|
ý
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QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
|
o
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
|
Delaware
|
|
26-1701984
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(State or Other Jurisdiction of
Incorporation or Organization)
|
|
(I.R.S. Employer
Identification No.)
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Large accelerated filer
|
ý
|
|
Accelerated filer
|
¨
|
|
|
|
|
|
Non-accelerated filer
|
¨
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(Do not check if a smaller reporting company)
|
Smaller Reporting Company
|
¨
|
|
|
|
|
|
Emerging growth company
|
¨
|
|
|
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|
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||
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|
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||
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|
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June 30, 2018
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|
December 31, 2017
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||||
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(Unaudited)
|
|
|
||||
Assets:
|
|
|
|
||||
Agency securities, at fair value (including pledged securities of $51,356 and $53,055, respectively)
|
$
|
55,524
|
|
|
$
|
55,506
|
|
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)
|
587
|
|
|
662
|
|
||
Credit risk transfer securities, at fair value
|
936
|
|
|
876
|
|
||
Non-Agency securities, at fair value
|
60
|
|
|
36
|
|
||
REIT equity securities, at fair value
|
46
|
|
|
29
|
|
||
Cash and cash equivalents
|
863
|
|
|
1,046
|
|
||
Restricted cash
|
447
|
|
|
317
|
|
||
Derivative assets, at fair value
|
458
|
|
|
205
|
|
||
Receivable for investment securities sold (pledged securities)
|
31
|
|
|
—
|
|
||
Receivable under reverse repurchase agreements
|
13,306
|
|
|
10,961
|
|
||
Goodwill and other intangible assets, net
|
550
|
|
|
551
|
|
||
Other assets
|
330
|
|
|
187
|
|
||
Total assets
|
$
|
73,138
|
|
|
$
|
70,376
|
|
Liabilities:
|
|
|
|
||||
Repurchase agreements
|
$
|
48,839
|
|
|
$
|
50,296
|
|
Debt of consolidated variable interest entities, at fair value
|
313
|
|
|
357
|
|
||
Payable for investment securities purchased
|
1,503
|
|
|
95
|
|
||
Derivative liabilities, at fair value
|
6
|
|
|
28
|
|
||
Dividends payable
|
87
|
|
|
80
|
|
||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
|
12,898
|
|
|
10,467
|
|
||
Accounts payable and other liabilities
|
450
|
|
|
299
|
|
||
Total liabilities
|
64,096
|
|
|
61,622
|
|
||
Stockholders' equity:
|
|
|
|
||||
7.750% Series B Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $175)
|
169
|
|
|
169
|
|
||
7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $325)
|
315
|
|
|
315
|
|
||
Common stock - $0.01 par value; 900 and 600 shares authorized, respectively; 434.1 and 391.3 shares issued and outstanding, respectively
|
4
|
|
|
4
|
|
||
Additional paid-in capital
|
11,964
|
|
|
11,173
|
|
||
Retained deficit
|
(2,299
|
)
|
|
(2,562
|
)
|
||
Accumulated other comprehensive loss
|
(1,111
|
)
|
|
(345
|
)
|
||
Total stockholders' equity
|
9,042
|
|
|
8,754
|
|
||
Total liabilities and stockholders' equity
|
$
|
73,138
|
|
|
$
|
70,376
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
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||||||||||||
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2018
|
|
2017
|
|
2018
|
|
2017
|
||||||||
Interest income:
|
|
|
|
|
|
|
|
||||||||
Interest income
|
$
|
414
|
|
|
$
|
293
|
|
|
$
|
845
|
|
|
$
|
589
|
|
Interest expense
|
237
|
|
|
112
|
|
|
443
|
|
|
210
|
|
||||
Net interest income
|
177
|
|
|
181
|
|
|
402
|
|
|
379
|
|
||||
Other gain (loss), net:
|
|
|
|
|
|
|
|
||||||||
Gain (loss) on sale of investment securities, net
|
(74
|
)
|
|
15
|
|
|
(76
|
)
|
|
(69
|
)
|
||||
Unrealized gain (loss) on investment securities measured at fair value through net income, net
|
(94
|
)
|
|
9
|
|
|
(617
|
)
|
|
25
|
|
||||
Gain (loss) on derivative instruments and other securities, net
|
298
|
|
|
(169
|
)
|
|
1,036
|
|
|
(209
|
)
|
||||
Management fee income
|
4
|
|
|
4
|
|
|
8
|
|
|
8
|
|
||||
Total other gain (loss), net:
|
134
|
|
|
(141
|
)
|
|
351
|
|
|
(245
|
)
|
||||
Expenses:
|
|
|
|
|
|
|
|
||||||||
Compensation and benefits
|
10
|
|
|
10
|
|
|
20
|
|
|
20
|
|
||||
Other operating expense
|
8
|
|
|
6
|
|
|
16
|
|
|
14
|
|
||||
Total operating expense
|
18
|
|
|
16
|
|
|
36
|
|
|
34
|
|
||||
Net income
|
293
|
|
|
24
|
|
|
717
|
|
|
100
|
|
||||
Dividend on preferred stock
|
9
|
|
|
7
|
|
|
18
|
|
|
14
|
|
||||
Net income available to common stockholders
|
$
|
284
|
|
|
$
|
17
|
|
|
$
|
699
|
|
|
$
|
86
|
|
|
|
|
|
|
|
|
|
||||||||
Net income
|
$
|
293
|
|
|
$
|
24
|
|
|
$
|
717
|
|
|
$
|
100
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
||||||||
Unrealized gain (loss) on available-for-sale securities, net
|
(145
|
)
|
|
121
|
|
|
(766
|
)
|
|
167
|
|
||||
Comprehensive income (loss)
|
148
|
|
|
145
|
|
|
(49
|
)
|
|
267
|
|
||||
Dividend on preferred stock
|
9
|
|
|
7
|
|
|
18
|
|
|
14
|
|
||||
Comprehensive income (loss) available (attributable) to common stockholders
|
$
|
139
|
|
|
$
|
138
|
|
|
$
|
(67
|
)
|
|
$
|
253
|
|
|
|
|
|
|
|
|
|
||||||||
Weighted average number of common shares outstanding - basic
|
404.9
|
|
|
346.4
|
|
|
398.2
|
|
|
338.8
|
|
||||
Weighted average number of common shares outstanding - diluted
|
405.2
|
|
|
346.5
|
|
|
398.4
|
|
|
338.9
|
|
||||
Net income per common share - basic
|
$
|
0.70
|
|
|
$
|
0.05
|
|
|
$
|
1.76
|
|
|
$
|
0.25
|
|
Net income per common share - diluted
|
$
|
0.70
|
|
|
$
|
0.05
|
|
|
$
|
1.75
|
|
|
$
|
0.25
|
|
Dividends declared per common share
|
$
|
0.54
|
|
|
$
|
0.54
|
|
|
$
|
1.08
|
|
|
$
|
1.08
|
|
|
8.000% Series A Cumulative Redeemable Preferred Stock
|
|
7.750% Series B Cumulative Redeemable Preferred Stock
|
|
7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
|
|
Common Stock
|
|
Additional
Paid-in Capital |
|
Retained
Deficit |
|
Accumulated
Other Comprehensive Income (Loss) |
|
Total
|
|||||||||||||||||||
|
|
|
|
Shares
|
|
Amount
|
|
|||||||||||||||||||||||||||
Balance, December 31, 2016
|
$
|
167
|
|
|
$
|
169
|
|
|
$
|
—
|
|
|
331.0
|
|
|
$
|
3
|
|
|
$
|
9,932
|
|
|
$
|
(2,518
|
)
|
|
$
|
(397
|
)
|
|
$
|
7,356
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
100
|
|
|
—
|
|
|
100
|
|
||||||||
Other comprehensive income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Unrealized gain on available-for-sale securities, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
167
|
|
|
167
|
|
||||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
1
|
|
||||||||
Issuance of common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
24.5
|
|
|
1
|
|
|
502
|
|
|
—
|
|
|
—
|
|
|
503
|
|
||||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(14
|
)
|
|
—
|
|
|
(14
|
)
|
||||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(368
|
)
|
|
—
|
|
|
(368
|
)
|
||||||||
Balance, June 30, 2017
|
$
|
167
|
|
|
$
|
169
|
|
|
$
|
—
|
|
|
355.6
|
|
|
$
|
4
|
|
|
$
|
10,435
|
|
|
$
|
(2,800
|
)
|
|
$
|
(230
|
)
|
|
$
|
7,745
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Balance, December 31, 2017
|
$
|
—
|
|
|
$
|
169
|
|
|
$
|
315
|
|
|
391.3
|
|
|
$
|
4
|
|
|
$
|
11,173
|
|
|
$
|
(2,562
|
)
|
|
$
|
(345
|
)
|
|
$
|
8,754
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
717
|
|
|
—
|
|
|
717
|
|
||||||||
Other comprehensive loss:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Unrealized loss on available-for-sale securities, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(766
|
)
|
|
(766
|
)
|
||||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|
—
|
|
|
3
|
|
||||||||
Issuance of common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
42.8
|
|
|
—
|
|
|
788
|
|
|
—
|
|
|
—
|
|
|
788
|
|
||||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(18
|
)
|
|
—
|
|
|
(18
|
)
|
||||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(436
|
)
|
|
—
|
|
|
(436
|
)
|
||||||||
Balance, June 30, 2018
|
$
|
—
|
|
|
$
|
169
|
|
|
$
|
315
|
|
|
434.1
|
|
|
$
|
4
|
|
|
$
|
11,964
|
|
|
$
|
(2,299
|
)
|
|
$
|
(1,111
|
)
|
|
$
|
9,042
|
|
|
Six Months Ended June 30,
|
||||||
|
2018
|
|
2017
|
||||
Operating activities:
|
|
|
|
||||
Net income
|
$
|
717
|
|
|
$
|
100
|
|
Adjustments to reconcile net income to net cash provided by operating activities:
|
|
|
|
||||
Amortization of premiums and discounts on mortgage-backed securities, net
|
143
|
|
|
185
|
|
||
Amortization of intangible assets
|
1
|
|
|
2
|
|
||
Stock-based compensation
|
3
|
|
|
1
|
|
||
Loss on sale of investment securities, net
|
76
|
|
|
69
|
|
||
Unrealized (gain) loss on investment securities measured at fair value through net income, net
|
617
|
|
|
(25
|
)
|
||
(Gain) loss on derivative instruments and other securities, net
|
(1,036
|
)
|
|
209
|
|
||
(Increase) decrease in other assets
|
(139
|
)
|
|
121
|
|
||
Increase in accounts payable and other accrued liabilities
|
28
|
|
|
17
|
|
||
Net cash provided by operating activities
|
410
|
|
|
679
|
|
||
Investing activities:
|
|
|
|
||||
Purchases of Agency mortgage-backed securities
|
(7,946
|
)
|
|
(9,065
|
)
|
||
Purchases of credit risk transfer and non-Agency securities
|
(437
|
)
|
|
(611
|
)
|
||
Proceeds from sale of Agency mortgage-backed securities
|
4,326
|
|
|
7,636
|
|
||
Proceeds from sale of credit risk transfer and non-Agency securities
|
380
|
|
|
318
|
|
||
Principal collections on Agency mortgage-backed securities
|
3,421
|
|
|
3,262
|
|
||
Principal collections on credit risk transfer and non-Agency securities
|
4
|
|
|
4
|
|
||
Payments on U.S. Treasury securities
|
(4,734
|
)
|
|
(7,320
|
)
|
||
Proceeds from U.S. Treasury securities
|
7,318
|
|
|
6,873
|
|
||
Net proceeds from (payments on) reverse repurchase agreements
|
(2,251
|
)
|
|
227
|
|
||
Net proceeds from (payments on) derivative instruments
|
630
|
|
|
(132
|
)
|
||
Purchases of REIT equity securities
|
(16
|
)
|
|
(4
|
)
|
||
Net cash provided by investing activities
|
695
|
|
|
1,188
|
|
||
Financing activities:
|
|
|
|
||||
Proceeds from repurchase arrangements
|
702,295
|
|
|
164,896
|
|
||
Payments on repurchase agreements
|
(703,752
|
)
|
|
(163,696
|
)
|
||
Payments on Federal Home Loan Bank advances
|
—
|
|
|
(3,037
|
)
|
||
Payments on debt of consolidated variable interest entities
|
(42
|
)
|
|
(55
|
)
|
||
Net proceeds from common stock issuances
|
788
|
|
|
—
|
|
||
Cash dividends paid
|
(447
|
)
|
|
(377
|
)
|
||
Net cash used in financing activities
|
(1,158
|
)
|
|
(2,269
|
)
|
||
Net change in cash, cash equivalents and restricted cash
|
(53
|
)
|
|
(402
|
)
|
||
Cash, cash equivalents and restricted cash at beginning of period
|
1,363
|
|
|
1,282
|
|
||
Cash, cash equivalents and restricted cash at end of period
|
$
|
1,310
|
|
|
$
|
880
|
|
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||
Investment Securities
|
|
Amortized
Cost
|
|
Fair Value
|
|
Amortized
Cost |
|
Fair Value
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
||||||||
Fixed rate
|
|
$
|
56,918
|
|
|
$
|
55,119
|
|
|
$
|
55,477
|
|
|
$
|
55,026
|
|
Adjustable rate
|
|
247
|
|
|
249
|
|
|
278
|
|
|
283
|
|
||||
CMO
|
|
559
|
|
|
551
|
|
|
629
|
|
|
631
|
|
||||
Interest-only and principal-only strips
|
|
191
|
|
|
192
|
|
|
213
|
|
|
228
|
|
||||
Total Agency RMBS
|
|
57,915
|
|
|
56,111
|
|
|
56,597
|
|
|
56,168
|
|
||||
Non-Agency RMBS
|
|
34
|
|
|
35
|
|
|
7
|
|
|
7
|
|
||||
CMBS
|
|
25
|
|
|
25
|
|
|
28
|
|
|
29
|
|
||||
CRT securities
|
|
901
|
|
|
936
|
|
|
834
|
|
|
876
|
|
||||
Total investment securities
|
|
$
|
58,875
|
|
|
$
|
57,107
|
|
|
$
|
57,466
|
|
|
$
|
57,080
|
|
|
|
June 30, 2018
|
||||||||||||||||||||||||||
|
|
Agency RMBS
|
|
Non-Agency
|
|
|
|
|
||||||||||||||||||||
Investment Securities
|
|
Fannie Mae
|
|
Freddie Mac
|
|
Ginnie
Mae
|
|
RMBS
|
|
CMBS
|
|
CRT
|
|
Total
|
||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Par value
|
|
$
|
20,785
|
|
|
$
|
6,890
|
|
|
$
|
30
|
|
|
$
|
7
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
27,712
|
|
Unamortized discount
|
|
(24
|
)
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(26
|
)
|
|||||||
Unamortized premium
|
|
1,016
|
|
|
397
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,413
|
|
|||||||
Amortized cost
|
|
21,777
|
|
|
7,285
|
|
|
30
|
|
|
7
|
|
|
—
|
|
|
—
|
|
|
29,099
|
|
|||||||
Gross unrealized gains
|
|
4
|
|
|
3
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8
|
|
|||||||
Gross unrealized losses
|
|
(813
|
)
|
|
(306
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,119
|
)
|
|||||||
Total available-for-sale securities, at fair value
|
|
20,968
|
|
|
6,982
|
|
|
31
|
|
|
7
|
|
|
—
|
|
|
—
|
|
|
27,988
|
|
|||||||
Securities remeasured at fair value through earnings:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Par value
|
|
16,598
|
|
|
11,097
|
|
|
—
|
|
|
30
|
|
|
25
|
|
|
858
|
|
|
28,608
|
|
|||||||
Unamortized discount
|
|
(32
|
)
|
|
(2
|
)
|
|
—
|
|
|
(2
|
)
|
|
(1
|
)
|
|
(1
|
)
|
|
(38
|
)
|
|||||||
Unamortized premium
|
|
734
|
|
|
428
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
44
|
|
|
1,206
|
|
|||||||
Amortized cost
|
|
17,300
|
|
|
11,523
|
|
|
—
|
|
|
28
|
|
|
24
|
|
|
901
|
|
|
29,776
|
|
|||||||
Gross unrealized gains
|
|
15
|
|
|
4
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
36
|
|
|
56
|
|
|||||||
Gross unrealized losses
|
|
(438
|
)
|
|
(274
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(713
|
)
|
|||||||
Total securities remeasured at fair value through earnings
|
|
16,877
|
|
|
11,253
|
|
|
—
|
|
|
28
|
|
|
25
|
|
|
936
|
|
|
29,119
|
|
|||||||
Total securities, at fair value
|
|
$
|
37,845
|
|
|
$
|
18,235
|
|
|
$
|
31
|
|
|
$
|
35
|
|
|
$
|
25
|
|
|
$
|
936
|
|
|
$
|
57,107
|
|
Weighted average coupon as of June 30, 2018
|
|
3.69
|
%
|
|
3.72
|
%
|
|
2.94
|
%
|
|
3.70
|
%
|
|
6.55
|
%
|
|
5.81
|
%
|
|
3.74
|
%
|
|||||||
Weighted average yield as of June 30, 2018
1
|
|
2.96
|
%
|
|
3.03
|
%
|
|
2.03
|
%
|
|
4.46
|
%
|
|
7.34
|
%
|
|
5.53
|
%
|
|
3.03
|
%
|
1.
