Cover Page
Cover Page - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Feb. 24, 2022 | Jun. 30, 2021 | |
Entity Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2021 | ||
Document Transition Report | false | ||
Entity File Number | 001-34506 | ||
Entity Registrant Name | TWO HARBORS INVESTMENT CORP. | ||
Entity Central Index Key | 0001465740 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Fiscal Year Focus | 2021 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Entity Incorporation, State or Country Code | MD | ||
Entity Tax Identification Number | 27-0312904 | ||
Entity Address, Address Line One | 1601 Utica Avenue South, Suite 900 | ||
Entity Address, City or Town | St. Louis Park, | ||
Entity Address, State or Province | MN | ||
Entity Address, Postal Zip Code | 55416 | ||
City Area Code | 612 | ||
Local Phone Number | 453-4100 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 2,100,000 | ||
Entity Common Stock, Shares Outstanding | 343,920,330 | ||
Documents Incorporated by Reference | Portions of the registrant’s definitive Proxy Statement for the 2022 Annual Meeting of Stockholders, which will be filed with the Securities and Exchange Commission under Regulation 14A within 120 days after the end of registrant’s fiscal year covered by this Annual Report, are incorporated by reference into Part III. | ||
Common Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | Common Stock, par value $0.01 per share | ||
Trading Symbol | TWO | ||
Security Exchange Name | NYSE | ||
Series A Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 8.125% Series A Cumulative Redeemable Preferred Stock | ||
Trading Symbol | TWO PRA | ||
Security Exchange Name | NYSE | ||
Series B Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.625% Series B Cumulative Redeemable Preferred Stock | ||
Trading Symbol | TWO PRB | ||
Security Exchange Name | NYSE | ||
Series C Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.25% Series C Cumulative Redeemable Preferred Stock | ||
Trading Symbol | TWO PRC | ||
Security Exchange Name | NYSE |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2021 | |
Audit Information [Abstract] | |
Auditor Name | Ernst & Young LLP |
Auditor Location | Minneapolis, Minnesota |
Auditor Firm ID | 42 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 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 | 12,114,305 | 19,515,921 |
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) | 0 | 0 |
Other liabilities | 130,464 | 83,433 |
Total Liabilities | 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 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Available-for-sale securities, amortized cost | $ 7,005,013 | $ 14,043,175 |
Available-for-sale securities, allowance for credit losses | $ (14,238) | $ (22,528) |
Preferred stock par value per share (in usd per share) | $ 0.01 | $ 0.01 |
Preferred shares authorized (in shares) | 100,000,000 | 50,000,000 |
Preferred shares issued (in shares) | 40,050,000 | 40,050,000 |
Preferred shares outstanding (in shares) | 29,050,000 | 40,050,000 |
Preferred stock liquidation preference | $ 726,250 | $ 1,001,250 |
Common stock par value per share (in usd per share) | $ 0.01 | $ 0.01 |
Common shares authorized (in shares) | 700,000,000 | 450,000,000 |
Common shares issued (in shares) | 343,911,324 | 273,703,882 |
Common shares outstanding (in shares) | 343,911,324 | 273,703,882 |
Assets of consolidated variable interest entities | $ 12,114,305 | $ 19,515,921 |
Liabilities of consolidated variable interest entities | 9,370,352 | 16,426,995 |
Variable Interest Entity, Primary Beneficiary [Member] | Total Assets | ||
Assets of consolidated variable interest entities | 454,596 | 496,810 |
Variable Interest Entity, Primary Beneficiary [Member] | Total Liabilities | ||
Liabilities of consolidated variable interest entities | $ 440,030 | $ 477,270 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 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 | 0 | 1,747 | 10,920 |
Total interest expense | 89,173 | 281,248 | 714,329 |
Net interest income | 79,424 | 243,802 | 280,361 |
Total other-than-temporary impairment losses | 0 | 0 | (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) gain on servicing asset | (114,941) | (935,697) | (697,659) |
Gain (loss) on interest rate swap and swaption agreements | 42,091 | (310,806) | (108,289) |
(Loss) gain on other derivative instruments | (251,283) | 90,023 | 259,998 |
Other income (loss) | (3,845) | 1,422 | 337 |
Total other income (loss) | 262,045 | (1,711,566) | 236,117 |
Expenses: | |||
Management fees | 0 | 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 | 0 | 5,706 | 0 |
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 (loss) income | 187,227 | (1,630,135) | 323,962 |
Dividends on preferred stock | 58,458 | 75,802 | 75,801 |
Net (loss) income attributable to common stockholders | $ 128,769 | $ (1,705,937) | $ 248,161 |
Basic (loss) earnings per weighted average common share | $ 0.43 | $ (6.24) | $ 0.93 |
Diluted (loss) earnings per weighted average common share | $ 0.43 | $ (6.24) | $ 0.93 |
Weighted average basic common shares (in shares) | 297,772,001 | 273,600,947 | 267,826,739 |
Weighted average diluted common shares (in shares) | 298,043,538 | 273,600,947 | 267,826,739 |
Comprehensive (loss) income: | |||
Net (loss) income | $ 187,227 | $ (1,630,135) | $ 323,962 |
Other comprehensive loss, net of tax: | |||
Unrealized loss on available-for-sale securities | (455,255) | (47,799) | 578,583 |
Other comprehensive loss | (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 |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Cumulative effect of adoption of new accounting principle | Stockholders' equity, adjusted balance | Preferred Stock | Preferred StockStockholders' equity, adjusted balance | Common Stock | Common StockStockholders' equity, adjusted balance | Additional Paid-in Capital | Additional Paid-in CapitalStockholders' equity, adjusted balance | Accumulated Other Comprehensive Income (Loss) | Accumulated Other Comprehensive Income (Loss)Stockholders' equity, adjusted balance | Cumulative Earnings | Cumulative EarningsCumulative effect of adoption of new accounting principle | Cumulative EarningsStockholders' equity, adjusted balance | Cumulative Distributions to Stockholders | Cumulative Distributions to StockholdersStockholders' equity, adjusted balance |
Stockholders' equity at beginning of period at Dec. 31, 2018 | $ 4,254,489 | $ 442 | $ 4,254,047 | $ 977,501 | $ 977,501 | $ 2,481 | $ 2,481 | $ 4,809,616 | $ 4,809,616 | $ 110,817 | $ 110,817 | $ 2,332,371 | $ 442 | $ 2,331,929 | $ (3,978,297) | $ (3,978,297) |
Net income (loss) | 323,962 | 323,962 | ||||||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | 796,346 | 796,346 | ||||||||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | (217,763) | (217,763) | ||||||||||||||
Other comprehensive income (loss), net of tax | 578,583 | 578,583 | ||||||||||||||
Issuance of stock, net of offering costs | 336,253 | 244 | 336,009 | |||||||||||||
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 | 9,162 | 4 | 9,158 | |||||||||||||
Stockholders' equity at end of period at Dec. 31, 2019 | 4,970,466 | 0 | 977,501 | 2,729 | 5,154,764 | 689,400 | 2,655,891 | (4,509,819) | ||||||||
Net income (loss) | (1,630,135) | (1,630,135) | ||||||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | 482,663 | 482,663 | ||||||||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | (530,462) | (530,462) | ||||||||||||||
Other comprehensive income (loss), net of tax | (47,799) | (47,799) | ||||||||||||||
Issuance of stock, net of offering costs | 372 | 0 | 372 | |||||||||||||
Repurchase of common stock | (1,064) | (1) | (1,063) | |||||||||||||
Preferred dividends declared | (75,802) | (75,802) | ||||||||||||||
Common dividends declared | (136,842) | (136,842) | ||||||||||||||
Non-cash equity award compensation | 9,730 | 9 | 9,721 | |||||||||||||
Stockholders' equity at end of period at Dec. 31, 2020 | 3,088,926 | $ 0 | 977,501 | 2,737 | 5,163,794 | 641,601 | 1,025,756 | (4,722,463) | ||||||||
Net income (loss) | 187,227 | 187,227 | ||||||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | (319,694) | (319,694) | ||||||||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | (135,561) | (135,561) | ||||||||||||||
Other comprehensive income (loss), net of tax | (455,255) | (455,255) | ||||||||||||||
Redemption of preferred stock | (274,951) | (274,951) | ||||||||||||||
Issuance of stock, net of offering costs | 450,602 | 700 | 449,902 | |||||||||||||
Repurchase of common stock | 0 | |||||||||||||||
Preferred dividends declared | (58,458) | (58,458) | ||||||||||||||
Common dividends declared | (205,623) | (205,623) | ||||||||||||||
Non-cash equity award compensation | 11,485 | 2 | 11,483 | |||||||||||||
Stockholders' equity at end of period at Dec. 31, 2021 | $ 2,743,953 | $ 702,550 | $ 3,439 | $ 5,625,179 | $ 186,346 | $ 1,212,983 | $ (4,986,544) |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 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 | 0 | 0 | 14,312 |
Provision for credit losses on investment securities | 9,763 | 58,440 | 0 |
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 (gain) loss on interest rate swaps 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) | 0 | 0 |
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 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 | 0 | (1,052,500) | 0 |
Proceeds from sales of trading securities | 0 | 1,053,477 | 0 |
Purchases of mortgage servicing rights, net of purchase price adjustments | (742,153) | (620,394) | (611,765) |
(Payments for) proceeds from sales of mortgage servicing rights, net | 31,787 | (2,012) | (1,898) |
(Purchases) short sales 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 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 investing activities | 6,313,937 | 14,903,718 | (6,077,744) |
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 | 0 | 0 | 393,920 |
Proceeds from convertible senior notes | 279,930 | 0 | 0 |
Repurchase of convertible senior notes | (143,118) | 0 | 0 |
Proceeds from Federal Home Loan Bank advances | 0 | 585,000 | 160,000 |
Principal payments on Federal Home Loan Bank advances | 0 | (795,000) | (815,024) |
Redemption of preferred stock | (274,951) | 0 | 0 |
Proceeds from issuance of common stock, net of offering costs | 450,602 | 372 | 336,253 |
Repurchase of common stock | 0 | (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 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 of adoption of new accounting principle | 2,743,953 | 3,088,926 | 4,970,466 |
Dividends declared but not paid at end of period | $ 72,412 | 65,480 | 128,125 |
Cumulative effect of adoption of new accounting principle | |||
Noncash Activities: | |||
Cumulative effect of adoption of new accounting principle | $ 0 | $ 0 |
Organization and Operations
Organization and Operations | 12 Months Ended |
Dec. 31, 2021 | |
Organization and Operations [Abstract] | |
Organization and Operations | Organization and Operations Two Harbors Investment Corp. is a Maryland corporation that, through its wholly owned subsidiaries (collectively, the Company), invests in and manages Agency residential mortgage-backed securities, or Agency RMBS, mortgage servicing rights, or MSR, and other financial assets. The investment portfolio is managed as a whole and resources are allocated and financial performance is assessed on a consolidated basis. The Company’s common stock is listed on the NYSE under the symbol “TWO”. The Company has elected to be treated as a real estate investment trust, or REIT, as defined under the Internal Revenue Code of 1986, as amended, or the Code, for U.S. federal income tax purposes. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income which will not be qualifying income for REIT purposes. The Company has designated certain of its subsidiaries as taxable REIT subsidiaries, or TRSs, as defined in the Code, to engage in such activities. In the first quarter of 2020, the Company experienced unprecedented market conditions as a result of the global COVID-19 pandemic, including unusually significant spread widening in both Agency RMBS and non-Agency securities. In response, the Company focused its efforts on raising excess liquidity and de-risking its portfolio. On March 25, 2020, the Company sold substantially all of its non-Agency securities in order to eliminate the risks posed by continued margin calls and ongoing funding concerns associated with the significant spread widening on these assets. The Company also sold approximately one-third of its Agency RMBS in order to reduce risk and raise cash to establish a strong defensive liquidity position to weather potential ongoing economic and market instability. Late in the first quarter of 2020, the U.S. Federal Reserve, or the Fed, committed to unlimited purchases of Agency RMBS. The Fed’s actions were successful in helping to stabilize that market; however, the resulting historic spread tightening in the first half of 2021 made investments in Agency RMBS less attractive. As a result, and in anticipation of an accelerated tapering of Fed purchases, the Company reduced its aggregate Agency RMBS/TBA position during the year ended December 31, 2021. In the ordinary course of business, management makes investment decisions and allocates capital in accordance with its views on the changing risk/reward dynamics in the market and in the Company’s portfolio. Going forward, management expects the Company’s capital to be fully allocated to its strategy of pairing Agency RMBS and MSR. Through August 14, 2020, the Company was externally managed and advised by PRCM Advisers LLC, a subsidiary of Pine River Capital Management L.P., under the terms of a Management Agreement between the Company and PRCM Advisers. The Company terminated the Management Agreement effective August 14, 2020 for “cause” in accordance with Section 15(a) thereof. On August 15, 2020, the Company completed its transition to self-management and directly hired the senior management team and other personnel who had historically provided services to the Company. |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2021 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | Basis of Presentation and Significant Accounting Policies Consolidation and Basis of Presentation The accompanying consolidated financial statements include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. All trust entities in which the Company holds investments that are considered variable interest entities, or VIEs, for financial reporting purposes were reviewed for consolidation under the applicable consolidation guidance. Whenever the Company has both the power to direct the activities of a trust that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trust. The accounting and reporting policies of the Company conform to U.S. generally accepted accounting principles, or U.S. GAAP. Certain prior period amounts have been reclassified to conform to the current period presentation. Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates ( e.g. , valuation changes due to supply and demand in the market, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. Significant Accounting Policies Variable Interest Entities During the year ended December 31, 2019, the Company formed a trust entity, or the MSR Issuer Trust, for the purpose of financing MSR through securitization. On June 27, 2019, the Company, through the MSR Issuer Trust, completed an MSR securitization transaction pursuant to which, through two of the Company’s wholly owned subsidiaries, MSR is pledged to the MSR Issuer Trust and in return, the MSR Issuer Trust issued (a) an aggregate principal amount of $400.0 million in term notes to qualified institutional buyers and (b) a variable funding note, or VFN, with a maximum principal balance of $1.0 billion to one of the subsidiaries, in each case secured on a pari passu basis. The term notes will mature on June 25, 2024 or, if extended pursuant to the terms of the related indenture supplement, June 25, 2026 (unless earlier redeemed in accordance with their terms). During the year ended December 31, 2020, the Company formed a trust entity, or the Servicing Advance Receivables Issuer Trust, for the purpose of financing servicing advances through a revolving credit facility, pursuant to which the Servicing Advance Receivables Issuer Trust issued a VFN backed by servicing advances pledged to the financing counterparty. Both the MSR Issuer Trust and the Servicing Advance Receivables Issuer Trust are considered VIEs for financial reporting purposes and, thus, were reviewed for consolidation under the applicable consolidation guidance. As the Company has both the power to direct the activities of the trusts that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trusts. Available-for-Sale Securities, at Fair Value The Company invests primarily in mortgage pass-through certificates, collateralized mortgage obligations and other residential mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans issued by a U.S. government sponsored enterprise, or GSE, such as the Federal National Mortgage Association (or Fannie Mae) or the Federal Home Loan Mortgage Corporation (or Freddie Mac), or a U.S. government agency such as the Government National Mortgage Association (or Ginnie Mae) (collectively “Agency RMBS”). The Company also holds securities that are not issued by a GSE or U.S government agency, or non-Agency securities, and, from time to time, U.S. Treasuries. The Company classifies its Agency RMBS and non-Agency securities, excluding inverse interest-only Agency securities which are classified as derivatives for purposes of U.S. GAAP, as available-for-sale, or AFS, investments. Although the Company generally intends to hold most of its investment securities until maturity, it may, from time to time, sell any of its investment securities as part of its overall management of its portfolio. Accordingly, the Company classifies all of its securities as AFS, including its interest-only strips, which represent the Company’s right to receive a specified portion of the contractual interest flows of specific Agency or non-Agency securities. All assets classified as AFS, excluding certain Agency interest-only mortgage-backed securities, are reported at estimated fair value with unrealized gains and losses included in accumulated other comprehensive income, on an after-tax basis. On July 1, 2015, the Company elected the fair value option for Agency interest-only securities acquired on or after such date. On July 1, 2021, the Company elected the fair value option for non-Agency interest-only securities acquired on or after such date. All Agency interest-only securities acquired on or after July 1, 2015 and all non-Agency interest-only securities acquired on or after July 1, 2021 are carried at estimated fair value with changes in fair value recorded as a component of gain (loss) on investment securities in the consolidated statements of comprehensive (loss) income. Fair value is determined under the guidance of Accounting Standards Codification (ASC) 820, Fair Value Measurements and Disclosures, or ASC 820. The Company determines the fair value of its RMBS that are issued or guaranteed as to principal and/or interest by a GSE or U.S. government agency, based upon prices obtained from third-party pricing vendors or broker quotes received using the bid price, which are both deemed indicative of market activity. In determining the fair value of its non-Agency securities, management judgment is used to arrive at fair value that considers prices obtained from third-party pricing vendors, broker quotes received and other applicable market data. If listed price data is not available or insufficient, then fair value is based upon internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs. See Note 10 - Fair Value of these notes to the consolidated financial statements for details on fair value measurement. Investment securities transactions are recorded on the trade date. The cost basis for realized gains and losses on sales of investment securities are determined on the first-in, first-out, or FIFO, method. Interest income ( i.e ., gross yield/stated coupon) on securities is accrued based on the outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency RMBS and non-Agency securities rated AA and higher at the time of purchase, are amortized and accreted, respectively, as an adjustment to interest income over the life of such securities using the contractual method under ASC 310-20, Nonrefundable Fees and Other Costs , which is applied at the individual security level based upon each security’s effective interest rate. The Company calculates each security’s effective interest rate at the time of purchase by solving for the discount rate that equates the present value of that security's remaining contractual cash flows, assuming no principal prepayments, to its purchase price. When applying the contractual effective interest method, as principal prepayments occur, an amount of the unamortized premium or discount is recognized in interest income such that the contractual effective interest rate on the remaining security balance is unaffected. Discounts associated with non-Agency securities that were purchased at a discount to par value and were rated below AA at the time of purchase and Agency and non-Agency interest-only securities that can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment are accreted as an adjustment to interest income over the life of such securities using the prospective method under ASC 325-40, Investments - Other: Beneficial Interests in Securitized Financial Assets , which is applied at the individual security level based upon each security’s effective interest rate. At the time of acquisition, the security’s effective interest rate is calculated by solving for the single discount rate that equates the present value of the Company’s best estimate of the amount and timing of the cash flows expected to be collected from the security to its purchase price. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the effective interest rate and interest income recognized on such securities. Actual maturities of the AFS securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore actual maturities of AFS securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years. Following the adoption of Accounting Standards Update (ASU) No. 2016-13, Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments , on January 1, 2020 (refer to “ Recently Issued and/or Adopted Accounting Standards ” below for additional information about the standard and the Company’s adoption), the Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on both Agency and non-Agency AFS securities that are not accounted for under the fair value option. The initial estimated allowance for credit losses was equal to the difference between the prepayment adjusted contractual cash flows with no credit losses and the prepayment adjusted expected cash flows with credit losses, discounted at the effective interest rate on the AFS security that was in effect upon adoption of the standard. The contractual cash flows and expected cash flows are based on management’s best estimate and take into consideration current prepayment assumptions, lifetime expected losses based on past loss experience, current market conditions, and reasonable and supportable forecasts of future conditions. The allowance for credit losses on Agency AFS securities relates to prepayment assumption changes on interest-only Agency RMBS. The initial allowance for credit losses caused an increase in the AFS security amortized cost and recognized an allowance for credit losses in the same amount. Subsequent adverse or favorable changes in the allowance for credit losses are recognized immediately in earnings as a provision for or reduction in credit losses (within gain (loss) on investment securities). Adverse changes are reflected as an increase to the allowance for credit losses and favorable changes are reflected as a decrease to the allowance for credit losses. The allowance for credit losses is limited to the difference between the beneficial interest’s fair value and its amortized cost, and any remaining adverse changes in these circumstances are reflected as a prospective adjustment to accretable yield. If the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective adjustment to accretable yield. The Company does not adjust the effective interest rate in subsequent periods for prepayment assumption changes or variable-rate changes. Any changes in the allowance for credit losses due to the time-value-of-money are accounted for in the consolidated statements of comprehensive (loss) income as provision for credit losses rather than a reduction to interest income. Any portion of the AFS securities that is deemed uncollectible results in a write-off of the uncollectible amortized cost with a corresponding reduction to the allowance for credit losses. Recoveries of amounts previously written off results in an increase to the allowance for credit losses. Mortgage Servicing Rights, at Fair Value The Company’s MSR represent the right to service mortgage loans. The Company and its subsidiaries do not originate or directly service mortgage loans, and instead contract with appropriately licensed subservicers to handle substantially all servicing functions in the name of the subservicer for the loans underlying the Company’s MSR. However, as an owner and manager of MSR, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the other assets line item on the consolidated balance sheets. MSR are reported at fair value on the consolidated balance sheets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds; delinquency levels; option-adjusted spread, or OAS, which represents the incremental spread added to the risk-free rate to reflect the effects of any embedded options and other risk inherent in MSR; and cost to service). Changes in the fair value of MSR as well as servicing fee income and servicing expenses are reported on the consolidated statements of comprehensive (loss) income. Cash and Cash Equivalents Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis. Restricted Cash Restricted cash represents cash balances the Company is required to maintain with counterparties for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings. Also included is the cash balance held pursuant to a letter of credit on the New York office lease. Cash balances required to be maintained with counterparties are not available to the Company for general corporate purposes, but may be applied against amounts due to security, derivative, servicing or financing counterparties or returned to the Company when collateral requirements are exceeded, or at the maturity of the derivative or financing arrangement. Accrued Interest Receivable Accrued interest receivable represents interest that is due and payable to the Company. Cash interest is generally received within 30 days of recording the receivable. Due from/to Counterparties, net Due from counterparties includes cash held by counterparties for payment of principal and interest as well as cash held by counterparties for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings but represents excess capacity and deemed unrestricted and a receivable from the counterparty as of the balance sheet date. Due from counterparties also includes cash receivable from counterparties for sales of MSR pending final transfer and settlement. Due to counterparties includes cash payable by the Company upon settlement of trade positions as well as cash deposited to and held by the Company for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings but represents a payable to the counterparty as of the balance sheet date. Due to counterparties also includes purchase price holdbacks on MSR acquisitions for early prepayment or default provisions, collateral exceptions and other contractual terms. Derivative Financial Instruments, at Fair Value In accordance with ASC 815, Derivatives and Hedging , or ASC 815, all derivative financial instruments, whether designated for hedging relationships or not, are recorded on the consolidated balance sheets as assets or liabilities and carried at fair value. At the inception of a derivative contract, the Company determines whether the instrument will be part of a qualifying hedge accounting relationship or whether the Company will account for the contract as a trading instrument. Due to the volatility of the credit markets and difficulty in effectively matching pricing or cash flows, the Company has elected to treat all current derivative contracts as trading instruments. Changes in fair value as well as the accrual and settlement of interest associated with derivatives accounted for as trading instruments are reported in the consolidated statements of comprehensive (loss) income as gain (loss) on interest rate swap, cap and swaption agreements or (loss) gain on other derivative instruments depending on the type of derivative instrument. The Company enters into interest rate derivative contracts for a variety of reasons, including minimizing fluctuations in earnings or market values on certain assets or liabilities that may be caused by changes in interest rates. The Company may, at times, enter into various forward contracts including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, and caps. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Amounts payable to and receivable from the same party under contracts may be offset as long as the following conditions are met: (a) each of the two parties owes the other determinable amounts; (b) the reporting party has the right to offset the amount owed with the amount owed by the other party; (c) the reporting party intends to offset; and (d) the right of offset is enforceable by law. If the aforementioned conditions are not met, amounts payable to and receivable from are presented by the Company on a gross basis in its consolidated balance sheets. The Company’s centrally cleared interest rate swaps require that the Company posts an “initial margin” amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap’s maximum estimated single-day price movement. The Company also exchanges “variation margin” based upon daily changes in fair value, as measured by the exchange. The exchange of variation margin is considered a settlement of the interest rate swap, as opposed to pledged collateral. Accordingly, the Company accounts for the receipt or payment of variation margin on interest rate swaps as a direct reduction to the carrying value of the interest rate swap asset or liability. Variation margin pledged or received is netted on a counterparty basis and classified within restricted cash, due from counterparties, or due to counterparties on the Company’s consolidated balance sheets. The Company has provided specific disclosure regarding the location and amounts of derivative instruments in the consolidated financial statements and how derivative instruments and related hedged items are accounted for. See Note 7 - Derivative Instruments and Hedging Activities of these notes to the consolidated financial statements. Reverse Repurchase Agreements The Company may borrow U.S. Treasury securities through reverse repurchase transactions under its master repurchase agreements to cover short sales. The Company accounts for these reverse repurchase agreements as securities borrowing transactions and records them at their contractual amounts, as specified in the respective agreements. Repurchase Agreements The Company may finance certain of its investment securities and MSR through the use of repurchase agreements. These repurchase agreements are generally short-term debt, which expire within one year. At times, certain of the Company’s repurchase agreements may have contractual terms of greater than one year, and, thus, would be considered long-term debt. Borrowings under repurchase agreements generally bear interest rates based on an index plus a spread and are generally uncommitted. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Revolving Credit Facilities To finance MSR assets and related servicing advance obligations, the Company enters into revolving credit facilities collateralized by the value of the MSR and/or servicing advances pledged. Borrowings under these revolving credit facilities that expire within one year are considered short-term debt. As of December 31, 2021, the Company’s revolving credit facilities that had contractual terms of greater than one year were considered long-term debt. The Company’s revolving credit facilities generally bear interest rates based on an index plus a spread. Borrowings under revolving credit facilities are treated as collateralized financing transactions and are carried at contractual amounts, as specified in the respective agreements. Term Notes Payable Term notes payable related to the Company’s consolidated securitization are recorded at outstanding principal balance, net of any unamortized deferred debt issuance costs, on the Company’s consolidated balance sheets. Convertible Senior Notes Convertible senior notes include unsecured convertible debt that are carried at their unpaid principal balance, net of any unamortized deferred issuance costs, on the Company’s consolidated balance sheet. