ý
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QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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o
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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Maryland
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26-2749336
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(State or Other Jurisdiction of
Incorporation or Organization)
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(I.R.S. Employer
Identification No.)
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1555 Peachtree Street, N.E., Suite 1800
Atlanta, Georgia
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30309
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(Address of Principal Executive Offices)
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(Zip Code)
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Large Accelerated filer
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ý
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Accelerated filer
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o
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Non-Accelerated filer
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o
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(Do not check if a smaller reporting company)
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Smaller reporting company
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o
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Emerging growth company
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o
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Page
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Item 1.
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Item 2.
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Item 3.
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Item 4.
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Item 1.
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Item 1A.
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Item 2.
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Item 3.
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Item 4.
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Item 5.
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Item 6.
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ITEM 1.
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FINANCIAL STATEMENTS
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As of
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$ in thousands except share amounts
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September 30, 2017
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December 31, 2016
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ASSETS
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||||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,398,372 and $14,422,198, respectively)
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18,259,552
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14,981,331
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Commercial loans, held-for-investment
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280,989
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273,355
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Cash and cash equivalents
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73,530
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161,788
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Due from counterparties
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1,550
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86,450
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Investment related receivable
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20,934
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43,886
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Accrued interest receivable
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56,532
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46,945
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Derivative assets, at fair value
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7,394
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3,186
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Other assets
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102,343
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109,297
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Total assets
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18,802,824
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15,706,238
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LIABILITIES AND EQUITY
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Liabilities:
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Repurchase agreements
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14,088,838
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11,160,669
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Secured loans
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1,650,000
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1,650,000
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Exchangeable senior notes, net
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157,380
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397,041
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Derivative liabilities, at fair value
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40,631
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134,228
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Dividends and distributions payable
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59,909
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50,924
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Investment related payable
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122,896
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9,232
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Accrued interest payable
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12,255
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21,066
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Collateral held payable
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2,955
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1,700
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Accounts payable and accrued expenses
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1,788
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1,534
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Due to affiliate
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10,778
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9,660
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Total liabilities
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16,147,430
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13,436,054
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Commitments and contingencies (See Note 16):
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Equity:
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Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized:
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7.75% Series A Cumulative Redeemable Preferred Stock: 5,600,000 shares issued and outstanding ($140,000 aggregate liquidation preference)
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135,356
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135,356
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7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock: 6,200,000 shares issued and outstanding ($155,000 aggregate liquidation preference)
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149,860
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149,860
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7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock: 11,500,000 shares issued and outstanding ($287,500 aggregate liquidation preference)
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278,108
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—
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Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 111,616,551 and 111,594,595 shares issued and outstanding, respectively
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1,116
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1,116
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Additional paid in capital
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2,384,157
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2,379,863
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Accumulated other comprehensive income
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350,686
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293,668
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Retained earnings (distributions in excess of earnings)
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(670,261
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)
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(718,303
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)
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Total stockholders’ equity
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2,629,022
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2,241,560
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Non-controlling interest
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26,372
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28,624
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Total equity
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2,655,394
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2,270,184
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Total liabilities and equity
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18,802,824
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15,706,238
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1
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Three Months Ended
September 30, |
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Nine Months Ended
September 30, |
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$ in thousands, except share amounts
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2017
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2016
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2017
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2016
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||||
Interest Income
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Mortgage-backed and credit risk transfer securities
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134,138
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112,467
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374,038
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347,573
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Commercial loans
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6,251
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5,680
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18,036
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16,520
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Total interest income
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140,389
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118,147
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392,074
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364,093
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Interest Expense
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Repurchase agreements
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45,907
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24,892
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111,926
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97,952
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Secured loans
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5,544
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2,746
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13,492
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8,149
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Exchangeable senior notes
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2,724
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5,620
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11,236
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16,847
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Total interest expense
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54,175
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33,258
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136,654
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122,948
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Net interest income
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86,214
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84,889
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255,420
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241,145
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Other Income (loss)
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Gain (loss) on investments, net
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(11,873
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)
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(7,155
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)
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(2,551
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)
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5,860
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Equity in earnings (losses) of unconsolidated ventures
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408
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729
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(1,280
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)
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1,992
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Gain (loss) on derivative instruments, net
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1,955
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35,378
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(46,096
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)
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(293,528
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)
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Realized and unrealized credit derivative income (loss), net
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(2,930
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)
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31,926
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38,428
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57,564
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Net loss on extinguishment of debt
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(1,344
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)
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—
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(6,581
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)
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—
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Other investment income (loss), net
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2,313
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(554
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)
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6,175
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(3,617
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)
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Total other income (loss)
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(11,471
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)
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60,324
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(11,905
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)
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(231,729
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)
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Expenses
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Management fee – related party
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9,557
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6,719
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27,385
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25,292
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General and administrative
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1,697
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1,836
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5,389
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|
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5,769
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Total expenses
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11,254
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8,555
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32,774
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31,061
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Net income (loss)
