,097,764 | $ | 1,054,995 |
Year Ended | |||||||||||
December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
Supplemental Disclosure of Cash Flow Information: | |||||||||||
Cash paid for interest | $ | 720,213 | $ | 419,878 | $ | 227,518 | |||||
Cash paid (received) for taxes, net | $ | 28,202 | $ | 397 | $ | (856 | ) | ||||
Noncash Activities: | |||||||||||
Acquisition of the assets and liabilities of CYS Investments, Inc. | |||||||||||
Available-for-sale securities | $ | — | $ | 10,034,557 | $ | — | |||||
Cash and cash equivalents | $ | — | $ | 386 | $ | — | |||||
Restricted cash | $ | — | $ | 1,062 | $ | — | |||||
Accrued interest receivable | $ | — | $ | 30,646 | $ | — | |||||
Reverse repurchase agreements | $ | — | $ | 761,460 | $ | — | |||||
Other assets | $ | — | $ | 11,977 | $ | — | |||||
Repurchase agreements | $ | — | $ | (8,743,527 | ) | $ | — | ||||
Derivative liabilities, net | $ | — | $ | (451,026 | ) | $ | — | ||||
Due to counterparties, net | $ | — | $ | (279,715 | ) | $ | — | ||||
Accrued interest payable | $ | — | $ | (27,487 | ) | $ | — | ||||
Other liabilities | $ | — | $ | (821 | ) | $ | — | ||||
Issuance of preferred stock in connection with the acquisition of CYS Investments, Inc. | $ | — | $ | 275,000 | $ | — | |||||
Issuance of common stock in connection with the acquisition of CYS Investments, Inc. | $ | — | $ | 1,125,114 | $ | — | |||||
Deconsolidation of the assets and liabilities of variable interest entities | |||||||||||
Residential mortgage loans held-for-investment in securitization trusts | $ | — | $ | — | $ | 2,894,507 | |||||
Accrued interest receivable | $ | — | $ | — | $ | 15,386 | |||||
Collateralized borrowings in securitization trusts | $ | — | $ | — | $ | 2,920,970 | |||||
Accrued interest payable | $ | — | $ | — | $ | 8,271 | |||||
Accrued expenses and other liabilities | $ | — | $ | — | $ | 10,826 | |||||
Recognition of beneficial interests in securitization trusts | $ | — | $ | — | $ | 59,826 | |||||
Distribution of TH Commercial Holdings LLC to Granite Point Mortgage Trust Inc. in exchange for common shares | $ | — | $ | — | $ | 651,000 | |||||
Distribution of Granite Point Mortgage Trust Inc. common stock | $ | — | $ | — | $ | 650,848 | |||||
Cumulative-effect adjustment to equity for adoption of new accounting principle | $ | 442 | $ | 9,918 | $ | — | |||||
Dividends declared but not paid at end of period | $ | 128,125 | $ | 135,551 | $ | 12,552 |
(in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Note receivable (1) | $ | 396,776 | $ | 395,609 | |||||||
Restricted cash | 23,892 | 72,530 | |||||||||
Accrued interest receivable (1) | 161 | 131 | |||||||||
Other assets | 33,767 | 28,540 | |||||||||
Total Assets | $ | 454,596 | $ | 496,810 | |||||||
Term notes payable | $ | 396,776 | $ | 395,609 | |||||||
Revolving credit facilities | 19,200 | 9,000 | |||||||||
Accrued interest payable | 216 | 156 | |||||||||
Other liabilities | 23,838 | 72,505 | |||||||||
Total Liabilities | $ | 440,030 | $ | 477,270 |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
Note receivable (1) | $ | 394,502 | $ | — | |||
Cash and cash equivalents | 200 | — | |||||
Accrued interest receivable (1) | 306 | — | |||||
Total Assets | $ | 395,008 | $ | — | |||
Term notes payable | $ | 394,502 | $ | — | |||
Accrued interest payable | 306 | — | |||||
Other liabilities | 200 | — | |||||
Total Liabilities | $ | 395,008 | $ | — |
(in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Agency: | |||||||||||
Federal National Mortgage Association | $ | 5,040,988 | $ | 11,486,658 | |||||||
Federal Home Loan Mortgage Corporation | 1,922,809 | 2,837,103 | |||||||||
Government National Mortgage Association | 185,602 | 314,130 | |||||||||
Non-Agency | 12,304 | 13,031 | |||||||||
Total available-for-sale securities | $ | 7,161,703 | $ | 14,650,922 |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
Agency | |||||||
Federal National Mortgage Association | $ | 21,252,575 | $ | 15,812,696 | |||
Federal Home Loan Mortgage Corporation | 6,070,500 | 4,930,963 | |||||
Government National Mortgage Association | 454,980 | 941,374 | |||||
Non-Agency | 3,628,273 | 3,867,571 | |||||
Total available-for-sale securities | $ | 31,406,328 | $ | 25,552,604 |
December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | Principal/ Current Face | Un-amortized Premium | Accretable Purchase Discount | Amortized Cost | Allowance for Credit Losses | Unrealized Gain | Unrealized Loss | Carrying Value | |||||||||||||||||||||||||||||||||||||||||||||
Agency: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal and interest | $ | 6,411,363 | $ | 270,699 | $ | (12) | $ | 6,682,050 | $ | — | $ | 171,308 | $ | (4,855) | $ | 6,848,503 | |||||||||||||||||||||||||||||||||||||
Interest-only | 3,198,447 | 305,577 | — | 305,577 | (12,851) | 20,699 | (12,529) | 300,896 | |||||||||||||||||||||||||||||||||||||||||||||
Total Agency | 9,609,810 | 576,276 | (12) | 6,987,627 | (12,851) | 192,007 | (17,384) | 7,149,399 | |||||||||||||||||||||||||||||||||||||||||||||
Non-Agency | 1,940,815 | 16,533 | (27) | 17,386 | (1,387) | 33 | (3,728) | 12,304 | |||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 11,550,625 | $ | 592,809 | $ | (39) | $ | 7,005,013 | $ | (14,238) | $ | 192,040 | $ | (21,112) | $ | 7,161,703 |
December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | (in thousands) | Principal/ Current Face | Un-amortized Premium | Accretable Purchase Discount | Amortized Cost | Allowance for Credit Losses | Unrealized Gain | Unrealized Loss | Carrying Value | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency: | Agency: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal and interest | Principal and interest | $ | 13,103,355 | $ | 605,253 | $ | (14) | $ | 13,708,594 | $ | — | $ | 629,079 | $ | (420) | $ | 14,337,253 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-only | Interest-only | 3,649,556 | 315,876 | — | 315,876 | (17,889) | 15,680 | (13,029) | 300,638 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Agency | Total Agency | 16,752,911 | 921,129 | (14) | 14,024,470 | (17,889) | 644,759 | (13,449) | 14,637,891 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | Principal/ Current Face | Un-amortized Premium | Accretable Purchase Discount | Credit Reserve Purchase Discount | Amortized Cost | Unrealized Gain | Unrealized Loss | Carrying Value | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal and interest | $ | 26,239,544 | $ | 986,343 | $ | (19 | ) | $ | — | $ | 27,225,868 | $ | 424,818 | $ | (8,815 | ) | $ | 27,641,871 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-only | 2,601,693 | 169,811 | — | — | 169,811 | 13,724 | (47,351 | ) | 136,184 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Agency | 28,841,237 | 1,156,154 | (19 | ) | — | 27,395,679 | 438,542 | (56,166 | ) | 27,778,055 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency | Non-Agency | 2,095,365 | 16,408 | (36) | 18,705 | (4,639) | 109 | (1,144) | 13,031 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal and interest | 5,498,654 | 8,980 | (560,140 | ) | (1,711,951 | ) | 3,235,543 | 341,583 | (23,263 | ) | 3,553,863 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-only | 4,356,603 | 79,935 | — | — | 79,935 | 3,039 | (8,564 | ) | 74,410 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Non-Agency | 9,855,257 | 88,915 | (560,140 | ) | (1,711,951 | ) | 3,315,478 | 344,622 | (31,827 | ) | 3,628,273 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 38,696,494 | $ | 1,245,069 | $ | (560,159 | ) | $ | (1,711,951 | ) | $ | 30,711,157 | $ | 783,164 | $ | (87,993 | ) | $ | 31,406,328 | Total | $ | 18,848,276 | $ | 937,537 | $ | (50) | $ | 14,043,175 | $ | (22,528) | $ | 644,868 | $ | (14,593) | $ | 14,650,922 |
December 31, 2018 | |||||||||||||||||||||||||||||||
(in thousands) | Principal/ Current Face | Un-amortized Premium | Accretable Purchase Discount | Credit Reserve Purchase Discount | Amortized Cost | Unrealized Gain | Unrealized Loss | Carrying Value | |||||||||||||||||||||||
Agency | |||||||||||||||||||||||||||||||
Principal and interest | $ | 20,775,790 | $ | 1,037,781 | $ | (25,085 | ) | $ | — | $ | 21,788,486 | $ | 61,128 | $ | (339,997 | ) | $ | 21,509,617 | |||||||||||||
Interest-only | 3,115,967 | 209,901 | — | — | 209,901 | 14,170 | (48,655 | ) | 175,416 | ||||||||||||||||||||||
Total Agency | 23,891,757 | 1,247,682 | (25,085 | ) | — | 21,998,387 | 75,298 | (388,652 | ) | 21,685,033 | |||||||||||||||||||||
Non-Agency | |||||||||||||||||||||||||||||||
Principal and interest | 5,360,124 | 6,682 | (694,119 | ) | (1,322,762 | ) | 3,349,925 | 478,095 | (44,657 | ) | 3,783,363 | ||||||||||||||||||||
Interest-only | 5,137,169 | 83,846 | — | — | 83,846 | 3,655 | (3,293 | ) | 84,208 | ||||||||||||||||||||||
Total Non-Agency | 10,497,293 | 90,528 | (694,119 | ) | (1,322,762 | ) | 3,433,771 | 481,750 | (47,950 | ) | 3,867,571 | ||||||||||||||||||||
Total | $ | 34,389,050 | $ | 1,338,210 | $ | (719,204 | ) | $ | (1,322,762 | ) | $ | 25,432,158 | $ | 557,048 | $ | (436,602 | ) | $ | 25,552,604 |
December 31, 2019 | |||||||||||
(in thousands) | Agency | Non-Agency | Total | ||||||||
Adjustable Rate | $ | 14,584 | $ | 3,344,287 | $ | 3,358,871 | |||||
Fixed Rate | 27,763,471 | 283,986 | 28,047,457 | ||||||||
Total | $ | 27,778,055 | $ | 3,628,273 | $ | 31,406,328 |
December 31, 2018 | |||||||||||
(in thousands) | Agency | Non-Agency | Total | ||||||||
Adjustable Rate | $ | 19,073 | $ | 3,475,171 | $ | 3,494,244 | |||||
Fixed Rate | 21,665,960 | 392,400 | 22,058,360 | ||||||||
Total | $ | 21,685,033 | $ | 3,867,571 | $ | 25,552,604 |
December 31, 2021 | |||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | ||||||||||||||
< 1 year | $ | 2,367 | $ | — | $ | 2,367 | |||||||||||
≥ 1 and < 3 years | 91,141 | 1,335 | 92,476 | ||||||||||||||
≥ 3 and < 5 years | 3,572,838 | 1,364 | 3,574,202 | ||||||||||||||
≥ 5 and < 10 years | 3,482,051 | 9,605 | 3,491,656 | ||||||||||||||
≥ 10 years | 1,002 | — | 1,002 | ||||||||||||||
Total | $ | 7,149,399 | $ | 12,304 | $ | 7,161,703 |
December 31, 2019 | |||||||||||
(in thousands) | Agency | Non-Agency | Total | ||||||||
< 1 year | $ | 380 | $ | 41,192 | $ | 41,572 | |||||
≥ 1 and < 3 years | 57,403 | 191,255 | 248,658 | ||||||||
≥ 3 and < 5 years | 3,071,314 | 211,767 | 3,283,081 | ||||||||
≥ 5 and < 10 years | 24,357,478 | 2,780,858 | 27,138,336 | ||||||||
≥ 10 years | 291,480 | 403,201 | 694,681 | ||||||||
Total | $ | 27,778,055 | $ | 3,628,273 | $ | 31,406,328 |
Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | ||||||||||||||||||||||
(in thousands) | Designated Credit Reserve | Net Unamortized Discount/Premium | Total | Designated Credit Reserve | Net Unamortized Discount/Premium | Total | |||||||||||||||||
Beginning balance at January 1 | $ | (1,322,762 | ) | $ | (603,591 | ) | $ | (1,926,353 | ) | $ | (653,613 | ) | $ | (607,609 | ) | $ | (1,261,222 | ) | |||||
Acquisitions | (568,146 | ) | 2,472 | (565,674 | ) | (737,765 | ) | (60,894 | ) | (798,659 | ) | ||||||||||||
Accretion of net discount | — | 43,674 | 43,674 | — | 89,111 | 89,111 | |||||||||||||||||
Realized credit losses | 23,517 | — | 23,517 | 26,457 | — | 26,457 | |||||||||||||||||
Reclassification adjustment for other-than-temporary impairments | (10,155 | ) | — | (10,155 | ) | (470 | ) | — | (470 | ) | |||||||||||||
Transfers from (to) | 140,703 | (140,703 | ) | — | 42,629 | (42,629 | ) | — | |||||||||||||||
Sales, calls, other | 24,892 | 226,923 | 251,815 | — | 18,430 | 18,430 | |||||||||||||||||
Ending balance at December 31 | $ | (1,711,951 | ) | $ | (471,225 | ) | $ | (2,183,176 | ) | $ | (1,322,762 | ) | $ | (603,591 | ) | $ | (1,926,353 | ) |
Year Ended | Year Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | Agency | Non-Agency | Total | |||||||||||||||||||||||||||||||||||||||||||||||
Allowance for credit losses at beginning of period | $ | (17,889) | $ | (4,639) | $ | (22,528) | $ | — | $ | (244,876) | $ | (244,876) | |||||||||||||||||||||||||||||||||||||||||
Additions on securities for which credit losses were not previously recorded | (190) | (4,365) | (4,555) | (32,931) | (11,428) | (44,359) | |||||||||||||||||||||||||||||||||||||||||||||||
Reductions for securities sold | — | — | — | — | 246,792 | 246,792 | |||||||||||||||||||||||||||||||||||||||||||||||