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. Accrued Interest Payable Accrued interest payable represents interest that is due and payable to third parties. Interest is generally paid within 30 days to three months of recording the payable, based upon the Company’s remittance requirements. Deferred Tax Assets and Liabilities Income recognition for U.S. GAAP and tax differ in certain respects. These differences often reflect differing accounting treatments for tax and U.S. GAAP, such as accounting for discount and premium amortization, credit losses, asset impairments, recognition of certain operating expenses and certain valuation estimates. Some of these differences are temporary in nature and create timing mismatches between when taxable income is earned and the tax is paid versus when the earnings (losses) for U.S. GAAP purposes, or GAAP net income (loss), are recognized and the tax provision is recorded. Some of these differences are permanent since certain income (or expense) may be recorded for tax purposes but not for U.S. GAAP purposes (or vice-versa). One such significant permanent difference is the Company’s ability as a REIT to deduct dividends paid to stockholders as an expense for tax purposes, but not for U.S. GAAP purposes. As a result of these temporary differences, the Company’s TRSs may recognize taxable income in periods prior or subsequent to when it recognizes income for U.S. GAAP purposes. When this occurs, the TRSs pay or defer the tax liability and establish deferred tax assets or deferred tax liabilities, respectively, for U.S. GAAP purposes. Deferred tax assets generally represent items that may be used as a tax deduction in a tax return in future years for which the Company has already recognized the tax benefit for U.S. GAAP purposes. The Company estimates, based on existence of sufficient evidence, the ability to realize the remainder of any deferred tax asset its TRSs recognize. Any adjustments to such estimates will be made in the period such determination is made. Deferred tax liabilities generally represent tax expense for which payment has been deferred or expense has already been taken as a deduction on the Company’s tax return but has not yet been recognized as an expense for U.S. GAAP purposes. The Company’s deferred tax assets and/or liabilities are generated solely by differences in GAAP net income (loss) and taxable income (loss) at our taxable subsidiaries. U.S. GAAP and tax differences in the REIT may create additional deferred tax assets and/or liabilities to the extent the Company does not distribute all of its taxable income. Income Taxes The Company has elected to be taxed as a REIT under the Code and the corresponding provisions of state law. To qualify as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to stockholders (not including taxable income retained in its taxable subsidiaries) within the time frame set forth in the tax Code and the Company must also meet certain other requirements. In addition, because certain activities, if performed by the Company, may cause the Company to earn income which is not qualifying for the REIT gross income tests, the Company has formed TRSs, as defined in the Code, to engage in such activities. These TRSs’ activities are subject to income taxes as well as any REIT taxable income not distributed to stockholders. The Company assesses its tax positions for all open tax years and determines whether the Company has any material unrecognized liabilities in accordance with ASC 740, Income Taxes , or ASC 740. The Company records these liabilities to the extent the Company deems them more likely than not to be incurred. The Company classifies interest and penalties on material uncertain tax positions as interest expense and operating expense, respectively, in its consolidated statements of comprehensive (loss) income. Expenses Expenses on the consolidated statements of comprehensive (loss) income typically consist of management fees, servicing expenses generally related to the subservicing of MSR, compensation and benefits and other operating expenses. Prior to the termination of the Management Agreement on August 14, 2020, management fees were payable to PRCM Advisers under the agreement. The management fee was calculated based on the Company’s stockholders’ equity with certain adjustments outlined in the management agreement (see Note 21 - Related Party Transactions for further detail). Also prior to the termination of the Management Agreement, included in compensation and benefits and other operating expenses were direct and allocated costs incurred by PRCM Advisers on the Company’s behalf and reimbursed by the Company. Included in these reimbursed costs was (a) the Company’s allocable share of the compensation paid by PRCM Advisers to its personnel serving as the Company’s principal financial officer and general counsel and personnel employed by PRCM Advisers as in-house legal, tax, accounting, consulting, auditing, administrative, information technology, valuation, computer programming and development and back-office resources to the Company, (b) any amounts for personnel of PRCM Advisers’ affiliates arising under a shared facilities and services agreement, and (c) certain costs allocated to the Company by PRCM Advisers for data services and technology. Subsequent to the transition to self-management, the Company no longer pays a management fee to, or reimburses the expenses of, PRCM Advisers. Expenses for which the Company previously reimbursed PRCM Advisers are now borne directly by the Company. The Company is also now responsible for the cash compensation and employee benefits of the Company’s Chief Executive Officer, Chief Investment Officer and investment professionals, which were previously the responsibility of PRCM Advisers. Prior to the termination of the Management Agreement, the Company was only responsible for the equity compensation paid to such individuals. Other Comprehensive Income (Loss) Current period net unrealized gains and losses on AFS securities, excluding Agency interest-only securities, are reported as components of accumulated other comprehensive income on the consolidated statements of stockholders’ equity and in the consolidated statements of comprehensive (loss) income. Net unrealized gains and losses on securities held by our taxable subsidiaries that are reported in accumulated other comprehensive income are adjusted for the effects of taxation and may create deferred tax assets or liabilities. Earnings Per Share The Company’s common stock, par value and shares issued and outstanding, includes issued and unvested shares of restricted common stock, which have full rights to the common stock dividend declarations of the Company. Common shares underlying certain other equity-based awards granted by the Company are not included in common stock until the awards vest. If these awards have non-forfeitable dividend participation rights, they are considered participating securities in the calculations of basic and diluted earnings (loss) per share. Basic earnings (loss) per share is computed by dividing net income (loss) attributable to common stockholders, less income allocated to participating securities pursuant to the two-class method, by the weighted average number of common shares outstanding during the period. Diluted earnings (loss) per share is computed by dividing basic net income (loss) attributable to common stockholders by the weighted average number of common shares outstanding during the period, further adjusted for the dilutive effect, if any, of share-based payment awards and the assumed conversion of convertible notes into common shares. Unvested equity-based awards are included in the calculation of diluted earnings (loss) per share under either the two-class method or the treasury stock method, depending upon which method produces the more dilutive result. The two-class method is an earnings allocation formula under which earnings (loss) per share is calculated for common stock and participating securities according to dividends declared and participating rights in undistributed earnings. Under this method, all earnings (distributed and undistributed) are allocated between participating securities and common shares based on their respective rights to receive dividends or dividend equivalents. Under the treasury stock method, common equivalent shares are calculated assuming that any share-based payment awards vest according to their respective agreements and unrecognized compensation cost is used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period. Under the if-converted method, the assumed conversion of each convertible note into common shares is calculated by adding back the respective periodic interest expense (net of any tax effects) associated with dilutive convertible notes to net income (loss) attributable to common stockholders and adding the shares issued in an assumed conversion to the diluted weighted average share count. Equity Incentive Plans The Company’s Second Restated 2009 Equity Incentive Plan, or the 2009 Plan, and the Company’s 2021 Equity Incentive Plan, or the 2021 Plan, or collectively, the Equity Incentive Plans, provide incentive compensation to attract and retain qualified directors, officers, personnel and other parties who may provide significant services to the Company. The Equity Incentive Plans are administered by the compensation committee of the Company’s board of directors. The Equity Incentive Plans permit the grants of restricted common stock, restricted stock units, or RSUs, performance-based awards (including performance share units, or PSUs), phantom shares, dividend equivalent rights and other equity-based awards. See Note 17 - Equity Incentive Plans for further details regarding the Equity Incentive Plans. Equity-based compensation costs are initially measured at the estimated fair value of the awards on the grant date. Valuation methods used and subsequent expense recognition is dependent upon each award’s service and performance conditions. The Company has elected not to estimate forfeitures when valuing equity-based awards and adjusts compensation costs as actual forfeitures occur. Compensation costs for equity |
Variable Interest Entities
Variable Interest Entities | 12 Months Ended |
Dec. 31, 2021 | |
Variable Interest Entities [Abstract] | |
Variable Interest Entities | Variable Interest Entities During the year ended December 31, 2019, the Company formed a trust entity, or the MSR Issuer Trust, for the purpose of financing MSR through securitization, pursuant to which, through two of the Company’s wholly owned subsidiaries, MSR is pledged to the MSR Issuer Trust and in return, the MSR Issuer Trust issues term notes to qualified institutional buyers and a variable funding note, or VFN, to one of the subsidiaries, in each case secured on a pari passu basis. In connection with the transaction, the Company also entered into a repurchase facility that is secured by the VFN issued in connection with the MSR securitization transaction, which is collateralized by the Company’s MSR. During the year ended December 31, 2020, the Company formed a trust entity, or the Servicing Advance Receivables Issuer Trust, for the purpose of financing servicing advances through a revolving credit facility, pursuant to which the Servicing Advance Receivables Issuer Trust issued a VFN backed by servicing advances pledged to the financing counterparty. Both the MSR Issuer Trust and the Servicing Advance Receivables Issuer Trust are considered VIEs for financial reporting purposes and, thus, were reviewed for consolidation under the applicable consolidation guidance. As the Company has both the power to direct the activities of the trusts that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trusts. Additionally, in accordance with arrangements entered into in connection with the securitization transaction and the servicing advance revolving credit facility, the Company has direct financial obligations payable to both the MSR Issuer Trust and the Servicing Advance Receivables Issuer Trust, which, in turn, support the MSR Issuer Trust’s obligations to noteholders under the securitization transaction and the Servicing Advance Receivables Issuer Trust’s obligations to the financing counterparty. The following table presents a summary of the assets and liabilities of all consolidated trusts as reported on the consolidated balance sheets as of December 31, 2021 and December 31, 2020: (in thousands) December 31, December 31, 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 ____________________ (1) Receivables due from a wholly owned subsidiary of the Company to the trusts are eliminated in consolidation in accordance with U.S. GAAP. |
Available-for-Sale Securities,
Available-for-Sale Securities, at Fair Value | 12 Months Ended |
Dec. 31, 2021 | |
Debt Securities, Available-for-sale [Abstract] | |
Available-for-Sale Securities, at Fair Value | Available-for-Sale Securities, at Fair Value The Company holds both Agency and non-Agency AFS investment securities which are carried at fair value on the consolidated balance sheets. The following table presents the Company’s AFS investment securities by collateral type as of December 31, 2021 and December 31, 2020: (in thousands) December 31, December 31, 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 At December 31, 2021 and December 31, 2020, the Company pledged AFS securities with a carrying value of $7.0 billion and $14.6 billion, respectively, as collateral for repurchase agreements. See Note 11 - Repurchase Agreements . At December 31, 2021 and December 31, 2020, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing , to be considered linked transactions and, therefore, classified as derivatives. The Company is not required to consolidate variable interest entities, or VIEs, for which it has concluded it does not have both the power to direct the activities of the VIEs that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant. The Company’s investments in these unconsolidated VIEs include all non-Agency securities, which are classified within available-for-sale securities, at fair value on the consolidated balance sheets. As of December 31, 2021 and December 31, 2020, the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $12.3 million and $13.0 million, respectively. The following tables present the amortized cost and carrying value of AFS securities by collateral type as of December 31, 2021 and December 31, 2020: 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) 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 $ 13,103,355 $ 605,253 $ (14) $ 13,708,594 $ — $ 629,079 $ (420) $ 14,337,253 Interest-only 3,649,556 315,876 — 315,876 (17,889) 15,680 (13,029) 300,638 Total Agency 16,752,911 921,129 (14) 14,024,470 (17,889) 644,759 (13,449) 14,637,891 Non-Agency 2,095,365 16,408 (36) 18,705 (4,639) 109 (1,144) 13,031 Total $ 18,848,276 $ 937,537 $ (50) $ 14,043,175 $ (22,528) $ 644,868 $ (14,593) $ 14,650,922 The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of December 31, 2021: 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 Measurement of Allowances for Credit Losses on AFS Securities (Subsequent to the Adoption of Topic 326) Following the adoption of Topic 326 on January 1, 2020, the Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on both Agency and non-Agency AFS securities that are not accounted for under the fair value option, as detailed in Note 2 - Basis of Presentation and Significant Accounting Policies . The following tables present the changes for the years ended December 31, 2021 and 2020 in the allowance for credit losses on Agency and non-Agency AFS securities: 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) The following tables present the components comprising the carrying value of AFS securities for which an allowance for credit losses has not been recorded by length of time that the securities had an unrealized loss position as of December 31, 2021 and December 31, 2020 (subsequent to the adoption of Topic 326). At December 31, 2021 and December 31, 2020, the Company held 756 and 823 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 45 and 13 were in an unrealized loss position for less than twelve consecutive months and 0 and 13 were in an unrealized loss position for more than twelve consecutive months, respectively. 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) 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) Evaluating AFS Securities for Other-Than-Temporary Impairments (Prior to the Adoption of Topic 326) In evaluating AFS securities for OTTI prior to the adoption of Topic 326, the Company determined whether there had been a significant adverse quarterly change in the cash flow expectations for a security. The Company compared the amortized cost of each security in an unrealized loss position against the present value of expected future cash flows of the security. The Company also considered whether there had been a significant adverse change in the regulatory and/or economic environment as part of this analysis. If the amortized cost of the security was greater than the present value of expected future cash flows using the original yield as the discount rate, an other-than-temporary credit impairment had occurred. If the Company did not intend to sell and would not be more likely than not required to sell the security, the credit loss was recognized in earnings and the balance of the unrealized loss was recognized in either other comprehensive (loss) income, net of tax, or gain (loss) on investment securities, depending on the accounting treatment. If the Company intended to sell the security or would be more likely than not required to sell the security, the full unrealized loss was recognized in earnings. Cumulative credit losses related to OTTI are reduced for securities sold as well as for securities that mature, are paid down, or are prepaid such that the outstanding principal balance is reduced to zero. Additionally, increases in cash flows expected to be collected over the remaining life of the security cause a reduction in the cumulative credit loss. As of December 31, 2019, the Company’s cumulative credit losses related to OTTI totaled $17.0 million. During the three months ended March 31, 2020, the Company sold all securities for which OTTI had been recognized prior to January 1, 2020, reducing the Company’s cumulative credit losses related to OTTI to zero. Realized Gains and Losses Gains and losses from the sale of AFS securities are recorded as realized gains (losses) within gain (loss) on investment securities in the Company’s consolidated statements of comprehensive (loss) income. The following table presents details around sales of AFS securities during the years ended December 31, 2021, 2020 and 2019: 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 |
Servicing Activities
Servicing Activities | 12 Months Ended |
Dec. 31, 2021 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |
Servicing Activities | Servicing Activities Mortgage Servicing Rights, at Fair Value A wholly owned subsidiary of the Company has approvals from Fannie Mae and Freddie Mac to own and manage MSR, which represent the right to control the servicing of residential mortgage loans. The Company and its subsidiaries do not originate or directly service mortgage loans, and instead contract with appropriately licensed subservicers to handle substantially all servicing functions in the name of the subservicer for the loans underlying the Company’s MSR. The following table summarizes activity related to MSR for the years ended December 31, 2021, 2020 and 2019. Year Ended December 31, (in thousands) 2021 2020 2019 Balance at beginning of period $ 1,596,153 $ 1,909,444 $ 1,993,440 Purchases of mortgage servicing rights 777,305 623,284 627,815 Sales of mortgage servicing rights (43,411) 1,976 2,306 Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model (1) 562,843 (396,900) (390,149) Other changes in fair value (2) (666,160) (538,761) (307,918) Other changes (3) (35,152) (2,890) (16,050) Balance at end of period (4) $ 2,191,578 $ 1,596,153 $ 1,909,444 ____________________ (1) Includes the impact of acquiring MSR at a cost different from fair value. (2) Primarily represents changes due to the realization of expected cash flows. (3) Includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. (4) Based on the principal balance of the loans underlying the MSR reported by servicers on a month lag, adjusted for current month purchases. At December 31, 2021 and December 31, 2020, the Company pledged MSR with a carrying value of $2.1 billion and $1.1 billion, respectively, as collateral for repurchase agreements, revolving credit facilities and term notes payable. See Note 11 - Repurchase Agreements , Note 12 - Revolving Credit Facilities and Note 13 - Term Notes Payable . As of December 31, 2021 and December 31, 2020, the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows: (dollars in thousands, except per loan data) December 31, December 31, 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) These assumptions and sensitivities are hypothetical and should be considered with caution. Changes in fair value based on 10% and 20% variations in assumptions generally cannot be extrapolated because the relationship of the change in assumptions to the change in fair value may not be linear. Also, the effect of a variation in a particular assumption on the fair value of MSR is calculated without changing any other assumptions. In reality, changes in one factor may result in changes in another ( e.g. , increased market interest rates may result in lower prepayments and increased credit losses) that could magnify or counteract the sensitivities. Further, these sensitivities show only the change in the asset balances and do not show any expected change in the fair value of the instruments used to manage the interest rates and prepayment risks associated with these assets. Risk Mitigation Activities The primary risk associated with the Company’s MSR is interest rate risk and the resulting impact on prepayments. A significant decline in interest rates could lead to higher-than-expected prepayments that could reduce the value of the MSR. The Company economically hedges the impact of these risks primarily with its Agency RMBS portfolio. Mortgage Servicing Income The following table presents the components of servicing income recorded on the Company’s consolidated statements of comprehensive (loss) income for the years ended December 31, 2021, 2020 and 2019: 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 Mortgage Servicing Advances As the servicer of record for the MSR assets, the Company may be required to advance principal and interest payments to security holders, and intermittent tax and insurance payments to local authorities and insurance companies on mortgage loans that are in forbearance, delinquency or default. The Company is responsible for funding these advances, potentially for an extended period of time, before receiving reimbursement from Fannie Mae and Freddie Mac. Servicing advances are priority cash flows in the event of a loan principal reduction or foreclosure and ultimate liquidation of the real estate-owned property, thus making their collection reasonably assured. These servicing advances totaled $130.6 million and $80.9 million and were included in other assets on the consolidated balance sheets as of December 31, 2021 and December 31, 2020, respectively. At December 31, 2021 and December 31, 2020, mortgage loans in 60+ day delinquent status (whether or not subject to forbearance) accounted for approximately 1.3% and 3.2%, respectively, of the aggregate principal balance of loans for which the Company had servicing advance funding obligations. During the year ended December 31, 2020, the Company entered into a new revolving credit facility to finance its servicing advance obligations. At December 31, 2021 and December 31, 2020, the Company had pledged servicing advances with a carrying value of $33.8 million and $28.5 million, respectively, as collateral for this revolving credit facility. See Note 12 - Revolving Credit Facilities . Serviced Mortgage Assets The Company’s total serviced mortgage assets consist of residential mortgage loans underlying its MSR assets, off-balance sheet residential mortgage loans owned by other entities for which the Company acts as servicing administrator and other assets. The following table presents the number of loans and unpaid principal balance of the mortgage assets for which the Company manages the servicing as of December 31, 2021 and December 31, 2020: 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 |
Cash, Cash Equivalents and Rest
Cash, Cash Equivalents and Restricted Cash | 12 Months Ended |
Dec. 31, 2021 | |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | |
Cash, Cash Equivalents and Restricted Cash | Cash, Cash Equivalents and Restricted Cash Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis. The Company is required to maintain certain cash balances with counterparties for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings in restricted accounts. The Company has also placed cash in a restricted account pursuant to a letter of credit on an office space lease. The following table presents the Company’s restricted cash balances as of December 31, 2021 and December 31, 2020: (in thousands) December 31, December 31, 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 The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company’s consolidated balance sheets as of December 31, 2021 and December 31, 2020 that sum to the total of the same such amounts shown in the statements of cash flows: (in thousands) December 31, December 31, 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 |
Derivative Instruments and Hedg
Derivative Instruments and Hedging Activities | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments and Hedging Activities | Derivative Instruments and Hedging Activities The Company enters into a variety of derivative and non-derivative instruments in connection with its risk management activities. The primary objective for executing these derivative and non-derivative instruments is to mitigate the Company’s economic exposure to future events that are outside its control, principally cash flow volatility associated with interest rate risk (including associated prepayment risk). Specifically, the Company enters into derivative and non-derivative instruments to economically hedge interest rate risk or “duration mismatch (or gap)” by adjusting the duration of its floating-rate borrowings into fixed-rate borrowings to more closely match the duration of its assets. This particularly applies to floating-rate borrowing agreements with maturities or interest rate resets of less than six months. Typically, the interest receivable terms ( e.g. , LIBOR, Overnight Index Swap Rate, or OIS, or Secured Overnight Financing Rate, or SOFR) of certain derivatives match the terms of the underlying debt, resulting in an effective conversion of the rate of the related borrowing agreement from floating to fixed. The objective is to manage the cash flows associated with current and anticipated interest payments on borrowings, as well as the ability to roll or refinance borrowings at the desired amount by adjusting the duration. To help manage the adverse impact of interest rate changes on the value of the Company’s portfolio as well as its cash flows, the Company may, at times, enter into various forward contracts, including short securities, TBAs, options, futures, swaps, caps and total return swaps. In executing on the Company’s current risk management strategy, the Company has entered into TBAs, put and call options for TBAs, interest rate swap and swaption agreements and U.S. Treasury and Eurodollar futures. The Company has also entered into a number of non-derivative instruments to manage interest rate risk, principally MSR and interest-only securities (see discussion below). The following summarizes the Company’s significant asset and liability classes, the risk exposure for these classes, and the Company’s risk management activities used to mitigate these risks. The discussion includes both derivative and non-derivative instruments used as part of these risk management activities. Any of the Company’s derivative and non-derivative instruments may be entered into in conjunction with one another in order to mitigate risks. As a result, the following discussions of each type of instrument should be read as a collective representation of the Company’s risk mitigation efforts and should not be considered independent of one another. While the Company uses derivative and non-derivative instruments to achieve the Company’s risk management activities, it is possible that these instruments will not effectively mitigate all or a substantial portion of the Company’s market rate risk. In addition, the Company might elect, at times, not to enter into certain hedging arrangements in order to maintain compliance with REIT requirements. Balance Sheet Presentation In accordance with ASC 815, the Company records derivative financial instruments on its consolidated balance sheets as assets or liabilities at fair value. Changes in fair value are accounted for depending on the use of the derivative instruments and whether they are designated or qualifying as hedge instruments. Due to the volatility of the interest rate and credit markets and difficulty in effectively matching pricing or cash flows, the Company has not designated any current derivatives as hedging instruments. The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading derivatives as of December 31, 2021 and December 31, 2020: 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, 2020 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 62,200 $ 318,162 $ — $ — Interest rate swap agreements — — — 12,646,341 Swaptions, net — — (596) 3,750,000 TBAs 30,062 7,700,000 (10,462) (2,503,000) U.S. Treasury futures, net 3,675 2,021,100 — — Total $ 95,937 $ 10,039,262 $ (11,058) $ 13,893,341 Comprehensive (Loss) Income Statement Presentation The Company has not applied hedge accounting to its current derivative portfolio held to mitigate interest rate risk and credit risk. As a result, the Company is subject to volatility in its earnings due to movement in the unrealized gains and losses associated with its derivative instruments. The following table summarizes the location and amount of gains and losses on derivative instruments reported in the consolidated statements of comprehensive (loss) income: 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 For the years ended December 31, 2021, 2020 and 2019, the Company recognized $14.3 million of income, $66.2 million of expense, and $70.5 million of income, respectively, for the accrual and/or settlement of the net interest expense associated with its interest rate swaps and caps. The income resulted from paying either a fixed interest rate or a floating interest rate (LIBOR, OIS or SOFR) and receiving either a floating interest rate (LIBOR, OIS or SOFR) or a fixed interest rate on an average $15.9 billion, $27.1 billion and $40.0 billion notional, respectively. The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the years ended December 31, 2021 and 2020: 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, 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) Inverse interest-only securities $ 397,137 $ — $ (78,975) $ 318,162 $ 360,000 $ (116) Interest rate swap agreements 39,702,470 56,867,740 (83,923,869) 12,646,341 27,137,669 (334,458) Swaptions, net 1,257,000 6,767,000 (4,274,000) 3,750,000 2,188,661 (53,290) TBAs, net 7,427,000 60,103,000 (62,333,000) 5,197,000 4,540,759 42,499 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 41,890 — (41,890) — 10,141 (2,077) Total $ 48,445,497 $ 137,123,540 $ (161,636,434) $ 23,932,603 $ 35,028,650 $ (332,446) ____________________ (1) Excludes net interest paid or received in full settlement of the net interest spread liability. Cash flow activity related to derivative instruments is reflected within the operating activities and investing activities sections of the consolidated statements of cash flows. Realized gains and losses and derivative fair value adjustments are reflected within the realized and unrealized (gains) losses on interest rate swaps, caps and swaptions and unrealized gains on other derivative instruments line items within the operating activities section of the consolidated statements of cash flows. The remaining cash flow activity related to derivative instruments is reflected within the short sales (purchases) of other derivative instruments, proceeds from sales and settlements (payments for termination and settlement) of derivative instruments, net and increase (decrease) in due to counterparties, net line items within the investing activities section of the consolidated statements of cash flows. Interest Rate Sensitive Assets/Liabilities The Company’s Agency RMBS portfolio is generally subject to change in value when interest rates decline or increase, depending on the type of investment. Rising interest rates generally result in a decline in the value of the Company’s fixed-rate Agency principal and interest (P&I) RMBS. To mitigate the impact of this risk on the Company’s fixed-rate Agency P&I RMBS portfolio, the Company maintains a portfolio of fixed-rate interest-only securities and MSR, which increase in value when interest rates increase. As of December 31, 2021 and December 31, 2020, the Company had $274.1 million and $245.9 million, respectively, of interest-only securities, and $2.2 billion and $1.6 billion, respectively, of MSR in place to primarily hedge its Agency RMBS. Interest-only securities are included in AFS securities, at fair value, in the consolidated balance sheets. The Company monitors its borrowings under repurchase agreements and revolving credit facilities, which are generally floating-rate debt, in relation to the rate profile of its portfolio. In connection with its risk management activities, the Company enters into a variety of derivative and non-derivative instruments to economically hedge interest rate risk or duration mismatch (or gap) by adjusting the duration of its floating-rate borrowings into fixed-rate borrowings to more closely match the duration of its assets. This particularly applies to borrowing agreements with maturities or interest rate resets of less than six months. Typically, the interest receivable terms ( e.g. , LIBOR, OIS or SOFR) of certain derivatives match the terms of the underlying debt, resulting in an effective conversion of the rate of the related borrowing agreement from floating to fixed. The objective is to manage the cash flows associated with current and anticipated interest payments on borrowings, as well as the ability to roll or refinance borrowings at the desired amount by adjusting the duration. To help manage the adverse impact of interest rate changes on the value of the Company’s portfolio as well as its cash flows, the Company may, at times, enter into various forward contracts, including short