|
Incorporates a weighted average future constant prepayment rate assumption of
7.1%
based on forward rates as of
June 30, 2018
.
|
|
|
December 31, 2017
|
||||||||||||||||||||||||||
|
|
Agency RMBS
|
|
Non-Agency
|
|
|
|
|
||||||||||||||||||||
Investment Securities
|
|
Fannie
Mae
|
|
Freddie Mac
|
|
Ginnie
Mae
|
|
RMBS
|
|
CMBS
|
|
CRT
|
|
Total
|
||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Par value
|
|
$
|
24,200
|
|
|
$
|
8,219
|
|
|
$
|
34
|
|
|
$
|
7
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
32,460
|
|
Unamortized discount
|
|
(25
|
)
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(28
|
)
|
|||||||
Unamortized premium
|
|
1,119
|
|
|
447
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,566
|
|
|||||||
Amortized cost
|
|
25,294
|
|
|
8,663
|
|
|
34
|
|
|
7
|
|
|
—
|
|
|
—
|
|
|
33,998
|
|
|||||||
Gross unrealized gains
|
|
98
|
|
|
22
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
121
|
|
|||||||
Gross unrealized losses
|
|
(325
|
)
|
|
(141
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(466
|
)
|
|||||||
Total available-for-sale securities, at fair value
|
|
25,067
|
|
|
8,544
|
|
|
35
|
|
|
7
|
|
|
—
|
|
|
—
|
|
|
33,653
|
|
|||||||
Securities remeasured at fair value through earnings:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Par value
|
|
13,558
|
|
|
7,956
|
|
|
—
|
|
|
—
|
|
|
29
|
|
|
801
|
|
|
22,344
|
|
|||||||
Unamortized discount
|
|
(34
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(35
|
)
|
|||||||
Unamortized premium
|
|
711
|
|
|
415
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
33
|
|
|
1,159
|
|
|||||||
Amortized cost
|
|
14,235
|
|
|
8,371
|
|
|
—
|
|
|
—
|
|
|
28
|
|
|
834
|
|
|
23,468
|
|
|||||||
Gross unrealized gains
|
|
26
|
|
|
2
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
42
|
|
|
71
|
|
|||||||
Gross unrealized losses
|
|
(70
|
)
|
|
(42
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(112
|
)
|
|||||||
Total securities remeasured at fair value through earnings
|
|
14,191
|
|
|
8,331
|
|
|
—
|
|
|
—
|
|
|
29
|
|
|
876
|
|
|
23,427
|
|
|||||||
Total securities, at fair value
|
|
$
|
39,258
|
|
|
$
|
16,875
|
|
|
$
|
35
|
|
|
$
|
7
|
|
|
$
|
29
|
|
|
$
|
876
|
|
|
$
|
57,080
|
|
Weighted average coupon as of December 31, 2017
|
|
3.67
|
%
|
|
3.73
|
%
|
|
2.84
|
%
|
|
2.50
|
%
|
|
6.55
|
%
|
|
5.26
|
%
|
|
3.71
|
%
|
|||||||
Weighted average yield as of December 31, 2017
1
|
|
2.84
|
%
|
|
2.87
|
%
|
|
2.02
|
%
|
|
3.08
|
%
|
|
7.30
|
%
|
|
5.19
|
%
|
|
2.89
|
%
|
1.
|
Incorporates a weighted average future constant prepayment rate assumption of
8.4%
based on forward rates as of
December 31, 2017
.
|
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||||||||||
CRT and Non-Agency Security Credit Ratings
1
|
|
CRT
|
|
RMBS
|
|
CMBS
|
|
CRT
|
|
RMBS
|
|
CMBS
|
||||||||||||
AAA
|
|
$
|
—
|
|
|
$
|
7
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
7
|
|
|
$
|
—
|
|
BBB
|
|
56
|
|
|
18
|
|
|
25
|
|
|
20
|
|
|
—
|
|
|
29
|
|
||||||
BB
|
|
499
|
|
|
2
|
|
|
—
|
|
|
136
|
|
|
—
|
|
|
—
|
|
||||||
B
|
|
345
|
|
|
—
|
|
|
—
|
|
|
691
|
|
|
—
|
|
|
—
|
|
||||||
Not Rated
|
|
36
|
|
|
8
|
|
|
—
|
|
|
29
|
|
|
—
|
|
|
—
|
|
||||||
Total
|
|
$
|
936
|
|
|
$
|
35
|
|
|
$
|
25
|
|
|
$
|
876
|
|
|
$
|
7
|
|
|
$
|
29
|
|
1.
|
Represents the lowest of Standard and Poor's ("S&P"), Moody's and Fitch credit ratings, stated in terms of the S&P equivalent rating as of each date.
|
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||||||||||
Estimated Weighted Average Life of Investment Securities
|
|
Fair Value
|
|
Amortized
Cost
|
|
Weighted
Average
Coupon
|
|
Weighted
Average
Yield
|
|
Fair Value
|
|
Amortized
Cost
|
|
Weighted
Average
Coupon
|
|
Weighted
Average
Yield
|
||||||||
≥ 1 year and ≤ 3 years
|
|
$
|
2,075
|
|
|
$
|
2,099
|
|
|
4.24%
|
|
2.61%
|
|
$
|
2,712
|
|
|
$
|
2,693
|
|
|
3.90%
|
|
2.67%
|
> 3 years and ≤ 5 years
|
|
4,986
|
|
|
5,104
|
|
|
3.13%
|
|
2.37%
|
|
7,499
|
|
|
7,518
|
|
|
3.31%
|
|
2.39%
|
||||
> 5 years and ≤10 years
|
|
41,174
|
|
|
42,591
|
|
|
3.79%
|
|
3.05%
|
|
45,977
|
|
|
46,398
|
|
|
3.75%
|
|
2.95%
|
||||
> 10 years
|
|
8,872
|
|
|
9,081
|
|
|
3.72%
|
|
3.40%
|
|
892
|
|
|
857
|
|
|
4.87%
|
|
4.74%
|
||||
Total
|
|
$
|
57,107
|
|
|
$
|
58,875
|
|
|
3.74%
|
|
3.03%
|
|
$
|
57,080
|
|
|
$
|
57,466
|
|
|
3.71%
|
|
2.89%
|
|
|
Unrealized Loss Position For
|
||||||||||||||||||||||
|
|
Less than 12 Months
|
|
12 Months or More
|
|
Total
|
||||||||||||||||||
Securities Classified as Available-for-Sale
|
|
Fair
Value
|
|
Unrealized
Loss
|
|
Fair Value
|
|
Unrealized
Loss
|
|
Fair
Value
|
|
Unrealized
Loss
|
||||||||||||
June 30, 2018
|
|
$
|
9,159
|
|
|
$
|
(176
|
)
|
|
$
|
17,885
|
|
|
$
|
(943
|
)
|
|
$
|
27,044
|
|
|
$
|
(1,119
|
)
|
December 31, 2017
|
|
$
|
3,582
|
|
|
$
|
(15
|
)
|
|
$
|
20,577
|
|
|
$
|
(451
|
)
|
|
$
|
24,159
|
|
|
$
|
(466
|
)
|
|
|
Three Months Ended June 30,
|
||||||||||||||||||
|
|
2018
|
|
2017
|
||||||||||||||||
Investment Securities
|
|
Available-for-Sale
Securities
2
|
Fair Value Option Securities
|
Total
|
|
Available-for-Sale
Securities
2
|
Fair Value Option Securities
|
Total
|
||||||||||||
Investment securities sold, at cost
|
|
$
|
(1,449
|
)
|
$
|
(1,975
|
)
|
$
|
(3,424
|
)
|
|
$
|
(586
|
)
|
$
|
(2,401
|
)
|
$
|
(2,987
|
)
|
Proceeds from investment securities sold
1
|
|
1,429
|
|
1,921
|
|
3,350
|
|
|
582
|
|
2,420
|
|
3,002
|
|
||||||
Net gain (loss) on sale of investment securities
|
|
$
|
(20
|
)
|
$
|
(54
|
)
|
$
|
(74
|
)
|
|
$
|
(4
|
)
|
$
|
19
|
|
$
|
15
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Gross gain on sale of investment securities
|
|
$
|
2
|
|
$
|
3
|
|
$
|
5
|
|
|
$
|
2
|
|
$
|
20
|
|
$
|
22
|
|
Gross loss on sale of investment securities
|
|
(22
|
)
|
(57
|
)
|
(79
|
)
|
|
(6
|
)
|
(1
|
)
|
(7
|
)
|
||||||
Net gain (loss) on sale of investment securities
|
|
$
|
(20
|
)
|
$
|
(54
|
)
|
$
|
(74
|
)
|
|
$
|
(4
|
)
|
$
|
19
|
|
$
|
15
|
|
|
|
Six Months Ended June 30,
|
||||||||||||||||||
|
|
2018
|
|
2017
|
||||||||||||||||
Investment Securities
|
|
Available-for-Sale
Securities
2
|
Fair Value Option Securities
|
Total
|
|
Available-for-Sale
Securities
2
|
Fair Value Option Securities
|
Total
|
||||||||||||
Investment securities sold, at cost
|
|
$
|
(1,836
|
)
|
$
|
(2,978
|
)
|
$
|
(4,814
|
)
|
|
$
|
(5,735
|
)
|
$
|
(2,620
|
)
|
$
|
(8,355
|
)
|
Proceeds from investment securities sold
1
|
|
1,817
|
|
2,921
|
|
4,738
|
|
|
5,647
|
|
2,639
|
|
8,286
|
|
||||||
Net gain (loss) on sale of investment securities
|
|
$
|
(19
|
)
|
$
|
(57
|
)
|
$
|
(76
|
)
|
|
$
|
(88
|
)
|
$
|
19
|
|
$
|
(69
|
)
|
|
|
|
|
|
|
|
|
|
||||||||||||
Gross gain on sale of investment securities
|
|
$
|
5
|
|
$
|
10
|
|
$
|
15
|
|
|
$
|
6
|
|
$
|
20
|
|
$
|
26
|
|
Gross loss on sale of investment securities
|
|
(24
|
)
|
(67
|
)
|
(91
|
)
|
|
(94
|
)
|
(1
|
)
|
(95
|
)
|
||||||
Net gain (loss) on sale of investment securities
|
|
$
|
(19
|
)
|
$
|
(57
|
)
|
$
|
(76
|
)
|
|
$
|
(88
|
)
|
$
|
19
|
|
$
|
(69
|
)
|
1.
|
Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.
|
2.
|
See
Note 10
for a summary of changes in accumulated OCI.
|
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||||||
Remaining Maturity
|
|
Repurchase Agreements
|
|
Weighted
Average
Interest
Rate
|
|
Weighted
Average Days
to Maturity
|
|
Repurchase Agreements
|
|
Weighted
Average
Interest
Rate
|
|
Weighted
Average Days
to Maturity
|
||||||||
Agency repo:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
≤ 1 month
|
|
$
|
25,920
|
|
|
2.16
|
%
|
|
10
|
|
|
$
|
19,771
|
|
|
1.59
|
%
|
|
11
|
|
> 1 to ≤ 3 months
|
|
10,072
|
|
|
2.03
|
%
|
|
61
|
|
|
16,150
|
|
|
1.50
|
%
|
|
50
|
|
||
> 3 to ≤ 6 months
|
|
743
|
|
|
2.22
|
%
|
|
113
|
|
|
7,287
|
|
|
1.50
|
%
|
|
130
|
|
||
> 6 to ≤ 9 months
|
|
7,979
|
|
|
2.13
|
%
|
|
197
|
|
|
2,361
|
|
|
1.66
|
%
|
|
225
|
|
||
> 9 to ≤ 12 months
|
|
900
|
|
|
2.53
|
%
|
|
305
|
|
|
202
|
|
|
1.64
|
%
|
|
297
|
|
||
> 12 to ≤ 24 months
|
|
2,300
|
|
|
2.79
|
%
|
|
562
|
|
|
1,700
|
|
|
1.84
|
%
|
|
468
|
|
||
> 24 to ≤ 36 months
|
|
925
|
|
|
2.80
|
%
|
|
921
|
|
|
2,200
|
|
|
1.80
|
%
|
|
803
|
|
||
> 36 to ≤ 48 months
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
625
|
|
|
1.90
|
%
|
|
1,141
|
|
||
Total Agency repo
|
|
$
|
48,839
|
|
|
2.18
|
%
|
|
101
|
|
|
$
|
50,296
|
|
|
1.57
|
%
|
|
116
|
|
Derivative and Other Hedging Instruments
|
|
Balance Sheet Location
|
|
June 30, 2018
|
|
December 31, 2017
|
||||
Interest rate swaps
|
|
Derivative assets, at fair value
|
|
$
|
223
|
|
|
$
|
81
|
|
Swaptions
|
|
Derivative assets, at fair value
|
|
127
|
|
|
75
|
|
||
TBA securities
|
|
Derivative assets, at fair value
|
|
108
|
|
|
30
|
|
||
U.S. Treasury futures - short
|
|
Derivative assets, at fair value
|
|
—
|
|
|
19
|
|
||
Total derivative assets, at fair value
|
|
|
|
$
|
458
|
|
|
$
|
205
|
|
|
|
|
|
|
|
|
||||
Interest rate swaps
|
|
Derivative liabilities, at fair value
|
|
$
|
—
|
|
|
$
|
(1
|
)
|
TBA securities
|
|
Derivative liabilities, at fair value
|
|
(3
|
)
|
|
(27
|
)
|
||
U.S. Treasury futures - short
|
|
Derivative liabilities, at fair value
|
|
(3
|
)
|
|
—
|
|
||
Total derivative liabilities, at fair value
|
|
|
|
$
|
(6
|
)
|
|
$
|
(28
|
)
|
|
|
|
|
|
|
|
||||
U.S. Treasury securities - long
|
|
U.S. Treasury securities, at fair value
|
|
$
|
—
|
|
|
$
|
—
|
|
U.S. Treasury securities - short
|
|
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
|
|
(12,898
|
)
|
|
(10,467
|
)
|
||
Total U.S. Treasury securities, net at fair value
|
|
|
|
$
|
(12,898
|
)
|
|
$
|
(10,467
|
)
|
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||||||
Interest Rate Swaps
|
|
Notional
Amount 1 |
|
Average
Fixed Pay
Rate
2
|
|
Average
Receive Rate |
|
Average
Maturity (Years) |
|
Notional
Amount 1 |
|
Average
Fixed Pay
Rate
2
|
|
Average
Receive Rate |
|
Average
Maturity (Years) |
||||
≤ 3 years
|
|
$
|
20,600
|
|
|
1.56%
|
|
2.34%
|
|
1.4
|
|
$
|
21,025
|
|
|
1.40%
|
|
1.46%
|
|
1.5
|
> 3 to ≤ 5 years
|
|
8,975
|
|
|
1.91%
|
|
2.34%
|
|
4.0
|
|
6,825
|
|
|
1.82%
|
|
1.43%
|
|
4.1
|
||
> 5 to ≤ 7 years
|
|
4,775
|
|
|
2.39%
|
|
2.34%
|
|
6.0
|
|
5,775
|
|
|
2.02%
|
|
1.44%
|
|
5.9
|
||
> 7 to ≤ 10 years
|
|
10,450
|
|
|
2.34%
|
|
2.34%
|
|
8.6
|
|
6,650
|
|
|
2.10%
|
|
1.42%
|
|
9.1
|
||
> 10 years
|
|
3,075
|
|
|
2.35%
|
|
2.34%
|
|
12.7
|
|
3,425
|
|
|
2.49%
|
|
1.45%
|
|
12.9
|
||
Total
|
|
$
|
47,875
|
|
|
1.93%
|
|
2.34%
|
|
4.6
|
|
$
|
43,700
|
|
|
1.74%
|
|
1.44%
|
|
4.5
|
1.
