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Name | Symbol | Market | Type |
---|---|---|---|
MFA Financial Inc | NYSE:MFA-B | NYSE | Preference Share |
Price Change | % Change | Price | High Price | Low Price | Open Price | Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.1019 | -0.44% | 23.06 | 23.16 | 23.02 | 23.05 | 8,770 | 01:00:00 |
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Maryland
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13-3974868
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(State or other jurisdiction of incorporation or organization)
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(I.R.S. Employer Identification No.)
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350 Park Avenue, 20th Floor
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New York
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New York
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10022
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(Address of principal executive offices)
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(Zip Code)
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Title of Each Class
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Trading Symbol(s)
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Name of Each Exchange on Which Registered
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Common Stock, par value $0.01 per share
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MFA
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New York Stock Exchange
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7.50% Series B Cumulative Redeemable
Preferred Stock, par value $0.01 per share |
MFA/PB
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New York Stock Exchange
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6.50% Series C Cumulative Redeemable
Preferred Stock, par value $0.01 per share |
MFA/PC
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New York Stock Exchange
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8.00% Senior Notes due 2042
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MFO
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New York Stock Exchange
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Large accelerated filer
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x
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Accelerated filer
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☐
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Non-accelerated filer
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☐
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Smaller reporting company
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☐
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Emerging growth company
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☐
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Page
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PART I
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FINANCIAL INFORMATION
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MFA FINANCIAL, INC.
CONSOLIDATED BALANCE SHEETS
|
||||||||
(In Thousands Except Per Share Amounts)
|
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June 30,
2020 |
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December 31,
2019 |
||||
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(Unaudited)
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|
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Assets:
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Residential whole loans:
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Residential whole loans, at carrying value ($4,556,213 and $4,847,782 pledged as collateral, respectively) (1)
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$
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4,813,119
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$
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6,069,370
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Residential whole loans, at fair value ($691,660 and $794,684 pledged as collateral, respectively) (1)
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1,200,981
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1,381,583
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Allowance for credit losses on residential whole loans held at carrying value
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(136,589
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)
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(3,025
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)
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Total residential whole loans, net
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5,877,511
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7,447,928
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Residential mortgage securities, at fair value ($148,210 and $3,966,591 pledged as collateral, respectively)
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148,343
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3,983,519
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Mortgage servicing rights (“MSR”) related assets ($255,035 and $1,217,002 pledged as collateral, respectively)
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254,228
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1,217,002
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Cash and cash equivalents
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666,172
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70,629
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Restricted cash
|
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7,680
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64,035
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Other assets
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613,474
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784,251
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Total Assets
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$
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7,567,408
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$
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13,567,364
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Liabilities:
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Financing agreements ($4,194,324 and $0 held at fair value, respectively)
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$
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5,011,356
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$
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10,031,606
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Other liabilities
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35,001
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151,806
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Total Liabilities
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$
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5,046,357
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$
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10,183,412
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Commitments and contingencies (See Note 10)
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Stockholders’ Equity:
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Preferred stock, $.01 par value; 7.50% Series B cumulative redeemable; 8,050 shares authorized;
8,000 shares issued and outstanding ($200,000 aggregate liquidation preference) |
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$
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80
|
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$
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80
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Preferred stock, $.01 par value; 6.50% Series C fixed-to-floating rate cumulative redeemable;
12,650 shares authorized; 11,000 shares issued and outstanding ($275,000 aggregate liquidation preference) |
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110
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—
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Common stock, $.01 par value; 874,300 and 886,950 shares authorized; 453,244 and 452,369 shares issued
and outstanding, respectively |
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4,532
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4,524
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Additional paid-in capital, in excess of par
|
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3,922,399
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3,640,341
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Accumulated deficit
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(1,451,783
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)
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(631,040
|
)
|
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Accumulated other comprehensive income
|
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45,713
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370,047
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Total Stockholders’ Equity
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$
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2,521,051
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$
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3,383,952
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Total Liabilities and Stockholders’ Equity
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$
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7,567,408
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$
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13,567,364
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(1)
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Includes approximately $181.4 million and $186.4 million of Residential whole loans, at carrying value and $506.7 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at June 30, 2020 and December 31, 2019, respectively. Such assets can be used only to settle the obligations of each respective VIE.
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MFA FINANCIAL, INC.
CONSOLIDATED STATEMENTS OF OPERATIONS
(UNAUDITED)
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Three Months Ended
June 30, |
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Six Months Ended
June 30, |
||||||||||||
(In Thousands, Except Per Share Amounts)
|
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2020
|
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2019
|
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2020
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2019
|
||||||||
Interest Income:
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Residential whole loans held at carrying value
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$
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69,427
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$
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57,879
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$
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152,913
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$
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107,499
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Residential mortgage securities
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4,975
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72,395
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49,349
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151,037
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MSR-related assets
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9,741
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12,338
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23,948
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22,958
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Other interest-earning assets
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3,165
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1,287
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6,072
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2,593
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Cash and cash equivalent investments
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60
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1,036
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546
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1,800
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Interest Income
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$
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87,368
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$
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144,935
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$
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232,828
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$
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285,887
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Interest Expense:
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Asset-backed and other collateralized financing arrangements
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$
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82,085
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$
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81,826
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$
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159,945
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$
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158,841
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Other interest expense
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5,906
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3,218
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11,805
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5,229
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Interest Expense
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$
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87,991
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$
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85,044
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$
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171,750
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$
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164,070
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Net Interest (Expense)/Income
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$
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(623
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)
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$
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59,891
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$
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61,078
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$
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121,817
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Reversal/(Provision) for credit and valuation losses on residential whole loans and other financial instruments
|
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$
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85,377
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$
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(385
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)
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$
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(65,334
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)
|
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$
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(1,190
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)
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Net Interest Income/(Expense) after Provision for Credit and Valuation Losses
|
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$
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84,754
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$
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59,506
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$
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(4,256
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)
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$
|
120,627
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Other Income, net:
|
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Impairment and other losses on securities available-for-sale and other assets
|
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$
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(5,094
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)
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$
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—
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$
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(424,745
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)
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$
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—
|
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Net realized gain/(loss) on sales of residential mortgage securities and residential whole loans
|
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49,485
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7,710
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(188,895
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)
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32,319
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|
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Net unrealized gain/(loss) on residential mortgage securities measured at fair value through earnings
|
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64,438
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|
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—
|
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(13,523
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)
|
|
8,672
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|
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Net gain/(loss) on residential whole loans measured at fair value through earnings
|
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20,320
|
|
|
51,473
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|
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(32,440
|
)
|
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76,740
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|
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Loss on terminated swaps previously designated as hedges for accounting purposes
|
|
(49,857
|
)
|
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—
|
|
|
(49,857
|
)
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—
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|
||||
Other, net
|
|
(2,935
|
)
|
|
(2,321
|
)
|
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(4,946
|
)
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(9,700
|
)
|
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Other Income/(Loss), net
|
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$
|
76,357
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$
|
56,862
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$
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(714,406
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)
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$
|
108,031
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Operating and Other Expense:
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Compensation and benefits
|
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$
|
8,578
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|
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$
|
7,841
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$
|
17,477
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|
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$
|
16,395
|
|
Other general and administrative expense
|
|
7,652
|
|
|
5,934
|
|
|
12,227
|
|
|
10,579
|
|
||||
Loan servicing and other related operating expenses
|
|
8,337
|
|
|
9,553
|
|
|
19,617
|
|
|
19,787
|
|
||||
Costs associated with restructuring/forbearance agreement
|
|
39,966
|
|
|
—
|
|
|
44,434
|
|
|
$
|
—
|
|
|||
Operating and Other Expense
|
|
$
|
64,533
|
|
|
$
|
23,328
|
|
|
$
|
93,755
|
|
|
$
|
46,761
|
|
|
|
|
|
|
|
|
|
|
||||||||
Net Income/(Loss)
|
|
$
|
96,578
|
|
|
$
|
93,040
|
|
|
$
|
(812,417
|
)
|
|
$
|
181,897
|
|
Less Preferred Stock Dividend Requirement
|
|
$
|
8,144
|
|
|
$
|
3,750
|
|
|
$
|
13,359
|
|
|
7,500
|
|
|
Net Income/(Loss) Available to Common Stock and Participating Securities
|
|
$
|
88,434
|
|
|
$
|
89,290
|
|
|
$
|
(825,776
|
)
|
|
$
|
174,397
|
|
|
|
|
|
|
|
|
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|
||||||||
Basic Earnings/(Loss) per Common Share
|
|
$
|
0.19
|
|
|
$
|
0.20
|
|
|
$
|
(1.82
|
)
|
|
$
|
0.39
|
|
Diluted Earnings/(Loss) per Common Share
|
|
$
|
0.19
|
|
|
$
|
0.20
|
|
|
$
|
(1.82
|
)
|
|
$
|
0.38
|
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MFA FINANCIAL, INC.
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS)
(UNAUDITED)
|
||||||||||||||||
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
(In Thousands)
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Net income/(loss)
|
|
$
|
96,578
|
|
|
$
|
93,040
|
|
|
$
|
(812,417
|
)
|
|
$
|
181,897
|
|
Other Comprehensive Income/(Loss):
|
|
|
|
|
|
|
|
|
||||||||
Unrealized gains on securities available-for-sale
|
|
48,715
|
|
|
24,008
|
|
|
393,503
|
|
|
44,307
|
|
||||
Reclassification adjustment for MBS sales included in net income
|
|
(144,736
|
)
|
|
(6,371
|
)
|
|
(389,067
|
)
|
|
(21,576
|
)
|
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Reclassification adjustment for impairments included in net income
|
|
—
|
|
|
—
|
|
|
(344,269
|
)
|
|
—
|
|
||||
Derivative hedging instrument fair value changes, net
|
|
—
|
|
|
(19,706
|
)
|
|
(50,126
|
)
|
|
(30,151
|
)
|
||||
Reclassification adjustment for losses/(gains) related to hedging instruments included in net income
|
|
64,032
|
|
|
(743
|
)
|
|
65,625
|
|
|
(1,084
|
)
|
||||
Other Comprehensive Income/(Loss)
|
|
(31,989
|
)
|
|
(2,812
|
)
|
|
(324,334
|
)
|
|
(8,504
|
)
|
||||
Comprehensive income before preferred stock dividends
|
|
$
|
64,589
|
|
|
$
|
90,228
|
|
|
$
|
(1,136,751
|
)
|
|
$
|
173,393
|
|
Dividends required on preferred stock
|
|
(8,144
|
)
|
|
(3,750
|
)
|
|
(13,359
|
)
|
|
(7,500
|
)
|
||||
Comprehensive Income/(Loss) Available to Common Stock and Participating Securities
|
|
$
|
56,445
|
|
|
$
|
86,478
|
|
|
$
|
(1,150,110
|
)
|
|
$
|
165,893
|
|
MFA FINANCIAL, INC.
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY
(UNAUDITED)
|
|||||||||||||||||||||||||||||||||||||
|
|
Six Months Ended June 30, 2020
|
|||||||||||||||||||||||||||||||||||
(In Thousands,
Except Per Share Amounts) |
|
Preferred Stock
6.50% Series C Fixed-to-Floating Rate Cumulative Redeemable - Liquidation Preference $25.00 per Share |
|
Preferred Stock
7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share |
|
Common Stock
|
|
Additional Paid-in Capital
|
|
Accumulated
Deficit |
|
Accumulated Other Comprehensive Income
|
|
Total
|
|||||||||||||||||||||||
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
|
|
|
||||||||||||||||||||||
Balance at December 31, 2019
|
|
—
|
|
|
$
|
—
|
|
|
8,000
|
|
|
$
|
80
|
|
|
452,369
|
|
|
$
|
4,524
|
|
|
$
|
3,640,341
|
|
|
$
|
(631,040
|
)
|
|
$
|
370,047
|
|
|
$
|
3,383,952
|
|
Cumulative effect adjustment on adoption of new accounting standard ASU 2016-13
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(8,326
|
)
|
|
—
|
|
|
(8,326
|
)
|
|||||||
Net loss
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(908,995
|
)
|
|
—
|
|
|
(908,995
|
)
|
|||||||
Issuance of Series C Preferred Stock, net of expenses
|
|
11,000
|
|
|
110
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
265,919
|
|
|
—
|
|
|
—
|
|
|
266,029
|
|
|||||||
Issuance of common stock, net of expenses
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,106
|
|
|
7
|
|
|
680
|
|
|
—
|
|
|
—
|
|
|
687
|
|
|||||||
Repurchase of shares of common stock (1)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(337
|
)
|
|
—
|
|
|
(2,652
|
)
|
|
—
|
|
|
—
|
|
|
(2,652
|
)
|
|||||||
Equity based compensation expense
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,266
|
|
|
—
|
|
|
—
|
|
|
1,266
|
|
|||||||
Accrued dividends attributable to stock-based awards
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,059
|
|
|
—
|
|
|
—
|
|
|
1,059
|
|
|||||||
Change in unrealized gains on MBS, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(243,812
|
)
|
|
(243,812
|
)
|
|||||||
Derivative hedging instrument fair value changes and amortization, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(48,533
|
)
|
|
(48,533
|
)
|
|||||||
Balance at March 31, 2020
|
|
11,000
|
|
|
$
|
110
|
|
|
8,000
|
|
|
$
|
80
|
|
|
453,138
|
|
|
$
|
4,531
|
|
|
$
|
3,906,613
|
|
|
$
|
(1,548,361
|
)
|
|
$
|
77,702
|
|
|
$
|
2,440,675
|
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
96,578
|
|
|
—
|
|
|
96,578
|
|
|||||||
Issuance of common stock, net of expenses
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
106
|
|
|
1
|
|
|
36
|
|
|
—
|
|
|
—
|
|
|
37
|
|
|||||||
Equity based compensation expense
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,709
|
|
|
—
|
|
|
—
|
|
|
1,709
|
|
|||||||
Change in unrealized gains on MBS, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(96,021
|
)
|
|
(96,021
|
)
|
|||||||
Derivative hedging instrument fair value changes, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
64,032
|
|
|
64,032
|
|
|||||||
Warrants Issued
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
14,041
|
|
|
—
|
|
|
—
|
|
|
14,041
|
|
|||||||
Balance at June 30, 2020
|
|
11,000
|
|
|
$
|
110
|
|
|
8,000
|
|
|
$
|
80
|
|
|
453,244
|
|
|
$
|
4,532
|
|
|
$
|
3,922,399
|
|
|
$
|
(1,451,783
|
)
|
|
$
|
45,713
|
|
|
$
|
2,521,051
|
|
MFA FINANCIAL, INC.
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY
(UNAUDITED)
|
||||||||||||||||||||||||||||||
|
|
Six Months Ended June 30, 2019
|
||||||||||||||||||||||||||||
(In Thousands,
Except Per Share Amounts) |
|
Preferred Stock
7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share |
|
Common Stock
|
|
Additional Paid-in Capital
|
|
Accumulated
Deficit |
|
Accumulated Other Comprehensive Income
|
|
Total
|
||||||||||||||||||
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
|
|
|
|||||||||||||||||||
Balance at December 31, 2018
|
|
8,000
|
|
|
$
|
80
|
|
|
449,787
|
|
|
$
|
4,498
|
|
|
$
|
3,623,275
|
|
|
$
|
(632,040
|
)
|
|
$
|
420,288
|
|
|
$
|
3,416,101
|
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
88,857
|
|
|
—
|
|
|
88,857
|
|
||||||
Issuance of common stock, net of expenses
|
|
—
|
|
|
—
|
|
|
1,066
|
|
|
7
|
|
|
544
|
|
|
—
|
|
|
—
|
|
|
551
|
|
||||||
Repurchase of shares of common stock (1)
|
|
—
|
|
|
—
|
|
|
(370
|
)
|
|
—
|
|
|
(2,610
|
)
|
|
—
|
|
|
—
|
|
|
(2,610
|
)
|
||||||
Equity based compensation expense
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
992
|
|
|
—
|
|
|
—
|
|
|
992
|
|
||||||
Accrued dividends attributable to stock-based awards
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
435
|
|
|
—
|
|
|
—
|
|
|
435
|
|
||||||
Dividends declared on common stock ($0.20 per share)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(90,097
|
)
|
|
—
|
|
|
(90,097
|
)
|
||||||
Dividends declared on preferred stock ($0.46875 per share)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3,750
|
)
|
|
—
|
|
|
(3,750
|
)
|
||||||
Dividends attributable to dividend equivalents
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(256
|
)
|
|
—
|
|
|
(256
|
)
|
||||||
Change in unrealized losses on MBS, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,094
|
|
|
5,094
|
|
||||||
Derivative hedging instruments fair value changes, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10,786
|
)
|
|
(10,786
|
)
|
||||||
Balance at March 31, 2019
|
|
8,000
|
|
|
$
|
80
|
|
|
450,483
|
|
|
$
|
4,505
|
|
|
$
|
3,622,636
|
|
|
$
|
(637,286
|
)
|
|
$
|
414,596
|
|
|
$
|
3,404,531
|
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
93,040
|
|
|
—
|
|
|
93,040
|
|
||||||
Issuance of common stock, net of expenses
|
|
—
|
|
|
—
|
|
|
139
|
|
|
1
|
|
|
585
|
|
|
—
|
|
|
—
|
|
|
586
|
|
||||||
Equity based compensation expense
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,438
|
|
|
—
|
|
|
—
|
|
|
2,438
|
|
||||||
Accrued dividends attributable to stock-based awards
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(260
|
)
|
|
—
|
|
|
—
|
|
|
(260
|
)
|
||||||
Dividends declared on common stock ($0.20 per share)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(90,124
|
)
|
|
—
|
|
|
(90,124
|
)
|
||||||
Dividends declared on preferred stock ($0.46875 per share)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3,750
|
)
|
|
—
|
|
|
(3,750
|
)
|
||||||
Dividends attributable to dividend equivalents
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(276
|
)
|
|
—
|
|
|
(276
|
)
|
||||||
Change in unrealized losses on MBS, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17,637
|
|
|
17,637
|
|
||||||
Derivative hedging instruments fair value changes, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(20,449
|
)
|
|
(20,449
|
)
|
||||||
Balance at June 30, 2019
|
|
8,000
|
|
|
$
|
80
|
|
|
450,622
|
|
|
$
|
4,506
|
|
|
$
|
3,625,399
|
|
|
$
|
(638,396
|
)
|
|
$
|
411,784
|
|
|
$
|
3,403,373
|
|
MFA FINANCIAL, INC.