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63,489
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|
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136,658
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|
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210,741
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(21,645
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)
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Net income (loss) attributable to non-controlling interest
|
800
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|
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1,723
|
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2,656
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(235
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)
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Net income (loss) attributable to Invesco Mortgage Capital Inc.
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62,689
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|
134,935
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208,085
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(21,410
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)
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Dividends to preferred stockholders
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13,562
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5,716
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24,994
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17,148
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Net income (loss) attributable to common stockholders
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49,127
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129,219
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183,091
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(38,558
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)
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Earnings (loss) per share:
|
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Net income (loss) attributable to common stockholders
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Basic
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0.44
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1.16
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1.64
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(0.34
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)
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Diluted
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0.43
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|
1.05
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|
1.59
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(0.34
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)
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Dividends declared per common share
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0.41
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0.40
|
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1.21
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1.20
|
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2
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Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Net income (loss)
|
63,489
|
|
|
136,658
|
|
|
210,741
|
|
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(21,645
|
)
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Other comprehensive income (loss):
|
|
|
|
|
|
|
|
||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net
|
19,089
|
|
|
32,015
|
|
|
75,011
|
|
|
270,591
|
|
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net
|
7
|
|
|
—
|
|
|
1,508
|
|
|
(11,581
|
)
|
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense
|
(6,438
|
)
|
|
(4,831
|
)
|
|
(19,105
|
)
|
|
11,331
|
|
Currency translation adjustments on investment in unconsolidated venture
|
807
|
|
|
(235
|
)
|
|
331
|
|
|
(10
|
)
|
Total other comprehensive income (loss)
|
13,465
|
|
|
26,949
|
|
|
57,745
|
|
|
270,331
|
|
Comprehensive income (loss)
|
76,954
|
|
|
163,607
|
|
|
268,486
|
|
|
248,686
|
|
Less: Comprehensive (income) loss attributable to non-controlling interest
|
(970
|
)
|
|
(2,063
|
)
|
|
(3,384
|
)
|
|
(3,157
|
)
|
Less: Dividends to preferred stockholders
|
(13,562
|
)
|
|
(5,716
|
)
|
|
(24,994
|
)
|
|
(17,148
|
)
|
Comprehensive income (loss) attributable to common stockholders
|
62,422
|
|
|
155,828
|
|
|
240,108
|
|
|
228,381
|
|
|
3
|
|
|
|
|
|
|
|
|
|
|
|
|
Attributable to Common Stockholders
|
|
|
|
|
|
|
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Additional
Paid in
Capital
|
|
Accumulated
Other
Comprehensive
Income
|
|
Retained
Earnings
(Distributions
in excess of
earnings)
|
|
Total
Stockholders’ Equity |
|
Non-
Controlling
Interest
|
|
|
||||||||||||||||||||||
|
Series A
Preferred Stock
|
|
Series B
Preferred Stock
|
|
Series C
Preferred Stock |
|
|
|
|
||||||||||||||||||||||||||||||||
$ in thousands
except
share amounts
|
|
|
|
Common Stock
|
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Total
Equity
|
|||||||||||||||||||||||||||||||||||
Shares
|
|
Amount
|
|
Shares
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|
Amount
|
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
|
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|
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|||||||||||||||||||||
Balance at December 31, 2016
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5,600,000
|
|
|
135,356
|
|
|
6,200,000
|
|
|
149,860
|
|
|
—
|
|
|
—
|
|
|
111,594,595
|
|
|
1,116
|
|
|
2,379,863
|
|
|
293,668
|
|
|
(718,303
|
)
|
|
2,241,560
|
|
|
28,624
|
|
|
2,270,184
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
208,085
|
|
|
208,085
|
|
|
2,656
|
|
|
210,741
|
|
Other comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
57,017
|
|
|
—
|
|
|
57,017
|
|
|
728
|
|
|
57,745
|
|
Proceeds from issuance of preferred stock, net of offering costs
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11,500,000
|
|
|
278,108
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
278,108
|
|
|
—
|
|
|
278,108
|
|
Stock awards
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
21,956
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Common stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(135,049
|
)
|
|
(135,049
|
)
|
|
—
|
|
|
(135,049
|
)
|
Common unit dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,724
|
)
|
|
(1,724
|
)
|
Preferred stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(24,994
|
)
|
|
(24,994
|
)
|
|
—
|
|
|
(24,994
|
)
|
Amortization of equity-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
378
|
|
|
—
|
|
|
—
|
|
|
378
|
|
|
5
|
|
|
383
|
|
Rebalancing of ownership percentage of non-controlling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,916
|
|
|
1
|
|
|
—
|
|
|
3,917
|
|
|
(3,917
|
)
|
|
—
|
|
Balance at September 30, 2017
|
5,600,000
|
|
|
135,356
|
|
|
6,200,000
|
|
|
149,860
|
|
|
11,500,000
|
|
|
278,108
|
|
|
111,616,551
|
|
|
1,116
|
|
|
2,384,157
|
|
|
350,686
|
|
|
(670,261
|
)
|
|
2,629,022
|
|
|
26,372
|
|
|
2,655,394
|
|
|
4
|
|
|
Nine Months Ended September 30,
|
||||
$ in thousands
|
2017
|
|
2016
|
||
Cash Flows from Operating Activities
|
|
|
|
||
Net income (loss)
|
210,741
|
|
|
(21,645
|
)
|
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
|
|
|
|
||
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net
|
75,933
|
|
|
85,522
|
|
Amortization of commercial loan origination fees
|
(234
|
)
|
|
(219
|
)
|
Unrealized (gain) loss on derivative instruments, net
|
(20,025
|
)
|
|
150,842
|
|
Unrealized (gain) loss on credit derivatives, net
|
(20,904
|
)
|
|
(45,192
|
)
|
(Gain) loss on investments, net
|
2,551
|
|
|
(5,860
|
)
|
Realized (gain) loss on derivative instruments, net
|
5,808
|
|
|
62,222
|
|
Realized (gain) loss on credit derivatives, net
|
—
|
|
|
6,017
|
|
Equity in (earnings) losses of unconsolidated ventures
|
1,280
|
|
|
(1,992
|
)
|
Amortization of equity-based compensation
|
425
|
|
|
425
|
|
Amortization of deferred securitization and financing costs
|
1,212
|
|
|
1,847
|
|
Amortization of net deferred (gain) loss on de-designated interest rate swaps
|
(19,105
|
)
|
|
11,331
|
|
Net loss on extinguishment of debt
|
6,581
|
|
|
—
|
|
(Gain) loss on foreign currency transactions, net
|
(3,715
|
)
|
|
6,080
|
|
Changes in operating assets and liabilities:
|
|
|
|
||
(Increase) decrease in operating assets
|
(9,713
|
)
|
|
1,260
|
|
Increase (decrease) in operating liabilities
|
(4,985
|
)
|
|
858
|
|
Net cash provided by operating activities
|
225,850
|
|
|
251,496
|
|
Cash Flows from Investing Activities
|
|
|
|
||
Purchase of mortgage-backed and credit risk transfer securities
|
(5,480,222
|
)
|
|
(2,367,991
|
)
|
Purchase of U.S. Treasury securities
|
—
|
|
|
(403,105
|
)
|
Proceeds from sale of U.S. Treasury securities
|
—
|
|
|
524,478
|
|
(Contributions to) distributions from investments in unconsolidated ventures, net
|
9,668
|
|
|
7,632
|
|
Purchase of exchange-traded fund
|
(3,508
|
)
|
|
—
|
|
Sale of exchange-traded fund
|
51
|
|
|
—
|
|
Change in other assets
|
—
|
|
|
(73,875
|
)
|
Principal payments from mortgage-backed and credit risk transfer securities
|
1,736,460
|
|
|
1,920,352
|
|
Proceeds from sale of mortgage-backed and credit risk transfer securities
|
625,540
|
|
|
659,959
|
|
Payments on sales of credit derivatives
|
—
|
|
|
(6,017
|
)
|
Proceeds from/ (payments for) settlement or termination of forwards, swaps and swaptions, net
|
(5,808
|
)
|
|
(60,737
|
)
|
Principal payments from commercial loans held-for-investment
|
—
|
|
|
15,000
|
|
Origination and advances of commercial loans, net of origination fees
|
(3,754
|
)
|
|
(85,033
|
)
|
Net cash provided by (used in) investing activities
|
(3,121,573
|
)
|
|
130,663
|
|
Cash Flows from Financing Activities
|
|
|
|
||
Proceeds from issuance of common stock
|
—
|
|
|
35
|
|
Repurchase of common stock
|
—
|
|
|
(25,000
|
)
|
Proceeds from issuance of preferred stock, net of issuance cost
|
278,411
|
|
|
—
|
|
Due from counterparties
|
(1,550
|
)
|
|
(138,959
|
)
|
Change in collateral held payable
|
1,255
|
|
|
(4,900
|
)
|
Proceeds from repurchase agreements
|
107,218,532
|
|
|
97,653,895
|
|
Principal repayments of repurchase agreements
|
(104,288,947
|
)
|
|
(97,719,439
|
)
|
Proceeds from secured loans
|
—
|
|
|
125,000
|
|
Principal repayments of secured loans
|
—
|
|
|
(125,000
|
)
|
Extinguishment of exchangeable senior notes
|
(247,454
|
)
|
|
—
|
|
Payments of deferred costs
|
—
|
|
|
(136
|
)
|
Payments of dividends and distributions
|
(152,782
|
)
|
|
(153,572
|
)
|
Net cash provided by (used in) financing activities
|
2,807,465
|
|
|
(388,076
|
)
|
Net change in cash and cash equivalents
|
(88,258
|
)
|
|
(5,917
|
)
|
Cash and cash equivalents, beginning of period
|
161,788
|
|
|
53,199
|
|
Cash and cash equivalents, end of period
|
73,530
|
|
|
47,282
|
|
Supplement Disclosure of Cash Flow Information
|
|
|
|
||
Interest paid
|
159,982
|
|
|
116,401
|
|
Non-cash Investing and Financing Activities Information
|
|
|
|
||
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities
|
76,519
|
|
|
259,010
|
|
Dividends and distributions declared not paid
|
59,909
|
|
|
50,921
|
|
Net change in investment related payable (receivable)
|
(141,085
|
)
|
|
117,295
|
|
Net change in repurchase agreements, not settled
|
(1,416
|
)
|
|
(2
|
)
|
Change in due from counterparties
|
86,450
|
|
|
7,807
|
|
|
5
|
|
•
|
Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association, or a federally chartered corporation such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation (collectively "Agency RMBS");
|
•
|
RMBS that are not guaranteed by a U.S. government agency ("non-Agency RMBS");
|
•
|
Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT");
|
•
|
Commercial mortgage-backed securities ("CMBS");
|
•
|
Residential and commercial mortgage loans; and
|
•
|
Other real estate-related financing agreements.
|
|
6
|
|
$ in thousands
|
Carrying Amount
|
|
Company's Maximum Risk of Loss
|
||
CMBS
|
3,108,797
|
|
|
3,108,797
|
|
Non-Agency RMBS
|
1,420,333
|
|
|
1,420,333
|
|
Investments in unconsolidated ventures
|
22,684
|
|
|
22,684
|
|
Total
|
4,551,814
|
|
|
4,551,814
|
|
|
7
|
|
September 30, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
$ in thousands
|
Principal/ Notional
Balance
|
|
Unamortized
Premium
(Discount)
|
|
Amortized
Cost
|
|
Unrealized
Gain/
(Loss), net
|
|
Fair
Value
|
|
Net
Weighted
Average
Coupon
(1)
|
|
Period-
end
Weighted
Average
Yield
(2)
|
|
Quarterly
Weighted
Average
Yield
(3)
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
15 year fixed-rate
|
3,046,720
|
|
|
126,676
|
|
|
3,173,396
|
|
|
(38,516
|
)
|
|
3,134,880
|
|
|
3.09
|
%
|
|
2.16
|
%
|
|
1.95
|
%
|
30 year fixed-rate
|
7,062,725
|
|
|
294,240
|
|
|
7,356,965
|
|
|
29,579
|
|
|
7,386,544
|
|
|
3.75
|
%
|
|
3.08
|
%
|
|
2.73
|
%
|
ARM
*
|
249,982
|
|
|
1,788
|
|
|
251,770
|
|
|
2,996
|
|
|
254,766
|
|
|
2.67
|
%
|
|
2.60
|
%
|
|
2.35
|
%
|
Hybrid ARM
|
1,782,077
|
|
|
27,850
|
|
|
1,809,927
|
|
|
9,586
|
|
|
1,819,513
|
|
|
2.70
|
%
|
|
2.54
|
%
|
|
2.19
|
%
|
Total Agency pass-through
(4)
|
12,141,504
|
|
|
450,554
|
|
|
12,592,058
|
|
|
3,645
|
|
|
12,595,703
|
|
|
3.41
|
%
|
|
2.76
|
%
|
|
2.43
|
%
|
Agency-CMO
(5)
|
1,307,945
|
|
|
(1,026,765
|
)
|
|
281,180
|
|
|
(7,041
|
)
|
|
274,139
|
|
|
1.96
|
%
|
|
2.80
|
%
|
|
2.71
|
%
|
Non-Agency RMBS
(6)(7)(8)
|
2,995,292
|
|
|
(1,713,985
|
)
|
|
1,281,307
|
|
|
139,026
|
|
|
1,420,333
|
|
|
2.16
|
%
|
|
6.57
|
%
|
|
6.56
|
%
|
GSE CRT
(9)(10)
|
763,747
|
|
|
24,939
|
|
|
788,686
|
|
|
71,894
|
|
|
860,580
|
|
|
3.08
|
%
|
|
2.34
|
%
|
|
2.74
|
%
|
CMBS
(11)(12)
|
3,726,929
|
|
|
(679,272
|
)
|
|
3,047,657
|
|
|
61,140
|
|
|
3,108,797
|
|
|
3.90
|
%
|
|
4.85
|
%
|
|
4.52
|
%
|
Total
|
20,935,417
|
|
|
(2,944,529
|
)
|
|
17,990,888
|
|
|
268,664
|
|
|
18,259,552
|
|
|
3.21
|
%
|
|
3.37
|
%
|
|
3.13
|
%
|
(1)
|
Net weighted average coupon as of
September 30, 2017
is based on principal/notional balance and is presented net of servicing and other fees.
|
(2)
|
Period-end weighted average yield is based on amortized cost as of
September 30, 2017
and incorporates future prepayment and loss assumptions.
|
(3)
|
Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the average balance of the amortized cost of the investments. All yields are annualized.
|
(4)
|
We have elected the fair value option for Agency RMBS purchased on or after September 1, 2016 which represent
39.3%
of principal/notional balance,
39.0%
of amortized cost and
39.1%
of fair value.
|
(5)
|
Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent
83.7%
of principal/notional balance,
23.4%
of amortized cost and
21.5%
of fair value.
|
(6)
|
Non-Agency RMBS held by us is
41.3%
fixed rate,
49.7%
variable rate, and
9.0%
floating rate based on fair value.
|
(7)
|
Of the total discount in non-Agency RMBS,
$213.2 million
is non-accretable based on estimated future cash flows of the securities.
|
(8)
|
Non-Agency RMBS includes interest-only securities which represent
49.3%
of principal/notional balance,
1.8%
of amortized cost and
1.7%
of fair value.
|
(9)
|
We have elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent
26.3%
of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative.
|
(10)
|
GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net.
|
(11)
|
CMBS includes interest-only securities which represent
16.5%
of principal/notional balance,
0.6%
of amortized cost and
0.6%
of fair value.
|
(12)
|
We have elected the fair value option for CMBS purchased on or after September 1, 2016 which represent
21.3%
of principal/notional balance,
22.4%
of amortized cost and
21.7%
of fair value.
|
|
8
|
|
December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
$ in thousands
|
Principal/Notional
Balance
|
|
Unamortized
Premium
(Discount)
|
|
Amortized
Cost
|
|
Unrealized
Gain/
(Loss), net
|
|
Fair
Value
|
|
Net
Weighted
Average
Coupon
(1)
|
|
Period-
end
Weighted
Average
Yield
(2)
|
|
Quarterly
Weighted
Average
Yield
(3)
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
15 year fixed-rate
|
3,460,625
|
|
|
151,526
|
|
|
3,612,151
|
|
|
(54,223
|
)
|
|
3,557,928
|
|
|
3.11
|
%
|
|
2.19
|
%
|
|
1.99
|
%
|
30 year fixed-rate
|
2,780,806
|
|
|
185,521
|
|
|
2,966,327
|
|
|
15,390
|
|
|
2,981,717
|
|
|
4.37
|
%
|
|
2.61
|
%
|
|
2.57
|
%
|
ARM
|
301,900
|
|
|
2,520
|
|
|
304,420
|
|
|
3,453
|
|
|
307,873
|
|
|
2.69
|
%
|
|
2.59
|
%
|
|
2.16
|
%
|
Hybrid ARM
|
2,423,152
|
|
|
42,360
|
|
|
2,465,512
|
|
|
8,789
|
|
|
2,474,301
|
|
|
2.70
|
%
|
|
2.52
|
%
|
|
2.02
|
%
|
Total Agency pass-through
(4)
|
8,966,483
|
|
|
381,927
|
|
|
9,348,410
|
|
|
(26,591
|
)
|
|
9,321,819
|
|
|
3.37
|
%
|
|
2.42
|
%
|
|
2.20
|
%
|
Agency-CMO
(5)
|
1,712,120
|
|
|
(1,368,916
|
)
|
|
343,204
|
|
|
837
|
|
|
344,041
|
|
|
2.16
|
%
|
|
3.08
|
%
|
|
2.07
|
%
|
Non-Agency RMBS
(6)(7)(8)
|
3,838,314
|
|
|
(1,934,269
|
)
|
|
1,904,045
|
|
|
91,506
|
|
|
1,995,551
|
|
|
2.21
|
%
|
|
5.22
|
%
|
|
5.22
|
%
|
GSE CRT
(9)(10)
|
707,899
|
|
|
24,320
|
|
|
732,219
|
|
|
35,981
|
|
|
768,200
|
|
|
2.38
|
%
|
|
1.51
|
%
|
|
1.24
|
%
|
CMBS
(11)(12)
|
3,050,747
|
|
|
(559,857
|
)
|
|
2,490,890
|
|
|
60,830
|
|
|
2,551,720
|
|
|
3.80
|
%
|
|
4.21
|
%
|
|
4.17
|
%
|
Total
|
18,275,563
|
|
|
(3,456,795
|
)
|
|
14,818,768
|
|
|
162,563
|
|
|
14,981,331
|
|
|
3.05
|
%
|
|
3.05
|
%
|
|
2.87
|
%
|
(1)
|
Net weighted average coupon as of
December 31, 2016
is based on principal/notional balance and is presented net of servicing and other fees.
