ý
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Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
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o
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Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
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Delaware
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27-0298092
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(State or other jurisdiction of
incorporation or organization)
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(IRS Employer
Identification Number)
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Large accelerated filer
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o
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Accelerated filer
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x
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Non-accelerated filer
(Do not check if a smaller reporting company)
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o
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Smaller reporting company
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o
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Page
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September 30,
2016 (Unaudited) |
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December 31, 2015
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||||
Assets:
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Cash and cash equivalents
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$
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30,965
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$
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24,711
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Mortgage-backed securities and other securities, at fair value ($2,660,129 and $2,777,717 pledged as collateral, at fair value, respectively)
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2,692,672
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2,851,127
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Residential Whole-Loans, at fair value ($204,882 and $218,538 pledged as collateral, at fair value, respectively)
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204,882
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218,538
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Securitized commercial loan, at fair value
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24,138
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25,000
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Investment related receivable
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12,123
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|
572
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Accrued interest receivable
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25,285
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22,621
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Due from counterparties
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270,398
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249,563
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Derivative assets, at fair value
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127,862
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21,915
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Other assets
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756
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382
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Total Assets (1)
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$
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3,389,081
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$
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3,414,429
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Liabilities and Stockholders’ Equity:
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Liabilities:
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Borrowings under repurchase agreements, net
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$
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2,523,480
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$
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2,585,667
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Securitized debt, at fair value
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10,621
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11,000
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Accrued interest payable
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18,311
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20,431
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Investment related payables
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—
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66,146
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|
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Due to counterparties
|
6,047
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9,950
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Derivative liability, at fair value
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330,799
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180,177
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Accounts payable and accrued expenses
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2,689
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2,078
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Payable to related party
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2,714
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3,019
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Dividend payable
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12,995
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24,313
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Total Liabilities (2)
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2,907,656
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2,902,781
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Commitments and contingencies
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Stockholders’ Equity:
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Common stock: $0.01 par value, 500,000,000 shares authorized, 41,919,801 shares issued and outstanding, respectively
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419
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419
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Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding
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—
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—
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Additional paid-in capital
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764,678
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763,283
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Retained earnings (accumulated deficit)
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(283,672
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)
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(252,054
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)
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Total Stockholders’ Equity
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481,425
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511,648
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Total Liabilities and Stockholders’ Equity
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$
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3,389,081
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$
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3,414,429
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September 30,
2016 (unaudited) |
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December 31, 2015
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(1) Assets of consolidated VIEs included in the total assets above:
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Residential Whole-Loans, at fair value ($204,882 and $218,538 pledged as collateral, at fair value, respectively)
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$
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204,882
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$
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218,538
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Securitized commercial loan, at fair value
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24,138
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25,000
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Investment related receivable
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3,230
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—
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Accrued interest receivable
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1,745
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1,836
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Total assets of consolidated VIEs
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$
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233,995
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$
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245,374
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(2) Liabilities of consolidated VIEs included in the total liabilities above:
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Securitized debt, at fair value
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$
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10,621
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$
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11,000
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Accrued interest payable
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82
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85
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Accounts payable and accrued expenses
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2
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2
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Total liabilities of consolidated VIEs
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$
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10,705
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$
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11,087
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For the three months ended September 30, 2016
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For the three months ended September 30, 2015
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For the nine months ended September 30, 2016
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For the nine months ended September 30, 2015
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Net Interest Income
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Interest income
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$
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29,154
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$
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35,821
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$
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87,992
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$
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117,656
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Interest expense
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7,685
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6,981
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23,391
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19,960
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Net Interest Income
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21,469
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28,840
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64,601
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97,696
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Other Income (Loss)
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Realized gain (loss) on sale of investments, net
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1,439
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(2,482
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)
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(4,968
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)
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9,267
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Other than temporary impairment
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(4,978
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)
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(5,917
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)
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(22,131
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)
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(14,884
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)
|
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Unrealized gain (loss), net
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15,292
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24,723
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47,571
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10,284
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Gain (loss) on derivative instruments, net
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6,121
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(41,363
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)
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(53,214
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)
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(76,511
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)
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Other, net
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(60
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)
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(29
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)
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(158
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)
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1,744
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Other Income (Loss)
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17,814
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(25,068
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)
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(32,900
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)
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(70,100
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)
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Expenses
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Management fee to affiliate
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2,604
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2,761
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7,945
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8,133
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|
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Other operating expenses
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188
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|
799
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|
809
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1,472
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|
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General and administrative expenses:
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Compensation expense (including non-cash stock based compensation of $433, $509, $1,351 and $1,969, respectively)
|
868
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|
857
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2,254
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3,006
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|
||||
Professional fees
|
723
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|
882
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3,947
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|
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3,261
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|
||||
Other general and administrative expenses
|
379
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|
|
325
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|
|
1,226
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|
|
1,123
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|
||||
Total general and administrative expenses
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1,970
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|
2,064
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|
7,427
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7,390
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|
||||
Total Expenses
|
4,762
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|
|
5,624
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|
|
16,181
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|
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16,995
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|
||||
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||||||||
Income (loss) before income taxes
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34,521
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|
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(1,852
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)
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15,520
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|
|
10,601
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|
||||
Income tax provision (benefit)
|
2,239
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|
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—
|
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|
2,239
|
|
|
—
|
|
||||
Net income (loss)
|
$
|
32,282
|
|
|
$
|
(1,852
|
)
|
|
$
|
13,281
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|
|
$
|
10,601
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|
|
|
|
|
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||||||||
Net income (loss) per Common Share — Basic
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$
|
0.77
|
|
|
$
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(0.05
|
)
|
|
$
|
0.31
|
|
|
$
|
0.24
|
|
Net income (loss) per Common Share — Diluted
|
$
|
0.77
|
|
|
$
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(0.05
|
)
|
|
$
|
0.31
|
|
|
$
|
0.24
|
|
Dividends Declared per Share of Common Stock
|
$
|
0.31
|
|
|
$
|
0.60
|
|
|
$
|
1.07
|
|
|
$
|
1.91
|
|
|
Common Stock
|
|
Additional Paid-In Capital
|
|
Retained
Earnings
(Accumulated) Deficit
|
|
|
|||||||||||
|
Shares
|
|
Par
|
|
|
|
Total
|
|||||||||||
Balance at December 31, 2014
|
41,719,801
|
|
|
$
|
417
|
|
|
$
|
760,925
|
|
|
$
|
(138,130
|
)
|
|
$
|
623,212
|
|
Grants of restricted stock
|
200,000
|
|
|
2
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
||||
Vesting of restricted stock
|
—
|
|
|
—
|
|
|
2,301
|
|
|
—
|
|
|
2,301
|
|
||||
Net loss
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,484
|
)
|
|
(9,484
|
)
|
||||
Dividends declared on common stock
|
—
|
|
|
—
|
|
|
59
|
|
|
(104,440
|
)
|
|
(104,381
|
)
|
||||
Balance at December 31, 2015
|
41,919,801
|
|
|
$
|
419
|
|
|
$
|
763,283
|
|
|
$
|
(252,054
|
)
|
|
$
|
511,648
|
|
Vesting of restricted stock
|
—
|
|
|
—
|
|
|
1,351
|
|
|
—
|
|
|
1,351
|
|
||||
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
13,281
|
|
|
13,281
|
|
||||
Dividends declared on common stock
|
—
|
|
|
—
|
|
|
44
|
|
|
(44,899
|
)
|
|
(44,855
|
)
|
||||
Balance at September 30, 2016 (unaudited)
|
41,919,801
|
|
|
$
|
419
|
|
|
$
|
764,678
|
|
|
$
|
(283,672
|
)
|
|
$
|
481,425
|
|
|
For the nine months ended September 30, 2016
|
|
For the nine months ended September 30, 2015
|
||||
Cash flows from operating activities:
|
|
|
|
|
|
||
Net income
|
$
|
13,281
|
|
|
$
|
10,601
|
|
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
|
|
|
|
|
|
||
Premium amortization and (discount accretion) on investments, net
|
2,355
|
|
|
5,645
|
|
||
Interest income earned added to principal of securities
|
(300
|
)
|
|
(141
|
)
|
||
Amortization of deferred financing costs
|
135
|
|
|
295
|
|
||
Restricted stock amortization
|
1,351
|
|
|
1,969
|
|
||
Premium amortization for MAC interest rate swaps
|
(492
|
)
|
|
(1,075
|
)
|
||
Interest payments and basis recovered on MAC interest rate swaps
|
491
|
|
|
1,443
|
|
||
Premium on purchase of Residential Whole-Loans
|
(573
|
)
|
|
(2,390
|
)
|
||
Unrealized (gain) loss, net
|
(47,571
|
)
|
|
(10,284
|
)
|
||
Mark-to-market adjustments on derivative instruments
|
46,073
|
|
|
82,952
|
|
||
Other than temporary impairment
|
22,131
|
|
|
14,884
|
|
||
Realized (gain) loss on sale of securities, net
|
4,968
|
|
|
(9,267
|
)
|
||
Realized (gain) loss on derivatives, net
|
(40,263
|
)
|
|
14,558
|
|
||
(Gain) loss on foreign currency transactions, net
|
905
|
|
|
(1,664
|
)
|
||
Changes in operating assets and liabilities:
|
|
|
|
|
|
||
(Increase) decrease in accrued interest receivable
|
(2,664
|
)
|
|
5,894
|
|
||
Increase in other assets
|
(374
|
)
|
|
(279
|
)
|
||
Increase (decrease) in accrued interest payable
|
(2,120
|
)
|
|
4,146
|
|
||
Increase in accounts payable and accrued expenses
|
911
|
|
|
468
|
|
||
Increase (decrease) in payable to related party
|
(305
|
)
|
|
92
|
|
||
Net cash (used in) provided by operating activities
|
(2,061
|
)
|
|
117,847
|
|
||
Cash flows from investing activities:
|
|
|
|
|
|
||
Purchase of securities
|
(1,450,137
|
)
|
|
(570,441
|
)
|
||
Proceeds from sale of securities
|
1,295,969
|
|
|
2,087,678
|
|
||
Principal payments and basis recovered on securities
|
252,076
|
|
|
315,106
|
|
||
Purchase of Residential Whole-Loans
|
(28,825
|
)
|
|
(147,336
|
)
|
||
Principal payments on Residential Whole-Loans
|
39,597
|
|
|
9,077
|
|
||
Purchase of Commercial Whole-Loans
|
—
|
|
|
(8,750
|
)
|
||
Principal payments on Commercial Whole-Loans
|
—
|
|
|
8,750
|
|
||
Payment of premium for option derivatives
|
(17,951
|
)
|
|
(10,864
|
)
|
||
Premium received from option derivatives
|
22,707
|
|
|
11,548
|
|
||
Net settlements of TBAs
|
12,166
|
|
|
466
|
|
||
Net payments on termination of futures
|
19,253
|
|
|
(627
|
)
|
||
Proceeds from sale of interest rate swaptions
|
2,075
|
|
|
27,899
|
|
||
Premium for MAC interest rate swaps
|
465
|
|
|
(3,595
|
)
|
||
Payments on termination of MAC interest rate swaps
|
—
|
|
|
(190
|
)
|
||
Interest payments and basis recovered on MAC interest rate swaps
|
(491
|
)
|
|
(1,041
|
)
|
||
Due from counterparties
|
(9,719
|
)
|
|
—
|
|
||
Payment on termination of foreign currency swaps
|
5,351
|
|
|
—
|
|
||
Payments on total return swaps
|
17
|
|
|
—
|
|
||
Proceeds from (payments made) on reverse repurchase agreements, net
|
—
|
|
|
(758,467
|
)
|
||
Premium for interest rate swaptions, net
|
—
|
|
|
(34,751
|
)
|
||
Net cash provided by investing activities
|
142,553
|
|
|
924,462
|
|
||
|
|
|
|
||||
Cash flows from financing activities:
|
|
|
|
|
|
|
For the nine months ended September 30, 2016
|
|
For the nine months ended September 30, 2015
|
||||
Proceeds from repurchase agreement borrowings
|
10,675,773
|
|
|
13,645,855
|
|
||
Repayments of repurchase agreement borrowings
|
(10,738,416
|
)
|
|
(14,541,717
|
)
|
||
Proceeds from (repayment of) cash overdraft
|
(300
|
)
|
|
—
|
|
||
Proceeds from forward contracts
|
82,020
|
|
|
206,240
|
|
||
Repayments of forward contracts
|
(82,110
|
)
|
|
(207,220
|
)
|
||
Payments on termination of MAC interest rate swaps
|
—
|
|
|
(18,655
|
)
|
||
Interest payments and basis recovered on MAC interest rate swaps containing an other-than-insignificant financing element
|
—
|
|
|
(402
|
)
|
||
Payments made for deferred financing costs
|
(58
|
)
|
|
(463
|
)
|
||
Due from counterparties, net
|
(11,116
|
)
|
|
(51,768
|
)
|
||
Due to counterparties, net
|
(3,903
|
)
|
|
2,251
|
|
||
Dividends paid on common stock
|
(56,173
|
)
|
|
(84,119
|
)
|
||
Net cash used in financing activities
|
(134,283
|
)
|
|
(1,049,998
|
)
|
||
|
|
|
|
||||
Effect of exchange rate changes on cash and cash equivalents
|
45
|
|
|
170
|
|
||
|
|
|
|
||||
Net increase (decrease) in cash and cash equivalents
|
6,254
|
|
|
(7,519
|
)
|
||
Cash and cash equivalents beginning of period
|
24,711
|
|
|
47,222
|
|
||
Cash and cash equivalents end of period
|
$
|
30,965
|
|
|
$
|
39,703
|
|
|
|
|
|
||||
Supplemental disclosure of operating cash flow information:
|
|
|
|
|
|
||
Interest paid
|
$
|
22,850
|
|
|
$
|
20,363
|
|
Income taxes paid
|
$
|
1,567
|
|
|
$
|
—
|
|
Supplemental disclosure of non-cash financing/investing activities:
|
|
|
|
|
|
||
Securities sold, not settled
|
$
|
8,893
|
|
|
$
|
—
|
|
Obligation to return collateral used to settle short sales
|
$
|
—
|
|
|
$
|
(757,353
|
)
|
Net unsettled TBAs
|
$
|
—
|
|
|
$
|
(8
|
)
|
Dividends and distributions declared, not paid
|
$
|
12,995
|
|
|
$
|
25,152
|
|
Principal payments of Residential Whole-Loans, not settled
|
$
|
3,230
|
|
|
$
|
—
|
|
|
September 30, 2016
|
||||||||||||||
|
Fair Value
|
||||||||||||||
|
Level I
|
|
Level II
|
|
Level III
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
20-Year mortgage
|
$
|
—
|
|
|
$
|
544,483
|
|
|
$
|
—
|
|
|
$
|
544,483
|
|
30-Year mortgage
|
—
|
|
|
1,253,640
|
|
|
—
|
|
|
1,253,640
|
|
||||
Agency RMBS Interest-Only Strips
|
—
|
|
|
28,007
|
|
|
—
|
|
|
28,007
|
|
||||
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
|
—
|
|
|
25,438
|
|
|
—
|
|
|
25,438
|
|
||||
Agency CMBS
|
—
|
|
|
4,283
|
|
|
—
|
|
|
4,283
|
|
||||
Agency CMBS Interest-Only Strips
|
—
|
|
|
605
|
|
|
—
|
|
|
605
|
|
||||
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
|
—
|
|
|
8,850
|
|
|
—
|
|
|
8,850
|
|
||||
Subtotal Agency MBS
|
—
|
|
|
1,865,306
|
|
|
—
|
|
|
1,865,306
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Non-Agency RMBS
|
—
|
|
|
234,885
|
|
|
74,610
|
|
|
309,495
|
|
||||
Non-Agency RMBS Interest-Only Strips
|
—
|
|
|
—
|
|
|
81,477
|
|
|
81,477
|
|
||||
Non-Agency Interest-Only Strips accounted for as derivatives, included in MBS
|
—
|
|
|
—
|
|
|
4,170
|
|
|
4,170
|
|
||||
Non-Agency CMBS
|
—
|
|
|
351,726
|
|
|
17,172
|
|
|
368,898
|
|
||||
Subtotal Non-Agency MBS
|
—
|
|
|
586,611
|
|
|
177,429
|
|
|
764,040
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Other securities
|
—
|
|
|
32,962
|
|
|
30,364
|
|
|
63,326
|
|
||||
Total mortgage-backed securities and other securities
|
—
|
|
|
2,484,879
|
|
|
207,793
|
|
|
2,692,672
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Residential Whole-Loans
|
—
|
|
|
—
|
|
|
204,882
|
|
|
204,882
|
|
||||
Securitized commercial loan
|
—
|
|
|
—
|
|
|
24,138
|
|
|
24,138
|
|
||||
Derivative assets
|
69
|
|
|
127,793
|
|
|
—
|
|
|
127,862
|
|
||||
Total
|
$
|
69
|
|
|
$
|
2,612,672
|
|
|
$
|
436,813
|
|
|
$
|
3,049,554
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||
Derivative liabilities
|
$
|
—
|
|
|
$
|
328,628
|
|
|
$
|
2,171
|
|
|
$
|
330,799
|
|
Securitized debt
|
—
|
|
|
—
|
|
|
10,621
|
|
|
10,621
|
|
||||
Total
|
$
|
—
|
|
|
$
|
328,628
|
|
|
$
|
12,792
|
|
|
$
|
341,420
|
|
|
December 31, 2015
|
||||||||||||||
|
Fair Value
|
||||||||||||||
|
Level I
|
|
Level II
|
|
Level III
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
20-Year mortgage
|
$
|
—
|
|
|
$
|
687,272
|
|
|
$
|
—
|
|
|
$
|
687,272
|
|
30-Year mortgage
|
—
|
|
|
926,459
|
|
|
—
|
|
|
926,459
|
|
||||
Agency RMBS Interest-Only Strips
|
—
|
|
|
71,954
|
|
|
—
|
|
|
71,954
|
|
||||
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
|
—
|
|
|
45,362
|
|
|
—
|
|
|
45,362
|
|
||||
Agency CMBS
|
—
|
|
|
—
|
|
|
24,690
|
|
|
24,690
|
|
||||
Agency CMBS Interest-Only Strips
|
—
|
|
|
2,113
|
|
|
—
|
|
|
2,113
|
|
||||
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
|
—
|
|
|
11,069
|
|
|
—
|
|
|
11,069
|
|
||||
Subtotal Agency MBS
|
—
|
|
|
1,744,229
|
|
|
24,690
|
|
|
1,768,919
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Non-Agency RMBS
|
—
|
|
|
278,885
|
|
|
166,564
|
|
|
445,449
|
|
||||
Non-Agency RMBS Interest-Only Strips
|
—
|
|
|
—
|
|
|
81,189
|
|
|
81,189
|
|
||||
Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
|
—
|
|
|
—
|
|
|
3,556
|
|
|
3,556
|
|
||||
Non-Agency CMBS
|
—
|
|
|
332,574
|
|
|
118,341
|
|
|
450,915
|
|
||||
Subtotal Non-Agency MBS
|
—
|
|
|
611,459
|
|
|
369,650
|
|
|
981,109
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Other securities
|
—
|
|
|
29,103
|
|
|
71,996
|
|
|
101,099
|
|
||||
Total mortgage-backed securities and other securities
|
—
|
|
|
2,384,791
|
|
|
466,336
|
|
|
2,851,127
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Residential Whole-Loans
|
—
|
|
|
—
|
|
|
218,538
|
|
|
218,538
|
|
||||
Securitized commercial loan
|
—
|
|
|
—
|
|
|
25,000
|
|
|
25,000
|
|
||||
Derivative assets
|
63
|
|
|
21,852
|
|
|
—
|
|
|
21,915
|
|
||||
Total
|
$
|
63
|
|
|
$
|
2,406,643
|
|
|
$
|
709,874
|
|
|
$
|
3,116,580
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||
Derivative liabilities
|
$
|
698
|
|
|
$
|
179,479
|
|
|
$
|
—
|
|
|
$
|
180,177
|
|
Securitized debt
|
—
|
|
|
—
|
|
|
11,000
|
|
|
11,000
|
|
||||
Total
|
$
|
698
|
|
|
$
|
179,479
|
|
|
$
|
11,000
|
|
|
$
|
191,177
|
|
|
Three months ended September 30, 2016
|
|
Nine months ended September 30, 2016
|
||||||||||||||||||||
$ in thousands
|
Mortgage-
backed
securities and
other
securities
|
|
Residential
Whole-Loans
|
|
Securitized
commercial
loan
|
|
Mortgage-
backed
securities and
other
securities
|
|
Residential
Whole-Loans
|
|
Securitized
commercial
loan
|
||||||||||||
Beginning balance
|
$
|
226,826
|
|
|
$
|
189,696
|
|
|
$
|
23,688
|
|
|
$
|
466,336
|
|
|
$
|
218,538
|
|
|
$
|
25,000
|
|
Transfers into Level III from Level II
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Transfers from Level III into Level II
|
—
|
|
|
—
|
|
|
—
|
|
|
(158,567
|
)
|
|
—
|
|
|
—
|
|
||||||
Purchases
|
—
|
|
|
29,404
|
|
|
—
|
|
|
94
|
|
|
29,404
|
|
|
—
|
|
||||||
Sales and settlements
|
(9,194
|
)
|
|
—
|
|
|
—
|
|
|
(78,104
|
)
|
|
—
|
|
|
—
|
|
||||||
Principal repayments
|
(4,366
|
)
|
|
(14,493
|
)
|
|
—
|
|
|
(15,452
|
)
|
|
(42,828
|
)
|
|
—
|
|
||||||
Total net gains / (losses) included in net income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Realized gains/(losses), net
|
(1,696
|
)
|
|
—
|
|
|
—
|
|
|
(8,131
|
)
|
|
—
|
|
|
—
|
|
||||||
Other than temporary impairment
|
(251
|
)
|
|
—
|
|
|
—
|
|
|
(5,306
|
)
|
|
—
|
|
|
—
|
|
||||||
Unrealized gains/(losses), net(1)
|
(996
|
)
|
|
819
|
|
|
450
|
|
|
14,862
|
|
|
1,403
|
|
|
(862
|
)
|
||||||
Premium and discount amortization, net
|
(2,530
|
)
|
|
(544
|
)
|
|
—
|
|
|
(7,939
|
)
|
|
(1,635
|
)
|
|
—
|
|
||||||
Ending balance
|
$
|
207,793
|
|
|
$
|
204,882
|
|
|
$
|
24,138
|
|
|
$
|
207,793
|
|
|
$
|
204,882
|
|
|
$
|
24,138
|
|
|
(1)
|
For Mortgage-backed securities and other securities, Residential Whole-Loans and Securitized commercial loans classified as Level III at
September 30, 2016
, the Company recorded gross unrealized gains of approximately
$3.0 million
,
$1.4 million
and
$450 thousand
, respectively, and gross unrealized losses of approximately
$4.2 million
,
$350 thousand
and
$0
, respectively, for the three months ended
September 30, 2016
. For Mortgage-backed securities and other securities, Residential Whole-Loans and Securitized commercial loans classified as Level III at
September 30, 2016
, the Company recorded gross unrealized gains of approximately
$20.3 million
,
$2.2 million
and
$0
, respectively, and gross unrealized losses of approximately
$2.2 million
,
$271 thousand
and
$862 thousand
, respectively, for the
nine
months ended
September 30, 2016
. These gains and losses are included in Unrealized gain (loss), net on the Consolidated Statements of Operations.
|
|
Three months ended September 30, 2016
|
|
Nine months ended September 30, 2016
|
||||||||||||
$ in thousands
|
Derivative Liability
|
|
Securitized debt
|
|
Derivative Liability
|
|
Securitized debt
|
||||||||
Beginning balance
|
$
|
2,160
|
|
|
10,423
|
|
|
$
|
—
|
|
|
$
|
11,000
|
|
|
Transfers into Level III from Level II
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Transfers from Level III into Level II
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Purchases
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Sales and settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Principal repayments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total net gains / (losses) included in net income
|
|
|
|
|
|
|
|
|
|
|
|
||||
Realized gains/(losses), net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Other than temporary impairment
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Unrealized (gains)/losses, net(1)
|
11
|
|
|
198
|
|
|
2,171
|
|
|
(379
|
)
|
||||
Premium and discount amortization, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Ending balance
|
$
|
2,171
|
|
|
$
|
10,621
|
|
|
$
|
2,171
|
|
|
$
|
10,621
|
|
|
(1)
|
For Derivative liability and Securitized debt classified as Level III at
September 30, 2016
, the Company recorded gross unrealized gains of
$11 thousand
and
$198 thousand
, respectively, and gross unrealized losses of
$0
and
$0
, respectively, for the three months ended
September 30, 2016
. For Derivative liability and Securitized debt classified as Level III at
September 30, 2016
, the Company recorded gross unrealized gains of
$2.2 million
and
$0
, respectively, and gross unrealized losses of
$0
and
$379 thousand
, respectively, for the
nine
months ended
September 30, 2016
. These gains and losses are included in Gain (loss) on derivative instruments, net and Unrealized gain (loss), net in the Consolidated Statements of Operations, respectively.