CONSOLIDATED STATEMENTS OF CASH FLOWS
(UNAUDITED)
|
||||||||
|
|
Six Months Ended
June 30, |
||||||
(In Thousands)
|
|
2020
|
|
2019
|
||||
Cash Flows From Operating Activities:
|
|
|
|
|
|
|
||
Net (loss)/income
|
|
$
|
(812,417
|
)
|
|
$
|
181,897
|
|
Adjustments to reconcile net income to net cash provided by operating activities:
|
|
|
|
|
|
|||
Loss on sales of residential whole loans
|
|
273,848
|
|
|
—
|
|
||
Gain on sales of residential mortgage securities, MSR-related assets, and other assets
|
|
(84,953
|
)
|
|
(32,319
|
)
|
||
Gain on sales of real estate owned
|
|
(6,104
|
)
|
|
(3,692
|
)
|
||
Gain on liquidation of residential whole loans
|
|
(2,633
|
)
|
|
(9,661
|
)
|
||
Impairment and other losses on securities available-for-sale and other assets
|
|
424,745
|
|
|
—
|
|
||
Loss on terminated swaps previously designated as hedges for accounting purposes
|
|
49,857
|
|
|
—
|
|
||
Accretion of purchase discounts on residential mortgage securities, residential whole loans and MSR-related assets
|
|
(20,244
|
)
|
|
(33,193
|
)
|
||
Amortization of purchase premiums on residential mortgage securities and residential whole loans, and amortization of terminated hedging instruments
|
|
35,594
|
|
|
19,422
|
|
||
Depreciation and amortization on real estate, fixed assets and other assets
|
|
3,970
|
|
|
1,084
|
|
||
Equity-based compensation expense
|
|
2,827
|
|
|
3,436
|
|
||
Unrealized losses/(gains) on residential whole loans at fair value
|
|
72,546
|
|
|
(20,128
|
)
|
||
Provision for credit and valuation losses on residential whole loans and other financial instruments
|
|
65,334
|
|
|
—
|
|
||
Unrealized losses on residential mortgage securities and interest rate swap agreements (“Swaps”) and other
|
|
57,981
|
|
|
1,363
|
|
||
Decrease/(increase) in other assets
|
|
22,084
|
|
|
(26,978
|
)
|
||
(Decrease)/increase in other liabilities
|
|
(25,791
|
)
|
|
4,716
|
|
||
Net cash provided by operating activities
|
|
$
|
56,644
|
|
|
$
|
85,947
|
|
|
|
|
|
|
||||
Cash Flows From Investing Activities:
|
|
|
|
|
|
|
||
Purchases of residential whole loans, loan related investments and capitalized advances
|
|
$
|
(1,285,106
|
)
|
|
$
|
(1,943,860
|
)
|
Proceeds from sales of residential whole loans
|
|
1,505,458
|
|
|
—
|
|
||
Principal payments on residential whole loans
|
|
862,480
|
|
|
523,600
|
|
||
Principal payments on residential mortgage securities and MSR-related assets
|
|
590,921
|
|
|
930,591
|
|
||
Proceeds from sales of residential mortgage securities, MSR-related assets, and other assets
|
|
3,790,032
|
|
|
404,796
|
|
||
Purchases of residential mortgage securities and MSR-related assets
|
|
(163,748
|
)
|
|
(697,973
|
)
|
||
Proceeds from sales of real estate owned
|
|
113,359
|
|
|
56,073
|
|
||
Purchases of real estate owned and capital improvements
|
|
(8,798
|
)
|
|
(10,561
|
)
|
||
Additions to leasehold improvements, furniture and fixtures
|
|
837
|
|
|
(1,043
|
)
|
||
Net cash provided by/(used in) investing activities
|
|
$
|
5,405,435
|
|
|
$
|
(738,377
|
)
|
|
|
|
|
|
||||
Cash Flows From Financing Activities:
|
|
|
|
|
|
|||
Principal payments on financing agreements with mark-to-market collateral provisions
|
|
$
|
(21,021,793
|
)
|
|
$
|
(38,068,063
|
)
|
Proceeds from borrowings under financing agreements with mark-to-market collateral provisions
|
|
13,537,087
|
|
|
38,819,598
|
|
||
Proceeds from borrowings under financing agreements with non-mark-to-market collateral provisions
|
|
2,036,597
|
|
|
—
|
|
||
Proceeds from issuance of senior secured credit agreement
|
|
480,959
|
|
|
—
|
|
||
Principal payments on securitized debt
|
|
(57,404
|
)
|
|
(57,496
|
)
|
||
Proceeds from issuance of convertible senior notes
|
|
—
|
|
|
223,444
|
|
||
Payments made for settlements and unwinds of Swaps
|
|
(88,405
|
)
|
|
(47,131
|
)
|
||
Proceeds from issuance of series C preferred stock
|
|
275,000
|
|
|
—
|
|
||
Payments made for costs related to series C preferred stock issuance
|
|
(8,948
|
)
|
|
—
|
|
||
Proceeds from issuances of common stock
|
|
724
|
|
|
1,137
|
|
||
Proceeds from the issuance of warrants
|
|
14,041
|
|
|
—
|
|
||
Dividends paid on preferred stock
|
|
—
|
|
|
(7,500
|
)
|
||
Dividends paid on common stock and dividend equivalents
|
|
(90,749
|
)
|
|
(180,551
|
)
|
||
Net cash (used in)/provided by financing activities
|
|
$
|
(4,922,891
|
)
|
|
$
|
683,438
|
|
Net increase in cash, cash equivalents and restricted cash
|
|
$
|
539,188
|
|
|
$
|
31,008
|
|
Cash, cash equivalents and restricted cash at beginning of period
|
|
$
|
134,664
|
|
|
$
|
88,709
|
|
Cash, cash equivalents and restricted cash at end of period
|
|
$
|
673,852
|
|
|
$
|
119,717
|
|
MFA FINANCIAL, INC.
CONSOLIDATED STATEMENTS OF CASH FLOWS
(UNAUDITED)
|
||||||||
|
|
|
|
|
||||
Supplemental Disclosure of Cash Flow Information
|
|
|
|
|
||||
Interest Paid
|
|
$
|
165,333
|
|
|
$
|
169,852
|
|
|
|
|
|
|
||||
Non-cash Investing and Financing Activities:
|
|
|
|
|
||||
Transfer from residential whole loans to real estate owned
|
|
$
|
59,219
|
|
|
$
|
131,644
|
|
Dividends and dividend equivalents declared and unpaid
|
|
$
|
—
|
|
|
$
|
90,400
|
|
Payable for unsettled residential whole loan purchases
|
|
$
|
—
|
|
|
$
|
86,987
|
|
(Dollars In Thousands)
|
|
June 30, 2020
|
|
December 31, 2019
|
||||
Purchased Performing Loans:
|
|
|
|
|
||||
Non-QM loans
|
|
$
|
2,574,184
|
|
|
$
|
3,707,245
|
|
Rehabilitation loans
|
|
862,895
|
|
|
1,026,097
|
|
||
Single-family rental loans
|
|
494,248
|
|
|
460,742
|
|
||
Seasoned performing loans
|
|
155,279
|
|
|
176,569
|
|
||
Total Purchased Performing Loans
|
|
4,086,606
|
|
|
5,370,653
|
|
||
Purchased Credit Deteriorated Loans (1)
|
|
726,513
|
|
|
698,717
|
|
||
Total Residential whole loans, at carrying value
|
|
$
|
4,813,119
|
|
|
$
|
6,069,370
|
|
Allowance for credit losses on residential whole loans held at carrying value
|
|
(136,589
|
)
|
|
(3,025
|
)
|
||
Total Residential whole loans at carrying value, net
|
|
$
|
4,676,530
|
|
|
$
|
6,066,345
|
|
|
|
|
|
|
||||
Number of loans
|
|
14,689
|
|
|
17,082
|
|
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
(In Thousands)
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Purchased Performing Loans:
|
|
|
|
|
|
|
|
|
||||||||
Non-QM loans
|
|
$
|
37,259
|
|
|
$
|
26,578
|
|
|
$
|
86,329
|
|
|
$
|
48,992
|
|
Rehabilitation loans
|
|
13,312
|
|
|
13,256
|
|
|
28,639
|
|
|
23,189
|
|
||||
Single-family rental loans
|
|
7,268
|
|
|
3,926
|
|
|
14,611
|
|
|
6,627
|
|
||||
Seasoned performing loans
|
|
2,253
|
|
|
3,122
|
|
|
4,853
|
|
|
6,295
|
|
||||
Total Purchased Performing Loans
|
|
60,092
|
|
|
46,882
|
|
|
134,432
|
|
|
85,103
|
|
||||
Purchased Credit Deteriorated Loans
|
|
9,335
|
|
|
10,997
|
|
|
18,481
|
|
|
22,396
|
|
||||
Total Residential whole loans, at carrying value
|
|
$
|
69,427
|
|
|
$
|
57,879
|
|
|
$
|
152,913
|
|
|
$
|
107,499
|
|
|
|
Carrying Value
|
|
Amortized Cost Basis
|
|
Unpaid Principal Balance (“UPB”)
|
|
Weighted Average Coupon (1)
|
|
Weighted Average Term to Maturity (Months)
|
|
Weighted Average LTV Ratio (2)
|
|
Weighted Average Original FICO (3)
|
|
Aging by Amortized Cost Basis
|
||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
Past Due Days
|
|||||||||||||||||||||||||||
(Dollars In Thousands)
|
|
|
|
|
|
|
|
|
Current
|
|
30-59
|
|
60-89
|
|
90+
|
|||||||||||||||||||||||
Purchased Performing Loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Non-QM loans (4)
|
|
$
|
2,542,831
|
|
|
$
|
2,574,184
|
|
|
$
|
2,501,547
|
|
|
5.87
|
%
|
|
354
|
|
64
|
%
|
|
712
|
|
$
|
2,502,521
|
|
|
$
|
24,927
|
|
|
$
|
23,192
|
|
|
$
|
23,544
|
|
Rehabilitation loans (4)
|
|
832,895
|
|
|
862,895
|
|
|
862,895
|
|
|
7.26
|
|
|
6
|
|
63
|
|
|
720
|
|
620,315
|
|
|
60,762
|
|
|
65,226
|
|
|
116,592
|
|
|||||||
Single-family rental loans (4)
|
|
487,317
|
|
|
494,248
|
|
|
489,947
|
|
|
6.28
|
|
|
321
|
|
70
|
|
|
734
|
|
444,308
|
|
|
25,428
|
|
|
12,730
|
|
|
11,782
|
|
|||||||
Seasoned performing loans (4)
|
|
155,055
|
|
|
155,279
|
|
|
169,469
|
|
|
3.76
|
|
|
176
|
|
42
|
|
|
723
|
|
150,800
|
|
|
1,740
|
|
|
442
|
|
|
2,297
|
|
|||||||
Purchased Credit Deteriorated Loans (4)(5)
|
|
658,432
|
|
|
726,513
|
|
|
838,673
|
|
|
4.46
|
|
|
291
|
|
79
|
|
|
N/A
|
|
N/M
|
|
|
N/M
|
|
|
N/M
|
|
|
105,536
|
|
|||||||
Residential whole loans, at carrying value, total or weighted average
|
|
$
|
4,676,530
|
|
|
$
|
4,813,119
|
|
|
$
|
4,862,531
|
|
|
5.86
|
%
|
|
272
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Carrying Value
|
|
Amortized Cost Basis
|
|
Unpaid Principal Balance (“UPB”)
|
|
Weighted Average Coupon (1)
|
|
Weighted Average Term to Maturity (Months)
|
|
Weighted Average LTV Ratio (2)
|
|
Weighted Average Original FICO (3)
|
|
Aging by UPB
|
||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
Past Due Days
|
|||||||||||||||||||||||||||
(Dollars In Thousands)
|
|
|
|
|
|
|
|
|
Current
|
|
30-59
|
|
60-89
|
|
90+
|
|||||||||||||||||||||||
Purchased
Performing Loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Non-QM loans (4)
|
|
$
|
3,706,857
|
|
|
$
|
3,707,245
|
|
|
$
|
3,592,701
|
|
|
5.96
|
%
|
|
368
|
|
67
|
%
|
|
716
|
|
$
|
3,492,533
|
|
|
$
|
59,963
|
|
|
$
|
19,605
|
|
|
$
|
20,600
|
|
Rehabilitation loans (4)
|
|
1,023,766
|
|
|
1,026,097
|
|
|
1,026,097
|
|
|
7.30
|
|
|
8
|
|
64
|
|
|
717
|
|
868,281
|
|
|
67,747
|
|
|
27,437
|
|
|
62,632
|
|
|||||||
Single-family rental loans (4)
|
|
460,679
|
|
|
460,741
|
|
|
457,146
|
|
|
6.29
|
|
|
324
|
|
70
|
|
|
734
|
|
432,936
|
|
|
15,948
|
|
|
2,047
|
|
|
6,215
|
|
|||||||
Seasoned performing loans
|
|
176,569
|
|
|
176,569
|
|
|
192,151
|
|
|
4.24
|
|
|
181
|
|
46
|
|
|
723
|
|
187,683
|
|
|
2,164
|
|
|
430
|
|
|
1,874
|
|
|||||||
Purchased Credit Impaired Loans (5)
|
|
698,474
|
|
|
698,718
|
|
|
873,326
|
|
|
4.46
|
|
|
294
|
|
81
|
|
|
N/A
|
|
N/M
|
|
|
N/M
|
|
|
N/M
|
|
|
108,998
|
|
|||||||
Residential whole loans, at carrying value, total or weighted average
|
|
$
|
6,066,345
|
|
|
$
|
6,069,370
|
|
|
$
|
6,141,421
|
|
|
5.96
|
%
|
|
288
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees.
|
(2)
|
LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $280.6 million and $269.2 million at June 30, 2020 and December 31, 2019, respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% and 69% at June 30, 2020 and December 31, 2019, respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
|
(3)
|
Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available.
|
(4)
|
At June 30, 2020 and December 31, 2019 the difference between the Carrying Value and Amortized Cost Basis represents the related allowance for credit losses.
|
(5)
|
Purchased Credit Deteriorated Loans tend to be characterized by varying performance of the underlying borrowers over time, including loans where multiple months of payments are received in a period to bring the loan to current status, followed by months where no payments are received. Accordingly, delinquency information is presented for loans that are more than 90 days past due that are considered to be seriously delinquent.
|
|
|
Six Months Ended June 30, 2020
|
||||||||||||||||||||||
(Dollars In Thousands)
|
|
Non-QM Loans
|
|
Rehabilitation Loans (1)(2)
|
|
Single-family Rental Loans
|
|
Seasoned Performing Loans
|
|
Purchased Credit Deteriorated Loans (3)
|
|
Totals
|
||||||||||||
Allowance for credit losses at December 31, 2019
|
|
$
|
388
|
|
|
$
|
2,331
|
|
|
$
|
62
|
|
|
$
|
—
|
|
|
$
|
244
|
|
|
$
|
3,025
|
|
Transition adjustment on adoption of ASU 2016-13 (4)
|
|
6,904
|
|
|
517
|
|
|
754
|
|
|
19
|
|
|
62,361
|
|
|
70,555
|
|
||||||
Current provision
|
|
26,358
|
|
|
33,213
|
|
|
6,615
|
|
|
230
|
|
|
8,481
|
|
|
74,897
|
|
||||||
Write-offs
|
|
—
|
|
|
(428
|
)
|
|
—
|
|
|
—
|
|
|
(219
|
)
|
|
(647
|
)
|
||||||
Valuation adjustment on loans held for sale
|
|
70,181
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
70,181
|
|
||||||
Allowance for credit and valuation losses at March 31, 2020
|
|
$
|
103,831
|
|
|
$
|
35,633
|
|
|
$
|
7,431
|
|
|
$
|
249
|
|
|
$
|
70,867
|
|
|
$
|
218,011
|
|
Current provision/(reversal)
|
|
(2,297
|
)
|
|
(5,213
|
)
|
|
(500
|
)
|
|
(25
|
)
|
|
(2,579
|
)
|
|
(10,614
|
)
|
||||||
Write-offs
|
|
—
|
|
|
(420
|
)
|
|
—
|
|
|
—
|
|
|
(207
|
)
|
|
(627
|
)
|
||||||
Valuation adjustment on loans held for sale
|
|
(70,181
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(70,181
|
)
|
||||||
Allowance for credit losses at June 30, 2020
|
|
$
|
31,353
|
|
|
$
|
30,000
|
|
|
$
|
6,931
|
|
|
$
|
224
|
|
|
$
|
68,081
|
|
|
$
|
136,589
|
|
|
|
Six Months Ended June 30, 2019
|
||||||||||||||||||||||
(Dollars In Thousands)
|
|
Non-QM Loans
|
|
Rehabilitation Loans
|
|
Single-family Rental Loans
|
|
Seasoned Performing Loans
|
|
Purchased Credit Deteriorated Loans
|
|
Totals
|
||||||||||||
Allowance for credit losses at December 31, 2018
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
968
|
|
|
$
|
968
|
|
Current provision
|
|
—
|
|
|
500
|
|
|
—
|
|
|
—
|
|
|
183
|
|
|
683
|
|
||||||
Write-offs
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Allowance for credit losses at March 31, 2019
|
|
$
|
—
|
|
|
$
|
500
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,151
|
|
|
$
|
1,651
|
|
Current provision
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
385
|
|
|
385
|
|
||||||
Write-offs
|
|
—
|
|
|
(50
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(50
|
)
|
||||||
Allowance for credit losses at June 30, 2019
|
|
$
|
—
|
|
|
$
|
450
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,536
|
|
|
$
|
1,986
|
|
(1)
|
In connection with purchased Rehabilitation loans, the Company had unfunded commitments of $94.5 million, with an allowance for credit losses of $2.1 million at June 30, 2020. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 9).
|
(2)
|
Includes $181.8 million of loans that were assessed for credit losses based on a collateral dependent methodology.
|
(3)
|
Includes $100.0 million of loans that were assessed for credit losses based on a collateral dependent methodology.
|
(4)
|
Of the $70.6 million of reserves recorded on adoption of ASU 2016-13, $8.3 million was recorded as an adjustment to stockholders’ equity and $62.4 million was recorded as a “gross up” of the amortized cost basis of Purchased Credit Deteriorated Loans.
|
|
|
Amortized Cost Basis by Origination Year and LTV Bands
|
||||||||||||||||||||||||||
(Dollars In Thousands)
|
|
2020
|
|
2019
|
|
2018
|
|
2017
|
|
2016
|
|
Prior
|
|
Total
|
||||||||||||||
Non-QM loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
LTV < 80% (1)
|
|
$
|
375,156
|
|
|
$
|
1,265,076
|
|
|
$
|
733,368
|
|
|
$
|
81,119
|
|
|
$
|
7,718
|
|
|
$
|
—
|
|
|
$
|
2,462,437
|
|
LTV >= 80% (1)
|
|
28,605
|
|
|
40,518
|
|
|
32,765
|
|
|
9,706
|
|
|
153
|
|
|
—
|
|
|
111,747
|
|
|||||||
Total Non-QM loans
|
|
$
|
403,761
|
|
|
$
|
1,305,594
|
|
|
$
|
766,133
|
|
|
$
|
90,825
|
|
|
$
|
7,871
|
|
|
$
|
—
|
|
|
$
|
2,574,184
|
|
Six Months Ended June 30, 2020 Gross write-offs
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Six Months Ended June 30, 2020 Recoveries
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Six Months Ended June 30, 2020 Net write-offs
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Rehabilitation loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
LTV < 80% (1)
|
|
$
|
43,735
|
|
|
$
|
659,139
|
|
|
$
|
128,777
|
|
|
$
|
8,141
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
839,792
|
|
LTV >= 80% (1)
|
|
3,626
|
|
|
17,229
|
|
|
548
|
|
|
1,700
|
|
|
—
|
|
|
—
|
|
|
23,103
|
|
|||||||
Total Rehabilitation loans
|
|
$
|
47,361
|
|
|
$
|
676,368
|
|
|
$
|
129,325
|
|
|
$
|
9,841
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
862,895
|
|
Six Months Ended June 30, 2020 Gross write-offs
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
816
|
|
|
$
|
32
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
848
|
|
Six Months Ended June 30, 2020 Recoveries
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Six Months Ended June 30, 2020 Net write-offs
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
816
|
|
|
$
|
32
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
848
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Single family rental loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
LTV < 80% (1)
|
|
$
|
22,765
|
|
|
$
|
296,485
|
|
|
$
|
144,006
|
|
|
$
|
13,900
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
477,156
|
|
LTV >= 80% (1)
|
|
1,391
|
|
|
15,489
|
|
|
212
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17,092
|
|
|||||||
Total Single family rental loans
|
|
$
|
24,156
|
|
|
$
|
311,974
|
|
|
$
|
144,218
|
|
|
$
|
13,900
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
494,248
|
|
Six Months Ended June 30, 2020 Gross write-offs
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Six Months Ended June 30, 2020 Recoveries
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Six Months Ended June 30, 2020 Net write-offs
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Seasoned performing loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
LTV < 80% (1)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
80
|
|
|
$
|
147,302
|
|
|
$
|
147,382
|
|
LTV >= 80% (1)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,897
|
|
|
7,897
|
|
|||||||
Total Seasoned performing loans
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
80
|
|
|
$
|
155,199
|
|
|
$
|
155,279
|
|
Six Months Ended June 30, 2020 Gross write-offs
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Six Months Ended June 30, 2020 Recoveries
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Six Months Ended June 30, 2020 Net write-offs
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Purchased credit deteriorated loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
LTV < 80% (1)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
637
|
|
|
$
|
3,480
|
|
|
$
|
429,166
|
|
|
$
|
433,283
|
|
LTV >= 80% (1)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,474
|
|
|
289,756
|
|
|
293,230
|
|
|||||||
Total Purchased credit deteriorated loans
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
637
|
|
|
$
|
6,954
|
|
|
$
|
718,922
|
|
|
$
|
726,513
|
|
Six Months Ended June 30, 2020 Gross write-offs
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
426
|
|
|
$
|
426
|
|
Six Months Ended June 30, 2020 Recoveries
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Six Months Ended June 30, 2020 Net write-offs
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
426
|
|
|
$
|
426
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Total LTV < 80% (1)
|
|
$
|
441,656
|
|
|
$
|
2,220,700
|
|
|
$
|
1,006,151
|
|
|
$
|
103,797
|
|
|
$
|
11,278
|
|
|
$
|
576,468
|
|
|
$
|
4,360,050
|
|
Total LTV >= 80% (1)
|
|
33,622
|
|
|
73,236
|
|
|
33,525
|
|
|
11,406
|
|
|
3,627
|
|
|
297,653
|
|
|
453,069
|
|
|||||||
Total residential whole loans, at carrying value
|
|
$
|
475,278
|
|
|
$
|
2,293,936
|
|
|
$
|
1,039,676
|
|
|
$
|
115,203
|
|
|
$
|
14,905
|
|
|
$
|
874,121
|
|
|
$
|
4,813,119
|
|
Total Gross write-offs
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
816
|
|
|
$
|
32
|
|
|
$
|
—
|
|
|
$
|
426
|
|
|
$
|
1,274
|
|
Total Recoveries
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Total Net write-offs
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
816
|
|
|
$
|
32
|
|
|
$
|
—
|
|
|
$
|
426
|
|
|
$
|
1,274
|
|
(1)
|
LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $280.6 million at June 30, 2020, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% at June 30, 2020. Certain low value loans secured by vacant lots are categorized as LTV >= 80%.