securities, TBAs, options, futures, swaps, caps, credit default swaps and total return swaps. In executing on the Company’s current interest rate risk management strategy, the Company has entered into TBAs, put and call options for TBAs, interest rate swap and swaption agreements and U.S. Treasury and Eurodollar futures. The Company has certain derivative contracts that are indexed to LIBOR and is monitoring market transition plans as it relates to derivatives exposed to LIBOR and evaluating the related risks and the Company’s exposure. All of the Company’s derivative instruments that incorporate LIBOR as the referenced rate mature prior to the phase out of LIBOR. See Note 2 - Basis of Presentation and Significant Accounting Policies for further discussion of the transition away from LIBOR. TBAs. The Company may use TBAs as a means of deploying capital until targeted investments are available or to take advantage of temporary displacements, funding advantages or valuation differentials in the marketplace. Additionally, the Company may use TBAs independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. TBAs are forward contracts for the purchase (long notional positions) or sale (short notional positions) of Agency RMBS. The issuer, coupon and stated maturity of the Agency RMBS are predetermined as well as the trade price, face amount and future settle date (published each month by the Securities Industry and Financial Markets Association). However, the specific Agency RMBS to be delivered upon settlement is not known at the time of the TBA transaction. As a result, and because physical delivery of the Agency RMBS upon settlement cannot be assured, the Company accounts for TBAs as derivative instruments. The Company may hold both long and short notional TBA positions, which are disclosed on a gross basis according to the unrealized gain or loss position of each TBA contract regardless of long or short notional position. The following tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of December 31, 2021 and December 31, 2020: 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, 2020 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 7,700,000 $ 8,102,344 $ 8,132,406 $ 30,062 $ — Sale contracts (2,503,000) (2,640,465) (2,650,927) — (10,462) 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 market value of the TBA (or of the underlying Agency RMBS) as of period-end. (4) Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the consolidated balance sheets. U.S. Treasury and Eurodollar Futures. The Company may use U.S. Treasury and Eurodollar futures independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. The following table summarizes certain characteristics of the Company’s U.S. Treasury and Eurodollar futures as of December 31, 2021 and December 31, 2020: (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 Interest Rate Swap Agreements . The Company may use interest rate swaps independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of December 31, 2021 and December 31, 2020, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a floating interest rate (LIBOR, OIS or SOFR): (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) December 31, 2020 Swaps Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2021 $ — — % — % 0.00 2022 7,415,818 0.042 % 0.090 % 1.66 2023 2,281,500 0.023 % 0.090 % 2.48 2024 — — % — % 0.00 2025 and Thereafter 1,497,500 0.257 % 0.090 % 6.49 Total $ 11,194,818 0.067 % 0.090 % 2.47 Additionally, as of December 31, 2021 and December 31, 2020, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk whereby the Company pays interest at a floating interest rate (LIBOR OIS or SOFR): (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, 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 Interest Rate Swaptions . The Company may use interest rate swaptions (which provide the option to enter into interest rate swap agreements for a predetermined notional amount, stated term and pay and receive interest rates in the future) independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of December 31, 2021 and December 31, 2020, the Company had the following outstanding interest rate swaptions: 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, 2020 (notional and dollars in thousands) Option Underlying Swap Swaption Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Pay Rate Average Receive Rate Average Term (Years) Purchase contracts: Payer < 6 Months $ 7,210 $ 2,448 4.23 $ 2,800,000 1.32 % 3M LIBOR 10.0 Receiver < 6 Months $ 3,010 $ — 0.97 $ 2,000,000 3M LIBOR 0.23 % 10.0 Sale contracts: Receiver < 6 Months $ (2,600) $ (3,044) 5.13 $ (1,050,000) 3M LIBOR 0.55 % 10.0 Credit Risk The Company’s exposure to credit losses on its Agency RMBS portfolio is limited due to implicit or explicit backing from either a GSE or a U.S. government agency. The payment of principal and interest on the Freddie Mac and Fannie Mae mortgage-backed securities are guaranteed by those respective agencies, and the payment of principal and interest on the Ginnie Mae mortgage-backed securities are backed by the full faith and credit of the U.S. government. In future periods, the Company could enhance its credit risk protection, enter into further paired derivative positions, including both long and short credit default swaps, and/or seek opportunistic trades in the event of a market disruption (see discussion under “ Non-Risk Management Activities ” below). The Company also has processes and controls in place to monitor, analyze, manage and mitigate its credit risk with respect to non-Agency securities. |
Reverse Repurchase Agreements
Reverse Repurchase Agreements | 12 Months Ended |
Dec. 31, 2021 | |
Reverse Repurchase Agreements [Abstract] | |
Reverse Repurchase Agreements | Reverse Repurchase AgreementsAs of December 31, 2021 and December 31, 2020, the Company had $129.2 million and $89.5 million in amounts due to counterparties as collateral for reverse repurchase agreements that could be pledged, delivered or otherwise used, with a fair value of $134.7 million and $91.5 million, respectively. |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 12 Months Ended |
Dec. 31, 2021 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities Certain of the Company’s repurchase agreements are governed by underlying agreements that provide for a right of setoff in the event of default by either party to the agreement. The Company also has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association, or ISDA, or central clearing exchange agreements, in the case of centrally cleared interest rate swaps. The Company and the counterparty or clearing agency are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparty. Additionally, the Company’s centrally cleared interest rate swaps require that the Company posts an initial margin amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap’s maximum estimated single-day price movement. The Company also exchanges variation margin based upon daily changes in fair value, as measured by the exchange. Under U.S. GAAP, if the Company has a valid right of setoff, it may offset the related asset and liability and report the net amount. Based on rules governing certain central clearing activities, the exchange of variation margin is considered a settlement of the interest rate swap, as opposed to pledged collateral. Accordingly, the Company accounts for the receipt or payment of variation margin on Chicago Mercantile Exchange, or CME, and London Clearing House, or LCH, cleared positions as a direct reduction to the carrying value of the interest rate swap asset or liability. The receipt or payment of initial margin is accounted for separate from the interest rate swap asset or liability. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Company’s consolidated balance sheets when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the consolidated statements of cash flows. The Company presents derivative assets and liabilities (other than centrally cleared interest rate swaps) subject to master netting arrangements or similar agreements on a net basis, based on derivative type and counterparty, in its consolidated balance sheets. Separately, the Company presents cash collateral subject to such arrangements (other than variation margin on centrally cleared interest rate swaps) on a net basis, based on counterparty, in its consolidated balance sheets. However, the Company does not offset repurchase agreements, reverse repurchase agreements or derivative assets and liabilities (other than centrally cleared interest rate swaps) with the associated cash collateral on its consolidated balance sheets. The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of December 31, 2021 and December 31, 2020: 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, 2020 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 $ 124,023 $ (28,086) $ 95,937 $ (11,058) $ — $ 84,879 Reverse repurchase agreements 91,525 — 91,525 — (89,469) 2,056 Total Assets $ 215,548 $ (28,086) $ 187,462 $ (11,058) $ (89,469) $ 86,935 Liabilities Repurchase agreements $ (15,143,898) $ — $ (15,143,898) $ 15,143,898 $ — $ — Derivative liabilities (39,144) 28,086 (11,058) 11,058 — — Total Liabilities $ (15,183,042) $ 28,086 $ (15,154,956) $ 15,154,956 $ — $ — ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s consolidated balance sheets. |
Fair Value
Fair Value | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Fair Value Fair Value Measurements ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets ( i.e. , observable inputs) and the lowest priority to data lacking transparency ( i.e. , unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. ASC 820 establishes a three-level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels: Level 1 Inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity. Level 2 Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities. Level 3 Unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation. The following are descriptions of the valuation methodologies used to measure material assets and liabilities at fair value and details of the valuation models, key inputs to those models and significant assumptions utilized. Available-for-sale securities . The Company holds a portfolio of AFS securities that are carried at fair value in the consolidated balance sheets and primarily comprised of Agency RMBS and non-Agency securities. The Company determines the fair value of its Agency RMBS based upon prices obtained from third-party brokers and pricing vendors received using bid price, which are deemed indicative of market activity. The third-party pricing vendors use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. In determining the fair value of its non-Agency securities, management judgment may be used to arrive at fair value that considers prices obtained from third-party pricing vendors and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels, and credit losses). The Company classified 99.8% and 0.2% of its AFS securities as Level 2 and Level 3 fair value assets, respectively, at December 31, 2021. AFS securities account for 75.9% of all assets reported at fair value at December 31, 2021. Mortgage servicing rights . The Company holds a portfolio of MSR that are carried at fair value on the consolidated balance sheets. The Company determines fair value of its MSR based on prices obtained from third-party pricing vendors. Although MSR transactions may be observable in the marketplace, the details of those transactions are not necessarily reflective of the value of the Company’s MSR portfolio. Third-party vendors use both observable market data and unobservable market data (including forecasted prepayment speeds, delinquency levels, OAS, and cost to service) as inputs into models, which help to inform their best estimates of fair value market price. As a result, the Company classified 100% of its MSR as Level 3 fair value assets at December 31, 2021. Derivative instruments . The Company may enter into a variety of derivative financial instruments as part of its hedging strategies. The Company principally executes over-the-counter, or OTC, derivative contracts, such as interest rate swaps, swaptions, put and call options for TBAs and Markit IOS total return swaps. The Company utilizes third-party brokers to value its financial derivative instruments. The Company classified 100% of the interest rate swaps, swaptions and put and call options for TBAs reported at fair value as Level 2 at December 31, 2021. The Company did not hold any Markit IOS total return swaps at December 31, 2021. The Company may also enter into certain other derivative financial instruments, such as TBAs, short U.S. Treasuries, U.S. Treasury and Eurodollar futures and inverse interest-only securities. These instruments are similar in form to the Company’s AFS securities and the Company utilizes third-party vendors to value TBAs, short U.S. Treasuries, U.S. Treasury and Eurodollar futures and inverse interest-only securities. The Company classified 100% of its inverse interest-only securities at fair value as Level 2 at December 31, 2021. The Company reported 100% of its TBAs and U.S. Treasury and Eurodollar futures as Level 1 as of December 31, 2021. The Company did not hold any short U.S. Treasuries at December 31, 2021. The Company’s policy is to minimize credit exposure related to financial derivatives used for hedging by limiting the hedge counterparties to major banks, financial institutions, exchanges, and private investors who meet established capital and credit guidelines as well as by limiting the amount of exposure to any individual counterparty. The Company has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by ISDA, or central clearing exchange agreements, in the case of centrally cleared interest rate swaps. Additionally, both the Company and the counterparty or clearing agency are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparty. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting thresholds, credit exposure to the Company and/or to the counterparty or clearing agency is considered materially mitigated. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit. The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities: 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 December 31, 2020 (in thousands) Level 1 Level 2 Level 3 Total Assets: Available-for-sale securities $ — $ 14,637,891 $ 13,031 $ 14,650,922 Mortgage servicing rights — — 1,596,153 1,596,153 Derivative assets 33,737 62,200 — 95,937 Total assets $ 33,737 $ 14,700,091 $ 1,609,184 $ 16,343,012 Liabilities: Derivative liabilities $ 10,462 $ 596 $ — $ 11,058 Total liabilities $ 10,462 $ 596 $ — $ 11,058 The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from application of certain impairment measures under U.S. GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of December 31, 2021, the Company did not have any assets or liabilities measured at fair value on a nonrecurring basis in the periods presented. The valuation of Level 3 instruments requires significant judgment by the third-party pricing vendors and/or management. The third-party pricing vendors and/or management rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the third-party pricing vendors in the absence of market information. Assumptions used by the third-party pricing vendors due to lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s consolidated financial statements. The Company’s valuation committee reviews all valuations that are based on pricing information received from third-party pricing vendors. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable. In addition, the Company performs back-testing of pricing information to validate price information and identify any pricing trends of a third-party pricing vendors. In determining fair value, third-party pricing vendors use various valuation approaches, including market and income approaches. Inputs that are used in determining fair value of an instrument may include pricing information, credit data, volatility statistics, and other factors. In addition, inputs can be either observable or unobservable. The availability of observable inputs can vary by instrument and is affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. The third-party pricing vendor uses prices and inputs that are current as of the measurement date, including during periods of market dislocations. In periods of market dislocation, the availability of prices and inputs may be reduced for many instruments. This condition could cause an instrument to be reclassified to or from various levels within the fair value hierarchy. Securities that are priced using third-party broker quotations are valued at the bid price (in the case of long positions) or the ask price (in the case of short positions) at the close of trading on the date as of which value is determined. Exchange-traded securities for which no bid or ask price is available are valued at the last traded price. OTC derivative contracts, including interest rate swap and swaption agreements, put and call options for TBAs and U.S. Treasuries, U.S. Treasury and Eurodollar futures and Markit IOS total return swaps, are valued by the Company using observable inputs, specifically quotations received from third-party brokers. The following table presents the reconciliation for the Company’s Level 3 assets measured at fair value on a recurring basis: Year Ended December 31, 2021 2020 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Available-For-Sale Securities Mortgage Servicing Rights Beginning of period level 3 fair value $ 13,031 $ 1,596,153 $ 249,174 $ 1,909,444 Gains (losses) included in net income (loss): Realized (10,905) (677,784) (24,218) (544,157) Unrealized (1,185) (1) 562,843 (2) — (1) (391,540) (2) Reversal of (provision for) credit losses 11,188 — (10,593) — Net gains (losses) included in net income (loss) (902) (114,941) (34,811) (935,697) Other comprehensive (loss) income (9,449) — (4,963) — Purchases 11,201 777,305 — 623,284 Sales (1,577) (31,787) (214,673) 2,012 Settlements — (35,152) — (2,890) Gross transfers into level 3 — — 23,785 — Gross transfers out of level 3 — — (5,481) — 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 $ (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 $ (10,635) $ — $ 19,804 $ — ____________________ (1) The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option was recorded in gain (loss) on investment securities on the consolidated statements of comprehensive (loss) income. (2) The change in unrealized gains or losses on MSR was recorded in loss on servicing asset on the consolidated statements of comprehensive (loss) income. (3) The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option that were held at the end of the reporting period was recorded in gain (loss) on investment securities on the consolidated statements of comprehensive (loss) income. (4) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in loss on servicing asset on the consolidated statements of comprehensive (loss) income. The Company transferred certain AFS securities from Level 2 to Level 3 and from Level 3 to Level 2 based the observability of inputs during the year ended December 31, 2020. No additional AFS securities transfers between Level 1, Level 2 or Level 3 were made during the years ended December 31, 2021 and 2020. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. The Company used multiple third-party pricing vendors in the fair value measurement of its Level 3 AFS securities. The significant unobservable inputs used by the third-party pricing vendors included expected default, severity and discount rate. Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. The Company also used multiple third-party pricing vendors in the fair value measurement of its Level 3 MSR. The tables below present information about the significant unobservable market data used by the third-party pricing vendors as inputs into models utilized to inform their best estimates of the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at December 31, 2021 and December 31, 2020: 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, 2020 Valuation Technique Unobservable Input Range Weighted Average (1) Discounted cash flow Constant prepayment speed 14.1% - 23.5% 19.4% Delinquency 1.5% - 2.6% 2.2% Option-adjusted spread 4.7% - 9.7% 4.8% 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 the fair value measurement of MSR. Fair Value of Financial Instruments In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the consolidated balance sheets, for which fair value can be estimated. The following describes the Company’s methods for estimating the fair value for financial instruments. • 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. • Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments. The Company categorizes the fair value measurement of these assets as Level 1. • Reverse repurchase agreements have a carrying value which approximates fair value due to their short-term nature. The Company categorizes the fair value measurement of these assets as Level 2. • The carrying value of repurchase agreements and revolving credit facilities that mature in less than one year generally approximates fair value due to the short maturities. As of December 31, 2021, the Company had outstanding borrowings of $146.3 million under revolving credit facilities that are considered long-term. The Company’s long-term revolving credit facilities have floating rates based on an index plus a spread and the credit spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these borrowings are at market and thus carrying value approximates fair value. The Company categorizes the fair value measurement of these liabilities as Level 2. • Term notes payable are recorded at outstanding principal balance, net of any unamortized deferred debt issuance costs. In determining the fair value of term notes payable, management judgment may be used to arrive at fair value that considers prices obtained from third-party pricing vendors, broker quotes received and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels, and credit losses). The Company categorizes the fair value measurement of these liabilities as Level 2. • Convertible senior notes are carried at their unpaid principal balance, net of any unamortized deferred issuance costs. The Company estimates the fair value of its convertible senior notes using the market transaction price nearest to December 31, 2021. The Company categorizes the fair value measurement of these assets as Level 2. The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at December 31, 2021 and December 31, 2020: 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 |
Repurchase Agreements
Repurchase Agreements | 12 Months Ended |
Dec. 31, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Repurchase Agreements As of December 31, 2021 and December 31, 2020, the Company had outstanding $7.7 billion and $15.1 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 0.24% and 0.28% and weighted average remaining maturities of 67 and 58 days as of December 31, 2021 and December 31, 2020, respectively. The borrowing rates quoted by the Company’s repurchase agreement counterparties typically incorporate LIBOR or SOFR as the referenced rate, plus a spread. However, the trades are executed using the all-in rate with no reference to the index quoted. Additionally, all of the Company’s repurchase agreements mature prior to the phase out of LIBOR. See Note 2 - Basis of Presentation and Significant Accounting Policies for further discussion of the transition away from LIBOR. At December 31, 2021 and December 31, 2020, the repurchase agreement balances were as follows: (in thousands) December 31, December 31, Short-term $ 7,656,445 $ 15,143,898 Long-term — — Total $ 7,656,445 $ 15,143,898 At December 31, 2021 and December 31, 2020, the repurchase agreements had the following characteristics and remaining maturities: 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, 2020 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 5,330,627 $ 1,271 $ 38,608 $ — $ 5,370,506 30 to 59 days 4,292,861 — — — 4,292,861 60 to 89 days 2,060,087 628 1,519 — 2,062,234 90 to 119 days 1,598,052 — 12,146 — 1,610,198 120 to 364 days 1,808,099 — — — 1,808,099 Total $ 15,089,726 $ 1,899 $ 52,273 $ — $ 15,143,898 Weighted average borrowing rate 0.28 % 2.33 % 0.89 % — % 0.28 % The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements: (in thousands) December 31, December 31, 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 ____________________ (1) MSR repurchase agreements are secured by the VFN issued in connection with the 2019 MSR securitization transaction, which is collateralized by the Company’s MSR. Although the transactions under repurchase agreements represent committed borrowings until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls. The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at December 31, 2021 and December 31, 2020: December 31, 2021 December 31, 2020 (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 Credit Suisse $ 125,000 $ 353,975 13 % 181 $ — $ — — % 0 All other counterparties (2) 7,531,445 314,258 11 % 65 15,143,898 527,045 17 % 58 Total $ 7,656,445 $ 668,233 $ 15,143,898 $ 527,045 ____________________ (1) Represents the net carrying value of the assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. (2) Represents amounts outstanding with 19 and 20 counterparties at December 31, 2021 and December 31, 2020, respectively. The Company does not anticipate any defaults by its repurchase agreement counterparties. There can be no assurance, however, that any such default or defaults will not occur. |
Revolving Credit Facilities
Revolving Credit Facilities | 12 Months Ended |
Dec. 31, 2021 | |
Revolving Credit Facilities [Abstract] | |
Revolving Credit Facilities | Revolving Credit Facilities To finance MSR assets and related servicing advance obligations, the Company has entered into revolving credit facilities collateralized by the value of the MSR and/or servicing advances pledged. As of December 31, 2021 and December 31, 2020, the Company had outstanding short- and long-term borrowings under revolving credit facilities of $420.8 million and $283.8 million with a weighted average borrowing rate of 3.46% and 2.95% and weighted average remaining maturities of 1.2 and 1.1 years, respectively. As of December 31, 2021, each of the Company’s revolving credit facilities incorporates LIBOR as either the referenced rate or an alternative rate if the primary benchmark rate is unavailable. However, each facility has provisions in place that provide for an alternative to LIBOR upon its phase-out. See Note 2 - Basis of Presentation and Significant Accounting Policies for further discussion of the transition away from LIBOR. At December 31, 2021 and December 31, 2020, borrowings under revolving credit facilities had the following remaining maturities: (in thousands) December 31, December 31, 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 Although the transactions under revolving credit facilities represent committed borrowings from the time of funding until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets below a designated threshold would require the Company to provide additional collateral or pay down the facility. As of December 31, 2021 and December 31, 2020, MSR with a carrying value of $904.8 million and $608.8 million, respectively, was pledged as collateral for the Company’s future payment obligations under its MSR revolving credit facilities. As of December 31, 2021 and December 31, 2020, servicing advances with a carrying value of $33.8 million and $28.5 million, respectively, were pledged as collateral for the Company’s future payment obligations under its servicing advance revolving credit facility. The Company does not anticipate any defaults by its revolving credit facility counterparties, although there can be no assurance that any such default or defaults will not occur. |
Term Notes Payable
Term Notes Payable | 12 Months Ended |
Dec. 31, 2021 | |
Term Notes Payable [Abstract] | |
Term Notes Payable | Term Notes Payable The debt issued in connection with the Company’s on-balance sheet securitization is classified as term notes payable and carried at outstanding principal balance, which was $400.0 million as of both December 31, 2021 and December 31, 2020, net of any unamortized deferred debt issuance costs, on the Company’s consolidated balance sheets. As of December 31, 2021 and December 31, 2020, the outstanding amount due on term notes payable was $396.8 million and $395.6 million, net of deferred debt issuance costs, with a weighted average interest rate of 2.90% and 2.95% and weighted average remaining maturities of 2.5 years and 3.5 years. The Company’s term notes incorporate LIBOR as the referenced rate and mature after the phase-out of LIBOR. However, the related agreements have provisions in place that provide for an alternative to LIBOR upon its phase-out. See Note 2 - Basis of Presentation and Significant Accounting Policies for further discussion of the transition away from LIBOR. At December 31, 2021 and December 31, 2020, the Company pledged MSR with a carrying value of $500.0 million and $537.9 million and weighted average underlying loan coupon of 3.36% and 4.03%, respectively, as collateral for term notes payable. Additionally, as of December 31, 2021 and December 31, 2020, $0.2 million and $55.2 million of cash was held in restricted accounts as collateral for the future payment obligations of outstanding term notes payable, respectively. |
Convertible Senior Notes
Convertible Senior Notes | 12 Months Ended |
Dec. 31, 2021 | |
Debt Disclosure [Abstract] | |
Convertible Senior Notes | Convertible Senior Notes In January 2017, the Company closed an underwritten public offering of $287.5 million aggregate principal amount of convertible senior notes due 2022 (“2022 notes”). The net proceeds from the offering were approximately $282.2 million after deducting underwriting discounts and estimated offering expenses payable by the Company. The Company used a portion of the net proceeds from the offering of 2026 notes (defined below) to fund the repurchase via privately negotiated transactions of $143.7 million principal amount of its 2022 notes. As of December 31, 2021, $143.8 million principal amount of the 2022 notes remained outstanding, and these remaining 2022 notes matured pursuant to their terms in January 2022. The 2022 notes were unsecured, paid interest semiannually at a rate of 6.25% per annum and were convertible at the option of the holder into shares of the Company’s common stock. As of December 31, 2021 and December 31, 2020, the 2022 notes had a conversion rate of 63.2040 and 63.2040 shares of common stock per $1,000 principal amount of the notes, respectively . In February 2021, the Company closed an underwritten public offering of $287.5 million aggregate principal amount of convertible senior notes due 2026 (“2026 notes”). The net proceeds from the offering were approximately $279.9 million after deducting underwriting discounts and estimated offering expenses payable by the Company. The 2026 notes are unsecured, pay interest semiannually at a rate of 6.25% per annum and are convertible at the option of the holder into shares of the Company’s common stock. As of December 31, 2021, the 2026 notes had a conversion rate of 135.5014 shares of common stock per $1,000 principal amount of the notes. The 2026 notes will mature in January 2026, unless earlier converted or repurchased in accordance with their terms. The Company does not have the right to redeem either the 2026 notes prior to maturity, but may repurchase the 2026 notes in open market or privately negotiated transactions at the same or differing price without giving prior notice to or obtaining any consent of the holders. The Company may also be required to repurchase the notes from holders under certain circumstances. The aggregate outstanding amount due on the 2022 notes and 2026 notes as of December 31, 2021 and December 31, 2020 was $424.8 million and $286.2 million, respectively, net of deferred issuance costs. |
Commitment and Contingencies
Commitment and Contingencies | 12 Months Ended |