|
As of
June 30, 2018
and
December 31, 2017
, notional amount includes forward starting swaps of
$4.4 billion
and
$4.6 billion
, respectively, with an average forward start date of
0.4
and
0.3
years, respectively.
|
2.
|
Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was
1.83%
and
1.68%
as of
June 30, 2018
and
December 31, 2017
, respectively.
|
Swaptions
|
|
Option
|
|
Underlying Payer Swap
|
||||||||||||||||
Current Option Expiration Date
|
|
Cost Basis
|
|
Fair Value
|
|
Average
Months to Current Option
Expiration Date
1
|
|
Notional
Amount
|
|
Average Fixed Pay
Rate
|
|
Average
Receive
Rate
(LIBOR)
|
|
Average
Term
(Years)
|
||||||
June 30, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
≤ 1 year
|
|
$
|
96
|
|
|
$
|
98
|
|
|
6
|
|
$
|
4,700
|
|
|
2.82%
|
|
3M
|
|
7.7
|
> 1 year ≤ 2 years
|
|
26
|
|
|
29
|
|
|
20
|
|
900
|
|
|
2.87%
|
|
3M
|
|
8.6
|
|||
Total
|
|
$
|
122
|
|
|
$
|
127
|
|
|
8
|
|
$
|
5,600
|
|
|
2.83%
|
|
3M
|
|
7.8
|
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
≤ 1 year
|
|
$
|
118
|
|
|
$
|
46
|
|
|
7
|
|
$
|
5,100
|
|
|
2.71%
|
|
3M
|
|
8.8
|
> 1 year ≤ 2 years
|
|
23
|
|
|
16
|
|
|
18
|
|
1,050
|
|
|
2.71%
|
|
3M
|
|
8.7
|
|||
> 2 year ≤ 3 years
|
|
18
|
|
|
13
|
|
|
30
|
|
500
|
|
|
2.78%
|
|
3M
|
|
10.0
|
|||
Total
|
|
$
|
159
|
|
|
$
|
75
|
|
|
10
|
|
$
|
6,650
|
|
|
2.72%
|
|
3M
|
|
8.9
|
1.
|
As of
June 30, 2018
and
December 31, 2017
, ≤ 1 year notional amount includes
$700 million
of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date.
|
U.S. Treasury Securities
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||||||||||
Maturity
|
|
Face Amount (Short)
|
|
Cost Basis
|
|
Fair Value
|
|
Face Amount (Short)
|
|
Cost Basis
|
|
Fair Value
|
||||||||||||
5 years
|
|
$
|
(330
|
)
|
|
$
|
(328
|
)
|
|
$
|
(330
|
)
|
|
$
|
(288
|
)
|
|
$
|
(286
|
)
|
|
$
|
(283
|
)
|
7 years
|
|
(8,092
|
)
|
|
(8,058
|
)
|
|
(7,853
|
)
|
|
(6,131
|
)
|
|
(6,106
|
)
|
|
(6,029
|
)
|
||||||
10 years
|
|
(4,972
|
)
|
|
(4,914
|
)
|
|
(4,715
|
)
|
|
(4,280
|
)
|
|
(4,230
|
)
|
|
(4,155
|
)
|
||||||
Total U.S. Treasury securities
|
|
$
|
(13,394
|
)
|
|
$
|
(13,300
|
)
|
|
$
|
(12,898
|
)
|
|
$
|
(10,699
|
)
|
|
$
|
(10,622
|
)
|
|
$
|
(10,467
|
)
|
U.S. Treasury Futures
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||||||||||||||||||
Maturity
|
|
Notional
Amount - Long (Short)
|
|
Cost
Basis
|
|
Fair
Value
|
|
Net Carrying Value
1
|
|
Notional
Amount - Long (Short)
|
|
Cost
Basis
|
|
Fair
Value
|
|
Net Carrying Value
1
|
||||||||||||||||
5 years
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(730
|
)
|
|
$
|
(852
|
)
|
|
$
|
(848
|
)
|
|
$
|
4
|
|
10 years
|
|
(1,650
|
)
|
|
(1,980
|
)
|
|
(1,983
|
)
|
|
(3
|
)
|
|
(2,180
|
)
|
|
(2,718
|
)
|
|
(2,703
|
)
|
|
15
|
|
||||||||
Total U.S. Treasury futures
|
|
$
|
(1,650
|
)
|
|
$
|
(1,980
|
)
|
|
$
|
(1,983
|
)
|
|
$
|
(3
|
)
|
|
$
|
(2,910
|
)
|
|
$
|
(3,570
|
)
|
|
$
|
(3,551
|
)
|
|
$
|
19
|
|
1.
|
Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
|
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||||||||||||||||||
TBA Securities by Coupon
|
|
Notional
Amount - Long (Short)
|
|
Cost
Basis
|
|
Fair
Value
|
|
Net Carrying Value
1
|
|
Notional
Amount - Long (Short)
|
|
Cost
Basis
|
|
Fair
Value
|
|
Net Carrying Value
1
|
||||||||||||||||
15-Year TBA securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
2.5%
|
|
$
|
295
|
|
|
$
|
285
|
|
|
$
|
286
|
|
|
$
|
1
|
|
|
$
|
1,373
|
|
|
$
|
1,372
|
|
|
$
|
1,370
|
|
|
$
|
(2
|
)
|
3.0%
|
|
1,853
|
|
|
1,827
|
|
|
1,840
|
|
|
13
|
|
|
3,161
|
|
|
3,225
|
|
|
3,217
|
|
|
(8
|
)
|
||||||||
3.5%
|
|
2,282
|
|
|
2,301
|
|
|
2,308
|
|
|
7
|
|
|
414
|
|
|
428
|
|
|
428
|
|
|
—
|
|
||||||||
4.0%
|
|
225
|
|
|
230
|
|
|
230
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Total 15-Year TBA securities
|
|
4,655
|
|
|
4,643
|
|
|
4,664
|
|
|
21
|
|
|
4,948
|
|
|
5,025
|
|
|
5,015
|
|
|
(10
|
)
|
||||||||
30-Year TBA securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
3.0%
|
|
2,962
|
|
|
2,843
|
|
|
2,867
|
|
|
24
|
|
|
4,317
|
|
|
4,303
|
|
|
4,312
|
|
|
9
|
|
||||||||
3.5%
|
|
1,839
|
|
|
1,821
|
|
|
1,829
|
|
|
8
|
|
|
3,932
|
|
|
4,027
|
|
|
4,034
|
|
|
7
|
|
||||||||
4.0%
|
|
5,594
|
|
|
5,662
|
|
|
5,697
|
|
|
35
|
|
|
2,338
|
|
|
2,449
|
|
|
2,446
|
|
|
(3
|
)
|
||||||||
4.5%
|
|
4,755
|
|
|
4,929
|
|
|
4,946
|
|
|
17
|
|
|
(61
|
)
|
|
(65
|
)
|
|
(65
|
)
|
|
—
|
|
||||||||
Total 30-Year TBA securities, net
|
|
15,150
|
|
|
15,255
|
|
|
15,339
|
|
|
84
|
|
|
10,526
|
|
|
10,714
|
|
|
10,727
|
|
|
13
|
|
||||||||
Total TBA securities, net
|
|
$
|
19,805
|
|
|
$
|
19,898
|
|
|
$
|
20,003
|
|
|
$
|
105
|
|
|
$
|
15,474
|
|
|
$
|
15,739
|
|
|
$
|
15,742
|
|
|
$
|
3
|
|
1.
|
Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
|
Derivative and Other Hedging Instruments
|
|
Beginning
Notional Amount
|
|
Additions
|
|
Settlement, Termination,
Expiration or
Exercise
|
|
Ending
Notional Amount
|
|
|
Gain/(Loss)
on Derivative Instruments and Other Securities, Net
1
|
||||||||
Three months ended June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
TBA securities, net
|
|
$
|
13,636
|
|
|
64,406
|
|
|
(58,237
|
)
|
|
$
|
19,805
|
|
|
|
$
|
(14
|
)
|
Interest rate swaps
|
|
$
|
45,250
|
|
|
4,500
|
|
|
(1,875
|
)
|
|
$
|
47,875
|
|
|
|
216
|
|
|
Payer swaptions
|
|
$
|
6,750
|
|
|
—
|
|
|
(1,150
|
)
|
|
$
|
5,600
|
|
|
|
34
|
|
|
U.S. Treasury securities - short position
|
|
$
|
(10,798
|
)
|
|
(5,629
|
)
|
|
3,033
|
|
|
$
|
(13,394
|
)
|
|
|
35
|
|
|
U.S. Treasury securities - long position
|
|
$
|
225
|
|
|
90
|
|
|
(315
|
)
|
|
$
|
—
|
|
|
|
—
|
|
|
U.S. Treasury futures contracts - short position
|
|
$
|
(2,380
|
)
|
|
(1,650
|
)
|
|
2,380
|
|
|
$
|
(1,650
|
)
|
|
|
21
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
292
|
|
||||||
Three months ended June 30, 2017:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
TBA securities, net
|
|
$
|
14,170
|
|
|
56,306
|
|
|
(53,609
|
)
|
|
$
|
16,867
|
|
|
|
$
|
163
|
|
Interest rate swaps
|
|
$
|
35,775
|
|
|
5,725
|
|
|
(1,500
|
)
|
|
$
|
40,000
|
|
|
|
(194
|
)
|
|
Payer swaptions
|
|
$
|
2,200
|
|
|
2,750
|
|
|
—
|
|
|
$
|
4,950
|
|
|
|
(13
|
)
|
|
U.S. Treasury securities - short position
|
|
$
|
(9,169
|
)
|
|
(3,932
|
)
|
|
5,743
|
|
|
$
|
(7,358
|
)
|
|
|
(110
|
)
|
|
U.S. Treasury securities - long position
|
|
$
|
—
|
|
|
—
|
|
|
—
|
|
|
$
|
—
|
|
|
|
—
|
|
|
U.S. Treasury futures contracts - short position
|
|
$
|
(1,810
|
)
|
|
(3,710
|
)
|
|
2,610
|
|
|
$
|
(2,910
|
)
|
|
|
(16
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(170
|
)
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Six months ended June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
TBA securities, net
|
|
$
|
15,474
|
|
|
108,075
|
|
|
(103,744
|
)
|
|
$
|
19,805
|
|
|
|
$
|
(306
|
)
|
Interest rate swaps
|
|
$
|
43,700
|
|
|
7,650
|
|
|
(3,475
|
)
|
|
$
|
47,875
|
|
|
|
879
|
|
|
Payer swaptions
|
|
$
|
6,650
|
|
|
1,100
|
|
|
(2,150
|
)
|
|
$
|
5,600
|
|
|
|
125
|
|
|
U.S. Treasury securities - short position
|
|
$
|
(10,699
|
)
|
|
(6,291
|
)
|
|
3,596
|
|
|
$
|
(13,394
|
)
|
|
|
247
|
|
|
U.S. Treasury securities - long position
|
|
$
|
—
|
|
|
1,049
|
|
|
(1,049
|
)
|
|
$
|
—
|
|
|
|
—
|
|
|
U.S. Treasury futures contracts - short position
|
|
$
|
(2,910
|
)
|
|
(4,559
|
)
|
|
5,819
|
|
|
$
|
(1,650
|
)
|
|
|
83
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,028
|
|
||||||
Six months ended June 30, 2017:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
TBA securities, net
|
|
$
|
10,916
|
|
|
92,402
|
|
|
(86,451
|
)
|
|
$
|
16,867
|
|
|
|
$
|
202
|
|
Interest rate swaps
|
|
$
|
37,175
|
|
|
7,025
|
|
|
(4,200
|
)
|
|
$
|
40,000
|
|
|
|
(172
|
)
|
|
Payer swaptions
|
|
$
|
1,200
|
|
|
3,750
|
|
|
—
|
|
|
$
|
4,950
|
|
|
|
(24
|
)
|
|
U.S. Treasury securities - short position
|
|
$
|
(8,061
|
)
|
|
(6,490
|
)
|
|
7,193
|
|
|
$
|
(7,358
|
)
|
|
|
(188
|
)
|
|
U.S. Treasury securities - long position
|
|
$
|
189
|
|
|
303
|
|
|
(492
|
)
|
|
$
|
—
|
|
|
|
1
|
|
|
U.S. Treasury futures contracts - short position
|
|
$
|
(1,810
|
)
|
|
(5,520
|
)
|
|
4,420
|
|
|
$
|
(2,910
|
)
|
|
|
(28
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(209
|
)
|
1.
|
Amounts above exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
|
|
|
June 30, 2018
|
||||||||||||
|
|
Amount Outstanding
|
|
Net Counterparty Exposure
1
|
|
Percent of Tangible Stockholders' Equity
|
|
Weighted Average Months to Maturity
|
||||||
FICC
|
|
$
|
19,400
|
|
|
$
|
539
|
|
|
6.3
|
%
|
|
3
|
|
1.
|
Represents the net carrying value of securities pledged under repurchase agreements, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.