|
(Dollars in Thousands)
|
|
June 30, 2020
|
|
December 31, 2019
|
||||
Less than 60 Days Past Due:
|
|
|
|
|
||||
Outstanding principal balance
|
|
$
|
593,389
|
|
|
$
|
666,026
|
|
Aggregate fair value
|
|
$
|
545,953
|
|
|
$
|
641,616
|
|
Weighted Average LTV Ratio (1)
|
|
74.64
|
%
|
|
76.69
|
%
|
||
Number of loans
|
|
2,981
|
|
|
3,159
|
|
||
|
|
|
|
|
||||
60 Days to 89 Days Past Due:
|
|
|
|
|
||||
Outstanding principal balance
|
|
$
|
79,684
|
|
|
$
|
58,160
|
|
Aggregate fair value
|
|
$
|
69,303
|
|
|
$
|
53,485
|
|
Weighted Average LTV Ratio (1)
|
|
82.43
|
%
|
|
79.48
|
%
|
||
Number of loans
|
|
342
|
|
|
313
|
|
||
|
|
|
|
|
||||
90 Days or More Past Due:
|
|
|
|
|
||||
Outstanding principal balance
|
|
$
|
694,590
|
|
|
$
|
767,320
|
|
Aggregate fair value
|
|
$
|
585,725
|
|
|
$
|
686,482
|
|
Weighted Average LTV Ratio (1)
|
|
88.06
|
%
|
|
89.69
|
%
|
||
Number of loans
|
|
2,642
|
|
|
2,983
|
|
||
Total Residential whole loans, at fair value
|
|
$
|
1,200,981
|
|
|
$
|
1,381,583
|
|
(1)
|
LTV represents the ratio of the total unpaid principal balance of the loan, to the estimated value of the collateral securing the related loan. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
|
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
(In Thousands)
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Coupon payments, realized gains, and other income received (1)
|
|
$
|
18,171
|
|
|
$
|
24,007
|
|
|
$
|
37,207
|
|
|
$
|
45,763
|
|
Net unrealized gains/(losses)
|
|
2,010
|
|
|
21,188
|
|
|
(72,546
|
)
|
|
20,128
|
|
||||
Net gain on transfers to REO
|
|
139
|
|
|
6,278
|
|
|
2,899
|
|
|
10,849
|
|
||||
Total
|
|
$
|
20,320
|
|
|
$
|
51,473
|
|
|
$
|
(32,440
|
)
|
|
$
|
76,740
|
|
(1)
|
Primarily includes gains on liquidation of non-performing loans, including the recovery of delinquent interest payments, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated loans.
|
(In Thousands)
|
|
Principal/ Current
Face
|
|
Purchase
Premiums
|
|
Accretable
Purchase
Discounts
|
|
Discount
Designated
as Credit Reserve (1)
|
|
Gross Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Net
Unrealized
Gain/(Loss)
|
|
Fair
Value
|
||||||||||||||||||
Non-Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Expected to Recover Par (2)(3)
|
|
$
|
59,512
|
|
|
$
|
—
|
|
|
$
|
(8,430
|
)
|
|
$
|
—
|
|
|
$
|
51,082
|
|
|
$
|
6,962
|
|
|
$
|
(6,372
|
)
|
|
$
|
590
|
|
|
$
|
51,672
|
|
Expected to Recover Less than Par (2)
|
|
2,849
|
|
|
—
|
|
|
—
|
|
|
(669
|
)
|
|
2,180
|
|
|
385
|
|
|
—
|
|
|
385
|
|
|
2,565
|
|
|||||||||
Total Non-Agency MBS (4)
|
|
62,361
|
|
|
—
|
|
|
(8,430
|
)
|
|
(669
|
)
|
|
53,262
|
|
|
7,347
|
|
|
(6,372
|
)
|
|
975
|
|
|
54,237
|
|
|||||||||
CRT securities (5)
|
|
104,309
|
|
|
2,052
|
|
|
(129
|
)
|
|
(20,768
|
)
|
|
85,464
|
|
|
11,945
|
|
|
(3,303
|
)
|
|
8,642
|
|
|
94,106
|
|
|||||||||
Total MBS and CRT securities
|
|
$
|
166,670
|
|
|
$
|
2,052
|
|
|
$
|
(8,559
|
)
|
|
$
|
(21,437
|
)
|
|
$
|
138,726
|
|
|
$
|
19,292
|
|
|
$
|
(9,675
|
)
|
|
$
|
9,617
|
|
|
$
|
148,343
|
|
(In Thousands)
|
|
Principal/ Current
Face
|
|
Purchase
Premiums
|
|
Accretable
Purchase
Discounts
|
|
Discount
Designated
as Credit Reserve (1)
|
|
Gross Amortized
Cost (6)
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Net
Unrealized
Gain/(Loss)
|
|
Fair Value
|
||||||||||||||||||
Agency MBS: (7)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Fannie Mae
|
|
$
|
1,119,708
|
|
|
$
|
43,249
|
|
|
$
|
(22
|
)
|
|
$
|
—
|
|
|
$
|
1,162,935
|
|
|
$
|
9,799
|
|
|
$
|
(14,741
|
)
|
|
$
|
(4,942
|
)
|
|
$
|
1,157,993
|
|
Freddie Mac
|
|
480,879
|
|
|
19,468
|
|
|
—
|
|
|
—
|
|
|
500,961
|
|
|
5,475
|
|
|
(3,968
|
)
|
|
1,507
|
|
|
502,468
|
|
|||||||||
Ginnie Mae
|
|
3,996
|
|
|
73
|
|
|
—
|
|
|
—
|
|
|
4,069
|
|
|
52
|
|
|
—
|
|
|
52
|
|
|
4,121
|
|
|||||||||
Total Agency MBS
|
|
1,604,583
|
|
|
62,790
|
|
|
(22
|
)
|
|
—
|
|
|
1,667,965
|
|
|
15,326
|
|
|
(18,709
|
)
|
|
(3,383
|
)
|
|
1,664,582
|
|
|||||||||
Non-Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Expected to Recover Par (2)(3)
|
|
722,477
|
|
|
—
|
|
|
(16,661
|
)
|
|
—
|
|
|
705,816
|
|
|
19,861
|
|
|
(9
|
)
|
|
19,852
|
|
|
725,668
|
|
|||||||||
Expected to Recover Less than Par (2)
|
|
1,472,826
|
|
|
—
|
|
|
(73,956
|
)
|
|
(436,598
|
)
|
|
962,272
|
|
|
375,598
|
|
|
(9
|
)
|
|
375,589
|
|
|
1,337,861
|
|
|||||||||
Total Non-Agency MBS (4)
|
|
2,195,303
|
|
|
—
|
|
|
(90,617
|
)
|
|
(436,598
|
)
|
|
1,668,088
|
|
|
395,459
|
|
|
(18
|
)
|
|
395,441
|
|
|
2,063,529
|
|
|||||||||
Total MBS
|
|
3,799,886
|
|
|
62,790
|
|
|
(90,639
|
)
|
|
(436,598
|
)
|
|
3,336,053
|
|
|
410,785
|
|
|
(18,727
|
)
|
|
392,058
|
|
|
3,728,111
|
|
|||||||||
CRT securities (5)
|
|
244,932
|
|
|
4,318
|
|
|
(55
|
)
|
|
—
|
|
|
249,195
|
|
|
6,304
|
|
|
(91
|
)
|
|
6,213
|
|
|
255,408
|
|
|||||||||
Total MBS and CRT securities
|
|
$
|
4,044,818
|
|
|
$
|
67,108
|
|
|
$
|
(90,694
|
)
|
|
$
|
(436,598
|
)
|
|
$
|
3,585,248
|
|
|
$
|
417,089
|
|
|
$
|
(18,818
|
)
|
|
$
|
398,271
|
|
|
$
|
3,983,519
|
|
(1)
|
Discount designated as Credit Reserve is generally not expected to be accreted into interest income.
|
(2)
|
Based on management’s current estimates of future principal cash flows expected to be received.
|
(3)
|
Includes RPL/NPL MBS, which at June 30, 2020 had an $59.4 million Principal/Current face, $51.0 million amortized cost and $51.5 million fair value. At December 31, 2019, RPL/NPL MBS had a $632.3 million Principal/Current face, $631.8 million amortized cost and $635.0 million fair value.
|
(4)
|
At June 30, 2020 and December 31, 2019, the Company expected to recover approximately 99% and 80% of the then-current face amount of Non-Agency MBS, respectively.
|
(5)
|
Amounts disclosed at June 30, 2020 includes CRT securities with a fair value of $63.4 million for which the fair value option has been elected. Such securities had $495,000 gross unrealized gains and gross unrealized losses of approximately $3.3 million at June 30, 2020. Amounts disclosed at December 31, 2019 includes CRT securities with a fair value of $255.4 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $6.3 million and gross unrealized losses of approximately $91,000 at December 31, 2019.
|
(6)
|
Includes principal payments receivable of $614,000 at December 31, 2019, which is not included in the Principal/Current Face.
|
(7)
|
Amounts disclosed at December 31, 2019 include Agency MBS with a fair value of $280.3 million, for which the fair value option has been elected. Such securities had $4.5 million unrealized gains and no gross unrealized losses at December 31, 2019, respectively.
|
|
|
Three Months Ended
June 30, 2020 |
|
Three Months Ended
June 30, 2019 |
||||||||||||
(In Thousands)
|
|
Sales Proceeds
|
|
Gains/(Losses)
|
|
Sales Proceeds
|
|
Gains/(Losses)
|
||||||||
Agency MBS
|
|
$
|
535,742
|
|
|
$
|
3,563
|
|
|
$
|
103,345
|
|
|
$
|
(2,272
|
)
|
Non-Agency MBS
|
|
1,054,980
|
|
|
151,095
|
|
|
70,818
|
|
|
8,823
|
|
||||
CRT Securities
|
|
207,379
|
|
|
(24,992
|
)
|
|
21,170
|
|
|
1,159
|
|
||||
Total
|
|
$
|
1,798,101
|
|
|
$
|
129,666
|
|
|
$
|
195,333
|
|
|
$
|
7,710
|
|
|
|
Six Months Ended
June 30, 2020 |
|
Six Months Ended
June 30, 2019 |
||||||||||||
(In Thousands)
|
|
Sales Proceeds
|
|
Gains/(Losses)
|
|
Sales Proceeds
|
|
Gains/(Losses)
|
||||||||
Agency MBS
|
|
$
|
1,500,875
|
|
|
$
|
(19,291
|
)
|
|
$
|
103,345
|
|
|
$
|
(2,272
|
)
|
Non-Agency MBS
|
|
1,318,842
|
|
|
107,951
|
|
|
196,912
|
|
|
26,976
|
|
||||
CRT Securities
|
|
243,025
|
|
|
(27,011
|
)
|
|
104,539
|
|
|
7,615
|
|
||||
Total
|
|
$
|
3,062,742
|
|
|
$
|
61,649
|
|
|
$
|
404,796
|
|
|
$
|
32,319
|
|
|
|
Less than 12 Months
|
|
12 Months or more
|
|
Total
|
||||||||||||||||||||||||
|
Fair Value
|
|
Unrealized Losses
|
|
Number of Securities
|
Fair Value
|
|
Unrealized Losses
|
|
Number of Securities
|
Fair Value
|
|
Unrealized Losses
|
|||||||||||||||||
(Dollars in Thousands)
|
||||||||||||||||||||||||||||||
Non-Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expected to Recover Par (1)
|
|
$
|
43,422
|
|
|
$
|
6,372
|
|
|
5
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
43,422
|
|
|
$
|
6,372
|
|
Total Non-Agency MBS
|
|
43,422
|
|
|
6,372
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
43,422
|
|
|
6,372
|
|
||||||
Total MBS
|
|
43,422
|
|
|
6,372
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
43,422
|
|
|
6,372
|
|
||||||
CRT securities (2)
|
|
59,477
|
|
|
3,303
|
|
|
8
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
59,477
|
|
|
3,303
|
|
||||||
Total MBS and CRT securities
|
|
$
|
102,899
|
|
|
$
|
9,675
|
|
|
13
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
102,899
|
|
|
$
|
9,675
|
|
(1)
|
Based on management’s current estimates of future principal cash flows expected to be received.
|
(2)
|
Amounts disclosed at June 30, 2020 include CRT securities with a fair value of $59.5 million for which the fair value option has been elected. Such securities had unrealized losses of $3.3 million at June 30, 2020.
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(Dollars In Thousands)
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Allowance for credit losses at beginning of period
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Current provision:
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Securities with no prior loss allowance
|
|
—
|
|
|
—
|
|
|
344,269
|
|
|
—
|
|
||||
Securities with a prior loss allowance
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Write-offs, including allowance related to securities the Company intends to sell
|
|
—
|
|
|
—
|
|
|
(344,269
|
)
|
|
—
|
|
||||
Allowance for credit losses at end of period
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
Three Months Ended
June 30, 2020 |
|
Three Months Ended
June 30, 2019 |
||||||||||||
(In Thousands)
|
|
Discount
Designated as Credit Reserve |
|
Accretable
Discount (1) |
Discount
Designated as Credit Reserve |
|
Accretable Discount (1)
|
|||||||||
Balance at beginning of period
|
|
$
|
(389,472
|
)
|
|
$
|
(90,968
|
)
|
|
$
|
(501,619
|
)
|
|
$
|
(130,147
|
)
|
Impact of RMBS Issuer Settlement (2)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(833
|
)
|
||||
Accretion of discount
|
|
—
|
|
|
932
|
|
|
—
|
|
|
14,551
|
|
||||
Realized credit losses
|
|
1,409
|
|
|
—
|
|
|
9,917
|
|
|
—
|
|
||||
Purchases
|
|
—
|
|
|
—
|
|
|
(624
|
)
|
|
409
|
|
||||
Sales/Redemptions
|
|
387,394
|
|
|
81,606
|
|
|
8,171
|
|
|
2,856
|
|
||||
Transfers/release of credit reserve
|
|
—
|
|
|
—
|
|
|
4,589
|
|
|
(4,589
|
)
|
||||
Balance at end of period
|
|
$
|
(669
|
)
|
|
$
|
(8,430
|
)
|
|
$
|
(479,566
|
)
|
|
$
|
(117,753
|
)
|
|
|
Six Months Ended
June 30, 2020 |
|
Six Months Ended
June 30, 2019 |
||||||||||||
(In Thousands)
|
|
Discount
Designated as Credit Reserve |
|
Accretable
Discount (1) |
Discount
Designated as Credit Reserve |
|
Accretable Discount (1)
|
|||||||||
Balance at beginning of period
|
|
$
|
(436,598
|
)
|
|
$
|
(90,617
|
)
|
|
$
|
(516,116
|
)
|
|
$
|
(155,025
|
)
|
Impact of RMBS Issuer Settlement (2)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,688
|
)
|
||||
Accretion of discount
|
|
—
|
|
|
10,820
|
|
|
—
|
|
|
27,858
|
|
||||
Realized credit losses
|
|
5,868
|
|
|
—
|
|
|
17,420
|
|
|
—
|
|
||||
Purchases
|
|
—
|
|
|
—
|
|
|
(624
|
)
|
|
291
|
|
||||
Sales/Redemptions
|
|
436,885
|
|
|
76,056
|
|
|
11,363
|
|
|
19,202
|
|
||||
Net impairment losses recognized in earnings
|
|
(11,513
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Transfers/release of credit reserve
|
|
4,689
|
|
|
(4,689
|
)
|
|
8,391
|
|
|
(8,391
|
)
|
||||
Balance at end of period
|
|
$
|
(669
|
)
|
|
$
|
(8,430
|
)
|
|
$
|
(479,566
|
)
|
|
$
|
(117,753
|
)
|
(1)
|
Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security.
|
(2)
|
Includes the impact of $833,000 and $1.7 million of cash proceeds (a one-time payment) received by the Company during the three and six months ended June 30, 2019, respectively, in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by JP Morgan Chase & Co. and affiliated entities.