Dec. 31, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies The following represent the material commitments and contingencies of the Company as of December 31, 2021: Legal and regulatory. From time to time, the Company may be subject to liability under laws and government regulations and various claims and legal actions arising in the ordinary course of business. Under ASC 450, Contingencies , or ASC 450, liabilities are established for legal claims when payments associated with the claims become probable and the costs can be reasonably estimated. The actual costs of resolving legal claims may be substantially higher or lower than the amounts established or the range of reasonably possible loss disclosed for those claims. As previously disclosed, on April 13, 2020, the Company announced that it had elected not to renew the Management Agreement with PRCM Advisers. Subsequently, on July 15, 2020, the Company provided PRCM Advisers with a notice of termination of the Management Agreement for “cause” in accordance with Section 15(a) of the Management Agreement. The Company terminated the Management Agreement for “cause” on the basis of certain material breaches and certain events of gross negligence on the part of PRCM Advisers in the performance of its duties under the Management Agreement. On July 21, 2020, PRCM Advisers filed a complaint against the Company in the United States District Court for the Southern District of New York, or the Court. Subsequently, PRCM Advisers filed an amended complaint, or the Federal Complaint, on September 4, 2020. The Federal Complaint alleges, among other things, the misappropriation of trade secrets in violation of both the Defend Trade Secrets Act and New York common law, breach of contract, breach of the implied covenant of good faith and fair dealing, unfair competition and business practices, unjust enrichment, conversion, and tortious interference with contract. The Federal Complaint seeks, among other things, an order enjoining the Company from making any use of or disclosing PRCM Advisers’ trade secret, proprietary, or confidential information; damages in an amount to be determined at a hearing and/or trial; disgorgement of the Company’s wrongfully obtained profits; and fees and costs incurred by PRCM Advisers in pursuing the action. On September 25, 2020, the Company filed a motion to dismiss the Federal Complaint. PRCM Advisers thereafter filed an opposition to the motion to dismiss on October 16, 2020, and on October 26, 2020, the Company filed its reply. On June 23, 2021, the Court granted in part and denied in part the Company’s motion to dismiss. The Court dismissed PRCM Advisers’ claims challenging the termination of the Management Agreement, including PRCM Advisers’ claims for breach of contract with respect to Sections 13(a) and 15 of the Management Agreement and for breach of the implied covenant of good faith and fair dealing, as well as certain of PRCM Advisers’ other claims. On July 7, 2021, PRCM Advisers filed a motion for leave to amend the Federal Complaint for the purpose of amending certain allegations related to PRCM Advisers’ claim for breach of contract with respect to Section 15 of the Management Agreement, and the purpose of adding Pine River Domestic Management L.P. and Pine River Capital Management L.P. as plaintiffs. On July 21, 2021, the Company filed an opposition to the motion to amend, and on July 28, 2021, PRCM Advisers filed its reply. On October 18, 2021, the Court granted PRCM Advisers’ motion for leave to amend the Federal Complaint, and deemed PRCM Advisers’ second amended complaint served. On November 17, 2021, the Company filed its answer and counterclaims against PRCM Advisers and Pine River Capital Management L.P. in the Court. On December 17, 2021, PRCM Advisers and Pine River Capital Management L.P. filed their answer to the Company’s counterclaims. The Company’s board of directors believes the Federal Complaint is without merit and that the Company has fully complied with the terms of the Management Agreement. As of December 31, 2021, the Company’s consolidated financial statements do not recognize a contingency liability or disclose a range of reasonably possible loss under ASC 450 because management does not believe that a loss or expense related to the Federal Complaint is probable or reasonably estimable. The specific factors that limit the Company’s ability to reasonably estimate a loss or expense related to the Federal Complaint include that the matter is in early stages and no amount of damages has been specified. If and when management believes losses associated with the Federal Complaint are a probable future event that may result in a loss or expense to the Company and the loss or expense is reasonably estimable, the Company will recognize a contingency liability and resulting loss in such period. Separately, the staff of the SEC conducted a non-public investigation in connection with the Company’s decisions not to renew its Management Agreement with PRCM Advisers on the basis of unfair compensation payable to PRCM Advisers in accordance with Section 13(a)(ii) of the Management Agreement and to terminate its Management Agreement with PRCM Advisers for “cause” in accordance with Section 15 of the Management Agreement. The Company fully cooperated with the SEC. On January 5, 2022, the SEC informed the Company that it had concluded its investigation as to the Company and that, based on the information provided to the SEC as of such date, it did not intend to recommend any enforcement action against the Company. The Company’s consolidated financial statements do not recognize a contingency liability or disclose a range of reasonably possible loss as of December 31, 2021. Based on information currently available, management is not aware of any other legal or regulatory claims that would have a material effect on the Company’s consolidated financial statements and therefore no accrual is required as of December 31, 2021. |
Stockholders' Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 2021 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders’ Equity Redeemable Preferred Stock The following is a summary of the Company’s series of cumulative redeemable preferred stock issued and outstanding as of December 31, 2021. In the event of a voluntary or involuntary liquidation, dissolution or winding up of the Company, each series of preferred stock will rank on parity with one another and rank senior to the Company's common stock with respect to the payment of the dividends and the distribution of assets. (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 redeemable preferred stock will remain at an annual fixed rate of the $25.00 per share liquidation preference from the issuance date up to but not including the transition date disclosed within. Effective as of the fixed-to-floating rate conversion date and onward, dividends will accumulate on a floating rate basis according to the terms disclosed within (3) below. (3) On and after the fixed-to-floating rate conversion date, the dividend will accumulate and be payable quarterly at a percentage of the $25.00 per share liquidation preference equal to an annual floating rate of three-month LIBOR plus the spread indicated within each preferred class. Each series that becomes callable at the time the stock begins to pay a LIBOR-based rate has existing LIBOR cessation fallback language. For each series of preferred stock, the Company may redeem the stock on or after the redemption date in whole or in part, at any time or from time to time. The Company may also purchase shares of preferred stock from time to time in the open market by tender or in privately negotiated transactions. Each series of preferred stock has a par value of $0.01 per share and a liquidation and redemption price of $25.00, plus any accumulated and unpaid dividends thereon up to, but excluding, the redemption date. Through December 31, 2021, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. On February 4, 2021, the Company announced the redemption of all outstanding shares of the Company’s 7.75% Series D Cumulative Redeemable Preferred Stock and 7.5% Series E Cumulative Redeemable Preferred Stock. The redemption date for each series was March 15, 2021 and holders of record as of such date received the redemption payment of $25.00, plus any accumulated and unpaid dividends thereon up to, but excluding, the redemption date. Common Stock Public Offerings On July 14, 2021, the Company completed a public offering of 40,000,000 shares of its common stock. The underwriters purchased the shares from the Company at a price of $6.42 per share, for net proceeds to the Company of approximately $256.5 million after deducting offering expenses. The underwriters did not exercise any portion of their 30-day overallotment option to purchase up to 6,000,000 additional shares. On October 28, 2021, the Company completed a public offering of 30,000,000 shares of its common stock. The underwriters purchased the shares from the Company at a price of $6.468 per share, for net proceeds to the Company of approximately $193.7 million after deducting offering expenses. The underwriters did not exercise any portion of their 30-day overallotment option to purchase up to 4,500,000 additional shares. As of December 31, 2021, the Company had 343,911,324 shares of common stock outstanding. The following table presents a reconciliation of the common shares outstanding for the years ended December 31, 2021, 2020 and 2019: Number of common shares Common shares outstanding, December 31, 2018 248,085,721 Issuance of common stock 24,439,436 Repurchase of common stock (1,500) Non-cash equity award compensation (1) 412,074 Common shares outstanding, December 31, 2019 272,935,731 Issuance of common stock 61,225 Repurchase of common stock (105,300) Non-cash equity award compensation (1) 812,226 Common shares outstanding, December 31, 2020 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 ____________________ (1) See Note 17 - Equity Incentive Plans for further details regarding the Company’s Equity Incentive Plans. Distributions to Stockholders The following table presents cash dividends declared by the Company on its preferred and common stock during the years ended December 31, 2021, 2020 and 2019: 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 ____________________ (1) On March 15, 2021, the Company redeemed all outstanding shares of the Company’s Series D Preferred Stock and Series E Preferred Stock. Holders of record as of such date received the redemption payment of $25.00, plus any accumulated and unpaid dividends thereon up to, but excluding, the redemption date. On March 24, 2020, as a result of the volatile market conditions related to the COVID-19 pandemic, the Company announced that it had suspended its first quarter 2020 preferred and common stock dividends in order to preserve liquidity and long-term stockholder value. Subsequently, on April 6, 2020, the Company’s board of directors declared its first quarter 2020 preferred stock dividends, as well as an interim common stock dividend of $0.05 per share. Pursuant to their terms, all unpaid dividends on the Company’s preferred stock accrue without interest. Dividend Reinvestment and Direct Stock Purchase Plan The Company sponsors a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of the Company’s common stock by reinvesting some or all of the cash dividends received on shares of the Company’s common stock. Stockholders may also make optional cash purchases of shares of the Company’s common stock subject to certain limitations detailed in the plan prospectus. The plan allows for the issuance of up to an aggregate of 3,750,000 shares of the Company’s common stock. As of December 31, 2021, 384,032 shares have been issued under the plan for total proceeds of approximately $5.7 million, of which 52,819, 61,225 and 42,136 shares were issued for total proceeds of $0.4 million, $0.4 million and $0.6 million during the years ended December 31, 2021, 2020 and 2019, respectively. Share Repurchase Program The Company’s share repurchase program allows for the repurchase of up to an aggregate of 37,500,000 shares of the Company’s common stock. Shares may be repurchased from time to time through privately negotiated transactions or open market transactions, pursuant to a trading plan in accordance with Rules 10b5-1 and 10b-18 under the Securities Exchange Act of 1934, as amended, or the Exchange Act, or by any combination of such methods. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The share repurchase program does not require the purchase of any minimum number of shares, and, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. The share repurchase program does not have an expiration date. As of December 31, 2021, a total of 12,174,300 shares had been repurchased by the Company under the program for an aggregate cost of $201.5 million; of these, 105,300 and 1,500 shares were repurchased for a total cost of $1.1 million and $19 thousand during the years ended December 31, 2020 and 2019, respectively. No shares were repurchased during the year ended December 31, 2021. At-the-Market Offerings The Company is party to an amended and restated equity distribution agreement under which the Company is authorized to sell up to an aggregate of 35,000,000 shares of its common stock from time to time in any method permitted by law deemed to be an “at the market” offering as defined in Rule 415 under the Securities Act of 1933, as amended, or the Securities Act. As of December 31, 2021, 7,502,435 shares of common stock had been sold under the equity distribution agreements for total accumulated net proceeds of approximately $128.7 million, of which 12,200 and 3,697,300 shares were sold for net proceeds of $0.1 million and $51.0 million during the years ended December 31, 2021 and 2019, respectively. No shares were sold during the year ended December 31, 2020. Accumulated Other Comprehensive Income Accumulated other comprehensive income at December 31, 2021 and December 31, 2020 was as follows: (in thousands) December 31, December 31, Available-for-sale securities: Unrealized gains $ 208,619 $ 661,734 Unrealized losses (22,273) (20,133) Accumulated other comprehensive income $ 186,346 $ 641,601 Reclassifications out of Accumulated Other Comprehensive Income The Company reclassifies unrealized gains and losses on AFS securities in accumulated other comprehensive income to net income (loss) upon the recognition of any other-than-temporary impairments and realized gains and losses on sales, net of income tax effects, as individual securities are impaired or sold. The following table summarizes reclassifications out of accumulated other comprehensive income for the years ended December 31, 2021, 2020 and 2019: 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) |
Equity Incentive Plans
Equity Incentive Plans | 12 Months Ended |
Dec. 31, 2021 | |
Share-based Payment Arrangement [Abstract] | |
Equity Incentive Plans | Equity Incentive Plans On May 19, 2021, the Company’s stockholders approved the 2021 Plan, which replaced the 2009 Plan. The 2021 Plan provides for the issuance of up to 17,000,000 shares of the Company’s common stock pursuant to awards granted thereunder. Awards previously granted under the 2009 Plan remain outstanding and valid in accordance with their terms, but no new awards will be granted under the 2009 Plan. The Company’s Equity Incentive Plans provide incentive compensation to attract and retain qualified directors, officers, personnel and other parties who may provide significant services to the Company. The Equity Incentive Plans are administered by the compensation committee of the Company’s board of directors. The compensation committee has the full authority to administer and interpret the Equity Incentive Plans, to authorize the granting of awards, to determine the eligibility of potential recipients to receive an award, to determine the number of shares of common stock to be covered by each award (subject to the individual participant limitations provided in the Equity Incentive Plans), to determine the terms, provisions and conditions of each award (which may not be inconsistent with the terms of the Equity Incentive Plans), to prescribe the form of instruments evidencing awards and to take any other actions and make all other determinations that it deems necessary or appropriate in connection with the Equity Incentive Plans or the administration or interpretation thereof. In connection with this authority, the compensation committee may, among other things, establish performance goals that must be met in order for awards to be granted or to vest, or for the restrictions on any such awards to lapse. The Equity Incentive Plans provide for grants of restricted common stock, RSUs, performance-based awards (including PSUs), phantom shares, dividend equivalent rights and other equity-based awards. The 2021 Plan is subject to a ceiling of 17,000,000 shares and the 2009 Plan is subject to a ceiling of 6,500,000 shares of the Company’s common stock; however, following stockholder approval of the 2021 Plan, no new awards will be granted under the 2009 Plan. The Equity Incentive Plans allow for the Company’s board of directors to expand the types of awards available under the Equity Incentive Plans to include long-term incentive plan units in the future. If an award granted under the Equity Incentive Plans expires or terminates, the shares subject to any portion of the award that expires or terminates without having been exercised or paid, as the case may be, will again become available for the issuance of additional awards. Unless earlier terminated by the Company’s board of directors, no new award may be granted under the Equity Incentive Plans after the tenth anniversary of the date that the Equity Incentive Plans were approved by the Company’s board of directors. No award may be granted under the Equity Incentive Plans to any person who, assuming payment of all awards held by such person, would own or be deemed to own more than 9.8% of the outstanding shares of the Company’s common stock. Restricted Stock Units During the year ended December 31, 2021, the Company granted 147,199 RSUs to its independent directors pursuant to the Equity Incentive Plans. The estimated fair value of these awards was $7.15 per share on grant date, based on the adjusted closing market price of the Company’s common stock on the NYSE on such date. The shares underlying the grants are subject to a one During the year ended December 31, 2021, the Company granted 1,189,518 RSUs to certain eligible employees pursuant to the terms of the Equity Incentive Plans and the associated award agreements. The estimated weighted average fair value of these awards was $7.10 per share on grant date, based on the adjusted closing market price of the Company’s common stock on the NYSE on the grant dates. The RSUs vest in three All RSUs entitle the grantee to receive dividend equivalent rights, or DERs, during the vesting period. A DER represents the right to receive a payment equal to the amount of cash dividends declared and payable on the grantee’s unvested and outstanding equity incentive awards. In the case of RSUs, DERs are paid in cash within 60 days of the quarterly dividend payment date based on the number of unvested and outstanding RSUs held by the grantee on the applicable dividend record date. In the event that an RSU is forfeited, the related DERs which have not yet been paid shall be forfeited. The following table summarizes the activity related to RSUs for the years ended December 31, 2021 and 2020: 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 — $ — Performance Share Units During the year ended December 31, 2021, the Company granted 511,473 target number of PSUs to certain eligible employees pursuant to the terms of the 2021 Plan and the associated award agreements. The estimated fair value of these awards was $8.67 per share on grant date, which was determined using a Monte Carlo simulation. The PSUs will vest promptly following the completion of a three The following table summarizes the activity related to PSUs for the years ended December 31, 2021 and 2020: 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 — $ — Restricted Common Stock During the years ended December 31, 2021 and 2020, the Company granted 20,979 and 168,942 shares of common stock, respectively, to certain of its independent directors pursuant to the Equity Incentive Plans. The estimated fair value of these awards was $7.15 and $4.75 per share on grant date, based on the adjusted closing market price of the Company’s common stock on the NYSE on such date. The shares underlying the 2021 grants vested immediately, while the shares underlying the 2020 grants were subject to a one Additionally, during the year ended December 31, 2020, the Company granted 686,770 shares of restricted common stock, to the Company’s executive officers and other eligible individuals, pursuant to the terms of the Equity Incentive Plans and the associated award agreements. The estimated fair value of these awards was $15.23 per share on grant date, based on the adjusted closing market price of the Company’s common stock on the NYSE on such date. The shares underlying the grants vest in three The following table summarizes the activity related to restricted common stock for the years ended December 31, 2021 and 2020: 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 Non-Cash Equity Compensation Expense For the years ended December 31, 2021, 2020 and 2019, the Company recognized compensation related to RSUs, PSUs and restricted common stock granted pursuant to the Equity Incentive Plans of $11.5 million, $9.7 million and $9.2 million respectively. As of December 31, 2021, the Company had $6.5 million of total unrecognized compensation cost related to nonvested share-based compensation arrangements. This cost is expected to be recognized over a weighted average period of 1.1 years. |
Restructuring Charges
Restructuring Charges | 12 Months Ended |
Dec. 31, 2021 | |
Restructuring and Related Activities [Abstract] | |
Restructuring Charges | Restructuring Charges On April 13, 2020, the Company announced that it had elected to not renew the Management Agreement with PRCM Advisers on the basis of unfair compensation payable to the manager pursuant to Section 13(a)(ii) of the Management Agreement. As a result, the Company had expected the Management Agreement to terminate on September 19, 2020 , at which time the Company would have been required to pay a termination fee equal to three times the sum of the average annual base management fee earned by PRCM Advisers during the 24-month period immediately preceding the date of termination, c alculated as of the end of the most recently completed fiscal quarter prior to the date of termination , pursuant to the terms of the Management Agreement. The termination fee was calculated to be $139.8 million based on results as of June 30, 2020 and recorded during the three months ended June 30, 2020. On July 15, 2020, the Company provided PRCM Advisers with a notice of termination of the Management Agreement for “cause” on the basis of certain material breaches of the Management Agreement by PRCM Advisers, its agents and/or its assignees that are incapable of being cured within the time period set forth therein and certain events of gross negligence on the part of PRCM Advisers in the performance of its duties under the Management Agreement. The Management Agreement subsequently terminated on August 14, 2020. No termination fee was payable to PRCM Advisers in connection with such termination pursuant to Section 15(a) of the Management Agreement. In connection with the termination of the Management Agreement for cause, the Company reversed the $139.8 million accrued fee attributable to the non-renewal during the three months ended September 30, 2020. For the year ended December 31, 2020, the Company incurred a total of $5.7 million in contract termination costs, which includes all estimated costs incurred for legal and advisory services provided to facilitate the termination of the Management Agreement. In accordance with ASC 420, Exit or Disposal Cost Obligations |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the years ended December 31, 2021, 2020 and 2019, the Company qualified to be taxed as a REIT under the Code for U.S. federal income tax purposes. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes its net taxable income to stockholders, and does not engage in prohibited transactions. The Company intends to distribute 100% of its REIT taxable income and comply with all requirements to continue to qualify as a REIT. The majority of states also recognize the Company’s REIT status. The Company’s TRSs file separate tax returns and are fully taxed as standalone U.S. C corporations. It is assumed that the Company will retain its REIT status and will incur no REIT level taxation as it intends to comply with the REIT regulations and annual distribution requirements. Certain activities the Company performs may produce income that will not be qualifying income for REIT purposes. These activities include the designated portion of MSR treated as normal mortgage servicing, residential mortgage loans, certain derivative financial instruments and other risk-management instruments. The Company has designated its TRSs to engage in these activities. The following table summarizes the tax provision (benefit) recorded at the taxable subsidiary level for the years ended December 31, 2021, 2020 and 2019: 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) During the year ended December 31, 2021, the Company’s TRSs recognized a provision for income taxes of $4.2 million, which was primarily due to income from MSR servicing activity and gains recognized on MSR, offset by net losses recognized on derivative instruments and operating expenses. During the year ended December 31, 2020, the Company’s TRSs recognized a benefit from income taxes of $35.7 million, which was primarily due to losses recognized on MSR, offset by net gains recognized on derivative instruments held in the Company’s TRSs. During the year ended December 31, 2019, the Company’s TRSs recognized a benefit from income taxes of $13.6 million, which was primarily due to losses recognized on MSR, offset by net gains recognized on derivative instruments held in the Company’s TRSs. The Company’s taxable income before dividend distributions differs from its pre-tax net income for U.S. GAAP purposes primarily due to unrealized gains and losses, the deferral of capital losses and operating losses for tax, the recognition of credit losses for U.S. GAAP purposes but not tax purposes, differences in timing of income recognition due to market discount and original issue discount and the calculations surrounding each. These book to tax differences in the REIT are not reflected in the consolidated financial statements as the Company intends to retain its REIT status. As of December 31, 2021, the Company had $641.1 million of net operating loss carryforwards for federal income tax purposes at the REIT, which may be utilized to offset future taxable income after consideration for the dividends paid deduction. These federal net operating loss carryforwards do not have an expiration date and can be carried forward indefinitely. As of December 31, 2021, the Company had $1.2 billion of capital net operating loss carryforwards for federal income tax purposes at the REIT, which may be utilized to offset future net gains from the sale of capital assets. These federal capital net operating loss carryforwards have an expiration date of five years of which the majority of these losses will expire in 2025. The utilization of the capital net operating loss carryforwards will depend on the REIT’s ability to generate sufficient net capital gains prior to the expiration of the carryforward period. The following is a reconciliation of the statutory federal and state rates to the effective rates, for the years ended December 31, 2021, 2020 and 2019: 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) % ____________________ (1) The provision for (benefit from) income taxes is recorded at the taxable subsidiary level. The Company’s permanent differences in taxable income from net income (loss) for U.S. GAAP purposes in the year ended December 31, 2021 were primarily due to state taxes, net of federal benefit in the Company’s TRSs. The Company’s permanent differences in taxable income from net income (loss) for U.S. GAAP purposes in the year ended December 31, 2020 were primarily due to the intercompany sale of securities between the Company’s TRSs and the REIT. The Company’s permanent differences in taxable income from net income (loss) for U.S. GAAP purposes in the year ended December 31, 2019 were primarily due to dividends paid from the Company’s TRSs to the REIT, offset by permanent differences related to the intercompany sale of securities between the Company’s TRSs and the REIT. Additionally, the Company’s recurring permanent differences in taxable income from net income (loss) for U.S. GAAP purposes in the years ended December 31, 2021, 2020 and 2019 were due to a difference in the dividends paid deduction for tax and compensation expense related to restricted stock dividends and vesting. The Company’s consolidated balance sheets, as of December 31, 2021 and December 31, 2020 contain the following current and deferred tax liabilities and assets, which are included in other assets, and are recorded at the taxable subsidiary level: (in thousands) December 31, December 31, 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 Deferred Tax Assets and Liabilities Deferred income taxes reflect the net tax effect of temporary differences between the carrying amount of assets and liabilities for financial reporting and tax purposes at the TRS level. Components of the Company’s deferred tax liabilities and assets as of December 31, 2021 and December 31, 2020 were as follows: (in thousands) December 31, December 31, 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 As of December 31, 2021 and December 31, 2020, the Company had not recorded a valuation allowance for any portion of its deferred tax assets as it did not believe, at a more likely than not level, that any portion of its deferred tax assets would not be realized. Based on the Company’s evaluation, it has been concluded that there are no significant uncertain tax positions requiring recognition in the Company’s consolidated financial statements of a contingent tax liability for uncertain tax positions. Additionally, there were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements. |
Earnings Per Share
Earnings Per Share | 12 Months Ended |
Dec. 31, 2021 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share The following table presents a reconciliation of the earnings (loss) and shares used in calculating basic and diluted earnings (loss) per share for the years ended December 31, 2021, 2020 and 2019: 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 ___________________ (1) If applicable, includes a nondiscretionary adjustment for the assumed change in the management fee calculation. For the year ended December 31, 2021, participating RSUs were included in the calculations of basic and diluted earnings per share under the two-class method since it was more dilutive than the alternative treasury stock method. For the year ended December 31, 2021, the assumed vesting of outstanding PSUs was included in the calculation of diluted earnings per share under the two-class method since it was more dilutive than the alternative treasury stock method. The Company did not have any RSUs or PSUs outstanding during the years ended December 31, 2020 and 2019. For the years ended December 31, 2021, 2020 and 2019, excluded from the calculation of diluted earnings per share was the effect of adding back $28.0 million, $19.2 million and $19.0 million of interest expense and 50,222,268, 18,171,150 and 18,128,792 weighted average common share equivalents, respectively, related to the assumed conversion of the Company’s convertible senior notes, as their inclusion would have been antidilutive. |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2021 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions The following summary provides disclosure of the material transactions with affiliates of the Company. Through August 14, 2020, the Company was externally managed and advised by PRCM Advisers under the terms of a Management Agreement between the Company and PRCM Advisers. The Company terminated the Management Agreement effective August 14, 2020 for “cause” in accordance with Section 15(a) thereof. On August 15, 2020, the Company completed its transition to self-management and directly hired the senior management team and other personnel who had historically provided services to the Company. Prior to the termination of the Management Agreement, all of our named executive officers were employees of an affiliate of PRCM Advisers and provided services to us under the Management Agreement. Prior to the termination of the Management Agreement, PRCM Advisers was responsible for administering the Company’s business activities and day-to-day operations, at all times subject to the supervision and oversight of the Company’s board of directors. Under the Management Agreement, PRCM Advisers was required to provide the Company with its personnel, including its executive officers, investment professionals and other support personnel. The Company did not have its own employees. Each of the Company’s executive officers was an employee or partner of an affiliate of PRCM Advisers. The Company paid PRCM Advisers a management fee equal to 1.5% per annum, calculated and payable quarterly in arrears, of the Company’s stockholders’ equity, and reimbursed it for certain expenses, as described below. For purposes of calculating the management fee, the Company’s stockholders’ equity represented the sum of the net proceeds from all issuances of the Company’s equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus the Company’s retained earnings at the end of the most recently completed calendar quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount that the Company has paid for repurchases of its common stock since inception, and excluding any unrealized gains, losses or other items that do not affect realized net income (regardless of whether such items are included in other comprehensive income or loss, or in net income), among other certain adjustments outlined in the Management Agreement. The base management fee was subject to other adjustments from time to time, as described in the Management Agreement. In accordance with the Management Agreement, the Company incurred $31.7 million and $60.1 million as a management fee to PRCM Advisers for the years ended December 31, 2020 and 2019, respectively. Additionally, prior to the termination of the Management Agreement, the Company reimbursed PRCM Advisers for (a) the Company’s allocable share of the compensation paid by PRCM Advisers to its personnel serving as the Company’s principal financial officer and general counsel and personnel employed by PRCM Advisers as in-house legal, tax, accounting, consulting, auditing, administrative, information technology, valuation, computer programming and development and back-office resources to the Company, (b) any amounts for personnel of PRCM Advisers’ affiliates arising under a shared facilities and services agreement, and (c) certain costs allocated to the Company by PRCM Advisers for data services and technology. In accordance with the Management Agreement, expense reimbursements to PRCM Advisers were required to be made in cash on a quarterly basis following the end of each quarter. The Company reimbursed PRCM Advisers for direct and allocated costs incurred by PRCM Advisers on behalf of the Company of approximately $19.3 million and $27.6 million for the years ended December 31, 2020 and 2019, respectively. Following the termination of the Management Agreement, the Company no longer pays a management fee to, or reimburses the expenses of, PRCM Advisers. Expenses for which the Company previously reimbursed PRCM Advisers are now paid directly by the Company. The Company is also now responsible for the cash compensation and employee benefits of the Company’s Chief Executive Officer, Chief Investment Officer and investment professionals, which were previously the responsibility of PRCM Advisers. Prior to the termination of the Management Agreement, the Company was only responsible for the equity compensation paid to such individuals. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent EventsEvents subsequent to December 31, 2021 were evaluated through the date these consolidated financial statements were issued and no other additional events were identified requiring further disclosure in these consolidated financial statements. |