|
|
|
June 30, 2018
|
||||||||||||||||||
Assets Pledged to Counterparties
|
|
Repurchase Agreements
1
|
|
Debt of Consolidated VIEs
|
|
Derivative Agreements
|
|
Prime Broker Agreements
2
|
|
Total
|
||||||||||
Agency RMBS - fair value
|
|
$
|
50,912
|
|
|
$
|
587
|
|
|
$
|
193
|
|
|
$
|
450
|
|
|
$
|
52,142
|
|
U.S. Treasury securities - fair value
3
|
|
172
|
|
|
—
|
|
|
57
|
|
|
—
|
|
|
229
|
|
|||||
Accrued interest on pledged securities
|
|
153
|
|
|
2
|
|
|
1
|
|
|
1
|
|
|
157
|
|
|||||
Restricted cash and cash equivalents
|
|
65
|
|
|
—
|
|
|
375
|
|
|
7
|
|
|
447
|
|
|||||
Total
|
|
$
|
51,302
|
|
|
$
|
589
|
|
|
$
|
626
|
|
|
$
|
458
|
|
|
$
|
52,975
|
|
|
|
December 31, 2017
|
||||||||||||||||||
Assets Pledged to Counterparties
|
|
Repurchase Agreements
1
|
|
Debt of Consolidated VIEs
|
|
Derivative Agreements
|
|
Prime Broker Agreements
2
|
|
Total
|
||||||||||
Agency RMBS - fair value
|
|
$
|
52,497
|
|
|
$
|
662
|
|
|
$
|
221
|
|
|
$
|
519
|
|
|
$
|
53,899
|
|
U.S. Treasury securities - fair value
3
|
|
113
|
|
|
—
|
|
|
72
|
|
|
—
|
|
|
185
|
|
|||||
Accrued interest on pledged securities
|
|
153
|
|
|
2
|
|
|
1
|
|
|
2
|
|
|
158
|
|
|||||
Restricted cash and cash equivalents
|
|
35
|
|
|
—
|
|
|
281
|
|
1
|
|
|
317
|
|
||||||
Total
|
|
$
|
52,798
|
|
|
$
|
664
|
|
|
$
|
575
|
|
|
$
|
522
|
|
|
$
|
54,559
|
|
1.
|
Includes
$168 million
and
$182 million
of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of
June 30, 2018
and
December 31, 2017
, respectively.
|
2.
|
Includes margin for TBAs cleared through prime brokers and other clearing deposits.
|
3.
|
Includes repledged securities received as collateral from counterparties.
|
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||||||||||
Securities Pledged by Remaining Maturity of Repurchase Agreements
|
|
Fair Value of Pledged Securities
|
|
Amortized
Cost of Pledged Securities
|
|
Accrued
Interest on
Pledged
Securities
|
|
Fair Value of Pledged Securities
|
|
Amortized
Cost of Pledged Securities
|
|
Accrued
Interest on
Pledged
Securities
|
||||||||||||
RMBS:
1,2
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
≤ 30 days
|
|
$
|
26,699
|
|
|
$
|
27,565
|
|
|
$
|
80
|
|
|
$
|
20,162
|
|
|
$
|
20,313
|
|
|
$
|
59
|
|
> 30 and ≤ 60 days
|
|
5,164
|
|
|
5,341
|
|
|
16
|
|
|
12,950
|
|
|
13,061
|
|
|
38
|
|
||||||
> 60 and ≤ 90 days
|
|
5,349
|
|
|
5,505
|
|
|
16
|
|
|
4,000
|
|
|
4,013
|
|
|
11
|
|
||||||
> 90 days
|
|
13,700
|
|
|
14,192
|
|
|
41
|
|
|
15,385
|
|
|
15,512
|
|
|
45
|
|
||||||
Total RMBS
|
|
$
|
50,912
|
|
|
$
|
52,603
|
|
|
$
|
153
|
|
|
$
|
52,497
|
|
|
$
|
52,899
|
|
|
$
|
153
|
|
1.
|
Includes
$168 million
and
$182 million
of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of
June 30, 2018
and
December 31, 2017
, respectively.
|
2.
|
June 30, 2018
amounts exclude
$172 million
of repledged U.S. Treasury securities received as collateral from counterparties.
|
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||||||||||
Assets Pledged to AGNC
|
|
Reverse Repurchase Agreements
|
|
Derivative Agreements
|
|
Total
|
|
Reverse Repurchase Agreements
|
|
Derivative Agreements
|
|
Total
|
||||||||||||
U.S. Treasury securities - fair value
|
|
$
|
13,247
|
|
|
$
|
64
|
|
|
$
|
13,311
|
|
|
$
|
10,853
|
|
|
$
|
—
|
|
|
$
|
10,853
|
|
Cash
|
|
—
|
|
|
226
|
|
|
226
|
|
|
—
|
|
|
82
|
|
|
82
|
|
||||||
Total
|
|
$
|
13,247
|
|
|
$
|
290
|
|
|
$
|
13,537
|
|
|
$
|
10,853
|
|
|
$
|
82
|
|
|
$
|
10,935
|
|
|
|
Offsetting of Financial and Derivative Liabilities
|
||||||||||||||||||||||
|
|
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
|
||||||||||||||
|
|
|
|
|
Financial Instruments
|
|
Collateral Pledged
2
|
|
||||||||||||||||
June 30, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swap agreements, at fair value
1
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
TBA securities, at fair value
|
|
3
|
|
|
—
|
|
|
3
|
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
||||||
Repurchase agreements
|
|
48,839
|
|
|
—
|
|
|
48,839
|
|
|
(8,949
|
)
|
|
(39,890
|
)
|
|
—
|
|
||||||
Total
|
|
$
|
48,842
|
|
|
$
|
—
|
|
|
$
|
48,842
|
|
|
$
|
(8,952
|
)
|
|
$
|
(39,890
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swap agreements, at fair value
1
|
|
$
|
1
|
|
|
$
|
—
|
|
|
$
|
1
|
|
|
$
|
(1
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
TBA securities, at fair value
|
|
27
|
|
|
—
|
|
|
27
|
|
|
(22
|
)
|
|
(5
|
)
|
|
—
|
|
||||||
Repurchase agreements and FHLB advances
|
|
50,296
|
|
|
—
|
|
|
50,296
|
|
|
(9,682
|
)
|
|
(40,614
|
)
|
|
—
|
|
||||||
Total
|
|
$
|
50,324
|
|
|
$
|
—
|
|
|
$
|
50,324
|
|
|
$
|
(9,705
|
)
|
|
$
|
(40,619
|
)
|
|
$
|
—
|
|
1.
|
Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to
Note 6
for a reconciliation of derivative assets / liabilities, at fair value to their sub-components.
|
2.
|
Includes cash and securities pledged / received as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.
|
•
|
Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date.
|
•
|
Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
|
•
|
Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated.
|
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||||||||||
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Agency securities
|
|
$
|
—
|
|
|
$
|
55,524
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
55,506
|
|
|
$
|
—
|
|
Agency securities transferred to consolidated VIEs
|
|
—
|
|
|
587
|
|
|
—
|
|
|
—
|
|
|
662
|
|
|
—
|
|
||||||
Credit risk transfer securities
|
|
—
|
|
|
936
|
|
|
—
|
|
|
—
|
|
|
876
|
|
|
—
|
|
||||||
Non-Agency securities
|
|
—
|
|
|
60
|
|
|
—
|
|
|
—
|
|
|
36
|
|
|
—
|
|
||||||
U.S. Treasury securities
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
REIT equity securities
|
|
46
|
|
|
—
|
|
|
—
|
|
|
29
|
|
|
—
|
|
|
—
|
|
||||||
Interest rate swaps
|
|
—
|
|
|
223
|
|
|
—
|
|
|
—
|
|
|
81
|
|
|
—
|
|
||||||
Swaptions
|
|
—
|
|
|
127
|
|
|
—
|
|
|
—
|
|
|
75
|
|
|
—
|
|
||||||
TBA securities
|
|
—
|
|
|
108
|
|
|
—
|
|
|
—
|
|
|
30
|
|
|
—
|
|
||||||
U.S. Treasury futures
|
|
—
|
|
|
—
|
|
|
—
|
|
|
19
|
|
|
—
|
|
|
—
|
|
||||||
Total
|
|
$
|
46
|
|
|
$
|
57,565
|
|
|
$
|
—
|
|
|
$
|
48
|
|
|
$
|
57,266
|
|
|
$
|
—
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt of consolidated VIEs
|
|
$
|
—
|
|
|
$
|
313
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
357
|
|
|
$
|
—
|
|
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements
|
|
12,898
|
|
|
—
|
|
|
—
|
|
|
10,467
|
|
|
—
|
|
|
—
|
|
||||||
Interest rate swaps
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
||||||
TBA securities
|
|
—
|
|
|
3
|
|
|
—
|
|
|
—
|
|
|
27
|
|
|
—
|
|
||||||
U.S. Treasury futures
|
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Total
|
|
$
|
12,898
|
|
|
$
|
316
|
|
|
$
|
—
|
|
|
$
|
10,467
|
|
|
$
|
385
|
|
|
$
|
—
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
2018
|
|
2017
|
|
2018
|
|
2017
|
||||||||
Weighted average number of common shares outstanding - basic
|
|
404.9
|
|
|
346.4
|
|
|
398.2
|
|
|
338.8
|
|
||||
Unvested restricted stock units and performance share units
|
|
0.3
|
|
|
0.1
|
|
|
0.2
|
|
|
0.1
|
|
||||
Weighted average number of common shares outstanding - diluted
|
|
405.2
|
|
|
346.5
|
|
398.4
|
|
|
338.9
|
||||||
Net income available to common stockholders
|
|
$
|
284
|
|
|
$
|
17
|
|
|
$
|
699
|
|
|
$
|
86
|
|
Net income per common share - basic
|
|
$
|
0.70
|
|
|
$
|
0.05
|
|
|
$
|
1.76
|
|
|
$
|
0.25
|
|
Net income per common share - diluted
|
|
$
|
0.70
|
|
|
$
|
0.05
|
|
|
$
|
1.75
|
|
|
$
|
0.25
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
Accumulated Other Comprehensive Income (Loss)
|
|
2018
|
|
2017
|
|
2018
|
|
2017
|
||||||||
Beginning Balance
|
|
$
|
(966
|
)
|
|
$
|
(351
|
)
|
|
$
|
(345
|
)
|
|
$
|
(397
|
)
|
OCI before reclassifications
|
|
(165
|
)
|
|
117
|
|
|
(785
|
)
|
|
79
|
|
||||
(Gain) loss amounts for available-for-sale securities
reclassified from accumulated OCI to realized gain (loss) on sale of investment securities
|
|
20
|
|
|
4
|
|
|
19
|
|
|
88
|
|
||||
Ending Balance
|
|
$
|
(1,111
|
)
|
|
$
|
(230
|
)
|
|
$
|
(1,111
|
)
|
|
$
|
(230
|
)
|
•
|
Executive Overview
|
•
|
Financial Condition
|
•
|
Results of Operations
|
•
|
Liquidity and Capital Resources
|
•
|
Off-Balance Sheet Arrangements
|
•
|
Forward-Looking Statements
|
Interest Rate/Security Price
1
|
|
June 30, 2017
|
|
Sept. 30, 2017
|
|
Dec. 31, 2017
|
|
Mar. 31, 2018
|
|
June 30, 2018
|
|
June 30, 2018
vs
Mar. 31, 2018
|
|
June 30, 2018
vs
Dec. 31, 2017
|
||||
LIBOR:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
1-Month
|
|
1.22%
|
|
1.23%
|
|
1.56%
|
|
1.88%
|
|
2.09%
|
|
+0.21
|
|
bps
|
|
+0.53
|
|
bps
|
3-Month
|
|
1.30%
|
|
1.33%
|
|
1.69%
|
|
2.31%
|
|
2.34%
|
|
+0.03
|
|
bps
|
|
+0.65
|
|
bps
|
6-Month
|
|
1.45%
|
|
1.51%
|
|
1.84%
|
|
2.45%
|
|
2.50%
|
|
+0.05
|
|
bps
|
|
+0.66
|
|
bps
|
U.S. Treasury Security Rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
2-Year U.S. Treasury
|
|
1.38%
|
|
1.48%
|
|
1.89%
|
|
2.27%
|
|
2.53%
|
|
+0.26
|
|
bps
|
|
+0.64
|
|
bps
|
3-Year U.S. Treasury
|
|
1.55%
|
|
1.61%
|
|
1.98%
|
|
2.39%
|
|
2.62%
|
|
+0.23
|
|
bps
|
|
+0.64
|
|
bps
|
5-Year U.S. Treasury
|
|
1.89%
|
|
1.93%
|
|
2.21%
|
|
2.57%
|
|
2.73%
|
|
+0.16
|
|
bps
|
|
+0.52
|
|
bps
|
10-Year U.S. Treasury
|
|
2.30%
|
|
2.33%
|
|
2.41%
|
|
2.74%
|
|
2.85%
|
|
+0.11
|
|
bps
|
|
+0.44
|
|
bps
|
30-Year U.S. Treasury
|
|
2.84%
|
|
2.86%
|
|
2.74%
|
|
2.97%
|
|
2.98%
|
|
+0.01
|
|
bps
|
|
+0.24
|
|
bps
|
Interest Rate Swap Rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
2-Year Swap
|
|
1.61%
|
|
1.73%
|
|
2.08%
|
|
2.58%
|
|
2.79%
|
|
+0.21
|
|
bps
|
|
+0.71
|
|
bps
|
3-Year Swap
|
|
1.74%
|
|
1.84%
|
|
2.17%
|
|
2.65%
|
|
2.85%
|
|
+0.20
|
|
bps
|
|
+0.68
|
|
bps
|
5-Year Swap
|
|
1.95%
|
|
2.00%
|
|
2.24%
|
|
2.71%
|
|
2.88%
|
|
+0.17
|
|
bps
|
|
+0.64
|
|
bps
|
10-Year Swap
|
|
2.27%
|
|
2.28%
|
|
2.40%
|
|
2.78%
|
|
2.93%
|
|
+0.15
|
|
bps
|
|
+0.53
|
|
bps
|
30-Year Swap
|
|
2.53%
|
|
2.52%
|
|
2.53%
|
|
2.82%
|
|
2.93%
|
|
+0.11
|
|
bps
|
|
+0.40
|
|
bps
|
30-Year Fixed Rate Agency Price:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
3.0%
|
|
$99.88
|
|
$100.33
|
|
$100.02
|
|
$97.52
|
|
$96.86
|
|
-$0.66
|
|
-$3.16
|
||||
3.5%
|
|
$102.70
|
|
$103.09
|
|
$102.70
|
|
$100.20
|
|
$99.52
|
|
-$0.68
|
|
-$3.18
|
||||
4.0%
|
|
$105.12
|
|
$105.27
|
|
$104.59
|
|
$102.61
|
|
$101.96
|
|
-$0.65
|
|
-$2.63
|
||||
4.5%
|
|
$107.27
|
|
$107.33
|
|
$106.40
|
|
$104.70
|
|
$104.13
|
|
-$0.57
|
|
-$2.27
|
||||
15-Year Fixed Rate Agency Price:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
2.5%
|
|
$100.53
|
|
$100.69
|
|
$99.88
|
|
$97.98
|
|
$97.22
|
|
-$0.76
|
|
-$2.66
|
||||
3.0%
|
|
$102.64
|
|
$102.75
|
|
$101.88
|
|
$99.88
|
|
$99.41
|
|
-$0.47
|
|
-$2.47
|
||||
3.5%
|
|
$104.06
|
|
$104.14
|
|
$103.23
|
|
$101.94
|
|
$101.16
|
|
-$0.78
|
|
-$2.07
|
||||
4.0%
|
|
$103.44
|
|
$103.13
|
|
$102.72
|
|
$102.63
|
|
$102.58
|
|
-$0.05
|
|
-$0.14
|
1.