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
|||||||||
AOCI from AFS securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Unrealized gain on AFS securities at beginning of period
|
|
$
|
148,910
|
|
|
$
|
422,261
|
|
|
$
|
392,722
|
|
|
$
|
417,167
|
|
Unrealized (loss)/gain on Agency MBS, net
|
|
(394
|
)
|
|
13,555
|
|
|
(161
|
)
|
|
21,880
|
|
||||
Unrealized gain on Non-Agency MBS, net
|
|
8,644
|
|
|
7,598
|
|
|
354,317
|
|
|
19,060
|
|
||||
Unrealized gain on MSR term notes, net
|
|
40,465
|
|
|
2,855
|
|
|
39,347
|
|
|
3,367
|
|
||||
Reclassification adjustment for MBS sales included in net income
|
|
(144,736
|
)
|
|
(6,371
|
)
|
|
(389,067
|
)
|
|
(21,576
|
)
|
||||
Reclassification adjustment for impairment included in net income
|
|
—
|
|
|
—
|
|
|
(344,269
|
)
|
|
—
|
|
||||
Change in AOCI from AFS securities
|
|
(96,021
|
)
|
|
17,637
|
|
|
(339,833
|
)
|
|
22,731
|
|
||||
Balance at end of period
|
|
$
|
52,889
|
|
|
$
|
439,898
|
|
|
$
|
52,889
|
|
|
$
|
439,898
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Agency MBS
|
|
|
|
|
|
|
|
|
||||||||
Coupon interest
|
|
$
|
402
|
|
|
$
|
22,938
|
|
|
$
|
14,038
|
|
|
$
|
47,566
|
|
Effective yield adjustment (1)
|
|
(412
|
)
|
|
(7,664
|
)
|
|
(5,186
|
)
|
|
(13,851
|
)
|
||||
Interest income
|
|
$
|
(10
|
)
|
|
$
|
15,274
|
|
|
$
|
8,852
|
|
|
$
|
33,715
|
|
|
|
|
|
|
|
|
|
|
||||||||
Legacy Non-Agency MBS
|
|
|
|
|
|
|
|
|
||||||||
Coupon interest
|
|
$
|
897
|
|
|
$
|
22,861
|
|
|
$
|
18,179
|
|
|
$
|
47,133
|
|
Effective yield adjustment (2)
|
|
1,153
|
|
|
14,523
|
|
|
10,560
|
|
|
27,667
|
|
||||
Interest income
|
|
$
|
2,050
|
|
|
$
|
37,384
|
|
|
$
|
28,739
|
|
|
$
|
74,800
|
|
|
|
|
|
|
|
|
|
|
||||||||
RPL/NPL MBS
|
|
|
|
|
|
|
|
|
||||||||
Coupon interest
|
|
$
|
1,228
|
|
|
$
|
14,635
|
|
|
$
|
6,811
|
|
|
$
|
31,078
|
|
Effective yield adjustment (1)(3)
|
|
77
|
|
|
8
|
|
|
355
|
|
|
150
|
|
||||
Interest income
|
|
$
|
1,305
|
|
|
$
|
14,643
|
|
|
$
|
7,166
|
|
|
$
|
31,228
|
|
|
|
|
|
|
|
|
|
|
||||||||
CRT securities
|
|
|
|
|
|
|
|
|
||||||||
Coupon interest
|
|
$
|
1,622
|
|
|
$
|
5,477
|
|
|
$
|
5,107
|
|
|
$
|
11,595
|
|
Effective yield adjustment (2)
|
|
8
|
|
|
(383
|
)
|
|
(515
|
)
|
|
(301
|
)
|
||||
Interest income
|
|
$
|
1,630
|
|
|
$
|
5,094
|
|
|
$
|
4,592
|
|
|
$
|
11,294
|
|
|
|
|
|
|
|
|
|
|
||||||||
MSR-related assets
|
|
|
|
|
|
|
|
|
||||||||
Coupon interest
|
|
$
|
6,133
|
|
|
$
|
12,338
|
|
|
$
|
20,340
|
|
|
$
|
22,957
|
|
Effective yield adjustment (1)(2)
|
|
3,608
|
|
|
—
|
|
|
3,608
|
|
|
1
|
|
||||
Interest income
|
|
$
|
9,741
|
|
|
$
|
12,338
|
|
|
$
|
23,948
|
|
|
$
|
22,958
|
|
(In Thousands)
|
|
June 30, 2020
|
|
December 31, 2019
|
||||
REO (1)
|
|
$
|
348,516
|
|
|
$
|
411,659
|
|
Capital contributions made to loan origination partners
|
|
109,585
|
|
|
147,992
|
|
||
Other interest-earning assets
|
|
49,971
|
|
|
70,468
|
|
||
Interest receivable
|
|
49,588
|
|
|
70,986
|
|
||
Other MBS and loan related receivables
|
|
24,471
|
|
|
43,842
|
|
||
Other
|
|
31,343
|
|
|
39,304
|
|
||
Total Other Assets
|
|
$
|
613,474
|
|
|
$
|
784,251
|
|
(1)
|
Includes $53.0 million and $27.3 million of REO that is held-for-investment at June 30, 2020 and December 31, 2019, respectively.
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Balance at beginning of period
|
|
$
|
411,473
|
|
|
$
|
290,587
|
|
|
$
|
411,659
|
|
|
$
|
249,413
|
|
Adjustments to record at lower of cost or fair value
|
|
(7,138
|
)
|
|
(1,315
|
)
|
|
(11,889
|
)
|
|
(5,388
|
)
|
||||
Transfer from residential whole loans (1)
|
|
8,526
|
|
|
66,483
|
|
|
59,219
|
|
|
131,644
|
|
||||
Purchases and capital improvements, net
|
|
3,192
|
|
|
5,274
|
|
|
8,798
|
|
|
11,197
|
|
||||
Disposals (2)
|
|
(67,537
|
)
|
|
(26,960
|
)
|
|
(119,271
|
)
|
|
(52,797
|
)
|
||||
Balance at end of period
|
|
$
|
348,516
|
|
|
$
|
334,069
|
|
|
$
|
348,516
|
|
|
$
|
334,069
|
|
|
|
|
|
|
|
|
|
|
||||||||
Number of properties
|
|
1,352
|
|
|
1,362
|
|
|
1,352
|
|
|
1,362
|
|
(1)
|
Includes net gain recorded on transfer of approximately $0.2 million and $6.5 million for the three months ended June 30, 2020 and 2019, respectively; and approximately $3.2 million and $11.3 million for six months ended June 30, 2020 and 2019, respectively.
|
(2)
|
During the three and six months ended June 30, 2020, the Company sold 296 and 545 REO properties for consideration of $70.5 million and $125.3 million, realizing net gains of approximately $3.0 million and $6.1 million, respectively. During the three and six months ended June 30, 2019, the Company sold 152 and 289 REO properties for consideration of $29.2 million and $57.0 million, realizing net gains of approximately $2.3 million and $3.7 million, respectively. These amounts are included in Other Income, net on the Company’s consolidated statements of operations.
|
|
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||||
Derivative Instrument (1)
|
|
Designation
|
|
Notional Amount
|
|
Fair Value
|
|
Notional Amount
|
|
Fair Value
|
||||||||
(In Thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
Swaps
|
|
Hedging
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,942,000
|
|
|
$
|
—
|
|
Swaps
|
|
Non-Hedging
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
230,000
|
|
|
$
|
—
|
|
(In Thousands)
|
|
June 30, 2020
|
|
December 31, 2019
|
||||
Agency MBS, at fair value
|
|
$
|
—
|
|
|
$
|
2,241
|
|
Restricted cash
|
|
—
|
|
|
16,777
|
|
||
Total assets pledged against Swaps
|
|
$
|
—
|
|
|
$
|
19,018
|
|
|
|
June 30, 2020
|
|
December 31, 2019
|
|||||||||||||||||
Notional Amount
|
|
Weighted Average Fixed-Pay
Interest Rate
|
|
Weighted Average Variable
Interest Rate (2)
|
Notional Amount
|
|
Weighted Average Fixed-Pay
Interest Rate
|
|
Weighted Average Variable
Interest Rate (2)
|
||||||||||||
Maturity (1)
|
|||||||||||||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|||||||||||||
Over 3 months to 6 months
|
|
$
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
$
|
200,000
|
|
|
2.05
|
%
|
|
1.70
|
%
|
|
Over 6 months to 12 months
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,430,000
|
|
|
2.30
|
|
|
1.77
|
|
|||
Over 12 months to 24 months
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,300,000
|
|
|
2.11
|
|
|
1.86
|
|
|||
Over 24 months to 36 months
|
|
—
|
|
|
—
|
|
|
—
|
|
|
20,000
|
|
|
1.38
|
|
|
1.90
|
|
|||
Over 36 months to 48 months
|
|
—
|
|
|
—
|
|
|
—
|
|
|
222,000
|
|
|
2.88
|
|
|
1.84
|
|
|||
Total Swaps
|
|
$
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
$
|
3,172,000
|
|
|
2.24
|
%
|
|
1.81
|
%
|
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
(Dollars in Thousands)
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Interest (expense)/income attributable to Swaps
|
|
$
|
—
|
|
|
$
|
692
|
|
|
$
|
(3,359
|
)
|
|
$
|
1,883
|
|
Weighted average Swap rate paid
|
|
—
|
%
|
|
2.35
|
%
|
|
2.06
|
%
|
|
2.33
|
%
|
||||
Weighted average Swap rate received
|
|
—
|
%
|
|
2.46
|
%
|
|
1.63
|
%
|
|
2.48
|
%
|
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
(In Thousands)
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
AOCI from derivative hedging instruments:
|
|
|
|
|
|
|
|
|
||||||||
Balance at beginning of period
|
|
$
|
(71,208
|
)
|
|
$
|
(7,665
|
)
|
|
$
|
(22,675
|
)
|
|
$
|
3,121
|
|
Net loss on Swaps
|
|
—
|
|
|
(19,706
|
)
|
|
(50,126
|
)
|
|
(30,151
|
)
|
||||
Reclassification adjustment for losses/gains related to hedging instruments included in net income
|
|
64,032
|
|
|
(743
|
)
|
|
65,625
|
|
|
(1,084
|
)
|
||||
Balance at end of period
|
|
$
|
(7,176
|
)
|
|
$
|
(28,114
|
)
|
|
$
|
(7,176
|
)
|
|
$
|
(28,114
|
)
|
|
|
June 30, 2020
|
||||||||||
(In Thousands)
|
|
Unpaid Principal Balance
|
|
Amortized Cost Balance
|
|
Fair Value/Carrying Value(1)
|
||||||
Financing agreements, at fair value
|
|
|
|
|
|
|
||||||
Agreements with non-mark-to-market collateral provisions
|
|
$
|
2,036,597
|
|
|
$
|
2,036,597
|
|
|
$
|
2,036,597
|
|
Agreements with mark-to-market collateral provisions
|
|
1,656,248
|
|
|
1,656,248
|
|
|
1,656,248
|
|
|||
Senior secured credit agreement
|
|
500,000
|
|
|
480,959
|
|
|
480,959
|
|
|||
Other
|
|
27,000
|
|
|
18,360
|
|
|
20,520
|
|
|||
Total Financing agreements, at fair value
|
|
$
|
4,219,845
|
|
|
$
|
4,192,164
|
|
|
$
|
4,194,324
|
|
|
|
|
|
|
|
|
||||||
Other financing agreements
|
|
|
|
|
|
|
||||||
Securitized debt
|
|
$
|
498,136
|
|
|
|
|
$
|
495,582
|
|
||
Convertible senior notes
|
|
230,000
|
|
|
|
|
224,563
|
|
||||
Senior notes
|
|
100,000
|
|
|
|
|
96,887
|
|
||||
Total Financing agreements at carrying value
|
|
$
|
828,136
|
|
|
|
|
$
|
817,032
|
|
||
Total Financing agreements
|
|
$
|
5,047,981
|
|
|
|
|
$
|
5,011,356
|
|
(1)
|
Financing agreements at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. Other financing arrangements are reported at their carrying value (amortized cost basis) as the fair value option was not elected on these liabilities. Consequently, Total Financing agreements as presented reflects a summation of balances reported at fair value and carrying value.
|
|
|
December 31, 2019
|
||||||
(In Thousands)
|
|
Unpaid Principal Balance
|
|
Carrying Value
|
||||
Repurchase agreements
|
|
$
|
9,140,944
|
|
|
$
|
9,139,821
|
|
Securitized debt
|
|
573,900
|
|
|
570,952
|
|
||
Convertible senior notes
|
|
230,000
|
|
|
223,971
|
|
||
Senior notes
|
|
100,000
|
|
|
96,862
|
|
||
Total Financing agreements at carrying value
|
|
$
|
10,044,844
|
|
|
$
|
10,031,606
|
|
(Dollars in Thousands)
|
|
June 30,
2020 |
|
December 31,
2019 |
||||
Non-mark-to-market financing secured by residential whole loans at carrying value
|
|
$
|
1,778,845
|
|
|
$
|
—
|
|
Fair value of residential whole loans at carrying value pledged as collateral under financing agreements
|
|
$
|
2,668,741
|
|
|
$
|
—
|
|
Weighted average haircut on residential whole loans at carrying value
|
|
34.29
|
%
|
|
—
|
%
|
||
Non-mark-to-market financing secured by residential whole loans at fair value
|
|
$
|
257,752
|
|
|
$
|
—
|
|
Fair value of residential whole loans at fair value pledged as collateral under financing agreements
|
|
$
|
425,673
|
|
|
$
|
—
|
|
Weighted average haircut on residential whole loans at fair value
|
|
32.80
|
%
|
|
—
|
%
|
(Dollars in Thousands)
|
|
June 30,
2020 |
|
December 31,
2019 |
||||
Mark-to-market financing agreements secured by residential whole loans (1)
|
|
$
|
1,386,592
|
|
|
$
|
4,743,094
|
|
Fair value of residential whole loans pledged as collateral under financing agreements (2)
|
|
$
|
2,166,740
|
|
|
$
|
5,986,267
|
|
Weighted average haircut on residential whole loans (3)
|
|
33.81
|
%
|
|
20.07
|
%
|
||
Mark-to-market financing agreement borrowings secured by Agency MBS
|
|
$
|
—
|
|
|
$
|
1,557,675
|
|
Fair value of Agency MBS pledged as collateral under financing agreements
|
|
$
|
—
|
|
|
$
|
1,656,373
|
|
Weighted average haircut on Agency MBS (3)
|
|
—
|
%
|
|
4.46
|
%
|
||
Mark-to-market financing agreement borrowings secured by Legacy Non-Agency MBS
|
|
$
|
1,282
|
|
|
$
|
1,121,802
|
|
Fair value of Legacy Non-Agency MBS pledged as collateral under financing agreements
|
|
$
|
2,564
|
|
|
$
|
1,420,797
|
|
Weighted average haircut on Legacy Non-Agency MBS (3)
|
|
50.00
|
%
|
|
20.27
|
%
|
||
Mark-to-market financing agreement borrowings secured by RPL/NPL MBS
|
|
$
|
29,785
|
|
|
$
|
495,091
|
|
Fair value of RPL/NPL MBS pledged as collateral under financing agreements
|
|
$
|
51,540
|
|
|
$
|
635,005
|
|
Weighted average haircut on RPL/NPL MBS (3)
|
|
38.10
|
%
|
|
21.52
|
%
|
||
Mark-to-market financing agreements secured by CRT securities
|
|
$
|
54,469
|
|
|
$
|
203,569
|
|
Fair value of CRT securities pledged as collateral under financing agreements
|
|
$
|
94,106
|
|
|
$
|
252,175
|
|
Weighted average haircut on CRT securities (3)
|
|
42.40
|
%
|
|
18.84
|
%
|
||
Mark-to-market financing agreements secured by MSR-related assets
|
|
$
|
146,642
|
|
|
$
|
962,515
|
|
Fair value of MSR-related assets pledged as collateral under financing agreements
|
|
$
|
255,035
|
|
|
$
|
1,217,002
|
|
Weighted average haircut on MSR-related assets (3)
|
|
38.24
|
%
|
|
21.18
|
%
|
||
Mark-to-market financing agreements secured by other interest-earning assets
|
|
$
|
37,478
|
|
|
$
|
57,198
|
|
Fair value of other interest-earning assets pledged as collateral under financing agreements
|
|
$
|
48,471
|
|
|
$
|
61,708
|
|
Weighted average haircut on other interest-earning assets (3)
|
|
20.00
|
%
|
|
22.01
|
%
|
(1)
|
Excludes $0 and $1.1 million of unamortized debt issuance costs at June 30, 2020 and December 31, 2019, respectively.
|
(2)
|
At June 30, 2020 and December 31, 2019, includes RPL/NPL MBS with an aggregate fair value of $179.1 million and $238.8 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
Balance
|
|
Weighted Average Interest Rate
|
Balance
|
|
Weighted Average Interest Rate
|
|||||||||
Time Until Interest Rate Reset
|
||||||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
||||||
Within 30 days
|
|
$
|
3,367,675
|
|
|
3.52
|
%
|
|
$
|
4,472,120
|
|
|
2.55
|
%
|
Over 30 days to 3 months
|
|
266,837
|
|
|
3.83
|
|
|
2,746,384
|
|
|
3.43
|
|
||
Over 3 months to 12 months
|
|
58,333
|
|
|
4.40
|
|
|
1,014,441
|
|
|
3.36
|
|
||
Over 12 months
|
|
—
|
|
|
—
|
|
|
907,999
|
|
|
3.44
|
|
||
Total financing agreements
|
|
$
|
3,692,845
|
|
|
3.55
|
%
|
|
$
|
9,140,944
|
|
|
2.99
|
%
|
Less debt issuance costs
|
|
—
|
|
|
|
|
1,123
|
|
|
|
||||
Total financing agreements less debt
issuance costs
|
|
$
|
3,692,845
|
|
|
|
|
$
|
9,139,821
|
|
|
|
|
|
June 30, 2020
|
|||||||||
|
|
Counterparty
Rating (1)
|
|
Amount
at Risk (2)
|
|
Weighted
Average Months
to Repricing for
Repurchase Agreements
|
|
Percent of
Stockholders’ Equity
|
|||
Counterparty
|
|
|
|
|
|||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|||
Barclays Bank
|
|
BBB/Aa3/A
|
|
$
|
857,112
|
|
|
1
|
|
34.0
|
%
|
Credit Suisse
|
|
BBB+/Baa2/A-
|
|
639,993
|
|
|
1
|
|
25.4
|
|
|
Wells Fargo (3)
|
|
A+/Aa2/AA-
|
|
377,036
|
|
|
0
|
|
15.0
|
|
|
Athene (4)
|
|
BBB+/N/A/BBB+
|
|
171,786
|
|
|
1
|
|
6.8
|
|
|
Goldman Sachs (5)
|
|
BBB+/A3/A
|
|
162,224
|
|
|
3
|
|
6.4
|
|
(1)
|
As rated at June 30, 2020 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published for these entities.
|
(2)
|
The amount at risk reflects the difference between (a) the amount loaned to the Company through financing agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities.
|
(3)
|
Includes $367.0 million at risk with Wells Fargo Bank, NA and approximately $10.1 million at risk with Wells Fargo Securities LLC.
|
(4)
|
Includes amounts at risk with various Athene affiliates that collectively exceed 5% of stockholders’ equity.
|
(5)
|
Includes $20.4 million at risk with Goldman Sachs and $141.8 million at risk with Goldman Sachs Bank USA.