Basis of Presentation and Sig_2
Basis of Presentation and Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2021 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Consolidation and Basis of Presentation | Consolidation and Basis of Presentation The accompanying consolidated financial statements include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. All trust entities in which the Company holds investments that are considered variable interest entities, or VIEs, for financial reporting purposes were reviewed for consolidation under the applicable consolidation guidance. Whenever the Company has both the power to direct the activities of a trust that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trust. The accounting and reporting policies of the Company conform to U.S. generally accepted accounting principles, or U.S. GAAP. Certain prior period amounts have been reclassified to conform to the current period presentation. |
Use of Estimates | Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates ( e.g. , valuation changes due to supply and demand in the market, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. |
Variable Interest Entities | Variable Interest Entities During the year ended December 31, 2019, the Company formed a trust entity, or the MSR Issuer Trust, for the purpose of financing MSR through securitization. On June 27, 2019, the Company, through the MSR Issuer Trust, completed an MSR securitization transaction pursuant to which, through two of the Company’s wholly owned subsidiaries, MSR is pledged to the MSR Issuer Trust and in return, the MSR Issuer Trust issued (a) an aggregate principal amount of $400.0 million in term notes to qualified institutional buyers and (b) a variable funding note, or VFN, with a maximum principal balance of $1.0 billion to one of the subsidiaries, in each case secured on a pari passu basis. The term notes will mature on June 25, 2024 or, if extended pursuant to the terms of the related indenture supplement, June 25, 2026 (unless earlier redeemed in accordance with their terms). During the year ended December 31, 2020, the Company formed a trust entity, or the Servicing Advance Receivables Issuer Trust, for the purpose of financing servicing advances through a revolving credit facility, pursuant to which the Servicing Advance Receivables Issuer Trust issued a VFN backed by servicing advances pledged to the financing counterparty. |
Available-for-Sale Securities, at Fair Value | Available-for-Sale Securities, at Fair Value The Company invests primarily in mortgage pass-through certificates, collateralized mortgage obligations and other residential mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans issued by a U.S. government sponsored enterprise, or GSE, such as the Federal National Mortgage Association (or Fannie Mae) or the Federal Home Loan Mortgage Corporation (or Freddie Mac), or a U.S. government agency such as the Government National Mortgage Association (or Ginnie Mae) (collectively “Agency RMBS”). The Company also holds securities that are not issued by a GSE or U.S government agency, or non-Agency securities, and, from time to time, U.S. Treasuries. The Company classifies its Agency RMBS and non-Agency securities, excluding inverse interest-only Agency securities which are classified as derivatives for purposes of U.S. GAAP, as available-for-sale, or AFS, investments. Although the Company generally intends to hold most of its investment securities until maturity, it may, from time to time, sell any of its investment securities as part of its overall management of its portfolio. Accordingly, the Company classifies all of its securities as AFS, including its interest-only strips, which represent the Company’s right to receive a specified portion of the contractual interest flows of specific Agency or non-Agency securities. All assets classified as AFS, excluding certain Agency interest-only mortgage-backed securities, are reported at estimated fair value with unrealized gains and losses included in accumulated other comprehensive income, on an after-tax basis. On July 1, 2015, the Company elected the fair value option for Agency interest-only securities acquired on or after such date. On July 1, 2021, the Company elected the fair value option for non-Agency interest-only securities acquired on or after such date. All Agency interest-only securities acquired on or after July 1, 2015 and all non-Agency interest-only securities acquired on or after July 1, 2021 are carried at estimated fair value with changes in fair value recorded as a component of gain (loss) on investment securities in the consolidated statements of comprehensive (loss) income. Fair value is determined under the guidance of Accounting Standards Codification (ASC) 820, Fair Value Measurements and Disclosures, or ASC 820. The Company determines the fair value of its RMBS that are issued or guaranteed as to principal and/or interest by a GSE or U.S. government agency, based upon prices obtained from third-party pricing vendors or broker quotes received using the bid price, which are both deemed indicative of market activity. In determining the fair value of its non-Agency securities, management judgment is used to arrive at fair value that considers prices obtained from third-party pricing vendors, broker quotes received and other applicable market data. If listed price data is not available or insufficient, then fair value is based upon internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs. See Note 10 - Fair Value of these notes to the consolidated financial statements for details on fair value measurement. Investment securities transactions are recorded on the trade date. The cost basis for realized gains and losses on sales of investment securities are determined on the first-in, first-out, or FIFO, method. Interest income ( i.e ., gross yield/stated coupon) on securities is accrued based on the outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency RMBS and non-Agency securities rated AA and higher at the time of purchase, are amortized and accreted, respectively, as an adjustment to interest income over the life of such securities using the contractual method under ASC 310-20, Nonrefundable Fees and Other Costs , which is applied at the individual security level based upon each security’s effective interest rate. The Company calculates each security’s effective interest rate at the time of purchase by solving for the discount rate that equates the present value of that security's remaining contractual cash flows, assuming no principal prepayments, to its purchase price. When applying the contractual effective interest method, as principal prepayments occur, an amount of the unamortized premium or discount is recognized in interest income such that the contractual effective interest rate on the remaining security balance is unaffected. Discounts associated with non-Agency securities that were purchased at a discount to par value and were rated below AA at the time of purchase and Agency and non-Agency interest-only securities that can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment are accreted as an adjustment to interest income over the life of such securities using the prospective method under ASC 325-40, Investments - Other: Beneficial Interests in Securitized Financial Assets , which is applied at the individual security level based upon each security’s effective interest rate. At the time of acquisition, the security’s effective interest rate is calculated by solving for the single discount rate that equates the present value of the Company’s best estimate of the amount and timing of the cash flows expected to be collected from the security to its purchase price. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the effective interest rate and interest income recognized on such securities. Actual maturities of the AFS securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore actual maturities of AFS securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years. Following the adoption of Accounting Standards Update (ASU) No. 2016-13, Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments , on January 1, 2020 (refer to “ Recently Issued and/or Adopted Accounting Standards ” below for additional information about the standard and the Company’s adoption), the Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on both Agency and non-Agency AFS securities that are not accounted for under the fair value option. The initial estimated allowance for credit losses was equal to the difference between the prepayment adjusted contractual cash flows with no credit losses and the prepayment adjusted expected cash flows with credit losses, discounted at the effective interest rate on the AFS security that was in effect upon adoption of the standard. The contractual cash flows and expected cash flows are based on management’s best estimate and take into consideration current prepayment assumptions, lifetime expected losses based on past loss experience, current market conditions, and reasonable and supportable forecasts of future conditions. The allowance for credit losses on Agency AFS securities relates to prepayment assumption changes on interest-only Agency RMBS. The initial allowance for credit losses caused an increase in the AFS security amortized cost and recognized an allowance for credit losses in the same amount. Subsequent adverse or favorable changes in the allowance for credit losses are recognized immediately in earnings as a provision for or reduction in credit losses (within gain (loss) on investment securities). Adverse changes are reflected as an increase to the allowance for credit losses and favorable changes are reflected as a decrease to the allowance for credit losses. The allowance for credit losses is limited to the difference between the beneficial interest’s fair value and its amortized cost, and any remaining adverse changes in these circumstances are reflected as a prospective adjustment to accretable yield. If the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective adjustment to accretable yield. The Company does not adjust the effective interest rate in subsequent periods for prepayment assumption changes or variable-rate changes. Any changes in the allowance for credit losses due to the time-value-of-money are accounted for in the consolidated statements of comprehensive (loss) income as provision for credit losses rather than a reduction to interest income. Any portion of the AFS securities that is deemed uncollectible results in a write-off of the uncollectible amortized cost with a corresponding reduction to the allowance for credit losses. Recoveries of amounts previously written off results in an increase to the allowance for credit losses. |
Mortgage Servicing Rights, at Fair Value | Mortgage Servicing Rights, at Fair Value The Company’s MSR represent the right to service mortgage loans. The Company and its subsidiaries do not originate or directly service mortgage loans, and instead contract with appropriately licensed subservicers to handle substantially all servicing functions in the name of the subservicer for the loans underlying the Company’s MSR. However, as an owner and manager of MSR, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the other assets line item on the consolidated balance sheets. MSR are reported at fair value on the consolidated balance sheets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds; delinquency levels; option-adjusted spread, or OAS, which represents the incremental spread added to the risk-free rate to reflect the effects of any embedded options and other risk inherent in MSR; and cost to service). Changes in the fair value of MSR as well as servicing fee income and servicing expenses are reported on the consolidated statements of comprehensive (loss) income. |
Cash and Cash Equivalents | Cash and Cash Equivalents Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis. |
Restricted Cash | Restricted Cash Restricted cash represents cash balances the Company is required to maintain with counterparties for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings. Also included is the cash balance held pursuant to a letter of credit on the New York office lease. Cash balances required to be maintained with counterparties are not available to the Company for general corporate purposes, but may be applied against amounts due to security, derivative, servicing or financing counterparties or returned to the Company when collateral requirements are exceeded, or at the maturity of the derivative or financing arrangement. |
Accrued Interest Receivable | Accrued Interest Receivable Accrued interest receivable represents interest that is due and payable to the Company. Cash interest is generally received within 30 days of recording the receivable. |
Due from/to Counterparties, net | Due from/to Counterparties, net Due from counterparties includes cash held by counterparties for payment of principal and interest as well as cash held by counterparties for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings but represents excess capacity and deemed unrestricted and a receivable from the counterparty as of the balance sheet date. Due from counterparties also includes cash receivable from counterparties for sales of MSR pending final transfer and settlement. Due to counterparties includes cash payable by the Company upon settlement of trade positions as well as cash deposited to and held by the Company for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings but represents a payable to the counterparty as of the balance sheet date. Due to counterparties also includes purchase price holdbacks on MSR acquisitions for early prepayment or default provisions, collateral exceptions and other contractual terms. |
Derivative Financial Instruments, at Fair Value | Derivative Financial Instruments, at Fair Value In accordance with ASC 815, Derivatives and Hedging , or ASC 815, all derivative financial instruments, whether designated for hedging relationships or not, are recorded on the consolidated balance sheets as assets or liabilities and carried at fair value. At the inception of a derivative contract, the Company determines whether the instrument will be part of a qualifying hedge accounting relationship or whether the Company will account for the contract as a trading instrument. Due to the volatility of the credit markets and difficulty in effectively matching pricing or cash flows, the Company has elected to treat all current derivative contracts as trading instruments. Changes in fair value as well as the accrual and settlement of interest associated with derivatives accounted for as trading instruments are reported in the consolidated statements of comprehensive (loss) income as gain (loss) on interest rate swap, cap and swaption agreements or (loss) gain on other derivative instruments depending on the type of derivative instrument. The Company has provided specific disclosure regarding the location and amounts of derivative instruments in the consolidated financial statements and how derivative instruments and related hedged items are accounted for. See Note 7 - Derivative Instruments and Hedging Activities |
Reverse Repurchase Agreements | Reverse Repurchase AgreementsThe Company may borrow U.S. Treasury securities through reverse repurchase transactions under its master repurchase agreements to cover short sales. The Company accounts for these reverse repurchase agreements as securities borrowing transactions and records them at their contractual amounts, as specified in the respective agreements. |
Repurchase Agreements | Repurchase Agreements The Company may finance certain of its investment securities and MSR through the use of repurchase agreements. These repurchase agreements are generally short-term debt, which expire within one year. At times, certain of the Company’s repurchase agreements may have contractual terms of greater than one year, and, thus, would be considered long-term debt. Borrowings under repurchase agreements generally bear interest rates based on an index plus a spread and are generally uncommitted. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. |
Revolving Credit Facilities | Revolving Credit Facilities To finance MSR assets and related servicing advance obligations, the Company enters into revolving credit facilities collateralized by the value of the MSR and/or servicing advances pledged. Borrowings under these revolving credit facilities that expire within one year are considered short-term debt. As of December 31, 2021, the Company’s revolving credit facilities that had contractual terms of greater than one year were considered long-term debt. The Company’s revolving credit facilities generally bear interest rates based on an index plus a spread. Borrowings under revolving credit facilities are treated as collateralized financing transactions and are carried at contractual amounts, as specified in the respective agreements. |
Term Notes Payable | Term Notes Payable Term notes payable related to the Company’s consolidated securitization are recorded at outstanding principal balance, net of any unamortized deferred debt issuance costs, on the Company’s consolidated balance sheets. |
Convertible Senior Notes | Convertible Senior Notes Convertible senior notes include unsecured convertible debt that are carried at their unpaid principal balance, net of any unamortized deferred issuance costs, on the Company’s consolidated balance sheet. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. |
Accrued Interest Payable | Accrued Interest Payable Accrued interest payable represents interest that is due and payable to third parties. Interest is generally paid within 30 days to three months of recording the payable, based upon the Company’s remittance requirements. |
Deferred Tax Assets and Liabilities and Income Taxes | Deferred Tax Assets and Liabilities Income recognition for U.S. GAAP and tax differ in certain respects. These differences often reflect differing accounting treatments for tax and U.S. GAAP, such as accounting for discount and premium amortization, credit losses, asset impairments, recognition of certain operating expenses and certain valuation estimates. Some of these differences are temporary in nature and create timing mismatches between when taxable income is earned and the tax is paid versus when the earnings (losses) for U.S. GAAP purposes, or GAAP net income (loss), are recognized and the tax provision is recorded. Some of these differences are permanent since certain income (or expense) may be recorded for tax purposes but not for U.S. GAAP purposes (or vice-versa). One such significant permanent difference is the Company’s ability as a REIT to deduct dividends paid to stockholders as an expense for tax purposes, but not for U.S. GAAP purposes. As a result of these temporary differences, the Company’s TRSs may recognize taxable income in periods prior or subsequent to when it recognizes income for U.S. GAAP purposes. When this occurs, the TRSs pay or defer the tax liability and establish deferred tax assets or deferred tax liabilities, respectively, for U.S. GAAP purposes. Deferred tax assets generally represent items that may be used as a tax deduction in a tax return in future years for which the Company has already recognized the tax benefit for U.S. GAAP purposes. The Company estimates, based on existence of sufficient evidence, the ability to realize the remainder of any deferred tax asset its TRSs recognize. Any adjustments to such estimates will be made in the period such determination is made. Deferred tax liabilities generally represent tax expense for which payment has been deferred or expense has already been taken as a deduction on the Company’s tax return but has not yet been recognized as an expense for U.S. GAAP purposes. The Company’s deferred tax assets and/or liabilities are generated solely by differences in GAAP net income (loss) and taxable income (loss) at our taxable subsidiaries. U.S. GAAP and tax differences in the REIT may create additional deferred tax assets and/or liabilities to the extent the Company does not distribute all of its taxable income. Income Taxes The Company has elected to be taxed as a REIT under the Code and the corresponding provisions of state law. To qualify as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to stockholders (not including taxable income retained in its taxable subsidiaries) within the time frame set forth in the tax Code and the Company must also meet certain other requirements. In addition, because certain activities, if performed by the Company, may cause the Company to earn income which is not qualifying for the REIT gross income tests, the Company has formed TRSs, as defined in the Code, to engage in such activities. These TRSs’ activities are subject to income taxes as well as any REIT taxable income not distributed to stockholders. The Company assesses its tax positions for all open tax years and determines whether the Company has any material unrecognized liabilities in accordance with ASC 740, Income Taxes , or ASC 740. The Company records these liabilities to the extent the Company deems them more likely than not to be incurred. The Company classifies interest and penalties on material uncertain tax positions as interest expense and operating expense, respectively, in its consolidated statements of comprehensive (loss) income. |
Expenses | Expenses Expenses on the consolidated statements of comprehensive (loss) income typically consist of management fees, servicing expenses generally related to the subservicing of MSR, compensation and benefits and other operating expenses. Prior to the termination of the Management Agreement on August 14, 2020, management fees were payable to PRCM Advisers under the agreement. The management fee was calculated based on the Company’s stockholders’ equity with certain adjustments outlined in the management agreement (see Note 21 - Related Party Transactions for further detail). Also prior to the termination of the Management Agreement, included in compensation and benefits and other operating expenses were direct and allocated costs incurred by PRCM Advisers on the Company’s behalf and reimbursed by the Company. Included in these reimbursed costs was (a) the Company’s allocable share of the compensation paid by PRCM Advisers to its personnel serving as the Company’s principal financial officer and general counsel and personnel employed by PRCM Advisers as in-house legal, tax, accounting, consulting, auditing, administrative, information technology, valuation, computer programming and development and back-office resources to the Company, (b) any amounts for personnel of PRCM Advisers’ affiliates arising under a shared facilities and services agreement, and (c) certain costs allocated to the Company by PRCM Advisers for data services and technology. Subsequent to the transition to self-management, the Company no longer pays a management fee to, or reimburses the expenses of, PRCM Advisers. Expenses for which the Company previously reimbursed PRCM Advisers are now borne directly by the Company. The Company is also now responsible for the cash compensation and employee benefits of the Company’s Chief Executive Officer, Chief Investment Officer and investment professionals, which were previously the responsibility of PRCM Advisers. Prior to the termination of the Management Agreement, the Company was only responsible for the equity compensation paid to such individuals. |
Other Comprehensive Income (Loss) | Other Comprehensive Income (Loss) Current period net unrealized gains and losses on AFS securities, excluding Agency interest-only securities, are reported as components of accumulated other comprehensive income on the consolidated statements of stockholders’ equity and in the consolidated statements of comprehensive (loss) income. Net unrealized gains and losses on securities held by our taxable subsidiaries that are reported in accumulated other comprehensive income are adjusted for the effects of taxation and may create deferred tax assets or liabilities. |
Earnings Per Share | Earnings Per Share The Company’s common stock, par value and shares issued and outstanding, includes issued and unvested shares of restricted common stock, which have full rights to the common stock dividend declarations of the Company. Common shares underlying certain other equity-based awards granted by the Company are not included in common stock until the awards vest. If these awards have non-forfeitable dividend participation rights, they are considered participating securities in the calculations of basic and diluted earnings (loss) per share. Basic earnings (loss) per share is computed by dividing net income (loss) attributable to common stockholders, less income allocated to participating securities pursuant to the two-class method, by the weighted average number of common shares outstanding during the period. Diluted earnings (loss) per share is computed by dividing basic net income (loss) attributable to common stockholders by the weighted average number of common shares outstanding during the period, further adjusted for the dilutive effect, if any, of share-based payment awards and the assumed conversion of convertible notes into common shares. |
Equity Incentive Plans | Equity Incentive Plans The Company’s Second Restated 2009 Equity Incentive Plan, or the 2009 Plan, and the Company’s 2021 Equity Incentive Plan, or the 2021 Plan, or collectively, the Equity Incentive Plans, provide incentive compensation to attract and retain qualified directors, officers, personnel and other parties who may provide significant services to the Company. The Equity Incentive Plans are administered by the compensation committee of the Company’s board of directors. The Equity Incentive Plans permit the grants of restricted common stock, restricted stock units, or RSUs, performance-based awards (including performance share units, or PSUs), phantom shares, dividend equivalent rights and other equity-based awards. See Note 17 - Equity Incentive Plans for further details regarding the Equity Incentive Plans. Equity-based compensation costs are initially measured at the estimated fair value of the awards on the grant date. Valuation methods used and subsequent expense recognition is dependent upon each award’s service and performance conditions. The Company has elected not to estimate forfeitures when valuing equity-based awards and adjusts compensation costs as actual forfeitures occur. Compensation costs for equity-based awards subject only to service conditions are measured at the closing stock price on the grant date and are recognized as expense on a straight-line basis over the requisite service periods for the awards, adjusted for any forfeitures. Compensation costs for equity-based awards subject to market-based performance metrics are measured at the grant date using Monte Carlo simulations which incorporate assumptions for stock return volatility, dividend yield and risk-free interest rates. These initial valuation amounts are recognized as expense over the requisite performance periods, subject to adjustments only for actual forfeitures. Amortization of equity-based awards (non-cash equity compensation expense) is included within compensation and benefits on the consolidated statements of comprehensive (loss) income. |
Recently Issued and/or Adopted Accounting Standards | Recently Issued and/or Adopted Accounting Standards Measurement of Credit Losses on Financial Instruments On January 1, 2020, the Company adopted ASU No. 2016-13, Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments , which changed the impairment model for most financial assets and certain other instruments. Allowances for credit losses on AFS debt securities are recognized, rather than direct reductions in the amortized cost of the investments, regardless of whether the impairment is considered to be other-than-temporary. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. The ASU requires certain recurring disclosures. The Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on AFS securities. The estimated allowance for credit losses is equal to the difference between the prepayment adjusted contractual cash flows with no credit losses and the prepayment adjusted expected cash flows with credit losses, discounted at the effective interest rate on the AFS security that was in effect upon adoption of the standard. The contractual cash flows and expected cash flows are based on management’s best estimate and take into consideration current prepayment assumptions, lifetime expected losses based on past loss experience, current market conditions, and reasonable and supportable forecasts of future conditions. The allowance for credit losses causes an increase in the AFS security amortized cost and recognizes an allowance for credit losses in the same amount. The allowance for credit losses recognized in connection with adopting the guidance in Topic 326 on January 1, 2020 was equal to the present value of the credit reserve in place on December 31, 2019. As a result, no cumulative effect adjustment to opening cumulative earnings was required. The adoption of this ASU impacts the Company’s accounting for the purchase of certain beneficial interests with purchased credit deterioration or when there is a “significant” difference between contractual cash flows and expected cash flows. For these securities, the Company records an allowance for credit losses with an increase in amortized cost above the purchase price of the same amount. Subsequent adverse or favorable changes in expected cash flows are recognized immediately in earnings as a provision for or reversal of provision for credit losses, respectively. Adverse changes are reflected as an increase to the allowance for credit losses and favorable changes are reflected as a decrease to the allowance for credit losses. The allowance for credit losses is limited to the difference between the beneficial interest’s fair value and its amortized cost, and any remaining adverse changes in these circumstances are reflected as a prospective adjustment to accretable yield. If the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective adjustment to accretable yield. The Company does not adjust the effective interest rate in subsequent periods for prepayment assumption changes or variable-rate changes. Any changes in the allowance for credit losses due to the time-value-of-money are accounted for in the consolidated statements of comprehensive (loss) income as provision for credit losses rather than a reduction to interest income. Any portion of the AFS securities that is deemed uncollectible results in a write-off of the uncollectible amortized cost with a corresponding reduction to the allowance for credit losses. Recoveries of amounts previously written off results in an increase to the allowance for credit losses. The standard applies to Agency and non-Agency securities that are accounted for as beneficial interests under Accounting Standards Codification (ASC) 325-40, Investments-Other: Beneficial Interests in Securitized Financial Assets , and ASC 310-30, Receivables: Loans and Debt Securities Acquired with Deteriorated Credit Quality , or ASC 310-30. Only beneficial interests that were previously accounted for as purchased credit impaired under ASC 310-30 were accounted for as purchased credit deteriorated under Topic 326 on the transition date. Upon adoption of this ASU, the Company established an allowance for credit losses on AFS securities accounted for as purchased credit-impaired assets under ASC 310-30 in an unrealized loss position and with no other-than-temporary impairments, or OTTI, recognized in periods prior to transition. The effective interest rates on these debt securities remained unchanged. On January 1, 2020, the $30.7 billion net amortized cost basis of AFS securities was inclusive of a $244.9 million allowance for credit loss. The Company used a prospective transition approach for debt securities for which OTTI had been recognized prior to January 1, 2020. As a result, the amortized cost basis remained the same before and after the effective date. The effective interest rate on these debt securities also remained unchanged. Amounts previously recognized in accumulated other comprehensive income as of January 1, 2020 relating to improvements in cash flows expected to be collected are accreted into income over the remaining life of the asset. Recoveries of amounts previously written off relating to improvements in cash flows after January 1, 2020 are recorded in earnings when received. Facilitation of the Effects of Reference Rate Reform on Financial Reporting London Interbank Offered Rate, or LIBOR, has been used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds and loans, floating rate mortgages, asset-backed securities, consumer loans, and interest rate swaps and other derivatives. On March 5, 2021, Intercontinental Exchange Inc. announced that ICE Benchmark Administration Limited, the administrator of LIBOR, intends to stop publication of the majority of USD-LIBOR tenors on June 30, 2023. In the U.S., the Alternative Reference Rates Committee, or ARRC, has identified the Secured Overnight Financing Rate, or SOFR, as its preferred alternative rate for U.S. dollar-based LIBOR. SOFR is a measure of the cost of borrowing cash overnight, collateralized by U.S. Treasury securities, and is based on directly observable U.S. Treasury-backed repurchase transactions. The ARRC has proposed a paced market transition plan to SOFR, and various organizations are currently working on industry wide and company-specific transition plans as it relates to derivatives and cash markets exposed to LIBOR. In March 2020, the FASB issued ASU No. 2020-04 , which provides temporary optional expedients and exceptions on accounting for contract modifications and hedging relationships in anticipation of the replacement of the LIBOR with another reference rate. The guidance also provides a one-time election to sell held-to-maturity debt securities or to transfer such securities to the available-for-sale or trading category. The Company has material contracts that are indexed to USD-LIBOR and is monitoring this activity, evaluating the related risks and the Company’s exposure, and has already amended terms to transition to an alternative benchmark, where necessary. All of the Company’s financing arrangements and derivative instruments that incorporate LIBOR as the referenced rate either mature prior to the phase out of LIBOR or have provisions in place that provide for an alternative to LIBOR upon its phase-out. Additionally, each series of the Company’s fixed-to-floating preferred stock that becomes callable at the time the stock begins to pay a LIBOR-based rate has existing LIBOR cessation fallback language. The ASU was effective immediately for all entities and expires after December 31, 2022 . The Company’s adoption of this ASU did not have an impact on the Company’s financial condition, results of operations or financial statement disclosures. Issuer’s Accounting for Debt and Equity Instruments In August 2020, the FASB issued ASU No. 2020-06 to simplify an issuer’s accounting for convertible instruments and its application of the derivatives scope exception for contracts in its own equity. Under the new guidance, only conversion features associated with a convertible debt instrument issued at a substantial premium and those that are considered embedded derivatives in accordance with derivatives guidance will be accounted for separate from the convertible instrument. Additionally, for contracts in an entity’s own equity, the new guidance eliminates some of the requirements for equity classification. The guidance also addresses how convertible instruments are accounted for in the diluted earnings per share calculation and requires enhanced disclosures about the terms of convertible instruments and contracts in an entity’s own equity. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2021, with early adoption permitted. The early adoption of the ASU’s guidance results in the Company accounting for a convertible debt instrument without separately presenting in stockholders’ equity an embedded conversion feature. The Company accounts for a convertible debt instrument wholly as debt unless (a) a convertible instrument contains features that require bifurcation as a derivative under ASC 815, Derivatives and Hedging , or ASC 815, or (b) a convertible debt instrument was issued at a substantial premium. The Company’s early adoption of this ASU did not have an impact on the Company’s financial condition, results of operations or financial statement disclosures. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Variable Interest Entities [Abstract] | |