|
Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information is as of 3:00 p.m. (EST) on such date and can vary by source. Prices and interest rates in the table above were obtained from Barclays. LIBOR rates were obtained from Bloomberg.
|
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||||||||||||||
Investment Portfolio (Includes TBAs)
1
|
|
Amortized Cost
|
|
Fair Value
|
|
Average Coupon
|
|
%
|
|
Amortized Cost
|
|
Fair Value
|
|
Average Coupon
|
|
%
|
||||||||||||
Fixed rate Agency RMBS and TBA securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
≤ 15-year:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
≤ 15-year RMBS
|
|
$
|
7,466
|
|
|
$
|
7,324
|
|
|
3.27
|
%
|
|
9
|
%
|
|
$
|
8,951
|
|
|
$
|
8,933
|
|
|
3.31
|
%
|
|
12
|
%
|
15-year TBA securities
|
|
4,642
|
|
|
4,664
|
|
|
3.26
|
%
|
|
6
|
%
|
|
5,025
|
|
|
5,015
|
|
|
2.90
|
%
|
|
7
|
%
|
||||
Total ≤ 15-year
|
|
12,108
|
|
|
11,988
|
|
|
3.27
|
%
|
|
15
|
%
|
|
13,976
|
|
|
13,948
|
|
|
3.16
|
%
|
|
19
|
%
|
||||
20-year RMBS
|
|
793
|
|
|
787
|
|
|
3.62
|
%
|
|
1
|
%
|
|
673
|
|
|
687
|
|
|
3.48
|
%
|
|
1
|
%
|
||||
30-year:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
30-year RMBS
|
|
48,659
|
|
|
47,008
|
|
|
3.73
|
%
|
|
61
|
%
|
|
45,853
|
|
|
45,406
|
|
|
3.72
|
%
|
|
62
|
%
|
||||
30-year TBA securities
|
|
15,255
|
|
|
15,339
|
|
|
3.90
|
%
|
|
20
|
%
|
|
10,714
|
|
|
10,727
|
|
|
3.40
|
%
|
|
15
|
%
|
||||
Total 30-year
|
|
63,914
|
|
|
62,347
|
|
|
3.77
|
%
|
|
81
|
%
|
|
56,567
|
|
|
56,133
|
|
|
3.65
|
%
|
|
77
|
%
|
||||
Total fixed rate Agency RMBS and TBA securities
|
|
76,815
|
|
|
75,122
|
|
|
3.69
|
%
|
|
97
|
%
|
|
71,216
|
|
|
70,768
|
|
|
3.55
|
%
|
|
97
|
%
|
||||
Adjustable rate Agency RMBS
|
|
247
|
|
|
249
|
|
|
2.97
|
%
|
|
1
|
%
|
|
278
|
|
|
283
|
|
|
2.90
|
%
|
|
1
|
%
|
||||
CMO Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
CMO
|
|
559
|
|
|
551
|
|
|
3.43
|
%
|
|
1
|
%
|
|
629
|
|
|
631
|
|
|
3.43
|
%
|
|
1
|
%
|
||||
Interest-only strips
|
|
89
|
|
|
90
|
|
|
3.94
|
%
|
|
—
|
%
|
|
101
|
|
|
112
|
|
|
4.39
|
%
|
|
—
|
%
|
||||
Principal-only strips
|
|
103
|
|
|
102
|
|
|
—
|
%
|
|
—
|
%
|
|
112
|
|
|
116
|
|
|
—
|
%
|
|
—
|
%
|
||||
Total CMO Agency RMBS
|
|
751
|
|
|
743
|
|
|
3.36
|
%
|
|
1
|
%
|
|
842
|
|
|
859
|
|
|
3.58
|
%
|
|
1
|
%
|
||||
Total Agency RMBS and TBA securities
|
|
77,813
|
|
|
76,114
|
|
|
3.68
|
%
|
|
99
|
%
|
|
72,336
|
|
|
71,910
|
|
|
3.55
|
%
|
|
99
|
%
|
||||
Non-Agency RMBS
|
|
34
|
|
|
35
|
|
|
3.70
|
%
|
|
—
|
%
|
|
7
|
|
|
7
|
|
|
2.50
|
%
|
|
—
|
%
|
||||
CMBS
|
|
25
|
|
|
25
|
|
|
6.55
|
%
|
|
—
|
%
|
|
28
|
|
|
29
|
|
|
6.55
|
%
|
|
—
|
%
|
||||
CRT
|
|
901
|
|
|
936
|
|
|
5.81
|
%
|
|
1
|
%
|
|
834
|
|
|
876
|
|
|
5.26
|
%
|
|
—
|
%
|
||||
Total investment portfolio
|
|
$
|
78,773
|
|
|
$
|
77,110
|
|
|
3.71
|
%
|
|
100
|
%
|
|
$
|
73,205
|
|
|
$
|
72,822
|
|
|
3.57
|
%
|
|
100
|
%
|
1.
|
TBA securities are presented net of long and short positions. For further details of our TBA securities refer to Note 6 of the accompanying consolidated financial statements.
|
|
|
June 30, 2018
|
||||||||||||||||||||||
|
|
Includes Net TBA Position
|
|
Excludes Net TBA Position
|
||||||||||||||||||||
Fixed Rate Agency RMBS and TBA Securities
|
|
Par Value
|
|
Amortized
Cost
|
|
Fair Value
|
|
% Lower Loan Balance & HARP
1,2
|
|
Amortized
Cost Basis
|
|
Weighted Average
|
|
Projected Life
CPR
4
|
||||||||||
|
WAC
3
|
|
Yield
4
|
|
Age (Months)
|
|||||||||||||||||||
Fixed rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
≤ 15-year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
2.5%
|
|
$
|
1,583
|
|
|
$
|
1,589
|
|
|
$
|
1,551
|
|
|
56%
|
|
101.2%
|
|
2.98%
|
|
2.11%
|
|
68
|
|
9%
|
3.0%
|
|
4,569
|
|
|
4,593
|
|
|
4,551
|
|
|
47%
|
|
101.9%
|
|
3.50%
|
|
2.43%
|
|
51
|
|
9%
|
|||
3.5%
|
|
3,789
|
|
|
3,857
|
|
|
3,836
|
|
|
36%
|
|
103.3%
|
|
4.01%
|
|
2.57%
|
|
45
|
|
9%
|
|||
4.0%
|
|
1,807
|
|
|
1,872
|
|
|
1,855
|
|
|
77%
|
|
103.9%
|
|
4.40%
|
|
2.65%
|
|
89
|
|
11%
|
|||
4.5%
|
|
186
|
|
|
194
|
|
|
192
|
|
|
98%
|
|
104.2%
|
|
4.87%
|
|
3.01%
|
|
93
|
|
11%
|
|||
≥ 5.0%
|
|
3
|
|
|
3
|
|
|
3
|
|
|
24%
|
|
102.6%
|
|
6.59%
|
|
4.62%
|
|
129
|
|
13%
|
|||
Total ≤ 15-year
|
|
11,937
|
|
|
12,108
|
|
|
11,988
|
|
|
50%
|
|
102.5%
|
|
3.75%
|
|
2.47%
|
|
62
|
|
9%
|
|||
20-year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
≤ 3.0%
|
|
182
|
|
|
181
|
|
|
180
|
|
|
31%
|
|
99.4%
|
|
3.55%
|
|
3.10%
|
|
61
|
|
8%
|
|||
3.5%
|
|
338
|
|
|
345
|
|
|
341
|
|
|
74%
|
|
102.1%
|
|
4.05%
|
|
3.00%
|
|
64
|
|
10%
|
|||
4.0%
|
|
149
|
|
|
154
|
|
|
153
|
|
|
83%
|
|
103.7%
|
|
4.44%
|
|
3.22%
|
|
26
|
|
10%
|
|||
4.5%
|
|
105
|
|
|
111
|
|
|
111
|
|
|
100%
|
|
105.9%
|
|
4.97%
|
|
3.19%
|
|
44
|
|
11%
|
|||
≥ 5.0%
|
|
2
|
|
|
2
|
|
|
2
|
|
|
—%
|
|
106.0%
|
|
5.96%
|
|
3.33%
|
|
123
|
|
16%
|
|||
Total 20-year:
|
|
776
|
|
|
793
|
|
|
787
|
|
|
69%
|
|
102.3%
|
|
4.15%
|
|
3.09%
|
|
53
|
|
10%
|
|||
30-year:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
3.0%
|
|
6,069
|
|
|
5,956
|
|
|
5,894
|
|
|
2%
|
|
100.2%
|
|
3.58%
|
|
2.96%
|
|
48
|
|
6%
|
|||
3.5%
|
|
23,165
|
|
|
24,060
|
|
|
23,166
|
|
|
60%
|
|
104.3%
|
|
4.04%
|
|
2.92%
|
|
39
|
|
6%
|
|||
4.0%
|
|
25,238
|
|
|
26,472
|
|
|
25,868
|
|
|
59%
|
|
105.9%
|
|
4.46%
|
|
3.16%
|
|
32
|
|
7%
|
|||
4.5%
|
|
6,927
|
|
|
7,238
|
|
|
7,233
|
|
|
22%
|
|
106.3%
|
|
4.96%
|
|
3.54%
|
|
39
|
|
8%
|
|||
5.0%
|
|
88
|
|
|
94
|
|
|
95
|
|
|
64%
|
|
107.1%
|
|
5.45%
|
|
3.71%
|
|
122
|
|
8%
|
|||
≥ 5.5%
|
|
85
|
|
|
94
|
|
|
91
|
|
|
36%
|
|
110.5%
|
|
6.17%
|
|
3.38%
|
|
140
|
|
12%
|
|||
Total 30-year
|
|
61,572
|
|
|
63,914
|
|
|
62,347
|
|
|
50%
|
|
104.8%
|
|
4.24%
|
|
3.06%
|
|
37
|
|
7%
|
|||
Total fixed rate
|
|
$
|
74,285
|
|
|
$
|
76,815
|
|
|
$
|
75,122
|
|
|
50%
|
|
104.5%
|
|
4.18%
|
|
2.98%
|
|
40
|
|
7%
|
1.
|
Lower loan balance securities represent pools backed by an original loan balance of ≤ $150,000. Our lower loan balance securities had a weighted average original loan balance of
$100,000
and
$109,000
for 15-year and 30-year securities, respectively, as of
June 30, 2018
.
|
2.
|
HARP securities are defined as pools backed by 100% refinance loans with LTV ≥ 80%. Our HARP securities had a weighted average LTV of
115%
and
136%
for 15-year and 30-year securities, respectively, as of
June 30, 2018
.
|
3.
|
WAC represents the weighted average coupon of the underlying collateral.
|
4.
|
Portfolio yield incorporates a projected life CPR assumption based on forward rate assumptions as of
June 30, 2018
.
|
|
|
December 31, 2017
|
||||||||||||||||||||||
|
|
Includes Net TBA Position
|
|
Excludes Net TBA Position
|
||||||||||||||||||||
Fixed Rate Agency RMBS and TBA Securities
|
|
Par Value
|
|
Amortized
Cost
|
|
Fair Value
|
|
% Lower Loan Balance & HARP
1,2
|
|
Amortized
Cost Basis
|
|
Weighted Average
|
|
Projected Life
CPR
4
|
||||||||||
|
WAC
3
|
|
Yield
4
|
|
Age (Months)
|
|||||||||||||||||||
Fixed rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
≤ 15-year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
≤ 2.5%
|
|
$
|
3,041
|
|
|
$
|
3,061
|
|
|
$
|
3,046
|
|
|
32%
|
|
101.2%
|
|
2.98%
|
|
2.13%
|
|
63
|
|
9%
|
3.0%
|
|
5,616
|
|
|
5,749
|
|
|
5,724
|
|
|
33%
|
|
102.8%
|
|
3.49%
|
|
2.18%
|
|
62
|
|
10%
|
|||
3.5%
|
|
2,710
|
|
|
2,804
|
|
|
2,804
|
|
|
75%
|
|
103.5%
|
|
3.96%
|
|
2.42%
|
|
69
|
|
11%
|
|||
4.0%
|
|
2,054
|
|
|
2,134
|
|
|
2,145
|
|
|
89%
|
|
103.9%
|
|
4.40%
|
|
2.68%
|
|
84
|
|
11%
|
|||
4.5%
|
|
215
|
|
|
224
|
|
|
225
|
|
|
98%
|
|
104.3%
|
|
4.87%
|
|
3.01%
|
|
88
|
|
12%
|
|||
≥ 5.0%
|
|
4
|
|
|
4
|
|
|
4
|
|
|
17%
|
|
102.8%
|
|
6.56%
|
|
4.47%
|
|
125
|
|
44%
|
|||
Total ≤ 15-year
|
|
13,640
|
|
|
13,976
|
|
|
13,948
|
|
|
51%
|
|
103.0%
|
|
3.77%
|
|
2.38%
|
|
70
|
|
10%
|
|||
20-year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
≤ 3.0%
|
|
195
|
|
|
193
|
|
|
198
|
|
|
31%
|
|
99.4%
|
|
3.55%
|
|
3.10%
|
|
55
|
|
9%
|
|||
3.5%
|
|
365
|
|
|
373
|
|
|
380
|
|
|
75%
|
|
102.1%
|
|
4.05%
|
|
3.00%
|
|
58
|
|
11%
|
|||
4.0%
|
|
45
|
|
|
47
|
|
|
48
|
|
|
51%
|
|
104.2%
|
|
4.54%
|
|
2.96%
|
|
76
|
|
11%
|
|||
4.5%
|
|
55
|
|
|
58
|
|
|
59
|
|
|
99%
|
|
106.5%
|
|
4.90%
|
|
2.95%
|
|
85
|
|
11%
|
|||
≥ 5.0%
|
|
2
|
|
|
2
|
|
|
2
|
|
|
—%
|
|
106.0%
|
|
5.95%
|
|
3.32%
|
|
116
|
|
17%
|
|||
Total 20-year:
|
|
662
|
|
|
673
|
|
|
687
|
|
|
62%
|
|
101.8%
|
|
4.02%
|
|
3.02%
|
|
61
|
|
10%
|
|||
30-year:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
≤ 3.0%
|
|
7,583
|
|
|
7,576
|
|
|
7,592
|
|
|
1%
|
|
100.2%
|
|
3.58%
|
|
2.96%
|
|
43
|
|
6%
|
|||
3.5%
|
|
24,045
|
|
|
25,072
|
|
|
24,800
|
|
|
56%
|
|
104.6%
|
|
4.04%
|
|
2.84%
|
|
35
|
|
7%
|
|||
4.0%
|
|
21,015
|
|
|
22,348
|
|
|
22,166
|
|
|
64%
|
|
106.5%
|
|
4.47%
|
|
2.99%
|
|
29
|
|
9%
|
|||
4.5%
|
|
1,271
|
|
|
1,366
|
|
|
1,369
|
|
|
71%
|
|
107.4%
|
|
4.98%
|
|
3.18%
|
|
62
|
|
10%
|
|||
5.0%
|
|
97
|
|
|
103
|
|
|
104
|
|
|
65%
|
|
106.6%
|
|
5.45%
|
|
3.69%
|
|
116
|
|
10%
|
|||
≥ 5.5%
|
|
92
|
|
|
102
|
|
|
102
|
|
|
36%
|
|
110.0%
|
|
6.18%
|
|
3.34%
|
|
135
|
|
14%
|
|||
Total 30-year
|
|
54,103
|
|
|
56,567
|
|
|
56,133
|
|
|
52%
|
|
105.2%
|
|
4.23%
|
|
2.93%
|
|
34
|
|
8%
|
|||
Total fixed rate
|
|
$
|
68,405
|
|
|
$
|
71,216
|
|
|
$
|
70,768
|
|
|
52%
|
|
104.8%
|
|
4.15%
|
|
2.84%
|
|
40
|
|
8%
|
1.