|
(In Thousands)
|
|
June 30, 2020
|
|
December 31, 2019
|
||||
Dividends and dividend equivalents payable
|
|
$
|
—
|
|
|
$
|
90,749
|
|
Accrued interest payable
|
|
7,165
|
|
|
18,238
|
|
||
Accrued expenses and other
|
|
27,836
|
|
|
42,819
|
|
||
Total Other Liabilities
|
|
$
|
35,001
|
|
|
$
|
151,806
|
|
|
|
Three Months Ended
June 30, 2020 |
|
Six Months Ended
June 30, 2020 |
||||||||||||||||||||
(In Thousands)
|
|
Net Unrealized
Gain/(Loss) on
AFS Securities
|
|
Net
(Loss)
on Swaps
|
|
Total AOCI
|
|
Net Unrealized
Gain/(Loss) on AFS Securities |
|
Net
Gain/(Loss)
on Swaps
|
|
Total AOCI
|
||||||||||||
Balance at beginning of period
|
|
$
|
148,910
|
|
|
$
|
(71,208
|
)
|
|
$
|
77,702
|
|
|
$
|
392,722
|
|
|
$
|
(22,675
|
)
|
|
$
|
370,047
|
|
OCI before reclassifications
|
|
48,715
|
|
|
—
|
|
|
48,715
|
|
|
393,503
|
|
|
(50,126
|
)
|
|
343,377
|
|
||||||
Amounts reclassified from AOCI (1)
|
|
(144,736
|
)
|
|
64,032
|
|
|
(80,704
|
)
|
|
(733,336
|
)
|
|
65,625
|
|
|
(667,711
|
)
|
||||||
Net OCI during the period (2)
|
|
(96,021
|
)
|
|
64,032
|
|
|
(31,989
|
)
|
|
(339,833
|
)
|
|
15,499
|
|
|
(324,334
|
)
|
||||||
Balance at end of period
|
|
$
|
52,889
|
|
|
$
|
(7,176
|
)
|
|
$
|
45,713
|
|
|
$
|
52,889
|
|
|
$
|
(7,176
|
)
|
|
$
|
45,713
|
|
|
|
Three Months Ended
June 30, 2019 |
|
Six Months Ended
June 30, 2019 |
||||||||||||||||||||
(In Thousands)
|
|
Net Unrealized
Gain/(Loss) on
AFS Securities
|
|
Net
Gain
on Swaps
|
|
Total AOCI
|
|
Net Unrealized
Gain/(Loss) on
AFS Securities
|
|
Net
(Loss)/Gain
on Swaps
|
|
Total AOCI
|
||||||||||||
Balance at beginning of period
|
|
$
|
422,261
|
|
|
$
|
(7,665
|
)
|
|
$
|
414,596
|
|
|
$
|
417,167
|
|
|
$
|
3,121
|
|
|
$
|
420,288
|
|
OCI before reclassifications
|
|
24,008
|
|
|
(19,706
|
)
|
|
4,302
|
|
|
44,307
|
|
|
(30,151
|
)
|
|
14,156
|
|
||||||
Amounts reclassified from AOCI (1)
|
|
(6,371
|
)
|
|
(743
|
)
|
|
(7,114
|
)
|
|
(21,576
|
)
|
|
(1,084
|
)
|
|
(22,660
|
)
|
||||||
Net OCI during the period (2)
|
|
17,637
|
|
|
(20,449
|
)
|
|
(2,812
|
)
|
|
22,731
|
|
|
(31,235
|
)
|
|
(8,504
|
)
|
||||||
Balance at end of period
|
|
$
|
439,898
|
|
|
$
|
(28,114
|
)
|
|
$
|
411,784
|
|
|
$
|
439,898
|
|
|
$
|
(28,114
|
)
|
|
$
|
411,784
|
|
|
|
Three Months Ended
June 30, 2020 |
|
Six Months Ended
June 30, 2020 |
|
|
||||
Details about AOCI Components
|
|
Amounts Reclassified from AOCI
|
|
Affected Line Item in the Statement
Where Net Income is Presented |
||||||
(In Thousands)
|
|
|
|
|
|
|
||||
AFS Securities:
|
|
|
|
|
|
|
||||
Realized gain on sale of securities
|
|
$
|
(144,736
|
)
|
|
$
|
(389,067
|
)
|
|
Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans
|
Impairment recognized in earnings
|
|
—
|
|
|
(344,269
|
)
|
|
Other, net
|
||
Total AFS Securities
|
|
$
|
(144,736
|
)
|
|
$
|
(733,336
|
)
|
|
|
Swaps designated as cash flow hedges:
|
|
|
|
|
|
|
||||
Reclassification adjustment for losses related to hedging instruments included in net income
|
|
64,032
|
|
|
65,625
|
|
|
Other, net
|
||
Total Swaps designated as cash flow hedges
|
|
$
|
64,032
|
|
|
$
|
65,625
|
|
|
|
Total reclassifications for period
|
|
$
|
(80,704
|
)
|
|
$
|
(667,711
|
)
|
|
|
|
|
Three Months Ended
June 30, 2019 |
|
Six Months Ended
June 30, 2019 |
|
|
||||
Details about AOCI Components
|
|
Amounts Reclassified from AOCI
|
|
Affected Line Item in the Statement
Where Net Income is Presented |
||||||
(In Thousands)
|
|
|
|
|
|
|
||||
AFS Securities:
|
|
|
|
|
|
|
||||
Realized gain on sale of securities
|
|
$
|
(6,371
|
)
|
|
$
|
(21,576
|
)
|
|
Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans
|
Total AFS Securities
|
|
$
|
(6,371
|
)
|
|
$
|
(21,576
|
)
|
|
|
Amortization of de-designated hedging instruments
|
|
(743
|
)
|
|
(1,084
|
)
|
|
|
||
Total reclassifications for period
|
|
$
|
(7,114
|
)
|
|
$
|
(22,660
|
)
|
|
|
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
(In Thousands, Except Per Share Amounts)
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Basic Earnings/(Loss) per Share:
|
|
|
|
|
|
|
|
|
||||||||
Net income/(loss) to common stockholders
|
|
$
|
96,578
|
|
|
$
|
93,040
|
|
|
$
|
(812,417
|
)
|
|
$
|
181,897
|
|
Dividends declared on preferred stock
|
|
(8,144
|
)
|
|
(3,750
|
)
|
|
(13,359
|
)
|
|
(7,500
|
)
|
||||
Dividends, dividend equivalents and undistributed earnings allocated to participating securities
|
|
(297
|
)
|
|
(276
|
)
|
|
—
|
|
|
(532
|
)
|
||||
Net income/(loss) to common stockholders - basic
|
|
$
|
88,137
|
|
|
$
|
89,014
|
|
|
$
|
(825,776
|
)
|
|
$
|
173,865
|
|
Basic weighted average common shares outstanding
|
|
453,205
|
|
|
450,538
|
|
|
453,092
|
|
|
450,449
|
|
||||
Basic Earnings/(Loss) per Share
|
|
$
|
0.19
|
|
|
$
|
0.20
|
|
|
$
|
(1.82
|
)
|
|
$
|
0.39
|
|
|
|
|
|
|
|
|
|
|
||||||||
Diluted Earnings/(Loss) per Share:
|
|
|
|
|
|
|
|
|
||||||||
Net income/(loss) to common stockholders - basic
|
|
$
|
88,137
|
|
|
$
|
89,014
|
|
|
(825,776
|
)
|
|
173,865
|
|
||
Interest expense on Convertible Senior Notes
|
|
3,893
|
|
|
1,206
|
|
|
—
|
|
|
1,206
|
|
||||
Net income/(loss) to common stockholders - diluted
|
|
$
|
92,030
|
|
|
$
|
90,220
|
|
|
$
|
(825,776
|
)
|
|
$
|
175,071
|
|
Basic weighted average common shares outstanding
|
|
453,205
|
|
|
450,538
|
|
|
453,092
|
|
|
450,449
|
|
||||
Effect of assumed Convertible Senior Notes conversion to common shares
|
|
28,920
|
|
|
8,898
|
|
|
—
|
|
|
4,474
|
|
||||
Effect of Warrants
|
|
375
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Diluted weighted average common shares outstanding (1)
|
|
482,500
|
|
|
459,436
|
|
|
453,092
|
|
|
454,923
|
|
||||
Diluted Earnings/(Loss) per Share
|
|
$
|
0.19
|
|
|
$
|
0.20
|
|
|
$
|
(1.82
|
)
|
|
$
|
0.38
|
|
(1)
|
At June 30, 2020, the Company had approximately 38.6 million equity instruments outstanding that were not included in the calculation of diluted EPS for the six months ended June 30, 2020, as their inclusion would have been anti-dilutive. These equity instruments reflect RSUs (based on current estimate of expected share settlement amount) with a weighted average grant date fair value of $7.63 and approximately 37.0 million warrants with a weighted average exercise price of $1.87 per share. These equity instruments may have a dilutive impact on future EPS.
|
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
(In Thousands)
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
RSUs
|
|
$
|
1,554
|
|
|
$
|
2,439
|
|
|
$
|
2,827
|
|
|
$
|
3,436
|
|
Total
|
|
$
|
1,554
|
|
|
$
|
2,439
|
|
|
$
|
2,827
|
|
|
$
|
3,436
|
|
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
(In Thousands)
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Non-employee directors
|
|
$
|
347
|
|
|
$
|
39
|
|
|
$
|
(1,558
|
)
|
|
$
|
325
|
|
Total
|
|
$
|
347
|
|
|
$
|
39
|
|
|
$
|
(1,558
|
)
|
|
$
|
325
|
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||||
(In Thousands)
|
Undistributed Income Deferred (1)
|
|
Liability Under Deferred Plans
|
Undistributed Income Deferred (1)
|
|
Liability Under Deferred Plans
|
||||||||||
Non-employee directors
|
|
$
|
1,975
|
|
|
$
|
940
|
|
|
$
|
2,349
|
|
|
$
|
3,071
|
|
Total
|
|
$
|
1,975
|
|
|
$
|
940
|
|
|
$
|
2,349
|
|
|
$
|
3,071
|
|
(In Thousands)
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets:
|
|
|
|
|
|
|
|
|
||||||||
Residential whole loans, at fair value
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,200,981
|
|
|
$
|
1,200,981
|
|
Non-Agency MBS
|
|
—
|
|
|
54,237
|
|
|
—
|
|
|
54,237
|
|
||||
CRT securities
|
|
—
|
|
|
94,106
|
|
|
—
|
|
|
94,106
|
|
||||
Term notes backed by MSR-related collateral
|
|
—
|
|
|
224,782
|
|
|
—
|
|
|
224,782
|
|
||||
Total assets carried at fair value
|
|
$
|
—
|
|
|
$
|
373,125
|
|
|
$
|
1,200,981
|
|
|
$
|
1,574,106
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
Agreements with non-mark-to-market collateral provisions
|
|
$
|
—
|
|
|
$
|
2,036,597
|
|
|
$
|
—
|
|
|
$
|
2,036,597
|
|
Agreements with mark-to-market collateral provisions
|
|
—
|
|
|
1,656,248
|
|
|
—
|
|
|
1,656,248
|
|
||||
Senior secured credit agreement
|
|
—
|
|
|
480,959
|
|
|
—
|
|
|
480,959
|
|
||||
Other
|
|
—
|
|
|
20,520
|
|
|
—
|
|
|
20,520
|
|
||||
Total liabilities carried at fair value
|
|
$
|
—
|
|
|
$
|
4,194,324
|
|
|
$
|
—
|
|
|
$
|
4,194,324
|
|
(In Thousands)
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Residential whole loans, at fair value
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,381,583
|
|
|
$
|
1,381,583
|
|
Non-Agency MBS
|
|
—
|
|
|
2,063,529
|
|
|
—
|
|
|
2,063,529
|
|
||||
Agency MBS
|
|
—
|
|
|
1,664,582
|
|
|
—
|
|
|
1,664,582
|
|
||||
CRT securities
|
|
—
|
|
|
255,408
|
|
|
—
|
|
|
255,408
|
|
||||
Term notes backed by MSR-related collateral
|
|
—
|
|
|
1,157,463
|
|
|
—
|
|
|
1,157,463
|
|
||||
Total assets carried at fair value
|
|
$
|
—
|
|
|
$
|
5,140,982
|
|
|
$
|
1,381,583
|
|
|
$
|
6,522,565
|
|
|
|
Residential Whole Loans, at Fair Value
|
||||||||||||||
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2020
|
|
2019 (1)
|
|
2020
|
|
2019 (1)
|
||||||||
Balance at beginning of period
|
|
$
|
1,243,792
|
|
|
$
|
1,512,337
|
|
|
$
|
1,381,583
|
|
|
$
|
1,471,263
|
|
Purchases and capitalized advances (2)
|
|
4,679
|
|
|
5,299
|
|
|
8,198
|
|
|
135,388
|
|
||||
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings
|
|
2,010
|
|
|
21,188
|
|
|
(72,546
|
)
|
|
20,128
|
|
||||
Collection of principal, net of liquidation gains/(losses)
|
|
(28,608
|
)
|
|
(43,072
|
)
|
|
(52,412
|
)
|
|
(74,823
|
)
|
||||
Sales and repurchases
|
|
(18,225
|
)
|
|
(898
|
)
|
|
(18,530
|
)
|
|
(1,216
|
)
|
||||
Transfer to REO
|
|
(2,667
|
)
|
|
(56,027
|
)
|
|
(45,312
|
)
|
|
(111,913
|
)
|
||||
Balance at end of period
|
|
$
|
1,200,981
|
|
|
$
|
1,438,827
|
|
|
$
|
1,200,981
|
|
|
$
|
1,438,827
|
|
(1)
|
Excludes approximately $87.0 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of June 30, 2019.
|
(2)
|
Included in the activity presented for the six months ended June 30, 2019 is an adjustment of $70.6 million for loans the Company committed to purchase during the three months ended December 31, 2018, but for which the closing of the purchase transaction occurred during the three months ended March 31, 2019. The adjustment was required following the finalization of due diligence performed prior to the closing of the purchase transaction and resulted in a downward revision to the prior estimate of the loan purchase amount.
|
|
|
Term Notes Backed by MSR-Related Collateral
|
||||||
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||
(In Thousands)
|
|
2019
|
|
2019
|
||||
Balance at beginning of period
|
|
$
|
753,594
|
|
|
$
|
538,499
|
|
Purchases
|
|
353,970
|
|
|
573,136
|
|
||
Collection of principal
|
|
(4,392
|
)
|
|
(8,976
|
)
|
||
Changes in unrealized gains
|
|
2,854
|
|
|
3,367
|
|
||
Balance at end of period
|
|
$
|
1,106,026
|
|
|
$
|
1,106,026
|
|
|
|
June 30, 2020
|
||||||||||||
(Dollars in Thousands)
|
|
Fair Value (1)
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Weighted Average (2)
|
|
Range
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
Residential whole loans, at fair value
|
|
$
|
677,172
|
|
|
Discounted cash flow
|
|
Discount rate
|
|
4.7
|
%
|
|
4.2-8.0%
|
|
|
|
|
|
|
|
Prepayment rate
|
|
3.8
|
%
|
|
0.0-8.0%
|
|||
|
|
|
|
|
|
Default rate
|
|
5.5
|
%
|
|
0.0-34.1%
|
|||
|
|
|
|
|
|
Loss severity
|
|
12.8
|
%
|
|
0.0-100.0%
|
|||
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
$
|
523,535
|
|
|
Liquidation model
|
|
Discount rate
|
|
8.1
|
%
|
|
6.6-50.0%
|
|
|
|
|
|
|
|
Annual change in home prices
|
|
0.2
|
%
|
|
(4.0)-6.9%
|
|||
|
|
|
|
|
|
Liquidation timeline
(in years)
|
|
2.0
|
|
|
0.8-4.8
|
|||
|
|
|
|
|
|
Current value of underlying properties (3)
|
|
$
|
698
|
|
|
$5-$4,500
|
||
Total
|
|
$
|
1,200,707
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2019
|
||||||||||||
(Dollars in Thousands)
|
|
Fair Value (1)
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Weighted Average (2)
|
|
Range
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
Residential whole loans, at fair value
|
|
$
|
829,842
|
|
|
Discounted cash flow
|
|
Discount rate
|
|
4.2
|
%
|
|
3.8-8.0%
|
|
|
|
|
|
|
|
Prepayment rate
|
|
4.5
|
%
|
|
0.7-18.0%
|
|||
|
|
|
|
|
|
Default rate
|
|
4.0
|
%
|
|
0.0-23.0%
|
|||
|
|
|
|
|
|
Loss severity
|
|
12.9
|
%
|
|
0.0-100.0%
|
|||
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
$
|
551,271
|
|
|
Liquidation model
|
|
Discount rate
|
|
8.0
|
%
|
|
6.2-50.0%
|
|
|
|
|
|
|
|
Annual change in home prices
|
|
3.7
|
%
|
|
2.4-8.0%
|
|||
|
|
|
|
|
|
Liquidation timeline
(in years)
|
|
1.8
|
|
|
0.1-4.5
|
|||
|
|
|
|
|
|
Current value of underlying properties (3)
|
|
$
|
684
|
|
|
$10-$4,500
|
||
Total
|
|
$
|
1,381,113
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2020
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||||
Level in Fair Value Hierarchy
|
Carrying
Value
|
|
Estimated Fair Value
|
Carrying
Value
|
|
Estimated Fair Value
|
||||||||||||
(In Thousands)
|
||||||||||||||||||
Financial Assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential whole loans, at carrying value
|
|
3
|
|
$
|
4,676,530
|
|
|
$
|
4,651,188
|
|
|
$
|
6,069,370
|
|
|
$
|
6,248,745
|
|
Residential whole loans, at fair value
|
|
3
|
|
1,200,981
|
|
|
1,200,981
|
|
|
1,381,583
|
|
|
1,381,583
|
|
||||
Non-Agency MBS
|
|
2
|
|
54,237
|
|
|
54,237
|
|
|
2,063,529
|
|
|
2,063,529
|
|
||||
Agency MBS
|
|
2
|
|
—
|
|
|
—
|
|
|
1,664,582
|
|
|
1,664,582
|
|
||||
CRT securities
|
|
2
|
|
94,106
|
|
|
94,106
|
|
|
255,408
|
|
|
255,408
|
|
||||
MSR-related assets (1)
|
|
2 and 3
|
|
254,228
|
|
|
255,036
|
|
|
1,217,002
|
|
|
1,217,002
|
|
||||
Cash and cash equivalents
|
|
1
|
|
666,172
|
|
|
666,172
|
|
|
70,629
|
|
|
70,629
|
|
||||
Restricted cash
|
|
1
|
|
7,680
|
|
|
7,680
|
|
|
64,035
|
|
|
64,035
|
|
||||
Financial Liabilities (2):
|
|
|
|
|
|
|
|
|
|
|
||||||||
Financing agreements with non-mark-to-market collateral provisions
|
|
2
|
|
2,036,597
|
|
|
2,036,597
|
|
|
—
|
|
|
—
|
|
||||
Financing agreements with mark-to-market collateral provisions
|
|
2
|
|
1,656,248
|
|
|
1,656,248
|
|
|
9,139,821
|
|
|
9,156,209
|
|
||||
Senior secured credit agreement
|
|
2
|
|
480,959
|
|
|
480,959
|
|
|
—
|
|
|
—
|
|
||||
Securitized debt
|
|
2
|
|
516,102
|
|
|
498,114
|
|
|
570,952
|
|
|
575,353
|
|
||||
Convertible senior notes
|
|
2
|
|
224,563
|
|
|
202,465
|
|
|
223,971
|
|
|
244,088
|
|
||||
Senior notes
|
|
1
|
|
96,887
|
|
|
89,551
|
|
|
96,862
|
|
|
103,231
|
|
(1)
|
Includes $29.4 million and $59.5 million of MSR-related assets that are measured at fair value on a non-recurring basis that are classified as Level 3 in the fair value hierarchy at June 30, 2020 and December 31, 2019, respectively.
|
(2)
|
Carrying value of securitized debt, Convertible Senior Notes, Senior Notes and certain repurchase agreements is net of associated debt issuance costs.
|
(Dollars in Thousands)
|
|
June 30, 2020
|
|
December 31, 2019
|
|
||||
Aggregate unpaid principal balance of residential whole loans sold
|
|
$
|
1,290,029
|
|
|
$
|
1,290,029
|
|
|
Face amount of Senior Bonds issued by the VIE and purchased by third-party investors
|
|
$
|
829,817
|
|
|
$
|
802,817
|
|
|
Outstanding amount of Senior Bonds, at carrying value
|
|
$
|
495,582
|
|
(1)
|
$
|
570,952
|
|
(1)
|
Outstanding amount of Senior Bonds, at fair value
|
|
$
|
20,520
|
|
|
$
|
—
|
|
|
Weighted average fixed rate for Senior Bonds issued
|
|
3.79
|
%
|
(2)
|
3.68
|
%
|
(2)
|
||
Weighted average contractual maturity of Senior Bonds
|
|
29 years
|
|
(2)
|
30 years
|
|
(2)
|
||
Face amount of Senior Support Certificates received by the Company (3)
|
|
$
|
248,174
|
|
|
$
|
275,174
|
|
|
Cash received
|
|
$
|
821,175
|
|
|
$
|
802,815
|
|
|
(1)
|
Net of $2.5 million and $2.9 million of deferred financing costs at June 30, 2020 and December 31, 2019, respectively.