|
|
Three months ended September 30, 2015
|
||||||||||
$ in thousands
|
Mortgage-backed
securities and
other securities
|
|
Residential
Whole-Loans
|
|
Commercial
Whole-Loan
|
||||||
Beginning balance
|
$
|
452,387
|
|
|
$
|
22,184
|
|
|
$
|
8,743
|
|
Fair value of securities previously accounted for as linked transactions(1)
|
—
|
|
|
—
|
|
|
—
|
|
|||
Fair value of financial instruments previously accounted for as linked transactions(1)
|
—
|
|
|
—
|
|
|
—
|
|
|||
Transfers into Level III from Level II
|
—
|
|
|
—
|
|
|
—
|
|
|||
Transfers from Level III into Level II
|
—
|
|
|
—
|
|
|
—
|
|
|||
Purchases
|
34,568
|
|
|
129,026
|
|
|
—
|
|
|||
Sales and settlements
|
(14,149
|
)
|
|
—
|
|
|
—
|
|
|||
Principal repayments
|
(4,259
|
)
|
|
(3,192
|
)
|
|
(8,750
|
)
|
|||
Total net gains / (losses) included in net income
|
|
|
|
|
|
|
|
|
|||
Realized gains/(losses), net
|
(113
|
)
|
|
—
|
|
|
—
|
|
|||
Other than temporary impairment
|
(2,616
|
)
|
|
—
|
|
|
—
|
|
|||
Unrealized gains/(losses), net(2)
|
(138
|
)
|
|
2,786
|
|
|
7
|
|
|||
Premium and discount amortization, net
|
(1,418
|
)
|
|
(318
|
)
|
|
—
|
|
|||
Ending balance
|
$
|
464,262
|
|
|
$
|
150,486
|
|
|
$
|
—
|
|
|
(1)
|
Resulting from the implementation of guidance issued by the FASB which eliminated the requirement to account for certain financial instruments as linked transactions.
|
(2)
|
For Mortgage-backed securities and other securities, Residential Whole-Loans and Commercial Whole-Loan classified as Level III at
September 30, 2015
, the Company recorded gross unrealized gains of approximately
$5.2 million
,
$2.8 million
and
$0
, respectively, and gross unrealized losses of approximately
$5.3 million
,
$11 thousand
and
$0
, respectively, for the
three months ended September 30, 2015
. These gains and losses are included in Unrealized gain (loss), net in the Consolidated Statements of Operations.
|
|
Nine months ended September 30, 2015
|
||||||||||||||
$ in thousands
|
Mortgage-backed
securities and
other securities
|
|
Residential
Whole-Loans
|
|
Commercial
Whole-Loan
|
|
Linked
Transactions
|
||||||||
Beginning balance
|
$
|
291,407
|
|
|
$
|
7,220
|
|
|
$
|
—
|
|
|
$
|
20,627
|
|
Fair value of securities previously accounted for as linked transactions(1)
|
52,484
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Fair value of financial instruments previously accounted for as linked transactions(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(20,627
|
)
|
||||
Transfers into Level III from Level II
|
37,499
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Transfers from Level III into Level II
|
(3,996
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Purchases
|
190,893
|
|
|
145,562
|
|
|
—
|
|
|
—
|
|
||||
Sales and settlements
|
(86,396
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Principal repayments
|
(8,968
|
)
|
|
(4,983
|
)
|
|
—
|
|
|
—
|
|
||||
Total net gains / (losses) included in net income
|
|
|
|
|
|
|
|
|
|
|
|
||||
Realized gains/(losses), net
|
4,348
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Other than temporary impairment
|
(5,357
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Unrealized gains/(losses), net(2)
|
(965
|
)
|
|
3,100
|
|
|
—
|
|
|
—
|
|
||||
Premium and discount amortization, net
|
(6,687
|
)
|
|
(413
|
)
|
|
—
|
|
|
—
|
|
||||
Ending balance
|
464,262
|
|
|
150,486
|
|
|
—
|
|
|
—
|
|
|
(1)
|
Resulting from the implementation of guidance issued by the FASB which eliminated the requirement to account for certain financial instruments as linked transactions.
|
(2)
|
For Mortgage-backed securities and other securities, Residential Whole-Loans and Commercial Whole-Loan classified as Level III at
September 30, 2015
, the Company recorded for the
nine
months ended gross unrealized gains of approximately
$9.6 million
,
$3.2 million
and
$0
, respectively, and gross unrealized losses of approximately
$9.7 million
,
$7 thousand
and
$0
, respectively, for the
nine
months ended
September 30, 2015
. These gains and losses are included in Unrealized gain (loss), net in the Consolidated Statements of Operations.
|
|
September 30, 2016
|
|
|||||||||||||||||||||||||||||
|
Principal
Balance
|
|
Unamortized
Premium
(Discount),
net
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Amortized
Cost
|
|
Unrealized
Gain
|
|
Unrealized
Loss
|
|
Estimated
Fair Value
|
|
Net
Weighted
Average
Coupon (1)
|
|
|||||||||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
20-Year mortgage
|
$
|
503,023
|
|
|
$
|
26,175
|
|
|
$
|
—
|
|
|
$
|
529,198
|
|
|
$
|
15,285
|
|
|
$
|
—
|
|
|
$
|
544,483
|
|
|
3.9
|
%
|
|
30-Year mortgage
|
1,153,269
|
|
|
76,897
|
|
|
—
|
|
|
1,230,166
|
|
|
23,841
|
|
|
(367
|
)
|
|
1,253,640
|
|
|
3.9
|
%
|
|
|||||||
Agency RMBS Interest-Only Strips (2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
27,188
|
|
|
1,258
|
|
|
(439
|
)
|
|
28,007
|
|
|
3.0
|
%
|
(2)
|
|||||||
Agency RMBS Interest-Only Strips, accounted for as derivatives (2) (3)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
25,438
|
|
|
3.4
|
%
|
(2)
|
|||||||
Agency CMBS
|
4,553
|
|
|
—
|
|
|
—
|
|
|
4,553
|
|
|
—
|
|
|
(270
|
)
|
|
4,283
|
|
|
4.5
|
%
|
|
|||||||
Agency CMBS Interest-Only Strips(2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
557
|
|
|
48
|
|
|
—
|
|
|
605
|
|
|
4.6
|
%
|
(2)
|
|||||||
Agency CMBS Interest-Only Strips accounted for as derivatives(2) (3)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
8,850
|
|
|
0.6
|
%
|
(2)
|
|||||||
Subtotal Agency MBS
|
1,660,845
|
|
|
103,072
|
|
|
—
|
|
|
1,791,662
|
|
|
40,432
|
|
|
(1,076
|
)
|
|
1,865,306
|
|
|
3.4
|
%
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Non-Agency RMBS
|
422,498
|
|
|
(15,476
|
)
|
|
(112,801
|
)
|
|
294,221
|
|
|
17,555
|
|
|
(2,281
|
)
|
|
309,495
|
|
|
4.0
|
%
|
|
|||||||
Non-Agency RMBS Interest- Only Strips (2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
59,025
|
|
|
22,452
|
|
|
—
|
|
|
81,477
|
|
|
5.8
|
%
|
(2)
|
|||||||
Non-Agency RMBS Interest-Only Strips, accounted for as derivatives (2) (3)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
4,170
|
|
|
4.8
|
%
|
(2)
|
|||||||
Non-Agency CMBS
|
479,405
|
|
|
(69,557
|
)
|
|
(15,854
|
)
|
|
393,994
|
|
|
4,780
|
|
|
(29,876
|
)
|
|
368,898
|
|
|
5.0
|
%
|
|
|||||||
Subtotal Non-Agency MBS
|
901,903
|
|
|
(85,033
|
)
|
|
(128,655
|
)
|
|
747,240
|
|
|
44,787
|
|
|
(32,157
|
)
|
|
764,040
|
|
|
4.8
|
%
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Other securities (4)
|
42,384
|
|
|
(404
|
)
|
|
—
|
|
|
64,384
|
|
|
898
|
|
|
(1,956
|
)
|
|
63,326
|
|
|
7.7
|
%
|
|
|||||||
Total
|
$
|
2,605,132
|
|
|
$
|
17,635
|
|
|
$
|
(128,655
|
)
|
|
$
|
2,603,286
|
|
|
$
|
86,117
|
|
|
$
|
(35,189
|
)
|
|
$
|
2,692,672
|
|
|
3.9
|
%
|
|
|
December 31, 2015
|
|
|||||||||||||||||||||||||||||
|
Principal
Balance
|
|
Unamortized
Premium
(Discount),
net
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Amortized
Cost
|
|
Unrealized
Gain
|
|
Unrealized
Loss
|
|
Estimated
Fair Value
|
|
Net
Weighted
Average
Coupon (1)
|
|
|||||||||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
20-Year mortgage
|
$
|
645,313
|
|
|
$
|
35,216
|
|
|
$
|
—
|
|
|
$
|
680,529
|
|
|
$
|
8,562
|
|
|
$
|
(1,819
|
)
|
|
$
|
687,272
|
|
|
3.9
|
%
|
|
30-Year mortgage
|
856,014
|
|
|
71,342
|
|
|
—
|
|
|
927,356
|
|
|
10,827
|
|
|
(11,724
|
)
|
|
926,459
|
|
|
4.2
|
%
|
|
|||||||
Agency RMBS Interest-Only Strips (2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
71,632
|
|
|
2,499
|
|
|
(2,177
|
)
|
|
71,954
|
|
|
3.1
|
%
|
(2)
|
|||||||
Agency RMBS Interest-Only Strips, accounted for as derivatives (2) (3)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
45,362
|
|
|
3.6
|
%
|
(2)
|
|||||||
Agency CMBS
|
24,450
|
|
|
—
|
|
|
—
|
|
|
24,450
|
|
|
240
|
|
|
—
|
|
|
24,690
|
|
|
5.2
|
%
|
|
|||||||
Agency CMBS Interest-Only Strips(2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
1,915
|
|
|
198
|
|
|
—
|
|
|
2,113
|
|
|
4.7
|
%
|
(2)
|
|||||||
Agency CMBS Interest-Only Strips accounted for as derivatives(2) (3)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
11,069
|
|
|
0.7
|
%
|
(2)
|
|||||||
Subtotal Agency MBS
|
1,525,777
|
|
|
106,558
|
|
|
—
|
|
|
1,705,882
|
|
|
22,326
|
|
|
(15,720
|
)
|
|
1,768,919
|
|
|
3.5
|
%
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Non-Agency RMBS
|
601,233
|
|
|
(16,669
|
)
|
|
(141,014
|
)
|
|
443,550
|
|
|
9,345
|
|
|
(7,446
|
)
|
|
445,449
|
|
|
3.7
|
%
|
|
|||||||
Non-Agency RMBS Interest- Only Strips (2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
66,600
|
|
|
14,589
|
|
|
—
|
|
|
81,189
|
|
|
5.9
|
%
|
(2)
|
|||||||
Non-Agency RMBS Interest-Only Strips, accounted for as derivatives (2) (3)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
3,556
|
|
|
5.0
|
%
|
(2)
|
|||||||
Non-Agency CMBS
|
550,901
|
|
|
(73,835
|
)
|
|
(9,017
|
)
|
|
468,049
|
|
|
4,049
|
|
|
(21,183
|
)
|
|
450,915
|
|
|
5.0
|
%
|
|
|||||||
Subtotal Non-Agency MBS
|
1,152,134
|
|
|
(90,504
|
)
|
|
(150,031
|
)
|
|
978,199
|
|
|
27,983
|
|
|
(28,629
|
)
|
|
981,109
|
|
|
4.7
|
%
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Other securities (4)
|
81,518
|
|
|
1,135
|
|
|
(2,719
|
)
|
|
102,778
|
|
|
1,233
|
|
|
(2,912
|
)
|
|
101,099
|
|
|
4.8
|
%
|
|
|||||||
Total
|
$
|
2,759,429
|
|
|
$
|
17,189
|
|
|
$
|
(152,750
|
)
|
|
$
|
2,786,859
|
|
|
$
|
51,542
|
|
|
$
|
(47,261
|
)
|
|
$
|
2,851,127
|
|
|
3.9
|
%
|
|
|
(1)
|
Net weighted average coupon as of
September 30, 2016
and
December 31, 2015
is presented, net of servicing and other fees.
|
(2)
|
Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency and Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, and Agency CMBS IOs and IIOs, accounted for as derivatives have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At
September 30, 2016
, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was
$270.4 million
,
$289.9 million
,
$287.8 million
$21.6 million
,
$227.3 million
and
$36.5 million
, respectively. At
December 31, 2015
, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was
$593.4 million
,
$321.0 million
,
$384.1 million
,
$24.9 million
,
$246.6 million
and
$43.2 million
, respectively.
|
(3)
|
Interest on these securities is reported as a component of Gain (loss) on derivative instruments, net in the Consolidated Statements of Operations.
|
(4)
|
Other securities include residual interests in asset-backed securities which have
no
principal balance and an amortized cost of approximately
$22.4 million
and
$22.8 million
, as of
September 30, 2016
and
December 31, 2015
, respectively.
|
|
Three months ended September 30, 2016
|
|
Nine months ended September 30, 2016
|
||||||||||||||||||||
|
Discount Designated as
Credit Reserve and
OTTI
|
|
Accretable Discount(1)
|
|
Amortizable Premium(1)
|
|
Discount Designated as
Credit Reserve and
OTTI
|
|
Accretable Discount(1)
|
|
Amortizable Premium(1)
|
||||||||||||
Balance at beginning of period
|
$
|
(129,162
|
)
|
|
$
|
(139,675
|
)
|
|
$
|
43,402
|
|
|
$
|
(152,750
|
)
|
|
$
|
(145,532
|
)
|
|
$
|
56,163
|
|
Accretion of discount
|
—
|
|
|
4,151
|
|
|
—
|
|
|
—
|
|
|
13,381
|
|
|
—
|
|
||||||
Amortization of premium
|
—
|
|
|
—
|
|
|
(1,132
|
)
|
|
—
|
|
|
—
|
|
|
(4,242
|
)
|
||||||
Realized credit losses
|
2,623
|
|
|
—
|
|
|
—
|
|
|
5,765
|
|
|
—
|
|
|
—
|
|
||||||
Purchases
|
(1,216
|
)
|
|
—
|
|
|
2,246
|
|
|
(15,482
|
)
|
|
(2,265
|
)
|
|
4,366
|
|
||||||
Sales
|
1,947
|
|
|
8,573
|
|
|
(1,323
|
)
|
|
33,610
|
|
|
22,986
|
|
|
(11,752
|
)
|
||||||
Net impairment losses recognized in earnings
|
(4,526
|
)
|
|
—
|
|
|
—
|
|
|
(18,340
|
)
|
|
—
|
|
|
—
|
|
||||||
Transfers/release of credit reserve(2)
|
1,679
|
|
|
(254
|
)
|
|
(1,425
|
)
|
|
18,542
|
|
|
(15,775
|
)
|
|
(2,767
|
)
|
||||||
Balance at end of period
|
$
|
(128,655
|
)
|
|
$
|
(127,205
|
)
|
|
$
|
41,768
|
|
|
$
|
(128,655
|
)
|
|
$
|
(127,205
|
)
|
|
$
|
41,768
|
|
|
(1)
|
Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security.
|
(2)
|
Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium.
|
|
Three months ended September 30, 2015
|
|
Nine months ended September 30, 2015
|
||||||||||||||||||||
|
Discount Designated as
Credit Reserve and
OTTI
|
|
Accretable Discount(1)
|
|
Amortizable Premium(1)
|
|
Discount Designated as
Credit Reserve and
OTTI
|
|
Accretable Discount(1)
|
|
Amortizable Premium(1)
|
||||||||||||
Balance at beginning of period
|
$
|
(164,931
|
)
|
|
$
|
(133,407
|
)
|
|
$
|
86,831
|
|
|
$
|
(182,007
|
)
|
|
$
|
(105,804
|
)
|
|
$
|
82,228
|
|
Securities previously accounted for as linked transactions(3)
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,320
|
)
|
|
(1,393
|
)
|
|
4,587
|
|
||||||
Accretion of discount
|
—
|
|
|
4,328
|
|
|
—
|
|
|
—
|
|
|
13,594
|
|
|
—
|
|
||||||
Amortization of premium
|
—
|
|
|
—
|
|
|
(2,217
|
)
|
|
—
|
|
|
—
|
|
|
(7,096
|
)
|
||||||
Realized credit losses
|
2,002
|
|
|
—
|
|
|
—
|
|
|
6,997
|
|
|
—
|
|
|
—
|
|
||||||
Purchases
|
—
|
|
|
(23,903
|
)
|
|
—
|
|
|
(34,096
|
)
|
|
(87,376
|
)
|
|
6,808
|
|
||||||
Sales
|
6,932
|
|
|
6,608
|
|
|
(4,784
|
)
|
|
60,747
|
|
|
43,783
|
|
|
(15,802
|
)
|
||||||
Net impairment losses recognized in earnings
|
(5,102
|
)
|
|
—
|
|
|
—
|
|
|
(10,493
|
)
|
|
—
|
|
|
—
|
|
||||||
Transfers/release of credit reserve(2)
|
21,808
|
|
|
(7,250
|
)
|
|
(14,558
|
)
|
|
21,881
|
|
|
(16,428
|
)
|
|
(5,453
|
)
|
||||||
Balance at end of period
|
$
|
(139,291
|
)
|
|
$
|
(153,624
|
)
|
|
$
|
65,272
|
|
|
$
|
(139,291
|
)
|
|
$
|
(153,624
|
)
|
|
$
|
65,272
|
|
|
(1)
|
Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security.
|
(2)
|
Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium.
|
(3)
|
Resulting from the implementation of guidance issued by the FASB which eliminated the requirement to account for certain financial instruments as linked transactions.
|
|
September 30, 2016
|
|||||||||||||||||||||||||||||||
|
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
|
|
Number
of
Securities
|
|||||||||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
30-Year mortgage
|
$
|
49,090
|
|
|
$
|
(201
|
)
|
|
4
|
|
|
$
|
25,042
|
|
|
$
|
(166
|
)
|
|
13
|
|
|
$
|
74,132
|
|
|
$
|
(367
|
)
|
|
17
|
|
Agency RMBS Interest-Only Strips
|
13,419
|
|
|
(317
|
)
|
|
10
|
|
|
1,586
|
|
|
(122
|
)
|
|
1
|
|
|
15,005
|
|
|
(439
|
)
|
|
11
|
|
||||||
Agency CMBS
|
4,282
|
|
|
(270
|
)
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,282
|
|
|
(270
|
)
|
|
1
|
|
||||||
Non-Agency RMBS
|
24,630
|
|
|
(674
|
)
|
|
4
|
|
|
56,684
|
|
|
(1,607
|
)
|
|
12
|
|
|
81,314
|
|
|
(2,281
|
)
|
|
16
|
|
||||||
Non-Agency CMBS
|
123,844
|
|
|
(8,928
|
)
|
|
28
|
|
|
166,706
|
|
|
(20,948
|
)
|
|
36
|
|
|
290,550
|
|
|
(29,876
|
)
|
|
64
|
|
||||||
Other securities
|
17,274
|
|
|
(711
|
)
|
|
2
|
|
|
13,090
|
|
|
(1,245
|
)
|
|
1
|
|
|
30,364
|
|
|
(1,956
|
)
|
|
3
|
|
||||||
Total
|
$
|
232,539
|
|
|
$
|
(11,101
|
)
|
|
49
|
|
|
$
|
263,108
|
|
|
$
|
(24,088
|
)
|
|
63
|
|
|
$
|
495,647
|
|
|
$
|
(35,189
|
)
|
|
112
|
|
|
December 31, 2015
|
|||||||||||||||||||||||||||||||
|
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
|
|
Number
of
Securities
|
|||||||||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
20-Year mortgage
|
$
|
113,919
|
|
|
$
|
(1,229
|
)
|
|
35
|
|
|
$
|
44,470
|
|
|
$
|
(590
|
)
|
|
10
|
|
|
$
|
158,389
|
|
|
$
|
(1,819
|
)
|
|
45
|
|
30-Year mortgage
|
68,890
|
|
|
(1,325
|
)
|
|
17
|
|
|
329,716
|
|
|
(10,399
|
)
|
|
55
|
|
|
398,606
|
|
|
(11,724
|
)
|
|
72
|
|
||||||
Agency RMBS Interest-Only Strips
|
39,091
|
|
|
(2,177
|
)
|
|
18
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
39,091
|
|
|
(2,177
|
)
|
|
18
|
|
||||||
Non-Agency RMBS
|
234,897
|
|
|
(6,928
|
)
|
|
36
|
|
|
19,656
|
|
|
(519
|
)
|
|
5
|
|
|
254,553
|
|
|
(7,447
|
)
|
|
41
|
|
||||||
Non-Agency CMBS
|
298,369
|
|
|
(19,888
|
)
|
|
55
|
|
|
27,755
|
|
|
(1,294
|
)
|
|
7
|
|
|
326,124
|
|
|
(21,182
|
)
|
|
62
|
|
||||||
Other securities
|
59,610
|
|
|
(1,746
|
)
|
|
5
|
|
|
11,334
|
|
|
(1,166
|
)
|
|
1
|
|
|
70,944
|
|
|
(2,912
|
)
|
|
6
|
|
||||||
Total
|
$
|
814,776
|
|
|
$
|
(33,293
|
)
|
|
166
|
|
|
$
|
432,931
|
|
|
$
|
(13,968
|
)
|
|
78
|
|
|
$
|
1,247,707
|
|
|
$
|
(47,261
|
)
|
|
244
|
|
|
For the three months ended September 30, 2016
|
|
For the three months ended September 30, 2015
|
|
For the nine months ended September 30, 2016
|
|
For the nine months ended September 30, 2015
|
||||||||
Agency RMBS
|
$
|
202
|
|
|
$
|
626
|
|
|
$
|
1,226
|
|
|
$
|
3,804
|
|
Non-Agency RMBS
|
852
|
|
|
3,716
|
|
|
8,081
|
|
|
6,746
|
|
||||
Non-Agency CMBS
|
3,674
|
|
|
271
|
|
|
9,213
|
|
|
2,369
|
|
||||
Other securities
|
250
|
|
|
1,304
|
|
|
3,611
|
|
|
1,965
|
|
||||
Total
|
$
|
4,978
|
|
|
$
|
5,917
|
|
|
$
|
22,131
|
|
|
$
|
14,884
|
|
|
For the three months ended September 30, 2016
|
|
For the nine months ended September 30, 2016
|
||||||||||||||||||||
|
Coupon
Interest
|
|
Net (Premium Amortization/Amortization Basis) Discount Amortization
|
|
Interest
Income
|
|
Coupon
Interest
|
|
Net (Premium Amortization/Amortization Basis) Discount Amortization
|
|
Interest
Income
|
||||||||||||
Agency RMBS
|
$
|
16,525
|
|
|
$
|
(6,255
|
)
|
|
$
|
10,270
|
|
|
$
|
50,693
|
|
|
$
|
(22,220
|
)
|
|
$
|
28,473
|
|
Agency CMBS
|
677
|
|
|
(505
|
)
|
|
172
|
|
|
2,194
|
|
|
(1,358
|
)
|
|
836
|
|
||||||
Non-Agency RMBS
|
8,575
|
|
|
(1,172
|
)
|
|
7,403
|
|
|
27,098
|
|
|
(4,106
|
)
|
|
22,992
|
|
||||||
Non-Agency CMBS
|
6,021
|
|
|
1,954
|
|
|
7,975
|
|
|
19,270
|
|
|
5,513
|
|
|
24,783
|
|
||||||
Other securities
|
464
|
|
|
732
|
|
|
1,196
|
|
|
1,656
|
|
|
2,284
|
|
|
3,940
|
|
||||||
Total
|
$
|
32,262
|
|
|
$
|
(5,246
|
)
|
|
$
|
27,016
|
|
|
$
|
100,911
|
|
|
$
|
(19,887
|
)
|
|
$
|
81,024
|
|
|
For the three months ended September 30, 2015
|
|
Nine months ended September 30, 2015
|
||||||||||||||||||||
|
Coupon
Interest
|
|
Net (Premium Amortization/Amortization Basis) Discount Amortization
|
|
Interest
Income
|
|
Coupon
Interest
|
|
Net (Premium Amortization/Amortization Basis) Discount Amortization
|
|
Interest
Income
|
||||||||||||
Agency RMBS
|
$
|
26,511
|
|
|
$
|
(11,582
|
)
|
|
$
|
14,929
|
|
|
$
|
98,000
|
|
|
$
|
(39,494
|
)
|
|
$
|
58,506
|
|
Agency CMBS
|
977
|
|
|
(592
|
)
|
|
385
|
|
|
2,768
|
|
|
(1,686
|
)
|
|
1,082
|
|
||||||
Non-Agency RMBS
|
11,134
|
|
|
(2,294
|
)
|
|
8,840
|
|
|
34,436
|
|
|
(6,602
|
)
|
|
27,834
|
|
||||||
Non-Agency CMBS
|
7,072
|
|
|
603
|
|
|
7,675
|
|
|
19,635
|
|
|
2,222
|
|
|
21,857
|
|
||||||
Other securities
|
1,923
|
|
|
770
|
|
|
2,693
|
|
|
4,729
|
|
|
1,864
|
|
|
6,593
|
|
||||||
Total
|
$
|
47,617
|
|
|
$
|
(13,095
|
)
|
|
$
|
34,522
|
|
|
$
|
159,568
|
|
|
$
|
(43,696
|
)
|
|
$
|
115,872
|
|
|
For the three months ended September 30, 2016
|
|
For the nine months ended September 30, 2016
|
||||||||||||||||||||||||||||
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
||||||||||||||||
Agency RMBS (1)
|
$
|
42,427
|
|
|
$
|
—
|
|
|
$
|
(138
|
)
|
|
$
|
(138
|
)
|
|
$
|
358,029
|
|
|
$
|
5,250
|
|
|
$
|
(5,764
|
)
|
|
$
|
(514
|
)
|
Agency CMBS
|
8,216
|
|
|
45
|
|
|
—
|
|
|
45
|
|
|
18,637
|
|
|
54
|
|
|
(55
|
)
|
|
(1
|
)
|
||||||||
Non-Agency RMBS
|
15,209
|
|
|
1,306
|
|
|
—
|
|
|
1,306
|
|
|
120,649
|
|
|
3,100
|
|
|
(4,559
|
)
|
|
(1,459
|
)
|
||||||||
Non-Agency CMBS
|
9,194
|
|
|
—
|
|
|
(1,452
|
)
|
|
(1,452
|
)
|
|
34,188
|
|
|
—
|
|
|
(4,381
|
)
|
|
(4,381
|
)
|
||||||||
Other securities
|
14,485
|
|
|
1,678
|
|
|
—
|
|
|
1,678
|
|
|
764,711
|
|
|
3,496
|
|
|
(2,109
|
)
|
|
1,387
|
|
||||||||
Total
|
$
|
89,531
|
|
|
$
|
3,029
|
|
|
$
|
(1,590
|
)
|
|
$
|
1,439
|
|
|
$
|
1,296,214
|
|
|
$
|
11,900
|
|
|
$
|
(16,868
|
)
|
|
$
|
(4,968
|
)
|
|
(1)
|
For the nine months ended
September 30, 2016
, excludes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately
$8.6 million
, gross realized gains of
$300 thousand
and gross realized losses of
$455 thousand
. There were no sales of Agency Interest-Only Strips, accounted for as derivatives for the three months ended September 30, 2016.