|
Lower loan balance securities represent pools backed by an original loan balance of ≤ $150,000. Our lower loan balance securities had a weighted average original loan balance of
$97,000
and
$109,000
for 15-year and 30-year securities, respectively, as of
December 31, 2017
.
|
2.
|
HARP securities are defined as pools backed by 100% refinance loans with LTVs ≥ 80%. Our HARP securities had a weighted average LTV of
114%
and
136%
for 15-year and 30-year securities, respectively, as of
December 31, 2017
.
|
3.
|
WAC represents the weighted average coupon of the underlying collateral.
|
4.
|
Portfolio yield incorporates a projected life CPR assumption based on forward rate assumptions as of
December 31, 2017
.
|
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||||||||||||
CRT and Non-Agency Security Credit Ratings
1
|
|
CRT
|
|
RMBS
|
|
CMBS
|
|
CRT
|
|
RMBS
|
|
CMBS
|
||||||||||||
AAA
|
|
$
|
—
|
|
|
$
|
7
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
7
|
|
|
$
|
—
|
|
BBB
|
|
56
|
|
|
18
|
|
|
25
|
|
|
20
|
|
|
—
|
|
|
29
|
|
||||||
BB
|
|
499
|
|
|
2
|
|
|
—
|
|
|
136
|
|
|
—
|
|
|
—
|
|
||||||
B
|
|
345
|
|
|
—
|
|
|
—
|
|
|
691
|
|
|
—
|
|
|
—
|
|
||||||
Not Rated
|
|
36
|
|
|
8
|
|
|
—
|
|
|
29
|
|
|
—
|
|
|
—
|
|
||||||
Total
|
|
$
|
936
|
|
|
$
|
35
|
|
|
$
|
25
|
|
|
$
|
876
|
|
|
$
|
7
|
|
|
$
|
29
|
|
1.
|
Represents the lowest of Standard and Poor's ("S&P"), Moody's and Fitch credit ratings, stated in terms of the S&P equivalent rating as of each date.
|
($ in Millions, Except Per Share Amounts)
|
|
|
|
|
||||
Balance Sheet Data
|
|
June 30, 2018
|
|
December 31, 2017
|
||||
Investment securities, at fair value
|
|
$
|
57,107
|
|
|
$
|
57,080
|
|
Total assets
|
|
$
|
73,138
|
|
|
$
|
70,376
|
|
Repurchase agreements and other debt
|
|
$
|
49,152
|
|
|
$
|
50,653
|
|
Total liabilities
|
|
$
|
64,096
|
|
|
$
|
61,622
|
|
Total stockholders' equity
|
|
$
|
9,042
|
|
|
$
|
8,754
|
|
Net book value per common share
1
|
|
$
|
19.68
|
|
|
$
|
21.09
|
|
Tangible net book value per common share
2
|
|
$
|
18.41
|
|
|
$
|
19.69
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
Statement of Comprehensive Income Data
|
|
2018
|
|
2017
|
|
2018
|
|
2017
|
||||||||
Interest income
|
|
$
|
414
|
|
|
$
|
293
|
|
|
$
|
845
|
|
|
$
|
589
|
|
Interest expense
|
|
237
|
|
|
112
|
|
|
443
|
|
|
210
|
|
||||
Net interest income
|
|
177
|
|
|
181
|
|
|
402
|
|
|
379
|
|
||||
Other gain (loss), net
|
|
134
|
|
|
(141
|
)
|
|
351
|
|
|
(245
|
)
|
||||
Operating expenses
|
|
18
|
|
|
16
|
|
|
36
|
|
|
34
|
|
||||
Net income
|
|
293
|
|
|
24
|
|
|
717
|
|
|
100
|
|
||||
Dividend on preferred stock
|
|
9
|
|
|
7
|
|
|
18
|
|
|
14
|
|
||||
Net income available to common stockholders
|
|
$
|
284
|
|
|
$
|
17
|
|
|
$
|
699
|
|
|
$
|
86
|
|
|
|
|
|
|
|
|
|
|
||||||||
Net income
|
|
$
|
293
|
|
|
$
|
24
|
|
|
$
|
717
|
|
|
$
|
100
|
|
Other comprehensive income (loss)
|
|
(145
|
)
|
|
121
|
|
|
(766
|
)
|
|
167
|
|
||||
Comprehensive income (loss)
|
|
148
|
|
|
145
|
|
|
(49
|
)
|
|
267
|
|
||||
Dividend on preferred stock
|
|
9
|
|
|
7
|
|
|
18
|
|
|
14
|
|
||||
Comprehensive income (loss) available (attributable) to common stockholders
|
|
$
|
139
|
|
|
$
|
138
|
|
|
$
|
(67
|
)
|
|
$
|
253
|
|
|
|
|
|
|
|
|
|
|
||||||||
Weighted average number of common shares outstanding - basic
|
|
404.9
|
|
|
346.4
|
|
|
398.2
|
|
|
338.8
|
|
||||
Weighted average number of common shares outstanding - diluted
|
|
405.2
|
|
|
346.5
|
|
|
398.4
|
|
|
338.9
|
|
||||
Net income per common share - basic
|
|
$
|
0.70
|
|
|
$
|
0.05
|
|
|
$
|
1.76
|
|
|
$
|
0.25
|
|
Net income per common share - diluted
|
|
$
|
0.70
|
|
|
$
|
0.05
|
|
|
$
|
1.75
|
|
|
$
|
0.25
|
|
Comprehensive income (loss) per common share - basic and diluted
|
|
$
|
0.34
|
|
|
$
|
0.40
|
|
|
$
|
(0.17
|
)
|
|
$
|
0.75
|
|
Dividends declared per common share
|
|
$
|
0.54
|
|
|
$
|
0.54
|
|
|
$
|
1.08
|
|
|
$
|
1.08
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||
Other Data (Unaudited) *
|
|
2018
|
|
2017
|
|
2018
|
|
2017
|
||||
Average investment securities - at par
|
|
$52,856
|
|
$41,986
|
|
$53,421
|
|
$42,102
|
||||
Average investment securities - at cost
|
|
$55,329
|
|
$43,992
|
|
$55,927
|
|
$44,083
|
||||
Average net TBA portfolio - at cost
|
|
$16,912
|
|
$16,931
|
|
$16,252
|
|
$15,205
|
||||
Average total assets - at fair value
|
|
$68,830
|
|
$54,241
|
|
$68,785
|
|
$54,441
|
||||
Average Agency repurchase agreements and other debt outstanding
3
|
|
$47,823
|
|
$38,945
|
|
$48,690
|
|
$39,073
|
||||
Average stockholders' equity
4
|
|
$8,652
|
|
$7,552
|
|
$8,630
|
|
$7,451
|
||||
Average tangible net book value "at risk" leverage
5
|
|
8.0:1
|
|
|
8.0:1
|
|
|
8.1:1
|
|
|
7.9:1
|
|
Tangible net book value "at risk" leverage
(as of period end)
6
|
|
8.3:1
|
|
|
8.1:1
|
|
|
8.3:1
|
|
|
8.1:1
|
|
Economic return on tangible common equity, unannualized
7
|
|
1.7
|
%
|
|
2.5
|
%
|
|
(1.0
|
)%
|
|
4.3
|
%
|
Expenses % of average total assets, annualized
|
|
0.10
|
%
|
|
0.12
|
%
|
|
0.10
|
%
|
|
0.12
|
%
|
Expenses % of average assets, including average net TBA position, annualized
|
|
0.08
|
%
|
|
0.09
|
%
|
|
0.08
|
%
|
|
0.09
|
%
|
Expenses % of average stockholders' equity, annualized
|
|
0.83
|
%
|
|
0.85
|
%
|
|
0.83
|
%
|
|
0.89
|
%
|
1.
|
Net book value per common share is calculated as total stockholders' equity, less preferred stock liquidation preference, divided by number of common shares outstanding as of period end.
|
2.
|
Tangible net book value per common share excludes goodwill and other intangible assets, net.
|
3.
|
Other debt includes debt of consolidated VIEs. Amount excludes U.S. Treasury repo agreements and TBA contracts.
|
4.
|
Average stockholders' equity calculated as average month-ended stockholders' equity during the period.
|
5.
|
Average tangible net book value "at risk" leverage is calculated by dividing the sum of daily weighted average mortgage borrowings outstanding (Agency repo, other debt and TBA securities (at cost)) for the period by the sum of average stockholders' equity less average investment in REIT equity securities, goodwill and other intangible assets, net for the period. Leverage excludes U.S. Treasury repurchase agreements.
|
6.
|
"At risk" leverage as of period end is calculated by dividing the sum of mortgage borrowings outstanding and receivable/payable for unsettled investment securities as of period end (at cost) by the sum of total stockholders' equity less the fair value of investments in REIT equity securities, goodwill and other intangible assets, net at period end. Leverage excludes U.S. Treasury repurchase agreements.
|
7.
|
Economic return on tangible common equity represents the sum of the change in tangible net book value per common share and dividends declared on common stock during the period over beginning tangible net book value per common share.
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||||
|
2018
|
|
2017
|
|
2018
|
|
2017
|
||||||||||||||||||||
|
Amount
|
|
Yield
|
|
Amount
|
|
Yield
|
|
Amount
|
|
Yield
|
|
Amount
|
|
Yield
|
||||||||||||
Interest income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash/coupon interest income
|
$
|
488
|
|
|
3.69
|
%
|
|
$
|
389
|
|
|
3.70
|
%
|
|
$
|
988
|
|
|
3.70
|
%
|
|
$
|
774
|
|
|
3.68
|
%
|
Net premium amortization
|
(74
|
)
|
|
(0.70
|
)%
|
|
(96
|
)
|
|
(1.04
|
)%
|
|
(143
|
)
|
|
(0.68
|
)%
|
|
(185
|
)
|
|
(1.01
|
)%
|
||||
Interest income (GAAP measure)
|
414
|
|
|
2.99
|
%
|
|
293
|
|
|
2.66
|
%
|
|
845
|
|
|
3.02
|
%
|
|
589
|
|
|
2.67
|
%
|
||||
Estimated "catch-up" premium amortization (benefit) cost due to change in CPR forecast
|
(12
|
)
|
|
(0.08
|
)%
|
|
13
|
|
|
0.12
|
%
|
|
(33
|
)
|
|
(0.12
|
)%
|
|
22
|
|
|
0.10
|
%
|
||||
Interest income, excluding "catch-up" premium amortization
|
402
|
|
|
2.91
|
%
|
|
306
|
|
|
2.78
|
%
|
|
812
|
|
|
2.90
|
%
|
|
611
|
|
|
2.77
|
%
|
||||
TBA dollar roll income - implied interest income
1,2
|
144
|
|
|
3.41
|
%
|
|
130
|
|
|
3.08
|
%
|
|
264
|
|
|
3.25
|
%
|
|
220
|
|
|
2.91
|
%
|
||||
Economic interest income, excluding "catch-up" amortization (non-GAAP measure)
3
|
$
|
546
|
|
|
3.02
|
%
|
|
$
|
436
|
|
|
2.86
|
%
|
|
$
|
1,076
|
|
|
2.98
|
%
|
|
$
|
831
|
|
|
2.81
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Weighted average actual portfolio CPR for investment securities held during the period
|
9.7
|
%
|
|
|
|
10.9
|
%
|
|
|
|
9.1
|
%
|
|
|
|
10.8
|
%
|
|
|
||||||||
Weighted average projected CPR for the remaining life of investment securities held as of period end
|
7.1
|
%
|
|
|
|
8.6
|
%
|
|
|
|
7.1
|
%
|
|
|
|
8.6
|
%
|
|
|
||||||||
Average 30-year fixed rate mortgage rate as of period end
4
|
4.55
|
%
|
|
|
|
3.88
|
%
|
|
|
|
4.55
|
%
|
|
|
|
3.88
|
%
|
|
|
||||||||
10-year U.S. Treasury rate as of period end
|
2.85
|
%
|
|
|
|
2.30
|
%
|
|
|
|
2.85
|
%
|
|
|
|
2.30
|
%
|
|
|
1.
|
Reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations.
|
2.
|
Implied interest income from TBA dollar roll transactions is computed as the sum of (i) TBA dollar roll income and (ii) estimated TBA implied funding cost (see
Economic Interest Expense and Aggregate Cost of Funds
below). TBA dollar roll income represents the price differential, or "price drop," between the TBA price for current month settlement versus the TBA price for forward month settlement and is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period. Amount is net of TBAs used for hedging purposes. Amount excludes TBA mark-to-market adjustments.
|
3.
|
The combined asset yield is calculated on a weighted average basis based on our average investment and TBA balances outstanding during the period and their respective yields.
|
4.
|
Source: Freddie Mac Primary Fixed Mortgage Rate Mortgage Market Survey
|
|
|
Agency Repurchase Agreements and Other Debt
1
|
|
Net TBA Position
Long/(Short) 2 |
|
Average Tangible Net Book Value
"At Risk" Leverage during the Period
3
|
|
Average
"At Risk" Leverage during the Period 4 |
|
Tangible Net Book Value "At Risk" Leverage
as of
Period End
3
|
|
"At Risk" Leverage
as of Period End 5 |
||||||||||||||||
Quarter Ended
|
|
Average Daily
Amount
|
|
Maximum
Daily Amount
|
|
Ending
Amount
|
|
Average Daily
Amount
|
|
Ending
Amount
|
|
|||||||||||||||||
June 30, 2018
|
|
$
|
47,823
|
|
|
$
|
49,892
|
|
|
$
|
49,152
|
|
|
$
|
16,912
|
|
|
$
|
19,898
|
|
|
8.0:1
|
|
7.5:1
|
|
8.3:1
|
|
7.8:1
|
March 31, 2018
|
|
$
|
49,567
|
|
|
$
|
50,645
|
|
|
$
|
49,292
|
|
|
$
|
15,585
|
|
|
$
|
13,529
|
|
|
8.2:1
|
|
7.7:1
|
|
8.2:1
|
|
7.6:1
|
December 31, 2017
|
|
$
|
48,122
|
|
|
$
|
51,322
|
|
|
$
|
50,653
|
|
|
$
|
18,355
|
|
|
$
|
15,739
|
|
|
8.1:1
|
|
7.6:1
|
|
8.1:1
|
|
7.6:1
|
September 30, 2017
|
|
$
|
41,406
|
|
|
$
|
47,442
|
|
|
$
|
45,885
|
|
|
$
|
18,616
|
|
|
$
|
19,433
|
|
|
7.9:1
|
|
7.4:1
|
|
8.0:1
|
|
7.6:1
|
June 30, 2017
|
|
$
|
38,945
|
|
|
$
|
40,112
|
|
|
$
|
39,463
|
|
|
$
|
16,931
|
|
|
$
|
17,283
|
|
|
8.0:1
|
|
7.4:1
|
|
8.1:1
|
|
7.5:1
|
March 31, 2017
|
|
$
|
39,203
|
|
|
$
|
41,221
|
|
|
$
|
39,809
|
|
|
$
|
13,460
|
|
|
$
|
14,377
|
|
|
7.8:1
|
|
7.2:1
|
|
8.0:1
|
|
7.4:1
|
1.
|
Other debt includes debt of consolidated VIEs. Amounts exclude U.S. Treasury repo agreements.
|
2.
|
Daily average and ending net TBA position outstanding measured at cost.
|
3.
|
Tangible net book value "at risk" leverage includes the components of "at risk" leverage with stockholders' equity adjusted to exclude goodwill and other intangible assets, net.
|
4.
|
Average "at risk" leverage during the period was calculated by dividing the sum of our daily weighted average mortgage borrowings outstanding during the period by the sum of our average month-ended stockholders' equity less our average investment in REIT equity securities for the period.
|
5.
|
"At risk" leverage as of period end is calculated by dividing the sum of our mortgage borrowings outstanding and our receivable/payable for unsettled investment securities as of period end (at cost) by the sum of our total stockholders' equity less the fair value of investments in REIT equity securities at period end. Leverage excludes U.S. Treasury repo agreements.