|
(2)
|
At June 30, 2020 and December 31, 2019, $451.7 million and $493.2 million, respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by 300 basis points or more at 36 months from issuance if the bond is not redeemed before such date.
|
(3)
|
Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions.
|
•
|
whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and
|
•
|
whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE.
|
(In Millions)
|
|
March 31, 2020
|
|
Runoff (1)
|
|
Sales
|
|
Other (2)
|
|
June 30, 2020
|
|
Change
|
||||||||||||
Residential whole loans and REO
|
|
$
|
7,371
|
|
|
$
|
(412
|
)
|
|
$
|
(974
|
)
|
|
$
|
241
|
|
|
$
|
6,226
|
|
|
$
|
(1,145
|
)
|
RPL/NPL MBS
|
|
80
|
|
|
(2
|
)
|
|
(50
|
)
|
|
24
|
|
|
52
|
|
|
(28
|
)
|
||||||
MSR-related assets
|
|
738
|
|
|
(6
|
)
|
|
(522
|
)
|
|
44
|
|
|
254
|
|
|
(484
|
)
|
||||||
CRT securities
|
|
254
|
|
|
(4
|
)
|
|
(232
|
)
|
|
76
|
|
|
94
|
|
|
(160
|
)
|
||||||
Legacy Non-Agency MBS
|
|
1,040
|
|
|
(22
|
)
|
|
(853
|
)
|
|
(162
|
)
|
|
3
|
|
|
(1,037
|
)
|
||||||
Agency MBS
|
|
553
|
|
|
(14
|
)
|
|
(532
|
)
|
|
(7
|
)
|
|
—
|
|
|
(553
|
)
|
||||||
Totals
|
|
$
|
10,036
|
|
|
$
|
(460
|
)
|
|
$
|
(3,163
|
)
|
|
$
|
216
|
|
|
$
|
6,629
|
|
|
$
|
(3,407
|
)
|
(1)
|
Primarily includes principal repayments, cash collections on Purchased Credit Deteriorated Loans and sales of REO.
|
(2)
|
Primarily includes changes in fair value, net premium amortization/discount accretion and adjustments to record lower of cost or estimated fair value adjustments on REO. Also includes an adjustment to reflect the closing of a loan purchase transaction that was entered into in a prior period.
|
(Dollars in Millions)
|
|
Residential Whole Loans, at Carrying Value (1)
|
|
Residential Whole Loans, at Fair Value
|
|
Non-Agency MBS
|
|
Credit Risk Transfer Securities
|
|
MSR-Related Assets
|
|
Other,
net (2) |
|
Total
|
||||||||||||||
Fair Value/Carrying Value
|
|
$
|
4,677
|
|
|
$
|
1,201
|
|
|
$
|
54
|
|
|
$
|
94
|
|
|
$
|
254
|
|
|
$
|
1,253
|
|
|
$
|
7,533
|
|
Financing Agreements with non-mark-to-market collateral provisions
|
|
(1,779
|
)
|
|
(258
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,037
|
)
|
|||||||
Financing Agreements with mark-to-market collateral provisions
|
|
(1,190
|
)
|
|
(196
|
)
|
|
(31
|
)
|
|
(54
|
)
|
|
(147
|
)
|
|
(38
|
)
|
|
(1,656
|
)
|
|||||||
Less Senior secured credit agreement
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(481
|
)
|
|
(481
|
)
|
|||||||
Less Securitized Debt
|
|
(117
|
)
|
|
(399
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(516
|
)
|
|||||||
Less Convertible Senior Notes
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(225
|
)
|
|
(225
|
)
|
|||||||
Less Senior Notes
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(97
|
)
|
|
(97
|
)
|
|||||||
Net Equity Allocated
|
|
$
|
1,591
|
|
|
$
|
348
|
|
|
$
|
23
|
|
|
$
|
40
|
|
|
$
|
107
|
|
|
$
|
412
|
|
|
$
|
2,521
|
|
Debt/Net Equity Ratio (3)
|
|
1.9
|
x
|
|
2.5
|
x
|
|
1.3
|
x
|
|
1.4
|
x
|
|
1.4
|
x
|
|
|
|
2.0
|
x
|
(1)
|
Includes $2.5 billion of Non-QM loans, $832.9 million of Rehabilitation loans, $487.3 million of Single-family rental loans, $155.1 million of Seasoned performing loans, and $658.4 million of Purchased Credit Deteriorated Loans. At June 30, 2020, the total fair value of these loans is estimated to be approximately $4.7 billion.
|
(2)
|
Includes cash and cash equivalents and restricted cash, other assets and other liabilities.
|
(3)
|
Total Debt/Net Equity ratio represents the sum of borrowings under our financing agreements noted above as a multiple of net equity allocated.
|
(In Thousands)
|
|
Purchased
Performing Loans (1) |
|
Purchased Credit
Deteriorated Loans (2) |
|
Residential Whole Loans, at Fair Value
|
||||||
Amount due:
|
|
|
|
|
|
|
|
|||||
Within one year
|
|
$
|
738,329
|
|
|
$
|
722
|
|
|
$
|
4,521
|
|
After one year:
|
|
|
|
|
|
|
||||||
Over one to five years
|
|
162,163
|
|
|
4,496
|
|
|
5,139
|
|
|||
Over five years
|
|
3,186,114
|
|
|
721,295
|
|
|
1,191,321
|
|
|||
Total due after one year
|
|
$
|
3,348,277
|
|
|
$
|
725,791
|
|
|
$
|
1,196,460
|
|
Total residential whole loans
|
|
$
|
4,086,606
|
|
|
$
|
726,513
|
|
|
$
|
1,200,981
|
|
(1)
|
Excludes an allowance for credit losses of $68.5 million at June 30, 2020.
|
(2)
|
Excludes an allowance for credit losses of $68.1 million at June 30, 2020.
|
(In Thousands)
|
|
Purchased
Performing Loans (1)(2) |
|
Purchased Credit
Deteriorated Loans (1)(3)
|
|
Residential Whole Loans, at Fair Value (1)
|
||||||
Interest rates:
|
|
|
|
|
|
|
|
|||||
Fixed
|
|
$
|
1,138,987
|
|
|
$
|
493,252
|
|
|
$
|
859,905
|
|
Adjustable
|
|
2,209,290
|
|
|
232,539
|
|
|
336,555
|
|
|||
Total
|
|
$
|
3,348,277
|
|
|
$
|
725,791
|
|
|
$
|
1,196,460
|
|
(1)
|
Includes loans on which borrowers have defaulted and are not making payments of principal and/or interest as of June 30, 2020.
|
(2)
|
Excludes an allowance for credit losses of $68.5 million at June 30, 2020.
|
(3)
|
Excludes an allowance for credit losses of $68.1 million at June 30, 2020.
|
(In Thousands)
|
|
June 30, 2020
|
|
December 31, 2019
|
||||
Non-Agency MBS
|
|
|
|
|
|
|
||
Face/Par
|
|
$
|
62,361
|
|
|
$
|
2,195,303
|
|
Fair Value
|
|
54,237
|
|
|
2,063,529
|
|
||
Amortized Cost
|
|
53,262
|
|
|
1,668,088
|
|
||
Purchase Discount Designated as Credit Reserve
|
|
(669
|
)
|
|
(436,598
|
)
|
||
Purchase Discount Designated as Accretable
|
|
(8,430
|
)
|
|
(90,617
|
)
|
|
|
Three Months Ended June 30, 2020
|
|
Three Months Ended June 30, 2019
|
||||||||
|
|
Legacy
Non-Agency MBS
|
|
RPL/NPL MBS
|
|
Legacy
Non-Agency MBS
|
|
RPL/NPL MBS
|
||||
Non-Agency MBS
|
|
|
|
|
|
|
|
|
||||
Coupon Yield (1)
|
|
6.06
|
%
|
|
5.58
|
%
|
|
6.91
|
%
|
|
4.98
|
%
|
Effective Yield Adjustment (2)
|
|
7.78
|
|
|
0.35
|
|
|
4.39
|
|
|
—
|
|
Net Yield
|
|
13.84
|
%
|
|
5.93
|
%
|
|
11.30
|
%
|
|
4.98
|
%
|
(1)
|
Reflects the annualized coupon interest income divided by the average amortized cost. The discounted purchase price on Legacy Non-Agency MBS causes the coupon yield to be higher than the pass-through coupon interest rate.
|
(2)
|
The effective yield adjustment is the difference between the net yield, calculated utilizing management’s estimates of timing and amount of future cash flows for Legacy Non-Agency MBS and RPL/NPL MBS, less the current coupon yield.
|
|
|
Three Months Ended June 30,
|
||||||||||||||||||||
|
|
2020
|
|
2019
|
||||||||||||||||||
(Dollars in Thousands)
|
|
Average Balance
|
|
Interest
|
|
Average Yield/Cost
|
|
Average Balance
|
|
Interest
|
|
Average Yield/Cost
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Residential whole loans, at carrying value (1)
|
|
$
|
5,389,515
|
|
|
$
|
69,427
|
|
|
5.15
|
%
|
|
$
|
4,048,613
|
|
|
$
|
57,879
|
|
|
5.72
|
%
|
Agency MBS (2)
|
|
45,057
|
|
|
(10
|
)
|
|
(0.09
|
)
|
|
2,439,397
|
|
|
15,274
|
|
|
2.50
|
|
||||
Legacy Non-Agency MBS (2)
|
|
59,243
|
|
|
2,050
|
|
|
13.84
|
|
|
1,323,463
|
|
|
37,384
|
|
|
11.30
|
|
||||
RPL/NPL MBS (2)
|
|
88,001
|
|
|
1,305
|
|
|
5.93
|
|
|
1,175,754
|
|
|
14,643
|
|
|
4.98
|
|
||||
Total MBS
|
|
192,301
|
|
|
3,345
|
|
|
6.96
|
|
|
4,938,614
|
|
|
67,301
|
|
|
5.45
|
|
||||
CRT securities (2)
|
|
134,462
|
|
|
1,630
|
|
|
4.85
|
|
|
402,804
|
|
|
5,094
|
|
|
5.06
|
|
||||
MSR-related assets (2)
|
|
391,020
|
|
|
9,741
|
|
|
9.96
|
|
|
924,016
|
|
|
12,338
|
|
|
5.34
|
|
||||
Cash and cash equivalents (3)
|
|
364,286
|
|
|
60
|
|
|
0.07
|
|
|
204,912
|
|
|
1,036
|
|
|
2.02
|
|
||||
Other interest-earning assets
|
|
132,735
|
|
|
3,165
|
|
|
9.54
|
|
|
88,430
|
|
|
1,287
|
|
|
5.82
|
|
||||
Total interest-earning assets
|
|
6,604,319
|
|
|
87,368
|
|
|
5.29
|
|
|
10,607,389
|
|
|
144,935
|
|
|
5.47
|
|
||||
Total non-interest-earning assets
|
|
1,573,857
|
|
|
|
|
|
|
|
2,443,917
|
|
|
|
|
|
|||||||
Total assets
|
|
$
|
8,178,176
|
|
|
|
|
|
|
|
$
|
13,051,306
|
|
|
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities and stockholders’ equity:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Collateralized financing agreements (4)(5)
|
|
$
|
4,736,611
|
|
|
$
|
76,128
|
|
|
6.36
|
%
|
|
$
|
8,621,895
|
|
|
$
|
75,890
|
|
|
3.48
|
%
|
Securitized debt (6)
|
|
538,245
|
|
|
5,193
|
|
|
3.82
|
|
|
645,972
|
|
|
5,936
|
|
|
3.64
|
|
||||
Convertible Senior Notes
|
|
224,130
|
|
|
3,893
|
|
|
6.94
|
|
|
68,776
|
|
|
1,206
|
|
|
6.94
|
|
||||
Senior Notes
|
|
96,879
|
|
|
2,013
|
|
|
8.31
|
|
|
96,831
|
|
|
2,012
|
|
|
8.31
|
|
||||
Senior Secured Credit Agreement
|
|
26,426
|
|
|
764
|
|
|
11.44
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total interest-bearing liabilities
|
|
5,622,291
|
|
|
87,991
|
|
|
6.19
|
|
|
9,433,474
|
|
|
85,044
|
|
|
3.57
|
|
||||
Total non-interest-bearing liabilities
|
|
95,585
|
|
|
|
|
|
|
|
207,745
|
|
|
|
|
|
|||||||
Total liabilities
|
|
5,717,876
|
|
|
|
|
|
|
|
9,641,219
|
|
|
|
|
|
|||||||
Stockholders’ equity
|
|
2,460,300
|
|
|
|
|
|
|
|
3,410,087
|
|
|
|
|
|
|||||||
Total liabilities and stockholders’ equity
|
|
$
|
8,178,176
|
|
|
|
|
|
|
|
$
|
13,051,306
|
|
|
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net interest income/net interest rate spread (7)
|
|
|
|
$
|
(623
|
)
|
|
(0.90
|
)%
|
|
|
|
$
|
59,891
|
|
|
1.90
|
%
|
||||
Net interest-earning assets/net interest margin (8)
|
|
$
|
982,028
|
|
|
|
|
0.02
|
%
|
|
$
|
1,173,915
|
|
|
|
|
2.29
|
%
|
(1)
|
Excludes residential whole loans held at fair value that are reported as a component of total non-interest-earning assets.
|
(2)
|
Yields presented throughout this Quarterly Report on Form 10-Q are calculated using average amortized cost data for securities which excludes unrealized gains and losses and includes principal payments receivable on securities. For GAAP reporting purposes, purchases and sales are reported on the trade date. Average amortized cost data used to determine yields is calculated based on the settlement date of the associated purchase or sale as interest income is not earned on purchased assets and continues to be earned on sold assets until settlement date.
|
(3)
|
Includes average interest-earning cash, cash equivalents and restricted cash.
|
(4)
|
Collateralized financing agreements include the following: Secured term notes, Non-mark-to-market term-asset based financing and repurchase agreements. For additional information, see Note 6, included under Item 1 of this Quarterly Report on Form 10-Q.
|
(5)
|
Average cost of financing agreements includes the cost of Swaps allocated based on the proportionate share of the overall estimated weighted average portfolio duration.
|
(6)
|
Includes both Securitized debt, at carrying value and Securitized debt, at fair value.
|
(7)
|
Net interest rate spread reflects the difference between the yield on average interest-earning assets and average cost of funds.
|
(8)
|
Net interest margin reflects annualized net interest income divided by average interest-earning assets.
|
|
|
Three Months Ended June 30, 2020
|
||||||||||
|
|
Compared to
|
||||||||||
|
|
Three Months Ended June 30, 2019
|
||||||||||
|
|
Increase/(Decrease) due to
|
|
Total Net
Change in
Interest Income/Expense
|
||||||||
(In Thousands)
|
|
Volume
|
|
Rate
|
|
|||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|||
Residential whole loans, at carrying value (1)
|
|
$
|
17,709
|
|
|
$
|
(6,161
|
)
|
|
$
|
11,548
|
|
Residential mortgage securities
|
|
(68,593
|
)
|
|
1,173
|
|
|
(67,420
|
)
|
|||
MSR-related assets
|
|
(9,580
|
)
|
|
6,983
|
|
|
(2,597
|
)
|
|||
Cash and cash equivalents
|
|
458
|
|
|
(1,434
|
)
|
|
(976
|
)
|
|||
Other interest-earning assets
|
|
826
|
|
|
1,052
|
|
|
1,878
|
|
|||
Total net change in income from interest-earning assets
|
|
$
|
(59,180
|
)
|
|
$
|
1,613
|
|
|
$
|
(57,567
|
)
|
|
|
|
|
|
|
|
||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
||||||
Residential whole loan at carrying value financing agreements
|
|
$
|
15,263
|
|
|
$
|
16,535
|
|
|
$
|
31,798
|
|
Residential whole loan at fair value financing agreements
|
|
(1,455
|
)
|
|
3,369
|
|
|
1,914
|
|
|||
Residential mortgage securities repurchase agreements
|
|
(43,689
|
)
|
|
11,020
|
|
|
(32,669
|
)
|
|||
MSR-related assets repurchase agreements
|
|
(4,114
|
)
|
|
3,494
|
|
|
(620
|
)
|
|||
Other repurchase agreements
|
|
(343
|
)
|
|
158
|
|
|
(185
|
)
|
|||
Securitized debt
|
|
(1,028
|
)
|
|
285
|
|
|
(743
|
)
|
|||
Convertible Senior Notes and Senior Notes
|
|
2,652
|
|
|
36
|
|
|
2,688
|
|
|||
Senior Secured Credit Agreement
|
|
764
|
|
|
—
|
|
|
764
|
|
|||
Total net change in expense from interest-bearing liabilities
|
|
$
|
(31,950
|
)
|
|
$
|
34,897
|
|
|
$
|
2,947
|
|
Net change in net interest income
|
|
$
|
(27,230
|
)
|
|
$
|
(33,284
|
)
|
|
$
|
(60,514
|
)
|
(1)
|
Excludes residential whole loans held at fair value which are reported as a component of non-interest-earning assets.
|
(1)
|
Reflects the difference between the yield on average interest-earning assets and average cost of funds.
|
(2)
|
Reflects annualized net interest income divided by average interest-earning assets.
|
|
|
Purchased Performing Loans
|
|
Purchased Credit Deteriorated Loans
|
|
Total Residential Whole Loans, at Carrying Value
|
|||||||||||||||||||||
Quarter Ended
|
|
Net
Yield (1) |
|
Cost of
Funding (2) |
|
Net
Interest Spread (3) |
|
Net
Yield (1) |
|
Cost of
Funding (2) |
|
Net
Interest Spread (3) |
|
Net
Yield (1) |
|
Cost of
Funding (2) |
|
Net
Interest Spread (3) |
|||||||||
June 30, 2020
|
|
5.17
|
%
|
|
6.34
|
%
|
|
(1.17
|
)%
|
|
5.07
|
%
|
|
6.03
|
%
|
|
(0.96
|
)%
|
|
5.15
|
%
|
|
6.30
|
%
|
|
(1.15
|
)%
|
March 31, 2020
|
|
5.10
|
|
|
3.44
|
|
|
1.66
|
|
|
4.84
|
|
|
3.39
|
|
|
1.45
|
|
|
5.07
|
|
|
3.43
|
|
|
1.64
|
|
December 31, 2019
|
|
5.24
|
|
|
3.61
|
|
|
1.63
|
|
|
5.79
|
|
|
3.51
|
|
|
2.28
|
|
|
5.31
|
|
|
3.59
|
|
|
1.72
|
|
September 30, 2019
|
|
5.55
|
|
|
3.92
|
|
|
1.63
|
|
|
5.76
|
|
|
3.79
|
|
|
1.97
|
|
|
5.58
|
|
|
3.90
|
|
|
1.68
|
|
June 30, 2019
|
|
5.71
|
|
|
4.22
|
|
|
1.49
|
|
|
5.75
|
|
|
3.98
|
|
|
1.77
|
|
|
5.72
|
|
|
4.17
|
|
|
1.55
|
|
(1)
|
Reflects annualized interest income on Residential whole loans, at carrying value divided by average amortized cost of Residential whole loans, at carrying value. Excludes servicing costs.