|
(2)
|
Period-end weighted average yield is based on amortized cost as of
December 31, 2016
and incorporates future prepayment and loss assumptions.
|
(3)
|
Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the average balance of the amortized cost of the investments. All yields are annualized.
|
(4)
|
We have elected the fair value option for Agency RMBS purchased on or after September 1, 2016 which represent
4.3%
of principal/notional balance,
4.3%
of amortized cost and
4.2%
of fair value.
|
(5)
|
Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities ("Agency IO"), which represent
85.5%
o
f principal (notional) balance,
26.8%
of amortized cost and
27.1%
of fair value.
|
(6)
|
Non-Agency RMBS held by us is
45.5%
variable rate,
47.2%
fixed rate, and
7.3%
floating rate based on fair value.
|
(7)
|
Of the total discount in non-Agency RMBS,
$252.5 million
is non-accretable based on estimated future cash flows of the securities.
|
(8)
|
Non-Agency RMBS includes interest-only securities, which represent
43.5%
of principal/notional balance,
1.5%
of amortized cost and
1.3%
of fair value.
|
(9)
|
We have elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent
19.2%
of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative.
|
(10)
|
GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net.
|
(11)
|
CMBS includes interest-only securities which represent
20.3%
of principal/notional balance,
0.8%
of amortized cost and
0.9%
of fair value.
|
(12)
|
We have elected the fair value option for CMBS purchased on or after September 1, 2016 which represent
0.4%
of principal/notional balance,
0.6%
of amortized cost and
0.5%
of fair value.
|
$ in thousands
|
September 30, 2017
|
|
% of Non-Agency
|
|
December 31, 2016
|
|
% of Non-Agency
|
||||
Prime
|
676,285
|
|
|
47.5
|
%
|
|
889,658
|
|
|
44.6
|
%
|
Alt-A
|
412,880
|
|
|
29.1
|
%
|
|
447,213
|
|
|
22.4
|
%
|
Re-REMIC
|
202,554
|
|
|
14.2
|
%
|
|
364,301
|
|
|
18.2
|
%
|
Subprime/reperforming
|
128,614
|
|
|
9.2
|
%
|
|
294,379
|
|
|
14.8
|
%
|
Total Non-Agency
|
1,420,333
|
|
|
100.0
|
%
|
|
1,995,551
|
|
|
100.0
|
%
|
|
9
|
|
|
Percentage of Re-REMIC Holdings at Fair Value
|
||||
Re-REMIC Subordination
(1)
|
September 30, 2017
|
|
December 31, 2016
|
||
0% - 10%
|
30.6
|
%
|
|
17.6
|
%
|
10% - 20%
|
3.9
|
%
|
|
7.4
|
%
|
20% - 30%
|
10.8
|
%
|
|
13.5
|
%
|
30% - 40%
|
19.4
|
%
|
|
15.7
|
%
|
40% - 50%
|
13.9
|
%
|
|
27.0
|
%
|
50% - 60%
|
19.6
|
%
|
|
16.1
|
%
|
60% - 70%
|
1.8
|
%
|
|
2.7
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
(1)
|
Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by us by any junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying securities represented by any junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying securities in excess of the subordination amount would result in principal losses on the Re-REMIC tranche held by us.
52.8%
of our Re-REMIC holdings are not senior tranches.
|
$ in thousands
|
September 30, 2017
|
|
December 31, 2016
|
||
Principal balance
|
20,935,417
|
|
|
18,275,563
|
|
Unamortized premium
|
532,304
|
|
|
476,314
|
|
Unamortized discount
|
(3,476,833
|
)
|
|
(3,933,109
|
)
|
Gross unrealized gains
|
383,072
|
|
|
302,099
|
|
Gross unrealized losses
|
(114,408
|
)
|
|
(139,536
|
)
|
Fair value
|
18,259,552
|
|
|
14,981,331
|
|
$ in thousands
|
September 30, 2017
|
|
December 31, 2016
|
||
Less than one year
|
126,038
|
|
|
121,076
|
|
Greater than one year and less than five years
|
8,275,481
|
|
|
6,719,923
|
|
Greater than or equal to five years
|
9,858,033
|
|
|
8,140,332
|
|
Total
|
18,259,552
|
|
|
14,981,331
|
|
|
10
|
|
|
Less than 12 Months
|
|
12 Months or More
|
|
Total
|
|||||||||||||||||||||
$ in thousands
|
Fair
Value
|
|
Unrealized
Losses
|
|
Number
of
Securities
|
|
Fair
Value
|
|
Unrealized
Losses
|
|
Number
of
Securities
|
|
Fair
Value
|
|
Unrealized
Losses
|
|
Number
of
Securities
|
|||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
15 year fixed-rate
|
1,833,557
|
|
|
(32,156
|
)
|
|
108
|
|
|
702,899
|
|
|
(16,708
|
)
|
|
41
|
|
|
2,536,456
|
|
|
(48,864
|
)
|
|
149
|
|
30 year fixed-rate
|
3,169,397
|
|
|
(16,871
|
)
|
|
79
|
|
|
513,696
|
|
|
(14,512
|
)
|
|
30
|
|
|
3,683,093
|
|
|
(31,383
|
)
|
|
109
|
|
ARM
|
85,467
|
|
|
(126
|
)
|
|
10
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
85,467
|
|
|
(126
|
)
|
|
10
|
|
Hybrid ARM
|
775,621
|
|
|
(4,867
|
)
|
|
75
|
|
|
54,299
|
|
|
(689
|
)
|
|
8
|
|
|
829,920
|
|
|
(5,556
|
)
|
|
83
|
|
Total Agency pass-through
(1)
|
5,864,042
|
|
|
(54,020
|
)
|
|
272
|
|
|
1,270,894
|
|
|
(31,909
|
)
|
|
79
|
|
|
7,134,936
|
|
|
(85,929
|
)
|
|
351
|
|
Agency-CMO
(2)
|
145,885
|
|
|
(9,853
|
)
|
|
44
|
|
|
18,602
|
|
|
(612
|
)
|
|
1
|
|
|
164,487
|
|
|
(10,465
|
)
|
|
45
|
|
Non-Agency RMBS
|
134,772
|
|
|
(659
|
)
|
|
21
|
|
|
106,614
|
|
|
(1,628
|
)
|
|
14
|
|
|
241,386
|
|
|
(2,287
|
)
|
|
35
|
|
CMBS
(3)
|
823,257
|
|
|
(15,470
|
)
|
|
72
|
|
|
19,196
|
|
|
(257
|
)
|
|
4
|
|
|
842,453
|
|
|
(15,727
|
)
|
|
76
|
|
Total
|
6,967,956
|
|
|
(80,002
|
)
|
|
409
|
|
|
1,415,306
|
|
|
(34,406
|
)
|
|
98
|
|
|
8,383,262
|
|
|
(114,408
|
)
|
|
507
|
|
(1)
|
Amounts disclosed include Agency RMBS with a fair value of $
2.7 billion
for which the fair value option has been elected. Such securities have unrealized losses of $
10.6 million
.
|
(2)
|
Fair value includes unrealized losses on Agency IO of
$8.7 million
and unrealized losses on CMO of
$1.8 million
.
|
(3)
|
Amounts disclosed includes CMBS with a fair value of
$521.4 million
for which the fair value option has been elected. Such securities have unrealized losses of
$9.8 million
.
|
|
Less than 12 Months
|
|
12 Months or More
|
|
Total
|
|||||||||||||||||||||
$ in thousands
|
Fair
Value
|
|
Unrealized
Losses
|
|
Number
of
Securities
|
|
Fair
Value
|
|
Unrealized
Losses
|
|
Number
of
Securities
|
|
Fair
Value
|
|
Unrealized
Losses
|
|
Number
of
Securities
|
|||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
15 year fixed-rate
|
2,781,777
|
|
|
(66,506
|
)
|
|
127
|
|
|
65,964
|
|
|
(1,556
|
)
|
|
17
|
|
|
2,847,741
|
|
|
(68,062
|
)
|
|
144
|
|
30 year fixed-rate
|
747,719
|
|
|
(15,409
|
)
|
|
45
|
|
|
547,763
|
|
|
(18,004
|
)
|
|
27
|
|
|
1,295,482
|
|
|
(33,413
|
)
|
|
72
|
|
ARM
|
120,540
|
|
|
(326
|
)
|
|
9
|
|
|
1,091
|
|
|
(7
|
)
|
|
1
|
|
|
121,631
|
|
|
(333
|
)
|
|
10
|
|
Hybrid ARM
|
1,356,687
|
|
|
(9,922
|
)
|
|
99
|
|
|
252
|
|
|
(4
|
)
|
|
2
|
|
|
1,356,939
|
|
|
(9,926
|
)
|
|
101
|
|
Total Agency pass-through
(1)
|
5,006,723
|
|
|
(92,163
|
)
|
|
280
|
|
|
615,070
|
|
|
(19,571
|
)
|
|
47
|
|
|
5,621,793
|
|
|
(111,734
|
)
|
|
327
|
|
Agency-CMO
(2)
|
163,114
|
|
|
(3,812
|
)
|
|
28
|
|
|
22,792
|
|
|
(952
|
)
|
|
3
|
|
|
185,906
|
|
|
(4,764
|
)
|
|
31
|
|
Non-Agency RMBS
|
287,647
|
|
|
(7,861
|
)
|
|
42
|
|
|
497,863
|
|
|
(6,671
|
)
|
|
36
|
|
|
785,510
|
|
|
(14,532
|
)
|
|
78
|
|
GSE CRT
(3)
|
—
|
|
|
—
|
|
|
—
|
|
|
35,935
|
|
|
(969
|
)
|
|
3
|
|
|
35,935
|
|
|
(969
|
)
|
|
3
|
|
CMBS
(4)
|
401,016
|
|
|
(6,733
|
)
|
|
36
|
|
|
47,219
|
|
|
(804
|
)
|
|
6
|
|
|
448,235
|
|
|
(7,537
|
)
|
|
42
|
|
Total
|
5,858,500
|
|
|
(110,569
|
)
|
|
386
|
|
|
1,218,879
|
|
|
(28,967
|
)
|
|
95
|
|
|
7,077,379
|
|
|
(139,536
|
)
|
|
481
|
|
(1)
|
Amounts disclosed include Agency RMBS with a fair value of
$149.7 million
for which the fair value option has been elected. Such securities have unrealized losses of
$4.0 million
.
|
(2)
|
Fair value includes unrealized losses on Agency IO of
$3.0 million
unrealized losses and unrealized losses on CMO of
$1.7 million
.
|
(3)
|
Fair value includes unrealized losses on both the debt host contract and the embedded derivative.
|
(4)
|
Amounts disclosed includes CMBS with a fair value of
$13.9 million
for which the fair value option has been elected. Such securities have unrealized losses of
$613,000
.
|
|
11
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
RMBS interest-only securities
|
4,959
|
|
|
804
|
|
|
8,835
|
|
|
7,959
|
|
Non-Agency RMBS
(1)
|
—
|
|
|
352
|
|
|
754
|
|
|
405
|
|
Total
|
4,959
|
|
|
1,156
|
|
|
9,589
|
|
|
8,364
|
|
(1)
|
Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income.