|
|
For the three months ended September 30, 2015
|
|
For the nine months ended September 30, 2015
|
||||||||||||||||||||||||||||
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
||||||||||||||||
Agency RMBS (1)
|
$
|
416,070
|
|
|
$
|
2,408
|
|
|
$
|
(4,094
|
)
|
|
$
|
(1,686
|
)
|
|
$
|
926,051
|
|
|
$
|
6,243
|
|
|
$
|
(7,671
|
)
|
|
$
|
(1,428
|
)
|
Non-Agency RMBS
|
25,663
|
|
|
1,305
|
|
|
—
|
|
|
1,305
|
|
|
233,257
|
|
|
11,066
|
|
|
(174
|
)
|
|
10,892
|
|
||||||||
Non-Agency CMBS
|
55,637
|
|
|
772
|
|
|
(71
|
)
|
|
701
|
|
|
146,525
|
|
|
2,123
|
|
|
(80
|
)
|
|
2,043
|
|
||||||||
Other securities
|
760,199
|
|
|
59
|
|
|
(2,861
|
)
|
|
(2,802
|
)
|
|
776,564
|
|
|
621
|
|
|
(2,861
|
)
|
|
(2,240
|
)
|
||||||||
Total
|
$
|
1,257,569
|
|
|
$
|
4,544
|
|
|
$
|
(7,026
|
)
|
|
$
|
(2,482
|
)
|
|
$
|
2,082,397
|
|
|
$
|
20,053
|
|
|
$
|
(10,786
|
)
|
|
$
|
9,267
|
|
(1)
|
For the
three and nine
months ended
September 30, 2015
, excludes Agency Interest-Only Strips, accounted for as derivatives of approximately
$5.3 million
and
$5.3 million
, respectively, gross realized gains of
$628 thousand
and
$626 thousand
, respectively, and gross realized losses of
$2 thousand
for both the
three and nine
months ended
September 30, 2015
.
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
Residential Whole-Loans, at fair value
|
$
|
204,882
|
|
|
$
|
218,538
|
|
Securitized commercial loan, at fair value
|
24,138
|
|
|
25,000
|
|
||
Investment related receivable
|
3,230
|
|
|
—
|
|
||
Accrued interest receivable
|
1,745
|
|
|
1,836
|
|
||
Total assets
|
$
|
233,995
|
|
|
$
|
245,374
|
|
Securitized debt
|
$
|
10,621
|
|
|
$
|
11,000
|
|
Accrued interest payable
|
82
|
|
|
85
|
|
||
Accounts payable and accrued expenses
|
2
|
|
|
2
|
|
||
Total liabilities
|
$
|
10,705
|
|
|
$
|
11,087
|
|
|
Residential Whole-Loans
|
|
Securitized Commercial Loan
|
||||||||||||
|
September 30, 2016
|
|
December 31, 2015
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||
Principal balance
|
$
|
198,651
|
|
|
$
|
212,647
|
|
|
$
|
25,000
|
|
|
$
|
25,000
|
|
Unamortized premium
|
1,584
|
|
|
2,410
|
|
|
—
|
|
|
—
|
|
||||
Unamortized discount
|
(403
|
)
|
|
(161
|
)
|
|
—
|
|
|
—
|
|
||||
Gross unrealized gains
|
5,078
|
|
|
3,642
|
|
|
—
|
|
|
—
|
|
||||
Gross unrealized losses
|
(28
|
)
|
|
—
|
|
|
(862
|
)
|
|
—
|
|
||||
Fair value
|
$
|
204,882
|
|
|
$
|
218,538
|
|
|
$
|
24,138
|
|
|
$
|
25,000
|
|
September 30, 2016
|
|||||||||||||||||||
|
|
|
|
|
Weighted Average
|
||||||||||||||
Current Coupon Rate
|
Number of Loans
|
|
Principal
Balance
|
|
Original LTV
|
|
Original
FICO Score(1)
|
|
Expected
Life (years)
|
|
Contractual
Maturity
(years)
|
|
Coupon
Rate
|
||||||
3.01 – 4.00%
|
106
|
|
|
$
|
38,223
|
|
|
56.6
|
%
|
|
735
|
|
|
1.3
|
|
26.6
|
|
4.0
|
%
|
4.01– 5.00%
|
114
|
|
|
45,722
|
|
|
57.7
|
%
|
|
728
|
|
|
1.6
|
|
28.0
|
|
4.7
|
%
|
|
5.01 – 6.00%
|
281
|
|
|
111,610
|
|
|
55.2
|
%
|
|
722
|
|
|
1.5
|
|
27.3
|
|
5.1
|
%
|
|
6.01 – 7.00%
|
5
|
|
|
3,096
|
|
|
71.2
|
%
|
|
738
|
|
|
1.3
|
|
21.3
|
|
6.3
|
%
|
|
Total
|
506
|
|
|
$
|
198,651
|
|
|
56.3
|
%
|
|
726
|
|
|
1.5
|
|
27.3
|
|
4.8
|
%
|
|
(1)
|
The original FICO score is not available for
157
loans with a principal balance of approximately
$68.3 million
at
September 30, 2016
. The Company has excluded those loans from the weighted average computation.
|
December 31, 2015
|
|||||||||||||||||||
|
|
|
|
|
Weighted Average
|
||||||||||||||
Current Coupon Rate
|
Number of Loans
|
|
Principal
Balance
|
|
Original LTV
|
|
Original
FICO Score(1)
|
|
Expected
Life (years)
|
|
Contractual
Maturity
(years)
|
|
Coupon
Rate
|
||||||
3.01 – 4.00%
|
2
|
|
|
$
|
698
|
|
|
35.7
|
%
|
|
766
|
|
|
1.9
|
|
29.4
|
|
3.9
|
%
|
4.01– 5.00%
|
211
|
|
|
79,696
|
|
|
56.6
|
%
|
|
728
|
|
|
1.4
|
|
27.5
|
|
4.5
|
%
|
|
5.01 – 6.00%
|
302
|
|
|
128,204
|
|
|
55.1
|
%
|
|
723
|
|
|
1.6
|
|
27.9
|
|
5.1
|
%
|
|
6.01 – 7.00%
|
9
|
|
|
4,049
|
|
|
71.0
|
%
|
|
723
|
|
|
1.4
|
|
23.4
|
|
6.4
|
%
|
|
Total
|
524
|
|
|
$
|
212,647
|
|
|
55.9
|
%
|
|
725
|
|
|
1.5
|
|
27.6
|
|
4.9
|
%
|
|
(1)
|
The original FICO score is not available for
139
loans with a principal balance of approximately
$58.7 million
at
December 31, 2015
. The Company has excluded those loans from the weighted average computation.
|
|
September 30, 2016
|
|||||
|
State Concentration
|
|
Principal Balance
|
|||
California
|
84.9
|
%
|
|
$
|
168,889
|
|
Washington
|
5.9
|
%
|
|
11,785
|
|
|
Massachusetts
|
5.4
|
%
|
|
10,753
|
|
|
New York
|
2.3
|
%
|
|
4,479
|
|
|
Georgia
|
0.8
|
%
|
|
1,521
|
|
|
Other
|
0.7
|
%
|
|
1,224
|
|
|
Total
|
100.0
|
%
|
|
$
|
198,651
|
|
|
December 31, 2015
|
|||||
|
State Concentration
|
|
Principal Balance
|
|||
California
|
83.1
|
%
|
|
$
|
176,611
|
|
Washington
|
6.8
|
%
|
|
14,442
|
|
|
Massachusetts
|
5.6
|
%
|
|
12,000
|
|
|
New York
|
2.5
|
%
|
|
5,399
|
|
|
Georgia
|
0.9
|
%
|
|
1,813
|
|
|
Other
|
1.1
|
%
|
|
2,382
|
|
|
Total
|
100.0
|
%
|
|
$
|
212,647
|
|
|
|
September 30, 2016
|
|||||||
Securities Pledged
|
|
Repurchase Agreement Borrowings
|
|
Weighted Average Interest Rate on Borrowings Outstanding at end of period
|
|
Weighted Average Remaining Maturity (days)
|
|||
Agency RMBS
|
|
$
|
1,784,448
|
|
|
0.75
|
%
|
|
31
|
Agency CMBS
|
|
10,725
|
|
|
1.66
|
%
|
|
31
|
|
Non-Agency RMBS
|
|
270,060
|
|
|
2.32
|
%
|
|
33
|
|
Non-Agency CMBS
|
|
256,544
|
|
|
2.36
|
%
|
|
33
|
|
Whole-Loans and securitized commercial loan(1)
|
|
173,901
|
|
|
2.78
|
%
|
|
15
|
|
Other securities
|
|
27,858
|
|
|
3.05
|
%
|
|
22
|
|
Borrowings under repurchase agreements
|
|
2,523,536
|
|
|
1.25
|
%
|
|
30
|
|
Less unamortized debt issuance cost
|
|
56
|
|
|
N/A
|
|
|
N/A
|
|
Borrowings under repurchase agreements, net
|
|
$
|
2,523,480
|
|
|
1.25
|
%
|
|
30
|
|
(1)
|
Repurchase agreement borrowings on Whole-Loans and securitized commercial loan owned through trust certificates. The trust certificates are eliminated upon consolidation.
|
|
|
December 31, 2015
|
|||||||
Securities Pledged
|
|
Repurchase Agreement Borrowings
|
|
Weighted Average Interest Rate on Borrowings Outstanding at end of period
|
|
Weighted Average Remaining Maturity (days)
|
|||
Agency RMBS
|
|
$
|
1,601,713
|
|
|
0.66
|
%
|
|
41
|
Agency CMBS
|
|
32,699
|
|
|
1.80
|
%
|
|
21
|
|
Non-Agency RMBS
|
|
380,177
|
|
|
1.91
|
%
|
|
44
|
|
Non-Agency CMBS
|
|
323,670
|
|
|
1.84
|
%
|
|
37
|
|
Whole-Loans and securitized commercial loan(1)
|
|
180,892
|
|
|
2.38
|
%
|
|
26
|
|
Other securities
|
|
66,650
|
|
|
2.33
|
%
|
|
60
|
|
Borrowings under repurchase agreements
|
|
2,585,801
|
|
|
1.17
|
%
|
|
38
|
|
Less unamortized debt issuance cost
|
|
134
|
|
|
N/A
|
|
|
N/A
|
|
Borrowings under repurchase agreements, net
|
|
$
|
2,585,667
|
|
|
1.17
|
%
|
|
38
|
|
(1)
|
Repurchase agreement borrowings on Whole-Loans and securitized commercial loan owned through trust certificates. The trust certificates are eliminated upon consolidation.
|
(dollars in thousands)
|
September 30, 2016(1)
|
|
December 31, 2015(1)
|
||||
Overnight
|
$
|
—
|
|
|
$
|
—
|
|
1 to 29 days
|
1,536,733
|
|
|
1,335,119
|
|
||
30 to 59 days
|
605,881
|
|
|
362,940
|
|
||
60 to 89 days
|
380,922
|
|
|
847,781
|
|
||
90 to 119 days
|
—
|
|
|
—
|
|
||
Greater than or equal to 120 days
|
—
|
|
|
39,961
|
|
||
Total
|
$
|
2,523,536
|
|
|
$
|
2,585,801
|
|
|
|
|
September 30, 2016
|
|||||||
Counterparty
|
|
Amount of Collateral at Risk, at fair value
|
|
Weighted Average Remaining Maturity (days)
|
|
Percentage of Stockholders’ Equity
|
|||
RBC (Barbados) Trading Bank Corporation
|
|
$
|
75,890
|
|
|
42
|
|
15.8
|
%
|
Credit Suisse Securities (USA) LLC
|
|
61,137
|
|
|
22
|
|
12.7
|
%
|
|
September 30, 2016
|
||||||||||
|
Assets Pledged- Fair Value
|
|
Accrued Interest
|
|
Fair Value of Assets Pledged and Accrued Interest
|
||||||
Assets pledged for borrowings under repurchase agreements:
|
|
|
|
|
|
|
|
|
|||
Agency RMBS
|
$
|
1,841,935
|
|
|
$
|
6,593
|
|
|
$
|
1,848,528
|
|
Agency CMBS
|
13,737
|
|
|
259
|
|
|
13,996
|
|
|||
Non-Agency RMBS
|
395,064
|
|
|
722
|
|
|
395,786
|
|
|||
Non-Agency CMBS
|
358,481
|
|
|
2,038
|
|
|
360,519
|
|
|||
Whole-Loans and securitized commercial loan(1)
|
218,399
|
|
|
1,644
|
|
|
220,043
|
|
|||
Other securities
|
50,912
|
|
|
46
|
|
|
50,958
|
|
|||
Cash (2)
|
30,476
|
|
|
—
|
|
|
30,476
|
|
|||
Securitized commercial loan pledged for securitized debt
|
10,621
|
|
|
83
|
|
|
10,704
|
|
|||
Cash collateral for derivatives (2):
|
239,922
|
|
|
—
|
|
|
239,922
|
|
|||
Total
|
$
|
3,159,547
|
|
|
$
|
11,385
|
|
|
$
|
3,170,932
|
|
|
(1)
|
Whole-Loans and securitized commercial loan owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation.
|
(2)
|
Cash posted as collateral is included in Due from counterparties on the Company’s Consolidated Balance Sheets.
|
|
December 31, 2015
|
||||||||||
|
Assets
Pledged- Fair
Value
|
|
Accrued
Interest
|
|
Fair Value of
Assets Pledged
and Accrued
Interest
|
||||||
Assets pledged for borrowings under repurchase agreements:
|
|
|
|
|
|
|
|
|
|||
Agency RMBS
|
$
|
1,658,865
|
|
|
$
|
7,366
|
|
|
$
|
1,666,231
|
|
Agency CMBS
|
37,872
|
|
|
342
|
|
|
38,214
|
|
|||
Non-Agency RMBS
|
530,110
|
|
|
1,053
|
|
|
531,163
|
|
|||
Non-Agency CMBS
|
449,771
|
|
|
2,949
|
|
|
452,720
|
|
|||
Whole-Loans and securitized commercial loan(1)
|
232,538
|
|
|
1,750
|
|
|
234,288
|
|
|||
Other securities
|
101,099
|
|
|
270
|
|
|
101,369
|
|
|||
Cash (2)
|
38,300
|
|
|
—
|
|
|
38,300
|
|
|||
Securitized commercial loan pledged for securitized debt
|
11,000
|
|
|
85
|
|
|
11,085
|
|
|||
Cash collateral for derivatives (2):
|
211,263
|
|
|
—
|
|
|
211,263
|
|
|||
Total
|
$
|
3,270,818
|
|
|
$
|
13,815
|
|
|
$
|
3,284,633
|
|
|
(1)
|
Whole-Loans and securitized commercial loan owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation.
|
(2)
|
Cash posted as collateral is included in Due from counterparties on the Company’s Consolidated Balance Sheets.