Schedule of Variable Interest Entities | The following table presents a summary of the assets and liabilities of all consolidated trusts as reported on the consolidated balance sheets as of December 31, 2021 and December 31, 2020: (in thousands) December 31, December 31, 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 ____________________ (1) Receivables due from a wholly owned subsidiary of the Company to the trusts are eliminated in consolidation in accordance with U.S. GAAP. |
Available-for-Sale Securities_2
Available-for-Sale Securities, at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Debt Securities, Available-for-sale [Abstract] | |
Debt Securities, Available-for-sale | The following table presents the Company’s AFS investment securities by collateral type as of December 31, 2021 and December 31, 2020: (in thousands) December 31, December 31, 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 |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the amortized cost and carrying value of AFS securities by collateral type as of December 31, 2021 and December 31, 2020: 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) 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 $ 13,103,355 $ 605,253 $ (14) $ 13,708,594 $ — $ 629,079 $ (420) $ 14,337,253 Interest-only 3,649,556 315,876 — 315,876 (17,889) 15,680 (13,029) 300,638 Total Agency 16,752,911 921,129 (14) 14,024,470 (17,889) 644,759 (13,449) 14,637,891 Non-Agency 2,095,365 16,408 (36) 18,705 (4,639) 109 (1,144) 13,031 Total $ 18,848,276 $ 937,537 $ (50) $ 14,043,175 $ (22,528) $ 644,868 $ (14,593) $ 14,650,922 |
Debt Securities, Available-for-sale, Weighted Average Life Classifications | The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of December 31, 2021: 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 |
Debt Securities, Available-for-sale, Allowance for Credit Losses | The following tables present the changes for the years ended December 31, 2021 and 2020 in the allowance for credit losses on Agency and non-Agency AFS securities: 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) |
Debt Securities, Available-for-sale, in Unrealized Loss Positions | The following tables present the components comprising the carrying value of AFS securities for which an allowance for credit losses has not been recorded by length of time that the securities had an unrealized loss position as of December 31, 2021 and December 31, 2020 (subsequent to the adoption of Topic 326). At December 31, 2021 and December 31, 2020, the Company held 756 and 823 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 45 and 13 were in an unrealized loss position for less than twelve consecutive months and 0 and 13 were in an unrealized loss position for more than twelve consecutive months, respectively. 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) 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) |
Schedule of Realized Gain (Loss) on Sales of Debt Securities, Available-for-sale | The following table presents details around sales of AFS securities during the years ended December 31, 2021, 2020 and 2019: 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 |
Servicing Activities (Tables)
Servicing Activities (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |
Schedule of Servicing Assets at Fair Value | Year Ended December 31, (in thousands) 2021 2020 2019 Balance at beginning of period $ 1,596,153 $ 1,909,444 $ 1,993,440 Purchases of mortgage servicing rights 777,305 623,284 627,815 Sales of mortgage servicing rights (43,411) 1,976 2,306 Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model (1) 562,843 (396,900) (390,149) Other changes in fair value (2) (666,160) (538,761) (307,918) Other changes (3) (35,152) (2,890) (16,050) Balance at end of period (4) $ 2,191,578 $ 1,596,153 $ 1,909,444 ____________________ (1) Includes the impact of acquiring MSR at a cost different from fair value. (2) Primarily represents changes due to the realization of expected cash flows. (3) Includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. (4) Based on the principal balance of the loans underlying the MSR reported by servicers on a month lag, adjusted for current month purchases. |
Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets | As of December 31, 2021 and December 31, 2020, the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows: (dollars in thousands, except per loan data) December 31, December 31, 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) |
Components of Servicing Revenue | 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 |
Schedule of Total Serviced Mortgage Assets | The following table presents the number of loans and unpaid principal balance of the mortgage assets for which the Company manages the servicing as of December 31, 2021 and December 31, 2020: 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 |
Cash, Cash Equivalents and Re_2
Cash, Cash Equivalents and Restricted Cash (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | |
Schedule of Restricted Cash and Cash Equivalents | The following table presents the Company’s restricted cash balances as of December 31, 2021 and December 31, 2020: (in thousands) December 31, December 31, 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 |
Schedule of Cash, Cash Equivalents and Restricted Cash | The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company’s consolidated balance sheets as of December 31, 2021 and December 31, 2020 that sum to the total of the same such amounts shown in the statements of cash flows: (in thousands) December 31, December 31, 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 |
Derivative Instruments and He_2
Derivative Instruments and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading derivatives as of December 31, 2021 and December 31, 2020: 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, 2020 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 62,200 $ 318,162 $ — $ — Interest rate swap agreements — — — 12,646,341 Swaptions, net — — (596) 3,750,000 TBAs 30,062 7,700,000 (10,462) (2,503,000) U.S. Treasury futures, net 3,675 2,021,100 — — Total $ 95,937 $ 10,039,262 $ (11,058) $ 13,893,341 |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | The following table summarizes the location and amount of gains and losses on derivative instruments reported in the consolidated statements of comprehensive (loss) income: 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 |
Schedule of Notional Amounts of Outstanding Derivative Positions | The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the years ended December 31, 2021 and 2020: 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, 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) Inverse interest-only securities $ 397,137 $ — $ (78,975) $ 318,162 $ 360,000 $ (116) Interest rate swap agreements 39,702,470 56,867,740 (83,923,869) 12,646,341 27,137,669 (334,458) Swaptions, net 1,257,000 6,767,000 (4,274,000) 3,750,000 2,188,661 (53,290) TBAs, net 7,427,000 60,103,000 (62,333,000) 5,197,000 4,540,759 42,499 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 41,890 — (41,890) — 10,141 (2,077) Total $ 48,445,497 $ 137,123,540 $ (161,636,434) $ 23,932,603 $ 35,028,650 $ (332,446) ____________________ (1) Excludes net interest paid or received in full settlement of the net interest spread liability. |
Schedule of TBA Positions | The following tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of December 31, 2021 and December 31, 2020: 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, 2020 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 7,700,000 $ 8,102,344 $ 8,132,406 $ 30,062 $ — Sale contracts (2,503,000) (2,640,465) (2,650,927) — (10,462) 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 market value of the TBA (or of the underlying Agency RMBS) as of period-end. (4) Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the consolidated balance sheets. |
Schedule of U.S. Treasury and Eurodollar Futures | The following table summarizes certain characteristics of the Company’s U.S. Treasury and Eurodollar futures as of December 31, 2021 and December 31, 2020: (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 |
Schedule of Interest Rate Swap Payers | As of December 31, 2021 and December 31, 2020, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a floating interest rate (LIBOR, OIS or SOFR): (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) December 31, 2020 Swaps Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2021 $ — — % — % 0.00 2022 7,415,818 0.042 % 0.090 % 1.66 2023 2,281,500 0.023 % 0.090 % 2.48 2024 — — % — % 0.00 2025 and Thereafter 1,497,500 0.257 % 0.090 % 6.49 Total $ 11,194,818 0.067 % 0.090 % 2.47 |
Schedule of Interest Rate Swap Receivers | Additionally, as of December 31, 2021 and December 31, 2020, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk whereby the Company pays interest at a floating interest rate (LIBOR OIS or SOFR): (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, 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 |
Schedule of Interest Rate Swaptions | As of December 31, 2021 and December 31, 2020, the Company had the following outstanding interest rate swaptions: 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, 2020 (notional and dollars in thousands) Option Underlying Swap Swaption Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Pay Rate Average Receive Rate Average Term (Years) Purchase contracts: Payer < 6 Months $ 7,210 $ 2,448 4.23 $ 2,800,000 1.32 % 3M LIBOR 10.0 Receiver < 6 Months $ 3,010 $ — 0.97 $ 2,000,000 3M LIBOR 0.23 % 10.0 Sale contracts: Receiver < 6 Months $ (2,600) $ (3,044) 5.13 $ (1,050,000) 3M LIBOR 0.55 % 10.0 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Offsetting [Abstract] | |
Offsetting Assets | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of December 31, 2021 and December 31, 2020: 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, 2020 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 $ 124,023 $ (28,086) $ 95,937 $ (11,058) $ — $ 84,879 Reverse repurchase agreements 91,525 — 91,525 — (89,469) 2,056 Total Assets $ 215,548 $ (28,086) $ 187,462 $ (11,058) $ (89,469) $ 86,935 Liabilities Repurchase agreements $ (15,143,898) $ — $ (15,143,898) $ 15,143,898 $ — $ — Derivative liabilities (39,144) 28,086 (11,058) 11,058 — — Total Liabilities $ (15,183,042) $ 28,086 $ (15,154,956) $ 15,154,956 $ — $ — ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s consolidated balance sheets. |
Offsetting Liabilities | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of December 31, 2021 and December 31, 2020: 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, 2020 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 $ 124,023 $ (28,086) $ 95,937 $ (11,058) $ — $ 84,879 Reverse repurchase agreements 91,525 — 91,525 — (89,469) 2,056 Total Assets $ 215,548 $ (28,086) $ 187,462 $ (11,058) $ (89,469) $ 86,935 Liabilities Repurchase agreements $ (15,143,898) $ — $ (15,143,898) $ 15,143,898 $ — $ — Derivative liabilities (39,144) 28,086 (11,058) 11,058 — — Total Liabilities $ (15,183,042) $ 28,086 $ (15,154,956) $ 15,154,956 $ — $ — ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s consolidated balance sheets. |
Fair Value (Tables)
Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities: 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 December 31, 2020 (in thousands) Level 1 Level 2 Level 3 Total Assets: Available-for-sale securities $ — $ 14,637,891 $ 13,031 $ 14,650,922 Mortgage servicing rights — — 1,596,153 1,596,153 Derivative assets 33,737 62,200 — 95,937 Total assets $ 33,737 $ 14,700,091 $ 1,609,184 $ 16,343,012 Liabilities: Derivative liabilities $ 10,462 $ 596 $ — $ 11,058 Total liabilities $ 10,462 $ 596 $ — $ 11,058 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following table presents the reconciliation for the Company’s Level 3 assets measured at fair value on a recurring basis: Year Ended December 31, 2021 2020 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Available-For-Sale Securities Mortgage Servicing Rights Beginning of period level 3 fair value $ 13,031 $ 1,596,153 $ 249,174 $ 1,909,444 Gains (losses) included in net income (loss): Realized (10,905) (677,784) (24,218) (544,157) Unrealized (1,185) (1) 562,843 (2) — (1) (391,540) (2) Reversal of (provision for) credit losses 11,188 — (10,593) — Net gains (losses) included in net income (loss) (902) (114,941) (34,811) (935,697) Other comprehensive (loss) income (9,449) — (4,963) — Purchases 11,201 777,305 — 623,284 Sales (1,577) (31,787) (214,673) 2,012 Settlements — (35,152) — (2,890) Gross transfers into level 3 — — 23,785 — Gross transfers out of level 3 — — (5,481) — 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 $ (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 $ (10,635) $ — $ 19,804 $ — ____________________ (1) The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option was recorded in gain (loss) on investment securities on the consolidated statements of comprehensive (loss) income. (2) The change in unrealized gains or losses on MSR was recorded in loss on servicing asset on the consolidated statements of comprehensive (loss) income. (3) The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option that were held at the end of the reporting period was recorded in gain (loss) on investment securities on the consolidated statements of comprehensive (loss) income. (4) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in loss on servicing asset on the consolidated statements of comprehensive (loss) income. |
Fair Value Inputs, Assets, Quantitative Information | The tables below present information about the significant unobservable market data used by the third-party pricing vendors as inputs into models utilized to inform their best estimates of the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at December 31, 2021 and December 31, 2020: 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, 2020 Valuation Technique Unobservable Input Range Weighted Average (1) Discounted cash flow Constant prepayment speed 14.1% - 23.5% 19.4% Delinquency 1.5% - 2.6% 2.2% Option-adjusted spread 4.7% - 9.7% 4.8% 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 the fair value measurement of MSR. |
Fair Value, by Balance Sheet Grouping | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at December 31, 2021 and December 31, 2020: 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 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements By Term, Short or Long | At December 31, 2021 and December 31, 2020, the repurchase agreement balances were as follows: (in thousands) December 31, December 31, Short-term $ 7,656,445 $ 15,143,898 Long-term — — Total $ 7,656,445 $ 15,143,898 |
Schedule of Repurchase Agreements by Maturity | At December 31, 2021 and December 31, 2020, the repurchase agreements had the following characteristics and remaining maturities: 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, 2020 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 5,330,627 $ 1,271 $ 38,608 $ — $ 5,370,506 30 to 59 days 4,292,861 — — — 4,292,861 60 to 89 days 2,060,087 628 1,519 — 2,062,234 90 to 119 days 1,598,052 — 12,146 — 1,610,198 120 to 364 days 1,808,099 — — — 1,808,099 Total $ 15,089,726 $ 1,899 $ 52,273 $ — $ 15,143,898 Weighted average borrowing rate 0.28 % 2.33 % 0.89 % — % 0.28 % |
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets | The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements: (in thousands) December 31, December 31, 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 |
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity | The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at December 31, 2021 and December 31, 2020: December 31, 2021 December 31, 2020 (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 Credit Suisse $ 125,000 $ 353,975 13 % 181 $ — $ — — % 0 All other counterparties (2) 7,531,445 314,258 11 % 65 15,143,898 527,045 17 % 58 Total $ 7,656,445 $ 668,233 $ 15,143,898 $ 527,045 ____________________ (1) Represents the net carrying value of the assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. (2) Represents amounts outstanding with 19 and 20 counterparties at December 31, 2021 and December 31, 2020, respectively. |
Revolving Credit Facilities (Ta
Revolving Credit Facilities (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Revolving Credit Facilities [Abstract] | |
Schedule of Line of Credit Facilities | At December 31, 2021 and December 31, 2020, borrowings under revolving credit facilities had the following remaining maturities: (in thousands) December 31, December 31, 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 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Equity [Abstract] | |
Preferred Stock | The following is a summary of the Company’s series of cumulative redeemable preferred stock issued and outstanding as of December 31, 2021. In the event of a voluntary or involuntary liquidation, dissolution or winding up of the Company, each series of preferred stock will rank on parity with one another and rank senior to the Company's common stock with respect to the payment of the dividends and the distribution of assets. (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 redeemable preferred stock will remain at an annual fixed rate of the $25.00 per share liquidation preference from the issuance date up to but not including the transition date disclosed within. Effective as of the fixed-to-floating rate conversion date and onward, dividends will accumulate on a floating rate basis according to the terms disclosed within (3) below. |
Rollforward of Common Stock | Number of common shares Common shares outstanding, December 31, 2018 248,085,721 Issuance of common stock 24,439,436 Repurchase of common stock (1,500) Non-cash equity award compensation (1) 412,074 Common shares outstanding, December 31, 2019 272,935,731 Issuance of common stock 61,225 Repurchase of common stock (105,300) Non-cash equity award compensation (1) 812,226 Common shares outstanding, December 31, 2020 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 ____________________ (1) See Note 17 - Equity Incentive Plans for further details regarding the Company’s Equity Incentive Plans. |
Dividends Declared | The following table presents cash dividends declared by the Company on its preferred and common stock during the years ended December 31, 2021, 2020 and 2019: 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 ____________________ (1) On March 15, 2021, the Company redeemed all outstanding shares of the Company’s Series D Preferred Stock and Series E Preferred Stock. Holders of record as of such date received the redemption payment of $25.00, plus any accumulated and unpaid dividends thereon up to, but excluding, the redemption date. |
Schedule of Accumulated Other Comprehensive Income (Loss) | Accumulated other comprehensive income at December 31, 2021 and December 31, 2020 was as follows: (in thousands) December 31, December 31, Available-for-sale securities: Unrealized gains $ 208,619 $ 661,734 Unrealized losses (22,273) (20,133) Accumulated other comprehensive income $ 186,346 $ 641,601 |
Equity Incentive Plans (Tables)
Equity Incentive Plans (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Share-based Payment Arrangement [Abstract] | |
Schedule of Nonvested Restricted Stock Units Activity | The following table summarizes the activity related to RSUs for the years ended December 31, 2021 and 2020: 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 — $ — |
Schedule of Nonvested Performance Share Units Activity | The following table summarizes the activity related to PSUs for the years ended December 31, 2021 and 2020: 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 — $ — |
Nonvested Restricted Stock Shares Activity | The following table summarizes the activity related to restricted common stock for the years ended December 31, 2021 and 2020: 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 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |
Schedule of Components of Income Tax Expense (Benefit) | The following table summarizes the tax provision (benefit) recorded at the taxable subsidiary level for the years ended December 31, 2021, 2020 and 2019: 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) |
Schedule of Effective Income Tax Rate Reconciliation | The following is a reconciliation of the statutory federal and state rates to the effective rates, for the years ended December 31, 2021, 2020 and 2019: 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) % ____________________ (1) The provision for (benefit from) income taxes is recorded at the taxable subsidiary level. |
Schedule Of Current And Deferred Tax Assets And Liabilities | The Company’s consolidated balance sheets, as of December 31, 2021 and December 31, 2020 contain the following current and deferred tax liabilities and assets, which are included in other assets, and are recorded at the taxable subsidiary level: (in thousands) December 31, December 31, 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 |
Schedule of Deferred Tax Assets and Liabilities | Components of the Company’s deferred tax liabilities and assets as of December 31, 2021 and December 31, 2020 were as follows: (in thousands) December 31, December 31, 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 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted | The following table presents a reconciliation of the earnings (loss) and shares used in calculating basic and diluted earnings (loss) per share for the years ended December 31, 2021, 2020 and 2019: 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 ___________________ (1) If applicable, includes a nondiscretionary adjustment for the assumed change in the management fee calculation. |
Variable Interest Entities, Pol
Variable Interest Entities, Policy (Details) $ in Millions | Dec. 31, 2021USD ($) |
Variable Interest Entity [Line Items] | |
Variable funding note maximum principal balance | $ 1,000 |
Term notes payable | |
Variable Interest Entity [Line Items] | |
Aggregate principal amount | $ 400 |
Accrued Interest Receivable, Po
Accrued Interest Receivable, Policy (Details) | Dec. 31, 2021 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of days within which accrued interest receivables are generally received in cash | 30 days |
Accrued Interest Payable, Polic
Accrued Interest Payable, Policy (Details) | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of days within which accrued interest payables are generally paid in cash | 30 days |
Income Taxes, Policy (Details)
Income Taxes, Policy (Details) | Dec. 31, 2021 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Percent of REIT Taxable income the company is required to distribute | 90.00% |
Recently Issued and_or Adopted
Recently Issued and/or Adopted Accounting Standards (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Jan. 01, 2020 |
Basis of Presentation and Significant Accounting Policies [Abstract] | |||
Available-for-sale securities, amortized cost | $ 7,005,013 | $ 14,043,175 | $ 30,700,000 |
Available-for-sale securities, allowance for credit losses | $ 14,238 | $ 22,528 | $ 244,876 |
Variable Interest Entities (Det
Variable Interest Entities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Variable Interest Entity [Line Items] | ||
Assets of consolidated variable interest entities | $ 12,114,305 | $ 19,515,921 |
Liabilities of consolidated variable interest entities | 9,370,352 | 16,426,995 |
Variable Interest Entity, Primary Beneficiary [Member] | Notes receivable | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated variable interest entities | 396,776 | 395,609 |
Variable Interest Entity, Primary Beneficiary [Member] | Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated variable interest entities | 23,892 | 72,530 |
Variable Interest Entity, Primary Beneficiary [Member] | Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated variable interest entities | 161 | 131 |
Variable Interest Entity, Primary Beneficiary [Member] | Other assets | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated variable interest entities | 33,767 | 28,540 |
Variable Interest Entity, Primary Beneficiary [Member] | Total Assets | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated variable interest entities | 454,596 | 496,810 |
Variable Interest Entity, Primary Beneficiary [Member] | Term notes payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated variable interest entities | 396,776 | 395,609 |
Variable Interest Entity, Primary Beneficiary [Member] | Revolving credit facilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated variable interest entities | 19,200 | 9,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated variable interest entities | 216 | 156 |
Variable Interest Entity, Primary Beneficiary [Member] | Other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated variable interest entities | 23,838 | 72,505 |
Variable Interest Entity, Primary Beneficiary [Member] | Total Liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated variable interest entities | $ 440,030 | $ 477,270 |
Available-for-Sale Securities_3
Available-for-Sale Securities, at Fair Value (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | $ 7,161,703 | $ 14,650,922 |
Available-for-sale securities, at fair value, pledged as collateral for borrowings | 7,000,000 | 14,600,000 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 5,040,988 | 11,486,658 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 1,922,809 | 2,837,103 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 185,602 | 314,130 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | $ 12,304 | $ 13,031 |
Available-for-Sale Securities_4
Available-for-Sale Securities, at Fair Value Nonconsolidated Variable Interest Entities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Variable Interest Entity [Line Items] | ||
Available-for-sale securities, at fair value | $ 7,161,703 | $ 14,650,922 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Available-for-sale securities, at fair value | 12,300 | 13,000 |
Maximum exposure to loss of nonconsolidated Variable Interest Entities | $ 12,300 | $ 13,000 |
Schedule of Available-for-sale
Schedule of Available-for-sale Securities Reconciliation (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Jan. 01, 2020 |
Debt Securities, Available-for-sale [Line Items] | |||
Principal/Current Face | $ 11,550,625 | $ 18,848,276 | |
Unamortized Premium | 592,809 | 937,537 | |
Accretable Purchase Discount | (39) | (50) | |
Amortized Cost | 7,005,013 | 14,043,175 | $ 30,700,000 |
Allowance for Credit Losses | (14,238) | (22,528) | (244,876) |
Unrealized Gain | 192,040 | 644,868 | |
Unrealized Loss | (21,112) | (14,593) | |
Available-for-sale securities, at fair value | 7,161,703 | 14,650,922 | |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/Current Face | 9,609,810 | 16,752,911 | |
Unamortized Premium | 576,276 | 921,129 | |
Accretable Purchase Discount | (12) | (14) | |
Amortized Cost | 6,987,627 | 14,024,470 | |
Allowance for Credit Losses | (12,851) | (17,889) | 0 |
Unrealized Gain | 192,007 | 644,759 | |
Unrealized Loss | (17,384) | (13,449) | |
Available-for-sale securities, at fair value | 7,149,399 | 14,637,891 | |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/Current Face | 1,940,815 | 2,095,365 | |
Unamortized Premium | 16,533 | 16,408 | |
Accretable Purchase Discount | (27) | (36) | |
Amortized Cost | 17,386 | 18,705 | |
Allowance for Credit Losses | (1,387) | (4,639) | $ (244,876) |
Unrealized Gain | 33 | 109 | |
Unrealized Loss | (3,728) | (1,144) | |
Available-for-sale securities, at fair value | 12,304 | 13,031 | |
Fixed Income Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/Current Face | 6,411,363 | 13,103,355 | |
Unamortized Premium | 270,699 | 605,253 | |
Accretable Purchase Discount | (12) | (14) | |
Amortized Cost | 6,682,050 | 13,708,594 | |
Allowance for Credit Losses | 0 | 0 | |
Unrealized Gain | 171,308 | 629,079 | |
Unrealized Loss | (4,855) | (420) | |
Available-for-sale securities, at fair value | 6,848,503 | 14,337,253 | |
Interest-Only-Strip [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/Current Face | 3,198,447 | 3,649,556 | |
Unamortized Premium | 305,577 | 315,876 | |
Accretable Purchase Discount | 0 | 0 | |
Amortized Cost | 305,577 | 315,876 | |
Allowance for Credit Losses | (12,851) | (17,889) | |
Unrealized Gain | 20,699 | 15,680 | |
Unrealized Loss | (12,529) | (13,029) | |
Available-for-sale securities, at fair value | $ 300,896 | $ 300,638 |
Available-for-Sale Securities_5
Available-for-Sale Securities, Weighted Average Life Classifications (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | $ 2,367 | |
Greater than 1 year and less than or equal to 3 years | 92,476 | |
Greater than 3 years and less than or equal to 5 years | 3,574,202 | |
Greater than 5 years and less than or equal to 10 years | 3,491,656 | |
Greater than 10 years | 1,002 | |
Available-for-sale securities, at fair value | 7,161,703 | $ 14,650,922 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | 2,367 | |
Greater than 1 year and less than or equal to 3 years | 91,141 | |
Greater than 3 years and less than or equal to 5 years | 3,572,838 | |
Greater than 5 years and less than or equal to 10 years | 3,482,051 | |
Greater than 10 years | 1,002 | |
Available-for-sale securities, at fair value | 7,149,399 | 14,637,891 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | 0 | |
Greater than 1 year and less than or equal to 3 years | 1,335 | |
Greater than 3 years and less than or equal to 5 years | 1,364 | |
Greater than 5 years and less than or equal to 10 years | 9,605 | |
Greater than 10 years | 0 | |
Available-for-sale securities, at fair value | $ 12,304 | $ 13,031 |
Available-for-sale Securities_6
Available-for-sale Securities, Rollforward of the Allowance for Credit Losses (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Allowance for credit losses at beginning of period | $ (22,528) | |
Additions on securities for which credit losses were not previously recorded | (4,555) | $ (44,359) |
Reductions for securities sold | 0 | 246,792 |
Increase (decrease) on securities with previously recorded credit losses | (5,208) | (14,081) |
Writeoffs | 18,053 | 36,531 |
Recoveries of amounts previously written off | 0 | (2,535) |
Allowance for credit losses at end of period | (14,238) | (22,528) |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Allowance for credit losses at beginning of period | (17,889) | |
Additions on securities for which credit losses were not previously recorded | (190) | (32,931) |
Reductions for securities sold | 0 | 0 |
Increase (decrease) on securities with previously recorded credit losses | (4,542) | 385 |
Writeoffs | 9,770 | 14,657 |
Recoveries of amounts previously written off | 0 | 0 |
Allowance for credit losses at end of period | (12,851) | (17,889) |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Allowance for credit losses at beginning of period | (4,639) | |