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Accumulated other comprehensive income (loss) from MBS and GSE CRT securities:
|
|
|
|
|
|
|
|
||||
Unrealized gain (loss) on MBS and GSE CRT at beginning of period
|
203,724
|
|
|
404,794
|
|
|
146,301
|
|
|
177,799
|
|
Unrealized gain (loss) on MBS and GSE CRT
|
19,089
|
|
|
32,015
|
|
|
75,011
|
|
|
270,591
|
|
Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net
|
7
|
|
|
—
|
|
|
1,508
|
|
|
(11,581
|
)
|
Balance at the end of period
|
222,820
|
|
|
436,809
|
|
|
222,820
|
|
|
436,809
|
|
|
12
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Gross realized gains on sale of investments
|
—
|
|
|
144
|
|
|
2,208
|
|
|
14,196
|
|
Gross realized losses on sale of investments
|
(7
|
)
|
|
(1,449
|
)
|
|
(3,873
|
)
|
|
(3,920
|
)
|
Other-than-temporary impairment losses
|
(4,959
|
)
|
|
(1,156
|
)
|
|
(9,589
|
)
|
|
(8,364
|
)
|
Net unrealized gains and losses on MBS accounted for under the fair value option
|
(5,301
|
)
|
|
(5,412
|
)
|
|
(1,188
|
)
|
|
2,530
|
|
Net unrealized gains and losses on GSE CRT accounted for under the fair value option
|
(1,608
|
)
|
|
1,181
|
|
|
9,866
|
|
|
1,418
|
|
Net unrealized gains and losses on trading securities
|
2
|
|
|
(463
|
)
|
|
25
|
|
|
—
|
|
Total gain (loss) on investments, net
|
(11,873
|
)
|
|
(7,155
|
)
|
|
(2,551
|
)
|
|
5,860
|
|
$ in thousands
|
Coupon
Interest
|
|
Net (Premium
Amortization)/Discount
Accretion
|
|
Interest
Income
|
|||
Agency
|
99,748
|
|
|
(26,155
|
)
|
|
73,593
|
|
Non-Agency
|
17,109
|
|
|
4,846
|
|
|
21,955
|
|
GSE CRT
|
6,021
|
|
|
(597
|
)
|
|
5,424
|
|
CMBS
|
33,613
|
|
|
(591
|
)
|
|
33,022
|
|
Other
|
144
|
|
|
—
|
|
|
144
|
|
Total
|
156,635
|
|
|
(22,497
|
)
|
|
134,138
|
|
$ in thousands
|
Coupon
Interest
|
|
Net (Premium
Amortization)/Discount
Accretion
|
|
Interest
Income
|
|||
Agency
|
88,615
|
|
|
(31,773
|
)
|
|
56,842
|
|
Non-Agency
|
22,775
|
|
|
3,509
|
|
|
26,284
|
|
GSE CRT
|
2,268
|
|
|
(765
|
)
|
|
1,503
|
|
CMBS
|
29,872
|
|
|
(2,788
|
)
|
|
27,084
|
|
Other
|
795
|
|
|
(41
|
)
|
|
754
|
|
Total
|
144,325
|
|
|
(31,858
|
)
|
|
112,467
|
|
$ in thousands
|
Coupon
Interest |
|
Net (Premium
Amortization)/Discount Accretion |
|
Interest
Income |
|||
Agency
|
282,958
|
|
|
(82,508
|
)
|
|
200,450
|
|
Non-Agency
|
55,854
|
|
|
12,967
|
|
|
68,821
|
|
GSE CRT
|
16,064
|
|
|
(1,315
|
)
|
|
14,749
|
|
CMBS
|
94,795
|
|
|
(5,077
|
)
|
|
89,718
|
|
Other
|
300
|
|
|
—
|
|
|
300
|
|
Total
|
449,971
|
|
|
(75,933
|
)
|
|
374,038
|
|
|
13
|
|
$ in thousands
|
Coupon
Interest |
|
Net (Premium
Amortization)/Discount Accretion |
|
Interest
Income |
|||
Agency
|
258,826
|
|
|
(84,235
|
)
|
|
174,591
|
|
Non-Agency
|
72,751
|
|
|
9,645
|
|
|
82,396
|
|
GSE CRT
|
6,601
|
|
|
(2,307
|
)
|
|
4,294
|
|
CMBS
|
93,612
|
|
|
(8,567
|
)
|
|
85,045
|
|
Other
|
1,305
|
|
|
(58
|
)
|
|
1,247
|
|
Total
|
433,095
|
|
|
(85,522
|
)
|
|
347,573
|
|
$ in thousands
|
Number of
loans
|
|
Principal
Balance
|
|
Unamortized (fees)/
costs, net
|
|
Carrying
value
|
|
Weighted Average Coupon
|
|
Weighted Average Years to Maturity
(1)
|
|||||
Mezzanine loans
|
10
|
|
|
281,178
|
|
|
(189
|
)
|
|
280,989
|
|
|
8.66
|
%
|
|
1.2
|
$ in thousands
|
Number of
loans
|
|
Principal
Balance
|
|
Unamortized (fees)/
costs, net
|
|
Carrying
value
|
|
Weighted Average Coupon
|
|
Weighted Average Years to Maturity
(1)
|
|||||
Mezzanine loans
|
10
|
|
|
273,666
|
|
|
(311
|
)
|
|
273,355
|
|
|
8.14
|
%
|
|
1.6
|
(1)
|
Weighted average years to maturity is based on the contractual maturity date. Certain loans may contain either an option to prepay or an option to extend beyond their contractual maturity dates as specified in the respective loan agreements.
|
$ in thousands
|
September 30, 2017
|
|
December 31, 2016
|
||
FHLBI stock
|
74,250
|
|
|
74,250
|
|
Investments in unconsolidated ventures
|
22,684
|
|
|
33,301
|
|
Investment in exchange-traded fund
|
3,982
|
|
|
500
|
|
Prepaid expenses and other assets
|
1,427
|
|
|
1,246
|
|
Total
|
102,343
|
|
|
109,297
|
|
|
14
|
|
$ in thousands
|
September 30, 2017
|
||||||
|
|
|
|
Weighted
|
|||
|
|
Weighted
|
|
Average
|
|||
|
|
Average
|
|
Remaining
|
|||
Amount
|
|
Interest
|
|
Maturity
|
|||
Outstanding
|
|
Rate
|
|
(days)
|
|||
Repurchase Agreements:
|
|
|
|
|
|
||
Agency RMBS
|
11,115,979
|
|
|
1.32
|
%
|
|
18
|
Non-Agency RMBS
|
1,035,759
|
|
|
2.57
|
%
|
|
30
|
GSE CRT
|
653,156
|
|
|
2.62
|
%
|
|
21
|
CMBS
|
1,283,944
|
|
|
2.41
|
%
|
|
11
|
Total Repurchase Agreements
|
14,088,838
|
|
|
1.57
|
%
|
|
19
|
Secured Loans
|
1,650,000
|
|
|
1.37
|
%
|
|
2,409
|
Exchangeable Senior Notes
(1)
|
157,822
|
|
|
5.00
|
%
|
|
166
|
Total Borrowings
|
15,896,660
|
|
|
1.58
|
%
|
|
269
|
$ in thousands
|
December 31, 2016
|
||||||
|
|
|
|
Weighted
|
|||
|
|
Weighted
|
|
Average
|
|||
|
|
Average
|
|
Remaining
|
|||
Amount
|
|
Interest
|
|
Maturity
|
|||
Outstanding
|
|
Rate
|
|
(days)
|
|||
Repurchase Agreements:
|
|
|
|
|
|
||
Agency RMBS
|
8,148,220
|
|
|
0.93
|
%
|
|
32
|
Non-Agency RMBS
|
1,519,859
|
|
|
2.06
|
%
|
|
28
|
GSE CRT
|
547,872
|
|
|
2.25
|
%
|
|
16
|
CMBS
|
944,718
|
|
|
1.86
|
%
|
|
16
|
Total Repurchase Agreements
|
11,160,669
|
|
|
1.23
|
%
|
|
30
|
Secured Loans
|
1,650,000
|
|
|
0.74
|
%
|
|
2,682
|
Exchangeable Senior Notes
(1)
|
400,000
|
|
|
5.00
|
%
|
|
439
|
Total Borrowings
|
13,210,669
|
|
|
1.28
|
%
|
|
373
|
(1)
|
The carrying value of exchangeable senior notes is
$157.4 million
and
$397.0 million
as of
September 30, 2017
and
December 31, 2016
, respectively. The carrying value is net of unamortized debt issuance costs of
$442,000
and
$3.0 million
as of
September 30, 2017
and
December 31, 2016
, respectively.
|
|
15
|
|
September 30, 2017
|
|
|
|
|
|
|||
$ in thousands
|
Amount Outstanding
|
|
Percent of Total Amount Outstanding
|
|
MBS and GSE CRT Pledged as Collateral
(1)
|
|||
Repurchase Agreement Counterparties:
|
|
|
|
|
|
|||
HSBC Securities (USA) Inc.
|
1,705,135
|
|
|
10.9
|
%
|
|
1,784,828
|
|
ING Financial Market LLC
|
1,483,827
|
|
|
9.4
|
%
|
|
1,563,206
|
|
Pierpont Securities LLC
|
1,174,212
|
|
|
7.5
|
%
|
|
1,232,845
|
|
Royal Bank of Canada
|
1,123,935
|
|
|
7.1
|
%
|
|
1,333,277
|
|
Industrial and Commercial Bank of China Financial Services LLC
|
937,325
|
|
|
6.0
|
%
|
|
984,973
|
|
E D & F Man Capital Markets Inc.
|
873,302
|
|
|
5.5
|
%
|
|
918,538
|
|
Citigroup Global Markets Inc.
|
741,950
|
|
|
4.7
|
%
|
|
857,660
|
|
Mitsubishi UFJ Securities (USA), Inc.
|
669,899
|
|
|
4.3
|
%
|
|
718,869
|
|
Mirae Asset Securities (USA) Inc.
|
621,277
|
|
|
3.9
|
%
|
|
654,518
|
|
Scotia Capital
|
588,985
|
|
|
3.7
|
%
|
|
612,734
|
|
KGS-Alpha Capital Markets, L.P.
|
479,557
|
|
|
3.0
|
%
|
|
504,176
|
|
JP Morgan Securities Inc.
|
459,574
|
|
|
2.9
|
%
|
|
539,827
|
|
Societe Generale
|
389,409
|
|
|
2.5
|
%
|
|
503,230
|
|
South Street Securities LLC
|
376,668
|
|
|
2.4
|
%
|
|
399,633
|
|
BNP Paribas Securities Corp.
|
357,881
|
|
|
2.3
|
%
|
|
396,246
|
|
Goldman, Sachs & Co.
|
339,108
|
|
|
2.2
|
%
|
|
436,525
|
|
Mizuho Securities USA Inc.