|
|
|
|
|
|
|
September 30, 2016
|
||||||||||
Derivative Instrument
|
|
Accounting Designation
|
|
Consolidated Balance Sheets Location
|
|
Notional Amount
|
|
Fair Value, excluding accrued interest
|
|
Accrued Interest Payable (receivable)
|
||||||
Interest rate swaps, assets
|
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
$
|
4,184,100
|
|
|
$
|
122,324
|
|
|
$
|
(11,519
|
)
|
Futures, assets
|
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
28,400
|
|
|
69
|
|
|
—
|
|
|||
Foreign currency swaps, asset
|
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
5,576
|
|
|
1,285
|
|
|
(42
|
)
|
|||
Foreign currency forward contracts, asset
|
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
8,213
|
|
|
111
|
|
|
—
|
|
|||
TBA securities, assets
|
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
1,104,500
|
|
|
4,073
|
|
|
—
|
|
|||
Total derivative instruments, assets
|
|
|
|
|
|
|
|
|
127,862
|
|
|
(11,561
|
)
|
|||
|
|
|
|
|
|
|
|
|
|
|
||||||
Interest rate swaps, liability
|
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
5,252,300
|
|
|
(326,360
|
)
|
|
12,847
|
|
|||
Total return swaps - liability
|
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
53,575
|
|
|
(2,171
|
)
|
|
(104
|
)
|
|||
Foreign currency forward contracts, liability
|
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
5,950
|
|
|
(82
|
)
|
|
—
|
|
|||
TBA securities, liabilities
|
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
814,500
|
|
|
(2,186
|
)
|
|
—
|
|
|||
Total derivative instruments, liabilities
|
|
|
|
|
|
|
|
|
(330,799
|
)
|
|
12,743
|
|
|||
Total derivative instruments, net
|
|
|
|
|
|
|
|
|
$
|
(202,937
|
)
|
|
$
|
1,182
|
|
|
|
|
|
|
|
December 31, 2015
|
||||||||||
Derivative Instrument
|
|
Accounting Designation
|
|
Consolidated Balance Sheets Location
|
|
Notional Amount
|
|
Fair Value, excluding accrued interest
|
|
Accrued Interest Payable (receivable)
|
||||||
Interest rate swaps, assets
|
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
$
|
2,808,700
|
|
|
$
|
9,635
|
|
|
$
|
1,287
|
|
Interest rate swaptions, assets
|
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
1,105,000
|
|
|
1,479
|
|
|
—
|
|
|||
Futures contract, asset
|
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
201,600
|
|
|
63
|
|
|
—
|
|
|||
Foreign currency swaps, asset
|
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
25,160
|
|
|
7,168
|
|
|
(398
|
)
|
|||
Foreign currency forward contracts, asset
|
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
5,825
|
|
|
302
|
|
|
—
|
|
|||
TBA securities, assets
|
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
1,650,000
|
|
|
3,268
|
|
|
—
|
|
|||
Total derivative instruments, assets
|
|
|
|
|
|
|
|
|
21,915
|
|
|
889
|
|
|||
Interest rate swaps, liability
|
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
5,631,800
|
|
|
(178,305
|
)
|
|
7,875
|
|
|||
Futures contract, liability
|
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
279,200
|
|
|
(698
|
)
|
|
—
|
|
|||
Foreign currency forward contracts, liability
|
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
7,671
|
|
|
(281
|
)
|
|
—
|
|
|||
TBA securities, liabilities
|
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
825,000
|
|
|
(893
|
)
|
|
—
|
|
|||
Total derivative instruments, liabilities
|
|
|
|
|
|
|
|
|
(180,177
|
)
|
|
7,875
|
|
|||
Total derivative instruments, net
|
|
|
|
|
|
|
|
|
$
|
(158,262
|
)
|
|
$
|
8,764
|
|
|
|
September 30, 2016
|
||||||||||||||
Remaining Interest Rate Swap Term
|
|
Notional Amount
|
|
Fair Value – Asset (Liability), net
|
|
Average Fixed Pay Rate
|
|
Average Maturity (Years)
|
|
Forward Starting
|
||||||
Greater than 1 year and less than 3 years
|
|
$
|
1,098,900
|
|
|
$
|
(2,971
|
)
|
|
1.1
|
%
|
|
1.6
|
|
79.6
|
%
|
Greater than 3 years and less than 5 years
|
|
2,006,200
|
|
|
(52,187
|
)
|
|
1.8
|
%
|
|
4.2
|
|
33.9
|
|
||
Greater than 5 years
|
|
2,358,300
|
|
|
(266,847
|
)
|
|
2.6
|
%
|
|
9.9
|
|
10.7
|
|
||
Total
|
|
$
|
5,463,400
|
|
|
$
|
(322,005
|
)
|
|
2.0
|
%
|
|
6.1
|
|
33.1
|
%
|
|
|
December 31, 2015
|
||||||||||||||
Remaining Interest Rate Swap Term
|
|
Notional Amount
|
|
Fair Value – Asset (Liability), net
|
|
Average Fixed Pay Rate
|
|
Average Maturity (Years)
|
|
Forward Starting
|
||||||
1 year or less
|
|
$
|
1,286,000
|
|
|
$
|
163
|
|
|
0.6
|
%
|
|
0.6
|
|
—
|
%
|
Greater than 1 year and less than 3 years
|
|
1,131,800
|
|
|
(1,450
|
)
|
|
1.1
|
%
|
|
1.4
|
|
—
|
|
||
Greater than 3 years and less than 5 years
|
|
1,345,200
|
|
|
(22,705
|
)
|
|
2.1
|
%
|
|
4.6
|
|
—
|
|
||
Greater than 5 years
|
|
2,404,600
|
|
|
(131,744
|
)
|
|
2.8
|
%
|
|
10.2
|
|
29.5
|
|
||
Total
|
|
$
|
6,167,600
|
|
|
$
|
(155,736
|
)
|
|
1.9
|
%
|
|
5.4
|
|
11.5
|
%
|
|
|
September 30, 2016
|
||||||||||||||
Remaining Interest Rate swap Term
|
|
Notional Amount
|
|
Fair Value – Asset (Liability), net
|
|
Average Variable Pay Rate
|
|
Average Maturity (Years)
|
|
Forward Starting
|
||||||
Greater than 3 years and less than 5 years
|
|
$
|
2,036,500
|
|
|
$
|
21,227
|
|
|
0.7
|
%
|
|
4.1
|
|
—
|
%
|
Greater than 5 years
|
|
1,936,500
|
|
|
96,742
|
|
|
0.8
|
%
|
|
10.1
|
|
—
|
|
||
Total
|
|
$
|
3,973,000
|
|
|
$
|
117,969
|
|
|
0.8
|
%
|
|
7.0
|
|
—
|
%
|
|
|
December 31, 2015
|
||||||||||||||
Remaining Interest Rate swap Term
|
|
Notional Amount
|
|
Fair Value – Asset (Liability), net
|
|
Average Variable Pay Rate
|
|
Average Maturity (Years)
|
|
Forward Starting
|
||||||
Greater than 3 years and less than 5 years
|
|
$
|
1,170,700
|
|
|
$
|
(8,902
|
)
|
|
0.4
|
%
|
|
4.5
|
|
—
|
%
|
Greater than 5 years
|
|
1,102,200
|
|
|
(4,032
|
)
|
|
0.4
|
%
|
|
12.3
|
|
—
|
|
||
Total
|
|
$
|
2,272,900
|
|
|
$
|
(12,934
|
)
|
|
0.4
|
%
|
|
8.2
|
|
—
|
%
|
|
|
December 31, 2015
|
||||||||||
|
|
Option
|
|
Underlying Swap
|
||||||||
Fixed-Pay Rate for Underlying Swap
|
|
Fair Value
|
|
Weighted Average Months Until Option Expiration
|
|
Notional Amount
|
|
Weighted Average Swap Term (Years)
|
||||
1.76 – 2.00%
|
|
$
|
890
|
|
|
2.1
|
|
$
|
400,000
|
|
|
5.0
|
2.01 – 2.25%
|
|
129
|
|
|
2.1
|
|
100,000
|
|
|
5.0
|
||
2.26 – 2.50%
|
|
1
|
|
|
5.8
|
|
105,000
|
|
|
1.0
|
||
Total
|
|
$
|
1,020
|
|
|
2.7
|
|
$
|
605,000
|
|
|
4.3
|
|
|
December 31, 2015
|
||||||||||
|
|
Option
|
|
Underlying Swap
|
||||||||
Variable-Pay Rate for Underlying Swap
|
|
Fair Value
|
|
Weighted Average Months Until Option Expiration
|
|
Notional Amount
|
|
Weighted Average Swap Term (Years)
|
||||
1.26 – 1.50%
|
|
$
|
459
|
|
|
2.1
|
|
$
|
500,000
|
|
|
5.0
|
Total
|
|
$
|
459
|
|
|
2.1
|
|
$
|
500,000
|
|
|
5.0
|
|
|
September 30, 2016
|
||||||||||||
Derivative Type
|
|
Notional Amount
|
|
Notional
(USD Equivalent)
|
|
Maturity
|
|
Fair Value
|
||||||
Buy EUR/Sell USD currency forward
|
|
€
|
6,542
|
|
|
$
|
7,253
|
|
|
October 2016
|
|
$
|
105
|
|
Buy USD/Sell EUR currency forward
|
|
€
|
750
|
|
|
$
|
849
|
|
|
October 2016
|
|
$
|
6
|
|
Buy EUR/Sell USD Currency forward
|
|
€
|
98
|
|
|
$
|
111
|
|
|
November 2016
|
|
$
|
—
|
|
Currency forwards, assets
|
|
€
|
7,390
|
|
|
$
|
8,213
|
|
|
n/a
|
|
$
|
111
|
|
Buy EUR/Sell USD currency forward
|
|
€
|
280
|
|
|
$
|
316
|
|
|
November 2016
|
|
$
|
(1
|
)
|
Buy USD/Sell EUR currency forward
|
|
€
|
5,083
|
|
|
$
|
5,634
|
|
|
October 2016
|
|
$
|
(81
|
)
|
Currency forwards, liabilities
|
|
€
|
5,363
|
|
|
$
|
5,950
|
|
|
n/a
|
|
$
|
(82
|
)
|
Total currency forwards
|
|
€
|
12,753
|
|
|
$
|
14,163
|
|
|
n/a
|
|
$
|
29
|
|
|
|
December 31, 2015
|
||||||||||||
Derivative Type
|
|
Notional Amount
|
|
Notional
(USD Equivalent)
|
|
Maturity
|
|
Fair Value
|
||||||
Buy USD/Sell EUR currency forward
|
|
€
|
5,083
|
|
|
$
|
5,825
|
|
|
January 2016
|
|
$
|
302
|
|
Currency forwards, assets
|
|
€
|
5,083
|
|
|
$
|
5,825
|
|
|
n/a
|
|
$
|
302
|
|
Buy EUR/Sell USD currency forward
|
|
€
|
6,800
|
|
|
$
|
7,671
|
|
|
January 2016
|
|
$
|
(281
|
)
|
Currency forwards, liabilities
|
|
€
|
6,800
|
|
|
$
|
7,671
|
|
|
n/a
|
|
$
|
(281
|
)
|
Total currency forwards
|
|
€
|
11,883
|
|
|
$
|
13,496
|
|
|
n/a
|
|
$
|
21
|
|
September 30, 2016
|
|||||||||||
|
Date entered
|
|
Maturity
|
|
Fixed Rate
|
|
Denomination
|
|
Notional Amount
|
||
Payer
|
June 2014
|
|
July 2024
|
|
7.25
|
%
|
|
EUR
|
|
4,100
|
|
Receiver
|
June 2014
|
|
July 2024
|
|
9.005
|
%
|
|
USD
|
|
5,576
|
|
December 31, 2015
|
|||||||||||
|
Date entered
|
|
Maturity
|
|
Fixed Rate
|
|
Denomination
|
|
Notional Amount
|
||
Payer
|
June 2014
|
|
July 2024
|
|
7.25
|
%
|
|
EUR
|
|
18,500
|
|
Receiver
|
June 2014
|
|
July 2024
|
|
9.005
|
%
|
|
USD
|
|
25,160
|
|
|
Notional Amount as of
|
|
Additions
|
|
Settlement, Termination, Expiration or Exercise
|
|
Notional Amount as of
|
||||||||
|
December 31, 2015
|
|
|
|
September 30, 2016
|
||||||||||
Purchase of TBAs
|
$
|
1,650,000
|
|
|
$
|
9,704,500
|
|
|
$
|
(9,950,000
|
)
|
|
$
|
1,404,500
|
|
Sale of TBAs
|
$
|
825,000
|
|
|
$
|
9,639,500
|
|
|
$
|
(9,950,000
|
)
|
|
$
|
514,500
|
|
|
|
Three months ended September 30, 2016
|
||||||||||||||||||
Description
|
|
Realized Gain (Loss), net
|
|
Contractual interest income (expense), net(1)
|
|
Return (Recovery) of Basis
|
|
Mark-to- market adjustments
|
|
Total
|
||||||||||
Interest rate swaps
|
|
$
|
(25,179
|
)
|
|
$
|
(6,904
|
)
|
|
$
|
168
|
|
|
$
|
35,878
|
|
|
$
|
3,963
|
|
Agency and Non-Agency Interest-Only Strips— accounted for as derivatives
|
|
—
|
|
|
3,503
|
|
|
(2,827
|
)
|
|
446
|
|
|
1,122
|
|
|||||
Futures contracts
|
|
5,844
|
|
|
—
|
|
|
—
|
|
|
(8,792
|
)
|
|
(2,948
|
)
|
|||||
Foreign currency forwards
|
|
103
|
|
|
—
|
|
|
—
|
|
|
(62
|
)
|
|
41
|
|
|||||
Foreign currency swaps
|
|
1,409
|
|
|
61
|
|
|
—
|
|
|
(1,852
|
)
|
|
(382
|
)
|
|||||
Total return swaps
|
|
2
|
|
|
308
|
|
|
—
|
|
|
(11
|
)
|
|
299
|
|
|||||
TBAs
|
|
3,579
|
|
|
—
|
|
|
—
|
|
|
447
|
|
|
4,026
|
|
|||||
Total
|
|
$
|
(14,242
|
)
|
|
$
|
(3,032
|
)
|
|
$
|
(2,659
|
)
|
|
$
|
26,054
|
|
|
$
|
6,121
|
|
|
|
Nine months ended September 30, 2016
|
||||||||||||||||||
Description
|
|
Realized Gain (Loss), net
|
|
Contractual interest income (expense), net(1)
|
|
Return (Recovery) of Basis
|
|
Mark-to- market adjustments
|
|
Total
|
||||||||||
Interest rate swaps
|
|
$
|
(28,784
|
)
|
|
$
|
(22,409
|
)
|
|
$
|
502
|
|
|
$
|
(35,393
|
)
|
|
$
|
(86,084
|
)
|
Interest rate swaptions
|
|
(1,035
|
)
|
|
—
|
|
|
—
|
|
|
1,631
|
|
|
596
|
|
|||||
Agency and Non-Agency Interest-Only Strips— accounted for as derivatives
|
|
(155
|
)
|
|
11,113
|
|
|
(8,930
|
)
|
|
(4,480
|
)
|
|
(2,452
|
)
|
|||||
Options
|
|
4,756
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,756
|
|
|||||
Futures contracts
|
|
19,253
|
|
|
—
|
|
|
—
|
|
|
704
|
|
|
19,957
|
|
|||||
Foreign currency forwards
|
|
(90
|
)
|
|
—
|
|
|
—
|
|
|
8
|
|
|
(82
|
)
|
|||||
Foreign currency swaps
|
|
5,351
|
|
|
268
|
|
|
—
|
|
|
(5,883
|
)
|
|
(264
|
)
|
|||||
Total return swaps
|
|
17
|
|
|
836
|
|
|
—
|
|
|
(2,171
|
)
|
|
(1,318
|
)
|
|||||
TBAs
|
|
12,166
|
|
|
—
|
|
|
—
|
|
|
(489
|
)
|
|
11,677
|
|
|||||
Total
|
|
$
|
11,479
|
|
|
$
|
(10,192
|
)
|
|
$
|
(8,428
|
)
|
|
$
|
(46,073
|
)
|
|
$
|
(53,214
|
)
|
|
|
Three months ended September 30, 2015
|
||||||||||||||||||
Description
|
|
Realized Gain (Loss), net
|
|
Contractual interest income (expense), net(1)
|
|
Return (Recovery) of Basis
|
|
Mark-to- market adjustments
|
|
Total
|
||||||||||
Interest rate swaps
|
|
$
|
28,291
|
|
|
$
|
(5,561
|
)
|
|
$
|
337
|
|
|
$
|
(64,701
|
)
|
|
$
|
(41,634
|
)
|
Interest rate swaptions
|
|
(150
|
)
|
|
—
|
|
|
—
|
|
|
71
|
|
|
(79
|
)
|
|||||
Agency and Non-Agency Interest-Only Strips— accounted for as derivatives
|
|
626
|
|
|
5,437
|
|
|
(4,164
|
)
|
|
(1,799
|
)
|
|
100
|
|
|||||
Options
|
|
684
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
684
|
|
|||||
Futures contracts
|
|
(168
|
)
|
|
—
|
|
|
—
|
|
|
(38
|
)
|
|
(206
|
)
|
|||||
Foreign currency forwards
|
|
(134
|
)
|
|
—
|
|
|
—
|
|
|
114
|
|
|
(20
|
)
|
|||||
Foreign currency swaps
|
|
—
|
|
|
190
|
|
|
—
|
|
|
652
|
|
|
842
|
|
|||||
TBAs
|
|
(8,205
|
)
|
|
—
|
|
|
—
|
|
|
7,155
|
|
|
(1,050
|
)
|
|||||
Total
|
|
$
|
20,944
|
|
|
$
|
66
|
|
|
$
|
(3,827
|
)
|
|
$
|
(58,546
|
)
|
|
$
|
(41,363
|
)
|
|
|
Nine months ended September 30, 2015
|
||||||||||||||||||
Description
|
|
Realized Gain (Loss), net
|
|
Contractual interest income (expense), net(1)
|
|
Return (Recovery) of Basis
|
|
Mark-to- market adjustments
|
|
Total
|
||||||||||
Interest rate swaps
|
|
$
|
18,729
|
|
|
$
|
(11,871
|
)
|
|
$
|
1,075
|
|
|
$
|
(83,209
|
)
|
|
$
|
(75,276
|
)
|
Interest rate swaptions
|
|
(3,873
|
)
|
|
—
|
|
|
—
|
|
|
(72
|
)
|
|
(3,945
|
)
|
|||||
Agency and Non-Agency Interest-Only Strips— accounted for as derivatives
|
|
624
|
|
|
16,700
|
|
|
(12,877
|
)
|
|
(1,966
|
)
|
|
2,481
|
|
|||||
Options
|
|
684
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
684
|
|
|||||
Futures contracts
|
|
(627
|
)
|
|
—
|
|
|
—
|
|
|
683
|
|
|
56
|
|
|||||
Foreign currency forwards
|
|
(980
|
)
|
|
—
|
|
|
—
|
|
|
452
|
|
|
(528
|
)
|
|||||
Foreign currency swaps
|
|
—
|
|
|
585
|
|
|
—
|
|
|
3,944
|
|
|
4,529
|
|
|||||
TBAs
|
|
(1,728
|
)
|
|
—
|
|
|
—
|
|
|
(2,784
|
)
|
|
(4,512
|
)
|
|||||
Total
|
|
$
|
12,829
|
|
|
$
|
5,414
|
|
|
$
|
(11,802
|
)
|
|
$
|
(82,952
|
)
|
|
$
|
(76,511
|
)
|
|
(1)
|
Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received.
|
|
Gross
Amounts of
Recognized
Assets
|
|
Gross
Amounts
Offset in the Consolidated
Balance
Sheets
|
|
Net Amounts
of Assets
presented in
the Consolidated
Balance
Sheets
|
|
Gross Amounts Not Offset in
the Consolidated Balance
Sheets
|
|
Net Amount
|
||||||||||||||
$ in thousands
Description
|
|
|
|
Financial
Instruments
(1)
|
|
Cash
Collateral
Received
|
|
||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
|
$
|
38,458
|
|
|
$
|
—
|
|
|
$
|
38,458
|
|
|
$
|
(33,932
|
)
|
|
$
|
—
|
|
|
$
|
4,526
|
|
Derivative asset, at fair value(2)
|
127,862
|
|
|
—
|
|
|
127,862
|
|
|
(118,275
|
)
|
|
(4,067
|
)
|
|
5,520
|
|
||||||
Total
|
$
|
166,320
|
|
|
$
|
—
|
|
|
$
|
166,320
|
|
|
$
|
(152,207
|
)
|
|
$
|
(4,067
|
)
|
|
$
|
10,046
|
|
|
Gross
Amounts of
Recognized
Liabilities
|
|
Gross
Amounts
Offset in the Consolidated
Balance
Sheets
|
|
Net Amounts
of Liabilities
presented in
the Consolidated
Balance
Sheets
|
|
Gross Amounts Not Offset in
the Consolidated Balance
Sheets
|
|
Net Amount
|
||||||||||||||
$ in thousands
Description
|
|
|
|
Financial
Instruments
(1)
|
|
Cash
Collateral
Received
|
|
||||||||||||||||
Derivative liability, at fair value(2)(3)
|
$
|
330,799
|
|
|
$
|
—
|
|
|
$
|
330,799
|
|
|
$
|
(118,275
|
)
|
|
$
|
(210,998
|
)
|
|
$
|
1,526
|
|
Repurchase Agreements(4)
|
2,523,480
|
|
|
—
|
|
|
2,523,480
|
|
|
(2,523,480
|
)
|
|
—
|
|
|
—
|
|
||||||
|
$
|
2,854,279
|
|
|
$
|
—
|
|
|
$
|
2,854,279
|
|
|
$
|
(2,641,755
|
)
|
|
$
|
(210,998
|
)
|
|
$
|
1,526
|
|
|
(1)
|
Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions.
|
(2)
|
Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, foreign currency swaps, total return swaps and TBAs.
|
(3)
|
Cash collateral pledged against the Company’s derivative counterparties was approximately
$239.9 million
as of
September 30, 2016
.
|
(4)
|
The fair value of investments pledged against the Company’s repurchase agreements was approximately
$2.9 billion
as of
September 30, 2016
.
|
|
Gross
Amounts of
Recognized
Assets
|
|
Gross
Amounts
Offset in the Consolidated
Balance
Sheets
|
|
Net Amounts
of Assets
presented in
the Consolidated
Balance
Sheets
|
|
Gross Amounts Not Offset in
the Consolidated Balance
Sheets
|
|
Net Amount
|
||||||||||||||
$ in thousands
Description
|
|
|
|
Financial
Instruments
(1)
|
|
Cash
Collateral
Received
|
|
||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
|
$
|
59,987
|
|
|
$
|
—
|
|
|
$
|
59,987
|
|
|
$
|
(55,372
|
)
|
|
$
|
—
|
|
|
$
|
4,615
|
|
Derivative asset, at fair value(2)
|
21,915
|
|
|
—
|
|
|
21,915
|
|
|
(10,177
|
)
|
|
(8,647
|
)
|
|
3,091
|
|
||||||
Total
|
$
|
81,902
|
|
|
$
|
—
|
|
|
$
|
81,902
|
|
|
$
|
(65,549
|
)
|
|
$
|
(8,647
|
)
|
|
$
|
7,706
|
|
|
Gross
Amounts of
Recognized
Liabilities
|
|
Gross
Amounts
Offset in the Consolidated
Balance
Sheets
|
|
Net Amounts
of Liabilities
presented in
the Consolidated
Balance
Sheets
|
|
Gross Amounts Not Offset in
the Consolidated Balance
Sheets
|
|
Net Amount
|
||||||||||||||
$ in thousands
Description
|
|
|
|
Financial
Instruments
(1)
|
|
Cash
Collateral
Received
|
|
||||||||||||||||
Derivative liability, at fair value(2)(3)
|
$
|
180,177
|
|
|
$
|
—
|
|
|
$
|
180,177
|
|
|
$
|
(10,177
|
)
|
|
$
|
(169,887
|
)
|
|
$
|
113
|
|
Repurchase Agreements(4)
|
2,585,801
|
|
|
—
|
|
|
2,585,801
|
|
|
(2,585,801
|
)
|
|
—
|
|
|
—
|
|
||||||
|
$
|
2,765,978
|
|
|
$
|
—
|
|
|
$
|
2,765,978
|
|
|
$
|
(2,595,978
|
)
|
|
$
|
(169,887
|
)
|
|
$
|
113
|
|
|
(1)
|
Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions.
|
(2)
|
Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, foreign currency swaps and TBAs.
|
(3)
|
Cash collateral pledged against the Company’s derivative counterparties was approximately
$211.3 million
as of
December 31, 2015
.
|
(4)
|
The fair value of investments pledged against the Company’s repurchase agreements was approximately
$3.0 billion
as of
December 31, 2015
.
|
|
September 30, 2016
|
|
December 31, 2015
|
||
Vesting Date
|
Shares Vesting
|
|
Shares Vesting
|
||
March 2016
|
—
|
|
|
188,184
|
|
June 2016
|
—
|
|
|
11,528
|
|
March 2017
|
133,334
|
|
|
133,334
|
|
June 2017
|
17,672
|
|
|
—
|
|
March 2018
|
66,667
|
|
|
66,667
|
|
|
217,673
|
|
|
399,713
|
|
|
Shares of
Restricted Stock
|
|
Weighted Average
Grant Date Fair
Value (1)
|
|||
Outstanding at beginning of period
|
688,394
|
|
|
$
|
17.39
|
|
Granted (2)
|
18,943
|
|
|
9.37
|
|
|
Cancelled/forfeited
|
—
|
|
|
—
|
|
|
Outstanding at end of period
|
707,337
|
|
|
$
|
17.18
|
|
Unvested at end of period
|
217,673
|
|
|
$
|
14.99
|
|
|
(1)
|
The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date.
|
(2)
|
Included
1,811
shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan.
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Amount per Share
|
|
Tax Characterization
|
||
2016
|
|
|
|
|
|
|
|
|
|
|
September 22, 2016
|
|
October 4, 2016
|
|
October 25, 2016
|
|
$
|
0.31
|
|
|
Not yet determined
|
June 23, 2016
|
|
July 5, 2016
|
|
July 26, 2016
|
|
$
|
0.31
|
|
|
Not yet determined
|
March 24, 2016
|
|
April 4, 2016
|
|
April 26, 2016
|
|
$
|
0.45
|
|
|
Not yet determined
|
|
|
|
|
|
|
|
|
|
||
2015
|
|
|
|
|
|
|
|
|
|
|
December 17, 2015
|
|
December 28, 2015
|
|
January 26, 2016
|
|
$
|
0.58
|
|
|
Ordinary income
|
September 24, 2015
|
|
October 5, 2015
|
|
October 27, 2015
|
|
$
|
0.60
|
|
|
Ordinary income
|
June 18, 2015
|
|
June 29, 2015
|
|
July 28, 2015
|
|
$
|
0.64
|
|
|
Ordinary income
|
March 26, 2015
|
|
April 6, 2015
|
|
April 28, 2015
|
|
$
|
0.67
|
|
|
Ordinary income
|
|
|
|
|
|
|
|
|
|
||
2014
|
|
|
|
|
|
|
|
|
|
|
December 18, 2014
|
|
December 29, 2014
|
|
January 27, 2015
|
|
$
|
0.70
|
|
|
Ordinary income
|
September 23, 2014
|
|
October 3, 2014
|
|
October 28, 2014
|
|
$
|
0.70
|
|
|
Ordinary income
|
June 19, 2014
|
|
June 30, 2014
|
|
July 29, 2014
|
|
$
|
0.67
|
|
|
Ordinary income
|
March 20, 2014
|
|
March 31, 2014
|
|
April 29, 2014
|
|
$
|
0.67
|
|
|
Ordinary income
|
|
For the three months ended September 30, 2016
|
|
For the three months ended September 30, 2015
|
|
For the nine months ended September 30, 2016
|
|
For the nine months ended September 30, 2015
|
||||||||
Numerator
:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share
|
$
|
32,282
|
|
|
$
|
(1,852
|
)
|
|
$
|
13,281
|
|
|
$
|
10,601
|
|
Less:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Dividends and undistributed earnings allocated to participating securities
|
193
|
|
|
258
|
|
|
300
|
|
|
795
|
|
||||
Net income (loss) allocable to common stockholders — basic and diluted
|
$
|
32,089
|
|
|
$
|
(2,110
|
)
|
|
$
|
12,981
|
|
|
$
|
9,806
|
|
|
|
|
|
|
|
|
|
||||||||
Denominator
:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Weighted average common shares outstanding for basic earnings per share
|
41,719,800
|
|
|
41,516,302
|
|
|
41,678,592
|
|
|
41,480,857
|
|
||||
Weighted average diluted shares outstanding (warrants)
|
—
|
|
|
—
|
|
|
|
|
|
—
|
|
||||
Weighted average common shares outstanding for diluted earnings per share
|
41,719,800
|
|
|
41,516,302
|
|
|
41,678,592
|
|
|
41,480,857
|
|
||||
Basic earnings per common share
|
$
|
0.77
|
|
|
$
|
(0.05
|
)
|
|
$
|
0.31
|
|
|
$
|
0.24
|
|
Diluted earnings per common share
|
$
|
0.77
|
|
|
$
|
(0.05
|
)
|
|
$
|
0.31
|
|
|
$
|
0.24
|
|
|
Principal
Balance
|
|
Unamortized
Premium
(Discount)
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Amortized Cost
|
|
Unrealized
Gain (Loss)
|
|
Fair Value
|
|
Net
Weighted
Average
Coupon
(1)
|
||||||||||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
20-Year mortgage
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Coupon Rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
3.50
|
%
|
$
|
130,342
|
|
|
$
|
6,668
|
|
|
$
|
—
|
|
|
$
|
137,010
|
|
|
$
|
2,547
|
|
|
$
|
139,557
|
|
|
3.5
|
%
|
4.00
|
%
|
372,681
|
|
|
19,507
|
|
|
—
|
|
|
392,188
|
|
|
12,738
|
|
|
404,926
|
|
|
4.0
|
%
|
||||||
|
503,023
|
|
|
26,175
|
|
|
—
|
|
|
529,198
|
|
|
15,285
|
|
|
544,483
|
|
|
3.9
|
%
|
|||||||
30-Year mortgage
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Coupon Rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
3.00
|
%
|
226,157
|
|
|
8,660
|
|
|
—
|
|
|
234,817
|
|
|
443
|
|
|
235,260
|
|
|
3.0
|
%
|
||||||
3.50
|
%
|
214,969
|
|
|
11,122
|
|
|
—
|
|
|
226,091
|
|
|
1,697
|
|
|
227,788
|
|
|
3.5
|
%
|
||||||
4.00
|
%
|
326,886
|
|
|
27,493
|
|
|
—
|
|
|
354,379
|
|
|
3,379
|
|
|
357,758
|
|
|
4.0
|
%
|
||||||
4.50
|
%
|
329,114
|
|
|
22,756
|
|
|
—
|
|
|
351,870
|
|
|
16,973
|
|
|
368,843
|
|
|
4.5
|
%
|
||||||
5.00
|
%
|
51,330
|
|
|
6,268
|
|
|
—
|
|
|
57,598
|
|
|
863
|
|
|
58,461
|
|
|
5.0
|
%
|
||||||
5.50
|
%
|
2,369
|
|
|
339
|
|
|
—
|
|
|
2,708
|
|
|
(39
|
)
|
|
2,669
|
|
|
5.5
|
%
|
||||||
6.00
|
%
|
2,444
|
|
|
259
|
|
|
—
|
|
|
2,703
|
|
|
158
|
|
|
2,861
|
|
|
6.0
|
%
|
||||||
|
1,153,269
|
|
|
76,897
|
|
|
—
|
|
|
1,230,166
|
|
|
23,474
|
|
|
1,253,640
|
|
|
3.9
|
%
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS IOs and IIOs(2)
|
N/A
|
|
|
N/A
|
|
|
—
|
|
|
27,188
|
|
|
819
|
|
|
28,007
|
|
|
3.0
|
%
|
|||||||
Agency RMBS IOs and IIOs accounted for as derivatives (2)(3)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
25,438
|
|
|
3.4
|
%
|
|||||||
|
N/A
|
|
|
N/A
|
|
|
—
|
|
|
27,188
|
|
|
819
|
|
|
53,445
|
|
|
3.4
|
%
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Agency CMBS
|
4,553
|
|
|
—
|
|
|
—
|
|
|
4,553
|
|
|
(270
|
)
|
|
4,283
|
|
|
4.5
|
%
|
|||||||
Agency CMBS Interest-Only Strips(2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
557
|
|
|
48
|
|
|
605
|
|
|
4.6
|
%
|
|||||||
Agency CMBS IOs and IIOs accounted for as derivatives (2)(3)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
8,850
|
|
|
0.6
|
%
|
|||||||
|
4,553
|
|
|
—
|
|
|
—
|
|
|
5,110
|
|
|
(222
|
)
|
|
13,738
|
|
|
1.2
|
%
|
|||||||
Subtotal Agency
|
1,660,845
|
|
|
103,072
|
|
|
—
|
|
|
1,791,662
|
|
|
39,356
|
|
|
1,865,306
|
|
|
3.4
|
%
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Non-Agency RMBS
|
422,498
|
|
|
(15,476
|
)
|
|
(112,801
|
)
|
|
294,221
|
|
|
15,274
|
|
|
309,495
|
|
|
4.0
|
%
|
|||||||
Non-Agency RMBS IOs and IIOs(2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
59,025
|
|
|
22,452
|
|
|
81,477
|
|
|
5.8
|
%
|
|||||||
Non-Agency RMBS IOs and IIOs accounted for as derivatives (2)(3)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
4,170
|
|
|
4.8
|
%
|
|||||||
|
422,498
|
|
|
(15,476
|
)
|
|
(112,801
|
)
|
|
353,246
|
|
|
37,726
|
|
|
395,142
|
|
|
4.7
|
%
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Non-Agency CMBS, including Non U.S.