Additions on securities for which credit losses were not previously recorded | (4,365) | (11,428) |
Reductions for securities sold | 0 | 246,792 |
Increase (decrease) on securities with previously recorded credit losses | (666) | (14,466) |
Writeoffs | 8,283 | 21,874 |
Recoveries of amounts previously written off | 0 | (2,535) |
Allowance for credit losses at end of period | $ (1,387) | $ (4,639) |
Schedule of Available-for-sal_2
Schedule of Available-for-sale Debt Securities in Unrealized Loss Positions (Details) $ in Thousands | Dec. 31, 2021USD ($)numberOfPositions | Dec. 31, 2020USD ($)numberOfPositions |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Debt Securities, Available-for-sale, Number of Positions | numberOfPositions | 756 | 823 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Number of Positions | numberOfPositions | 45 | 13 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Number of Positions | numberOfPositions | 0 | 13 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | $ 2,380,829 | $ 367,660 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (13,261) | (1,705) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 24,006 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | (4,454) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 2,380,829 | 391,666 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 13,261 | 6,159 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 2,371,216 | 367,660 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (12,031) | (1,705) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 24,006 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | (4,454) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 2,371,216 | 391,666 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 12,031 | 6,159 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 9,613 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (1,230) | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 9,613 | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 1,230 | $ 0 |
Available-for-Sale Securities_7
Available-for-Sale Securities, at Fair Value Other than Temporary Impairment, Credit Losses Recognized in Earnings (Details) - USD ($) | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Abstract] | ||
Cumulative other-than-temporary credit losses | $ 0 | $ (17,000,000) |
Available-for-Sale Securities_8
Available-for-Sale Securities, at Fair Value Schedule of Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Abstract] | |||
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) |
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 |
Rollforward of Mortgage Servici
Rollforward of Mortgage Servicing Rights, at Fair Value (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | |||
Mortgage servicing rights, at fair value, at beginning of period | $ 1,596,153 | $ 1,909,444 | $ 1,993,440 |
Purchases of mortgage servicing rights | 777,305 | 623,284 | 627,815 |
Sales of mortgage servicing rights | (43,411) | 1,976 | 2,306 |
Changes in valuation inputs or assumptions used in the valuation model | 562,843 | (396,900) | (390,149) |
Other changes in fair value | (666,160) | (538,761) | (307,918) |
Other changes | (35,152) | (2,890) | (16,050) |
Mortgage servicing rights, at fair value, at end of period | 2,191,578 | 1,596,153 | $ 1,909,444 |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 2,100,000 | $ 1,100,000 |
Schedule of Mortgage Servicing
Schedule of Mortgage Servicing Rights Sensitivity Analysis of Fair Value (Details) $ in Thousands | Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($) |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Impact on fair value of 10% adverse change in prepayment speed | $ (110,222) | $ (121,973) |
Impact on fair value of 20% adverse change in prepayment speed | (210,406) | (229,676) |
Impact on fair value of 10% adverse change in delinquency | (3,470) | (2,038) |
Impact on fair value of 20% adverse change in delinquency | (6,947) | (4,161) |
Impact on fair value of 10% adverse change in discount rate | (42,188) | (28,678) |
Impact on fair value of 20% adverse change in discount rate | (82,126) | (56,211) |
Impact on fair value of 10% adverse change in per loan annual cost to service | (25,919) | (21,708) |
Impact on fair value of 20% adverse change in per loan annual cost to service | $ (51,911) | $ (43,527) |
Measurement Input, Constant Prepayment Rate [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 0.129 | 0.194 |
Measurement Input, Delinquency [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 0.013 | 0.022 |
Measurement Input, Discount Rate [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 0.047 | 0.048 |
Measurement Input, Per Loan Annual Cost to Service [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 66.76 | 68.27 |
Components of Servicing Revenue
Components of Servicing Revenue (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |||
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 |
Servicing income | 468,406 | 443,351 | $ 501,612 |
Servicing advances | $ 130,600 | $ 80,900 | |
Mortgage servicing rights, delinquency rate | 1.30% | 3.20% | |
Servicing advances pledged as collateral for borrowings | $ 33,800 | $ 28,500 |
Serviced Mortgage Assets (Detai
Serviced Mortgage Assets (Details) $ in Thousands | Dec. 31, 2021USD ($)loan | Dec. 31, 2020USD ($)loan |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 797,075 | 783,579 |
Unpaid Principal Balance | $ | $ 194,289,876 | $ 178,928,983 |
Mortgage servicing rights | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 796,205 | 781,905 |
Unpaid Principal Balance | $ | $ 193,770,566 | $ 177,861,483 |
Residential mortgage loans | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 868 | 1,674 |
Unpaid Principal Balance | $ | $ 519,270 | $ 1,067,500 |
Other assets | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 2 | 0 |
Unpaid Principal Balance | $ | $ 40 | $ 0 |
Schedule of Restricted Cash and
Schedule of Restricted Cash and Cash Equivalents (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 934,814 | $ 1,261,667 |
Restricted Cash and Cash Equivalents Held for Securities Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 23,800 | 44,800 |
Restricted Cash and Cash Equivalents Held for Derivatives Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 136,271 | 70,600 |
Restricted Cash and Cash Equivalents Held for Servicing Activities [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 26,704 | 19,768 |
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 747,979 | 1,126,439 |
Restricted Cash and Cash Equivalents Held by Counterparties [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 934,754 | 1,261,607 |
Restricted Cash and Cash Equivalents for Lease [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 60 | $ 60 |
Schedule of Total Cash, Cash Eq
Schedule of Total Cash, Cash Equivalents and Restricted Cash (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | ||||
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 | $ 1,616,826 | $ 1,097,764 |
Schedule of Derivative Instrume
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) - USD ($) | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | $ (17,159,801,000) | $ (23,932,603,000) | $ (48,445,497,000) |
U.S. Treasury and Eurodollar Futures [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 35,362,000 | 3,675,000 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | (5,829,600,000) | (2,021,100,000) | |
Derivative assets | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 80,134,000 | 95,937,000 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | (18,327,801,000) | (10,039,262,000) | |
Derivative assets | Inverse Interest-Only Securities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 41,367,000 | 62,200,000 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | (247,101,000) | (318,162,000) | |
Derivative assets | Interest Rate Swap [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 0 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | (20,387,300,000) | 0 | |
Derivative assets | Interest Rate Swaption [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 0 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 0 | 0 | |
Derivative assets | TBAs [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 3,405,000 | 30,062,000 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | (3,523,000,000) | (7,700,000,000) | |
Derivative assets | U.S. Treasury and Eurodollar Futures [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 35,362,000 | 3,675,000 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | (5,829,600,000) | (2,021,100,000) | |
Derivative liabilities | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | (53,658,000) | (11,058,000) | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | (1,168,000,000) | (13,893,341,000) | |
Derivative liabilities | Inverse Interest-Only Securities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 0 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 0 | 0 | |
Derivative liabilities | Interest Rate Swap [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 0 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 0 | (12,646,341,000) | |
Derivative liabilities | Interest Rate Swaption [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | (51,743,000) | (596,000) | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | (1,761,000,000) | (3,750,000,000) | |
Derivative liabilities | TBAs [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | (1,915,000) | (10,462,000) | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | (593,000,000) | (2,503,000,000) | |
Derivative liabilities | U.S. Treasury and Eurodollar Futures [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 0 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | $ 0 | $ 0 |
Schedule of Derivative Instru_2
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | $ (209,192) | $ (220,783) | $ 151,709 |
TBAs [Member] | (Loss) gain on other derivative instruments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | (193,479) | 60,798 | 214,414 |
Short US Treasuries [Member] | (Loss) gain on other derivative instruments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | 0 | 0 | (6,801) |
U.S. Treasury and Eurodollar Futures [Member] | (Loss) gain on other derivative instruments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | (49,213) | 18,143 | 44,474 |
Put and Call Options for TBAs [Member] | (Loss) gain on other derivative instruments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | (5,683) | 0 | |
Interest Rate Swap [Member] | Long [Member] | Gain (loss) on interest rate swap, cap and swaption agreements | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | 92,317 | (1,128,788) | (637,307) |
Interest Rate Swap [Member] | Short [Member] | Gain (loss) on interest rate swap, cap and swaption agreements | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | (66,828) | 879,289 | 461,801 |
Interest Rate Swaption [Member] | Gain (loss) on interest rate swap, cap and swaption agreements | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | 16,602 | (61,307) | 74,901 |
Interest Rate Cap [Member] | Gain (loss) on interest rate swap, cap and swaption agreements | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | 0 | 0 | (7,684) |
Markit IOS Total Return Swap [Member] | (Loss) gain on other derivative instruments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | 0 | (2,430) | (1,213) |
Inverse Interest-Only Securities [Member] | (Loss) gain on other derivative instruments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | $ (2,908) | $ 13,512 | 16,790 |
Put and Call Options for TBAs [Member] | (Loss) gain on other derivative instruments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | $ (7,666) |
Derivative Instruments and He_3
Derivative Instruments and Hedging Activities Interest Spread on Interest Rate Swaps and Caps (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Average Notional Amount | $ 20,332,439,000 | $ 35,028,650,000 | |
Interest Rate Contract [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net interest expense (income) on interest rate swaps and caps | 14,300,000 | (66,200,000) | $ 70,500,000 |
Net Long Position [Member] | Interest Rate Contract [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Average Notional Amount | $ 15,900,000,000 | $ 27,100,000,000 | $ 40,000,000,000 |
Schedule of Notional Amounts of
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | $ 23,932,603,000 | $ 48,445,497,000 |
Additions | 107,111,076,000 | 137,123,540,000 |
Settlement, Termination, Expiration or Exercise | (113,883,878,000) | (161,636,434,000) |
End of Period Notional Amount | 17,159,801,000 | 23,932,603,000 |
Average Notional Amount | (20,332,439,000) | (35,028,650,000) |
Realized Gain (Loss), net | (259,947,000) | (332,446,000) |
Inverse Interest-Only Securities [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 0 | 0 |
Settlement, Termination, Expiration or Exercise | (71,061,000) | (78,975,000) |
Realized Gain (Loss), net | (398,000) | (116,000) |
Interest Rate Swap [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 10,107,476,000 | 56,867,740,000 |
Settlement, Termination, Expiration or Exercise | (2,366,517,000) | (83,923,869,000) |
Realized Gain (Loss), net | (5,778,000) | (334,458,000) |
Interest Rate Swaption [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | (2,871,000,000) | 6,767,000,000 |
Settlement, Termination, Expiration or Exercise | (2,640,000,000) | (4,274,000,000) |
Realized Gain (Loss), net | 8,147,000 | (53,290,000) |
TBAs [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 90,927,000,000 | 60,103,000,000 |
Settlement, Termination, Expiration or Exercise | (92,008,000,000) | (62,333,000,000) |
Realized Gain (Loss), net | (175,368,000) | 42,499,000 |
Put and Call Options for TBAs [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 1,500,000,000 | |
Settlement, Termination, Expiration or Exercise | (1,500,000,000) | |
Realized Gain (Loss), net | (5,683,000) | |
U.S. Treasury and Eurodollar Futures [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 2,021,100,000 | |
Additions | 7,447,600,000 | 13,385,800,000 |
Settlement, Termination, Expiration or Exercise | (15,298,300,000) | (10,984,700,000) |
End of Period Notional Amount | 5,829,600,000 | 2,021,100,000 |
Realized Gain (Loss), net | (80,867,000) | 14,996,000 |
Markit IOS Total Return Swap [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 0 | |
Settlement, Termination, Expiration or Exercise | (41,890,000) | |
Realized Gain (Loss), net | (2,077,000) | |
Net Long Position [Member] | Inverse Interest-Only Securities [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 318,162,000 | 397,137,000 |
End of Period Notional Amount | 247,101,000 | 318,162,000 |
Average Notional Amount | (282,380,000) | (360,000,000) |
Net Long Position [Member] | Interest Rate Swap [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 12,646,341,000 | 39,702,470,000 |
End of Period Notional Amount | 20,387,300,000 | 12,646,341,000 |
Average Notional Amount | (15,870,590,000) | (27,137,669,000) |
Net Long Position [Member] | Interest Rate Swaption [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 3,750,000,000 | 1,257,000,000 |
End of Period Notional Amount | 3,750,000,000 | |
Average Notional Amount | (2,188,661,000) | |
Net Long Position [Member] | TBAs [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 5,197,000,000 | 7,427,000,000 |
End of Period Notional Amount | 4,116,000,000 | 5,197,000,000 |
Average Notional Amount | (6,538,666,000) | (4,540,759,000) |
Net Long Position [Member] | Put and Call Options for TBAs [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 0 | |
End of Period Notional Amount | 0 | 0 |
Average Notional Amount | (267,123,000) | |
Net Long Position [Member] | U.S. Treasury and Eurodollar Futures [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 2,021,100,000 | |
End of Period Notional Amount | 2,021,100,000 | |
Average Notional Amount | (791,420,000) | |
Net Long Position [Member] | Markit IOS Total Return Swap [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 0 | 41,890,000 |
End of Period Notional Amount | 0 | |
Average Notional Amount | (10,141,000) | |
Net Short Position [Member] | Interest Rate Swaption [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
End of Period Notional Amount | 1,761,000,000 | |
Average Notional Amount | (428,586,000) | |
Net Short Position [Member] | U.S. Treasury and Eurodollar Futures [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | $ 380,000,000 | |
End of Period Notional Amount | 5,829,600,000 | |
Average Notional Amount | $ (2,197,734,000) |
Derivative Instruments and He_4
Derivative Instruments and Hedging Activities Interest Rate Sensitive Assets/Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Derivatives, Fair Value [Line Items] | ||||
Available-for-sale securities, at fair value | $ 7,161,703 | $ 14,650,922 | ||
Mortgage servicing rights, at fair value | 2,191,578 | 1,596,153 | $ 1,909,444 | $ 1,993,440 |
Interest-Only-Strip [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Available-for-sale securities, at fair value | $ 274,100 | $ 245,900 |
Derivative Instruments and He_5
Derivative Instruments and Hedging Activities Schedule of TBA Contracts (Details) - USD ($) | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 17,159,801,000 | $ 23,932,603,000 | $ 48,445,497,000 |
Derivative assets | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 18,327,801,000 | 10,039,262,000 | |
Fair Value | 80,134,000 | 95,937,000 | |
Derivative liabilities | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 1,168,000,000 | 13,893,341,000 | |
Fair Value | (53,658,000) | (11,058,000) | |
TBAs [Member] | Derivative assets | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 3,523,000,000 | 7,700,000,000 | |
Fair Value | 3,405,000 | 30,062,000 | |
TBAs [Member] | Derivative liabilities | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 593,000,000 | 2,503,000,000 | |
Fair Value | (1,915,000) | (10,462,000) | |
TBAs [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 4,116,000,000 | 7,700,000,000 | |
Cost Basis | 4,238,881,000 | 8,102,344,000 | |
Market Value | 4,240,371,000 | 8,132,406,000 | |
TBAs [Member] | Long [Member] | Derivative assets | |||
Derivative [Line Items] | |||
Fair Value | 3,405,000 | 30,062,000 | |
TBAs [Member] | Long [Member] | Derivative liabilities | |||
Derivative [Line Items] | |||
Fair Value | (1,915,000) | 0 | |
TBAs [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 0 | 2,503,000,000 | |
Cost Basis | 0 | 2,640,465,000 | |
Market Value | 0 | 2,650,927,000 | |
TBAs [Member] | Short [Member] | Derivative assets | |||
Derivative [Line Items] | |||
Fair Value | 0 | 0 | |
TBAs [Member] | Short [Member] | Derivative liabilities | |||
Derivative [Line Items] | |||
Fair Value | 0 | (10,462,000) | |
TBAs [Member] | Net Long Position [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 4,116,000,000 | 5,197,000,000 | $ 7,427,000,000 |
Cost Basis | 4,238,881,000 | 5,461,879,000 | |
Market Value | 4,240,371,000 | 5,481,479,000 | |
TBAs [Member] | Net Long Position [Member] | Derivative assets | |||
Derivative [Line Items] | |||
Fair Value | 3,405,000 | 30,062,000 | |
TBAs [Member] | Net Long Position [Member] | Derivative liabilities | |||
Derivative [Line Items] | |||
Fair Value | $ (1,915,000) | $ (10,462,000) |
Derivative Instruments and He_6
Derivative Instruments and Hedging Activities U.S. Treasury and Eurodollar Futures (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||
Notional | $ (17,159,801,000) | $ (23,932,603,000) | $ (48,445,497,000) |
U.S. Treasury and Eurodollar Futures [Member] | |||
Derivative [Line Items] | |||
Notional | (5,829,600,000) | (2,021,100,000) | |
Fair Value | $ 35,362,000 | $ 3,675,000 | |
Weighted Average Remaining Maturity | 370 days | 90 days | |
U.S. Treasury and Eurodollar Futures [Member] | U.S. Treasury Futures [Member] | |||
Derivative [Line Items] | |||
Notional | $ (687,900,000) | $ (2,021,100,000) | |
Fair Value | $ 1,809,000 | $ 3,675,000 | |
Weighted Average Remaining Maturity | 90 days | 90 days | |
U.S. Treasury and Eurodollar Futures [Member] | Eurodollar Futures [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Notional | $ (3,582,000,000) | $ 0 | |
Fair Value | $ 15,121,000 | $ 0 | |
Weighted Average Remaining Maturity | 213 days | 0 days | |
U.S. Treasury and Eurodollar Futures [Member] | Eurodollar Futures [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Notional | $ (2,269,500,000) | $ 0 | |
Fair Value | $ 14,952,000 | $ 0 | |
Weighted Average Remaining Maturity | 560 days | 0 days | |
U.S. Treasury and Eurodollar Futures [Member] | Eurodollar Futures [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Notional | $ (666,000,000) | $ 0 | |
Fair Value | $ 3,480,000 | $ 0 | |
Weighted Average Remaining Maturity | 854 days | 0 days |
Derivative Instruments and He_7
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Payers (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||
Notional | $ 17,159,801,000 | $ 23,932,603,000 | $ 48,445,497,000 |
Interest Rate Swap [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Notional | $ 13,157,569,000 | $ 11,194,818,000 | |
Weighted Average Fixed Interest Rate | 0.213% | 0.067% | |
Weighted Average Variable Interest Rate | 0.067% | 0.09% | |
Weighted Average Remaining Maturity | 2 years 2 months 1 day | 2 years 5 months 19 days | |
Interest Rate Swap [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Notional | $ 7,415,818,000 | $ 0 | |
Weighted Average Fixed Interest Rate | 0.42% | 0.00% | |
Weighted Average Variable Interest Rate | 0.07% | 0.00% | |
Weighted Average Remaining Maturity | 7 months 28 days | 0 years | |
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Notional | $ 2,582,084,000 | $ 7,415,818,000 | |
Weighted Average Fixed Interest Rate | 0.113% | 0.042% | |
Weighted Average Variable Interest Rate | 0.068% | 0.09% | |
Weighted Average Remaining Maturity | 1 year 6 months 3 days | 1 year 7 months 28 days | |
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Notional | $ 0 | $ 2,281,500,000 | |
Weighted Average Fixed Interest Rate | 0.00% | 0.023% | |
Weighted Average Variable Interest Rate | 0.00% | 0.09% | |
Weighted Average Remaining Maturity | 0 years | 2 years 5 months 23 days | |
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Notional | $ 377,610,000 | $ 0 | |
Weighted Average Fixed Interest Rate | 1.03% | 0.00% | |
Weighted Average Variable Interest Rate | 0.05% | 0.00% | |
Weighted Average Remaining Maturity | 3 years 11 months 15 days | 0 years | |
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Notional | $ 2,782,057,000 | $ 1,497,500,000 | |
Weighted Average Fixed Interest Rate | 0.652% | 0.257% | |
Weighted Average Variable Interest Rate | 0.063% | 0.09% | |
Weighted Average Remaining Maturity | 6 years 6 months 21 days | 6 years 5 months 26 days |
Derivative Instruments and He_8
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Receivers (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||
Notional | $ 17,159,801,000 | $ 23,932,603,000 | $ 48,445,497,000 |
Interest Rate Swap [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Notional | $ 7,229,731,000 | $ 1,451,523,000 | |
Weighted Average Variable Interest Rate | 0.062% | 0.09% | |
Weighted Average Fixed Interest Rate | 0.763% | 0.468% | |
Weighted Average Remaining Maturity | 7 years 3 months 14 days | 9 years 5 months 26 days | |
Interest Rate Swap [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Notional | $ 2,221,658,000 | $ 0 | |
Weighted Average Variable Interest Rate | 0.07% | 0.00% | |
Weighted Average Fixed Interest Rate | 0.118% | 0.00% | |
Weighted Average Remaining Maturity | 1 year 2 months 8 days | 0 years | |
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Notional | $ 0 | $ 0 | |
Weighted Average Variable Interest Rate | 0.00% | 0.00% | |
Weighted Average Fixed Interest Rate | 0.00% | 0.00% | |
Weighted Average Remaining Maturity | 0 years | 0 years | |
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Notional | $ 0 | $ 0 | |
Weighted Average Variable Interest Rate | 0.00% | 0.00% | |
Weighted Average Fixed Interest Rate | 0.00% | 0.00% | |
Weighted Average Remaining Maturity | 0 years | 0 years | |
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Notional | $ 0 | $ 0 | |
Weighted Average Variable Interest Rate | 0.00% | 0.00% | |
Weighted Average Fixed Interest Rate | 0.00% | 0.00% | |
Weighted Average Remaining Maturity | 0 years | 0 years | |
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Notional | $ 5,008,073,000 | $ 1,451,523,000 | |
Weighted Average Variable Interest Rate | 0.058% | 0.09% | |
Weighted Average Fixed Interest Rate | 1.049% | 0.468% | |
Weighted Average Remaining Maturity | 10 years | 9 years 5 months 26 days |
Derivative Instruments and He_9
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||
Notional | $ (17,159,801,000) | $ (23,932,603,000) | $ (48,445,497,000) |
Interest Rate Swaption [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Cost Basis | (11,314,000) | (7,210,000) | |
Fair Value | $ (3,539,000) | $ (2,448,000) | |
Weighted Average Remaining Maturity | 5 months 10 days | 4 months 7 days | |
Interest Rate Swaption [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Cost Basis | $ (3,010,000) | ||
Fair Value | $ 0 | ||
Weighted Average Remaining Maturity | 29 days | ||
Interest Rate Swaption [Member] | Short [Member] | Variable Income Interest Rate [Member] | Greater than or Equal to Six Months Remaining Maturity | |||
Derivative [Line Items] | |||
Cost Basis | $ (26,329,000) | ||
Fair Value | (23,958,000) | ||
Interest Rate Swaption [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Cost Basis | (10,640,000) | $ (2,600,000) | |
Fair Value | $ (6,856,000) | $ (3,044,000) | |
Weighted Average Remaining Maturity | 5 months 3 days | 5 months 4 days | |
Interest Rate Swaption [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Greater than or Equal to Six Months Remaining Maturity | |||
Derivative [Line Items] | |||
Cost Basis | $ (26,329,000) | ||
Fair Value | $ (24,468,000) | ||
Weighted Average Remaining Maturity | 1 year 6 months 28 days | ||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Weighted Average Remaining Maturity | 10 years | 10 years | |
Notional | $ (886,000,000) | $ (2,800,000,000) | |
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | |||
Derivative [Line Items] | |||
Weighted Average Fixed Interest Rate | 2.26% | 1.32% | |
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Weighted Average Remaining Maturity | 10 years | ||
Notional | $ (2,000,000,000) | ||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | |||
Derivative [Line Items] | |||
Weighted Average Fixed Interest Rate | 0.23% | ||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | Greater than or Equal to Six Months Remaining Maturity | |||
Derivative [Line Items] | |||
Weighted Average Remaining Maturity | 10 years | ||
Notional | $ (780,000,000) | ||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | Greater than or Equal to Six Months Remaining Maturity | London Interbank Offered Rate (LIBOR) [Member] | |||
Derivative [Line Items] | |||
Weighted Average Fixed Interest Rate | 1.72% | ||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Weighted Average Remaining Maturity | 10 years | 10 years | |
Notional | $ (1,087,000,000) | $ (1,050,000,000) | |
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | |||
Derivative [Line Items] | |||
Weighted Average Fixed Interest Rate | 1.26% | 0.55% | |
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Greater than or Equal to Six Months Remaining Maturity | |||
Derivative [Line Items] | |||
Weighted Average Remaining Maturity | 10 years | ||
Notional | $ (780,000,000) | ||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Greater than or Equal to Six Months Remaining Maturity | London Interbank Offered Rate (LIBOR) [Member] | |||
Derivative [Line Items] | |||
Weighted Average Fixed Interest Rate | 1.72% |
Derivative Instruments and H_10
Derivative Instruments and Hedging Activities Credit Risk - Counterparty Exposure (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Derivative assets, at fair value | $ 80,134 | $ 95,937 |
Derivative liabilities, at fair value | $ (53,658) | $ (11,058) |
Reverse Repurchase Agreements (
Reverse Repurchase Agreements (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Reverse Repurchase Agreements [Abstract] | ||
Amounts due to counterparties as collateral for reverse repurchase agreements | $ 129,200 | $ 89,500 |
Reverse repurchase agreements | $ 134,682 | $ 91,525 |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Offsetting [Abstract] | ||
Gross amount of recognized derivative assets | $ 215,084 | $ 124,023 |
Gross amount of derivative liabilities offset against derivative assets in the balance sheet | 134,950 | 28,086 |
Net amount of derivative assets presented in the balance sheet | 80,134 | 95,937 |
Gross amount of derivative liabilities not offset against derivative assets in the balance sheet | 53,658 | 11,058 |
Gross amount of cash collateral received not offset against derivative assets in the balance sheet | 0 | 0 |
Net amount of derivative assets after effects of amounts offset and not offset in the balance sheet | 26,476 | 84,879 |
Gross amount of recognized reverse repurchase agreements | 134,682 | 91,525 |
Gross amount of financial liabilities offset against reverse repurchase agreements in the balance sheet | 0 | 0 |
Net amount of reverse repurchase agreements presented in the balance sheet | 134,682 | 91,525 |
Gross amount of financial liabilities not offset against reverse repurchase agreements in the balance sheet | 0 | 0 |
Gross amount of cash collateral received not offset against reverse repurchase agreements in the balance sheet | (129,227) | (89,469) |
Net amount of reverse repurchase agreements after effects of amounts offset and not offset in the balance sheet | 5,455 | 2,056 |
Gross amount of recognized assets subject to master netting arrangements or similar agreements | 349,766 | 215,548 |
Gross amount of liabilities offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 134,950 | 28,086 |
Net amount of assets subject to master netting arrangements or similar agreements presented in the balance sheet | 214,816 | 187,462 |
Gross amount of liabilities not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 53,658 | 11,058 |
Gross amount of cash collateral received not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 129,227 | 89,469 |
Net amount of assets subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | 31,931 | 86,935 |
Gross amount of recognized repurchase agreements | 7,656,445 | 15,143,898 |
Gross amount of financial assets offset against repurchase agreements in the balance sheet | 0 | 0 |
Net amount of repurchase agreements presented in the balance sheet | 7,656,445 | 15,143,898 |
Gross amount of financial assets not offset against repurchase agreements in the balance sheet | 7,656,445 | 15,143,898 |
Gross amount of cash collateral pledged not offset against repurchase agreements in the balance sheet | 0 | 0 |
Net amount of repurchase agreements after effects of amounts offset and not offset in the balance sheet | 0 | 0 |
Gross amount of recognized derivative liabilities | 188,608 | 39,144 |
Gross amount of derivative assets offset against derivative liabilities in the balance sheet | 134,950 | 28,086 |
Net amount of derivative liabilities presented in the balance sheet | 53,658 | 11,058 |
Gross amount of derivatives assets not offset against derivative liabilities in the balance sheet | 53,658 | 11,058 |
Gross amount of cash collateral pledged not offset against derivative liabilities in the balance sheet | 0 | 0 |
Net amount of derivative liabilities after effects of amounts offset and not offset in the balance sheet | 0 | 0 |
Gross amount of recognized liabilities subject to master netting arrangements or similar agreements | 7,845,053 | 15,183,042 |
Gross amount of assets offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 134,950 | 28,086 |
Net amount of liabilities subject to master netting arrangements or similar agreements presented in the balance sheet | 7,710,103 | 15,154,956 |
Gross amount of assets not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 7,710,103 | 15,154,956 |
Gross amount of cash collateral pledged not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 0 | 0 |
Net amount of liabilities subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | $ 0 | $ 0 |
Fair Value, Measurement Inputs,
Fair Value, Measurement Inputs, Disclosure (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Debt Securities, Available-for-sale, Categorized as Level 2 Assets | 99.80% | |||
Debt Securities, Available-for-sale, Categorized as Level 3 Assets | 0.20% | |||
Assets Reported at Fair Value, Debt Securities, Available-for-sale | 75.90% | |||
Mortgage Servicing Rights Categorized as Level 3 Assets | 100.00% | |||
Over-the-Counter Derivatives Categorized as Level 2 Assets (Liabilities) | 100.00% | |||
Other RMBS Classified as Derivatives Categorized as Level 2 Assets | 100.00% | |||
Other Derivatives Categorized as Level 1 Assets (Liabilities) | 100.00% | |||
Mortgage servicing rights | $ 2,191,578 | $ 1,596,153 | $ 1,909,444 | $ 1,993,440 |
Derivative assets, at fair value | 80,134 | 95,937 | ||
Derivative liabilities, at fair value | 53,658 | 11,058 | ||
Fair Value, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale securities | 7,161,703 | 14,650,922 | ||
Mortgage servicing rights | 2,191,578 | 1,596,153 | ||
Derivative assets, at fair value | 80,134 | 95,937 | ||
Total assets | 9,433,415 | 16,343,012 | ||
Derivative liabilities, at fair value | 53,658 | 11,058 | ||
Total liabilities | 53,658 | 11,058 | ||
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale securities | 0 | 0 | ||
Mortgage servicing rights | 0 | 0 | ||
Derivative assets, at fair value | 38,767 | 33,737 | ||
Total assets | 38,767 | 33,737 | ||
Derivative liabilities, at fair value | 1,915 | 10,462 | ||
Total liabilities | 1,915 | 10,462 | ||
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale securities | 7,149,399 | 14,637,891 | ||
Mortgage servicing rights | 0 | 0 | ||