Decrease (increase) on securities with previously recorded credit losses | (4,542) | (666) | (5,208) | 385 | (14,466) | (14,081) | |||||||||||||||||||||||||||||||||||||||||||||||
Write-offs | 9,770 | 8,283 | 18,053 | 14,657 | 21,874 | 36,531 | |||||||||||||||||||||||||||||||||||||||||||||||
Recoveries of amounts previously written off | — | — | — | — | (2,535) | (2,535) | |||||||||||||||||||||||||||||||||||||||||||||||
Allowance for credit losses at end of period | $ | (12,851) | $ | (1,387) | $ | (14,238) | $ | (17,889) | $ | (4,639) | $ | (22,528) |
December 31, 2021 | |||||||||||||||||||||||||||||||||||
Unrealized Loss Position for | |||||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||||||||
(in thousands) | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | |||||||||||||||||||||||||||||
Agency | $ | 2,371,216 | $ | (12,031) | $ | — | $ | — | $ | 2,371,216 | $ | (12,031) | |||||||||||||||||||||||
Non-Agency | 9,613 | (1,230) | — | — | 9,613 | (1,230) | |||||||||||||||||||||||||||||
Total | $ | 2,380,829 | $ | (13,261) | $ | — | $ | — | $ | 2,380,829 | $ | (13,261) |
Unrealized Loss Position for | |||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
(in thousands) | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | |||||||||||||||||
December 31, 2019 | $ | 3,970,743 | $ | (25,061 | ) | $ | 735,727 | $ | (62,932 | ) | $ | 4,706,470 | $ | (87,993 | ) | ||||||||
December 31, 2018 | $ | 4,386,946 | $ | (66,520 | ) | $ | 9,501,123 | $ | (370,082 | ) | $ | 13,888,069 | $ | (436,602 | ) |
December 31, 2020 | |||||||||||||||||||||||||||||||||||
Unrealized Loss Position for | |||||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||||||||
(in thousands) | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | |||||||||||||||||||||||||||||
Agency | $ | 367,660 | $ | (1,705) | $ | 24,006 | $ | (4,454) | $ | 391,666 | $ | (6,159) | |||||||||||||||||||||||
Non-Agency | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total | $ | 367,660 | $ | (1,705) | $ | 24,006 | $ | (4,454) | $ | 391,666 | $ | (6,159) |
Year Ended | |||||||||||
December 31, | |||||||||||
(in thousands) | 2019 | 2018 | 2017 | ||||||||
Cumulative credit loss at beginning of period | $ | (6,865 | ) | $ | (6,395 | ) | $ | (5,606 | ) | ||
Additions: | |||||||||||
Other-than-temporary impairments not previously recognized | (11,724 | ) | (264 | ) | (429 | ) | |||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | (2,588 | ) | (206 | ) | (360 | ) | |||||
Reductions: | |||||||||||
Decreases related to other-than-temporary impairments on securities paid down | 1,703 | — | — | ||||||||
Decreases related to other-than-temporary impairments on securities sold | 2,453 | — | — | ||||||||
Cumulative credit loss at end of period | $ | (17,021 | ) | $ | (6,865 | ) | $ | (6,395 | ) |
Year Ended | |||||||||||||||||||||||||||||
December 31, | |||||||||||||||||||||||||||||
(in thousands) | 2021 | 2020 | 2019 | ||||||||||||||||||||||||||
Proceeds from sales of available-for-sale securities | $ | 6,274,193 | $ | 18,349,338 | $ | 15,879,823 | |||||||||||||||||||||||
Amortized cost of available-for-sale securities sold | (6,137,824) | (19,273,667) | (15,595,809) | ||||||||||||||||||||||||||
Total realized gains (losses) on sales, net | $ | 136,369 | $ | (924,329) | $ | 284,014 | |||||||||||||||||||||||
Gross realized gains | $ | 167,269 | $ | 337,360 | $ | 408,861 | |||||||||||||||||||||||
Gross realized losses | (30,900) | (1,261,689) | (124,847) | ||||||||||||||||||||||||||
Total realized gains (losses) on sales, net | $ | 136,369 | $ | (924,329) | $ | 284,014 |
Year Ended | |||||||||||
December 31, | |||||||||||
(in thousands) | 2019 | 2018 | 2017 | ||||||||
Proceeds from sales of available-for-sale securities | $ | 15,879,823 | $ | 15,202,406 | $ | 8,708,941 | |||||
Amortized cost of available-for-sale securities sold | (15,595,809 | ) | (15,551,968 | ) | (8,741,432 | ) | |||||
Total realized gains (losses) on sales, net | $ | 284,014 | $ | (349,562 | ) | $ | (32,491 | ) | |||
Gross realized gains | $ | 408,861 | $ | 70,076 | $ | 67,764 | |||||
Gross realized losses | (124,847 | ) | (419,638 | ) | (100,255 | ) | |||||
Total realized gains (losses) on sales, net | $ | 284,014 | $ | (349,562 | ) | $ | (32,491 | ) |
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
December 31, | December 31, | |||||||||||||||||||||||||||||||||||||||
(in thousands) | 2019 | 2018 | 2017 | (in thousands) | 2021 | 2020 | 2019 | |||||||||||||||||||||||||||||||||
Balance at beginning of period | $ | 1,993,440 | $ | 1,086,717 | $ | 693,815 | Balance at beginning of period | $ | 1,596,153 | $ | 1,909,444 | $ | 1,993,440 | |||||||||||||||||||||||||||
Purchases of mortgage servicing rights | 627,815 | 988,283 | 499,866 | Purchases of mortgage servicing rights | 777,305 | 623,284 | 627,815 | |||||||||||||||||||||||||||||||||
Additions from sales of residential mortgage loans | — | — | 20 | |||||||||||||||||||||||||||||||||||||
Sales of mortgage servicing rights | 2,306 | — | (946 | ) | Sales of mortgage servicing rights | (43,411) | 1,976 | 2,306 | ||||||||||||||||||||||||||||||||
Changes in fair value due to: | Changes in fair value due to: | |||||||||||||||||||||||||||||||||||||||
Changes in valuation inputs or assumptions used in the valuation model | (390,149 | ) | 80,209 | 6,339 | ||||||||||||||||||||||||||||||||||||
Other changes in fair value (1) | (307,918 | ) | (149,879 | ) | (96,781 | ) | ||||||||||||||||||||||||||||||||||
Other changes (2) | (16,050 | ) | (11,890 | ) | (15,596 | ) | ||||||||||||||||||||||||||||||||||
Balance at end of period | $ | 1,909,444 | $ | 1,993,440 | $ | 1,086,717 | ||||||||||||||||||||||||||||||||||
Changes in valuation inputs or assumptions used in the valuation model (1) | Changes in valuation inputs or assumptions used in the valuation model (1) | 562,843 | (396,900) | (390,149) | ||||||||||||||||||||||||||||||||||||
Other changes in fair value (2) | Other changes in fair value (2) | (666,160) | (538,761) | (307,918) | ||||||||||||||||||||||||||||||||||||
Other changes (3) | Other changes (3) | (35,152) | (2,890) | (16,050) | ||||||||||||||||||||||||||||||||||||
Balance at end of period (4) | Balance at end of period (4) | $ | 2,191,578 | $ | 1,596,153 | $ | 1,909,444 |
(dollars in thousands, except per loan data) | December 31, 2021 | December 31, 2020 | |||||||||
Weighted average prepayment speed: | 12.9 | % | 19.4 | % | |||||||
Impact on fair value of 10% adverse change | $ | (110,222) | $ | (121,973) | |||||||
Impact on fair value of 20% adverse change | $ | (210,406) | $ | (229,676) | |||||||
Weighted average delinquency: | 1.3 | % | 2.2 | % | |||||||
Impact on fair value of 10% adverse change | $ | (3,470) | $ | (2,038) | |||||||
Impact on fair value of 20% adverse change | $ | (6,947) | $ | (4,161) | |||||||
Weighted average option-adjusted spread: | 4.7 | % | 4.8 | % | |||||||
Impact on fair value of 10% adverse change | $ | (42,188) | $ | (28,678) | |||||||
Impact on fair value of 20% adverse change | $ | (82,126) | $ | (56,211) | |||||||
Weighted average per loan annual cost to service: | $ | 66.76 | $ | 68.27 | |||||||
Impact on fair value of 10% adverse change | $ | (25,919) | $ | (21,708) | |||||||
Impact on fair value of 20% adverse change | $ | (51,911) | $ | (43,527) |
(dollars in thousands, except per loan data) | December 31, 2019 | December 31, 2018 | |||||
Weighted average prepayment speed: | 14.8 | % | 8.6 | % | |||
Impact on fair value of 10% adverse change | $ | (88,459 | ) | (67,245 | ) | ||
Impact on fair value of 20% adverse change | $ | (188,209 | ) | (130,371 | ) | ||
Weighted average delinquency: | 0.9 | % | 1.3 | % | |||
Impact on fair value of 10% adverse change | $ | (7,470 | ) | (6,911 | ) | ||
Impact on fair value of 20% adverse change | $ | (15,020 | ) | (13,688 | ) | ||
Weighted average discount rate: | 7.2 | % | 9.4 | % | |||
Impact on fair value of 10% adverse change | $ | (49,274 | ) | (62,528 | ) | ||
Impact on fair value of 20% adverse change | $ | (95,963 | ) | (121,135 | ) | ||
Weighted average per loan annual cost to service: | $ | 66.62 | $ | 69.34 | |||
Impact on fair value of 10% adverse change | $ | (23,932 | ) | $ | (24,386 | ) | |
Impact on fair value of 20% adverse change | $ | (48,054 | ) | $ | (48,972 | ) |
Year Ended | |||||||||||||||||||||||||||||
December 31, | |||||||||||||||||||||||||||||
(in thousands) | 2021 | 2020 | 2019 | ||||||||||||||||||||||||||
Servicing fee income | $ | 461,381 | $ | 416,936 | $ | 436,587 | |||||||||||||||||||||||
Ancillary and other fee income | 2,436 | 1,945 | 1,801 | ||||||||||||||||||||||||||
Float income | 4,589 | 24,470 | 63,224 | ||||||||||||||||||||||||||
Total | $ | 468,406 | $ | 443,351 | $ | 501,612 |
Year Ended | |||||||||||
December 31, | |||||||||||
(in thousands) | 2019 | 2018 | 2017 | ||||||||
Servicing fee income | $ | 436,587 | $ | 312,100 | $ | 197,902 | |||||
Ancillary and other fee income | 1,801 | 1,280 | 1,009 | ||||||||
Float income | 63,224 | 29,716 | 10,154 | ||||||||
Total | $ | 501,612 | $ | 343,096 | $ | 209,065 |
December 31, 2021 | December 31, 2020 | ||||||||||||||||||||||
(dollars in thousands) | Number of Loans | Unpaid Principal Balance | Number of Loans | Unpaid Principal Balance | |||||||||||||||||||
Mortgage servicing rights | 796,205 | $ | 193,770,566 | 781,905 | $ | 177,861,483 | |||||||||||||||||
Residential mortgage loans | 868 | 519,270 | 1,674 | 1,067,500 | |||||||||||||||||||
Other assets | 2 | 40 | — | — | |||||||||||||||||||
Total serviced mortgage assets | 797,075 | $ | 194,289,876 | 783,579 | $ | 178,928,983 |
December 31, 2019 | December 31, 2018 | ||||||||||||
(dollars in thousands) | Number of Loans | Unpaid Principal Balance | Number of Loans | Unpaid Principal Balance | |||||||||
Mortgage servicing rights | 793,470 | $ | 175,882,142 | 717,167 | $ | 163,102,308 | |||||||
Residential mortgage loans in securitization trusts | 3,157 | 2,033,951 | 3,612 | 2,392,471 | |||||||||
Other assets | 71 | 12,511 | 220 | 34,374 | |||||||||
Total serviced mortgage assets | 796,698 | $ | 177,928,604 | 720,999 | $ | 165,529,153 |
(in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Restricted cash balances held by trading counterparties: | |||||||||||
For securities trading activity | $ | 23,800 | $ | 44,800 | |||||||
For derivatives trading activity | 136,271 | 70,600 | |||||||||
For servicing activities | 26,704 | 19,768 | |||||||||
As restricted collateral for borrowings | 747,979 | 1,126,439 | |||||||||
Total restricted cash balances held by trading counterparties | 934,754 | 1,261,607 | |||||||||
Restricted cash balance pursuant to letter of credit on office lease | 60 | 60 | |||||||||
Total | $ | 934,814 | $ | 1,261,667 |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
Restricted cash balances held by trading counterparties: | |||||||
For securities and loan trading activity | $ | 45,050 | $ | 51,350 | |||
For derivatives trading activity | 94,570 | 219,900 | |||||
As restricted collateral for repurchase agreements and Federal Home Loan Bank advances | 919,010 | 416,696 | |||||
Total restricted cash balances held by trading counterparties | 1,058,630 | 687,946 | |||||
Restricted cash balance pursuant to letter of credit on office lease | 60 | 60 | |||||
Total | $ | 1,058,690 | $ | 688,006 |
(in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Cash and cash equivalents | $ | 1,153,856 | $ | 1,384,764 | |||||||
Restricted cash | 934,814 | 1,261,667 | |||||||||
Total cash, cash equivalents and restricted cash | $ | 2,088,670 | $ | 2,646,431 |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
Cash and cash equivalents | $ | 558,136 | $ | 409,758 | |||
Restricted cash | 1,058,690 | 688,006 | |||||
Total cash, cash equivalents and restricted cash | $ | 1,616,826 | $ | 1,097,764 |
December 31, 2021 | ||||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||
(in thousands) | Fair Value | Notional | Fair Value | Notional | ||||||||||||||||||||||
Inverse interest-only securities | $ | 41,367 | $ | 247,101 | $ | — | $ | — | ||||||||||||||||||
Interest rate swap agreements | — | 20,387,300 | — | — | ||||||||||||||||||||||
Swaptions, net | — | — | (51,743) | (1,761,000) | ||||||||||||||||||||||
TBAs | 3,405 | 3,523,000 | (1,915) | 593,000 | ||||||||||||||||||||||
U.S. Treasury and Eurodollar futures, net | 35,362 | (5,829,600) | — | — | ||||||||||||||||||||||