|
479,405
|
|
|
(69,557
|
)
|
|
(15,854
|
)
|
|
393,994
|
|
|
(25,096
|
)
|
|
368,898
|
|
|
5.0
|
%
|
|||||||
Subtotal Non-Agency
|
901,903
|
|
|
(85,033
|
)
|
|
(128,655
|
)
|
|
747,240
|
|
|
12,630
|
|
|
764,040
|
|
|
4.8
|
%
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Other securities(4)
|
42,384
|
|
|
(404
|
)
|
|
—
|
|
|
64,384
|
|
|
(1,058
|
)
|
|
63,326
|
|
|
7.7
|
%
|
|||||||
Residential Whole-Loans
|
198,651
|
|
|
1,181
|
|
|
—
|
|
|
199,832
|
|
|
5,050
|
|
|
204,882
|
|
|
4.8
|
%
|
|||||||
Securitized commercial loan
|
25,000
|
|
|
—
|
|
|
—
|
|
|
25,000
|
|
|
(862
|
)
|
|
24,138
|
|
|
9.0
|
%
|
|||||||
Total
|
$
|
2,828,783
|
|
|
$
|
18,816
|
|
|
$
|
(128,655
|
)
|
|
$
|
2,828,118
|
|
|
$
|
55,116
|
|
|
$
|
2,921,692
|
|
|
4.0
|
%
|
|
Weighted Average Life
|
Fair Value
|
|
Net Weighted
Average
Coupon(1)
|
|||
Less than or equal to three years
|
$
|
98,205
|
|
|
4.8
|
%
|
Greater than three years and less than or equal to five years
|
1,068,388
|
|
|
3.7
|
%
|
|
Greater than five years and less than or equal to 10 years
|
1,285,057
|
|
|
3.7
|
%
|
|
Greater than 10 years
|
241,022
|
|
|
5.4
|
%
|
|
Total
|
$
|
2,692,672
|
|
|
4.0
|
%
|
|
(1)
|
Net weighted average coupon as of
September 30, 2016
is presented net of servicing and other fees.
|
|
Principal Balance
|
|
Amortized Cost
|
|
Fair Value
|
|
Net Weighted
Average Coupon
(1)
|
|||||||
Agency RMBS 20-Year and 30-Year
|
|
|
|
|
|
|
|
|
|
|
|
|||
Fannie Mae
|
$
|
1,209,631
|
|
|
$
|
1,287,068
|
|
|
$
|
1,315,580
|
|
|
3.9
|
%
|
Freddie Mac
|
446,661
|
|
|
472,296
|
|
|
482,543
|
|
|
3.8
|
%
|
|||
Total Agency RMBS 20-Year and 30-Year
|
1,656,292
|
|
|
1,759,364
|
|
|
1,798,123
|
|
|
3.9
|
%
|
|||
Agency RMBS IOs and IIOs (2)
|
|
|
|
|
|
|
|
|
|
|
|
|||
Fannie Mae
|
N/A
|
|
|
8,206
|
|
|
8,858
|
|
|
3.1
|
%
|
|||
Freddie Mac
|
N/A
|
|
|
8,917
|
|
|
8,917
|
|
|
2.5
|
%
|
|||
Ginnie Mae
|
N/A
|
|
|
10,065
|
|
|
10,232
|
|
|
3.7
|
%
|
|||
Total Agency RMBS IOs and IIOs (2)
|
N/A
|
|
|
27,188
|
|
|
28,007
|
|
|
3.0
|
%
|
|||
Agency RMBS IOs and IIOs accounted for as derivatives
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|||
Fannie Mae
|
N/A
|
|
|
N/A
|
|
|
12,804
|
|
|
2.9
|
%
|
|||
Freddie Mac
|
N/A
|
|
|
N/A
|
|
|
2,854
|
|
|
3.5
|
%
|
|||
Ginnie Mae
|
N/A
|
|
|
N/A
|
|
|
9,780
|
|
|
4.1
|
%
|
|||
Total Agency RMBS IOs and IIOs accounted for as derivatives (2)
|
N/A
|
|
|
N/A
|
|
|
25,438
|
|
|
3.4
|
%
|
|||
Total: Agency RMBS
|
1,656,292
|
|
|
1,786,552
|
|
|
1,851,568
|
|
|
3.7
|
%
|
|||
|
|
|
|
|
|
|
|
|||||||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||
Freddie Mac
|
4,553
|
|
|
4,553
|
|
|
4,283
|
|
|
4.5
|
%
|
|||
Agency CMBS IOs and IIOs (2)
|
|
|
|
|
|
|
|
|
|
|
|
|||
Fannie Mae
|
N/A
|
|
|
557
|
|
|
605
|
|
|
4.6
|
%
|
|||
Agency CMBS IOs and IIOs accounted for as derivatives (2)
|
|
|
|
|
|
|
|
|
|
|
|
|||
Ginnie Mae
|
N/A
|
|
|
N/A
|
|
|
8,850
|
|
|
0.6
|
%
|
|||
Total: Agency CMBS
|
4,553
|
|
|
5,110
|
|
|
13,738
|
|
|
1.2
|
%
|
|||
Total
|
$
|
1,660,845
|
|
|
$
|
1,791,662
|
|
|
$
|
1,865,306
|
|
|
3.4
|
%
|
|
(1)
|
Net weighted average coupon as of
September 30, 2016
is presented net of servicing and other fees.
|
(2)
|
IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on the interest-only class of securities.
|
Constant Prepayment Rates
|
|
Low
|
|
High
|
||
Agency RMBS
|
|
|
|
|
|
|
20-Year mortgage
|
|
7.79
|
%
|
|
29.11
|
%
|
30-Year mortgage
|
|
7.42
|
%
|
|
32.59
|
%
|
Agency RMBS IOs and IIOs
|
|
10.65
|
%
|
|
26.36
|
%
|
Agency RMBS IOs and IIOs accounted for as derivatives
|
|
6.72
|
%
|
|
27.94
|
%
|
Agency CMBS and Agency CMBS IOs and IIOs(1)
|
|
N/A
|
|
|
N/A
|
|
Agency CMBS IOs accounted for as derivatives(1)
|
|
N/A
|
|
|
N/A
|
|
|
(1)
|
CMBS generally include prepayment restrictions; therefore, there are no Constant Prepayment Rates available.
|
|
|
|
|
Weighted Average
|
|||||||||||||||||||
Category
|
|
Fair Value
|
|
Purchase
Price
|
|
Life (Years)
|
|
Original LTV
|
|
Original
FICO
|
|
60+ Day
Delinquent
|
|
6-Month
CPR
|
|||||||||
Prime
|
|
$
|
54,768
|
|
|
$
|
72.52
|
|
|
11.3
|
|
|
72.5
|
%
|
|
724
|
|
|
13.7
|
%
|
|
12.8
|
%
|
Alt-A
|
|
297,765
|
|
|
75.17
|
|
|
11.6
|
|
|
76.1
|
%
|
|
702
|
|
|
19.1
|
%
|
|
10.8
|
%
|
||
Subprime
|
|
42,609
|
|
|
58.15
|
|
|
7.8
|
|
|
58.1
|
%
|
|
633
|
|
|
21.8
|
%
|
|
7.3
|
%
|
||
Total
|
|
$
|
395,142
|
|
|
$
|
72.97
|
|
|
11.1
|
|
|
73.7
|
%
|
|
698
|
|
|
18.6
|
%
|
|
10.7
|
%
|
|
|
|
|
Principal
|
|
|
|
Weighted Average
|
||||||||
Type
|
|
Vintage
|
|
Balance
|
|
Fair Value
|
|
Life (Years)
|
|
Original LTV
|
||||||
Conduit:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
2006-2009
|
|
$
|
254,620
|
|
|
$
|
217,359
|
|
|
3.5
|
|
|
71.7
|
%
|
|
|
2010-2015
|
|
177,245
|
|
|
109,590
|
|
|
8.6
|
|
|
63.7
|
%
|
||
|
|
|
|
431,865
|
|
|
326,949
|
|
|
5.2
|
|
|
69.0
|
%
|
||
Single Asset:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
2010-2015
|
|
47,540
|
|
|
41,949
|
|
|
6.3
|
|
|
67.4
|
%
|
||
Total
|
|
|
|
$
|
479,405
|
|
|
$
|
368,898
|
|
|
5.3
|
|
|
68.9
|
%
|
Non-Agency RMBS
|
|
|
|
Non-Agency CMBS
|
|
|
|
Other Securities
|
|
|
|||
Credit Rating (1)
|
|
Percentage
|
|
Credit Rating(1)
|
|
Percentage
|
|
Credit Rating(1)
|
|
Percentage
|
|||
BBB
|
|
0.2
|
%
|
|
BBB
|
|
—
|
%
|
|
BBB
|
|
—
|
%
|
BBB-
|
|
—
|
%
|
|
BBB-
|
|
1.1
|
%
|
|
BBB-
|
|
—
|
%
|
BB
|
|
—
|
%
|
|
BB
|
|
6.5
|
%
|
|
BB
|
|
—
|
%
|
BB-
|
|
—
|
%
|
|
BB-
|
|
5.9
|
%
|
|
BB-
|
|
—
|
%
|
B+
|
|
—
|
%
|
|
B+
|
|
—
|
%
|
|
B+
|
|
—
|
%
|
B
|
|
—
|
%
|
|
B
|
|
11.3
|
%
|
|
B
|
|
—
|
%
|
B-
|
|
0.6
|
%
|
|
B-
|
|
5.8
|
%
|
|
B-
|
|
—
|
%
|
Below B
|
|
82.6
|
%
|
|
Below B
|
|
51.7
|
%
|
|
Below B
|
|
14.8
|
%
|
Not Rated
|
|
16.6
|
%
|
|
Not Rated
|
|
17.7
|
%
|
|
Not Rated
|
|
85.2
|
%
|
Total
|
|
100.0
|
%
|
|
Total
|
|
100.0
|
%
|
|
Total
|
|
100.0
|
%
|
|
(1)
|
For securities for which one or two ratings are obtained, the lower rating is used. For securities for which three ratings are obtained, the middle rating is used. Ratings are obtained either from S&P or other rating agencies, stated in terms of the S&P equivalent.
|
|
Cumulative Default
|
|
Cumulative
Severity
|
|
Cumulative 5-Year
CRR (1)
|
||||||||||||
|
Low
|
|
High
|
|
Low
|
|
High
|
|
Low
|
|
High
|
||||||
Non-Agency RMBS
|
3.50
|
%
|
|
43.74
|
%
|
|
20.00
|
%
|
|
84.79
|
%
|
|
3.13
|
%
|
|
15.88
|
%
|
Non-Agency RMBS IOs and IIOs
|
2.50
|
%
|
|
40.40
|
%
|
|
20.00
|
%
|
|
85.00
|
%
|
|
5.00
|
%
|
|
12.84
|
%
|
Non-Agency RMBS IOS and IIOs accounted for as derivatives
|
3.50
|
%
|
|
9.17
|
%
|
|
20.00
|
%
|
|
48.69
|
%
|
|
6.50
|
%
|
|
14.89
|
%
|
Non-Agency CMBS
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
Other securities
|
1.50
|
%
|
|
2.02
|
%
|
|
100.00
|
%
|
|
100.00
|
%
|
|
6.00
|
%
|
|
15.42
|
%
|
|
(1)
|
Conditional Repayment Rate
|
|
Non-Agency RMBS
|
|
|
|
Non-Agency CMBS
|
||||||||||
|
Concentration
|
|
Fair Value
|
|
|
|
Concentration
|
|
Fair Value
|
||||||
California
|
34.5
|
%
|
|
$
|
136,146
|
|
|
California
|
|
12.5
|
%
|
|
$
|
46,228
|
|
Florida
|
8.6
|
%
|
|
33,918
|
|
|
New York
|
|
6.8
|
%
|
|
25,122
|
|
||
New York
|
8.3
|
%
|
|
32,655
|
|
|
Florida
|
|
6.2
|
%
|
|
23,040
|
|
||
Virginia
|
4.4
|
%
|
|
17,558
|
|
|
Texas
|
|
6.2
|
%
|
|
22,888
|
|
||
Maryland
|
4.1
|
%
|
|
16,052
|
|
|
Virginia
|
|
5.6
|
%
|
|
20,634
|
|
|
|
|
|
|
|
Weighted Average
|
|||||||||||||
Current Coupon Rate
|
|
Number of Loans
|
|
Principal
Balance
|
|
Original LTV
|
|
Original
FICO Score(1)
|
|
Expected
Life (years)
|
|
Contractual
Maturity
(years)
|
|
Coupon
Rate
|
|||||
3.01 – 4.00%
|
|
106
|
|
$
|
38,223
|
|
|
56.6
|
%
|
|
735
|
|
|
1.3
|
|
26.6
|
|
4.0
|
%
|
4.01 – 5.00%
|
|
114
|
|
45,722
|
|
|
57.7
|
%
|
|
728
|
|
|
1.6
|
|
28.0
|
|
4.7
|
%
|
|
5.01 – 6.00%
|
|
281
|
|
111,610
|
|
|
55.2
|
%
|
|
722
|
|
|
1.5
|
|
27.3
|
|
5.1
|
%
|
|
6.01 – 7.00%
|
|
5
|
|
3,096
|
|
|
71.2
|
%
|
|
738
|
|
|
1.3
|
|
21.3
|
|
6.3
|
%
|
|
Total
|
|
506
|
|
$
|
198,651
|
|
|
56.3
|
%
|
|
726
|
|
|
1.5
|
|
27.3
|
|
4.8
|
%
|
|
(1)
|
The original FICO score is not available for
157
loans with a principal balance of approximately
$68.3 million
at
September 30, 2016
. We have excluded those loans from the weighted average computation.
|
|
State Concentration
|
|
Principal Balance
|
|||
California
|
84.9
|
%
|
|
$
|
168,889
|
|
Washington
|
5.9
|
%
|
|
11,785
|
|
|
Massachusetts
|
5.4
|
%
|
|
10,753
|
|
|
New York
|
2.3
|
%
|
|
4,479
|
|
|
Georgia
|
0.8
|
%
|
|
1,521
|
|
|
Other
|
0.7
|
%
|
|
1,224
|
|
|
Total
|
100.0
|
%
|
|
$
|
198,651
|
|
|
Three Months Ended September 30, 2016
|
|
Nine Months Ended September 30, 2016
|
||||||||||||||||||||
|
Purchases
|
|
Principal Payments
and Basis Recovery
|
|
Proceeds from
Sales
|
|
Purchases
|
|
Principal Payments
and Basis Recovery
|
|
Proceeds from
Sales
|
||||||||||||
Agency RMBS and Agency RMBS IOs and IIOs
|
$
|
355,762
|
|
|
$
|
65,698
|
|
|
$
|
42,427
|
|
|
$
|
643,766
|
|
|
$
|
167,443
|
|
|
$
|
366,677
|
|
Non-Agency RMBS
|
1,247
|
|
|
12,602
|
|
|
15,209
|
|
|
12,043
|
|
|
46,816
|
|
|
120,649
|
|
||||||
Agency CMBS and Agency CMBS IOs and IIOs
|
—
|
|
|
1,590
|
|
|
8,216
|
|
|
—
|
|
|
4,105
|
|
|
18,637
|
|
||||||
Non-Agency CMBS
|
—
|
|
|
8,067
|
|
|
9,194
|
|
|
—
|
|
|
31,216
|
|
|
34,188
|
|
||||||
Other securities
|
27,346
|
|
|
159
|
|
|
14,485
|
|
|
728,182
|
|
|
1,924
|
|
|
764,711
|
|
||||||
Total MBS and other securities
|
$
|
384,355
|
|
|
$
|
88,116
|
|
|
$
|
89,531
|
|
|
$
|
1,383,991
|
|
|
$
|
251,504
|
|
|
$
|
1,304,862
|
|
Residential Whole-Loans (1)
|
29,398
|
|
|
14,493
|
|
|
—
|
|
|
29,398
|
|
|
42,827
|
|
|
—
|
|
||||||
Total MBS and other securities: Including Whole-Loans and securitized commercial loan
|
$
|
413,753
|
|
|
$
|
102,609
|
|
|
$
|
89,531
|
|
|
$
|
1,413,389
|
|
|
$
|
294,331
|
|
|
$
|
1,304,862
|
|
|
(1)
|
For the
three and nine
ended
September 30, 2016
, purchases of Residential Whole-Loans include premiums of
$573 thousand
and
$573 thousand
paid at acquisition, respectively.
|
|
Three Months Ended September 30, 2015
|
|
Nine Months Ended September 30, 2015
|
||||||||||||||||||||
|
Purchases
|
|
Principal Payments
and Basis Recovery
|
|
Proceeds from
Sales
|
|
Purchases
|
|
Principal Payments
and Basis Recovery
|
|
Proceeds from
Sales
|
||||||||||||
Agency RMBS and Agency RMBS IOs and IIOs
|
$
|
—
|
|
|
$
|
82,022
|
|
|
$
|
421,351
|
|
|
$
|
159,048
|
|
|
251,018
|
|
|
931,332
|
|
||
Non-Agency RMBS
|
—
|
|
|
18,835
|
|
|
25,663
|
|
|
128,066
|
|
|
55,765
|
|
|
233,257
|
|
||||||
Agency CMBS and Agency CMBS IOs and IIOs
|
—
|
|
|
1,584
|
|
|
—
|
|
|
—
|
|
|
3,848
|
|
|
—
|
|
||||||
Non-Agency CMBS
|
66,758
|
|
|
560
|
|
|
55,637
|
|
|
182,339
|
|
|
1,497
|
|
|
146,525
|
|
||||||
Other securities
|
30,000
|
|
|
1,938
|
|
|
760,199
|
|
|
95,126
|
|
|
2,933
|
|
|
776,564
|
|
||||||
Total MBS and other securities
|
$
|
96,758
|
|
|
$
|
104,939
|
|
|
$
|
1,262,850
|
|
|
$
|
564,579
|
|
|
315,061
|
|
|
$
|
2,087,678
|
|
|
Residential Whole-Loans(1)
|
132,401
|
|
|
6,514
|
|
|
—
|
|
|
149,726
|
|
|
9,077
|
|
|
—
|
|
||||||
Commercial Whole-Loans
|
—
|
|
|
8,750
|
|
|
—
|
|
|
8,750
|
|
|
8,750
|
|
|
—
|
|
||||||
Total MBS and other securities: Including Residential and Commercial Whole-Loans
|
$
|
229,159
|
|
|
$
|
120,203
|
|
|
$
|
1,262,850
|
|
|
$
|
723,055
|
|
|
$
|
332,888
|
|
|
$
|
2,087,678
|
|
|
(1)
|
For the
three and nine
months ended
September 30, 2015
purchases of Residential Whole-Loans include premiums of
$2.1 million
and
$2.4 million
paid at acquisition, respectively.