Derivative assets, at fair value | 41,367 | 62,200 | ||
Total assets | 7,190,766 | 14,700,091 | ||
Derivative liabilities, at fair value | 51,743 | 596 | ||
Total liabilities | 51,743 | 596 | ||
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale securities | 12,304 | 13,031 | ||
Mortgage servicing rights | 2,191,578 | 1,596,153 | ||
Derivative assets, at fair value | 0 | 0 | ||
Total assets | 2,203,882 | 1,609,184 | ||
Derivative liabilities, at fair value | 0 | 0 | ||
Total liabilities | $ 0 | $ 0 |
Fair Value, Assets Measured on
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Available-for-sale securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | $ 13,031 | $ 249,174 |
Realized (losses) gains | (10,905) | (24,218) |
Unrealized (losses) gains | (1,185) | 0 |
Provision for credit losses | 11,188 | (10,593) |
Total gains (losses) included in net income | (902) | (34,811) |
Other comprehensive (loss) income | (9,449) | (4,963) |
Purchases | 11,201 | 0 |
Sales | (1,577) | (214,673) |
Settlements | 0 | 0 |
Gross transfers into level 3 | 0 | 23,785 |
Gross transfers out of level 3 | 0 | (5,481) |
End of period level 3 fair value | 12,304 | 13,031 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | (1,185) | 0 |
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 |
Mortgage servicing rights | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | 1,596,153 | 1,909,444 |
Realized (losses) gains | (677,784) | (544,157) |
Unrealized (losses) gains | 562,843 | (391,540) |
Provision for credit losses | 0 | 0 |
Total gains (losses) included in net income | (114,941) | (935,697) |
Other comprehensive (loss) income | 0 | 0 |
Purchases | 777,305 | 623,284 |
Sales | (31,787) | (2,012) |
Settlements | (35,152) | (2,890) |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 2,191,578 | 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 | 461,258 | (199,016) |
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 | $ 0 | $ 0 |
Fair Value, Quantitative Inform
Fair Value, Quantitative Information about Level 3 Fair Value Measurements (Details) | Dec. 31, 2021 | Dec. 31, 2020 |
Measurement Input, Constant Prepayment Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.129 | 0.194 |
Measurement Input, Constant Prepayment Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.100 | 0.141 |
Measurement Input, Constant Prepayment Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.179 | 0.235 |
Measurement Input, Delinquency [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.013 | 0.022 |
Measurement Input, Delinquency [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.009 | 0.015 |
Measurement Input, Delinquency [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.018 | 0.026 |
Measurement Input, Discount Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.047 | 0.048 |
Measurement Input, Discount Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.046 | 0.047 |
Measurement Input, Discount Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.092 | 0.097 |
Measurement Input, Per Loan Annual Cost to Service [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 66.76 | 68.27 |
Measurement Input, Per Loan Annual Cost to Service [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 66.04 | 64.56 |
Measurement Input, Per Loan Annual Cost to Service [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 83.91 | 79.43 |
Fair Value by Balance Sheet Gro
Fair Value by Balance Sheet Grouping (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Available-for-sale securities, at fair value | $ 7,161,703 | $ 14,650,922 | ||
Mortgage servicing rights, at fair value | 2,191,578 | 1,596,153 | $ 1,909,444 | $ 1,993,440 |
Cash and cash equivalents | 1,153,856 | 1,384,764 | ||
Restricted cash | 934,814 | 1,261,667 | ||
Derivative assets, at fair value | 80,134 | 95,937 | ||
Reverse repurchase agreements | 134,682 | 91,525 | ||
Other assets | 3,332 | 13,292 | ||
Repurchase agreements | 7,656,445 | 15,143,898 | ||
Revolving credit facilities | 420,761 | 283,830 | ||
Term notes payable | 396,776 | 395,609 | ||
Term notes payable, at fair value | 395,030 | 380,000 | ||
Convertible senior notes | 424,827 | 286,183 | ||
Convertible senior notes, at fair value | 435,774 | 291,376 | ||
Derivative liabilities, at fair value | 53,658 | 11,058 | ||
Maturity Over One Year [Member] | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Repurchase agreements | 0 | 0 | ||
Revolving credit facilities | $ 146,250 | $ 223,830 |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | ||
Repurchase agreements | $ 7,656,445 | $ 15,143,898 |
Weighted average borrowing rate | 0.24% | 0.28% |
Weighted average remaining maturity | 67 days | 58 days |
Schedule of Repurchase Agreemen
Schedule of Repurchase Agreements by Term, Short or Long (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 7,656,445 | $ 15,143,898 |
Maturity up to One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 7,656,445 | 15,143,898 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Schedule of Repurchase Agreem_2
Schedule of Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 7,656,445 | $ 15,143,898 |
Weighted average borrowing rate | 0.24% | 0.28% |
US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 7,495,230 | $ 15,089,726 |
Weighted average borrowing rate | 0.17% | 0.28% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 171 | $ 1,899 |
Weighted average borrowing rate | 1.24% | 2.33% |
Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 36,044 | $ 52,273 |
Weighted average borrowing rate | 0.74% | 0.89% |
Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 125,000 | $ 0 |
Weighted average borrowing rate | 4.00% | 0.00% |
Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 1,627,283 | $ 5,370,506 |
Maturity up to 30 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,617,186 | 5,330,627 |
Maturity up to 30 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 1,271 |
Maturity up to 30 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 10,097 | 38,608 |
Maturity up to 30 days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,807,544 | 4,292,861 |
Maturity 30 to 59 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,807,544 | 4,292,861 |
Maturity 30 to 59 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 30 to 59 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 30 to 59 Days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,981,056 | 2,062,234 |
Maturity 60 to 89 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,979,717 | 2,060,087 |
Maturity 60 to 89 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 171 | 628 |
Maturity 60 to 89 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,168 | 1,519 |
Maturity 60 to 89 Days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,249,435 | 1,610,198 |
Maturity 90 to 119 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,240,915 | 1,598,052 |
Maturity 90 to 119 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 90 to 119 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 8,520 | 12,146 |
Maturity 90 to 119 Days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 991,127 | 1,808,099 |
Maturity 120 to 364 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 849,868 | 1,808,099 |
Maturity 120 to 364 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 120 to 364 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 16,259 | 0 |
Maturity 120 to 364 days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 125,000 | $ 0 |
Schedule of Underlying Assets o
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 8,553,586 | $ 15,787,325 |
Available-for-sale securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 7,009,449 | 14,633,217 |
Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 725,985 | 0 |
Restricted cash | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 747,779 | 1,071,239 |
Due from counterparties | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 30,764 | 21,312 |
Derivative assets | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 39,609 | $ 61,557 |
Repurchase Agreement Counterpar
Repurchase Agreement Counterparties with Whom Amount at Risk Exceeds 10 Percent of Stockholders' Equity (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021USD ($)numberOfPositions | Dec. 31, 2020USD ($)numberOfPositions | |
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | $ 7,656,445 | $ 15,143,898 |
Net counterparty exposure | $ 668,233 | $ 527,045 |
Weighted average remaining maturity | 67 days | 58 days |
Number of repurchase agreement counterparties with whom amount at risk is less than 10 percent of stockholders' equity | numberOfPositions | 19 | 20 |
Credit Suisse | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | $ 125,000 | $ 0 |
Net counterparty exposure | $ 353,975 | $ 0 |
Percent of equity of the amount at risk under repurchase agreements | 13.00% | 0.00% |
Weighted average remaining maturity | 181 days | 0 days |
All other counterparties | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | $ 7,531,445 | $ 15,143,898 |
Net counterparty exposure | $ 314,258 | $ 527,045 |
Percent of equity of the amount at risk under repurchase agreements | 11.00% | 17.00% |
Weighted average remaining maturity | 65 days | 58 days |
Revolving Credit Facilities (De
Revolving Credit Facilities (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | $ 420,761 | $ 283,830 |
Weighted average borrowing rate | 3.46% | 2.95% |
Weighted average remaining maturity | 1 year 2 months 12 days | 1 year 1 month 6 days |
Schedule of Revolving Credit Fa
Schedule of Revolving Credit Facilities by Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | $ 420,761 | $ 283,830 |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | 2,100,000 | 1,100,000 |
Servicing advances pledged as collateral for borrowings | 33,800 | 28,500 |
Maturity up to 30 days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 30 to 59 Days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 60 to 89 Days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 90 to 119 Days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 120 to 364 days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 274,511 | 60,000 |
Maturity Over One Year [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 146,250 | 223,830 |
Line of Credit [Member] | ||
Line of Credit Facility [Line Items] | ||
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 904,800 | $ 608,800 |
Term Notes Payable (Details)
Term Notes Payable (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Instrument [Line Items] | ||
Term notes payable | $ 396,776 | $ 395,609 |
Weighted average interest rate | 2.90% | 2.95% |
Weighted average remaining maturities | 2 years 6 months | 3 years 6 months |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 2,100,000 | $ 1,100,000 |
Weighted average underlying loan coupon of mortgage servicing rights pledged as collateral for borrowings | 3.36% | 4.03% |
Restricted cash | $ 934,814 | $ 1,261,667 |
Term notes payable | ||
Debt Instrument [Line Items] | ||
Aggregate principal amount | 400,000 | |
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||
Debt Instrument [Line Items] | ||
Restricted cash | 747,979 | 1,126,439 |
Term notes payable | ||
Debt Instrument [Line Items] | ||
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | 500,000 | 537,900 |
Term notes payable | Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||
Debt Instrument [Line Items] | ||
Restricted cash | $ 200 | $ 55,200 |
Convertible Senior Notes (Detai
Convertible Senior Notes (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Dec. 31, 2021USD ($) | Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | Dec. 31, 2017USD ($) | |
Debt Instrument, Redemption [Line Items] | |||||
Repurchase of convertible senior notes | $ 143,118 | $ 0 | $ 0 | ||
Convertible senior notes | $ 424,827 | $ 424,827 | $ 286,183 | ||
Maturity Year 2022 | |||||
Debt Instrument, Redemption [Line Items] | |||||
Proceeds from convertible senior notes | $ 282,200 | ||||
Convertible senior notes conversion ratio | 0.0632040 | 0.0632040 | |||
Maturity Year 2026 | |||||
Debt Instrument, Redemption [Line Items] | |||||
Convertible senior notes conversion ratio | 0.1355014 | ||||
Convertible Debt [Member] | Maturity Year 2022 | |||||
Debt Instrument, Redemption [Line Items] | |||||
Aggregate principal amount | $ 143,800 | $ 143,800 | $ 287,500 | ||
Convertible senior notes interest rate per annum | 6.25% | 6.25% | |||
Repurchase of convertible senior notes | $ 143,700 | ||||
Convertible Debt [Member] | Maturity Year 2026 | |||||
Debt Instrument, Redemption [Line Items] | |||||
Aggregate principal amount | $ 287,500 | $ 287,500 | |||
Proceeds from convertible senior notes | $ 279,900 | ||||
Convertible senior notes interest rate per annum | 6.25% | 6.25% |
Stockholders' Equity Redeemable
Stockholders' Equity Redeemable Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands | Feb. 04, 2021 | Dec. 31, 2021 | Dec. 31, 2020 |
Class of Stock [Line Items] | |||
Preferred shares outstanding (in shares) | 29,050,000 | 40,050,000 | |
Preferred stock carrying value | $ 702,550 | ||
Preferred stock liquidation preference per share (in usd per share) | $ 25 | $ 25 | |
Preferred stock par value per share (in usd per share) | $ 0.01 | $ 0.01 | |
Series A Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Preferred shares outstanding (in shares) | 5,750,000 | ||
Preferred stock carrying value | $ 138,872 | ||
Preferred stock dividend rate | 8.125% | ||
Preferred stock dividend variable rate spread | 5.66% | ||
Series B Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Preferred shares outstanding (in shares) | 11,500,000 | ||
Preferred stock carrying value | $ 278,094 | ||
Preferred stock dividend rate | 7.625% | ||
Preferred stock dividend variable rate spread | 5.352% | ||
Series C Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Preferred shares outstanding (in shares) | 11,800,000 | ||
Preferred stock carrying value | $ 285,584 | ||
Preferred stock dividend rate | 7.25% | ||
Preferred stock dividend variable rate spread | 5.011% | ||
Series D Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Preferred stock dividend rate | 7.75% | ||
Series E Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Preferred stock dividend rate | 7.50% |
Stockholders' Equity Public Off
Stockholders' Equity Public Offerings (Details) - USD ($) $ / shares in Units, $ in Thousands | Oct. 28, 2021 | Jul. 14, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Class of Stock [Line Items] | |||||
Number of shares of stock issued during period (in shares) | 30,000,000 | 40,000,000 | |||
Price per share of common stock issued during period (in usd per share) | $ 6.468 | $ 6.42 | |||
Issuance of stock, net of offering costs | $ 193,700 | $ 256,500 | $ 450,602 | $ 372 | $ 336,253 |
Days within which shares may be purchased by underwriters | 30 days | 30 days | |||
Common Stock [Member] | |||||
Class of Stock [Line Items] | |||||
Number of shares of stock issued during period (in shares) | 70,065,019 | 61,225 | 24,439,436 | ||
Common Stock [Member] | Over-Allotment Option [Member] | |||||
Class of Stock [Line Items] | |||||
Number of shares of stock issued during period (in shares) | 4,500,000 | 6,000,000 |
Stockholders' Equity Common Sto
Stockholders' Equity Common Stock Rollforward (Details) - shares | Oct. 28, 2021 | Jul. 14, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||||
Common shares outstanding at beginning of period (in shares) | 273,703,882 | ||||
Number of shares of stock issued during period (in shares) | 30,000,000 | 40,000,000 | |||
Number of shares of common stock repurchased during period (in shares) | 0 | (105,300) | (1,500) | ||
Common shares outstanding at end of period (in shares) | 343,911,324 | 273,703,882 | |||
Common Stock [Member] | |||||
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||||
Common shares outstanding at beginning of period (in shares) | 273,703,882 | 272,935,731 | 248,085,721 | ||
Number of shares of stock issued during period (in shares) | 70,065,019 | 61,225 | 24,439,436 | ||
Number of shares of restricted common stock issued during period (in shares) | 142,423 | 812,226 | 412,074 | ||
Number of shares of common stock repurchased during period (in shares) | 0 | (105,300) | (1,500) | ||
Common shares outstanding at end of period (in shares) | 343,911,324 | 273,703,882 | 272,935,731 |
Stockholders' Equity Schedule o
Stockholders' Equity Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | Apr. 06, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Class of Stock [Line Items] | ||||
Preferred dividends declared | $ 58,458 | $ 75,802 | $ 75,801 | |
Series A Preferred Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Preferred dividends declared | $ 11,680 | $ 11,680 | $ 11,680 | |
Dividends declared per preferred share (in usd per share) | $ 2.04 | $ 2.04 | $ 2.04 | |
Series B Preferred Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Preferred dividends declared | $ 21,921 | $ 21,922 | $ 21,921 | |
Dividends declared per preferred share (in usd per share) | $ 1.92 | $ 1.92 | $ 1.92 | |
Series C Preferred Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Preferred dividends declared | $ 21,388 | $ 21,388 | $ 21,388 | |
Dividends declared per preferred share (in usd per share) | $ 1.80 | $ 1.80 | $ 1.80 | |
Series D Preferred Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Preferred dividends declared | $ 969 | $ 5,812 | $ 5,812 | |
Dividends declared per preferred share (in usd per share) | $ 0.32 | $ 1.92 | $ 1.92 | |
Series E Preferred Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Preferred dividends declared | $ 2,500 | $ 15,000 | $ 15,000 | |
Dividends declared per preferred share (in usd per share) | $ 0.31 | $ 1.88 | $ 1.88 | |
Common Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Common dividends declared | $ 205,623 | $ 136,842 | $ 455,721 | |
Dividends declared per common share (in usd per share) | $ 0.05 | $ 0.68 | $ 0.50 | $ 1.67 |
Stockholders' Equity Dividend R
Stockholders' Equity Dividend Reinvestment and Direct Stock Purchase Plan (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Equity [Abstract] | |||
Number of common shares reserved for issuance under dividend reinvestment plan (in shares) | 3,750,000 | ||
Number of common shares issued from dividend reinvestment plan and outstanding as of period-end (in shares) | 384,032 | ||
Accumulated proceeds from issuance of common shares from dividend reinvestment plan | $ 5.7 | ||
Number of common shares issued during period from dividend reinvestment plan (in shares) | 52,819 | 61,225 | 42,136 |
Proceeds from issuance of common shares during period from dividend reinvestment plan | $ 0.4 | $ 0.4 | $ 0.6 |
Stockholders' Equity Share Repu
Stockholders' Equity Share Repurchase Program (Details) - USD ($) $ in Thousands | Oct. 28, 2021 | Jul. 14, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Equity [Abstract] | |||||
Number of shares authorized to be repurchased under stock repurchase program (in shares) | 37,500,000 | ||||
Number of shares repurchased and retired to date (in shares) | 12,174,300 | ||||
Cost of shares repurchased and retired to date | $ 201,500 | ||||
Number of shares of common stock repurchased during period (in shares) | 0 | 105,300 | 1,500 | ||
Repurchase of common stock | $ 0 | $ 1,064 | $ 19 | ||
Number of shares of stock issued during period (in shares) | 30,000,000 | 40,000,000 | |||
Issuance of stock, net of offering costs | $ 193,700 | $ 256,500 | $ 450,602 | $ 372 | $ 336,253 |
Stockholders' Equity At-the-Mar
Stockholders' Equity At-the-Market Offering (Details) - USD ($) $ in Thousands | Oct. 28, 2021 | Jul. 14, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Subsidiary, Sale of Stock [Line Items] | |||||
Number of shares authorized to be sold under equity distribution agreement (in shares) | 35,000,000 | ||||
Number of common shares issued under equity distribution agreement and outstanding as of period-end (in shares) | 7,502,435 | ||||
Accumulated proceeds from issuance of common shares under equity distribution agreement | $ 128,700 | ||||
Number of shares of stock issued during period (in shares) | 30,000,000 | 40,000,000 | |||
Issuance of stock, net of offering costs | $ 193,700 | $ 256,500 | $ 450,602 | $ 372 | $ 336,253 |
At the Market Offering [Member] | |||||
Subsidiary, Sale of Stock [Line Items] | |||||
Number of shares of stock issued during period (in shares) | 12,200 | 0 | 3,697,300 | ||
Issuance of stock, net of offering costs | $ 100 | $ 0 | $ 51,000 |
Stockholders' Equity Schedule_2
Stockholders' Equity Schedule of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Equity [Abstract] | ||
Unrealized gains | $ 208,619 | $ 661,734 |
Unrealized losses | (22,273) | (20,133) |
Accumulated other comprehensive income | $ 186,346 | $ 641,601 |
Stockholders' Equity Reclassifi
Stockholders' Equity Reclassifications out of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Other-than-temporary impairments on AFS securities | $ 0 | $ 0 | $ 14,312 |
Reclassification out of Accumulated Other Comprehensive Income [Member] | |||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Other-than-temporary impairments on AFS securities | 0 | 0 | 14,312 |
Realized gains on sales of certain AFS securities, net of tax | 135,561 | 530,462 | 232,075 |
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | $ (135,561) | $ (530,462) | $ (217,763) |
Equity Incentive Plans (Details
Equity Incentive Plans (Details) | 12 Months Ended |
Dec. 31, 2021shares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Maximum number of shares that may be issued to any person under equity incentive plans, as a proportion of outstanding common stock | 9.80% |
2021 Equity Incentive Plan | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of equity-based awards reserved for issuance under equity incentive plans (in shares) | 17,000,000 |
Second Restated 2009 Equity Incentive Plan | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of equity-based awards reserved for issuance under equity incentive plans (in shares) | 6,500,000 |
Schedule of Share-based Compens
Schedule of Share-based Compensation, Restricted Stock Units Activity (Details) - $ / shares | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Period from payment date of quarterly dividend that DERs on RSUs are paid in cash | 60 days | |
Restricted Stock Units (RSUs) | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of nonvested equity awards outstanding at beginning of period (in shares) | 0 | 0 |
Weighted average grant date fair value of nonvested equity awards outstanding at beginning of period (in usd per share) | $ 0 | $ 0 |
Number of equity awards granted during period under equity incentive plans (in shares) | 1,336,717 | 0 |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 7.10 | $ 0 |
Number of equity awards vested during period (in shares) | (157,342) | 0 |
Weighted average grant date fair value of equity awards vested during period (in usd per share) | $ (7.15) | $ 0 |
Number of equity awards forfeited during period (in shares) | (5,673) | 0 |
Weighted average grant date fair value of equity awards forfeited during period (in usd per share) | $ (7.05) | $ 0 |
Number of nonvested equity awards outstanding at end of period (in shares) | 1,173,702 | 0 |
Weighted average grant date fair value of nonvested equity awards outstanding at end of period (in usd per share) | $ 7.10 | $ 0 |
Restricted Stock Units (RSUs) | Key Employees [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Award vesting period of equity awards granted during period under equity incentive plans | 3 years | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of equity awards granted during period under equity incentive plans (in shares) | 1,189,518 | |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 7.10 | |
Restricted Stock Units (RSUs) | Director [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Award vesting period of equity awards granted during period under equity incentive plans | 1 year | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of equity awards granted during period under equity incentive plans (in shares) | 147,199 | |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 7.15 |
Schedule of Share-based Compe_2
Schedule of Share-based Compensation, Performance Share Units Activity (Details) - $ / shares | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Minimum [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Ultimate percentage of common shares to be vested per PSU award | 0.00% | ||
Maximum [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Ultimate percentage of common shares to be vested per PSU award | 200.00% | ||
Performance Shares Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Award vesting period of equity awards granted during period under equity incentive plans | 3 years | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |||
Number of nonvested restricted common shares outstanding (in shares) | 437,424 | 0 | 0 |
Weighted average grant date fair value of nonvested equity awards outstanding at beginning of period (in usd per share) | $ 0 | $ 0 | |
Number of equity awards granted during period under equity incentive plans (in shares) | 511,473 | 0 | |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 8.67 | $ 0 | |
Number of equity awards vested during period (in shares) | 0 | 0 | |
Weighted average grant date fair value of equity awards vested during period (in usd per share) | $ 0 | $ 0 | |
Number of equity awards forfeited during period (in shares) | (74,049) | 0 | |
Weighted average grant date fair value of equity awards forfeited during period (in usd per share) | $ (8.67) | $ 0 | |
Weighted average grant date fair value of nonvested equity awards outstanding at end of period (in usd per share) | $ 8.67 | $ 0 |
Schedule of Share-based Compe_3
Schedule of Share-based Compensation, Restricted Common Stock Activity (Details) - Restricted Stock - $ / shares | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of nonvested equity awards outstanding at beginning of period (in shares) | 1,221,995 | 1,062,901 |
Weighted average grant date fair value of nonvested equity awards outstanding at beginning of period (in usd per share) | $ 13.61 | $ 15.05 |
Number of equity awards granted during period under equity incentive plans (in shares) | 20,979 | 855,712 |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 7.15 | $ 13.16 |
Number of equity awards vested during period (in shares) | (754,119) | (653,132) |
Weighted average grant date fair value of equity awards vested during period (in usd per share) | $ (12.94) | $ (15.30) |
Number of equity awards forfeited during period (in shares) | (35,898) | (43,486) |
Weighted average grant date fair value of equity awards forfeited during period (in usd per share) | $ (5.72) | $ (14.58) |
Number of nonvested equity awards outstanding at end of period (in shares) | 452,957 | 1,221,995 |
Weighted average grant date fair value of nonvested equity awards outstanding at end of period (in usd per share) | $ 15.04 | $ 13.61 |
Director [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Award vesting period of equity awards granted during period under equity incentive plans | 1 year | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of equity awards granted during period under equity incentive plans (in shares) | 20,979 | 168,942 |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 7.15 | $ 4.75 |
Key Employees [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Award vesting period of equity awards granted during period under equity incentive plans | 3 years | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of equity awards granted during period under equity incentive plans (in shares) | 686,770 | |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 15.23 |
Share-Based Compensation Costs
Share-Based Compensation Costs (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Share-based Payment Arrangement [Abstract] | |||
Compensation costs related to equity awards | $ 11,500 | $ 9,700 | $ 9,200 |
Compensation cost not yet recognized | $ 6,500 | ||
Weighted-average period over which unrecognized compensation cost is expected to be recognized | 1 year 1 month 6 days |
Restructuring Charges (Details)
Restructuring Charges (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 7 Months Ended | 12 Months Ended | ||
Sep. 30, 2020USD ($) | Jun. 30, 2020USD ($) | Aug. 14, 2020numberOfPositions | Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | |
Restructuring Cost and Reserve [Line Items] | ||||||
Factor by which the average annual base management fee is multiplied for purposes of determining the management agreement termination fee | numberOfPositions | 3 | |||||
Period over which the average annual base management fee is calculated for purposes of determining the management agreement termination fee | 24 months | |||||
Restructuring charges | $ 0 | $ 5,706 | $ 0 | |||
Contract Termination [Member] | ||||||
Restructuring Cost and Reserve [Line Items] | ||||||
Restructuring charges | $ (139,800) | $ 139,800 | $ 5,700 |
Income Taxes (Details)
Income Taxes (Details) | Dec. 31, 2021 |
Income Tax Disclosure [Abstract] | |
Percent of REIT taxable income the entity intends to distribute | 100.00% |
Components of Income Tax Expens
Components of Income Tax Expense (Benefit) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Income Tax Disclosure [Abstract] | |||
Current federal tax provision | $ 0 | $ 3,275 | $ 8,684 |
Current state tax (benefit) provision | (1,768) | 1,304 | 2,668 |
Total current tax (benefit) provision | (1,768) | 4,579 | 11,352 |
Deferred federal tax provision (benefit) | 14,851 | (40,267) | (24,912) |
Deferred state tax benefit | (8,891) | 0 | 0 |
Deferred tax provision (benefit) | 5,960 | (40,267) | (24,912) |
Provision for (benefit from) income taxes | $ 4,192 | $ (35,688) | $ (13,560) |
Loss Carryforwards (Details)
Loss Carryforwards (Details) $ in Millions | Dec. 31, 2021USD ($) |
Income Tax Disclosure [Abstract] | |
Net operating loss carryforwards | $ 641.1 |
Capital net operating loss carryforwards | $ 1,200 |
Effective Income Tax Rate Recon
Effective Income Tax Rate Reconciliation (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Income Tax Disclosure [Abstract] | |||
Provision for (benefit from) income taxes at statutory federal tax rate | $ 40,198 | $ (349,823) | $ 65,184 |
Federal income tax rate applicable to corporations | 21.00% | 21.00% | 21.00% |
State taxes, net of federal benefit, if applicable | $ (8,420) | $ 1,030 | $ 2,108 |
State taxes, net of federal benefit, if applicable, effective tax rate | (4.00%) | 0.00% | 1.00% |
Permanent differences in taxable income from net income for U.S. GAAP purposes | $ 15 | $ (3,525) | $ 702 |
Permanent differences in taxable income from GAAP net income, effective tax rate | 0.00% | 0.00% | 0.00% |
REIT income not subject to corporate income tax | $ (27,601) | $ 316,630 | $ (81,554) |
REIT income not subject to corporate income tax, effective tax rate | (14.00%) | (19.00%) | (26.00%) |
Provision for (benefit from) income taxes | $ 4,192 | $ (35,688) | $ (13,560) |
(Benefit from) provision for income taxes, effective tax rate | 3.00% | 2.00% | (4.00%) |
Current and Deferred Tax Assets
Current and Deferred Tax Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Income Tax Disclosure [Abstract] | ||
Federal income taxes receivable | $ 0 | $ 22,504 |
State and local income taxes receivable | 951 | 0 |
Income taxes receivable, net | 951 | 22,504 |
Deferred tax asset | 58,264 | 64,024 |
Deferred tax liability | (200) | 0 |
Total net deferred tax assets (liabilities) | 58,064 | 64,024 |
Total tax assets (liabilities), net | $ 59,015 | $ 86,528 |
Components of Deferred Tax Asse
Components of Deferred Tax Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Income Tax Disclosure [Abstract] | ||
Deferred tax assets, mortgage servicing rights | $ 26,382 | $ 62,881 |
Deferred tax assets, operating loss carryforward | 30,569 | 0 |
Deferred tax liabilities, other | 1,113 | |
Deferred tax assets, other | 1,143 | |
Total deferred tax assets (liabilities) | 58,064 | 64,024 |
Deferred tax assets, valuation allowance | 0 | 0 |
Total net deferred tax assets (liabilities) | $ 58,064 | $ 64,024 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | |||
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 | 0 | 0 |
Net (loss) income attributable to common stockholders, basic | $ 128,038 | $ (1,705,937) | $ 248,161 |
Weighted average basic common shares (in shares) | 297,772,001 | 273,600,947 | 267,826,739 |
Basic (loss) earnings per weighted average common share | $ 0.43 | $ (6.24) | $ 0.93 |
Reallocation impact of undistributed earnings to participating restricted stock units | $ 0 | $ 0 | $ 0 |
Interest expense attributable to convertible notes | 0 | 0 | 0 |
Net income (loss) attributable to common stockholders, diluted | $ 128,038 | $ (1,705,937) | $ 248,161 |
Effect of dilutive shares issued in an assumed vesting of performance share units (in shares) | 271,537 | 0 | 0 |
Effect of dilutive shares issued in an assumed conversion (in shares) | 0 | 0 | 0 |
Weighted average diluted common shares (in shares) | 298,043,538 | 273,600,947 | 267,826,739 |
Diluted (loss) earnings per weighted average common share | $ 0.43 | $ (6.24) | $ 0.93 |
Interest expense attributable to antidilutive convertible notes excluded from computation of earnings per share | $ 19,000 | ||
Convertible Debt Securities | |||
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | |||
Interest expense attributable to antidilutive convertible notes excluded from computation of earnings per share | $ 28,000 | $ 19,200 | |
Antidilutive securities excluded from computation of earnings per share (in shares) | 50,222,268 | 18,171,150 | 18,128,792 |
Schedule of Related Party Trans
Schedule of Related Party Transactions, by Related Party (Details) - USD ($) $ in Thousands | 7 Months Ended | 12 Months Ended | ||
Aug. 14, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Related Party Transaction [Line Items] | ||||
Management fees | $ 0 | $ 31,738 | $ 60,102 | |
PRCM Advisers LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Percent per annum of equity used to calculate management fees | 1.50% | |||
Management fees | 31,700 | 60,100 | ||
Direct and allocated costs incurred by manager | $ 19,300 | $ 27,600 |