Total | $ | 80,134 | $ | 18,327,801 | $ | (53,658) | $ | (1,168,000) |
December 31, 2019 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||
(in thousands) | Fair Value | Notional | Fair Value | Notional | (in thousands) | Fair Value | Notional | Fair Value | Notional | |||||||||||||||||||||||||||||||||
Inverse interest-only securities | $ | 69,469 | $ | 397,137 | $ | — | $ | — | Inverse interest-only securities | $ | 62,200 | $ | 318,162 | $ | — | $ | — | |||||||||||||||||||||||||
Interest rate swap agreements | 102,268 | 2,725,000 | — | 36,977,470 | Interest rate swap agreements | — | — | — | 12,646,341 | |||||||||||||||||||||||||||||||||
Swaptions, net | 7,801 | 1,257,000 | — | — | Swaptions, net | — | — | (596) | 3,750,000 | |||||||||||||||||||||||||||||||||
TBAs | 8,011 | 9,584,000 | (6,711 | ) | (2,157,000 | ) | TBAs | 30,062 | 7,700,000 | (10,462) | (2,503,000) | |||||||||||||||||||||||||||||||
U.S. Treasury futures | 502 | 380,000 | — | — | ||||||||||||||||||||||||||||||||||||||
Markit IOS total return swaps | — | — | (29 | ) | 41,890 | |||||||||||||||||||||||||||||||||||||
U.S. Treasury futures, net | U.S. Treasury futures, net | 3,675 | 2,021,100 | — | — | |||||||||||||||||||||||||||||||||||||
Total | $ | 188,051 | $ | 14,343,137 | $ | (6,740 | ) | $ | 34,862,360 | Total | $ | 95,937 | $ | 10,039,262 | $ | (11,058) | $ | 13,893,341 |
December 31, 2018 | ||||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||
(in thousands) | Fair Value | Notional | Fair Value | Notional | ||||||||||||
Inverse interest-only securities | $ | 70,813 | $ | 476,299 | $ | — | $ | — | ||||||||
Interest rate swap agreements | 187,231 | 26,798,605 | — | 2,725,000 | ||||||||||||
Interest rate cap contracts | 40,335 | 2,500,000 | — | — | ||||||||||||
Swaptions, net | — | — | (13,456 | ) | 63,000 | |||||||||||
TBAs | 21,602 | 6,484,000 | — | — | ||||||||||||
Put and call options for TBAs, net | — | — | (25,296 | ) | 1,767,000 | |||||||||||
Short U.S. Treasuries | — | — | (781,455 | ) | 800,000 | |||||||||||
Markit IOS total return swaps | — | — | (383 | ) | 48,265 | |||||||||||
Total | $ | 319,981 | $ | 36,258,904 | $ | (820,590 | ) | $ | 5,403,265 |
Derivative Instruments | Location of Gain (Loss) Recognized in Income | Amount of Gain (Loss) Recognized in Income | ||||||||||||||||||||||||||||||||||||
Year Ended | ||||||||||||||||||||||||||||||||||||||
(in thousands) | December 31, | |||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||||||||||||||||||
Interest rate risk management: | ||||||||||||||||||||||||||||||||||||||
TBAs | (Loss) gain on other derivative instruments | $ | (193,479) | $ | 60,798 | $ | 214,414 | |||||||||||||||||||||||||||||||
Short U.S. Treasuries | (Loss) gain on other derivative instruments | — | — | (6,801) | ||||||||||||||||||||||||||||||||||
U.S. Treasury and Eurodollar futures | (Loss) gain on other derivative instruments | (49,213) | 18,143 | 44,474 | ||||||||||||||||||||||||||||||||||
Put and call options for TBAs | (Loss) gain on other derivative instruments | (5,683) | — | (7,666) | ||||||||||||||||||||||||||||||||||
Interest rate swaps - Payers | Gain (loss) on interest rate swap, cap and swaption agreements | 92,317 | (1,128,788) | (637,307) | ||||||||||||||||||||||||||||||||||
Interest rate swaps - Receivers | Gain (loss) on interest rate swap, cap and swaption agreements | (66,828) | 879,289 | 461,801 | ||||||||||||||||||||||||||||||||||
Swaptions | Gain (loss) on interest rate swap, cap and swaption agreements | 16,602 | (61,307) | 74,901 | ||||||||||||||||||||||||||||||||||
Interest rate caps | Gain (loss) on interest rate swap, cap and swaption agreements | — | — | (7,684) | ||||||||||||||||||||||||||||||||||
Markit IOS total return swaps | (Loss) gain on other derivative instruments | — | (2,430) | (1,213) | ||||||||||||||||||||||||||||||||||
Non-risk management: | ||||||||||||||||||||||||||||||||||||||
Inverse interest-only securities | (Loss) gain on other derivative instruments | (2,908) | 13,512 | 16,790 | ||||||||||||||||||||||||||||||||||
Total | $ | (209,192) | $ | (220,783) | $ | 151,709 |
Derivative Instruments | Location of Gain (Loss) Recognized in Income | Amount of Gain (Loss) Recognized in Income | ||||||||||||
Year Ended | ||||||||||||||
(in thousands) | December 31, | |||||||||||||
2019 | 2018 | 2017 | ||||||||||||
Interest rate risk management | ||||||||||||||
TBAs | Gain (loss) on other derivative instruments | $ | 214,414 | $ | (12,521 | ) | $ | (46,778 | ) | |||||
Short U.S. Treasuries | Gain (loss) on other derivative instruments | (6,801 | ) | (26,988 | ) | — | ||||||||
U.S. Treasury futures | Gain (loss) on other derivative instruments | 44,474 | — | — | ||||||||||
Put and call options for TBAs | Gain (loss) on other derivative instruments | (7,666 | ) | (18,457 | ) | (22,623 | ) | |||||||
Interest rate swaps - Payers | (Loss) gain on interest rate swap, cap and swaption agreements | (637,307 | ) | 48,995 | 67,124 | |||||||||
Interest rate swaps - Receivers | (Loss) gain on interest rate swap, cap and swaption agreements | 461,801 | (74,407 | ) | (17,677 | ) | ||||||||
Swaptions | (Loss) gain on interest rate swap, cap and swaption agreements | 74,901 | 45,954 | (59,200 | ) | |||||||||
Interest rate caps | (Loss) gain on interest rate swap, cap and swaption agreements | (7,684 | ) | (4,499 | ) | — | ||||||||
Markit IOS total return swaps | Gain (loss) on other derivative instruments | (1,213 | ) | 125 | (870 | ) | ||||||||
Non-risk management | ||||||||||||||
Inverse interest-only securities | Gain (loss) on other derivative instruments | 16,790 | 2,984 | 112 | ||||||||||
Total | $ | 151,709 | $ | (38,814 | ) | $ | (79,912 | ) |
Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||
(in thousands) | Beginning of Period Notional Amount | Additions | Settlement, Termination, Expiration or Exercise | End of Period Notional Amount | Average Notional Amount | Realized Gain (Loss), net (1) | |||||||||||||||||||||||||||||
Inverse interest-only securities | $ | 318,162 | $ | — | $ | (71,061) | $ | 247,101 | $ | 282,380 | $ | (398) | |||||||||||||||||||||||
Interest rate swap agreements | 12,646,341 | 10,107,476 | (2,366,517) | 20,387,300 | 15,870,590 | (5,778) | |||||||||||||||||||||||||||||
Swaptions, net | 3,750,000 | (2,871,000) | (2,640,000) | (1,761,000) | (428,586) | 8,147 | |||||||||||||||||||||||||||||
TBAs, net | 5,197,000 | 90,927,000 | (92,008,000) | 4,116,000 | 6,538,666 | (175,368) | |||||||||||||||||||||||||||||
Put and call options for TBAs, net | — | 1,500,000 | (1,500,000) | — | 267,123 | (5,683) | |||||||||||||||||||||||||||||
U.S. Treasury and Eurodollar futures | 2,021,100 | 7,447,600 | (15,298,300) | (5,829,600) | (2,197,734) | (80,867) | |||||||||||||||||||||||||||||
Total | $ | 23,932,603 | $ | 107,111,076 | $ | (113,883,878) | $ | 17,159,801 | $ | 20,332,439 | $ | (259,947) |
Year Ended December 31, 2019 | |||||||||||||||||||||||
(in thousands) | Beginning of Period Notional Amount | Additions | Settlement, Termination, Expiration or Exercise | End of Period Notional Amount | Average Notional Amount | Realized Gain (Loss), net (1) | |||||||||||||||||
Inverse interest-only securities | $ | 476,299 | $ | — | $ | (79,162 | ) | $ | 397,137 | $ | 437,039 | $ | — | ||||||||||
Interest rate swap agreements | 29,523,605 | 35,458,291 | (25,279,426 | ) | 39,702,470 | 38,951,332 | 41,975 | ||||||||||||||||
Interest rate cap contracts | 2,500,000 | — | (2,500,000 | ) | — | 1,060,000 | (8,690 | ) | |||||||||||||||
Swaptions, net | 63,000 | 14,457,000 | (13,263,000 | ) | 1,257,000 | 2,846,660 | 61,644 | ||||||||||||||||
TBAs, net | 6,484,000 | 143,008,000 | (142,065,000 | ) | 7,427,000 | 8,895,340 | 234,716 | ||||||||||||||||
Short U.S. Treasuries | (800,000 | ) | — | 800,000 | — | (45,697 | ) | (23,172 | ) | ||||||||||||||
U.S. Treasury futures | — | 8,957,000 | (8,577,000 | ) | 380,000 | 684,647 | 43,977 | ||||||||||||||||
Put and call options for TBAs, net | (1,767,000 | ) | — | 1,767,000 | — | (110,401 | ) | (32,962 | ) | ||||||||||||||
Markit IOS total return swaps | 48,265 | — | (6,375 | ) | 41,890 | 45,092 | — | ||||||||||||||||
Total | $ | 36,528,169 | $ | 201,880,291 | $ | (189,202,963 | ) | $ | 49,205,497 | $ | 52,764,012 | $ | 317,488 |
Year Ended December 31, 2018 | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | Beginning of Period Notional Amount | Additions | Settlement, Termination, Expiration or Exercise | End of Period Notional Amount | Average Notional Amount | Realized Gain (Loss), net (1) | (in thousands) | Beginning of Period Notional Amount | Additions | Settlement, Termination, Expiration or Exercise | End of Period Notional Amount | Average Notional Amount | Realized Gain (Loss), net (1) | |||||||||||||||||||||||||||||||||||||||||||||
Inverse interest-only securities | $ | 588,246 | $ | — | $ | (111,947 | ) | $ | 476,299 | $ | 530,509 | $ | — | Inverse interest-only securities | $ | 397,137 | $ | — | $ | (78,975) | $ | 318,162 | $ | 360,000 | $ | (116) | ||||||||||||||||||||||||||||||||
Interest rate swap agreements | 28,482,125 | 49,269,781 | (48,228,301 | ) | 29,523,605 | 28,317,793 | (71,578 | ) | Interest rate swap agreements | 39,702,470 | 56,867,740 | (83,923,869) | 12,646,341 | 27,137,669 | (334,458) | |||||||||||||||||||||||||||||||||||||||||||
Interest rate cap contracts | — | 2,500,000 | — | 2,500,000 | 1,054,795 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Swaptions, net | 2,666,000 | (35,000 | ) | (2,568,000 | ) | 63,000 | (1,495,421 | ) | 67,985 | Swaptions, net | 1,257,000 | 6,767,000 | (4,274,000) | 3,750,000 | 2,188,661 | (53,290) | ||||||||||||||||||||||||||||||||||||||||||
TBAs, net | (573,000 | ) | 64,988,000 | (57,931,000 | ) | 6,484,000 | 4,502,888 | (35,140 | ) | TBAs, net | 7,427,000 | 60,103,000 | (62,333,000) | 5,197,000 | 4,540,759 | 42,499 | ||||||||||||||||||||||||||||||||||||||||||
Short U.S. Treasuries | — | (800,000 | ) | — | (800,000 | ) | (337,534 | ) | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Put and call options for TBAs, net | — | (451,000 | ) | (1,316,000 | ) | (1,767,000 | ) | (804,997 | ) | 6,839 | ||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury and Eurodollar futures | U.S. Treasury and Eurodollar futures | (380,000) | 13,385,800 | (10,984,700) | 2,021,100 | 791,420 | 14,996 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Markit IOS total return swaps | 63,507 | — | (15,242 | ) | 48,265 | 55,143 | (765 | ) | Markit IOS total return swaps | 41,890 | — | (41,890) | — | 10,141 | (2,077) | |||||||||||||||||||||||||||||||||||||||||||
Total | $ | 31,226,878 | $ | 115,471,781 | $ | (110,170,490 | ) | $ | 36,528,169 | $ | 31,823,176 | $ | (32,659 | ) | Total | $ | 48,445,497 | $ | 137,123,540 | $ | (161,636,434) | $ | 23,932,603 | $ | 35,028,650 | $ | (332,446) |
December 31, 2021 | |||||||||||||||||||||||||||||
Net Carrying Value (4) | |||||||||||||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | ||||||||||||||||||||||||
Purchase contracts | $ | 4,116,000 | $ | 4,238,881 | $ | 4,240,371 | $ | 3,405 | $ | (1,915) | |||||||||||||||||||
Sale contracts | — | — | — | — | — | ||||||||||||||||||||||||
TBAs, net | $ | 4,116,000 | $ | 4,238,881 | $ | 4,240,371 | $ | 3,405 | $ | (1,915) |
December 31, 2019 | |||||||||||||||||||
Net Carrying Value (4) | |||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | ||||||||||||||
Purchase contracts | $ | 10,223,000 | $ | 10,557,745 | $ | 10,565,556 | $ | 8,011 | $ | (200 | ) | ||||||||
Sale contracts | (2,796,000 | ) | (2,902,858 | ) | (2,909,369 | ) | — | (6,511 | ) | ||||||||||
TBAs, net | $ | 7,427,000 | $ | 7,654,887 | $ | 7,656,187 | $ | 8,011 | $ | (6,711 | ) |
December 31, 2018 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||
Net Carrying Value (4) | Net Carrying Value (4) | |||||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | (in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||
Purchase contracts | $ | 6,484,000 | $ | 6,734,858 | $ | 6,756,460 | $ | 21,602 | $ | — | Purchase contracts | $ | 7,700,000 | $ | 8,102,344 | $ | 8,132,406 | $ | 30,062 | $ | — | |||||||||||||||||||||||||||
Sale contracts | — | — | — | — | — | Sale contracts | (2,503,000) | (2,640,465) | (2,650,927) | — | (10,462) | |||||||||||||||||||||||||||||||||||||