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||||
|
|
2018
|
|
2017
|
|
2018
|
|
2017
|
||||||||||||||||||||
Economic Interest Expense and Aggregate Cost of Funds
1
|
|
Amount
|
|
Cost of Funds
|
|
Amount
|
|
Cost of Funds
|
|
Amount
|
|
Cost of Funds
|
|
Amount
|
|
Cost of Funds
|
||||||||||||
Repurchase agreement and other debt - interest expense (GAAP measure)
|
|
$
|
237
|
|
|
1.99
|
%
|
|
$
|
112
|
|
|
1.15
|
%
|
|
$
|
443
|
|
|
1.83
|
%
|
|
$
|
210
|
|
|
1.08
|
%
|
TBA dollar roll income - implied interest expense
2,3
|
|
74
|
|
|
1.75
|
%
|
|
37
|
|
|
0.88
|
%
|
|
132
|
|
|
1.63
|
%
|
|
56
|
|
|
0.75
|
%
|
||||
Economic interest expense - before interest rate swap costs
4
|
|
311
|
|
|
1.92
|
%
|
|
149
|
|
|
1.07
|
%
|
|
575
|
|
|
1.79
|
%
|
|
266
|
|
|
0.99
|
%
|
||||
Periodic interest costs of interest rate swaps reported in gain (loss) on derivative instruments and other securities, net
5
|
|
(41
|
)
|
|
(0.25
|
)%
|
|
35
|
|
|
0.24
|
%
|
|
(32
|
)
|
|
(0.10
|
)%
|
|
80
|
|
|
0.30
|
%
|
||||
Total economic interest expense (non-GAAP measure)
|
|
$
|
270
|
|
|
1.67
|
%
|
|
$
|
184
|
|
|
1.31
|
%
|
|
$
|
543
|
|
|
1.69
|
%
|
|
$
|
346
|
|
|
1.29
|
%
|
1.
|
Amounts exclude interest rate swap termination fees and variation margin settlements paid or received, forward starting swaps or the impact of other supplemental hedges, such as swaptions and U.S. Treasury positions.
|
2.
|
Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
|
3.
|
The implied funding cost of TBA dollar roll transactions is determined using the price differential, or "price drop," between the TBA price for current month settlement versus the TBA price for forward month settlement and market based assumptions regarding the "cheapest-to-deliver" collateral that can be delivered to satisfy the TBA contract, such as the anticipated collateral’s weighted average coupon, weighted average maturity and projected 1-month CPR. The average implied funding cost for all TBA transactions is weighted based on our daily average TBA balance outstanding for the period.
|
4.
|
The combined cost of funds for total mortgage borrowings outstanding, before interest rate swap costs, is calculated on a weighted average basis based on average repo, other debt and TBA balances outstanding during the period and their respective cost of funds.
|
5.
|
Interest rate swap cost of funds measured as a percent of average mortgage borrowings outstanding for the period.
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding
|
|
2018
|
|
2017
|
|
2018
|
|
2017
|
||||||||
Average Agency repo and other debt outstanding
|
|
$
|
47,823
|
|
|
$
|
38,945
|
|
|
$
|
48,690
|
|
|
$
|
39,073
|
|
Average net TBA portfolio outstanding - at cost
|
|
$
|
16,912
|
|
|
$
|
16,931
|
|
|
$
|
16,252
|
|
|
$
|
15,205
|
|
Average mortgage borrowings outstanding
|
|
$
|
64,735
|
|
|
$
|
55,876
|
|
|
$
|
64,942
|
|
|
$
|
54,278
|
|
Average notional amount of interest rate swaps outstanding (excluding forward starting swaps)
|
|
$
|
42,804
|
|
|
$
|
36,549
|
|
|
$
|
41,918
|
|
|
$
|
36,161
|
|
Ratio of average interest rate swaps to mortgage borrowings outstanding
|
|
66
|
%
|
|
65
|
%
|
|
65
|
%
|
|
67
|
%
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Average interest rate swap pay-fixed rate (excluding forward starting swaps)
|
|
1.79
|
%
|
|
1.52
|
%
|
|
1.76
|
%
|
|
1.50
|
%
|
||||
Average interest rate swap receive-floating rate
|
|
(2.17
|
)%
|
|
(1.14
|
)%
|
|
(1.91
|
)%
|
|
(1.05
|
)%
|
||||
Average interest rate swap net pay/(receive) rate
|
|
(0.38
|
)%
|
|
0.38
|
%
|
|
(0.15
|
)%
|
|
0.45
|
%
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||
Investment and TBA Securities - Net Interest Spread
|
|
2018
|
|
2017
|
|
2018
|
|
2017
|
||||
Average asset yield, excluding "catch-up" premium amortization
|
|
3.02
|
%
|
|
2.86
|
%
|
|
2.98
|
%
|
|
2.81
|
%
|
Average aggregate cost of funds
|
|
(1.67
|
)%
|
|
(1.31
|
)%
|
|
(1.69
|
)%
|
|
(1.29
|
)%
|
Average net interest spread, excluding "catch-up" premium amortization
|
|
1.35
|
%
|
|
1.55
|
%
|
|
1.29
|
%
|
|
1.52
|
%
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
2018
|
|
2017
|
|
2018
|
|
2017
|
||||||||
Net interest income (GAAP measure)
|
|
$
|
177
|
|
|
$
|
181
|
|
|
$
|
402
|
|
|
$
|
379
|
|
TBA dollar roll income, net
1
|
|
70
|
|
|
93
|
|
|
132
|
|
|
164
|
|
||||
Periodic interest income (cost) of interest rate swaps, net
1
|
|
41
|
|
|
(35
|
)
|
|
32
|
|
|
(80
|
)
|
||||
Dividend income from REIT equity securities
1
|
|
1
|
|
|
—
|
|
|
2
|
|
|
—
|
|
||||
Adjusted net interest and dollar roll income
|
|
289
|
|
|
239
|
|
|
568
|
|
|
463
|
|
||||
Other operating income (expense):
|
|
|
|
|
|
|
|
|
||||||||
Management fee income
|
|
4
|
|
|
4
|
|
|
8
|
|
|
8
|
|
||||
Operating expenses
|
|
(18
|
)
|
|
(16
|
)
|
|
(36
|
)
|
|
(34
|
)
|
||||
Adjusted operating income (expense), net
|
|
(14
|
)
|
|
(12
|
)
|
|
(28
|
)
|
|
(26
|
)
|
||||
Net spread and dollar roll income
|
|
275
|
|
|
227
|
|
|
540
|
|
|
437
|
|
||||
Dividend on preferred stock
|
|
9
|
|
|
7
|
|
|
18
|
|
|
14
|
|
||||
Net spread and dollar roll income available to common stockholders (non-GAAP measure)
|
|
266
|
|
|
220
|
|
|
522
|
|
|
423
|
|
||||
Estimated "catch-up" premium amortization (benefit) cost due to change in CPR forecast
|
|
(12
|
)
|
|
13
|
|
|
(33
|
)
|
|
22
|
|
||||
Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders (non-GAAP measure)
|
|
$
|
254
|
|
|
$
|
233
|
|
|
$
|
489
|
|
|
$
|
445
|
|
|
|
|
|
|
|
|
|
|
||||||||
Weighted average number of common shares outstanding - basic
|
|
404.9
|
|
|
346.4
|
|
|
398.2
|
|
|
338.8
|
|
||||
Weighted average number of common shares outstanding - diluted
|
|
405.2
|
|
|
346.5
|
|
|
398.4
|
|
|
338.9
|
|
||||
Net spread and dollar roll income per common share - basic
|
|
$
|
0.66
|
|
|
$
|
0.64
|
|
|
$
|
1.31
|
|
|
$
|
1.25
|
|
Net spread and dollar roll income per common share - diluted
|
|
$
|
0.66
|
|
|
$
|
0.63
|
|
|
$
|
1.31
|
|
|
$
|
1.25
|
|
Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic
|
|
$
|
0.63
|
|
|
$
|
0.67
|
|
|
$
|
1.23
|
|
|
$
|
1.31
|
|
Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - diluted
|
|
$
|
0.63
|
|
|
$
|
0.67
|
|
|
$
|
1.23
|
|
|
$
|
1.31
|
|
1.
|
Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
Gain (Loss) on Investment Securities, Net
1
|
|
2018
|
|
2017
|
|
2018
|
|
2017
|
||||||||
Gain (loss) on sale of investment securities, net
|
|
$
|
(74
|
)
|
|
$
|
15
|
|
|
$
|
(76
|
)
|
|
$
|
(69
|
)
|
Unrealized gain (loss) on investment securities measured at fair value through net income, net
2
|
|
(94
|
)
|
|
9
|
|
|
(617
|
)
|
|
25
|
|
||||
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income, net
|
|
(145
|
)
|
|
121
|
|
|
(766
|
)
|
|
167
|
|
||||
Total gain (loss) on investment securities, net
|
|
$
|
(313
|
)
|
|
$
|
145
|
|
|
$
|
(1,459
|
)
|
|
$
|
123
|
|
1.
|
Amounts exclude gain (loss) on TBA securities, which are reported in gain (loss) on derivative instruments and other securities, net in our Consolidated Statements of Comprehensive Income.
|
2.
|
Investment securities acquired after fiscal year 2016 are measured at fair value through net income (see Note 3 of our Consolidated Financial Statements in this Form
10-Q
).
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2018
|
|
2017
|
|
2018
|
|
2017
|
||||||||
Periodic interest costs of interest rate swaps, net
|
$
|
41
|
|
|
$
|
(35
|
)
|
|
$
|
32
|
|
|
$
|
(80
|
)
|
Realized gain (loss) on derivative instruments and other securities, net:
|
|
|
|
|
|
|
|
||||||||
TBA securities - dollar roll income, net
|
70
|
|
|
93
|
|
|
132
|
|
|
164
|
|
||||
TBA securities - mark-to-market net gain (loss)
|
(108
|
)
|
|
152
|
|
|
(540
|
)
|
|
(98
|
)
|
||||
Payer swaptions
|
30
|
|
|
—
|
|
|
36
|
|
|
—
|
|
||||
U.S. Treasury securities - long position
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
||||
U.S. Treasury securities - short position
|
(4
|
)
|
|
(22
|
)
|
|
(1
|
)
|
|
(16
|
)
|
||||
U.S. Treasury futures - short position
|
(6
|
)
|
|
(29
|
)
|
|
104
|
|
|
(27
|
)
|
||||
Interest rate swaps - termination fees and variation margin settlements, net
|
134
|
|
|
(160
|
)
|
|
716
|
|
|
107
|
|
||||
REIT equity securities
|
1
|
|
|
—
|
|
|
2
|
|
|
—
|
|
||||
Other
|
—
|
|
|
1
|
|
|
—
|
|
|
2
|
|
||||
Total realized gain (loss) on derivative instruments and other securities, net
|
117
|
|
|
35
|
|
|
449
|
|
|
133
|
|
||||
Unrealized gain (loss) on derivative instruments and other securities, net:
|
|
|
|
|
|
|
|
||||||||
TBA securities - mark-to-market net gain (loss)
|
24
|
|
|
(82
|
)
|
|
102
|
|
|
136
|
|
||||
Interest rate swaps
|
41
|
|
|
1
|
|
|
131
|
|
|
(199
|
)
|
||||
Payer swaptions
|
4
|
|
|
(13
|
)
|
|
89
|
|
|
(24
|
)
|
||||
U.S. Treasury securities - short position
|
39
|
|
|
(88
|
)
|
|
248
|
|
|
(172
|
)
|
||||
U.S. Treasury futures - short position
|
27
|
|
|
13
|
|
|
(21
|
)
|
|
(1
|
)
|
||||
REIT equity securities
|
4
|
|
|
—
|
|
|
4
|
|
|
—
|
|
||||
Other
|
1
|
|
|
—
|
|
|
2
|
|
|
(2
|
)
|
||||
Total unrealized gain (loss) on derivative instruments and other securities, net
|
140
|
|
|
(169
|
)
|
|
555
|
|
|
(262
|
)
|
||||
Total gain (loss) on derivative instruments and other securities, net
|
$
|
298
|
|
|
$
|
(169
|
)
|
|
$
|
1,036
|
|
|
$
|
(209
|
)
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2018
|
|
2017
|
|
2018
|
|
2017
|
||||||||
Net income
|
$
|
293
|
|
|
$
|
24
|
|
|
$
|
717
|
|
|
$
|
100
|
|
Estimated book to tax differences:
|
|
|
|
|
|
|
|
||||||||
Premium amortization, net
|
(22
|
)
|
|
4
|
|
|
(45
|
)
|
|
1
|
|
||||
Realized gain/loss, net
|
(221
|
)
|
|
99
|
|
|
(873
|
)
|
|
(280
|
)
|
||||
Net capital loss/(utilization of net capital loss carryforward)
|
109
|
|
|
(232
|
)
|
|
354
|
|
|
44
|
|
||||
Unrealized gain/loss, net
|
(46
|
)
|
|
160
|
|
|
62
|
|
|
237
|
|
||||
Other
|
—
|
|
|
(2
|
)
|
|
(14
|
)
|
|
(12
|
)
|
||||
Total book to tax differences
|
(180
|
)
|
|
29
|
|
|
(516
|
)
|
|
(10
|
)
|
||||
Estimated REIT taxable income
|
113
|
|
|
53
|
|
|
201
|
|
|
90
|
|
||||
Dividend on preferred stock
|
9
|
|
|
7
|
|
|
18
|
|
|
14
|
|
||||
Estimated REIT taxable income available to common stockholders
|
$
|
104
|
|
|
$
|
46
|
|
|
$
|
183
|
|
|
$
|
76
|
|
Weighted average number of common shares outstanding - basic
|
404.9
|
|
|
346.4
|
|
|
398.2
|
|
|
338.8
|
|
||||
Weighted average number of common shares outstanding - diluted
|
405.2
|
|
|
346.5
|
|
|
398.4
|
|
|
338.9
|
|
||||
Estimated REIT taxable income per common share - basic and diluted
|
$
|
0.26
|
|
|
$
|
0.13
|
|
|
$
|
0.46
|
|
|
$
|
0.22
|
|
|
|
|
|
|
|
|
|
||||||||
Beginning cumulative non-deductible net capital loss
|
$
|
602
|
|
|
$
|
728
|
|
|
$
|
357
|
|
|
$
|
452
|
|
Net capital loss / (utilization of net capital loss carryforward)
|
109
|
|
|
(232
|
)
|
|
354
|
|
|
44
|
|
||||
Ending cumulative non-deductible net capital loss
1
|
$
|
711
|
|
|
$
|
496
|
|
|
$
|
711
|
|
|
$
|
496
|
|
Ending cumulative non-deductible net capital loss per ending common share
|
$
|
1.64
|
|
|
$
|
1.39
|
|
|
$
|
1.64
|
|
|
$
|
1.39
|
|
1.