|
319,623
|
|
|
2.0
|
%
|
|
338,960
|
|
Guggenheim Liquidity Services, LLC
|
317,267
|
|
|
2.0
|
%
|
|
333,451
|
|
Natixis, New York Branch
|
286,692
|
|
|
1.8
|
%
|
|
309,603
|
|
Daiwa Capital Markets America Inc
|
211,027
|
|
|
1.3
|
%
|
|
223,281
|
|
All other counterparties
(2)
|
632,185
|
|
|
4.1
|
%
|
|
796,555
|
|
Total Repurchase Agreement Counterparties
|
14,088,838
|
|
|
89.5
|
%
|
|
15,442,935
|
|
Secured Loans Counterparty:
|
|
|
|
|
|
|||
FHLBI
|
1,650,000
|
|
|
10.5
|
%
|
|
1,908,440
|
|
Total
|
15,738,838
|
|
|
100.0
|
%
|
|
17,351,375
|
|
(1)
|
Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended
December 31, 2016
.
|
(2)
|
Represents amounts outstanding with
seven
counterparties.
|
|
16
|
|
December 31, 2016
|
|
|
|
|
|
|||
$ in thousands
|
Amount Outstanding
|
|
Percent of Total Amount Outstanding
|
|
MBS and GSE CRT Pledged as Collateral
(1)
|
|||
Repurchase Agreement Counterparties:
|
|
|
|
|
|
|||
HSBC Securities (USA) Inc.
|
1,401,966
|
|
|
11.2
|
%
|
|
1,468,793
|
|
ING Financial Market LLC
|
1,142,200
|
|
|
8.9
|
%
|
|
1,216,492
|
|
Royal Bank of Canada
|
1,098,631
|
|
|
8.6
|
%
|
|
1,293,336
|
|
Industrial and Commercial Bank of China Financial Services LLC
|
707,616
|
|
|
5.5
|
%
|
|
748,503
|
|
Mitsubishi UFJ Securities (USA), Inc.
|
703,382
|
|
|
5.5
|
%
|
|
740,404
|
|
Pierpont Securities LLC
|
681,853
|
|
|
5.3
|
%
|
|
717,663
|
|
South Street Securities LLC
|
675,660
|
|
|
5.3
|
%
|
|
713,330
|
|
Goldman, Sachs & Co.
|
486,430
|
|
|
3.8
|
%
|
|
623,400
|
|
Scotia Capital
|
479,105
|
|
|
3.7
|
%
|
|
500,578
|
|
JP Morgan Securities Inc.
|
477,947
|
|
|
3.7
|
%
|
|
554,494
|
|
KGS-Alpha Capital Markets, L.P.
|
441,541
|
|
|
3.4
|
%
|
|
475,858
|
|
Citigroup Global Markets Inc.
|
427,185
|
|
|
3.3
|
%
|
|
534,875
|
|
E D & F Man Capital Markets Inc.
|
405,615
|
|
|
3.2
|
%
|
|
430,896
|
|
Guggenheim Liquidity Services, LLC
|
356,149
|
|
|
2.8
|
%
|
|
377,030
|
|
Natixis, New York Branch
|
336,202
|
|
|
2.6
|
%
|
|
362,432
|
|
Societe Generale
|
325,393
|
|
|
2.5
|
%
|
|
427,200
|
|
BNP Paribas Securities Corp.
|
307,641
|
|
|
2.4
|
%
|
|
346,484
|
|
All other counterparties
(2)
|
706,153
|
|
|
5.4
|
%
|
|
912,536
|
|
Total Repurchase Agreement Counterparties:
|
11,160,669
|
|
|
87.1
|
%
|
|
12,444,304
|
|
Secured Loans Counterparty:
|
|
|
|
|
|
|||
FHLBI
|
1,650,000
|
|
|
12.9
|
%
|
|
1,931,582
|
|
Total
|
12,810,669
|
|
|
100.0
|
%
|
|
14,375,886
|
|
(1)
|
Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended
December 31, 2016
.
|
(2)
|
Represents amounts outstanding with
seven
counterparties.
|
|
17
|
|
$ in thousands
|
Three Months ended
September 30, 2017 |
|
Nine Months ended
September 30, 2017 |
||
Reacquisition price
|
62,068
|
|
|
247,454
|
|
Par value of Notes retired during the period
|
(60,933
|
)
|
|
(242,178
|
)
|
Write off of unamortized debt issuance cost associated with Notes retired during the period
|
209
|
|
|
1,305
|
|
Net loss on extinguishment of debt
|
1,344
|
|
|
6,581
|
|
|
18
|
|
$ in thousands
|
As of
|
||||
Collateral Pledged
|
September 30, 2017
|
|
December 31, 2016
|
||
Repurchase Agreements:
|
|
|
|
||
Agency RMBS
|
11,705,391
|
|
|
8,654,233
|
|
Non-Agency RMBS
|
1,300,164
|
|
|
1,887,550
|
|
GSE CRT
|
847,249
|
|
|
734,212
|
|
CMBS
|
1,590,131
|
|
|
1,168,309
|
|
Total repurchase agreements collateral pledged
|
15,442,935
|
|
|
12,444,304
|
|
Secured Loans:
|
|
|
|
||
Agency RMBS
|
598,870
|
|
|
585,504
|
|
CMBS
|
1,309,570
|
|
|
1,346,078
|
|
Total secured loans collateral pledged
|
1,908,440
|
|
|
1,931,582
|
|
Interest Rate Swaps and Currency Forward Contracts:
|
|
|
|
||
Agency RMBS
|
46,997
|
|
|
46,312
|
|
Cash
|
1,550
|
|
|
86,450
|
|
Total interest rate swaps and currency forward contracts collateral pledged
(1)
|
48,547
|
|
|
132,762
|
|
Total:
|
|
|
|
||
Mortgage-backed and GSE CRT securities
|
17,398,372
|
|
|
14,422,198
|
|
Cash
|
1,550
|
|
|
86,450
|
|
Total collateral pledged
|
17,399,922
|
|
|
14,508,648
|
|
|
|
|
|
||
Collateral Held
|
September 30, 2017
|
|
December 31, 2016
|
||
Interest Rate Swaps:
|
|
|
|
||
Cash
|
2,955
|
|
|
1,700
|
|
Non-cash collateral
|
—
|
|
|
536
|
|
Total collateral held
|
2,955
|
|
|
2,236
|
|
(1)
|
Cash collateral pledged on our currency forward contracts was
$1.3 million
as of
September 30, 2017
. We did
no
t pledge any collateral on our currency forward contracts as of
December 31, 2016
.
|
|
19
|
|
|
20
|
|
$ in thousands
|
Notional Amount as
of January 1, 2017 |
|
Additions
|
|
Settlement,
Termination, Expiration or Exercise |
|
Notional Amount as
of September 30, 2017 |
||||
Interest Rate Swaps
|
6,500,000
|
|
|
2,620,000
|
|
|
—
|
|
|
9,120,000
|
|
Currency Forward Contracts
|
62,308
|
|
|
207,468
|
|
|
(200,360
|
)
|
|
69,416
|
|
Credit Derivatives
|
569,966
|
|
|
—
|
|
|
(10,533
|
)
|
|
559,433
|
|
Total
|
7,132,274
|
|
|
2,827,468
|
|
|
(210,893
|
)
|
|
9,748,849
|
|
|
21
|
|
$ in thousands
Counterparty |
|
Notional
|
|
Maturity Date
|
|
Fixed Interest Rate
in Contract |
||
ING Capital Markets LLC
|
|
350,000
|
|
|
2/24/2018
|
|
0.95
|
%
|
UBS AG
|
|
500,000
|
|
|
5/24/2018
|
|
1.10
|
%
|
ING Capital Markets LLC
|
|
400,000
|
|
|
6/5/2018
|
|
0.87
|
%
|
CME Central Clearing
|
|
300,000
|
|
|
2/5/2021
|
|
2.50
|
%
|
CME Central Clearing
|
|
300,000
|
|
|
2/5/2021
|
|
2.69
|
%
|
Wells Fargo Bank, N.A.
|
|
200,000
|
|
|
3/15/2021
|
|
3.14
|
%
|
CME Central Clearing
|
|
500,000
|
|
|
5/24/2021
|
|
2.25
|
%
|
Citibank, N.A.