|
|
2001
|
|
2003
|
|
2005
|
|
2006
|
|
2007
|
|
2011
|
|
2012
|
|
2013
|
|
2014
|
|
2015
|
|
2016
|
|
Total
|
||||||||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20-Year Mortgage
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
2.0
|
%
|
|
9.8
|
%
|
|
5.5
|
%
|
|
1.4
|
%
|
|
—
|
%
|
|
18.7
|
%
|
30-Year Mortgage
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
|
8.5
|
%
|
|
6.6
|
%
|
|
9.5
|
%
|
|
3.9
|
%
|
|
14.5
|
%
|
|
43.1
|
%
|
Agency RMBS Interest Only- Strips
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.4
|
%
|
|
0.1
|
%
|
|
0.2
|
%
|
|
—
|
%
|
|
0.2
|
%
|
|
0.9
|
%
|
Agency RMBS Interest-Only Strips, accounted for as derivatives
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
0.1
|
%
|
|
0.5
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.7
|
%
|
Agency CMBS
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
Agency CMBS interest-Only Strips
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
Agency CMBS Interest-Only Strips, accounted for as derivatives
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
|
0.2
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.3
|
%
|
Non-Agency RMBS
|
—
|
%
|
|
0.1
|
%
|
|
3.5
|
%
|
|
2.5
|
%
|
|
2.7
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.2
|
%
|
|
1.6
|
%
|
|
—
|
%
|
|
10.6
|
%
|
Non-Agency RMBS Interest Only- Strips
|
—
|
%
|
|
—
|
%
|
|
0.2
|
%
|
|
0.7
|
%
|
|
1.9
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
2.8
|
%
|
Non-Agency RMBS Interest-Only Strips, accounted for as derivatives
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
Non-Agency CMBS
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
3.9
|
%
|
|
3.5
|
%
|
|
1.1
|
%
|
|
0.2
|
%
|
|
0.1
|
%
|
|
0.9
|
%
|
|
2.8
|
%
|
|
—
|
%
|
|
12.5
|
%
|
Other securities
|
0.3
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.5
|
%
|
|
0.4
|
%
|
|
1.0
|
%
|
|
2.2
|
%
|
Residential Whole-Loans
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.2
|
%
|
|
0.4
|
%
|
|
3.5
|
%
|
|
1.7
|
%
|
|
0.2
|
%
|
|
1.1
|
%
|
|
7.1
|
%
|
Securitized commercial loan
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.8
|
%
|
|
—
|
%
|
|
0.8
|
%
|
Total
|
0.3
|
%
|
|
0.1
|
%
|
|
3.8
|
%
|
|
7.2
|
%
|
|
8.1
|
%
|
|
1.5
|
%
|
|
12.1
|
%
|
|
20.3
|
%
|
|
18.7
|
%
|
|
11.1
|
%
|
|
16.8
|
%
|
|
100
|
%
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||
Collateral
|
|
Repurchase
Agreement
Borrowings
Outstanding
|
|
Fair Value of
Collateral
Pledged (1)
|
|
Repurchase
Agreement
Borrowings
Outstanding
|
|
Fair Value of
MBS Collateral
Pledged
|
||||||||
Agency RMBS
|
|
$
|
1,784,448
|
|
|
$
|
1,841,935
|
|
|
$
|
1,601,713
|
|
|
$
|
1,658,865
|
|
Agency CMBS
|
|
10,725
|
|
|
13,737
|
|
|
32,699
|
|
|
37,872
|
|
||||
Non-Agency RMBS
|
|
270,060
|
|
|
395,064
|
|
|
380,177
|
|
|
530,110
|
|
||||
Non-Agency CMBS
|
|
256,544
|
|
|
358,481
|
|
|
323,670
|
|
|
449,771
|
|
||||
Whole-Loans and securitized commercial loan(1)
|
|
173,901
|
|
|
218,399
|
|
|
180,892
|
|
|
232,538
|
|
||||
Other securities
|
|
27,858
|
|
|
50,912
|
|
|
66,650
|
|
|
101,099
|
|
||||
Borrowings under repurchase agreements
|
|
2,523,536
|
|
|
2,878,528
|
|
|
2,585,801
|
|
|
3,010,255
|
|
||||
Less unamortized debt issuance cost
|
|
56
|
|
|
N/A
|
|
|
134
|
|
|
N/A
|
|
||||
Borrowings under repurchase agreements, net
|
|
$
|
2,523,480
|
|
|
$
|
2,878,528
|
|
|
$
|
2,585,667
|
|
|
$
|
3,010,255
|
|
|
(1)
|
Repurchase borrowings and collateral pledged attributed to Whole-Loans and securitized commercial loan owned through trust certificates. The trust certificates are eliminated upon consolidation.
|
|
|
Three Months Ended September 30, 2016
|
|
Nine Months Ended September 30, 2016
|
||||||||||||
Collateral
|
|
Proceeds
|
|
Repayments
|
|
Proceeds
|
|
Repayments
|
||||||||
Agency RMBS
|
|
$
|
2,119,828
|
|
|
$
|
1,882,784
|
|
|
$
|
6,031,664
|
|
|
$
|
5,848,926
|
|
Agency CMBS
|
|
45,213
|
|
|
54,746
|
|
|
154,568
|
|
|
176,542
|
|
||||
Non-Agency RMBS
|
|
513,797
|
|
|
523,329
|
|
|
1,330,783
|
|
|
1,440,901
|
|
||||
Non-Agency CMBS
|
|
412,562
|
|
|
431,121
|
|
|
1,192,568
|
|
|
1,260,073
|
|
||||
Whole-Loans and securitized commercial loan(1)
|
|
494,263
|
|
|
482,095
|
|
|
1,587,853
|
|
|
1,594,845
|
|
||||
Other securities
|
|
97,747
|
|
|
96,599
|
|
|
378,337
|
|
|
417,129
|
|
||||
Total
|
|
$
|
3,683,410
|
|
|
$
|
3,470,674
|
|
|
$
|
10,675,773
|
|
|
$
|
10,738,416
|
|
|
(1)
|
Repurchase borrowings collateralized by Whole-Loans and securitized commercial loan owned through trust certificates. The trust certificates are eliminated upon consolidation.
|
|
|
Three Months Ended September 30, 2015
|
|
Nine Months Ended September 30, 2015
|
||||||||||||
Collateral
|
|
Proceeds
|
|
Repayments
|
|
Proceeds
|
|
Repayments
|
||||||||
Agency RMBS
|
|
$
|
2,918,120
|
|
|
$
|
3,426,576
|
|
|
$
|
9,653,715
|
|
|
$
|
10,635,086
|
|
Agency CMBS
|
|
56,414
|
|
|
57,645
|
|
|
200,113
|
|
|
203,094
|
|
||||
Non-Agency RMBS
|
|
544,168
|
|
|
565,300
|
|
|
1,772,226
|
|
|
1,869,682
|
|
||||
Non-Agency CMBS
|
|
458,488
|
|
|
453,841
|
|
|
1,490,964
|
|
|
1,467,131
|
|
||||
Whole-Loans and securitized commercial loan(1)
|
|
110,259
|
|
|
8,839
|
|
|
123,871
|
|
|
10,387
|
|
||||
Other securities
|
|
146,322
|
|
|
117,695
|
|
|
404,966
|
|
|
356,337
|
|
||||
Total
|
|
$
|
4,233,771
|
|
|
$
|
4,629,896
|
|
|
$
|
13,645,855
|
|
|
$
|
14,541,717
|
|
|
(1)
|
Repurchase borrowings collateralized by Whole-Loans and securitized commercial loan owned through trust certificates. The trust certificates are eliminated upon consolidation.
|
(dollars in thousands)
Repurchase Agreement Counterparties
|
|
Amount Outstanding(1)
|
|
Percent of Total Amount Outstanding
|
|
Fair Value of Company Investments Held as Collateral(2)
|
|
Counterparty Rating(3)
|
|||||
Merrill Lynch Pierce Fenner & Smith Inc.
|
|
$
|
546,743
|
|
|
21.7
|
%
|
|
$
|
556,038
|
|
|
A+
|
Morgan Stanley & Co. LLC
|
|
318,054
|
|
|
12.6
|
%
|
|
353,876
|
|
|
A+
|
||
RBC (Barbados) Trading Bank Corporation
|
|
226,648
|
|
|
9.0
|
%
|
|
296,819
|
|
|
P-1
|
||
Wells Fargo Bank N.A.
|
|
208,704
|
|
|
8.3
|
%
|
|
221,644
|
|
|
AA-
|
||
TD Securities (USA) LLC
|
|
174,754
|
|
|
6.9
|
%
|
|
182,505
|
|
|
AA-
|
||
Credit Suisse AG, Cayman Islands Branch
|
|
167,111
|
|
|
6.6
|
%
|
|
205,029
|
|
|
A
|
||
Barclays Capital Inc.
|
|
159,816
|
|
|
6.3
|
%
|
|
184,941
|
|
|
A-
|
||
The Bank of Nova Scotia
|
|
96,610
|
|
|
3.8
|
%
|
|
98,099
|
|
|
A+
|
||
Deutsche Bank Securities LLC
|
|
90,887
|
|
|
3.6
|
%
|
|
94,600
|
|
|
BBB+
|
||
RBC Capital Markets LLC
|
|
85,945
|
|
|
3.4
|
%
|
|
89,136
|
|
|
AA-
|
||
Deutsche Bank AG
|
|
84,301
|
|
|
3.3
|
%
|
|
110,261
|
|
|
BBB+
|
||
Credit Suisse Securities (USA) LLC
|
|
77,458
|
|
|
3.1
|
%
|
|
138,207
|
|
|
A
|
||
Goldman Sachs Bank USA
|
|
72,279
|
|
|
2.9
|
%
|
|
110,394
|
|
|
A+
|
||
KGS-Alpha Capital Markets, L.P.
|
|
60,048
|
|
|
2.4
|
%
|
|
61,881
|
|
|
Unrated
|
||
BNP Paribas Securities Corporation
|
|
55,099
|
|
|
2.2
|
%
|
|
58,984
|
|
|
A
|
||
Mizuho Securities USA Inc.
|
|
54,169
|
|
|
2.1
|
%
|
|
60,098
|
|
|
A
|
||
Nomura Securities International, Inc.
|
|
39,824
|
|
|
1.6
|
%
|
|
49,164
|
|
|
Unrated(4)
|
||
All other counterparties (5)
|
|
5,086
|
|
|
0.2
|
%
|
|
6,999
|
|
|
|
||
Total
|
|
$
|
2,523,536
|
|
|
100.0
|
%
|
|
$
|
2,878,675
|
|
|
|
|
(1)
|
Excludes unamortized debt issuance costs of
$56 thousand
.
|
(2)
|
Fair value of Company assets held as collateral includes Residential Whole-Loans and securitized commercial loan owned through trust certificates with a fair value of
$204.9 million
and
$13.5 million
, respectively.
|
(3)
|
The counterparty ratings presented above are the long-term issuer credit ratings as rated at
September 30, 2016
by S&P, except for RBC (Barbados) Trading Bank Corporation which is the short-term issuer credit rating by Moody’s at
September 30, 2016
.
|
(4)
|
Nomura Holdings, Inc., the parent company of Nomura Securities International, Inc., is rated
BBB+
by S&P at
September 30, 2016
.
|
(5)
|
Represents amount outstanding with
one
counterparty which holds collateral valued less than 5% of our stockholders’ equity as security for our obligations under the applicable repurchase agreements as of
September 30, 2016
.
|
(dollars in thousands)
Repurchase Agreement Counterparties
|
|
Amount Outstanding(1)
|
|
Percent of Total Amount Outstanding
|
|
Fair Value of Company Investments Held as Collateral(2)
|
|
Counterparty Rating(3)
|
|||||
Merrill Lynch Pierce Fenner & Smith Inc.
|
|
$
|
347,601
|
|
|
13.4
|
%
|
|
$
|
347,998
|
|
|
A
|
RBC (Barbados) Trading Bank Corporation
|
|
322,154
|
|
|
12.5
|
%
|
|
420,564
|
|
|
P-1
|
||
Credit Suisse Securities (USA) LLC
|
|
310,897
|
|
|
12.0
|
%
|
|
429,833
|
|
|
A
|
||
JP Morgan Securities LLC
|
|
301,424
|
|
|
11.7
|
%
|
|
324,133
|
|
|
A+
|
||
Barclays Capital Inc.
|
|
222,058
|
|
|
8.6
|
%
|
|
262,381
|
|
|
A-
|
||
UBS Securities LLC
|
|
143,318
|
|
|
5.5
|
%
|
|
193,130
|
|
|
A
|
||
BNP Paribas Securities Corporation
|
|
123,181
|
|
|
4.8
|
%
|
|
129,483
|
|
|
A+
|
||
Goldman Sachs Bank USA
|
|
117,897
|
|
|
4.6
|
%
|
|
120,848
|
|
|
A
|
||
Deutsche Bank Securities LLC
|
|
110,610
|
|
|
4.3
|
%
|
|
120,550
|
|
|
BBB+
|
||
TD Securities (USA) LLC
|
|
88,157
|
|
|
3.4
|
%
|
|
92,686
|
|
|
AA-
|
||
Mizuho Securities USA Inc.
|
|
85,825
|
|
|
3.3
|
%
|
|
96,008
|
|
|
(P)A2
|
||
KGS-Alpha Capital Markets, L.P.
|
|
72,778
|
|
|
2.8
|
%
|
|
76,261
|
|
|
Unrated
|
||
Morgan Stanley & Co. LLC
|
|
67,110
|
|
|
2.6
|
%
|
|
72,693
|
|
|
A
|
||
Nomura Securities International, Inc.
|
|
65,677
|
|
|
2.5
|
%
|
|
79,196
|
|
|
Unrated(4)
|
||
Deutsche Bank AG
|
|
61,442
|
|
|
2.4
|
%
|
|
90,260
|
|
|
BBB+
|
||
RBC Capital Markets LLC
|
|
59,695
|
|
|
2.3
|
%
|
|
62,029
|
|
|
AA-
|
||
The Bank of Nova Scotia
|
|
58,801
|
|
|
2.3
|
%
|
|
59,922
|
|
|
A+
|
||
All other counterparties (5)
|
|
27,176
|
|
|
1.0
|
%
|
|
32,280
|
|
|
|
||
Total
|
|
$
|
2,585,801
|
|
|
100.0
|
%
|
|
$
|
3,010,255
|
|
|
|
|
(1)
|
Excludes unamortized debt issuance costs of
$134 thousand
.
|
(2)
|
Fair value of Company assets held as collateral includes Residential Whole-Loans and securitized commercial loan owned through trust certificates with a fair value of
$218.5 million
and
$14.0 million
, respectively.
|
(3)
|
The counterparty ratings presented above are the long-term issuer credit ratings as rated at
December 31, 2015
by S&P, except for Mizuho Securities USA Inc. which is the long-term issuer credit rating by Moody’s at
December 31, 2015
and for RBC (Barbados) Trading Bank Corporation which is the short-term issuer credit rating by Moody’s at December 31, 2015.
|
(4)
|
Nomura Holdings, Inc., the parent company of Nomura Securities International, Inc., is rated BBB+ by S&P at
December 31, 2015
.
|
(5)
|
Represents amount outstanding with four counterparties each holds collateral valued less than 5% of our stockholders’ equity as security for our obligations under the applicable repurchase agreements as of
December 31, 2015
.
|
Collateral
|
|
Balance (GAAP) September 30, 2016
|
|
Weighted Average Cost of Funds for the three months ended September 30, 2016
|
|
Weighted Average Cost
of Funds for the nine months ended September 30, 2016 |
|
Balance (GAAP) September 30, 2015
|
|
Weighted Average Cost
of Funds for the three months ended September 30, 2015 |
|
Weighted Average Cost
of Funds for the nine months ended September 30, 2015 |
||||||||
Agency RMBS
|
|
$
|
1,784,448
|
|
|
0.76
|
%
|
|
0.75
|
%
|
|
$
|
2,012,976
|
|
|
0.49
|
%
|
|
0.43
|
%
|
Agency CMBS
|
|
10,725
|
|
|
1.71
|
%
|
|
1.82
|
%
|
|
35,049
|
|
|
1.40
|
%
|
|
1.23
|
%
|
||
Non-Agency RMBS
|
|
270,060
|
|
|
2.26
|
%
|
|
2.18
|
%
|
|
386,779
|
|
|
1.64
|
%
|
|
1.59
|
%
|
||
Non-Agency CMBS
|
|
256,544
|
|
|
2.30
|
%
|
|
2.17
|
%
|
|
332,678
|
|
|
1.64
|
%
|
|
1.60
|
%
|
||
Whole-Loans and securitized commercial loan (1)
|
|
173,901
|
|
|
2.47
|
%
|
|
2.52
|
%
|
|
118,415
|
|
|
2.65
|
%
|
|
2.68
|
%
|
||
Other securities
|
|
27,858
|
|
|
2.67
|
%
|
|
2.63
|
%
|
|
124,371
|
|
|
1.83
|
%
|
|
1.87
|
%
|
||
Total
|
|
$
|
2,523,536
|
|
|
1.26
|
%
|
|
1.27
|
%
|
|
$
|
3,010,268
|
|
|
0.90
|
%
|
|
0.75
|
%
|
|
(1)
|
Repurchase borrowings collateralized by Whole-Loans and securitized commercial loan owned through trust certificates. The trust certificates are eliminated upon consolidation.
|
Collateral
|
|
Balance (GAAP) September 30, 2016
|
|
Weighted Average Effective Cost of Funds for the three months ended September 30, 2016
|
|
Weighted Average Effective Cost
of Funds for the nine months ended September 30, 2016 |
|
Balance (GAAP) September 30, 2015
|
|
Weighted Average Effective Cost
of Funds for the three months ended September 30, 2015 |
|
Weighted Average Effective Cost
of Funds for the nine months ended September 30, 2015 |
||||||||
Agency RMBS
|
|
$
|
1,784,448
|
|
|
0.76
|
%
|
|
0.75
|
%
|
|
$
|
2,012,976
|
|
|
0.49
|
%
|
|
0.43
|
%
|
Agency CMBS
|
|
10,725
|
|
|
1.71
|
%
|
|
1.82
|
%
|
|
35,049
|
|
|
1.40
|
%
|
|
1.23
|
%
|
||
Non-Agency RMBS
|
|
270,060
|
|
|
2.26
|
%
|
|
2.18
|
%
|
|
386,779
|
|
|
1.64
|
%
|
|
1.59
|
%
|
||
Non-Agency CMBS
|
|
256,544
|
|
|
2.30
|
%
|
|
2.17
|
%
|
|
332,678
|
|
|
1.64
|
%
|
|
1.60
|
%
|
||
Whole-Loans and securitized commercial loans(2)
|
|
173,901
|
|
|
2.47
|
%
|
|
2.52
|
%
|
|
118,415
|
|
|
2.65
|
%
|
|
2.68
|
%
|
||
Other securities
|
|
27,858
|
|
|
2.67
|
%
|
|
2.63
|
%
|
|
124,371
|
|
|
1.83
|
%
|
|
1.87
|
%
|
||
Interest rate swaps
|
|
n/a
|
|
|
1.14
|
%
|
|
1.22
|
%
|
|
n/a
|
|
|
0.68
|
%
|
|
0.41
|
%
|
||
Total
|
|
$
|
2,523,536
|
|
|
2.43
|
%
|
|
2.53
|
%
|
|
$
|
3,010,268
|
|
|
1.58
|
%
|
|
1.16
|
%
|
|
(1)
|
The effective cost of funds for the
three and nine
months ended
September 30, 2016
and
September 30, 2015
, is calculated on an annualized basis and include interest expense for the periods and net periodic interest payments on interest rate swaps, net of premium amortization on MAC swaps, of approximately
$6.7 million
,
$21.9 million
,
$5.2 million
and
$10.8 million
, respectively. While swaps are not accounted for using hedge accounting, such instruments are viewed by us as an economic hedge against increases in interest rates on our liabilities and are classified as hedges for U.S. federal income tax purposes in satisfying the REIT requirements. See “Non-GAAP Financial Measures.”
|
(2)
|
Repurchase agreement borrowings collateralized by Whole-Loans and securitized commercial loan owned through trust certificates. The trust certificates are eliminated upon consolidation.
|
Collateral
|
|
Three Months Ended September 30, 2016
|
|
Three Months Ended September 30, 2015
|
|
Nine Months Ended September 30, 2016
|
|
Nine Months Ended September 30, 2015
|
||||||||
Agency RMBS
|
|
$
|
1,602,770
|
|
|
$
|
2,076,450
|
|
|
$
|
1,558,747
|
|
|
$
|
2,606,830
|
|
Agency CMBS
|
|
14,895
|
|
|
35,866
|
|
|
21,453
|
|
|
37,171
|
|
||||
Non-Agency RMBS
|
|
275,900
|
|
|
403,294
|
|
|
302,219
|
|
|
428,576
|
|
||||
Non-Agency CMBS
|
|
270,633
|
|
|
326,942
|
|
|
291,178
|
|
|
324,624
|
|
||||
Whole-Loans and securitized commercial loan (1)
|
|
165,326
|
|
|
105,466
|
|
|
169,370
|
|
|
42,280
|
|
||||
Other securities
|
|
25,171
|
|
|
116,671
|
|
|
35,354
|
|
|
96,900
|
|
||||
Total
|
|
$
|
2,354,695
|
|
|
$
|
3,064,689
|
|
|
$
|
2,378,321
|
|
|
$
|
3,536,381
|
|
Maximum borrowings during the period(2)
|
|
2,523,536
|
|
|
3,092,726
|
|
|
2,523,536
|
|
|
3,968,357
|
|
|
(1)
|
Repurchase agreement borrowings collateralized by Whole-Loans and securitized commercial loan owned through trust certificates. The trust certificates are eliminated upon consolidation.
|
(2)
|
Amount represents the maximum borrowings at month-end during each of the respective periods.