TBAs, net | $ | 6,484,000 | $ | 6,734,858 | $ | 6,756,460 | $ | 21,602 | $ | — | TBAs, net | $ | 5,197,000 | $ | 5,461,879 | $ | 5,481,479 | $ | 30,062 | $ | (10,462) |
(1)Notional amount represents the face amount of the underlying Agency RMBS. (2)Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3)Market value represents the current |
(dollars in thousands) | December 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||
Type & Maturity | Notional Amount | Carrying Value | Weighted Average Days to Expiration | Notional Amount | Carrying Value | Weighted Average Days to Expiration | ||||||||||||||||||||||||||||||||
U.S. Treasury futures - 10 year | $ | 687,900 | $ | 1,809 | 90 | $ | 2,021,100 | $ | 3,675 | 90 | ||||||||||||||||||||||||||||
Eurodollar futures - 3 month | ||||||||||||||||||||||||||||||||||||||
≤ 1 year | (3,582,000) | 15,121 | 213 | — | — | 0 | ||||||||||||||||||||||||||||||||
> 1 and ≤ 2 years | (2,269,500) | 14,952 | 560 | — | — | 0 | ||||||||||||||||||||||||||||||||
> 2 and ≤ 3 years | (666,000) | 3,480 | 854 | — | — | 0 | ||||||||||||||||||||||||||||||||
Total futures | $ | (5,829,600) | $ | 35,362 | 370 | $ | 2,021,100 | $ | 3,675 | 90 |
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2021 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Weighted Average Fixed Pay Rate | Weighted Average Receive Rate | Weighted Average Maturity (Years) | ||||||||||||||||||||||
2022 | $ | 7,415,818 | 0.420 | % | 0.070 | % | 0.66 | |||||||||||||||||||
2023 | 2,582,084 | 0.113 | % | 0.068 | % | 1.51 | ||||||||||||||||||||
2024 | — | — | % | — | % | 0.00 | ||||||||||||||||||||
2025 | 377,610 | 1.030 | % | 0.050 | % | 3.96 | ||||||||||||||||||||
2026 and Thereafter | 2,782,057 | 0.652 | % | 0.063 | % | 6.56 | ||||||||||||||||||||
Total | $ | 13,157,569 | 0.213 | % | 0.067 | % | 2.17 |
(notional in thousands) | (notional in thousands) | (notional in thousands) | ||||||||||||||||||||||||||||||||||||
December 31, 2019 | ||||||||||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Weighted Average Fixed Pay Rate | Weighted Average Receive Rate | Weighted Average Maturity (Years) | Swaps Maturities | Notional Amount | Weighted Average Fixed Pay Rate | Weighted Average Receive Rate | Weighted Average Maturity (Years) | |||||||||||||||||||||||||||||
2020 | $ | 3,640,000 | 1.806 | % | 1.937 | % | 0.83 | |||||||||||||||||||||||||||||||
2021 | 15,740,977 | 1.681 | % | 1.910 | % | 1.47 | 2021 | $ | — | — | % | — | % | 0.00 | ||||||||||||||||||||||||
2022 | 2,578,640 | 1.911 | % | 1.901 | % | 2.74 | 2022 | 7,415,818 | 0.042 | % | 0.090 | % | 1.66 | |||||||||||||||||||||||||
2023 | 215,000 | 3.057 | % | 1.910 | % | 3.90 | 2023 | 2,281,500 | 0.023 | % | 0.090 | % | 2.48 | |||||||||||||||||||||||||
2024 and Thereafter | 8,739,092 | 2.224 | % | 1.935 | % | 7.20 | ||||||||||||||||||||||||||||||||
2024 | 2024 | — | — | % | — | % | 0.00 | |||||||||||||||||||||||||||||||
2025 and Thereafter | 2025 and Thereafter | 1,497,500 | 0.257 | % | 0.090 | % | 6.49 | |||||||||||||||||||||||||||||||
Total | $ | 30,913,709 | 1.878 | % | 1.921 | % | 3.14 | Total | $ | 11,194,818 | 0.067 | % | 0.090 | % | 2.47 |
(notional in thousands) | ||||||||||||
December 31, 2018 | ||||||||||||
Swaps Maturities | Notional Amount (1) | Weighted Average Fixed Pay Rate (2) | Weighted Average Receive Rate (2) | Weighted Average Maturity (Years) (2) | ||||||||
2019 | $ | 4,336,897 | 1.769 | % | 2.565 | % | 0.79 | |||||
2020 | 3,640,000 | 1.806 | % | 2.689 | % | 1.83 | ||||||
2021 | 4,117,000 | 1.550 | % | 2.687 | % | 2.69 | ||||||
2022 | 2,470,000 | 2.002 | % | 2.728 | % | 3.75 | ||||||
2023 and Thereafter | 6,842,270 | 2.495 | % | 2.636 | % | 7.60 | ||||||
Total | $ | 21,406,167 | 1.978 | % | 2.651 | % | 3.75 |
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2021 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amounts | Weighted Average Pay Rate | Weighted Average Fixed Receive Rate | Weighted Average Maturity (Years) | ||||||||||||||||||||||
2022 | $ | 2,221,658 | 0.070 | % | 0.118 | % | 1.19 | |||||||||||||||||||
2023 | — | — | % | — | % | 0.00 | ||||||||||||||||||||
2024 | — | — | % | — | % | 0.00 | ||||||||||||||||||||
2025 | — | — | % | — | % | 0.00 | ||||||||||||||||||||
2026 and Thereafter | 5,008,073 | 0.058 | % | 1.049 | % | 10.00 | ||||||||||||||||||||
Total | $ | 7,229,731 | 0.062 | % | 0.763 | % | 7.29 |
(notional in thousands) | ||||||||||||
December 31, 2019 | ||||||||||||
Swaps Maturities | Notional Amounts | Weighted Average Pay Rate | Weighted Average Fixed Receive Rate | Weighted Average Maturity (Years) | ||||||||
2020 | $ | 250,000 | 1.953 | % | 2.258 | % | 0.06 | |||||
2021 | 915,000 | 1.894 | % | 2.516 | % | 1.10 | ||||||
2022 | — | — | % | — | % | 0.00 | ||||||
2023 | — | — | % | — | % | 0.00 | ||||||
2024 and Thereafter | 7,623,761 | 1.937 | % | 2.232 | % | 8.64 | ||||||
Total | $ | 8,788,761 | 1.933 | % | 2.262 | % | 7.61 |
(notional in thousands) | ||||||||||||
December 31, 2018 | ||||||||||||
Swaps Maturities | Notional Amounts | Weighted Average Pay Rate | Weighted Average Fixed Receive Rate | Weighted Average Maturity (Years) | ||||||||
2019 | $ | — | — | % | — | % | 0.00 | |||||
2020 | 250,000 | 2.469 | % | 2.258 | % | 1.06 | ||||||
2021 | 2,477,438 | 2.538 | % | 2.736 | % | 2.24 | ||||||
2022 | 800,000 | 2.653 | % | 2.975 | % | 3.39 | ||||||
2023 and Thereafter | 4,590,000 | 2.653 | % | 2.757 | % | 7.37 | ||||||
Total | $ | 8,117,438 | 2.612 | % | 2.757 | % | 5.22 |
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2020 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amounts | Weighted Average Pay Rate | Weighted Average Fixed Receive Rate | Weighted Average Maturity (Years) | ||||||||||||||||||||||
2021 | $ | — | — | % | — | % | 0.00 | |||||||||||||||||||
2022 | — | — | % | — | % | 0.00 | ||||||||||||||||||||
2023 | — | — | % | — | % | 0.00 | ||||||||||||||||||||
2024 | — | — | % | — | % | 0.00 | ||||||||||||||||||||
2025 and Thereafter | 1,451,523 | 0.090 | % | 0.468 | % | 9.49 | ||||||||||||||||||||
Total | $ | 1,451,523 | 0.090 | % | 0.468 | % | 9.49 |
December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||
(notional and dollars in thousands) | Option | Underlying Swap | ||||||||||||||||||||||||||||||||||||||||||||||||
Swaption | Expiration | Cost Basis | Fair Value | Average Months to Expiration | Notional Amount | Average Pay Rate | Average Receive Rate | Average Term (Years) | ||||||||||||||||||||||||||||||||||||||||||
Purchase contracts: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Payer | < 6 Months | $ | 11,314 | $ | 3,539 | 5.33 | $ | 886,000 | 2.26 | % | 3M LIBOR | 10.0 | ||||||||||||||||||||||||||||||||||||||
Sale contracts: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Payer | ≥ 6 Months | $ | (26,329) | $ | (23,958) | 17.79 | $ | (780,000) | 1.72 | % | 3M LIBOR | 10.0 | ||||||||||||||||||||||||||||||||||||||
Receiver | < 6 Months | $ | (10,640) | $ | (6,856) | 5.11 | $ | (1,087,000) | 3M LIBOR | 1.26 | % | 10.0 | ||||||||||||||||||||||||||||||||||||||
Receiver | ≥ 6 Months | $ | (26,329) | $ | (24,468) | 18.91 | $ | (780,000) | 3M LIBOR | 1.72 | % | 10.0 | ||||||||||||||||||||||||||||||||||||||
December 31, 2019 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(notional and dollars in thousands) | Option | Underlying Swap | (notional and dollars in thousands) | Option | Underlying Swap | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Swaption | Expiration | Cost Basis | Fair Value | Average Months to Expiration | Notional Amount | Average Pay Rate | Average Receive Rate | Average Term (Years) | Swaption | Expiration | Cost | Fair Value | Average Months to Expiration | Notional Amount | Average Pay Rate | Average Receive Rate | Average Term (Years) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchase contracts: | Purchase contracts: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Payer | < 6 Months | $ | 24,700 | $ | 16,095 | 3.20 | $ | 7,525,000 | 2.27 | % | 3M Libor | 10.0 | Payer | < 6 Months | $ | 7,210 | $ | 2,448 | 4.23 | $ | 2,800,000 | 1.32 | % | 3M LIBOR | 10.0 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total Payer | $ | 24,700 | $ | 16,095 | 3.20 | $ | 7,525,000 | 2.27 | % | 3M Libor | 10.0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receiver | < 6 Months | $ | 4,100 | $ | 342 | 1.10 | $ | 500,000 | 3M Libor | 1.55 | % | 10.0 | Receiver | < 6 Months | $ | 3,010 | $ | — | 0.97 | $ | 2,000,000 | 3M LIBOR | 0.23 | % | 10.0 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total Receiver | $ | 4,100 | $ | 342 | 1.10 | $ | 500,000 | 3M Libor | 1.55 | % | 10.0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sale contracts: | Sale contracts: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receiver | < 6 Months | $ | (20,800 | ) | $ | (8,636 | ) | 3.24 | $ | (6,768,000 | ) | 3M Libor | 1.28 | % | 10.0 | Receiver | < 6 Months | $ | (2,600) | $ | (3,044) | 5.13 | $ | (1,050,000) | 3M LIBOR | 0.55 | % | 10.0 | |||||||||||||||||||||||||||||||||||||||||||||||
Total Receiver | $ | (20,800 | ) | $ | (8,636 | ) | 3.24 | $ | (6,768,000 | ) | 3M Libor | 1.28 | % | 10.0 |
December 31, 2018 | |||||||||||||||||||||||||
(notional and dollars in thousands) | Option | Underlying Swap | |||||||||||||||||||||||
Swaption | Expiration | Cost | Fair Value | Average Months to Expiration | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Term (Years) | |||||||||||||||||
Purchase contracts: | |||||||||||||||||||||||||
Payer | < 6 Months | $ | 4,855 | $ | 2,430 | 5.13 | $ | 900,000 | 3.16 | % | 3M Libor | 10.0 | |||||||||||||
Payer | ≥ 6 Months | 8,400 | 5,992 | 8.60 | 800,000 | 3.14 | % | 3M Libor | 10.0 | ||||||||||||||||
Total Payer | $ | 13,255 | $ | 8,422 | 7.92 | $ | 1,700,000 | 3.15 | % | 3M Libor | 10.0 | ||||||||||||||
Sale contracts: | |||||||||||||||||||||||||
Receiver | < 6 Months | $ | (4,855 | ) | $ | (9,001 | ) | 4.74 | $ | (845,000 | ) | 3M Libor | 2.66 | % | 10.0 | ||||||||||
Receiver | ≥ 6 Months | (8,400 | ) | (12,877 | ) | 8.60 | (792,000 | ) | 3M Libor | 2.64 | % | 10.0 | |||||||||||||
Total Receiver | $ | (13,255 | ) | $ | (21,878 | ) | 7.52 | $ | (1,637,000 | ) | 3M Libor | 2.65 | % | 10.0 |
(notional in thousands) | ||||||||||||
December 31, 2018 | ||||||||||||
Caps Maturities | Notional Amount | Weighted Average Cap Rate | Weighted Average Receive Rate | Weighted Average Maturity (Years) | ||||||||
2019 | $ | 800,000 | 1.344 | % | 2.422 | % | 0.53 | |||||
2020 | 1,700,000 | 1.250 | % | 2.766 | % | 1.29 | ||||||
Total | $ | 2,500,000 | 1.280 | % | 2.656 | % | 1.04 |
(notional and dollars in thousands) | ||||||||||||||||
December 31, 2019 | ||||||||||||||||
Maturity Date | Current Notional Amount | Fair Value | Cost Basis | Unrealized Gain (Loss) | ||||||||||||
January 12, 2043 | $ | (18,625 | ) | $ | 5 | $ | (30 | ) | $ | 35 | ||||||
January 12, 2044 | (23,265 | ) | (34 | ) | (29 | ) | (5 | ) | ||||||||
Total | $ | (41,890 | ) | $ | (29 | ) | $ | (59 | ) | $ | 30 |
(notional and dollars in thousands) | ||||||||||||||||
December 31, 2018 | ||||||||||||||||
Maturity Date | Current Notional Amount | Fair Value | Cost Basis | Unrealized Gain (Loss) | ||||||||||||
January 12, 2043 | $ | (21,395 | ) | $ | (153 | ) | $ | (30 | ) | $ | (123 | ) | ||||
January 12, 2044 | (26,870 | ) | (230 | ) | (29 | ) | (201 | ) | ||||||||
Total | $ | (48,265 | ) | $ | (383 | ) | $ | (59 | ) | $ | (324 | ) |
December 31, 2021 | |||||||||||||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1) | |||||||||||||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | |||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||
Derivative assets | $ | 215,084 | $ | (134,950) | $ | 80,134 | $ | (53,658) | $ | — | $ | 26,476 | |||||||||||||||||||||||
Reverse repurchase agreements | 134,682 | — | 134,682 | — | (129,227) | 5,455 | |||||||||||||||||||||||||||||
Total Assets | $ | 349,766 | $ | (134,950) | $ | 214,816 | $ | (53,658) | $ | (129,227) | $ | 31,931 | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||||||
Repurchase agreements | $ | (7,656,445) | $ | — | $ | (7,656,445) | $ | 7,656,445 | $ | — | $ | — | |||||||||||||||||||||||
Derivative liabilities | (188,608) | 134,950 | (53,658) | 53,658 | — | — | |||||||||||||||||||||||||||||
Total Liabilities | $ | (7,845,053) | $ | 134,950 | $ | (7,710,103) | $ | 7,710,103 | $ | — | $ | — |