|
Capital losses in excess of capital gains are not deductible from ordinary taxable income, but may be carried forward for up to five years and applied against future net capital gains. As of March 31, 2018,
$0.6
B and
$0.1
B of net capital losses were available through 2018 and 2023, respectively.
|
|
|
Dividends Declared per Share
|
||||||||||||||
Quarter Ended
|
|
Series A Preferred Stock
|
|
Series B Preferred Stock (Per Depositary Share)
|
|
Series C Preferred Stock (Per Depositary Share)
|
|
Common Stock
|
||||||||
March 31, 2018
|
|
$
|
—
|
|
|
$
|
0.484375
|
|
|
$
|
0.43750
|
|
|
$
|
0.54
|
|
June 30, 2018
|
|
—
|
|
|
0.484375
|
|
|
0.43750
|
|
|
0.54
|
|
||||
Total
|
|
$
|
—
|
|
|
$
|
0.968750
|
|
|
$
|
0.87500
|
|
|
$
|
1.08
|
|
|
|
|
|
|
|
|
|
|
||||||||
March 31, 2017
|
|
$
|
0.50000
|
|
|
$
|
0.484375
|
|
|
$
|
—
|
|
|
$
|
0.54
|
|
June 30, 2017
|
|
0.50000
|
|
|
0.484375
|
|
|
—
|
|
|
0.54
|
|
||||
Total
|
|
$
|
1.00000
|
|
|
$
|
0.968750
|
|
|
$
|
—
|
|
|
$
|
1.08
|
|
|
|
June 30, 2018
|
|
December 31, 2017
|
||||||||||
Mortgage Borrowings
|
|
Amount
|
|
%
|
|
Amount
|
|
%
|
||||||
Repurchase agreements used to fund Agency RMBS
|
|
$
|
48,839
|
|
|
71
|
%
|
|
$
|
50,296
|
|
|
75
|
%
|
Debt of consolidated variable interest entities, at fair value
|
|
313
|
|
|
—
|
%
|
|
357
|
|
|
1
|
%
|
||
Total debt
|
|
49,152
|
|
|
71
|
%
|
|
50,653
|
|
|
76
|
%
|
||
Net TBA position, at cost
|
|
19,898
|
|
|
29
|
%
|
|
15,739
|
|
|
24
|
%
|
||
Total mortgage borrowings
|
|
$
|
69,050
|
|
|
100
|
%
|
|
$
|
66,392
|
|
|
100
|
%
|
|
|
June 30, 2018
|
||
Counter-Party Region
|
|
Number of Counter-Parties
|
|
Percent of Agency RMBS Repurchase Agreement Funding
|
North America:
|
|
|
|
|
FICC
|
|
1
|
|
40%
|
Other
|
|
26
|
|
41%
|
Total North America
|
|
27
|
|
81%
|
Europe
|
|
14
|
|
12%
|
Asia
|
|
5
|
|
7%
|
Total
|
|
46
|
|
100%
|
Interest Rate Sensitivity
1
|
||||||
|
|
Percentage Change in Projected
|
||||
Change in Interest Rate
|
|
Net Interest Income
2
|
|
Portfolio Market
Value
3,4
|
|
Tangible Net Book
Value
3,5
|
As of June 30, 2018
|
|
|
|
|
|
|
-100 Basis Points
|
|
-7.2%
|
|
—%
|
|
-0.1%
|
-50 Basis Points
|
|
-2.6%
|
|
+0.2%
|
|
+2.0%
|
+50 Basis Points
|
|
+2.0%
|
|
-0.5%
|
|
-4.9%
|
+100 Basis Points
|
|
+3.7%
|
|
-1.2%
|
|
-11.8%
|
|
|
|
|
|
|
|
As of December 31, 2017
|
|
|
|
|
|
|
-100 Basis Points
|
|
-10.4%
|
|
-1.0%
|
|
-9.1%
|
-50 Basis Points
|
|
-3.9%
|
|
-0.2%
|
|
-1.9%
|
+50 Basis Points
|
|
+0.4%
|
|
-0.2%
|
|
-2.0%
|
+100 Basis Points
|
|
+0.2%
|
|
-0.7%
|
|
-6.6%
|
1.
|
Interest rate sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties, assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates.
|
2.
|
Represents the estimated dollar change in net interest income expressed as a percent of net interest income based on asset yields and cost of funds as of such date. It includes the effect of periodic interest costs on our interest rate swaps, but excludes costs associated with our forward starting swaps and other supplemental hedges, such as swaptions and U.S. Treasury securities. Amounts also exclude costs associated with our TBA position and TBA dollar roll income/loss, which are accounted for as derivative instruments in accordance with GAAP. Base case scenario assumes interest rates and forecasted CPR of
7.1%
and
8.4%
as of
June 30, 2018
and
December 31, 2017
, respectively. As of
June 30, 2018
, rate shock scenarios assume a forecasted CPR of
9%
,
8%
,
6%
and
6%
for the -100, -50, +50 and +100 basis points scenarios, respectively. As of
December 31, 2017
, rate shock scenarios assume a forecasted CPR of
13%
,
10%
,
7%
and
7%
for such scenarios, respectively. Estimated dollar change in net interest income does not include the impact of retroactive "catch-up" premium amortization adjustments due to changes in our forecasted CPR.
|
3.
|
Includes the effect of derivatives and other securities used for hedging purposes.
|
4.
|
Estimated dollar change in investment portfolio value expressed as a percent of the total fair value of our investment portfolio as of such date.
|
5.
|
Estimated dollar change in portfolio value expressed as a percent of tangible stockholders' equity, net of the aggregate preferred stock liquidation preference, as of such date.
|
1.
|
Spread sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties, assumes there are no changes in interest rates and assumes a static portfolio. Actual results could differ materially from these estimates.
|
2.
|
Includes the effect of derivatives and other securities used for hedging purposes.
|
3.
|
Estimated dollar change in investment portfolio value expressed as a percent of the total fair value of our investment portfolio as of such date.
|
4.
|
Estimated dollar change in portfolio value expressed as a percent of tangible stockholders' equity, net of the aggregate preferred stock liquidation preference, as of such date.
|
101.INS**
|
XBRL Instance Document
|
101.SCH**
|
XBRL Taxonomy Extension Schema Document
|
101.CAL**
|
XBRL Taxonomy Extension Calculation Linkbase Document
|
101.LAB**
|
XBRL Taxonomy Extension Labels Linkbase Document
|
101.PRE**
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
101.DEF**
|
XBRL Taxonomy Extension Definition Linkbase Document
|
**
|
This exhibit is being furnished rather than filed, and shall not be deemed incorporated by reference into any filing, in accordance with Item 601 of Regulation S-K
|
(b)
|
Exhibits
|
|
See the exhibits filed herewith.
|
(c)
|
Additional financial statement schedules
|
|
None.
|
|
|
|
AGNC I
NVESTMENT
C
ORP
.
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ G
ARY
D. K
AIN
|
|
|
|
|
Gary D. Kain
Chief Executive Officer and Chief Investment Officer (Principal Executive Officer) |
Date:
|
August 6, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
/s/ B
ERNICE
E. B
ELL
|
|
|
|
|
Bernice E. Bell
Senior Vice President and Chief Financial Officer
(Principal Financial Officer)
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Date:
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August 6, 2018
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A.
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INTRODUCTION
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B.
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OBSERVING ALL LAWS, RULES AND REGULATIONS
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1.
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GENERALLY
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2.
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BRIBES AND KICKBACKS
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3.
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INTERNATIONAL ISSUES
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4.
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POLITICAL ACTIVITY
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5.
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ANTITRUST
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a.
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Agreements with Competitors
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▪
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Agreements that affect the price or other terms or conditions of sale of products or the terms on which we invest;
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Agreements regarding the companies in which AGNC or its managed companies will, or will not, invest or sell or provide services;
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Agreements to refuse to invest in or sell to particular businesses or to refuse to buy from particular businesses; and
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▪
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Agreements that limit the types of investments that AGNC will make.
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6.
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SECURITIES LAWS AND INSIDER TRADING
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a.
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Policy Statement
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b.
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Further Explanation
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1.
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What is inside information?
Inside information is material information about an entity, including AGNC, that has not been publicly disclosed. For instance, this information could relate to AGNC’s investments, financial condition, earnings or business, or to any important development in which we may be involved.
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2.
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What information is material?
Information is material if it is information that a reasonable investor might consider important in deciding whether to buy, sell or hold securities. Examples of information that may be material include: financial results or forecasts; a significant proposed acquisition or sale of a business; a stock split; significant litigation; and changes in customary earnings trends.
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3.
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What information is nonpublic?
Information is nonpublic until the time it has been effectively disclosed to the public. Effective disclosure generally occurs when information is included in a press release, is revealed during a conference call to which the general public has been invited to participate or is included in our public filings with the U.S. Securities and Exchange Commission. Under certain circumstances, effective disclosure may occur by other means.
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4.
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What is a reasonable waiting period before purchases and sales can be made?
The investing public must have sufficient time to analyze the information that has been disclosed before those possessing previously nonpublic information can trade. For matters disclosed in an AGNC press release or conference call, a good rule of thumb is that purchases and sales can be made beginning 24 hours after the disclosure.
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5.
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What transactions are prohibited?
An AGNC person who has inside information about AGNC or another company is prohibited from: (a) trading in AGNC’s or the other company’s securities (including derivative securities such as put and call options); (b) having others trade in AGNC’s or the other company’s securities for your benefit; and (c) disclosing the inside information to (or tipping) anyone else who might then trade. These prohibitions continue for as long as the information remains material and nonpublic.
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6.
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What transactions are allowed?
An AGNC person who has inside information about AGNC may, nonetheless, usually exercise AGNC stock options for cash (but may not sell the option shares he or she receives upon the exercise). These cash option exercise purchases are allowed because the other party to the transactions is AGNC itself, and because the option exercise purchase price does not vary with the market, but, rather, is fixed in advance under the terms of the option plan. Additionally, certain transactions that occur under an automatic investment plan, such as a dividend reinvestment plan or a company approved Rule 10b5-1 plan, if any, are permitted in such circumstances. You should contact the Chief Compliance Officer or a member of our Legal team with any questions.
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c.
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Blackout Period for Trading in AGNC Securities
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C.
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AVOIDING CONFLICTS OF INTEREST
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1.
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GENERALLY
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▪
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Conducting AGNC’s business with a company owned, partially owned or controlled by you or a member of your family;
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Ownership of more than one percent of the stock of a company that competes or does business with AGNC (other than indirect ownership as a result of owning a widely-held mutual fund);
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Working as an employee or a consultant for a competitor, regulatory government entity, investment company or supplier of AGNC (other than as part of your AGNC employment);
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Doing any work for a third party that may adversely affect your performance or judgment on the job or diminish your ability to devote the necessary time and attention to your duties; and
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Appropriating or diverting to yourself or others any business opportunity or idea in which AGNC might have an interest.
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2.
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USE OF OUR ASSETS
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3.
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GIFTS, GRATUITIES AND ENTERTAINMENT
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a.
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Giving
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Are consistent with customary business practices;
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Do not have substantial monetary value and would not be viewed as improper by others; and
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Do not violate applicable laws, rules or regulations.
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b.
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Receiving
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Gifts that do not have substantial monetary value given at holidays or other special occasions;
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Reasonable entertainment at lunch, dinner or business meetings where the return of the expenditure on a reciprocal basis is likely to occur and would be properly chargeable as a business expense; or
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Other routine entertainment that is business-related such as sports outings or cultural events, but only if such is otherwise acceptable under this Code and is reasonable, customary and not excessive.
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D.
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MAINTAINING ACCURATE AND COMPLETE COMPANY RECORDS
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1.
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ACCOUNTING AND FINANCIAL RECORDS
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▪
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Improperly accelerate or defer expenses or revenues to achieve financial results or goals;
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Deviate from any accounting standards applicable to AGNC or otherwise;
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Participate in the valuation of any of our assets at a value other than that required by law;
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Maintain any undisclosed or unrecorded funds or off the book assets;
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Establish or maintain improper, misleading, incomplete or fraudulent accounting documentation or financial reporting;
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Make any payment for purposes other than those described in the documents supporting the payment;
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Submit or approve any expense report where you know or suspect that any portion of the underlying expenses were not incurred or are not accurate; or
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Sign any documents believed to be inaccurate or untruthful.
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2.
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DISCLOSURES TO INVESTORS
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3.
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RETENTION OF DOCUMENTS
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E.
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PROTECTING CONFIDENTIAL INFORMATION
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1.
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AGNC CONFIDENTIAL INFORMATION
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▪
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Not to disclose the information outside of AGNC;
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Not to use the information for any purpose except to benefit AGNC’s business; and
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Not to disclose the information within AGNC, except to other AGNC people who need to know, or use, the information and are aware that it constitutes a trade secret or proprietary information.
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2.
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CONFIDENTIAL INFORMATION OF OTHERS
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3.
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INADVERTENT DISCLOSURE
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4.
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CONTACTS WITH REPORTERS, ANALYSTS AND OTHER MEDIA
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F.
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ADMINISTRATION OF THIS CODE
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1.
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ONGOING REVIEW OF COMPLIANCE
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2.
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REPORTING OF SUSPECTED VIOLATIONS
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3.
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NON-RETALIATION
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4.
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INVESTIGATION OF SUSPECTED VIOLATIONS
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5.
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DISCIPLINARY ACTION
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6.
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SPECIAL PROVISIONS APPLICABLE TO CERTAIN FINANCIAL EXECUTIVES
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7.
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REVISIONS AND UPDATES TO THIS CODE
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8.
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IMPORTANT DISCLAIMERS
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1.
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I have reviewed this
Quarterly
Report on Form
10-Q
of AGNC Investment Corp.;
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
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Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
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The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
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(a)
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Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
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(b)
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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(c)
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Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
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(d)
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Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an Annual Report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
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5.
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The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors:
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(a)
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All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
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(b)
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
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Date:
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August 6, 2018
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/s/ G
ARY
D. K
AIN
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Gary D. Kain
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Chief Executive Officer and Chief Investment Officer (Principal Executive Officer)
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1.
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I have reviewed this
Quarterly
Report on Form
10-Q
of AGNC Investment Corp;
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
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Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
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The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
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(a)
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Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entitles, particularly during the period in which this report is being prepared;
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(b)
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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(c)
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Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
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(d)
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Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an Annual Report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
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5.
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The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors:
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(a)
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All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
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(b)
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
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Date:
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August 6, 2018
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/s/ B
ERNICE
E. B
ELL
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Bernice E. Bell
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Senior Vice President and Chief Financial Officer (Principal Financial Officer)
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1.
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The
Quarterly
Report on Form
10-Q
of the Company for the
quarter
ended
June 30, 2018
(the “Report”) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934 (15 U.S.C. 78m); and
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2.
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The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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/s/ G
ARY
D. K
AIN
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Name:
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Gary D. Kain
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Title:
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Chief Executive Officer and
Chief Investment Officer (Principal Executive Officer)
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Date:
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August 6, 2018
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/s/ B
ERNICE
E. B
ELL
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Name:
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Bernice E. Bell
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Title:
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Senior Vice President and
Chief Financial Officer (Principal Financial Officer)
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Date:
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August 6, 2018
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