|
(2)
|
Reflects annualized interest expense divided by average balance of repurchase agreements and securitized debt. Total Residential whole loans, at carrying value cost of funding includes 3, 5, 3, and 5 basis points associated with Swaps to hedge interest rate sensitivity on these assets for the quarters ended March 31, 2020, December 31, 2019, September 30, 2019 and June 30, 2019, respectively. Cost of funding for the quarter ended June 30, 2020 includes the impact of amortization of $10.7 million of losses previously recorded in OCI related to Swaps unwound during the quarter ended March 31, 2020 that had been previously designated as hedges for accounting purposes. The amortization of these losses increased the funding cost by 116 basis points for Purchased Performing Loans, 107 basis points for Purchased Credit Deteriorated Loans, and 115 basis points for total Residential whole loans, at carrying value. At June 30, 2020, following the closing of certain financing transactions and the Company’s exit from forbearance arrangements, and an evaluation of the Company’s anticipated future financing transactions, $49.9 million of unamortized losses on Swaps previously designated as hedges for accounting purposes was transferred from OCI to earnings, as it was determined that certain financing transactions that were previously expected to be hedged by these Swaps were no longer probable of occurring. In addition, cost of funding for the quarter ended June 30, 2020 is significantly higher than prior periods as it reflects default interest and/or higher rates charged by lenders while the Company was under a forbearance agreement.
|
(3)
|
Reflects the difference between the net yield on average Residential whole loans, at carrying value and average cost of funds on Residential whole loans, at carrying value.
|
|
|
Agency MBS
|
|
Legacy Non-Agency MBS
|
|
RPL/NPL MBS
|
|
Total MBS
|
||||||||||||||||||||||||||||
Quarter Ended
|
|
Net
Yield
(1)
|
|
Cost of
Funding (2) |
|
Net Interest
Rate
Spread (3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding (2) |
|
Net Interest
Rate
Spread (3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding (2) |
|
Net Interest
Rate
Spread (3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding (2) |
|
Net Interest
Rate
Spread (3)
|
||||||||||||
June 30, 2020
|
|
(0.09
|
)%
|
|
4.91
|
%
|
|
(5.00
|
)%
|
|
13.84
|
%
|
|
2.63
|
%
|
|
11.21
|
%
|
|
5.93
|
%
|
|
8.38
|
%
|
|
(2.45
|
)%
|
|
6.96
|
%
|
|
5.38
|
%
|
|
1.58
|
%
|
March 31, 2020
|
|
2.32
|
|
|
2.51
|
|
|
(0.19
|
)
|
|
10.55
|
|
|
3.13
|
|
|
7.42
|
|
|
5.21
|
|
|
2.56
|
|
|
2.65
|
|
|
5.54
|
|
|
2.78
|
|
|
2.76
|
|
December 31, 2019
|
|
2.38
|
|
|
2.33
|
|
|
0.05
|
|
|
14.76
|
|
|
3.18
|
|
|
11.58
|
|
|
5.17
|
|
|
2.78
|
|
|
2.39
|
|
|
6.76
|
|
|
2.70
|
|
|
4.06
|
|
September 30, 2019
|
|
2.32
|
|
|
2.47
|
|
|
(0.15
|
)
|
|
10.32
|
|
|
3.24
|
|
|
7.08
|
|
|
5.18
|
|
|
3.18
|
|
|
2.00
|
|
|
5.28
|
|
|
2.86
|
|
|
2.42
|
|
June 30, 2019
|
|
2.50
|
|
|
2.56
|
|
|
(0.06
|
)
|
|
11.30
|
|
|
3.30
|
|
|
8.00
|
|
|
4.98
|
|
|
3.39
|
|
|
1.59
|
|
|
5.45
|
|
|
2.95
|
|
|
2.50
|
|
(1)
|
Reflects annualized interest income on MBS divided by average amortized cost of MBS.
|
(2)
|
Reflects annualized interest expense divided by average balance of repurchase agreements, including the cost of Swaps allocated based on the proportionate share of the overall estimated weighted average portfolio duration and securitized debt. Agency MBS cost of funding includes 0, 78, 36, 1, and (9) basis points and Legacy Non-Agency MBS cost of funding includes 0, 52, 24, 1, and (14) basis points associated with Swaps to hedge interest rate sensitivity on these assets for the quarters ended June 30, 2020, March 31, 2020, December 31, 2019, September 30, 2019 and June 30, 2019, respectively. Cost of funding for the quarter ended June 30, 2020 includes the impact of amortization of $278,000 of losses previously recorded in OCI related to Swaps unwound during the quarter ended March 31, 2020 that had been previously designated as hedges for accounting purposes. The amortization of these losses increased the funding cost by 174 basis points for total RPL/NPL MBS. At June 30, 2020, following the closing of certain financing transactions and the Company’s exit from forbearance arrangements, and an evaluation of the Company’s anticipated future financing transactions, $49.9 million of unamortized losses on Swaps previously designated as hedges for accounting purposes was transferred from OCI to earnings, as it was determined that certain financing transactions that were previously expected to be hedged by these Swaps were no longer probable of occurring.
|
(3)
|
Reflects the difference between the net yield on average MBS and average cost of funds on MBS.
|
|
|
Agency MBS
|
|
Legacy Non-Agency MBS
|
|
RPL/NPL MBS
|
|||||||||||||||||||||
Quarter Ended
|
|
Coupon Yield (1)
|
|
Net Yield (2)
|
|
3 Month Average CPR (3)
|
|
Coupon Yield (1)
|
|
Net Yield (2)
|
|
3 Month Average CPR (3)
|
|
Coupon Yield (1)
|
|
Net Yield (2)
|
|
3 Month Average Bond CPR (4)
|
|||||||||
June 30, 2020
|
|
3.57
|
%
|
|
(0.09
|
)%
|
|
N/M
|
|
|
6.06
|
%
|
|
13.84
|
%
|
|
N/M
|
|
|
5.58
|
%
|
|
5.93
|
%
|
|
N/M
|
|
March 31, 2020
|
|
3.57
|
|
|
2.32
|
|
|
12.6
|
%
|
|
6.83
|
|
|
10.55
|
|
|
13.6
|
%
|
|
4.96
|
|
|
5.21
|
|
|
34.4
|
%
|
December 31, 2019
|
|
3.63
|
|
|
2.38
|
|
|
18.1
|
|
|
6.88
|
|
|
14.76
|
|
|
16.4
|
|
|
5.07
|
|
|
5.17
|
|
|
18.8
|
|
September 30, 2019
|
|
3.73
|
|
|
2.32
|
|
|
18.6
|
|
|
6.92
|
|
|
10.32
|
|
|
14.9
|
|
|
5.18
|
|
|
5.18
|
|
|
18.2
|
|
June 30, 2019
|
|
3.76
|
|
|
2.50
|
|
|
18.3
|
|
|
6.91
|
|
|
11.30
|
|
|
15.7
|
|
|
4.98
|
|
|
4.98
|
|
|
16.1
|
|
(1)
|
Reflects the annualized coupon interest income divided by the average amortized cost. The discounted purchase price on Legacy Non-Agency MBS causes the coupon yield to be higher than the pass-through coupon interest rate.
|
(2)
|
Reflects annualized interest income on MBS divided by average amortized cost of MBS.
|
(3)
|
3 month average CPR weighted by positions as of the beginning of each month in the quarter. Given significant levels of asset sales for the quarter ended June 30, 2020, that are not expected to recur, 3 month average CPR for the quarter ended June 30, 2020 is not a meaningful comparison.
|
(4)
|
All principal payments are considered to be prepayments for CPR purposes.
|
|
|
Quarter Ended June 30,
|
||||||
(In Thousands)
|
|
2020
|
|
2019
|
||||
Net unrealized gain on residential mortgage securities measured at fair value through earnings
|
|
$
|
64,438
|
|
|
$
|
—
|
|
Transfer from OCI of loss on swaps previously designated as hedges for accounting purposes
|
|
(49,857
|
)
|
|
—
|
|
||
Net realized gain on sales of residential mortgage securities and residential whole loans
|
|
49,485
|
|
|
7,710
|
|
||
Net gain on residential whole loans measured at fair value through earnings
|
|
20,320
|
|
|
51,473
|
|
||
Impairment losses on loan originator investments
|
|
(5,094
|
)
|
|
—
|
|
||
Liquidation gains on Purchased Credit Deteriorated Loans and other loan related income
|
|
1,303
|
|
|
4,237
|
|
||
Other
|
|
(4,238
|
)
|
|
(6,558
|
)
|
||
Total Other Income, net
|
|
$
|
76,357
|
|
|
$
|
56,862
|
|
At or for the Quarter Ended
|
|
Return on
Average Total
Assets (1)
|
|
Return on
Average Total
Stockholders’
Equity (2)(3)
|
|
Total Average
Stockholders’
Equity to Total
Average Assets (4)
|
|
Dividend Payout
Ratio (5)
|
|
Leverage Multiple (6)
|
|
Book Value
per Share
of Common
Stock (7)
|
|
Economic Book Value per Share of Common Stock (8)
|
|||||||
June 30, 2020
|
|
4.33
|
%
|
|
15.70
|
%
|
|
30.08
|
%
|
|
0.00
|
|
2.0
|
|
$
|
4.51
|
|
|
$
|
4.46
|
|
March 31, 2020
|
|
(26.72
|
)
|
|
(26.58
|
)
|
|
24.99
|
|
|
0.00
|
|
3.4
|
|
4.34
|
|
|
4.09
|
|
||
December 31, 2019
|
|
2.92
|
|
|
11.90
|
|
|
25.48
|
|
|
0.95
|
|
3.0
|
|
7.04
|
|
|
7.44
|
|
||
September 30, 2019
|
|
2.79
|
|
|
11.24
|
|
|
25.80
|
|
|
1.00
|
|
2.8
|
|
7.09
|
|
|
7.41
|
|
||
June 30, 2019
|
|
2.74
|
|
|
10.91
|
|
|
26.13
|
|
|
1.00
|
|
2.8
|
|
7.11
|
|
|
7.40
|
|
(1)
|
Reflects annualized net income available to common stock and participating securities divided by average total assets.
|
(2)
|
Reflects annualized net income divided by average total stockholders’ equity.
|
(3)
|
For the quarter ended March 31, 2020, the amount calculated reflects the quarterly net income divided by average total stockholders’ equity.
|
(4)
|
Reflects total average stockholders’ equity divided by total average assets.
|
(5)
|
Reflects dividends declared per share of common stock divided by earnings per share.
|
(6)
|
Represents the sum of our borrowings under financing agreements and payable for unsettled purchases divided by stockholders’ equity.
|
(7)
|
Reflects total stockholders’ equity less the preferred stock liquidation preference divided by total shares of common stock outstanding.
|
(8)
|
“Economic book value” is a non-GAAP financial measure of our financial position. To calculate our Economic book value, our portfolios of Residential whole loans at carrying value are adjusted to their fair value, rather than the carrying value that is required to be reported under the GAAP accounting model applied to these loans. For additional information please refer to page 86 under the heading “Economic Book Value”.
|
|
|
Six Months Ended June 30,
|
||||||||||||||||||||
|
|
2020
|
|
2019
|
||||||||||||||||||
|
|
Average Balance
|
|
Interest
|
|
Average Yield/Cost
|
|
Average Balance
|
|
Interest
|
|
Average Yield/Cost
|
||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Residential whole loans, at carrying value (1)
|
|
$
|
5,987,026
|
|
|
$
|
152,913
|
|
|
5.11
|
%
|
|
$
|
3,710,832
|
|
|
$
|
107,499
|
|
|
5.79
|
%
|
Agency MBS (2)
|
|
786,047
|
|
|
8,852
|
|
|
2.25
|
|
|
2,552,855
|
|
|
33,715
|
|
|
2.64
|
|
||||
Legacy Non-Agency MBS (2)
|
|
535,527
|
|
|
28,739
|
|
|
10.73
|
|
|
1,377,439
|
|
|
74,800
|
|
|
10.86
|
|
||||
RPL/NPL MBS (2)
|
|
268,895
|
|
|
7,166
|
|
|
5.33
|
|
|
1,264,362
|
|
|
31,228
|
|
|
4.94
|
|
||||
Total MBS
|
|
1,590,469
|
|
|
44,757
|
|
|
5.63
|
|
|
5,194,656
|
|
|
139,743
|
|
|
5.38
|
|
||||
CRT securities (2)
|
|
217,266
|
|
|
4,592
|
|
|
4.23
|
|
|
422,060
|
|
|
11,294
|
|
|
5.35
|
|
||||
MSR-related assets (2)
|
|
794,488
|
|
|
23,948
|
|
|
6.03
|
|
|
856,735
|
|
|
22,958
|
|
|
5.36
|
|
||||
Cash and cash equivalents (3)
|
|
285,593
|
|
|
546
|
|
|
0.38
|
|
|
180,743
|
|
|
1,800
|
|
|
1.99
|
|
||||
Other interest-earning assets
|
|
131,341
|
|
|
6,072
|
|
|
9.25
|
|
|
89,036
|
|
|
2,593
|
|
|
5.82
|
|
||||
Total interest-earning assets
|
|
9,006,183
|
|
|
232,828
|
|
|
5.17
|
|
|
10,454,062
|
|
|
285,887
|
|
|
5.47
|
|
||||
Total non-interest-earning assets
|
|
1,925,848
|
|
|
|
|
|
|
|
|
2,472,736
|
|
|
|
|
|
|
|
||||
Total assets
|
|
$
|
10,932,031
|
|
|
|
|
|
|
|
|
$
|
12,926,798
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities and stockholders’ equity:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Collateralized financing agreements (4)(5)
|
|
$
|
6,985,216
|
|
|
$
|
148,826
|
|
|
4.21
|
%
|
|
$
|
8,453,196
|
|
|
$
|
146,699
|
|
|
3.45
|
%
|
Securitized debt (6)
|
|
548,126
|
|
|
10,355
|
|
|
3.74
|
|
|
660,743
|
|
|
12,142
|
|
|
3.65
|
|
||||
Convertible Senior Notes
|
|
224,101
|
|
|
7,780
|
|
|
6.94
|
|
|
34,578
|
|
|
1,206
|
|
|
6.94
|
|
||||
Senior Notes
|
|
96,873
|
|
|
4,025
|
|
|
8.31
|
|
|
96,825
|
|
|
4,023
|
|
|
8.31
|
|
||||
Senior Secured Credit Agreement
|
|
13,213
|
|
|
764
|
|
|
11.44
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total interest-bearing liabilities
|
|
7,867,529
|
|
|
171,750
|
|
|
4.32
|
|
|
9,245,342
|
|
|
164,070
|
|
|
3.53
|
|
||||
Total non-interest-bearing liabilities
|
|
124,255
|
|
|
|
|
|
|
|
|
267,952
|
|
|
|
|
|
|
|
||||
Total liabilities
|
|
7,991,784
|
|
|
|
|
|
|
|
|
9,513,294
|
|
|
|
|
|
|
|
||||
Stockholders’ equity
|
|
2,940,247
|
|
|
|
|
|
|
|
|
3,413,504
|
|
|
|
|
|
|
|
||||
Total liabilities and stockholders’ equity
|
|
$
|
10,932,031
|
|
|
|
|
|
|
|
|
$12,926,798
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net interest income/net interest rate spread (7)
|
|
|
|
|
$
|
61,078
|
|
|
0.85
|
%
|
|
|
|
|
$
|
121,817
|
|
|
1.94
|
%
|
||
Net interest-earning assets/net interest margin (8)
|
|
$
|
1,138,654
|
|
|
|
|
|
1.40
|
%
|
|
$
|
1,208,720
|
|
|
|
|
|
2.35
|
%
|
(1)
|
Excludes residential whole loans held at fair value that are reported as a component of total non-interest-earning assets.
|
(2)
|
Yields presented throughout this Quarterly Report on Form 10-Q are calculated using average amortized cost data for securities which excludes unrealized gains and losses and includes principal payments receivable on securities. For GAAP reporting purposes, purchases and sales are reported on the trade date. Average amortized cost data used to determine yields is calculated based on the settlement date of the associated purchase or sale as interest income is not earned on purchased assets and continues to be earned on sold assets until settlement date.
|
(3)
|
Includes average interest-earning cash, cash equivalents and restricted cash.
|
(4)
|
Collateralized financing agreements include the following: Secured term notes, Non-mark-to-market term-asset based financing, and repurchase agreements. For additional information, see Note 6, included under Item 1 of this Quarterly Report on Form 10-Q.
|
(5)
|
Average cost of repurchase agreements includes the cost of Swaps allocated based on the proportionate share of the overall estimated weighted average portfolio duration.
|
(6)
|
Includes both Securitized debt, at carrying value and Securitized debt, at fair value.
|
(7)
|
Net interest rate spread reflects the difference between the yield on average interest-earning assets and average cost of funds.
|
(8)
|
Net interest margin reflects annualized net interest income divided by average interest-earning assets.
|
|
|
Six Months Ended June 30, 2020
|
||||||||||
|
|
Compared to
|
||||||||||
|
|
Six Months Ended June 30, 2019
|
||||||||||
|
|
Increase/(Decrease) due to
|
|
Total Net
Change in
Interest Income/Expense
|
||||||||
(In Thousands)
|
|
Volume
|
|
Rate
|
|
|||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|||
Residential whole loans, at carrying value (1)
|
|
$
|
59,398
|
|
|
$
|
(13,984
|
)
|
|
$
|
45,414
|
|
Residential mortgage securities
|
|
(96,678
|
)
|
|
(5,010
|
)
|
|
(101,688
|
)
|
|||
MSR-related assets
|
|
(1,746
|
)
|
|
2,736
|
|
|
990
|
|
|||
Cash and cash equivalents
|
|
692
|
|
|
(1,946
|
)
|
|
(1,254
|
)
|
|||
Other interest-earning assets
|
|
1,556
|
|
|
1,923
|
|
|
3,479
|
|
|||
Total net change in income from interest-earning assets
|
|
$
|
(36,778
|
)
|
|
$
|
(16,281
|
)
|
|
$
|
(53,059
|
)
|
|
|
|
|
|
|
|
||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
||||||
Residential whole loan at carrying value financing agreements
|
|
$
|
21,742
|
|
|
$
|
30,807
|
|
|
$
|
52,549
|
|
Residential whole loan at fair value financing agreements
|
|
(438
|
)
|
|
1,970
|
|
|
1,532
|
|
|||
Residential mortgage securities repurchase agreements
|
|
(77,604
|
)
|
|
25,925
|
|
|
(51,679
|
)
|
|||
MSR-related assets repurchase agreements
|
|
(427
|
)
|
|
483
|
|
|
56
|
|
|||
Other repurchase agreements
|
|
(772
|
)
|
|
441
|
|
|
(331
|
)
|
|||
Securitized debt
|
|
(2,120
|
)
|
|
333
|
|
|
(1,787
|
)
|
|||
Convertible Senior Notes and Senior Notes
|
|
5,569
|
|
|
1,007
|
|
|
6,576
|
|
|||
Senior Secured Credit Agreement
|
|
764
|
|
|
—
|
|
|
764
|
|
|||
Total net change in expense of interest-bearing liabilities
|
|
$
|
(53,286
|
)
|
|
$
|
60,966
|
|
|
$
|
7,680
|
|
Net change in net interest income
|
|
$
|
16,508
|
|
|
$
|
(77,247
|
)
|
|
$
|
(60,739
|
)
|
(1)
|
Excludes residential whole loans held at fair value which are reported as a component of non-interest-earning assets.
|
|
|
Purchased Performing Loans
|
|
Purchased Credit Deteriorated Loans
|
|
Total Residential Whole Loans, at Carrying Value
|
|||||||||||||||||||||
Six Months Ended
|
|
Net
Yield (1) |
|
Cost of
Funding (2) |
|
Net
Interest Spread (3) |
|
Net
Yield (1) |
|
Cost of
Funding (2) |
|
Net
Interest Spread (3) |
|
Net
Yield (1) |
|
Cost of
Funding (2) |
|
Net
Interest Spread (3) |
|||||||||
June 30, 2020
|
|
5.13
|
%
|
|
4.79
|
%
|
|
0.34
|
%
|
|
4.96
|
%
|
|
4.68
|
%
|
|
0.27
|
%
|
|
5.11
|
%
|
|
4.78
|
%
|
|
0.33
|
%
|
June 30, 2019
|
|
5.80
|
|
|
4.21
|
|
|
1.59
|
|
|
5.76
|
|
|
4.00
|
|
|
1.76
|
|
|
5.79
|
|
|
4.16
|
|
|
1.63
|
|
(1)
|
Reflects annualized interest income on Residential whole loans, at carrying value divided by average amortized cost of Residential whole loans, at carrying value. Excludes servicing costs.