|
|
200,000
|
|
|
5/25/2021
|
|
2.83
|
%
|
CME Central Clearing
|
|
500,000
|
|
|
6/24/2021
|
|
2.44
|
%
|
HSBC Bank USA, National Association
|
|
550,000
|
|
|
2/24/2022
|
|
2.45
|
%
|
CME Central Clearing
|
|
1,000,000
|
|
|
6/9/2022
|
|
2.21
|
%
|
CME Central Clearing
|
|
1,000,000
|
|
|
8/14/2022
|
|
1.87
|
%
|
The Royal Bank of Sc
otland Plc
|
|
500,000
|
|
|
8/15/2023
|
|
1.98
|
%
|
CME Central Clearing
|
|
600,000
|
|
|
8/24/2023
|
|
2.88
|
%
|
HSBC Bank USA, Natio
nal Association
|
|
500,000
|
|
|
12/15/2023
|
|
2.20
|
%
|
CME Central Clearing
|
|
450,000
|
|
|
1/12/2024
|
|
2.10
|
%
|
CME Central Clearing
|
|
450,000
|
|
|
1/25/2024
|
|
2.15
|
%
|
CME Central Clearing
|
|
100,000
|
|
|
4/2/2025
|
|
2.04
|
%
|
LCH Central Clearing
|
|
220,000
|
|
|
8/29/2027
|
|
2.12
|
%
|
CME Central Clearing
|
(1)
|
250,000
|
|
|
5/24/2028
|
|
2.78
|
%
|
CME Central Clearing
|
(1)
|
250,000
|
|
|
5/24/2028
|
|
2.39
|
%
|
Total
|
|
9,120,000
|
|
|
|
|
2.13
|
%
|
(1)
|
Forward start date of
5/24/2018
|
|
22
|
|
$ in thousands
|
September 30, 2017
|
|
December 31, 2016
|
||
Fair value amount
|
37,999
|
|
|
17,095
|
|
Notional amount
|
559,433
|
|
|
569,966
|
|
Maximum potential amount of future undiscounted payments
|
559,433
|
|
|
569,966
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||||
|
|
As of September 30, 2017
|
|
As of December 31, 2016
|
|
|
|
As of September 30, 2017
|
|
As of December 31, 2016
|
||||
Balance
Sheet
|
|
Fair Value
|
|
Fair Value
|
|
Balance
Sheet
|
|
Fair Value
|
|
Fair Value
|
||||
Interest Rate Swaps Asset
|
|
7,394
|
|
|
3,085
|
|
|
Interest Rate Swaps Liability
|
|
39,292
|
|
|
133,833
|
|
Currency Forward Contracts
|
|
—
|
|
|
101
|
|
|
Currency Forward Contracts
|
|
1,339
|
|
|
395
|
|
$ in thousands
|
|
Three months ended September 30, 2017
|
||||||||||
Derivative
not designated as
hedging instrument
|
|
Realized gain (loss), net
|
|
GSE CRT embedded derivative coupon interest
|
|
Unrealized gain (loss), net
|
|
Realized and unrealized credit derivative income (loss), net
|
||||
GSE CRT Embedded Derivatives
|
|
—
|
|
|
5,873
|
|
|
(8,803
|
)
|
|
(2,930
|
)
|
$ in thousands
|
|
Three months ended September 30, 2016
|
||||||||||
Derivative
not designated as
hedging instrument
|
|
Realized gain (loss), net
|
|
GSE CRT embedded derivative coupon interest
|
|
Unrealized gain (loss), net
|
|
Realized and unrealized credit derivative income (loss), net
|
||||
GSE CRT Embedded Derivatives
|
|
—
|
|
|
5,963
|
|
|
25,963
|
|
|
31,926
|
|
|
23
|
|
$ in thousands
|
|
Nine months ended September 30, 2017
|
||||||||||
Derivative
not designated as
hedging instrument
|
|
Realized gain (loss), net
|
|
GSE CRT embedded derivative coupon interest
|
|
Unrealized gain (loss), net
|
|
Realized and unrealized credit derivative income (loss), net
|
||||
GSE CRT Embedded Derivatives
|
|
—
|
|
|
17,524
|
|
|
20,904
|
|
|
38,428
|
|
$ in thousands
|
|
Nine months ended September 30, 2016
|
||||||||||
Derivative
not designated as
hedging instrument
|
|
Realized gain (loss), net
|
|
GSE CRT embedded derivative coupon interest
|
|
Unrealized gain (loss), net
|
|
Realized and unrealized credit derivative income (loss), net
|
||||
GSE CRT Embedded Derivatives
|
|
(6,017
|
)
|
|
18,389
|
|
|
45,192
|
|
|
57,564
|
|
$ in thousands
|
|
Three months ended September 30, 2017
|
||||||||||
Derivative
not designated as
hedging instrument
|
|
Realized gain (loss) on derivative instruments, net
|
|
Contractual net interest expense
|
|
Unrealized gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
|
21,126
|
|
|
(17,453
|
)
|
|
144
|
|
|
3,817
|
|
Currency Forward Contracts
|
|
(1,623
|
)
|
|
—
|
|
|
(239
|
)
|
|
(1,862
|
)
|
Total
|
|
19,503
|
|
|
(17,453
|
)
|
|
(95
|
)
|
|
1,955
|
|
$ in thousands
|
|
Three months ended September 30, 2016
|
||||||||||
Derivative
not designated as hedging instrument |
|
Realized gain (loss) on derivative instruments, net
|
|
Contractual net interest expense
|
|
Unrealized gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
|
(5,090
|
)
|
|
(26,388
|
)
|
|
65,396
|
|
|
33,918
|
|
Currency Forward Contracts
|
|
6,437
|
|
|
—
|
|
|
(4,977
|
)
|
|
1,460
|
|
Total
|
|
1,347
|
|
|
(26,388
|
)
|
|
60,419
|
|
|
35,378
|
|
$ in thousands
|
|
Nine months ended September 30, 2017
|
||||||||||
Derivative
not designated as
hedging instrument
|
|
Realized gain (loss) on derivative instruments, net
|
|
Contractual net interest expense
|
|
Unrealized gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
|
(1,392
|
)
|
|
(60,313
|
)
|
|
21,069
|
|
|
(40,636
|
)
|
Currency Forward Contracts
|
|
(4,416
|
)
|
|
—
|
|
|
(1,044
|
)
|
|
(5,460
|
)
|
Total
|
|
(5,808
|
)
|
|
(60,313
|
)
|
|
20,025
|
|
|
(46,096
|
)
|
|
24
|
|
$ in thousands
|
|
Nine months ended September 30, 2016
|
||||||||||
Derivative
not designated as hedging instrument |
|
Realized gain (loss) on derivative instruments, net
|
|
Contractual net interest expense
|
|
Unrealized gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
|
(69,090
|
)
|
|
(80,464
|
)
|
|
(150,986
|
)
|
|
(300,540
|
)
|
Interest Rate Swaptions
|
|
(1,485
|
)
|
|
—
|
|
|
1,485
|
|
|
—
|
|
Currency Forward Contracts
|
|
8,353
|
|
|
—
|
|
|
(1,341
|
)
|
|
7,012
|
|
Total
|
|
(62,222
|
)
|
|
(80,464
|
)
|
|
(150,842
|
)
|
|
(293,528
|
)
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets
|
|
|
||||||||
$ in thousands
Description
|
Gross
Amounts of
Recognized
Assets
|
|
Gross
Amounts
Offset in the Condensed Consolidated
Balance
Sheets
|
|
Net Amounts
of Assets
presented in
the Condensed
Consolidated
Balance Sheets
|
|
Financial
Instruments
|
|
Cash Collateral
Received
|
|
Net Amount
|
||||||
Derivatives
(1) (4)
|
2,836
|
|
|
—
|
|
|
2,836
|
|
|
—
|
|
|
(2,788
|
)
|
|
48
|
|
Total
|
2,836
|
|
|
—
|
|
|
2,836
|
|
|
—
|
|
|
(2,788
|
)
|
|
48
|
|
|
25
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets
|
|
|
||||||||
$ in thousands
Description
|
Gross
Amounts of
Recognized
Liabilities
|
|
Gross
Amounts
Offset in the Condensed Consolidated
Balance
Sheets
|
|
Net Amounts
of Liabilities
presented in
the Condensed
Consolidated
Balance Sheets
|
|
Financial
Instruments
(2)
|
|
Cash Collateral
Pledged
|
|
Net Amount
|
||||||
Derivatives
(4)
|
40,631
|
|
|
—
|
|
|
40,631
|
|
|
(39,292
|
)
|
|
(1,260
|
)
|
|
79
|
|
Repurchase Agreements
(3)
|
14,088,838
|
|
|
—
|
|
|
14,088,838
|
|
|
(14,088,838
|
)
|
|
—
|
|
|
—
|
|
Secured Loans
(5)
|
1,650,000
|
|
|
—
|
|
|
1,650,000
|
|
|
(1,650,000
|
)
|
|
—
|
|
|
—
|
|
Total
|
15,779,469
|
|
|
—
|
|
|
15,779,469
|
|
|
(15,778,130
|
)
|
|
(1,260
|
)
|
|
79
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets
|
|
|
||||||||
$ in thousands
Description
|
Gross
Amounts of
Recognized
Assets
|
|
Gross
Amounts
Offset in the Condensed Consolidated
Balance
Sheets
|
|
Net Amounts
of Assets
presented in
the Condensed
Consolidated
Balance Sheets
|
|
Financial
Instruments
|
|
Cash Collateral
Received
|
|
Net Amount
|
||||||
Derivatives
(1) (4)
|
3,186
|
|
|
—
|
|
|
3,186
|
|
|
(1,640
|
)
|
|
(1,546
|
)
|
|
—
|
|
Total
|
3,186
|
|
|
—
|
|
|
3,186
|
|
|
(1,640
|
)
|
|
(1,546
|
)
|
|
—
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets
|
|
|
||||||||
$ in thousands
Description
|
Gross
Amounts of
Recognized
Liabilities
|
|
Gross
Amounts
Offset in the Condensed Consolidated
Balance
Sheets
|
|
Net Amounts
of Liabilities
presented in
the Condensed
Consolidated
Balance Sheets
|
|
Financial
Instruments
(2)
|
|
Cash Collateral
Pledged
|
|
Net Amount
|
||||||
Derivatives
(4)
|
134,228
|
|
|
—
|
|
|
134,228
|
|
|
(45,738
|
)
|
|
(85,787
|
)
|
|
2,703
|
|
Repurchase Agreements
(3)
|
11,160,669
|
|
|
—
|
|
|
11,160,669
|
|
|
(11,160,669
|
)
|
|
—
|
|
|
—
|
|
Secured Loans
(5)
|
1,650,000
|
|
|
—
|
|
|
1,650,000
|
|
|
(1,650,000
|
)
|
|
—
|
|
|
—
|
|
Total
|
12,944,897
|
|
|
—
|
|
|
12,944,897
|
|
|
(12,856,407
|
)
|
|
(85,787
|
)
|
|
2,703
|
|
|
26
|
|
(1)
|
Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at
September 30, 2017
and
December 31, 2016
, subject to a netting arrangement.
|
(2)
|
Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives.
|
(3)
|
The fair value of securities pledged against our borrowing under repurchase agreements was
$15.4 billion
and
$12.4 billion
at
September 30, 2017
and
December 31, 2016
, respectively.
|
(4)
|
Cash collateral received on our derivatives was
$3.0 million
and
$1.7 million
at
September 30, 2017
and
December 31, 2016
, respectively. We did not receive any non-cash collateral on our derivatives at
September 30, 2017
. Non-cash collateral received on our derivatives was
$536,000
at
December 31, 2016
. Cash collateral pledged by us on our derivatives was
$86.5 million
at
December 31, 2016
. As a result of rulebook changes governing central clearing activities effective January 3, 2017, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at
September 30, 2017
.
|
(5)
|
The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was
$1.9 billion
at
September 30, 2017
and
December 31, 2016
, respectively.
|
•
|
Level 1 Inputs
– Quoted prices for identical instruments in active markets.
|
•
|
Level 2 Inputs
– Quoted prices for similar instruments 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 value drivers.
|
|
September 30, 2017
|
|
|
|||||||||||
|
Fair Value Measurements Using:
|
|
|
|||||||||||
$ in thousands
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
NAV as a practical expedient
(3)
|
|
Total at
Fair Value
|
|||||
Assets:
|
|
|
|
|
|
|
|
|
|
|||||
Mortgage-backed and credit risk transfer securities
(1)(2)
|
—
|
|
|
18,221,553
|
|
|
37,999
|
|
|
—
|
|
|
18,259,552
|
|
Derivative assets
|
—
|
|
|
7,394
|
|
|
—
|
|
|
—
|
|
|
7,394
|
|
Other assets
(4)
|
3,982
|
|
|
—
|
|
|
—
|
|
|
22,684
|
|
|
26,666
|
|
Total assets
|
3,982
|
|
|
18,228,947
|
|
|
37,999
|
|
|
22,684
|
|
|
18,293,612
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|||||
Derivative liabilities
|
—
|
|
|
40,631
|
|
|
—
|
|
|
—
|
|
|
40,631
|
|
Total liabilities
|
—
|
|
|
40,631
|
|
|
—
|
|
|
—
|
|
|
40,631
|
|
|
27
|
|
|
December 31, 2016
|
|
|
|||||||||||
|
Fair Value Measurements Using:
|
|
|
|||||||||||
$ in thousands
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
NAV as a practical expedient
(3)
|
|
Total at
Fair Value |
|||||
Assets:
|
|
|
|
|
|
|
|
|
|
|||||
Mortgage-backed and credit risk transfer securities
(1)(2)
|
—
|
|
|
14,964,236
|
|
|
17,095
|
|
|
—
|
|
|
14,981,331
|
|
Derivative assets
|
—
|
|
|
3,186
|
|
|
—
|
|
|
—
|
|
|
3,186
|
|
Other assets
(4)
|
500
|
|
|
—
|
|
|
—
|
|
|
33,301
|
|
|
33,801
|
|
Total assets
|
500
|
|
|
14,967,422
|
|
|
17,095
|
|
|
33,301
|
|
|
15,018,318
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|||||
Derivative liabilities
|
—
|
|
|
134,228
|
|
|
—
|
|
|
—
|
|
|
134,228
|
|
Total liabilities
|
—
|
|
|
134,228
|
|
|
—
|
|
|
—
|
|
|
134,228
|
|
(1)
|
For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities."
|
(2)
|
Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of
September 30, 2017
, the net embedded derivative asset position of
$38.0 million
includes
$39.4 million
of embedded derivatives in an asset position and
$1.4 million
of embedded derivatives in a liability position. As of
December 31, 2016
, the net embedded derivative asset position of
$17.1 million
includes
$21.0 million
of embedded derivatives in an asset position and
$3.9 million
of embedded derivatives in a liability position.
|
(3)
|
Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of
September 30, 2017
and
December 31, 2016
, the weighted average remaining term of investments in unconsolidated ventures is
1.7
and
1.3
years, respectively.
|
(4)
|
Includes
$4.0 million
and
$500,000
of investment in an exchange-traded fund as of
September 30, 2017
and
December 31, 2016
, respectively.