December 31, 2019 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1) | Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | (in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | |||||||||||||||||||||||||||||||||||||||||||||
Assets | Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 494,822 | $ | (306,771 | ) | $ | 188,051 | $ | (6,740 | ) | $ | — | $ | 181,311 | Derivative assets | $ | 124,023 | $ | (28,086) | $ | 95,937 | $ | (11,058) | $ | — | $ | 84,879 | |||||||||||||||||||||||||||||||
Reverse repurchase agreements | 220,000 | — | 220,000 | — | (215,565 | ) | 4,435 | Reverse repurchase agreements | 91,525 | — | 91,525 | — | (89,469) | 2,056 | ||||||||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 714,822 | $ | (306,771 | ) | $ | 408,051 | $ | (6,740 | ) | $ | (215,565 | ) | $ | 185,746 | Total Assets | $ | 215,548 | $ | (28,086) | $ | 187,462 | $ | (11,058) | $ | (89,469) | $ | 86,935 | ||||||||||||||||||||||||||||||
Liabilities | Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase agreements | $ | (29,147,463 | ) | $ | — | $ | (29,147,463 | ) | $ | 29,147,463 | $ | — | $ | — | Repurchase agreements | $ | (15,143,898) | $ | — | $ | (15,143,898) | $ | 15,143,898 | $ | — | $ | — | |||||||||||||||||||||||||||||||
Derivative liabilities | (313,511 | ) | 306,771 | (6,740 | ) | 6,740 | — | — | Derivative liabilities | (39,144) | 28,086 | (11,058) | 11,058 | — | — | |||||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | (29,460,974 | ) | $ | 306,771 | $ | (29,154,203 | ) | $ | 29,154,203 | $ | — | $ | — | Total Liabilities | $ | (15,183,042) | $ | 28,086 | $ | (15,154,956) | $ | 15,154,956 | $ | — | $ | — |
December 31, 2018 | |||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1) | |||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | |||||||||||||||||
Assets | |||||||||||||||||||||||
Derivative assets | $ | 599,573 | $ | (279,592 | ) | $ | 319,981 | $ | (58,775 | ) | $ | — | $ | 261,206 | |||||||||
Reverse repurchase agreements | 761,815 | — | 761,815 | (761,815 | ) | — | — | ||||||||||||||||
Total Assets | $ | 1,361,388 | $ | (279,592 | ) | $ | 1,081,796 | $ | (820,590 | ) | $ | — | $ | 261,206 | |||||||||
Liabilities | |||||||||||||||||||||||
Repurchase agreements | $ | (23,133,476 | ) | $ | — | $ | (23,133,476 | ) | $ | 23,133,476 | $ | — | $ | — | |||||||||
Derivative liabilities | (1,100,182 | ) | 279,592 | (820,590 | ) | 820,590 | — | — | |||||||||||||||
Total Liabilities | $ | (24,233,658 | ) | $ | 279,592 | $ | (23,954,066 | ) | $ | 23,954,066 | $ | — | $ | — |
Recurring Fair Value Measurements | |||||||||||||||||||||||
December 31, 2021 | |||||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||
Assets: | |||||||||||||||||||||||
Available-for-sale securities | $ | — | $ | 7,149,399 | $ | 12,304 | $ | 7,161,703 | |||||||||||||||
Mortgage servicing rights | — | — | 2,191,578 | 2,191,578 | |||||||||||||||||||
Derivative assets | 38,767 | 41,367 | — | 80,134 | |||||||||||||||||||
Total assets | $ | 38,767 | $ | 7,190,766 | $ | 2,203,882 | $ | 9,433,415 | |||||||||||||||
Liabilities: | |||||||||||||||||||||||
Derivative liabilities | $ | 1,915 | $ | 51,743 | $ | — | $ | 53,658 | |||||||||||||||
Total liabilities | $ | 1,915 | $ | 51,743 | $ | — | $ | 53,658 |
Recurring Fair Value Measurements | Recurring Fair Value Measurements | |||||||||||||||||||||||||||||||||||||
December 31, 2019 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | (in thousands) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||
Assets: | Assets: | |||||||||||||||||||||||||||||||||||||
Available-for-sale securities | $ | — | $ | 31,157,154 | $ | 249,174 | $ | 31,406,328 | Available-for-sale securities | $ | — | $ | 14,637,891 | $ | 13,031 | $ | 14,650,922 | |||||||||||||||||||||
Mortgage servicing rights | — | — | 1,909,444 | 1,909,444 | Mortgage servicing rights | — | — | 1,596,153 | 1,596,153 | |||||||||||||||||||||||||||||
Derivative assets | 8,513 | 179,538 | — | 188,051 | Derivative assets | 33,737 | 62,200 | — | 95,937 | |||||||||||||||||||||||||||||
Total assets | $ | 8,513 | $ | 31,336,692 | $ | 2,158,618 | $ | 33,503,823 | Total assets | $ | 33,737 | $ | 14,700,091 | $ | 1,609,184 | $ | 16,343,012 | |||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||
Liabilities: | Liabilities: | |||||||||||||||||||||||||||||||||||||
Derivative liabilities | $ | 6,711 | $ | 29 | $ | — | $ | 6,740 | Derivative liabilities | $ | 10,462 | $ | 596 | $ | — | $ | 11,058 | |||||||||||||||||||||
Total liabilities | $ | 6,711 | $ | 29 | $ | — | $ | 6,740 | Total liabilities | $ | 10,462 | $ | 596 | $ | — | $ | 11,058 |
Recurring Fair Value Measurements | |||||||||||||||
December 31, 2018 | |||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Assets | |||||||||||||||
Available-for-sale securities | $ | — | $ | 25,447,447 | $ | 105,157 | $ | 25,552,604 | |||||||
Mortgage servicing rights | — | — | 1,993,440 | 1,993,440 | |||||||||||
Derivative assets | 21,602 | 298,379 | — | 319,981 | |||||||||||
Total assets | $ | 21,602 | $ | 25,745,826 | $ | 2,098,597 | $ | 27,866,025 | |||||||
Liabilities | |||||||||||||||
Derivative liabilities | $ | — | $ | 820,590 | $ | — | $ | 820,590 | |||||||
Total liabilities | $ | — | $ | 820,590 | $ | — | $ | 820,590 |
Year Ended | ||||||||
December 31, 2019 | ||||||||
(in thousands) | Available-For-Sale Securities | Mortgage Servicing Rights | ||||||
Beginning of period level 3 fair value | $ | 105,157 | $ | 1,993,440 | ||||
Gains (losses) included in net income (loss): | ||||||||
Realized (losses) gains, net | (22,055 | ) | (313,402 | ) | ||||
Unrealized (losses) gains, net | — | (384,257 | ) | (1) | ||||
Net gains (losses) included in net income (loss) | (22,055 | ) | (697,659 | ) | ||||
Other comprehensive income (loss) | (934 | ) | — | |||||
Purchases | 14,318 | 627,815 | ||||||
Sales | — | 1,898 | ||||||
Settlements | — | (16,050 | ) | |||||
Gross transfers into level 3 | 550,695 | — | ||||||
Gross transfers out of level 3 | (398,007 | ) | — | |||||
End of period level 3 fair value | $ | 249,174 | $ | 1,909,444 | ||||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ | — | $ | (331,919 | ) | (2) | ||
Change in unrealized gains or losses for the period included in other comprehensive income (loss) for assets held at the end of the reporting period | $ | 8,389 | $ | — |
Year Ended | ||||||||||||||||||||||||||||||||||||||||||||||
Year Ended | December 31, | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2018 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | Available-For-Sale Securities | Mortgage Servicing Rights | (in thousands) | Available-For-Sale Securities | Mortgage Servicing Rights | Available-For-Sale Securities | Mortgage Servicing Rights | |||||||||||||||||||||||||||||||||||||||
Beginning of period level 3 fair value | $ | 153,141 | $ | 1,086,717 | Beginning of period level 3 fair value | $ | 13,031 | $ | 1,596,153 | $ | 249,174 | $ | 1,909,444 | |||||||||||||||||||||||||||||||||
Gains (losses) included in net income (loss): | Gains (losses) included in net income (loss): | |||||||||||||||||||||||||||||||||||||||||||||
Realized gains and (losses), net | (2,538 | ) | (149,242 | ) | ||||||||||||||||||||||||||||||||||||||||||
Unrealized gains and (losses), net | — | 80,209 | (1) | |||||||||||||||||||||||||||||||||||||||||||
Realized | Realized | (10,905) | (677,784) | (24,218) | (544,157) | |||||||||||||||||||||||||||||||||||||||||
Unrealized | Unrealized | (1,185) | (1) | 562,843 | (2) | — | (1) | (391,540) | (2) | |||||||||||||||||||||||||||||||||||||
Reversal of (provision for) credit losses | Reversal of (provision for) credit losses | 11,188 | — | (10,593) | — | |||||||||||||||||||||||||||||||||||||||||
Net gains (losses) included in net income (loss) | (2,538 | ) | (69,033 | ) | Net gains (losses) included in net income (loss) | (902) | (114,941) | (34,811) | (935,697) | |||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss) | (1,960 | ) | — | |||||||||||||||||||||||||||||||||||||||||||
Other comprehensive (loss) income | Other comprehensive (loss) income | (9,449) | — | (4,963) | — | |||||||||||||||||||||||||||||||||||||||||
Purchases | 17,861 | 988,283 | Purchases | 11,201 | 777,305 | — | 623,284 | |||||||||||||||||||||||||||||||||||||||
Sales | — | (637 | ) | Sales | (1,577) | (31,787) | (214,673) | 2,012 | ||||||||||||||||||||||||||||||||||||||
Settlements | (153,000 | ) | (11,890 | ) | Settlements | — | (35,152) | — | (2,890) | |||||||||||||||||||||||||||||||||||||
Gross transfers into level 3 | 91,653 | — | Gross transfers into level 3 | — | — | 23,785 | — | |||||||||||||||||||||||||||||||||||||||
Gross transfers out of level 3 | — | — | Gross transfers out of level 3 | — | — | (5,481) | — | |||||||||||||||||||||||||||||||||||||||
End of period level 3 fair value | $ | 105,157 | $ | 1,993,440 | End of period level 3 fair value | $ | 12,304 | $ | 2,191,578 | $ | 13,031 | $ | 1,596,153 | |||||||||||||||||||||||||||||||||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ | — | $ | 68,518 | (2) | Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ | (1,185) | (3) | $ | 461,258 | (4) | $ | — | (3) | $ | (199,016) | (4) | ||||||||||||||||||||||||||||
Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period | $ | (1,818 | ) | $ | — | Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period | $ | (10,635) | $ | — | $ | 19,804 | $ | — |
December 31, 2021 | ||||||||||||||||||||||||||||||||
Valuation Technique | Unobservable Input | Range | Weighted Average (1) | |||||||||||||||||||||||||||||
Discounted cash flow | Constant prepayment speed | 10.0% | - | 17.9% | 12.9% | |||||||||||||||||||||||||||
Delinquency | 0.9% | - | 1.8% | 1.3% | ||||||||||||||||||||||||||||
Option-adjusted spread | 4.6% | - | 9.2% | 4.7% | ||||||||||||||||||||||||||||
Per loan annual cost to service | $66.04 | - | $83.91 | $66.76 |
December 31, 2019 | |||||||||
Valuation Technique | Unobservable Input (1) | Range | Weighted Average (2) | ||||||
Discounted cash flow | Constant prepayment speed | 12.6 | - | 16.4 | % | 14.8% | |||
Delinquency | 0.7 | - | 1.0 | % | 0.9% | ||||
Discount rate | 6.4 | - | 7.8 | % | 7.2% | ||||
Per loan annual cost to service | $63.38 | - | $78.04 | $66.62 |
December 31, 2018 | |||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||
Valuation Technique | Unobservable Input (1) | Range | Weighted Average (2) | Valuation Technique | Unobservable Input | Range | Weighted Average (1) | ||||||||||||||||||||||||||||||||||
Discounted cash flow | Constant prepayment speed | 7.6 | - | 9.6 | % | 8.6% | Discounted cash flow | Constant prepayment speed | 14.1% | - | 23.5% | 19.4% | |||||||||||||||||||||||||||||
Delinquency | 1.0 | - | 1.5 | % | 1.3% | Delinquency | 1.5% | - | 2.6% | 2.2% | |||||||||||||||||||||||||||||||
Discount rate | 8.2 | - | 10.7 | % | 9.4% | Option-adjusted spread | 4.7% | - | 9.7% | 4.8% | |||||||||||||||||||||||||||||||
Per loan annual cost to service | $66.10 | - | $77.32 | $69.34 | Per loan annual cost to service | $64.56 | - | $79.43 | $68.27 |
(1)Calculated by averaging the weighted average significant unobservable inputs used by the multiple third-party pricing vendors in |
Year Ended December 31, 2017 | |||||||||||||||||
(in thousands) | Interest income (expense) | Other income | Total included in net income (loss) | Change in fair value due to credit risk | |||||||||||||
Assets | |||||||||||||||||
Residential mortgage loans held-for-investment in securitization trusts | 102,886 | (1) | 45,275 | 148,161 | — | (2) | |||||||||||
Liabilities | |||||||||||||||||
Collateralized borrowings in securitization trusts | (82,573 | ) | (22,592 | ) | (105,165 | ) | — | (2) | |||||||||
Total | $ | 20,313 | $ | 22,683 | $ | 42,996 | $ | — |
•AFS securities, MSR, and derivative assets and liabilities are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the Fair Value Measurements section of this Note 10. • |
December 31, 2021 | December 31, 2020 | ||||||||||||||||||||||
(in thousands) | Carrying Value | Fair Value | Carrying Value | Fair Value | |||||||||||||||||||
Assets: | |||||||||||||||||||||||
Available-for-sale securities | $ | 7,161,703 | $ | 7,161,703 | $ | 14,650,922 | $ | 14,650,922 | |||||||||||||||
Mortgage servicing rights | $ | 2,191,578 | $ | 2,191,578 | $ | 1,596,153 | $ | 1,596,153 | |||||||||||||||