|
|
|
September 30, 2016
|
|
December 31, 2015
|
|||||||||||||||||||||||||||||
Remaining Interest Rate Swap Term
|
|
Notional Amount
|
|
Fair Value Net
|
|
Average Fixed Pay
Rate
|
|
Average
Maturity
(Years)
|
|
Forward
Starting
|
|
Notional Amount
|
|
Fair Value Net
|
|
Average Fixed Pay
Rate
|
|
Average
Maturity
(Years)
|
|
Forward
Starting
|
|||||||||||||
1 year or less
|
|
$
|
—
|
|
|
$
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
|
$
|
1,286,000
|
|
|
$
|
163
|
|
|
0.6
|
%
|
|
0.6
|
|
—
|
%
|
Greater than 1 year and less than 3 years
|
|
1,098,900
|
|
|
(2,971
|
)
|
|
1.1
|
%
|
|
1.6
|
|
|
79.6
|
%
|
|
1,131,800
|
|
|
(1,450
|
)
|
|
1.1
|
%
|
|
1.4
|
|
—
|
%
|
||||
Greater than 3 years and less than 5 years
|
|
2,006,200
|
|
|
(52,187
|
)
|
|
1.8
|
%
|
|
4.2
|
|
|
33.9
|
%
|
|
1,345,200
|
|
|
(22,705
|
)
|
|
2.1
|
%
|
|
4.6
|
|
—
|
%
|
||||
Greater than 5 years
|
|
2,358,300
|
|
|
(266,847
|
)
|
|
2.6
|
%
|
|
9.9
|
|
|
10.7
|
%
|
|
2,404,600
|
|
|
(131,744
|
)
|
|
2.8
|
%
|
|
10.2
|
|
29.5
|
%
|
||||
Total
|
|
$
|
5,463,400
|
|
|
$
|
(322,005
|
)
|
|
2.0
|
%
|
|
6.1
|
|
|
33.1
|
%
|
|
$
|
6,167,600
|
|
|
$
|
(155,736
|
)
|
|
1.9
|
%
|
|
5.4
|
|
11.5
|
%
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||||||
Remaining Interest Rate swap Term
|
|
Notional Amount
|
|
Fair Value Net
|
|
Average Variable Pay
Rate
|
|
Average
Maturity
(Years)
|
|
Forward
Starting
|
|
Notional Amount
|
|
Fair Value Net
|
|
Average Variable Pay
Rate
|
|
Average
Maturity
(Years)
|
|
Forward
Starting
|
||||||||||||
Greater than 3 years and less than 5 years
|
|
$
|
2,036,500
|
|
|
$
|
21,227
|
|
|
0.7
|
%
|
|
4.1
|
|
—
|
%
|
|
$
|
1,170,700
|
|
|
$
|
(8,902
|
)
|
|
0.4
|
%
|
|
4.5
|
|
—
|
%
|
Greater than 5 years
|
|
1,936,500
|
|
|
96,742
|
|
|
0.8
|
%
|
|
10.1
|
|
—
|
%
|
|
1,102,200
|
|
|
(4,032
|
)
|
|
0.4
|
%
|
|
12.3
|
|
—
|
%
|
||||
Total
|
|
$
|
3,973,000
|
|
|
$
|
117,969
|
|
|
0.8
|
%
|
|
7.0
|
|
—
|
%
|
|
$
|
2,272,900
|
|
|
$
|
(12,934
|
)
|
|
0.4
|
%
|
|
8.2
|
|
—
|
%
|
|
|
December 31, 2015
|
||||||||||
|
|
Option
|
|
Underlying Swap
|
||||||||
Fixed-Pay Rate for Underlying Swap
|
|
Fair Value
|
|
Weighted
Average Months Until Option Expiration |
|
Notional Amount
|
|
Weighted
Average Swap Term (Years) |
||||
1.76 – 2.00%
|
|
$
|
890
|
|
|
2.1
|
|
$
|
400,000
|
|
|
5.0
|
2.01 – 2.25%
|
|
129
|
|
|
2.1
|
|
100,000
|
|
|
5.0
|
||
2.26 – 2.50%
|
|
1
|
|
|
5.8
|
|
105,000
|
|
|
1.0
|
||
Total
|
|
$
|
1,020
|
|
|
2.7
|
|
$
|
605,000
|
|
|
4.3
|
|
|
December 31, 2015
|
||||||||||
|
|
Option
|
|
Underlying Swap
|
||||||||
Variable-Pay Rate for Underlying Swap
|
|
Fair Value
|
|
Weighted
Average
Months Until
Option
Expiration
|
|
Notional Amount
|
|
Weighted
Average Swap
Term (Years)
|
||||
1.26 – 1.50%
|
|
$
|
459
|
|
|
2.1
|
|
$
|
500,000
|
|
|
5.0
|
Total
|
|
$
|
459
|
|
|
2.1
|
|
$
|
500,000
|
|
|
5.0
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||
|
Notional
Amount |
|
Fair
Value |
|
Notional
Amount |
|
Fair
Value |
||||||||
Purchase contracts, asset
|
$
|
1,104,500
|
|
|
$
|
4,073
|
|
|
$
|
1,650,000
|
|
|
$
|
3,268
|
|
TBA securities, asset
|
1,104,500
|
|
|
4,073
|
|
|
1,650,000
|
|
|
3,268
|
|
||||
Purchase contracts, liability
|
300,000
|
|
|
(105
|
)
|
|
—
|
|
|
—
|
|
||||
Sale contracts, liability
|
(514,500
|
)
|
|
(2,081
|
)
|
|
(825,000
|
)
|
|
(893
|
)
|
||||
TBA securities, liability
|
(214,500
|
)
|
|
(2,186
|
)
|
|
(825,000
|
)
|
|
(893
|
)
|
||||
TBA securities, net
|
$
|
890,000
|
|
|
$
|
1,887
|
|
|
$
|
825,000
|
|
|
$
|
2,375
|
|
|
Notional
Amount as of |
|
|
|
Settlement,
Termination, Expiration or Exercise |
|
Notional
Amount as of |
||||||||
|
December 31, 2015
|
|
Additions
|
|
|
September 30, 2016
|
|||||||||
Purchase of TBAs
|
$
|
1,650,000
|
|
|
$
|
9,704,500
|
|
|
$
|
(9,950,000
|
)
|
|
$
|
1,404,500
|
|
Sale of TBAs
|
$
|
825,000
|
|
|
$
|
9,639,500
|
|
|
$
|
(9,950,000
|
)
|
|
$
|
514,500
|
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||
Derivative Type
|
|
Notional
Amount |
|
Notional
(USD ) |
|
Maturity
|
|
Fair Value
|
|
Notional
Amount |
|
Notional
(USD) |
|
Maturity
|
|
Fair Value
|
||||||||||||
Buy EUR/Sell USD currency forward
|
|
€
|
6,542
|
|
|
$
|
7,253
|
|
|
October 2016
|
|
$
|
105
|
|
|
€
|
—
|
|
|
$
|
—
|
|
|
n/a
|
|
$
|
—
|
|
Buy USD/Sell EUR currency forward
|
|
€
|
750
|
|
|
$
|
849
|
|
|
October 2016
|
|
$
|
6
|
|
|
€
|
5,083
|
|
|
$
|
5,825
|
|
|
January 2016
|
|
$
|
302
|
|
Buy EUR/Sell USD Currency forward
|
|
€
|
98
|
|
|
$
|
111
|
|
|
November 2016
|
|
$
|
—
|
|
|
€
|
—
|
|
|
$
|
—
|
|
|
n/a
|
|
$
|
—
|
|
Currency forwards, assets
|
|
€
|
7,390
|
|
|
$
|
8,213
|
|
|
n/a
|
|
$
|
111
|
|
|
€
|
5,083
|
|
|
$
|
5,825
|
|
|
n/a
|
|
$
|
302
|
|
Buy EUR/Sell USD currency forward
|
|
€
|
280
|
|
|
$
|
316
|
|
|
November 2016
|
|
$
|
(1
|
)
|
|
€
|
6,800
|
|
|
$
|
7,671
|
|
|
January 2016
|
|
$
|
(281
|
)
|
Buy USD/Sell EUR currency forward
|
|
€
|
5,083
|
|
|
$
|
5,634
|
|
|
October 2016
|
|
$
|
(81
|
)
|
|
€
|
—
|
|
|
$
|
—
|
|
|
n/a
|
|
$
|
—
|
|
Currency forwards, liabilities
|
|
€
|
5,363
|
|
|
$
|
5,950
|
|
|
n/a
|
|
$
|
(82
|
)
|
|
€
|
6,800
|
|
|
$
|
7,671
|
|
|
n/a
|
|
$
|
(281
|
)
|
Total currency forwards
|
|
€
|
12,753
|
|
|
$
|
14,163
|
|
|
n/a
|
|
$
|
29
|
|
|
€
|
11,883
|
|
|
$
|
13,496
|
|
|
n/a
|
|
$
|
21
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
|
Date entered
|
|
Maturity
|
|
Fixed Rate
|
|
Denomination
|
|
Notional Amount
|
|
Date entered
|
|
Maturity
|
|
Fixed Rate
|
|
Denomination
|
|
Notional Amount
|
||||
Payer
|
June 2014
|
|
July 2024
|
|
7.25
|
%
|
|
EUR
|
|
4,100
|
|
|
June 2014
|
|
July 2024
|
|
7.25
|
%
|
|
EUR
|
|
18,500
|
|
Receiver
|
June 2014
|
|
July 2024
|
|
9.005
|
%
|
|
USD
|
|
5,576
|
|
|
June 2014
|
|
July 2024
|
|
9.005
|
%
|
|
USD
|
|
25,160
|
|
Period Ended
|
|
Average
Amortized
Cost of
Assets
|
|
Total
Interest
Income(1)
|
|
Yield on Average Assets
|
|
Average
Balance of
Borrowings
|
|
Total Interest Expense
|
|
Average Cost of Funds(2)
|
|
Net Interest Income
|
|
Net
Interest
Spread
|
|||||||||||||
Three months ended September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
1,725,322
|
|
|
$
|
10,269
|
|
|
2.37
|
%
|
|
$
|
1,602,770
|
|
|
$
|
3,042
|
|
|
0.76
|
%
|
|
$
|
7,227
|
|
|
1.61
|
%
|
Agency CMBS
|
|
9,621
|
|
|
172
|
|
|
7.11
|
%
|
|
14,895
|
|
|
64
|
|
|
1.71
|
%
|
|
108
|
|
|
5.40
|
%
|
|||||
Non-Agency RMBS
|
|
363,042
|
|
|
7,404
|
|
|
8.11
|
%
|
|
275,900
|
|
|
1,569
|
|
|
2.26
|
%
|
|
5,835
|
|
|
5.85
|
%
|
|||||
Non-Agency CMBS
|
|
401,588
|
|
|
7,975
|
|
|
7.90
|
%
|
|
270,633
|
|
|
1,562
|
|
|
2.30
|
%
|
|
6,413
|
|
|
5.60
|
%
|
|||||
Residential Whole-Loans
|
|
180,641
|
|
|
1,562
|
|
|
3.44
|
%
|
|
158,315
|
|
|
976
|
|
|
2.45
|
%
|
|
586
|
|
|
0.99
|
%
|
|||||
Securitized commercial loan
|
|
25,000
|
|
|
575
|
|
|
9.15
|
%
|
|
18,011
|
|
|
303
|
|
|
6.69
|
%
|
|
272
|
|
|
2.46
|
%
|
|||||
Other Securities
|
|
48,842
|
|
|
1,197
|
|
|
9.75
|
%
|
|
25,171
|
|
|
169
|
|
|
2.67
|
%
|
|
1,028
|
|
|
7.08
|
%
|
|||||
Total
|
|
$
|
2,754,056
|
|
|
$
|
29,154
|
|
|
4.21
|
%
|
|
$
|
2,365,695
|
|
|
$
|
7,685
|
|
|
1.29
|
%
|
|
$
|
21,469
|
|
|
2.92
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Three months ended September 30, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
2,282,135
|
|
|
$
|
14,931
|
|
|
2.60
|
%
|
|
$
|
2,076,450
|
|
|
$
|
2,590
|
|
|
0.49
|
%
|
|
$
|
12,341
|
|
|
2.11
|
%
|
Agency CMBS
|
|
27,639
|
|
|
385
|
|
|
5.53
|
%
|
|
35,866
|
|
|
127
|
|
|
1.40
|
%
|
|
258
|
|
|
4.13
|
%
|
|||||
Non-Agency RMBS
|
|
538,623
|
|
|
8,839
|
|
|
6.51
|
%
|
|
403,294
|
|
|
1,668
|
|
|
1.64
|
%
|
|
7,171
|
|
|
4.87
|
%
|
|||||
Non-Agency CMBS
|
|
440,196
|
|
|
7,675
|
|
|
6.92
|
%
|
|
326,942
|
|
|
1,352
|
|
|
1.64
|
%
|
|
6,323
|
|
|
5.28
|
%
|
|||||
Residential Whole-Loans
|
|
129,364
|
|
|
1,128
|
|
|
3.46
|
%
|
|
105,466
|
|
|
705
|
|
|
2.65
|
%
|
|
423
|
|
|
0.81
|
%
|
|||||
Commercial Whole-Loans
|
|
6,182
|
|
|
171
|
|
|
10.97
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
171
|
|
|
10.97
|
%
|
|||||
Other Securities
|
|
176,279
|
|
|
2,692
|
|
|
6.06
|
%
|
|
116,671
|
|
|
539
|
|
|
1.83
|
%
|
|
2,153
|
|
|
4.23
|
%
|
|||||
Total
|
|
$
|
3,600,418
|
|
|
$
|
35,821
|
|
|
3.95
|
%
|
|
$
|
3,064,689
|
|
|
$
|
6,981
|
|
|
0.90
|
%
|
|
$
|
28,840
|
|
|
3.05
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Nine months ended September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
1,629,762
|
|
|
$
|
28,472
|
|
|
2.33
|
%
|
|
$
|
1,558,747
|
|
|
$
|
8,782
|
|
|
0.75
|
%
|
|
$
|
19,690
|
|
|
1.58
|
%
|
Agency CMBS
|
|
17,231
|
|
|
836
|
|
|
6.48
|
%
|
|
21,453
|
|
|
293
|
|
|
1.82
|
%
|
|
543
|
|
|
4.66
|
%
|
|||||
Non-Agency RMBS
|
|
412,501
|
|
|
22,993
|
|
|
7.45
|
%
|
|
302,219
|
|
|
4,942
|
|
|
2.18
|
%
|
|
18,051
|
|
|
5.27
|
%
|
|||||
Non-Agency CMBS
|
|
423,670
|
|
|
24,783
|
|
|
7.81
|
%
|
|
291,178
|
|
|
4,731
|
|
|
2.17
|
%
|
|
20,052
|
|
|
5.64
|
%
|
|||||
Residential Whole-Loans
|
|
193,594
|
|
|
5,254
|
|
|
3.63
|
%
|
|
162,455
|
|
|
3,046
|
|
|
2.50
|
%
|
|
2,208
|
|
|
1.13
|
%
|
|||||
Securitized commercial loan
|
|
25,000
|
|
|
1,713
|
|
|
9.15
|
%
|
|
17,915
|
|
|
900
|
|
|
6.71
|
%
|
|
813
|
|
|
2.44
|
%
|
|||||
Other Securities
|
|
66,954
|
|
|
3,941
|
|
|
7.86
|
%
|
|
35,354
|
|
|
697
|
|
|
2.63
|
%
|
|
3,244
|
|
|
5.23
|
%
|
|||||
Total
|
|
$
|
2,768,712
|
|
|
$
|
87,992
|
|
|
4.25
|
%
|
|
$
|
2,389,321
|
|
|
$
|
23,391
|
|
|
1.31
|
%
|
|
$
|
64,601
|
|
|
2.94
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Nine months ended September 30, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
2,884,986
|
|
|
$
|
58,508
|
|
|
2.71
|
%
|
|
$
|
2,606,830
|
|
|
$
|
8,432
|
|
|
0.43
|
%
|
|
$
|
50,076
|
|
|
2.28
|
%
|
Agency CMBS
|
|
28,895
|
|
|
1,082
|
|
|
5.01
|
%
|
|
37,171
|
|
|
343
|
|
|
1.23
|
%
|
|
739
|
|
|
3.78
|
%
|
|||||
Non-Agency RMBS
|
|
580,881
|
|
|
27,833
|
|
|
6.41
|
%
|
|
428,576
|
|
|
5,089
|
|
|
1.59
|
%
|
|
22,744
|
|
|
4.82
|
%
|
|||||
Non-Agency CMBS
|
|
442,676
|
|
|
21,857
|
|
|
6.60
|
%
|
|
324,624
|
|
|
3,895
|
|
|
1.60
|
%
|
|
17,962
|
|
|
5.00
|
%
|
|||||
Residential Whole-Loans
|
|
51,726
|
|
|
1,360
|
|
|
3.52
|
%
|
|
42,280
|
|
|
847
|
|
|
2.68
|
%
|
|
513
|
|
|
0.84
|
%
|
|||||
Commercial Whole-Loans
|
|
6,282
|
|
|
424
|
|
|
9.02
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
424
|
|
|
9.02
|
%
|
|||||
Other Securities
|
|
144,573
|
|
|
6,592
|
|
|
6.10
|
%
|
|
96,900
|
|
|
1,354
|
|
|
1.87
|
%
|
|
5,238
|
|
|
4.23
|
%
|
|||||
Total
|
|
$
|
4,140,019
|
|
|
$
|
117,656
|
|
|
3.80
|
%
|
|
$
|
3,536,381
|
|
|
$
|
19,960
|
|
|
0.75
|
%
|
|
$
|
97,696
|
|
|
3.05
|
%
|
|
|
Three Months Ended September 30, 2016
|
|
Nine Months Ended September 30, 2016
|
||||||||||||||||||||||||||||
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
||||||||||||||||
Agency RMBS (1)
|
$
|
42,427
|
|
|
$
|
—
|
|
|
$
|
(138
|
)
|
|
$
|
(138
|
)
|
|
$
|
358,029
|
|
|
$
|
5,250
|
|
|
$
|
(5,764
|
)
|
|
$
|
(514
|
)
|
Agency CMBS
|
8,216
|
|
|
45
|
|
|
—
|
|
|
45
|
|
|
18,637
|
|
|
54
|
|
|
(55
|
)
|
|
(1
|
)
|
||||||||
Non-Agency RMBS
|
15,209
|
|
|
1,306
|
|
|
—
|
|
|
1,306
|
|
|
120,649
|
|
|
3,100
|
|
|
(4,559
|
)
|
|
(1,459
|
)
|
||||||||
Non-Agency CMBS
|
9,194
|
|
|
—
|
|
|
(1,452
|
)
|
|
(1,452
|
)
|
|
34,188
|
|
|
—
|
|
|
(4,381
|
)
|
|
(4,381
|
)
|
||||||||
Other securities
|
14,485
|
|
|
1,678
|
|
|
$
|
—
|
|
|
1,678
|
|
|
764,711
|
|
|
3,496
|
|
|
(2,109
|
)
|
|
1,387
|
|
|||||||
Total
|
$
|
89,531
|
|
|
$
|
3,029
|
|
|
$
|
(1,590
|
)
|
|
$
|
1,439
|
|
|
$
|
1,296,214
|
|
|
$
|
11,900
|
|
|
$
|
(16,868
|
)
|
|
$
|
(4,968
|
)
|
|
(1)
|
For the
nine
months ended
September 30, 2016
, excludes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately
$8.6 million
, gross realized gains of
$300 thousand
and gross realized losses of
$455 thousand
. For the
three months ended September 30, 2016
, there were no sales of Agency Interest-Only Strips, accounted for as derivatives.
|
|
Three months ended September 30, 2015
|
|
Nine months ended September 30, 2015
|
||||||||||||||||||||||||||||
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
||||||||||||||||
Agency RMBS
|
$
|
416,070
|
|
|
$
|
2,408
|
|
|
$
|
(4,094
|
)
|
|
$
|
(1,686
|
)
|
|
$
|
926,051
|
|
|
$
|
6,243
|
|
|
$
|
(7,671
|
)
|
|
$
|
(1,428
|
)
|
Non-Agency RMBS
|
25,663
|
|
|
1,305
|
|
|
—
|
|
|
1,305
|
|
|
233,257
|
|
|
11,066
|
|
|
(174
|
)
|
|
10,892
|
|
||||||||
Non-Agency CMBS
|
55,637
|
|
|
772
|
|
|
(71
|
)
|
|
701
|
|
|
146,525
|
|
|
2,123
|
|
|
(80
|
)
|
|
2,043
|
|
||||||||
Other securities
|
760,199
|
|
|
59
|
|
|
(2,861
|
)
|
|
(2,802
|
)
|
|
776,564
|
|
|
621
|
|
|
(2,861
|
)
|
|
(2,240
|
)
|
||||||||
Total
|
$
|
1,257,569
|
|
|
$
|
4,544
|
|
|
$
|
(7,026
|
)
|
|
$
|
(2,482
|
)
|
|
$
|
2,082,397
|
|
|
$
|
20,053
|
|
|
$
|
(10,786
|
)
|
|
$
|
9,267
|
|
(1)
|
For the
three and nine
months ended
September 30, 2015
, excludes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately
$5.3 million
, respectively, gross realized gains of
$628 thousand
and
$626 thousand
, respectively, and gross realized losses of
$2 thousand
, respectively.
|
|
Three months ended September 30, 2016
|
|
Nine months ended September 30, 2016
|
|
Three months ended September 30, 2015
|
|
Nine months ended September 30, 2015
|
||||||||
Agency RMBS
|
$
|
3,735
|
|
|
$
|
33,409
|
|
|
$
|
22,168
|
|
|
$
|
5,837
|
|
Agency CMBS
|
(34
|
)
|
|
(661
|
)
|
|
—
|
|
|
74
|
|
||||
Non-Agency RMBS
|
3,332
|
|
|
21,238
|
|
|
3,766
|
|
|
4,587
|
|
||||
Non-Agency CMBS
|
7,982
|
|
|
(7,962
|
)
|
|
(2,070
|
)
|
|
(3,955
|
)
|
||||
Whole-Loans
|
1,275
|
|
|
546
|
|
|
2,793
|
|
|
3,100
|
|
||||
Other securities
|
(800
|
)
|
|
621
|
|
|
(1,934
|
)
|
|
641
|
|
||||
Securitized debt
|
(198
|
)
|
|
380
|
|
|
—
|
|
|
—
|
|
||||
Total
|
$
|
15,292
|
|
|
$
|
47,571
|
|
|
$
|
24,723
|
|
|
$
|
10,284
|
|
|
Three months ended September 30, 2016
|
|
Nine months ended September 30, 2016
|
|
Three months ended September 30, 2015
|
|
Nine months ended September 30, 2015
|
||||||||
Agency RMBS
|
$
|
202
|
|
|
$
|
1,226
|
|
|
$
|
626
|
|
|
$
|
3,804
|
|
Non-Agency RMBS
|
852
|
|
|
8,081
|
|
|
3,716
|
|
|
6,746
|
|
||||
Non-Agency CMBS
|
3,674
|
|
|
9,213
|
|
|
271
|
|
|
2,369
|
|
||||
Other securities
|
250
|
|
|
3,611
|
|
|
1,304
|
|
|
1,965
|
|
||||
Total
|
$
|
4,978
|
|
|
$
|
22,131
|
|
|
$
|
5,917
|
|
|
$
|
14,884
|
|
|
|
Three months ended September 30, 2016
|
|
Three months ended September 30, 2015
|
||||||||||||||||||||||||||||||||||||
Description
|
|
Realized
Gain (Loss), net |
|
Contractual
interest income (expense), net(1) |
|
Return
(Recovery) of Basis |
|
Mark-to-
market adjustments |
|
Total
|
|
Realized
Gain (Loss), net |
|
Contractual
interest income (expense), net(1) |
|
Return
(Recovery) of Basis |
|
Mark-to-
market adjustments |
|
Total
|
||||||||||||||||||||
Interest rate swaps
|
|
$
|
(25,179
|
)
|
|
$
|
(6,904
|
)
|
|
$
|
168
|
|
|
$
|
35,878
|
|
|
$
|
3,963
|
|
|
$
|
28,291
|
|
|
$
|
(5,561
|
)
|
|
$
|
337
|
|
|
$
|
(64,701
|
)
|
|
$
|
(41,634
|
)
|
Interest rate swaptions
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(150
|
)
|
|
—
|
|
|
—
|
|
|
71
|
|
|
(79
|
)
|
||||||||||
Agency and Non-Agency Interest-Only Strips accounted for as derivatives
|
|
—
|
|
|
3,503
|
|
|
(2,827
|
)
|
|
446
|
|
|
1,122
|
|
|
626
|
|
|
5,437
|
|
|
(4,164
|
)
|
|
(1,799
|
)
|
|
100
|
|
||||||||||
Options
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
684
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
684
|
|
||||||||||
Futures contracts
|
|
5,844
|
|
|
—
|
|
|
—
|
|
|
(8,792
|
)
|
|
(2,948
|
)
|
|
(168
|
)
|
|
—
|
|
|
—
|
|
|
(38
|
)
|
|
(206
|
)
|
||||||||||
Foreign currency forwards
|
|
103
|
|
|
—
|
|
|
—
|
|
|
(62
|
)
|
|
41
|
|
|
(134
|
)
|
|
—
|
|
|
—
|
|
|
114
|
|
|
(20
|
)
|
||||||||||
Foreign currency swaps
|
|
1,409
|
|
|
61
|
|
|
—
|
|
|
(1,852
|
)
|
|
(382
|
)
|
|
—
|
|
|
190
|
|
|
—
|
|
|
652
|
|
|
842
|
|
||||||||||
Total return swaps
|
|
2
|
|
|
308
|
|
|
—
|
|
|
(11
|
)
|
|
299
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||
TBAs
|
|
3,579
|
|
|
—
|
|
|
—
|
|
|
447
|
|
|
4,026
|
|
|
(8,205
|
)
|
|
—
|
|
|
—
|
|
|
7,155
|
|
|
(1,050
|
)
|
||||||||||
Total
|
|
$
|
(14,242
|
)
|
|
$
|
(3,032
|
)
|
|
$
|
(2,659
|
)
|
|
$
|
26,054
|
|
|
$
|
6,121
|
|
|
$
|
20,944
|
|
|
$
|
66
|
|
|
$
|
(3,827
|
)
|
|
$
|
(58,546
|
)
|
|
$
|
(41,363
|
)
|
(1)
|
Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received.
|
|
|
Nine months ended September 30, 2016
|
|
|
|
Nine months ended September 30, 2015
|
||||||||||||||||||||||||||||||||||
Description
|
|
Realized
Gain (Loss), net |
|
Contractual
interest income (expense), net(1) |
|
Return
(Recovery) of Basis |
|
Mark-to-
market adjustments |
|
Total
|
|
Realized
Gain (Loss), net |
|
Contractual
interest income (expense), net(1) |
|
Return
(Recovery) of Basis |
|
Mark-to-
market adjustments |
|
Total
|
||||||||||||||||||||
Interest rate swaps
|
|
$
|
(28,784
|
)
|
|
$
|
(22,409
|
)
|
|
$
|
502
|
|
|
$
|
(35,393
|
)
|
|
$
|
(86,084
|
)
|
|
$
|
18,729
|
|
|
$
|
(11,871
|
)
|
|
$
|
1,075
|
|
|
$
|
(83,209
|
)
|
|
$
|
(75,276
|
)
|
Interest rate swaptions
|
|
(1,035
|
)
|
|
—
|
|
|
—
|
|
|
1,631
|
|
|
596
|
|
|
(3,873
|
)
|
|
—
|
|
|
—
|
|
|
(72
|
)
|
|
(3,945
|
)
|
||||||||||
Agency and Non-Agency Interest-Only Strips accounted for as derivatives
|
|
(155
|
)
|
|
11,113
|
|
|
(8,930
|
)
|
|
(4,480
|
)
|
|
(2,452
|
)
|
|
624
|
|
|
16,700
|
|
|
(12,877
|
)
|
|
(1,966
|
)
|
|
2,481
|
|
||||||||||
Options
|
|
4,756
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,756
|
|
|
684
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
684
|
|
||||||||||
Futures contracts
|
|
19,253
|
|
|
—
|
|
|
—
|
|
|
704
|
|
|
19,957
|
|
|
(627
|
)
|
|
—
|
|
|
—
|
|
|
683
|
|
|
56
|
|
||||||||||
Foreign currency forwards
|
|
(90
|
)
|
|
—
|
|
|
—
|
|
|
8
|
|
|
(82
|
)
|
|
(980
|
)
|
|
—
|
|
|
—
|
|
|
452
|
|
|
(528
|
)
|
||||||||||
Foreign currency swaps
|
|
5,351
|
|
|
268
|
|
|
—
|
|
|
(5,883
|
)
|
|
(264
|
)
|
|
—
|
|
|
585
|
|
|
—
|
|
|
3,944
|
|
|
4,529
|
|
||||||||||
Total return swaps
|
|
17
|
|
|
836
|
|
|
—
|
|
|
(2,171
|
)
|
|
(1,318
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||
TBAs
|
|
12,166
|
|
|
—
|
|
|
—
|
|
|
(489
|
)
|
|
11,677
|
|
|
(1,728
|
)
|
|
—
|
|
|
—
|
|
|
(2,784
|
)
|
|
(4,512
|
)
|
||||||||||
Total
|
|
$
|
11,479
|
|
|
$
|
(10,192
|
)
|
|
$
|
(8,428
|
)
|
|
$
|
(46,073
|
)
|
|
$
|
(53,214
|
)
|
|
$
|
12,829
|
|
|
$
|
5,414
|
|
|
$
|
(11,802
|
)
|
|
$
|
(82,952
|
)
|
|
$
|
(76,511
|
)
|
(1)
|
Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received
.