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Beginning balance
|
46,802
|
|
|
(6,493
|
)
|
|
17,095
|
|
|
(25,722
|
)
|
Sales and settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
6,017
|
|
Total net gains / (losses) included in net income:
|
|
|
|
|
|
|
|
||||
Realized gains/(losses), net
|
—
|
|
|
—
|
|
|
—
|
|
|
(6,017
|
)
|
Unrealized gains/(losses), net
(1)
|
(8,803
|
)
|
|
25,963
|
|
|
20,904
|
|
|
45,192
|
|
Ending balance
|
37,999
|
|
|
19,470
|
|
|
37,999
|
|
|
19,470
|
|
(1)
|
Included in realized and unrealized credit derivative income (loss), net in the condensed consolidated statements of operations for the three months ended
September 30, 2017
and
2016
, are
$8.8 million
net unrealized losses and
$26.0 million
in net unrealized gains attributable to assets still held as of
September 30, 2017
and
September 30, 2016
, respectively. Included in realized and unrealized credit derivative income (loss), net in the condensed consolidated statements of operations for the
nine
months ended
September 30, 2017
and
2016
, are
$20.9 million
and
$38.6 million
in net unrealized gains attributable to assets still held as of
September 30, 2017
and
September 30, 2016
, respectively. During the
nine months ended September 30, 2016
, we reversed unrealized losses on securities sold during the period of
$6.0 million
.
|
|
28
|
|
|
Fair Value at
|
|
Valuation
|
|
Unobservable
|
|
|
|
Weighted
|
|
$ in thousands
|
September 30, 2017
|
|
Technique
|
|
Input
|
|
Range
|
|
Average
|
|
GSE CRT Embedded Derivatives
|
37,999
|
|
|
Market Comparables, Vendor Pricing
|
|
Weighted average life
|
|
3.0 - 7.2 years
|
|
5.1 years
|
|
Fair Value at
|
|
Valuation
|
|
Unobservable
|
|
|
|
Weighted
|
|
$ in thousands
|
December 31, 2016
|
|
Technique
|
|
Input
|
|
Range
|
|
Average
|
|
GSE CRT Embedded Derivatives
|
17,095
|
|
|
Market Comparables, Vendor Pricing
|
|
Weighted average life
|
|
2.5 - 7.7 years
|
|
5.3 years
|
|
September 30, 2017
|
|
December 31, 2016
|
||||||||
$ in thousands
|
Carrying
Value
|
|
Estimated
Fair Value
|
|
Carrying
Value
|
|
Estimated
Fair Value
|
||||
Financial Assets
|
|
|
|
|
|
|
|
||||
Commercial loans, held-for-investment
|
280,989
|
|
|
281,696
|
|
|
273,355
|
|
|
275,319
|
|
Other assets
|
74,250
|
|
|
74,250
|
|
|
74,250
|
|
|
74,250
|
|
Total
|
355,239
|
|
|
355,946
|
|
|
347,605
|
|
|
349,569
|
|
Financial Liabilities
|
|
|
|
|
|
|
|
||||
Repurchase agreements
|
14,088,838
|
|
|
14,088,917
|
|
|
11,160,669
|
|
|
11,161,034
|
|
Secured loans
|
1,650,000
|
|
|
1,650,000
|
|
|
1,650,000
|
|
|
1,650,000
|
|
Exchangeable senior notes
|
157,380
|
|
|
159,400
|
|
|
397,041
|
|
|
400,000
|
|
Total
|
15,896,218
|
|
|
15,898,317
|
|
|
13,207,710
|
|
|
13,211,034
|
|
•
|
The estimated fair value of commercial loans held-for-investment is a Level 3 fair value measurement. Subsequent to the origination or purchase, commercial loan investments are valued on a monthly basis by an independent third party valuation agent using a discounted cash flow technique.
|
•
|
The estimated fair value of FHLBI stock, included in "Other assets," is a Level 3 fair value measurement. FHLBI stock may only be sold back to the FHLBI at its discretion at cost. As a result, the cost of the FHLBI stock approximates its fair value.
|
•
|
The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates we determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality.
|
•
|
The estimated fair value of secured loans is a Level 3 fair value measurement. The secured loans have floating rates based on an index plus a spread and the spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these secured loans are at market, and thus the carrying amount approximates fair value.
|
•
|
The estimated fair value of exchangeable senior notes is a Level 2 fair value measurement based on a valuation obtained from a third-party pricing service.
|
|
29
|
|
|
30
|
|
|
Three Months Ended September 30, 2017
|
||||||||||
$ in thousands
|
Equity method investments
|
|
Available-for-sale securities
|
|
Derivatives and hedging
|
|
Total
|
||||
Other comprehensive income/(loss), net
|
|
|
|
|
|
|
|
||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net
|
—
|
|
|
19,089
|
|
|
—
|
|
|
19,089
|
|
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net
|
—
|
|
|
7
|
|
|
—
|
|
|
7
|
|
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense
|
—
|
|
|
—
|
|
|
(6,438
|
)
|
|
(6,438
|
)
|
Currency translation adjustments on investment in unconsolidated venture
|
807
|
|
|
—
|
|
|
—
|
|
|
807
|
|
Other comprehensive income/(loss), net
|
807
|
|
|
19,096
|
|
|
(6,438
|
)
|
|
13,465
|
|
|
|
|
|
|
|
|
|
||||
Balance at beginning of period
|
(375
|
)
|
|
201,158
|
|
|
136,608
|
|
|
337,391
|
|
Other comprehensive income/(loss), net
|
807
|
|
|
19,096
|
|
|
(6,438
|
)
|
|
13,465
|
|
Other comprehensive income/(loss) attributable to non-controlling interest
|
(10
|
)
|
|
(241
|
)
|
|
81
|
|
|
(170
|
)
|
Rebalancing of ownership percentage of non-controlling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Balance at end of period
|
422
|
|
|
220,013
|
|
|
130,251
|
|
|
350,686
|
|
|
31
|
|
|
Three Months Ended September 30, 2016
|
||||||||||
$ in thousands
|
Equity method investments
|
|
Available-for-sale securities
|
|
Derivatives and hedging
|
|
Total
|
||||
Other comprehensive income/(loss), net
|
|
|
|
|
|
|
|
||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net
|
—
|
|
|
32,015
|
|
|
—
|
|
|
32,015
|
|
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense
|
—
|
|
|
—
|
|
|
(4,831
|
)
|
|
(4,831
|
)
|
Currency translation adjustments on investment in unconsolidated venture
|
(235
|
)
|
|
—
|
|
|
—
|
|
|
(235
|
)
|
Other comprehensive income/(loss), net
|
(235
|
)
|
|
32,015
|
|
|
(4,831
|
)
|
|
26,949
|
|
|
|
|
|
|
|
|
|
||||
Balance at beginning of period
|
190
|
|
|
394,531
|
|
|
164,233
|
|
|
558,954
|
|
Other comprehensive income/(loss), net
|
(235
|
)
|
|
32,015
|
|
|
(4,831
|
)
|
|
26,949
|
|
Other comprehensive income/(loss) attributable to non-controlling interest
|
3
|
|
|
(404
|
)
|
|
61
|
|
|
(340
|
)
|
Balance at end of period
|
(42
|
)
|
|
426,142
|
|
|
159,463
|
|
|
585,563
|
|
|
Nine Months Ended September 30, 2017
|
||||||||||
$ in thousands
|
Equity method investments
|
|
Available-for-sale securities
|
|
Derivatives and hedging
|
|
Total
|
||||
Other comprehensive income/(loss), net
|
|
|
|
|
|
|
|
||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net
|
—
|
|
|
75,011
|
|
|
—
|
|
|
75,011
|
|
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net
|
—
|
|
|
1,508
|
|
|
—
|
|
|
1,508
|
|
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense
|
—
|
|
|
—
|
|
|
(19,105
|
)
|
|
(19,105
|
)
|
Currency translation adjustments on investment in unconsolidated venture
|
331
|
|
|
—
|
|
|
—
|
|
|
331
|
|
Other comprehensive income/(loss), net
|
331
|
|
|
76,519
|
|
|
(19,105
|
)
|
|
57,745
|
|
|
|
|
|
|
|
|
|
||||
Balance at beginning of period
|
95
|
|
|
144,458
|
|
|
149,115
|
|
|
293,668
|
|
Other comprehensive income/(loss), net
|
331
|
|
|
76,519
|
|
|
(19,105
|
)
|
|
57,745
|
|
Other comprehensive income/(loss) attributable to non-controlling interest
|
(4
|
)
|
|
(965
|
)
|
|
241
|
|
|
(728
|
)
|
Rebalancing of ownership percentage of non-controlling interest
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
Balance at end of period
|
422
|
|
|
220,013
|
|
|
130,251
|
|
|
350,686
|
|
|
32
|
|
|
Nine Months Ended September 30, 2016
|
||||||||||
$ in thousands
|
Equity method investments
|
|
Available-for-sale securities
|
|
Derivatives and hedging
|
|
Total
|
||||
Other comprehensive income/(loss), net
|
|
|
|
|
|
|
|
||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net
|
—
|
|
|
270,591
|
|
|
—
|
|
|
270,591
|
|
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net
|
—
|
|
|
(11,581
|
)
|
|
—
|
|
|
(11,581
|
)
|
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense
|
—
|
|
|
—
|
|
|
11,331
|
|
|
11,331
|
|
Currency translation adjustments on investment in unconsolidated venture
|
(10
|
)
|
|
—
|
|
|
—
|
|
|
(10
|
)
|
Other comprehensive income/(loss), net
|
(10
|
)
|
|
259,010
|
|
|
11,331
|
|
|
270,331
|
|
|
|
|
|
|
|
|
|
||||
Balance at beginning of period
|
(32
|
)
|
|
170,383
|
|
|
148,273
|
|
|
318,624
|
|
Other comprehensive income/(loss), net
|
(10
|
)
|
|
259,010
|
|
|
11,331
|
|
|
270,331
|
|
Other comprehensive income/(loss) attributable to non-controlling interest
|
—
|
|
|
(3,251
|
)
|
|
(141
|
)
|
|
(3,392
|
)
|
Balance at end of period
|
(42
|
)
|
|
426,142
|
|
|
159,463
|
|
|
585,563
|
|
|
33
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||
|
2017
|
|
2017
|
||||||||||
|
Restricted Stock Units
|
|
Weighted Average Grant Date Fair Value
(1)
|
|
Restricted Stock Units
|
|
Weighted Average Grant Date Fair Value
(1)
|
||||||
Unvested at the beginning of the period
|
19,827
|
|
|
$
|
14.35
|
|
|
18,807
|
|
|
$
|
14.37
|
|
Shares granted during the period
|
—
|
|
|
—
|
|
|
8,115
|
|
|
15.55
|
|
||
Shares vested during the period
|
—
|
|
|
—
|
|
|
(7,095
|
)
|
|
15.78
|
|
||
Unvested at the end of the period
|
19,827
|
|
|
$
|
14.35
|
|
|
19,827
|
|
|
$
|
14.35
|
|
(1)
|
The grant date fair value of restricted stock awards is based on the closing market price of our common stock at the grant date.