Cash and cash equivalents | $ | 1,153,856 | $ | 1,153,856 | $ | 1,384,764 | $ | 1,384,764 | |||||||||||||||
Restricted cash | $ | 934,814 | $ | 934,814 | $ | 1,261,667 | $ | 1,261,667 | |||||||||||||||
Derivative assets | $ | 80,134 | $ | 80,134 | $ | 95,937 | $ | 95,937 | |||||||||||||||
Reverse repurchase agreements | $ | 134,682 | $ | 134,682 | $ | 91,525 | $ | 91,525 | |||||||||||||||
Other assets | $ | 3,332 | $ | 3,332 | $ | 13,292 | $ | 13,292 | |||||||||||||||
Liabilities: | |||||||||||||||||||||||
Repurchase agreements | $ | 7,656,445 | $ | 7,656,445 | $ | 15,143,898 | $ | 15,143,898 | |||||||||||||||
Revolving credit facilities | $ | 420,761 | $ | 420,761 | $ | 283,830 | $ | 283,830 | |||||||||||||||
Term notes payable | $ | 396,776 | $ | 395,030 | $ | 395,609 | $ | 380,000 | |||||||||||||||
Convertible senior notes | $ | 424,827 | $ | 435,774 | $ | 286,183 | $ | 291,376 | |||||||||||||||
Derivative liabilities | $ | 53,658 | $ | 53,658 | $ | 11,058 | $ | 11,058 |
December 31, 2019 | December 31, 2018 | ||||||||||||||
(in thousands) | Carrying Value | Fair Value | Carrying Value | Fair Value | |||||||||||
Assets | |||||||||||||||
Available-for-sale securities | $ | 31,406,328 | $ | 31,406,328 | $ | 25,552,604 | $ | 25,552,604 | |||||||
Mortgage servicing rights | $ | 1,909,444 | $ | 1,909,444 | $ | 1,993,440 | $ | 1,993,440 | |||||||
Cash and cash equivalents | $ | 558,136 | $ | 558,136 | $ | 409,758 | $ | 409,758 | |||||||
Restricted cash | $ | 1,058,690 | $ | 1,058,690 | $ | 688,006 | $ | 688,006 | |||||||
Derivative assets | $ | 188,051 | $ | 188,051 | $ | 319,981 | $ | 319,981 | |||||||
Reverse repurchase agreements | $ | 220,000 | $ | 220,000 | $ | 761,815 | $ | 761,815 | |||||||
Other assets | $ | 24,352 | $ | 24,352 | 74,412 | 74,412 | |||||||||
Liabilities | |||||||||||||||
Repurchase agreements | $ | 29,147,463 | $ | 29,147,463 | $ | 23,133,476 | $ | 23,133,476 | |||||||
Federal Home Loan Bank advances | $ | 210,000 | $ | 210,000 | $ | 865,024 | $ | 865,024 | |||||||
Revolving credit facilities | $ | 300,000 | $ | 300,000 | $ | 310,000 | $ | 310,000 | |||||||
Term notes payable | $ | 394,502 | $ | 400,000 | $ | — | $ | — | |||||||
Convertible senior notes | $ | 284,954 | $ | 299,147 | $ | 283,856 | $ | 281,951 | |||||||
Derivative liabilities | $ | 6,740 | $ | 6,740 | $ | 820,590 | $ | 820,590 |
(in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Short-term | $ | 7,656,445 | $ | 15,143,898 | |||||||
Long-term | — | — | |||||||||
Total | $ | 7,656,445 | $ | 15,143,898 |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
Short-term | $ | 29,147,463 | $ | 22,833,476 | |||
Long-term | — | 300,000 | |||||
Total | $ | 29,147,463 | $ | 23,133,476 |
December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||
Collateral Type | |||||||||||||||||||||||||||||||||||||||||
(in thousands) | Agency RMBS | Non-Agency Securities | Agency Derivatives | Mortgage Servicing Rights | Total Amount Outstanding | ||||||||||||||||||||||||||||||||||||
Within 30 days | $ | 1,617,186 | $ | — | $ | 10,097 | $ | — | $ | 1,627,283 | |||||||||||||||||||||||||||||||
30 to 59 days | 1,807,544 | — | — | — | 1,807,544 | ||||||||||||||||||||||||||||||||||||
60 to 89 days | 1,979,717 | 171 | 1,168 | — | 1,981,056 | ||||||||||||||||||||||||||||||||||||
90 to 119 days | 1,240,915 | — | 8,520 | — | 1,249,435 | ||||||||||||||||||||||||||||||||||||
120 to 364 days | 849,868 | — | 16,259 | 125,000 | 991,127 | ||||||||||||||||||||||||||||||||||||
Total | $ | 7,495,230 | $ | 171 | $ | 36,044 | $ | 125,000 | $ | 7,656,445 | |||||||||||||||||||||||||||||||
Weighted average borrowing rate | 0.17 | % | 1.24 | % | 0.74 | % | 4.00 | % | 0.24 | % |
December 31, 2019 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateral Type | Collateral Type | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | Agency RMBS | Non-Agency Securities | Agency Derivatives | Mortgage Servicing Rights | Total Amount Outstanding | (in thousands) | Agency RMBS | Non-Agency Securities | Agency Derivatives | Mortgage Servicing Rights | Total Amount Outstanding | |||||||||||||||||||||||||||||||||||||||||||||||||
Within 30 days | $ | 5,112,681 | $ | 193,235 | $ | — | $ | — | $ | 5,305,916 | Within 30 days | $ | 5,330,627 | $ | 1,271 | $ | 38,608 | $ | — | $ | 5,370,506 | |||||||||||||||||||||||||||||||||||||||
30 to 59 days | 6,074,151 | 212,998 | 13,223 | — | 6,300,372 | 30 to 59 days | 4,292,861 | — | — | — | 4,292,861 | |||||||||||||||||||||||||||||||||||||||||||||||||
60 to 89 days | 6,355,887 | 329,493 | 1,905 | — | 6,687,285 | 60 to 89 days | 2,060,087 | 628 | 1,519 | — | 2,062,234 | |||||||||||||||||||||||||||||||||||||||||||||||||
90 to 119 days | 4,227,589 | 489,352 | 23,276 | — | 4,740,217 | 90 to 119 days | 1,598,052 | — | 12,146 | — | 1,610,198 | |||||||||||||||||||||||||||||||||||||||||||||||||
120 to 364 days | 5,532,219 | 306,529 | 12,310 | 262,615 | 6,113,673 | 120 to 364 days | 1,808,099 | — | — | — | 1,808,099 | |||||||||||||||||||||||||||||||||||||||||||||||||
One year and over | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 27,302,527 | $ | 1,531,607 | $ | 50,714 | $ | 262,615 | $ | 29,147,463 | Total | $ | 15,089,726 | $ | 1,899 | $ | 52,273 | $ | — | $ | 15,143,898 | |||||||||||||||||||||||||||||||||||||||
Weighted average borrowing rate | 2.08 | % | 2.90 | % | 2.70 | % | 3.51 | % | 2.14 | % | Weighted average borrowing rate | 0.28 | % | 2.33 | % | 0.89 | % | — | % | 0.28 | % |
December 31, 2018 | |||||||||||||||||||
Collateral Type | |||||||||||||||||||
(in thousands) | Agency RMBS | Non-Agency Securities | Agency Derivatives | Mortgage Servicing Rights | Total Amount Outstanding | ||||||||||||||
Within 30 days | $ | 6,712,021 | $ | 770,287 | $ | 6,561 | $ | — | $ | 7,488,869 | |||||||||
30 to 59 days | 4,557,688 | 496,466 | 23,444 | — | 5,077,598 | ||||||||||||||
60 to 89 days | 5,410,967 | 242,473 | 1,621 | — | 5,655,061 | ||||||||||||||
90 to 119 days | 1,209,395 | 722,399 | 7,065 | — | 1,938,859 | ||||||||||||||
120 to 364 days | 2,201,325 | 463,939 | 7,825 | — | 2,673,089 | ||||||||||||||
One year and over | — | — | — | 300,000 | 300,000 | ||||||||||||||
Total | $ | 20,091,396 | $ | 2,695,564 | $ | 46,516 | $ | 300,000 | $ | 23,133,476 | |||||||||
Weighted average borrowing rate | 2.52 | % | 3.65 | % | 3.34 | % | 4.51 | % | 2.68 | % |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
Available-for-sale securities, at fair value | $ | 29,575,948 | $ | 24,240,507 | |||
Mortgage servicing rights, at fair value | 530,222 | 685,683 | |||||
Restricted cash | 919,010 | 416,696 | |||||
Due from counterparties | 102,365 | 110,695 | |||||
Derivative assets, at fair value | 68,874 | 70,191 | |||||
U.S. Treasuries (1) | — | 6,457 | |||||
Total | $ | 31,196,419 | $ | 25,530,229 |
(in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Available-for-sale securities, at fair value | $ | 7,009,449 | $ | 14,633,217 | |||||||
Mortgage servicing rights, at fair value (1) | 725,985 | — | |||||||||
Restricted cash | 747,779 | 1,071,239 | |||||||||
Due from counterparties | 30,764 | 21,312 | |||||||||
Derivative assets, at fair value | 39,609 | 61,557 | |||||||||
Total | $ | 8,553,586 | $ | 15,787,325 |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | Amount Outstanding | Net Counterparty Exposure (1) | Percent of Equity | Weighted Average Days to Maturity | Amount Outstanding | Net Counterparty Exposure (1) | Percent of Equity | Weighted Average Days to Maturity | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | Amount Outstanding | Net Counterparty Exposure (1) | Percent of Equity | Weighted Average Days to Maturity | Amount Outstanding | Net Counterparty Exposure (1) | Percent of Equity | Weighted Average Days to Maturity | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Royal Bank of Canada | $ | 3,957,732 | $ | 310,116 | 6 | % | 55 | $ | 2,504,438 | $ | 342,739 | 8 | % | 94 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Barclays Capital Inc. | 2,437,598 | 216,279 | 4 | % | 99 | 2,508,277 | 280,148 | 7 | % | 50 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Credit Suisse | Credit Suisse | $ | 125,000 | $ | 353,975 | 13 | % | 181 | $ | — | $ | — | — | % | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
All other counterparties (2) | 22,752,133 | 1,256,063 | 25 | % | 77 | 18,120,761 | 1,399,187 | 33 | % | 64 | All other counterparties (2) | 7,531,445 | 314,258 | 11 | % | 65 | 15,143,898 | 527,045 | 17 | % | 58 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 29,147,463 | $ | 1,782,458 | $ | 23,133,476 | $ | 2,022,074 | Total | $ | 7,656,445 | $ | 668,233 | $ | 15,143,898 | $ | 527,045 |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
≤ 1 year | $ | 160,000 | $ | 815,024 | |||
> 1 and ≤ 3 years | — | — | |||||
> 3 and ≤ 5 years | — | — | |||||
> 5 and ≤ 10 years | — | — | |||||
> 10 years | 50,000 | 50,000 | |||||
Total | $ | 210,000 | $ | 865,024 |
(in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Within 30 days | $ | — | $ | — | |||||||
30 to 59 days | — | — | |||||||||
60 to 89 days | — | — | |||||||||
90 to 119 days | — | — | |||||||||
120 to 364 days | 274,511 | 60,000 | |||||||||
One year and over | 146,250 | 223,830 | |||||||||
Total | $ | 420,761 | $ | 283,830 |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
Within 30 days | $ | — | $ | — | |||
30 to 59 days | — | — | |||||
60 to 89 days | — | — | |||||
90 to 119 days | — | — | |||||
120 to 364 days | — | 20,000 | |||||
One year and over | 300,000 | 290,000 | |||||
Total | $ | 300,000 | $ | 310,000 |
As of December 31, 2019 | |||||||||||||||||||
(in thousands) | |||||||||||||||||||
Class of Stock | Issuance Date | Shares Issued and Outstanding | Carrying Value | Contractual Rate | Redemption Date (1) | Fixed to Floating Rate Conversion Date (2) | Floating Annual Rate (3) | ||||||||||||
Fixed-to-Floating Rate | |||||||||||||||||||
Series A | March 14, 2017 | 5,750 | $ | 138,872 | 8.125 | % | April 27, 2027 | April 27, 2027 | 3M LIBOR + 5.660% | ||||||||||
Series B | July 19, 2017 | 11,500 | 278,094 | 7.625 | % | July 27, 2027 | July 27, 2027 | 3M LIBOR + 5.352% | |||||||||||
Series C | November 27, 2017 | 11,800 | 285,585 | 7.250 | % | January 27, 2025 | January 27, 2025 | 3M LIBOR + 5.011% | |||||||||||
Fixed Rate | |||||||||||||||||||
Series D | July 31, 2018 | 3,000 | 74,964 | 7.750 | % | July 31, 2018 | N/A | N/A | |||||||||||
Series E | July 31, 2018 | 8,000 | 199,986 | 7.500 | % | July 31, 2018 | N/A | N/A | |||||||||||
Total | 40,050 | $ | 977,501 |
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Class of Stock | Issuance Date | Shares Issued and Outstanding | Carrying Value | Contractual Rate | Redemption Eligible Date (1) | Fixed to Floating Rate Conversion Date (2) | Floating Annual Rate (3) | |||||||||||||||||||||||||||||||||||||
Series A | March 14, 2017 | 5,750,000 | $ | 138,872 | 8.125 | % | April 27, 2027 | April 27, 2027 | 3M LIBOR + 5.660% | |||||||||||||||||||||||||||||||||||
Series B | July 19, 2017 | 11,500,000 | 278,094 | 7.625 | % | July 27, 2027 | July 27, 2027 | 3M LIBOR + 5.352% | ||||||||||||||||||||||||||||||||||||
Series C | November 27, 2017 | 11,800,000 | 285,584 | 7.250 | % | January 27, 2025 | January 27, 2025 | 3M LIBOR + 5.011% | ||||||||||||||||||||||||||||||||||||
Total | 29,050,000 | $ | 702,550 |
(1)Subject to the Company’s right under limited circumstances to redeem the preferred stock earlier than the redemption eligible date disclosed in order to preserve its qualification as a REIT or following a change in control of the Company. (2)The dividend rate on the fixed-to-floating rate |
Declaration Date | Record Date | Payment Date | Cash Dividend Per Preferred Share | |||||
Series A Preferred Stock: | ||||||||
December 17, 2019 | January 10, 2020 | January 27, 2020 | $ | 0.507810 | ||||
September 19, 2019 | October 11, 2019 | October 28, 2019 | $ | 0.507810 | ||||
June 19, 2019 | July 12, 2019 | July 29, 2019 | $ | 0.507810 | ||||
March 19, 2019 | April 12, 2019 | April 29, 2019 | $ | 0.507810 | ||||
December 18, 2018 | January 11, 2019 | January 28, 2019 | $ | 0.507810 | ||||
September 20, 2018 | October 12, 2018 | October 29, 2018 | $ | 0.507810 | ||||
June 19, 2018 | July 12, 2018 | July 27, 2018 | $ | 0.507810 | ||||
March 20, 2018 | April 12, 2018 | April 27, 2018 | $ | 0.507810 | ||||
December 14, 2017 | January 12, 2018 | January 29, 2018 | $ | 0.507810 | ||||