|
|
(1)
|
Includes Agency and Non-Agency Interest-Only Strips accounted for as derivatives.
|
(2)
|
Amounts for the
three months ended September 30, 2016
include net (amortization of premiums), accretion of discounts and (amortization/recovery of basis) of approximately
$(8.6) million
. This amount is composed of approximately
$(6.3) million
for Agency RMBS included in interest income,
$(505) thousand
for Agency CMBS included in interest income, approximately
$(1.2) million
for Non-Agency RMBS included in interest income, approximately
$2.0 million
for Non-Agency CMBS included in interest income, approximately
$(544) thousand
for Residential Whole-Loans included in interest income, approximately
$732 thousand
for Other securities included in interest income and approximately
$(2.8) million
of amortization/recovery of basis on Agency and Non-Agency Interest-Only Strips accounted for as derivatives (Non-GAAP measure), not reported in interest income for GAAP (included in Loss on derivative instruments). Amounts for the
three months ended September 30, 2015
include net (amortization of premiums), accretion of discounts and (amortization/recovery of basis) of approximately
$(17.6) million
. This amount is composed of approximately
$(11.6) million
for Agency RMBS included in interest income,
$(592) thousand
for Agency CMBS included in interest income, approximately
$(2.3) million
for Non-Agency RMBS included in interest income, approximately
$603 thousand
for Non-Agency CMBS included in interest income, approximately
$(371) thousand
for Residential Whole-Loans included in interest income, approximately
$770 thousand
for Other securities included in interest income and approximately
$(4.2) million
of amortization/recovery of basis on Agency and Non-Agency Interest-Only Strips accounted for as derivatives (Non-GAAP measure), not reported in interest income for GAAP (included in Loss on derivative instruments). For the
nine months ended September 30, 2016
include net (amortization of premiums), accretion of discounts and (amortization/recovery of basis) of approximately
$(30.5) million
. This amount is composed of approximately
$(22.2) million
for Agency RMBS included in interest income,
$(1.4) million
for Agency CMBS included in interest income, approximately
$(4.1) million
for Non-Agency RMBS included in interest income, approximately
$5.5 million
for Non-Agency CMBS included in interest income, approximately
$(1.6) million
for Residential Whole-Loans included in interest income, approximately
$2.3 million
for Other securities included in interest income and approximately
$(8.9) million
of amortization/recovery of basis on Agency and Non-Agency Interest-Only Strips accounted for as derivatives (Non-GAAP measure), not reported in interest income for GAAP (included in Loss on derivative instruments). For the
nine months ended September 30, 2015
include net (amortization of premiums), accretion of discounts and (amortization/recovery of basis) of approximately
$(57.1) million
. This amount is composed of approximately
$(39.5) million
for Agency RMBS included in interest income, approximately
$(1.7) million
for Agency CMBS included in interest income, approximately
$(6.6) million
for Non-Agency RMBS included in interest income, approximately
$2.2 million
for Non-Agency CMBS included in interest income, approximately
$(483) thousand
for Residential Whole-Loans included in interest income, approximately
$1.9 million
for Other securities included in interest income and approximately
$(12.9) million
of amortization/recovery of basis on Agency and Non-Agency Interest-Only Strips accounted for as derivatives (Non-GAAP measure), not reported in interest income for GAAP (included in Loss on derivative instruments).
|
(3)
|
Includes the net amount paid, including accrued amounts and premium amortization for MAC interest rate swaps during the periods included in loss on derivative instruments for GAAP.
|
(dollars in thousands)
|
|
Three months ended September 30, 2016
|
|
Three months ended September 30, 2015
|
|
Nine months ended September 30, 2016
|
|
Nine months ended September 30, 2015
|
||||||||
Coupon interest income
|
|
$
|
34,944
|
|
|
$
|
49,287
|
|
|
$
|
109,514
|
|
|
$
|
161,835
|
|
Premium accretion, discount amortization and amortization of basis, net
|
|
(5,790
|
)
|
|
(13,466
|
)
|
|
(21,522
|
)
|
|
(44,179
|
)
|
||||
Interest income
|
|
$
|
29,154
|
|
|
$
|
35,821
|
|
|
$
|
87,992
|
|
|
$
|
117,656
|
|
|
|
|
|
|
|
|
|
|
||||||||
Contractual interest income, net of amortization of basis on Agency and Non-Agency Interest-Only Strips, classified as derivatives(1):
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Coupon interest income
|
|
$
|
3,503
|
|
|
$
|
5,436
|
|
|
$
|
11,113
|
|
|
$
|
16,700
|
|
Amortization of basis (Non-GAAP Financial Measure)
|
|
(2,827
|
)
|
|
(4,163
|
)
|
|
(8,930
|
)
|
|
(12,877
|
)
|
||||
Contractual interest income, net on Foreign currency swaps(1)
|
|
61
|
|
|
190
|
|
|
268
|
|
|
585
|
|
||||
Contractual interest income, net on Total return swaps(1)
|
|
308
|
|
|
—
|
|
|
836
|
|
|
—
|
|
||||
Subtotal
|
|
1,045
|
|
|
1,463
|
|
|
3,287
|
|
|
4,408
|
|
||||
Total interest income, including interest income on Agency and Non-Agency Interest-Only Strips, classified as derivatives and other derivative instruments - Non-GAAP Financial Measure
|
|
$
|
30,199
|
|
|
$
|
37,284
|
|
|
$
|
91,279
|
|
|
$
|
122,064
|
|
|
(1)
|
Reported in gain (loss) on derivative instruments in our Consolidated Statement of Operations.
|
|
|
Three months ended September 30, 2016
|
|
Three months ended September 30, 2015
|
|
Nine months ended September 30, 2016
|
|
Nine months ended September 30, 2015
|
||||||||||||||||||||
(dollars in thousands)
|
|
Reconciliation
|
|
Cost of
Funds/
Effective
Borrowing
Costs
|
|
Reconciliation
|
|
Cost of
Funds/
Effective
Borrowing
Costs
|
|
Reconciliation
|
|
Cost of
Funds/
Effective
Borrowing
Costs
|
|
Reconciliation
|
|
Cost of
Funds/
Effective
Borrowing
Costs
|
||||||||||||
Interest expense
|
|
$
|
7,685
|
|
|
1.29
|
%
|
|
$
|
6,981
|
|
|
0.90
|
%
|
|
$
|
23,391
|
|
|
1.31
|
%
|
|
$
|
19,960
|
|
|
0.75
|
%
|
Net interest paid - interest rate swaps
|
|
6,736
|
|
|
1.14
|
%
|
|
5,224
|
|
|
0.68
|
%
|
|
21,907
|
|
|
1.22
|
%
|
|
10,796
|
|
|
0.41
|
%
|
||||
Effective Borrowing Costs
|
|
$
|
14,421
|
|
|
2.43
|
%
|
|
$
|
12,205
|
|
|
1.58
|
%
|
|
$
|
45,298
|
|
|
2.53
|
%
|
|
$
|
30,756
|
|
|
1.16
|
%
|
Weighted average repurchase borrowings
|
|
$
|
2,365,695
|
|
|
|
|
|
$
|
3,064,689
|
|
|
|
|
|
$
|
2,389,321
|
|
|
|
|
|
$
|
3,536,381
|
|
|
|
|
(dollars in thousands)
|
|
Three months ended September 30, 2016
|
|
Three months ended September 30, 2015
|
|
Nine months ended September 30, 2016
|
|
Nine months ended September 30, 2015
|
||||||||
Net Income (loss) — GAAP
|
|
$
|
32,282
|
|
|
$
|
(1,852
|
)
|
|
$
|
13,281
|
|
|
$
|
10,601
|
|
Provision for income tax
|
|
2,239
|
|
|
—
|
|
|
2,239
|
|
|
—
|
|
||||
Net Income (loss) before provision for income tax
|
|
34,521
|
|
|
(1,852
|
)
|
|
15,520
|
|
|
10,601
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Adjustments:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Unrealized (gain) loss on investments and securitized debt
|
|
(15,292
|
)
|
|
(24,723
|
)
|
|
(47,571
|
)
|
|
(10,284
|
)
|
||||
Other than temporary impairment
|
|
4,978
|
|
|
5,917
|
|
|
22,131
|
|
|
14,884
|
|
||||
Realized (gain) loss on sale of investments
|
|
(1,439
|
)
|
|
2,482
|
|
|
4,968
|
|
|
(9,267
|
)
|
||||
Realized (gain) loss on foreign currency transactions
|
|
149
|
|
|
275
|
|
|
266
|
|
|
(2,523
|
)
|
||||
Unrealized (gain) loss on foreign currency transactions
|
|
195
|
|
|
(201
|
)
|
|
639
|
|
|
859
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Derivative Instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net realized (gain) loss on derivatives
|
|
14,242
|
|
|
(20,944
|
)
|
|
(11,479
|
)
|
|
(12,829
|
)
|
||||
Unrealized (gain) loss on derivatives
|
|
(26,054
|
)
|
|
58,546
|
|
|
46,073
|
|
|
82,952
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Non-cash stock-based compensation expense
|
|
433
|
|
|
509
|
|
|
1,351
|
|
|
1,969
|
|
||||
Total adjustments
|
|
(22,788
|
)
|
|
21,861
|
|
|
16,378
|
|
|
65,761
|
|
||||
Core Earnings — Non-GAAP Financial Measure
|
|
$
|
11,733
|
|
|
$
|
20,009
|
|
|
$
|
31,898
|
|
|
$
|
76,362
|
|
|
|
|
|
|
|
|
|
|
||||||||
Basic Core Earnings per Share of Common Stock and Participating Securities - Non-GAAP Financial Measure
|
|
$
|
0.28
|
|
|
$
|
0.48
|
|
|
$
|
0.76
|
|
|
$
|
1.82
|
|
Diluted Core Earnings per Share of Common Stock and Participating Securities - Non-GAAP Financial Measure
|
|
$
|
0.28
|
|
|
$
|
0.48
|
|
|
$
|
0.76
|
|
|
$
|
1.82
|
|
|
|
|
|
|
|
|
|
|
||||||||
Basic weighted average common shares and participating securities
|
|
41,970,108
|
|
|
41,946,885
|
|
|
41,959,152
|
|
|
41,896,839
|
|
||||
Diluted weighted average common shares and participating securities
|
|
41,970,108
|
|
|
41,946,885
|
|
|
41,959,152
|
|
|
41,896,839
|
|
(dollars in thousands)
|
|
Three months ended September 30, 2016
|
|
Three months ended September 30, 2015
|
|
Nine months ended September 30, 2016
|
|
Nine months ended September 30, 2015
|
||||||||
Net interest income including interest income on Interest-Only Strips accounted for as derivatives and interest income (expense), net incurred on interest rate swaps, total return swaps and foreign currency swaps (a Non-GAAP financial measure)
|
|
$
|
15,778
|
|
|
$
|
25,079
|
|
|
$
|
45,981
|
|
|
$
|
91,308
|
|
Total Operating Expenses
|
|
(4,762
|
)
|
|
(5,624
|
)
|
|
(16,181
|
)
|
|
(16,995
|
)
|
||||
Non-cash stock based compensation
|
|
433
|
|
|
509
|
|
|
1,351
|
|
|
1,969
|
|
||||
Interest income on cash balances and other income (loss), net
|
|
284
|
|
|
45
|
|
|
747
|
|
|
80
|
|
||||
Core Earnings (a Non-GAAP financial measure)
|
|
$
|
11,733
|
|
|
$
|
20,009
|
|
|
$
|
31,898
|
|
|
$
|
76,362
|
|
|
September 30, 2016
|
|
Three months ended September 30, 2016
|
|
Nine months ended September 30, 2016
|
||||||||||||||||||||
Collateral
|
Borrowings
Outstanding
|
|
Fair Value of
Collateral
Pledged (1)
|
|
Weighted
Average
Interest Rate
end of period
|
|
Weighted
Average
Haircut
end of period
|
|
Weighted
Average Cost
of Funds
|
|
Weighted
Average
Effective Cost of
Funds (Non-GAAP)(2)
|
|
Weighted
Average Cost
of Funds
|
|
Weighted
Average
Effective Cost of
Funds (Non-GAAP)(2)
|
||||||||||
Agency RMBS
|
$
|
1,784,448
|
|
|
$
|
1,841,935
|
|
|
0.75
|
%
|
|
4.35
|
%
|
|
0.76
|
%
|
|
0.76
|
%
|
|
0.75
|
%
|
|
0.75
|
%
|
Agency CMBS
|
10,725
|
|
|
13,737
|
|
|
1.66
|
%
|
|
24.28
|
%
|
|
1.71
|
%
|
|
1.71
|
%
|
|
1.82
|
%
|
|
1.82
|
%
|
||
Non-Agency RMBS
|
270,060
|
|
|
395,064
|
|
|
2.32
|
%
|
|
28.95
|
%
|
|
2.26
|
%
|
|
2.26
|
%
|
|
2.18
|
%
|
|
2.18
|
%
|
||
Non-Agency CMBS(3)
|
256,544
|
|
|
358,481
|
|
|
2.36
|
%
|
|
27.20
|
%
|
|
2.30
|
%
|
|
2.30
|
%
|
|
2.17
|
%
|
|
2.17
|
%
|
||
Whole-Loans and securitized commercial loan(4)
|
173,901
|
|
|
218,399
|
|
|
2.78
|
%
|
|
21.17
|
%
|
|
2.47
|
%
|
|
2.47
|
%
|
|
2.52
|
%
|
|
2.52
|
%
|
||
Other securities
|
27,858
|
|
|
50,912
|
|
|
3.05
|
%
|
|
43.53
|
%
|
|
2.67
|
%
|
|
2.67
|
%
|
|
2.63
|
%
|
|
2.63
|
%
|
||
Interest rate swaps
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
1.14
|
%
|
|
n/a
|
|
|
1.22
|
%
|
||
Total
|
$
|
2,523,536
|
|
|
$
|
2,878,528
|
|
|
1.25
|
%
|
|
10.98
|
%
|
|
1.26
|
%
|
|
2.43
|
%
|
|
1.27
|
%
|
|
2.53
|
%
|
|
(1)
|
Excludes approximately
$30.5 million
of cash collateral posted.
|
(2)
|
The effective cost of funds for the period presented is calculated on an annualized basis and includes interest expense for the period and net periodic interest payments on interest rate swaps, net of premium amortization on MAC swaps, of approximately
$6.7 million
and
$21.9 million
for the
three and nine
months ended
September 30, 2016
, respectively. While interest rate swaps are not accounted for using hedge accounting, such instruments are viewed by us as an economic hedge against increases in interest rates on our liabilities and are treated as hedges for purposes of satisfying the REIT requirements. See “Non-GAAP Financial Measures”.
|
(3)
|
Including Non U.S. CMBS pledged as collateral and Non U.S. repurchase agreement borrowings.
|
(4)
|
Repurchase agreement borrowings collateralized by Whole-Loans and securitized commercial loan owned through trust certificates. The trust certificates are eliminated upon consolidation.
|
|
September 30, 2015
|
|
Three months ended September 30, 2015
|
|
Nine months ended September 30, 2015
|
||||||||||||||||||||
Collateral
|
Borrowings
Outstanding
|
|
Fair Value of
Collateral
Pledged (1)
|
|
Weighted
Average
Interest Rate
end of period
|
|
Weighted
Average
Haircut
end of period
|
|
Weighted
Average Cost
of Funds
|
|
Weighted
Average
Effective Cost of
Funds (Non-GAAP)(2)
|
|
Weighted
Average Cost
of Funds
|
|
Weighted
Average
Effective Cost of
Funds (Non-GAAP)(2)
|
||||||||||
Agency RMBS
|
$
|
2,012,976
|
|
|
$
|
2,118,025
|
|
|
0.54
|
%
|
|
5.20
|
%
|
|
0.49
|
%
|
|
0.49
|
%
|
|
0.43
|
%
|
|
0.43
|
%
|
Agency CMBS
|
35,049
|
|
|
40,057
|
|
|
1.43
|
%
|
|
14.88
|
%
|
|
1.40
|
%
|
|
1.40
|
%
|
|
1.23
|
%
|
|
1.23
|
%
|
||
Non-Agency RMBS
|
386,779
|
|
|
546,016
|
|
|
1.71
|
%
|
|
29.76
|
%
|
|
1.64
|
%
|
|
1.64
|
%
|
|
1.59
|
%
|
|
1.59
|
%
|
||
Non-Agency CMBS(3)
|
332,678
|
|
|
464,457
|
|
|
1.69
|
%
|
|
28.00
|
%
|
|
1.64
|
%
|
|
1.64
|
%
|
|
1.60
|
%
|
|
1.60
|
%
|
||
Whole-Loans and securitized commercial loan(4)
|
118,415
|
|
|
150,486
|
|
|
2.17
|
%
|
|
20.24
|
%
|
|
2.65
|
%
|
|
2.65
|
%
|
|
2.68
|
%
|
|
2.68
|
%
|
||
Other securities
|
124,371
|
|
|
175,128
|
|
|
1.93
|
%
|
|
27.74
|
%
|
|
1.83
|
%
|
|
1.83
|
%
|
|
1.87
|
%
|
|
1.87
|
%
|
||
Interest rate swaps
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
0.68
|
%
|
|
n/a
|
|
|
0.41
|
%
|
||
Total
|
$
|
3,010,268
|
|
|
$
|
3,494,169
|
|
|
0.95
|
%
|
|
12.51
|
%
|
|
0.90
|
%
|
|
1.58
|
%
|
|
0.75
|
%
|
|
1.16
|
%
|
(1)
|
Excludes approximately
$21.9 million
of cash collateral posted.
|
(2)
|
The effective cost of funds for the period presented is calculated on an annualized basis and includes interest expense for the period and net periodic interest payments on interest rate swaps, net of premium amortization on MAC swaps, of approximately
$5.2 million
and
$10.8 million
for the
three and nine
months ended
September 30, 2015
, respectively. While interest rate swaps are not accounted for using hedge accounting, such instruments are viewed by us as an economic hedge against increases in interest rates on our liabilities and are treated as hedges for purposes of satisfying the REIT requirements. See “Non-GAAP Financial Measures”.
|
(3)
|
Including Non U.S. CMBS pledged as collateral and Non U.S. repurchase agreement borrowings.
|
(4)
|
Repurchase agreement borrowings collateralized by Whole-Loans and securitized commercial loan owned through trust certificates. The trust certificates are eliminated upon consolidation.
|
|
Less than 1
year
|
|
1 to 3
years
|
|
3 to 5
years
|
|
More than
5 years
|
|
Total
|
|||||||
Borrowings under repurchase agreements(2)
|
$
|
2,523,536
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
$
|
2,523,536
|
|
TBA — long positions
|
1,459,096
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,459,096
|
|
||
Total: Non-GAAP Basis
|
3,982,632
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,982,632
|
|
||
TBA-long positions
|
1,459,096
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,459,096
|
|
||
Total: GAAP Basis —Excluding TBA-long positions
|
$
|
2,523,536
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
$
|
2,523,536
|
|
|
(1)
|
The table above does not include amounts due under the Management Agreement (as defined herein) with our Manager, as those obligations do not have fixed and determinable payments.
|
(2)
|
Excludes unamortized debt issuance cost.
|
Change in Interest Rates
|
|
Percentage Change in Projected
Net Interest Income
|
|
Percentage Change in Projected
Portfolio Value
|
||
+1.00%
|
|
27.43
|
%
|
|
(2.03
|
)%
|
+0.50%
|
|
17.76
|
%
|
|
(1.03
|
)%
|
-0.50%
|
|
(26.62
|
)%
|
|
0.54
|
%
|
-1.00%
|
|
(51.13
|
)%
|
|
0.55
|
%
|
Exhibit No.
|
|
Description
|
|
|
|
3.1*
|
|
Amended and restated certificate of incorporation of Western Asset Mortgage Capital Corporation, incorporated by reference to Exhibit 3.1 to Amendment No. 10 Form S-11 (Registration Statement No. 333-159962), filed May 8, 2012
|
|
|
|
3.2*
|
|
Amended and restated bylaws of Western Asset Mortgage Capital Corporation, incorporated by reference to Exhibit 3.2 to Amendment No. 10 Form S-11 (Registration Statement No. 333-159962), filed May 8, 2012
|
|
|
|
4.1*
|
|
Specimen Common Stock Certificate of Western Asset Mortgage Capital Corporation, incorporated by reference to Exhibit 4.1 to Amendment No. 10 Form S-11 (Registration Statement No. 333-159962), filed May 8, 2012
|
|
|
|
10.1*
|
|
Amendment to the Management Agreement between Western Asset Mortgage Capital Corporation and Western Asset Management Company, dated August 3, 2016.
|
|
|
|
10.2*
|
|
Form of Warrant, incorporated by reference to Exhibit 10.2 to Amendment No. 9 Form S-11 (Registration Statement No. 333-159962), filed April 30, 2012.
|
|
|
|
10.3*
|
|
Management Agreement, dated May 9, 2012, between Western Asset Mortgage Capital Corporation and Western Asset Management Company, incorporated by reference to Exhibit 10.4 to the Quarterly Report on Form 10-Q, filed August 14, 2012.
|
|
|
|
10.4*
|
|
Registration Rights Agreement, dated May 15, 2012, among Western Asset Mortgage Capital Corporation, Western Asset Management Company and certain individual holders named therein, incorporated by reference to Exhibit 10.5 to the Quarterly Report on Form 10-Q, filed August 14, 2012.
|
|
|
|
10.5*
|
|
Western Asset Mortgage Capital Corporation Equity Plan, incorporated by reference to Exhibit 10.5 to Amendment No. 9 Form S-11 (Registration Statement No. 333-159962), filed April 30, 2012.
|
|
|
|
10.6*
|
|
Western Asset Mortgage Capital Corporation Manager Equity Plan, incorporated by reference to Exhibit 10.6 to Amendment No. 9 Form S-11 (Registration Statement No. 333-159962), filed April 30, 2012.
|
|
|
|
10.7*
|
|
Form of Indemnification Agreement between Western Asset Mortgage Capital Corporation and a director, incorporated by reference to Exhibit 10.7 to Amendment No. 9 Form S-11 (Registration Statement No. 333-159962), filed April 30, 2012.
|
|
|
|
10.8*
|
|
Restricted Stock Award Agreement, dated May 15, 2012, for Western Asset Management Company, incorporated by reference to Exhibit 10.9 to the Quarterly Report on Form 10-Q, filed August 14, 2012.
|
|
|
|
10.9*
|
|
Form of Restricted Stock Award Agreement for independent directors, incorporated by reference to Exhibit 10.2 to the Form S-8 dated May 15, 2012 (File No. 1-35543).
|
|
|
|
31.1
|
|
Rule 13a-14(a) / 15d-14(a) Certification of Chief Executive Officer.
|
|
|
|
31.2
|
|
Rule 13a-14(a) / 15d-14(a) Certification of Chief Financial Officer.
|
|
|
|
32.1
|
|
Section 1350 Certifications of Chief Executive Officer and Chief Financial Officer
|
|
|
|
101.INS
|
|
XBRL Instance Document
|
|
|
|
101.SCH
|
|
XBRL Taxonomy Extension Schema Document
|
|
|
|
101.CAL
|
|
XBRL Taxonomy Extension Calculation Linkbase Document
|
|
|
|
101.DEF
|
|
XBRL Taxonomy Extension Definition Linkbase Document
|
|
|
|
101.LAB
|
|
XBRL Taxonomy Extension Label Linkbase Document
|
|
|
|
101.PRE
|
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
|
By:
|
/s/ JENNIFER W. MURPHY
|
|
|
|
|
Jennifer W. Murphy
|
|
|
President, Chief Executive Officer and Director (Principal Executive Officer)
|
|
|
|
|
|
November 4, 2016
|
|
|
|
|
|
|
|
|
By:
|
/s/ LISA MEYER
|
|
|
|
|
Lisa Meyer
|
|
|
Chief Financial Officer (Principal Financial and Accounting Officer)
|
|
|
|
|
|
November 4, 2016
|