|
(2)
|
Reflects annualized interest expense divided by average balance of repurchase agreements and securitized debt. Total Residential whole loans, at carrying value cost of funding includes 49 and 3 basis points associated with Swaps to hedge interest rate sensitivity on these assets for the six months ended June 30, 2020 and 2019, respectively. Cost of funding for the six months ended June 30, 2020 includes the impact of amortization of $12.3 million of losses previously recorded in OCI related to Swaps unwound during the quarter ended March 31, 2020 that had been previously designated as hedges for accounting purposes. The amortization of these losses increased the funding cost by 59 basis points for Purchased Performing Loans, 52 basis points for Purchased Credit Deteriorated Loans, and 59 basis points for total Residential whole loans, at carrying value. At June 30, 2020, following the closing of certain financing transactions and the Company’s exit from forbearance arrangements, and an evaluation of the Company’s anticipated future financing transactions, $49.9 million of unamortized losses on Swaps previously designated as hedges for accounting purposes was transferred from OCI to earnings, as it was determined that certain financing transactions that were previously expected to be hedged by these Swaps were no longer probable of occurring.
|
(3)
|
Reflects the difference between the net yield on average Residential whole loans, at carrying value and average cost of funds on Residential whole loans, at carrying value.
|
|
|
Agency MBS
|
|
Legacy Non-Agency MBS
|
|
RPL/NPL MBS
|
|
Total MBS
|
||||||||||||||||||||||||||||
Six Months Ended
|
|
Net Yield
(1)
|
|
Cost of Funding
(2)
|
|
Net Interest Spread
(3)
|
|
Net Yield
(1)
|
|
Cost of Funding
(2)
|
|
Net Interest Spread
(3)
|
|
Net Yield
(1)
|
|
Cost of Funding
(2)
|
|
Net Interest Spread
(3)
|
|
Net Yield
(1)
|
|
Cost of Funding
(2)
|
|
Net Interest Spread
(3)
|
||||||||||||
June 30, 2020
|
|
2.25
|
%
|
|
2.13
|
%
|
|
0.12
|
%
|
|
10.73
|
%
|
|
3.11
|
%
|
|
7.62
|
%
|
|
5.33
|
%
|
|
3.43
|
%
|
|
1.90
|
%
|
|
5.63
|
%
|
|
2.70
|
%
|
|
2.93
|
%
|
June 30, 2019
|
|
2.64
|
|
|
2.55
|
|
|
0.09
|
|
|
10.86
|
|
|
3.30
|
|
|
7.56
|
|
|
4.94
|
|
|
3.41
|
|
|
1.53
|
|
|
5.38
|
|
|
2.95
|
|
|
2.43
|
|
|
|
Agency MBS
|
|
Legacy Non-Agency MBS
|
|
RPL/NPL MBS
|
|||||||||||||||||||||
Six Months Ended
|
|
Coupon Yield (1)
|
|
Net Yield (2)
|
|
6 Month Average CPR (3)
|
|
Coupon Yield (1)
|
|
Net Yield (2)
|
|
6 Month Average CPR (3)
|
|
Coupon Yield (1)
|
|
Net Yield (2)
|
|
6 Month Average Bond CPR (4)
|
|||||||||
June 30, 2020
|
|
2.38
|
%
|
|
2.25
|
%
|
|
11.4
|
%
|
|
6.79
|
%
|
|
10.73
|
%
|
|
10.4
|
%
|
|
5.07
|
%
|
|
5.33
|
%
|
|
24.6
|
%
|
June 30, 2019
|
|
3.73
|
|
|
2.64
|
|
|
15.9
|
|
|
6.84
|
|
|
10.86
|
|
|
14.2
|
|
|
4.92
|
|
|
4.94
|
|
|
13.7
|
|
(1)
|
Reflects the annualized coupon interest income divided by the average amortized cost. The discounted purchase price on Legacy Non-Agency MBS causes the coupon yield to be higher than the pass-through coupon interest rate.
|
(2)
|
Reflects annualized interest income on MBS divided by average amortized cost of MBS.
|
(3)
|
6 month average CPR weighted by positions as of the beginning of each month in the quarter.
|
(4)
|
All principal payments are considered to be prepayments for CPR purposes.
|
|
|
Six Months Ended
June 30, |
||||||
(In Thousands)
|
|
2020
|
|
2019
|
||||
Impairment and other losses on securities available-for-sale and other assets
|
|
$
|
(424,745
|
)
|
|
$
|
—
|
|
Net realized (loss)/ gain on sales of residential mortgage securities and residential whole loans
|
|
(188,895
|
)
|
|
32,319
|
|
||
Transfer from OCI of loss on swaps previously designated as hedges for accounting purposes
|
|
(49,857
|
)
|
|
—
|
|
||
Net gain on residential whole loans measured at fair value through earnings
|
|
(32,440
|
)
|
|
76,740
|
|
||
Net unrealized (loss)/gain on residential mortgage securities measured at fair value through earnings
|
|
(13,523
|
)
|
|
8,672
|
|
||
Liquidation gains on Purchased Credit Deteriorated Loans and other loan related income
|
|
2,733
|
|
|
7,045
|
|
||
Other
|
|
(7,679
|
)
|
|
(16,745
|
)
|
||
Total Other (Loss)/Income, net
|
|
$
|
(714,406
|
)
|
|
$
|
108,031
|
|
At or for the Six Months Ended
|
|
Return on
Average Total
Assets (1)
|
|
Return on
Average Total
Stockholders’
Equity (2)
|
|
Total Average
Stockholders’
Equity to Total
Average Assets (3)
|
|
Dividend Payout
Ratio (4)
|
|
Leverage Multiple (5)
|
|
Book Value
per Share
of Common
Stock (6)
|
||||||
June 30, 2020
|
|
(15.11
|
)%
|
|
(55.26
|
)%
|
|
26.90
|
%
|
|
0.00
|
|
2.0
|
|
|
$
|
4.51
|
|
June 30, 2019
|
|
2.70
|
|
|
10.66
|
|
|
26.41
|
|
|
1.03
|
|
2.8
|
|
|
7.11
|
|
(1)
|
Reflects annualized net income available to common stock and participating securities divided by average total assets.
|
(2)
|
Reflects annualized net income divided by average total stockholders’ equity.
|
(3)
|
Reflects total average stockholders’ equity divided by total average assets.
|
(4)
|
Reflects dividends declared per share of common stock divided by earnings per share.
|
(5)
|
Represents the sum of borrowings under our financing agreements, and payable for unsettled purchases divided by stockholders’ equity.
|
(6)
|
Reflects total stockholders’ equity less the preferred stock liquidation preference divided by total shares of common stock outstanding.
|
(In Thousands, Except Per Share Amounts)
|
|
June 30, 2020
|
|
March 31, 2020
|
|
December 31, 2019
|
|
September 30, 2019
|
|
June 30, 2019
|
|
March 31, 2019
|
||||||||||||
GAAP Total Stockholders’ Equity
|
|
$
|
2,521.1
|
|
|
$
|
2,440.7
|
|
|
$
|
3,384.0
|
|
|
$
|
3,403.4
|
|
|
$
|
3,403.4
|
|
|
$
|
3,404.5
|
|
Preferred Stock, liquidation preference
|
|
(475.0
|
)
|
|
(475.0
|
)
|
|
(200.0
|
)
|
|
(200.0
|
)
|
|
(200.0
|
)
|
|
(200.0
|
)
|
||||||
GAAP Stockholders’ Equity for book value per common share
|
|
2,046.1
|
|
|
1,965.7
|
|
|
3,184.0
|
|
|
3,203.4
|
|
|
3,203.4
|
|
|
3,204.5
|
|
||||||
Adjustments:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fair value adjustment to Residential whole loans, at carrying value
|
|
(25.3
|
)
|
|
(113.5
|
)
|
|
182.4
|
|
|
145.8
|
|
|
131.2
|
|
|
92.1
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Stockholders’ Equity including fair value adjustment to Residential whole loans, at carrying value (Economic book value)
|
|
$
|
2,020.8
|
|
|
$
|
1,852.2
|
|
|
$
|
3,366.4
|
|
|
$
|
3,349.2
|
|
|
$
|
3,334.6
|
|
|
$
|
3,296.7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
GAAP book value per common share
|
|
$
|
4.51
|
|
|
$
|
4.34
|
|
|
$
|
7.04
|
|
|
$
|
7.09
|
|
|
$
|
7.11
|
|
|
$
|
7.11
|
|
Economic book value per common share
|
|
$
|
4.46
|
|
|
$
|
4.09
|
|
|
$
|
7.44
|
|
|
$
|
7.41
|
|
|
$
|
7.40
|
|
|
$
|
7.32
|
|
Number of shares of common stock outstanding
|
|
453.2
|
|
|
453.1
|
|
|
452.4
|
|
|
451.7
|
|
|
450.6
|
|
|
450.5
|
|
|
|
Asset-backed Financing Agreements
|
|
Securitized Debt
|
||||||||||||||||||||
Quarter Ended (1)
|
|
Quarterly
Average Balance |
|
End of Period
Balance |
|
Maximum
Balance at Any Month-End |
|
Quarterly
Average Balance |
|
End of Period
Balance |
|
Maximum
Balance at Any Month-End |
||||||||||||
(In Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
June 30, 2020
|
|
$
|
4,736,610
|
|
|
$
|
3,692,845
|
|
|
$
|
5,024,926
|
|
|
$
|
538,245
|
|
|
$
|
516,102
|
|
|
$
|
541,698
|
|
March 31, 2020
|
|
9,233,808
|
|
|
7,768,180
|
|
|
9,486,555
|
|
|
558,007
|
|
|
533,733
|
|
|
562,681
|
|
||||||
December 31, 2019
|
|
8,781,646
|
|
|
9,139,821
|
|
|
9,139,821
|
|
|
590,813
|
|
|
570,952
|
|
|
594,458
|
|
||||||
September 30, 2019
|
|
8,654,350
|
|
|
8,571,422
|
|
|
8,833,159
|
|
|
617,689
|
|
|
605,712
|
|
|
621,071
|
|
||||||
June 30, 2019
|
|
8,621,895
|
|
|
8,630,642
|
|
|
8,639,311
|
|
|
645,972
|
|
|
627,487
|
|
|
649,405
|
|
(1)
|
The information presented in the table above excludes $230.0 million of Convertible Senior Notes issued in June 2019, $100.0 million of Senior Notes issued in April 2012, and $500.0 million of a senior secured term loan facility. The outstanding balance of both the Convertible Senior Notes, Senior Notes, and senior secured term loan facility have been unchanged since issuance.
|
|
|
Collateral Pledged to Meet Margin Calls
|
|
Cash and
Securities Received for
Reverse Margin Calls
|
|
Net Assets
Received/(Pledged) for Margin Activity |
||||||||||||||
For the Quarter Ended (1)
|
|
Fair Value of
Securities Pledged |
|
Cash Pledged
|
|
Aggregate Assets
Pledged For Margin Calls |
|
|
||||||||||||
(In Thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
June 30, 2020
|
|
$
|
—
|
|
|
$
|
108,999
|
|
|
$
|
108,999
|
|
|
$
|
322,682
|
|
|
$
|
213,683
|
|
March 31, 2020
|
|
30,187
|
|
|
213,392
|
|
|
243,579
|
|
|
67,343
|
|
|
(176,236
|
)
|
|||||
December 31, 2019
|
|
—
|
|
|
26,972
|
|
|
26,972
|
|
|
18,311
|
|
|
(8,661
|
)
|
|||||
September 30, 2019
|
|
77,214
|
|
|
35,271
|
|
|
112,485
|
|
|
129,132
|
|
|
16,647
|
|
|||||
June 30, 2019
|
|
26,037
|
|
|
1,019
|
|
|
27,056
|
|
|
7,295
|
|
|
(19,761
|
)
|
Change in Interest Rates
|
|
Estimated
Value of Assets (1) |
|
Estimated
Value of Securitized and Other Fixed Rate Debt |
|
Estimated
Value of Financial Instruments |
|
Change in
Estimated
Value
|
|
Percentage
Change in Net Interest Income |
|
Percentage
Change in Portfolio Value |
||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
+100 Basis Point Increase
|
|
$
|
7,272,385
|
|
|
$
|
(48,760
|
)
|
|
$
|
7,223,625
|
|
|
$
|
(148,276
|
)
|
|
4.50
|
%
|
|
(2.01
|
)%
|
+ 50 Basis Point Increase
|
|
$
|
7,360,969
|
|
|
$
|
(57,157
|
)
|
|
$
|
7,303,812
|
|
|
$
|
(68,089
|
)
|
|
2.78
|
%
|
|
(0.92
|
)%
|
Actual at June 30, 2020
|
|
$
|
7,437,454
|
|
|
$
|
(65,553
|
)
|
|
$
|
7,371,901
|
|
|
$
|
—
|
|
|
—
|
%
|
|
—
|
%
|
- 50 Basis Point Decrease
|
|
$
|
7,501,840
|
|
|
$
|
(73,949
|
)
|
|
$
|
7,427,891
|
|
|
$
|
55,990
|
|
|
(4.49
|
)%
|
|
0.76
|
%
|
-100 Basis Point Decrease
|
|
$
|
7,554,126
|
|
|
$
|
(82,345
|
)
|
|
$
|
7,471,781
|
|
|
$
|
99,880
|
|
|
(7.43
|
)%
|
|
1.35
|
%
|
(1)
|
Such assets include residential whole loans and REO, MBS and CRT securities, MSR-related assets, cash and cash equivalents and restricted cash.
|
|
|
Purchased Performing Loans
|
|
Purchased Credit Deteriorated Loans
|
|
|
||||||||||||||
|
|
Loans with an LTV:
|
|
Loans with an LTV:
|
|
|
||||||||||||||
(Dollars in Thousands)
|
|
80% or Below
|
|
Above 80%
|
|
80% or Below
|
|
Above 80%
|
|
Total
|
||||||||||
Amortized cost
|
|
$
|
3,959,898
|
|
|
$
|
126,708
|
|
|
$
|
433,282
|
|
|
$
|
293,231
|
|
|
$
|
4,813,119
|
|
Unpaid principal balance (UPB)
|
|
$
|
3,897,296
|
|
|
$
|
126,562
|
|
|
$
|
476,834
|
|
|
$
|
361,839
|
|
|
$
|
4,862,531
|
|
Weighted average coupon (1)
|
|
6.1
|
%
|
|
6.5
|
%
|
|
4.5
|
%
|
|
4.4
|
%
|
|
5.9
|
%
|
|||||
Weighted average term to maturity (months)
|
|
266
|
|
|
327
|
|
|
270
|
|
|
319
|
|
|
272
|
|
|||||
Weighted average LTV (2)
|
|
63.0
|
%
|
|
86.4
|
%
|
|
57.1
|
%
|
|
108.4
|
%
|
|
66.3
|
%
|
|||||
Loans 90+ days delinquent (UPB)
|
|
$
|
149,805
|
|
|
$
|
3,879
|
|
|
$
|
51,582
|
|
|
$
|
77,108
|
|
|
$
|
282,374
|
|
(1)
|
Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees.
|
(2)
|
LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $280.6 million, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68%. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
|
Property Location
|
|
Percent of Interest-Bearing Unpaid Principal Balance
|
|
California
|
|
35.2
|
%
|
Florida
|
|
13.0
|
%
|
New York
|
|
7.5
|
%
|
New Jersey
|
|
5.4
|
%
|
Georgia
|
|
3.4
|
%
|
Date: August 6, 2020
|
MFA FINANCIAL, INC.
|
|
|
(Registrant)
|
|
|
|
|
|
|
|
|
By:
|
/s/ Stephen D. Yarad
|
|
|
Stephen D. Yarad
|
|
|
Chief Financial Officer
|
|
|
(Principal Financial Officer)
|
Exhibit
|
|
Description
|
|
|
|
|
Forbearance Agreement, dated as of April 10, 2020, by and among the Company and the several Participating Counterparties thereto (incorporated herein by reference to Exhibit 10.1 to the Company’s Form 8-K, filed April 13, 2020 (Commission File No. 1-13991)).
|
|
|
|
|
|
Second Forbearance Agreement, dated as of April 27, 2020, by and among the Company and the several Secondary Participating Counterparties thereto (incorporated herein by reference to Exhibit 10.1 to the Company’s Form 8-K, filed April 29, 2020 (Commission File No. 1-13991)).
|
|
|
Agreement, entered into as of May 6, 2020, by and between the Company and Stephen D. Yarad (incorporated herein by reference to Exhibit 10.1 to the Company’s Form 8-K, filed May 8, 2020 (Commission File No. 1-13991)).
|
|
|
|
|
|
Form of Indemnification Agreement (incorporated herein by reference to Exhibit 10.1 to the Company’s Form 8-K, filed May 19, 2020 (Commission File No. 1-13991)).
|
|
|
|
|
|
Third Forbearance Agreement, dated as of June 1, 2020, by and among the Company and the several Secondary Participating Counterparties thereto (incorporated herein by reference to Exhibit 10.1 to the Company’s Form 8-K, filed June 3, 2020 (Commission File No. 1-13991)).
|
|
|
|
|
|
Reinstatement Agreement, dated as of June 26, 2020, by and among the Company and the several Participating Counterparties thereto (incorporated herein by reference to Exhibit 10.5 to the Company’s Form 8-K, filed June 30, 2020 (Commission File No. 1-13991)).
|
|
|
|
|
|
Credit Agreement, dated June 15, 2020, among MFResidential Assets Holding Corp., the Company, the lenders party thereto and Wilmington Trust, National Association, as administrative agent and collateral agent (incorporated herein by reference to Exhibit 10.1 to the Company’s Form 8-K, filed June 30, 2020 (Commission File No. 1-13991)).
|
|
|
|
|
|
Investment Agreement, dated June 15, 2020, by and between the Company, Omaha Equity Aggregator, L.P. and Athene USA Corporation (incorporated herein by reference to Exhibit 10.2 to the Company’s Form 8-K, filed June 30, 2020 (Commission File No. 1-13991)).
|
|
|
|
|
|
Registration Rights Agreement, dated June 26, 2020, by and between the Company, Omaha Equity Aggregator, L.P. and Athene USA Corporation (incorporated herein by reference to Exhibit 10.3 to the Company’s Form 8-K, filed June 30, 2020 (Commission File No. 1-13991)) .
|
|
|
|
|
|
Form of Warrant, dated June 26, 2020 (incorporated herein by reference to Exhibit 10.4 to the Company’s Form 8-K, filed June 30, 2020 (Commission File No. 1-13991)).
|
|
|
|
|
|
Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
|
|
Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
|
|
Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
|
|
Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
|
101
|
|
Interactive Data Files pursuant to Rule 405 of Regulation S-T formatted in iXBRL (Inline Extensible Business Reporting Language): (i) our Consolidated Balance Sheets as of March 31, 2020 (Unaudited) and December 31, 2019; (ii) our Consolidated Statements of Operations (Unaudited) for the three months ended March 31, 2020 and 2019; (iii) our Consolidated Statements of Comprehensive Income / (Loss) (Unaudited) for the three months ended March 31, 2020 and 2019; (iv) Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the three months ended March 31, 2020 and 2019; (v) our Consolidated Statements of Cash Flows (Unaudited) for the three months ended March 31, 2020 and 2019; and (vi) the notes to our Unaudited Consolidated Financial Statements.
|
|
|
|
104
|
|
Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).
|
|
|
|
1 Year MFA Financial Chart |
1 Month MFA Financial Chart |
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