September 14, 2017 | October 12, 2017 | October 27, 2017 | $ | 0.507810 | ||||
June 15, 2017 | July 12, 2017 | July 27, 2017 | $ | 0.750430 | ||||
Series B Preferred Stock: | ||||||||
December 17, 2019 | January 10, 2020 | January 27, 2020 | $ | 0.476560 | ||||
September 19, 2019 | October 11, 2019 | October 28, 2019 | $ | 0.476560 | ||||
June 19, 2019 | July 12, 2019 | July 29, 2019 | $ | 0.476560 | ||||
March 19, 2019 | April 12, 2019 | April 29, 2019 | $ | 0.476560 | ||||
December 18, 2018 | January 11, 2019 | January 28, 2019 | $ | 0.476560 | ||||
September 20, 2018 | October 12, 2018 | October 29, 2018 | $ | 0.476560 | ||||
June 19, 2018 | July 12, 2018 | July 27, 2018 | $ | 0.476560 | ||||
March 20, 2018 | April 12, 2018 | April 27, 2018 | $ | 0.476560 | ||||
December 14, 2017 | January 12, 2018 | January 29, 2018 | $ | 0.476560 | ||||
September 14, 2017 | October 12, 2017 | October 27, 2017 | $ | 0.518920 | ||||
Series C Preferred Stock: | ||||||||
December 17, 2019 | January 10, 2020 | January 27, 2020 | $ | 0.453130 | ||||
September 19, 2019 | October 11, 2019 | October 28, 2019 | $ | 0.453130 | ||||
June 19, 2019 | July 12, 2019 | July 29, 2019 | $ | 0.453130 | ||||
March 19, 2019 | April 12, 2019 | April 29, 2019 | $ | 0.453130 | ||||
December 18, 2018 | January 11, 2019 | January 28, 2019 | $ | 0.453130 | ||||
September 20, 2018 | October 12, 2018 | October 29, 2018 | $ | 0.453130 | ||||
June 19, 2018 | July 12, 2018 | July 27, 2018 | $ | 0.453130 | ||||
March 20, 2018 | April 12, 2018 | April 27, 2018 | $ | 0.453130 | ||||
December 14, 2017 | January 12, 2018 | January 29, 2018 | $ | 0.302080 |
Declaration Date | Record Date | Payment Date | Cash Dividend Per Preferred Share | |||||
Series D Preferred Stock: | ||||||||
December 17, 2019 | January 1, 2020 | January 15, 2020 | $ | 0.484375 | ||||
September 19, 2019 | October 1, 2019 | October 15, 2019 | $ | 0.484375 | ||||
June 19, 2019 | July 1, 2019 | July 15, 2019 | $ | 0.484375 | ||||
March 19, 2019 | April 1, 2019 | April 15, 2019 | $ | 0.484375 | ||||
December 18, 2018 | January 1, 2019 | January 28, 2019 | $ | 0.484375 | ||||
September 20, 2018 | October 1, 2018 | October 15, 2018 | $ | 0.484375 | ||||
Series E Preferred Stock: | ||||||||
December 17, 2019 | January 1, 2020 | January 15, 2020 | $ | 0.468750 | ||||
September 19, 2019 | October 1, 2019 | October 15, 2019 | $ | 0.468750 | ||||
June 19, 2019 | July 1, 2019 | July 15, 2019 | $ | 0.468750 | ||||
March 19, 2019 | April 1, 2019 | April 15, 2019 | $ | 0.468750 | ||||
December 18, 2018 | January 1, 2019 | January 28, 2019 | $ | 0.468750 | ||||
September 20, 2018 | October 1, 2018 | October 15, 2018 | $ | 0.468750 |
Number of common shares | |||||
Common shares outstanding, December 31, 2018 | 248,085,721 | ||||
Issuance of common stock | 24,439,436 | ||||
Repurchase of common stock | |||||
Non-cash equity award compensation (1) | 412,074 | ||||
Common shares outstanding, December 31, 2019 | 272,935,731 |
812,226 | |||||
273,703,882 | |||||
Issuance of common stock | 70,065,019 | ||||
Repurchase of common stock | — | ||||
Non-cash equity award compensation (1) | 142,423 | ||||
Common shares outstanding, December 31, 2021 | 343,911,324 |
Declaration Date | Record Date | Payment Date | Cash Dividend Per Common Share | |||||
December 17, 2019 | December 31, 2019 | January 24, 2020 | $ | 0.400000 | ||||
September 19, 2019 | September 30, 2019 | October 28, 2019 | $ | 0.400000 | ||||
June 19, 2019 | July 1, 2019 | July 29, 2019 | $ | 0.400000 | ||||
March 19, 2019 | March 29, 2019 | April 29, 2019 | $ | 0.470000 | ||||
December 18, 2018 | December 31, 2018 | January 28, 2019 | $ | 0.470000 | ||||
September 20, 2018 | October 1, 2018 | October 29, 2018 | $ | 0.311630 | ||||
July 13, 2018 | July 25, 2018 | July 30, 2018 | $ | 0.158370 | ||||
June 19, 2018 | June 29, 2018 | July 27, 2018 | $ | 0.470000 | ||||
March 20, 2018 | April 2, 2018 | April 27, 2018 | $ | 0.470000 | ||||
December 14, 2017 | December 26, 2017 | December 29, 2017 | $ | 0.470000 | ||||
September 14, 2017 | September 29, 2017 | October 27, 2017 | $ | 0.520000 | ||||
June 15, 2017 | June 30, 2017 | July 27, 2017 | $ | 0.520000 | ||||
March 14, 2017 | March 31, 2017 | April 27, 2017 | $ | 0.500000 |
Year Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | 2021 | 2020 | 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class of Stock | Amount | Per Share | Amount | Per Share | Amount | Per Share | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Series A Preferred Stock | $ | 11,680 | $ | 2.04 | $ | 11,680 | $ | 2.04 | $ | 11,680 | $ | 2.04 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Series B Preferred Stock | $ | 21,921 | $ | 1.92 | $ | 21,922 | $ | 1.92 | $ | 21,921 | $ | 1.92 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Series C Preferred Stock | $ | 21,388 | $ | 1.80 | $ | 21,388 | $ | 1.80 | $ | 21,388 | $ | 1.80 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Series D Preferred Stock (1) | $ | 969 | $ | 0.32 | $ | 5,812 | $ | 1.92 | $ | 5,812 | $ | 1.92 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Series E Preferred Stock (1) | $ | 2,500 | $ | 0.31 | $ | 15,000 | $ | 1.88 | $ | 15,000 | $ | 1.88 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Common Stock | $ | 205,623 | $ | 0.68 | $ | 136,842 | $ | 0.50 | $ | 455,721 | $ | 1.67 |
(in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Available-for-sale securities: | |||||||||||
Unrealized gains | $ | 208,619 | $ | 661,734 | |||||||
Unrealized losses | (22,273) | (20,133) | |||||||||
Accumulated other comprehensive income | $ | 186,346 | $ | 641,601 |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
Available-for-sale securities | |||||||
Unrealized gains | $ | 730,043 | $ | 498,744 | |||
Unrealized losses | (40,643 | ) | (387,927 | ) | |||
Accumulated other comprehensive income | $ | 689,400 | $ | 110,817 |
Affected Line Item in the Statements of Comprehensive Income (Loss) | Amount Reclassified out of Accumulated Other Comprehensive Income | |||||||||||||||||||||||||||||||||||||
Year Ended | ||||||||||||||||||||||||||||||||||||||
(in thousands) | December 31, | |||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||||||||||||||||||
Other-than-temporary impairments on AFS securities | Total other-than-temporary impairment losses | $ | — | $ | — | $ | 14,312 | |||||||||||||||||||||||||||||||
Realized gains on sales of certain AFS securities, net of tax | Gain (loss) on investment securities | (135,561) | (530,462) | (232,075) | ||||||||||||||||||||||||||||||||||
Total | $ | (135,561) | $ | (530,462) | $ | (217,763) |
Affected Line Item in the Statements of Comprehensive Income (Loss) | Amount Reclassified out of Accumulated Other Comprehensive Income | |||||||||||||
Year Ended | ||||||||||||||
(in thousands) | December 31, | |||||||||||||
2019 | 2018 | 2017 | ||||||||||||
Other-than-temporary impairments on AFS securities | Total other-than-temporary impairment losses | $ | 14,312 | $ | 470 | $ | 789 | |||||||
Realized (gains) losses on sales of certain AFS securities, net of tax | Gain (loss) on investment securities | (232,075 | ) | 253,869 | 5,207 | |||||||||
Total | $ | (217,763 | ) | $ | 254,339 | $ | 5,996 |
Year Ended December 31, | |||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||
Units | Weighted Average Grant Date Fair Market Value | Units | Weighted Average Grant Date Fair Market Value | ||||||||||||||||||||
Outstanding at Beginning of Period | — | $ | — | — | $ | — | |||||||||||||||||
Granted | 1,336,717 | 7.10 | — | — | |||||||||||||||||||
Vested | (157,342) | (7.15) | — | — | |||||||||||||||||||
Forfeited | (5,673) | (7.05) | — | — | |||||||||||||||||||
Outstanding at End of Period | 1,173,702 | $ | 7.10 | — | $ | — |
Year Ended December 31, | |||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||
Target Units | Weighted Average Grant Date Fair Market Value | Target Units | Weighted Average Grant Date Fair Market Value | ||||||||||||||||||||
Outstanding at Beginning of Period | — | $ | — | — | $ | — | |||||||||||||||||
Granted | 511,473 | 8.67 | — | — | |||||||||||||||||||
Vested | — | — | — | — | |||||||||||||||||||
Forfeited | (74,049) | (8.67) | — | — | |||||||||||||||||||
Outstanding at End of Period | 437,424 | $ | 8.67 | — | $ | — |
Year Ended December 31, | |||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||
Shares | Weighted Average Grant Date Fair Market Value | Shares | Weighted Average Grant Date Fair Market Value | ||||||||||||||||||||
Outstanding at Beginning of Period | 1,221,995 | $ | 13.61 | 1,062,901 | $ | 15.05 | |||||||||||||||||
Granted | 20,979 | 7.15 | 855,712 | 13.16 | |||||||||||||||||||
Vested | (754,119) | (12.94) | (653,132) | (15.30) | |||||||||||||||||||
Forfeited | (35,898) | (5.72) | (43,486) | (14.58) | |||||||||||||||||||
Outstanding at End of Period | 452,957 | $ | 15.04 | 1,221,995 | $ | 13.61 |
Year Ended December 31, | |||||||||||||
2019 | 2018 | ||||||||||||
Shares | Weighted Average Grant Date Fair Market Value | Shares | Weighted Average Grant Date Fair Market Value | ||||||||||
Outstanding at Beginning of Period | 1,593,701 | $ | 15.81 | 1,284,010 | $ | 17.15 | |||||||
Granted | 515,282 | 14.28 | 996,924 | 14.96 | |||||||||
Vested | (942,874 | ) | (14.63 | ) | (673,118 | ) | (17.12 | ) | |||||
Forfeited | (103,208 | ) | (15.52 | ) | (14,115 | ) | (15.59 | ) | |||||
Outstanding at End of Period | 1,062,901 | $ | 16.14 | 1,593,701 | $ | 15.81 |
Year Ended | |||||||||||||||||
December 31, | |||||||||||||||||
(in thousands) | 2021 | 2020 | 2019 | ||||||||||||||
Current tax (benefit) provision: | |||||||||||||||||
Federal | $ | — | $ | 3,275 | $ | 8,684 | |||||||||||
State | (1,768) | 1,304 | 2,668 | ||||||||||||||
Total current tax (benefit) provision | (1,768) | 4,579 | 11,352 | ||||||||||||||
Deferred tax provision (benefit) | |||||||||||||||||
Federal | 14,851 | (40,267) | (24,912) | ||||||||||||||
State | (8,891) | — | — | ||||||||||||||
Total deferred tax provision (benefit) | 5,960 | (40,267) | (24,912) | ||||||||||||||
Total provision for (benefit from) income taxes | $ | 4,192 | $ | (35,688) | $ | (13,560) |
Year Ended | |||||||||||
December 31, | |||||||||||
(in thousands) | 2019 | 2018 | 2017 | ||||||||
Current tax provision: | |||||||||||
Federal | $ | 8,684 | $ | 52 | $ | 492 | |||||
State | 2,668 | 1 | 57 | ||||||||
Total current tax provision | 11,352 | 53 | 549 | ||||||||
Deferred tax (benefit) provision | (24,912 | ) | 41,770 | (11,031 | ) | ||||||
Total (benefit from) provision for income taxes | $ | (13,560 | ) | $ | 41,823 | $ | (10,482 | ) |
Year Ended | ||||||||||||||||||||
December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | ||||||||||||||||||
(dollars in thousands) | Amount | Percent | Amount | Percent | Amount | Percent | ||||||||||||||
Computed income tax expense at federal rate | $ | 65,184 | 21 | % | $ | (518 | ) | 21 | % | $ | 104,215 | 35 | % | |||||||
State taxes, net of federal benefit, if applicable | 2,108 | 1 | % | 1 | — | % | 37 | — | % | |||||||||||
Permanent differences in taxable income from GAAP net income | 702 | — | % | 28,414 | (1,152 | )% | 1,208 | — | % | |||||||||||
Dividends paid deduction | (81,554 | ) | (26 | )% | 13,926 | (565 | )% | (115,942 | ) | (39 | )% | |||||||||
(Benefit from) provision for income taxes/ Effective Tax Rate(1) | $ | (13,560 | ) | (4 | )% | $ | 41,823 | (1,696 | )% | $ | (10,482 | ) | (4 | )% |
Year Ended | |||||||||||||||||||||||||||||||||||
December 31, | |||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||||||||||||
(dollars in thousands) | Amount | Percent | Amount | Percent | Amount | Percent | |||||||||||||||||||||||||||||
Provision for (benefit from) income taxes at statutory federal tax rate | $ | 40,198 | 21 | % | $ | (349,823) | 21 | % | $ | 65,184 | 21 | % | |||||||||||||||||||||||
State taxes, net of federal benefit, if applicable | (8,420) | (4) | % | 1,030 | — | % | 2,108 | 1 | % | ||||||||||||||||||||||||||
Permanent differences in taxable income from net income for U.S. GAAP purposes | 15 | — | % | (3,525) | — | % | 702 | — | % | ||||||||||||||||||||||||||
REIT income not subject to corporate income tax | (27,601) | (14) | % | 316,630 | (19) | % | (81,554) | (26) | % | ||||||||||||||||||||||||||
Provision for (benefit from) income taxes/ Effective Tax Rate(1) | $ | 4,192 | 3 | % | $ | (35,688) | 2 | % | $ | (13,560) | (4) | % |
(in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Income taxes receivable: | |||||||||||
Federal income taxes receivable | $ | — | $ | 22,504 | |||||||
State and local income taxes receivable | 951 | — | |||||||||
Income taxes receivable, net | 951 | 22,504 | |||||||||
Deferred tax assets (liabilities): | |||||||||||
Deferred tax asset | 58,264 | 64,024 | |||||||||
Deferred tax liability | (200) | — | |||||||||
Total net deferred tax assets (liabilities) | 58,064 | 64,024 | |||||||||
Total tax assets (liabilities), net | $ | 59,015 | $ | 86,528 |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
Income taxes receivable | |||||||
Federal income taxes receivable | $ | 17,539 | $ | 690 | |||
State and local income taxes receivable | — | — | |||||
Income taxes receivable, net | 17,539 | 690 | |||||
Deferred tax assets (liabilities) | |||||||
Deferred tax asset | 23,756 | 17,196 | |||||
Deferred tax liability | (19 | ) | (18,333 | ) | |||
Total net deferred tax assets (liabilities) | 23,737 | (1,137 | ) | ||||
Total tax assets (liabilities), net | $ | 41,276 | $ | (447 | ) |
(in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Mortgage servicing rights | $ | 26,382 | $ | 62,881 | |||||||
Net operating loss carryforward | 30,569 | — | |||||||||
Other | 1,113 | 1,143 | |||||||||
Total deferred tax assets (liabilities) | 58,064 | 64,024 | |||||||||
Valuation allowance | — | — | |||||||||
Total net deferred tax assets (liabilities) | $ | 58,064 | $ | 64,024 |
(in thousands) | December 31, 2019 | December 31, 2018 | |||||
Available-for-sale securities | $ | (19 | ) | $ | 19 | ||
Mortgage servicing rights | 23,110 | (18,333 | ) | ||||
Derivative assets and liabilities | 67 | 33 | |||||
Other assets | 12 | 9 | |||||
Other liabilities | 463 | 652 | |||||
Intangibles | 90 | 101 | |||||
Net operating loss carryforward | 7 | 16,354 | |||||
Capital loss carryforward | 7 | 28 | |||||
Total deferred tax assets (liabilities) | 23,737 | (1,137 | ) | ||||
Valuation allowance | — | — | |||||
Total net deferred tax assets (liabilities) | $ | 23,737 | $ | (1,137 | ) |
Year Ended | |||||||||||
December 31, | |||||||||||
(in thousands, except share data) | 2019 | 2018 | 2017 | ||||||||
Numerator: | |||||||||||
Net income (loss) from continuing operations | $ | 323,962 | $ | (44,290 | ) | $ | 308,239 | ||||
Income from discontinued operations, net of tax | — | — | 44,146 | ||||||||
Net income (loss) | $ | 323,962 | $ | (44,290 | ) | 352,385 | |||||
Income from discontinued operations attributable to noncontrolling interest | — | — | 3,814 | ||||||||
Net income (loss) attributable to Two Harbors Investment Corp. | 323,962 | (44,290 | ) | 348,571 | |||||||
Dividends on preferred stock | 75,801 | 65,395 | 25,122 | ||||||||
Net income (loss) attributable to common stockholders - basic | 248,161 | (109,685 | ) | 323,449 | |||||||
Interest expense attributable to convertible notes (1) | — | — | 17,867 | ||||||||
Net income (loss) attributable to common stockholders - diluted | $ | 248,161 | $ | (109,685 | ) | $ | 341,316 | ||||
Denominator: | |||||||||||
Weighted average common shares outstanding | 266,594,154 | 204,409,853 | 173,063,178 | ||||||||
Weighted average restricted stock shares | 1,232,585 | 1,610,649 | 1,370,821 | ||||||||
Basic weighted average shares outstanding | 267,826,739 | 206,020,502 | 174,433,999 | ||||||||
Effect of dilutive shares issued in an assumed conversion | — | — | 13,699,342 | ||||||||
Diluted weighted average shares outstanding | 267,826,739 | 206,020,502 | 188,133,341 | ||||||||
Basic Earnings (Loss) Per Share: | |||||||||||
Continuing operations | $ | 0.93 | $ | (0.53 | ) | $ | 1.62 | ||||
Discontinued operations | — | — | 0.23 | ||||||||
Net income (loss) | $ | 0.93 | $ | (0.53 | ) | $ | 1.85 | ||||
Diluted Earnings (Loss) Per Share: | |||||||||||
Continuing operations | $ | 0.93 | $ | (0.53 | ) | $ | 1.60 | ||||
Discontinued operations | — | — | 0.21 | ||||||||
Net income (loss) | $ | 0.93 | $ | (0.53 | ) | $ | 1.81 |
Year Ended | ||||||||||||||||||||||||||||||||
December 31, | ||||||||||||||||||||||||||||||||
(in thousands, except share data) | 2021 | 2020 | 2019 | |||||||||||||||||||||||||||||
Basic Earnings (Loss) Per Share: | ||||||||||||||||||||||||||||||||
Net (loss) income | $ | 187,227 | $ | (1,630,135) | $ | 323,962 | ||||||||||||||||||||||||||
Dividends on preferred stock | 58,458 | 75,802 | 75,801 | |||||||||||||||||||||||||||||
Dividends and undistributed earnings allocated to participating restricted stock units | 731 | — | — | |||||||||||||||||||||||||||||
Net (loss) income attributable to common stockholders, basic | $ | 128,038 | $ | (1,705,937) | $ | 248,161 | ||||||||||||||||||||||||||
Basic weighted average common shares | 297,772,001 | 273,600,947 | 267,826,739 | |||||||||||||||||||||||||||||
Basic (loss) earnings per weighted average common share | $ | 0.43 | $ | (6.24) | $ | 0.93 | ||||||||||||||||||||||||||
Diluted Earnings (Loss) Per Share: | ||||||||||||||||||||||||||||||||
Net (loss) income attributable to common stockholders, basic | $ | 128,038 | $ | (1,705,937) | $ | 248,161 | ||||||||||||||||||||||||||
Reallocation impact of undistributed earnings to participating restricted stock units | — | — | — | |||||||||||||||||||||||||||||
Interest expense attributable to convertible notes (1) | — | — | — | |||||||||||||||||||||||||||||
Net income (loss) attributable to common stockholders, diluted | $ | 128,038 | $ | (1,705,937) | $ | 248,161 | ||||||||||||||||||||||||||
Basic weighted average common shares | 297,772,001 | 273,600,947 | 267,826,739 | |||||||||||||||||||||||||||||
Effect of dilutive shares issued in an assumed vesting of performance share units | 271,537 | — | — | |||||||||||||||||||||||||||||
Effect of dilutive shares issued in an assumed conversion | — | — | — | |||||||||||||||||||||||||||||
Diluted weighted average common shares | 298,043,538 | 273,600,947 | 267,826,739 | |||||||||||||||||||||||||||||
Diluted (loss) earnings per weighted average common share | $ | 0.43 | $ | (6.24) | $ | 0.93 | ||||||||||||||||||||||||||
2019 Quarter Ended | |||||||||||||||
(in thousands, except share data) | March 31 | June 30 | September 30 | December 31 | |||||||||||
Total interest income | $ | 245,483 | $ | 261,029 | $ | 249,740 | $ | 238,438 | |||||||
Total interest expense | 163,525 | 192,443 | 191,077 | 167,284 | |||||||||||
Net interest income | 81,958 | 68,586 | 58,663 | 71,154 | |||||||||||
Other-than-temporary impairment losses | (206 | ) | (4,848 | ) | (5,950 | ) | (3,308 | ) | |||||||
Total other (loss) income | (70,176 | ) | (107,494 | ) | 297,310 | 116,477 | |||||||||
Total expenses | 47,550 | 44,394 | 47,879 | 51,941 | |||||||||||
(Benefit from) provision for income taxes | (10,039 | ) | 2,407 | (3,556 | ) | (2,372 | ) | ||||||||
Dividends on preferred stock | 18,950 | 18,950 | 18,951 | 18,950 | |||||||||||
Net (loss) income attributable to common stockholders | $ | (44,885 | ) | $ | (109,507 | ) | $ | 286,749 | $ | 115,804 | |||||
Basic (loss) earnings per weighted average common share | $ | (0.18 | ) | $ | (0.40 | ) | $ | 1.05 | $ | 0.42 | |||||
Diluted (loss) earnings per weighted average common share | $ | (0.18 | ) | $ | (0.40 | ) | $ | 1.00 | $ | 0.41 |
2018 Quarter Ended | |||||||||||||||
(in thousands, except share data) | March 31 | June 30 | September 30 | December 31 | |||||||||||
Total interest income | $ | 194,019 | $ | 187,360 | $ | 236,698 | $ | 251,955 | |||||||
Total interest expense | 96,560 | 108,414 | 152,396 | 162,301 | |||||||||||
Net interest income | 97,459 | 78,946 | 84,302 | 89,654 | |||||||||||
Other-than-temporary impairment losses | (94 | ) | (174 | ) | (95 | ) | (107 | ) | |||||||
Total other income (loss) | 281,982 | 93,174 | 112,514 | (590,696 | ) | ||||||||||
Total expenses | 40,754 | 38,507 | 123,366 | 46,705 | |||||||||||
Provision for (benefit from) income taxes | 3,784 | (6,051 | ) | 37,409 | 6,681 | ||||||||||
Dividends on preferred stock | 13,747 | 13,747 | 18,951 | 18,950 | |||||||||||
Net income (loss) attributable to common stockholders | $ | 321,062 | $ | 125,743 | $ | 16,995 | $ | (573,485 | ) | ||||||
Basic earnings (loss) per weighted average common share | $ | 1.83 | $ | 0.72 | $ | 0.08 | $ | (2.31 | ) | ||||||
Diluted earnings (loss) per weighted average common share | $ | 1.69 | $ | 0.68 | $ | 0.08 | $ | (2.31 | ) |
Year Ended | Year Ended | |||||||||||||||||
December 31, | December 31, | |||||||||||||||||
2019 | 2018 | 2021 | 2020 | |||||||||||||||
Audit fees (1) | $ | 1,443,738 | $ | 1,301,476 | Audit fees (1) | $ | 1,163,730 | $ | 1,704,445 | |||||||||
Audit-related fees (2) | 46,100 | 56,144 | Audit-related fees (2) | 46,100 | 46,056 | |||||||||||||
Tax fees (3) | 224,726 | 536,267 | Tax fees (3) | 278,261 | 303,196 | |||||||||||||
Total principal accountant fees | $ | 1,714,564 | $ | 1,893,887 | Total principal accountant fees | $ | 1,488,091 | $ | 2,053,697 |
(1)Audit fees pertain to the audit of our annual Consolidated Financial Statements, including review of the interim financial statements contained in our Quarterly Reports on Form 10-Q, comfort letters to underwriters in connection with our registration statements and common stock offerings, attest services, consents to the incorporation of the EY audit report in publicly filed documents and assistance with and review of documents filed with the SEC. (2)Audit-related fees pertain to assurance and related services that are traditionally performed by the principal accountant, including accounting consultations and audits in connection with proposed or consummated acquisitions, internal control reviews and consultation concerning financial accounting and reporting standards. (3)Tax fees pertain to services performed for tax compliance, including REIT compliance, tax planning and tax advice, including preparation of tax returns and claims for refund and tax-payment planning services. Tax planning and advice also includes assistance with tax audits and appeals, and tax advice related to specific transactions. |
Exhibit Number | Exhibit Index | |||||||
1.1 | ||||||||
2.1 | ||||||||
2.2 | ||||||||
2.3 | ||||||||
2.4 | Agreement and Plan of Merger, by and among Two Harbors Investment Corp., Eiger Merger Subsidiary LLC and CYS Investments, Inc., dated as of April 25, 2018 (incorporated by reference to Exhibit 2.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on April 26, 2018). | |||||||
3.1 | ||||||||
3.2 | ||||||||
3.3 | ||||||||
3.4 | ||||||||
3.5 | ||||||||
3.6 | ||||||||
3.10 | ||||||||
4.1 | ||||||||
4.2 |
Exhibit Number | Exhibit Index | |||||||
4.3 | ||||||||
4.4 | ||||||||
10.4* | ||||||||
10.6* | ||||||||
10.7* | ||||||||
10.8 | ||||||||
21.1 | ||||||||
23.1 | ||||||||
24.1 | ||||||||
31.1 | ||||||||
31.2 | ||||||||
32.1 | ||||||||
32.2 | ||||||||
101 | Financial statements from the Annual Report on Form 10-K of Two Harbors Investment Corp. for the year ended December 31, | |||||||
104 | Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101). (filed herewith) | |||||||
* Management or compensatory agreement |
TWO HARBORS INVESTMENT CORP. | |||||||||||
Dated: | February | By: | /s/ | ||||||||
William Greenberg President, Chief Executive Officer, (Principal Executive Officer) |
Signature | Title | Date | ||||||||||||
/s/ William Greenberg | Director, President, Chief Executive Officer, and Chief Investment Officer (Principal Executive Officer) | February 28, 2022 | ||||||||||||
William Greenberg | ||||||||||||||
/s/ Mary Riskey | Chief Financial Officer ( | February | ||||||||||||
Mary Riskey | ||||||||||||||
/s/ Stephen G. Kasnet | Chairman of the Board of Directors | February | ||||||||||||
Stephen G. Kasnet | ||||||||||||||
/s/ E. Spencer Abraham | Director | February | ||||||||||||
E. Spencer Abraham | ||||||||||||||
/s/ James J. Bender | Director | February | ||||||||||||
James J. Bender | ||||||||||||||
/s/ Karen Hammond | Director | February | ||||||||||||
Karen Hammond | ||||||||||||||
/s/ W. Reid Sanders | Director | February | ||||||||||||
W. Reid Sanders | ||||||||||||||
/s/ James A. Stern | Director | February | ||||||||||||
James A. Stern | ||||||||||||||
/s/ Hope B. Woodhouse | Director | February | ||||||||||||
Hope B. Woodhouse |