|
•
|
a dividend of
$0.41
per share of common stock to be paid on
October 26, 2017
to stockholders of record as of the close of business on
September 27, 2017
;
|
•
|
a dividend of
$0.4844
per share of Series A Preferred Stock to be paid on
October 25, 2017
to stockholders of record as of the close of business on
October 1, 2017
;
|
•
|
a dividend of
$0.4844
per share of Series B Preferred Stock to be paid on
December 27, 2017
to stockholders of record as of the close of business on
December 5, 2017
; and
|
•
|
a dividend of
$0.6823
per share of Series C Preferred Stock to be paid on
December 27, 2017
to stockholders of record as of the close of business on
December 5, 2017
.
|
|
34
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
In thousands except per share amounts
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Numerator (Income)
|
|
|
|
|
|
|
|
||||
Basic Earnings:
|
|
|
|
|
|
|
|
||||
Net income (loss) available to common stockholders
|
49,127
|
|
|
129,219
|
|
|
183,091
|
|
|
(38,558
|
)
|
Effect of dilutive securities:
|
|
|
|
|
|
|
|
||||
Income allocated to exchangeable senior notes
|
2,724
|
|
|
5,620
|
|
|
11,236
|
|
|
—
|
|
Income (loss) allocated to non-controlling interest
|
800
|
|
|
1,723
|
|
|
2,656
|
|
|
(235
|
)
|
Dilutive net income (loss) available to stockholders
|
52,651
|
|
|
136,562
|
|
|
196,983
|
|
|
(38,793
|
)
|
Denominator (Weighted Average Shares)
|
|
|
|
|
|
|
|
||||
Basic Earnings:
|
|
|
|
|
|
|
|
||||
Shares available to common stockholders
|
111,614
|
|
|
111,587
|
|
|
111,607
|
|
|
112,101
|
|
Effect of dilutive securities:
|
|
|
|
|
|
|
|
||||
Restricted stock awards
|
20
|
|
|
46
|
|
|
20
|
|
|
—
|
|
Non-controlling interest OP units
|
1,425
|
|
|
1,425
|
|
|
1,425
|
|
|
1,425
|
|
Exchangeable senior notes
|
8,166
|
|
|
16,835
|
|
|
11,226
|
|
|
—
|
|
Dilutive Shares
|
121,225
|
|
|
129,893
|
|
|
124,278
|
|
|
113,526
|
|
Earnings (loss) per share:
|
|
|
|
|
|
|
|
||||
Net income (loss) attributable to common stockholders
|
|
|
|
|
|
|
|
||||
Basic
|
0.44
|
|
|
1.16
|
|
|
1.64
|
|
|
(0.34
|
)
|
Diluted
|
0.43
|
|
|
1.05
|
|
|
1.59
|
|
|
(0.34
|
)
|
|
35
|
|
|
36
|
|
ITEM 2.
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.
|
•
|
our business and investment strategy;
|
•
|
our investment portfolio;
|
•
|
our projected operating results;
|
•
|
general volatility of financial markets and effects of governmental responses, including actions and initiatives of the U.S. governmental agencies and changes to U.S. government policies, including the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”), mortgage loan modification programs, actions and initiatives of foreign governmental agencies and central banks, monetary policy actions of the Federal Reserve, including actions relating to its agency mortgage-backed securities portfolio and the continuation of re-investment of principal payments, and our ability to respond to and comply with such actions, initiatives and changes;
|
•
|
the availability of financing sources, including our ability to obtain additional financing arrangements and the terms of such arrangements;
|
•
|
financing and advance rates for our target assets;
|
•
|
changes to our expected leverage;
|
•
|
our expected investments;
|
•
|
our expected book value per share of common stock;
|
•
|
interest rate mismatches between our target assets and our borrowings used to fund such investments;
|
•
|
the adequacy of our cash flow from operations and borrowings to meet our short-term liquidity needs;
|
•
|
our ability to maintain sufficient liquidity to meet any margin calls;
|
•
|
changes in the credit rating of the U.S. government;
|
•
|
changes in interest rates and interest rate spreads and the market value of our target assets;
|
•
|
changes in prepayment rates on our target assets;
|
•
|
the impact of any deficiencies in foreclosure practices of third parties and related uncertainty in the timing of collateral disposition;
|
•
|
our reliance on third parties in connection with services related to our target assets;
|
•
|
effects of hedging instruments on our target assets;
|
|
37
|
|
•
|
rates of default or decreased recovery rates on our target assets;
|
•
|
modifications to whole loans or loans underlying securities;
|
•
|
the degree to which our hedging strategies may or may not protect us from interest rate volatility;
|
•
|
the degree to which derivative contracts expose us to contingent liabilities;
|
•
|
counterparty defaults;
|
•
|
compliance with financial covenants in our financing arrangements;
|
•
|
changes in governmental regulations, zoning, insurance, eminent domain and tax law and rates, and similar matters and our ability to respond to such changes;
|
•
|
our ability to maintain our qualification as a real estate investment trust for U.S. federal income tax purposes;
|
•
|
our ability to maintain our exception from the definition of “investment company” under the Investment Company Act of 1940, as amended (the “1940 Act”);
|
•
|
availability of investment opportunities in mortgage-related, real estate-related and other securities;
|
•
|
availability of U.S. Government Agency guarantees with regard to payments of principal and interest on securities;
|
•
|
the market price and trading volume of our capital stock;
|
•
|
availability of qualified personnel of our Manager;
|
•
|
the relationship with our Manager;
|
•
|
estimates relating to taxable income and our ability to continue to make distributions to our stockholders in the future;
|
•
|
estimates relating to fair value of our target assets and loan loss reserves;
|
•
|
our understanding of our competition;
|
•
|
changes to generally accepted accounting principles in the United States of America (“U.S. GAAP”);
|
•
|
the adequacy of our disclosure controls and procedures and internal controls over financial reporting; and
|
•
|
market trends in our industry, interest rates, real estate values, the debt securities markets or the general economy.
|
•
|
Residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association or a federally chartered corporation such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation (collectively "Agency RMBS");
|
•
|
RMBS that are not guaranteed by a U.S. government agency ("non-Agency RMBS");
|
•
|
Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT");
|
|
38
|
|
•
|
Commercial mortgage-backed securities (“CMBS”);
|
•
|
Residential and commercial mortgage loans; and
|
•
|
Other real estate-related financing arrangements.
|
•
|
a dividend of
$0.41
per share of common stock to be paid on
October 26, 2017
to stockholders of record as of the close of business on
September 27, 2017
;
|
•
|
a dividend of
$0.4844
per share of Series A Preferred Stock to be paid on
October 25, 2017
to stockholders of record as of the close of business on
October 1, 2017
;
|
•
|
a dividend of
$0.4844
per share of Series B Preferred Stock to be paid on
December 27, 2017
to stockholders of record as of the close of business on
December 5, 2017
; and
|
•
|
a dividend of
$0.6823
per share of Series C Preferred Stock to be paid on
December 27, 2017
to stockholders of record as of the close of business on
December 5, 2017
.
|
|
39
|
|
|
As of
|
|||||||
$ in thousands
|
September 30, 2017
|
|
December 31, 2016
|
|
September 30, 2016
|
|||
Agency RMBS
|
41
|
%
|
|
41
|
%
|
|
44
|
%
|
Commercial Credit
(1)
|
38
|
%
|
|
32
|
%
|
|
31
|
%
|
Residential Credit
(2)
|
21
|
%
|
|
27
|
%
|
|
25
|
%
|
Total
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
(1)
|
CMBS, commercial loans and investments in unconsolidated ventures (which are included in Other Assets), are considered commercial credit.
|
(2)
|
Non-Agency RMBS and GSE CRT are considered residential credit.
|
|
40
|
|
|
As of
|
|||||||
$ in thousands
|
September 30, 2017
|
|
December 31, 2016
|
|
September 30, 2016
|
|||
Agency RMBS:
|
|
|
|
|
|
|||
30 year fixed-rate, at fair value
|
7,386,544
|
|
|
2,981,717
|
|
|
3,635,565
|
|
15 year fixed-rate, at fair value
|
3,134,880
|
|
|
3,557,928
|
|
|
3,637,952
|
|
Hybrid ARM, at fair value
|
1,819,513
|
|
|
2,474,301
|
|
|
2,684,108
|
|
ARM, at fair value
|
254,766
|
|
|
307,873
|
|
|
331,953
|
|
Agency CMO, at fair value
|
274,139
|
|
|
344,041
|
|
|
364,036
|
|
Non-Agency RMBS, at fair value
|
1,420,333
|
|
|
1,995,551
|
|
|
2,109,115
|
|
GSE CRT, at fair value
|
860,580
|
|
|
768,200
|
|
|
643,058
|
|
CMBS, at fair value
|
3,108,797
|
|
|
2,551,720
|
|
|
2,668,290
|
|
Commercial loans, at amortized cost
|
280,989
|
|
|
273,355
|
|
|
273,291
|
|
Investments in unconsolidated ventures
|
22,684
|
|
|
33,301
|
|
|
32,763
|
|
Total Investment portfolio
|
18,563,225
|
|
|
15,287,987
|
|
|
16,380,131
|
|
|
41
|
|
|
2003
|
|
2004
|
|
2005
|
|
2006
|
|
2007
|
|
2008
|
|
2009
|
|
2010
|
|
2011
|
|
2012
|
|
2013
|
|
2014
|
|
2015
|
|
2016
|
|
2017
|
|
Total
|
||||||||||||||||
Prime
|
0.6
|
%
|
|
1.8
|
%
|
|
5.2
|
%
|
|
4.6
|
%
|
|
9.6
|
%
|
|
2.6
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
11.1
|
%
|
|
9.7
|
%
|
|
2.0
|
%
|
|
0.3
|
%
|
|
—
|
%
|
|
47.5
|
%
|
Alt-A
|
—
|
%
|
|
0.9
|
%
|
|
9.4
|
%
|
|
8.5
|
%
|
|
10.3
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
29.1
|
%
|
Re-REMIC
(1)
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.6
|
%
|
|
—
|
%
|
|
0.6
|
%
|
|
5.0
|
%
|
|
4.6
|
%
|
|
2.3
|
%
|
|
1.1
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
14.2
|
%
|
Subprime/reperforming
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.3
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
3.6
|
%
|
|
2.6
|
%
|
|
2.7
|
%
|
|
—
|
%
|
|
—
|
%
|
|
9.2
|
%
|
Total Non-Agency
|
0.6
|
%
|
|
2.7
|
%
|
|
14.6
|
%
|
|
13.1
|
%
|
|
20.8
|
%
|
|
2.6
|
%
|
|
0.6
|
%
|
|
5.0
|
%
|
|
4.6
|
%
|
|
2.3
|
%
|
|
15.8
|
%
|
|
12.3
|
%
|
|
4.7
|
%
|
|
0.3
|
%
|
|
—
|
%
|
|
100.0
|
%
|
GSE CRT
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
31.2
|
%
|
|
36.1
|
%
|
|
7.8
|
%
|
|
21.5
|
%
|
|
3.4
|
%
|
|
100.0
|
%
|
CMBS
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
3.9
|
%
|
|
20.0
|
%
|
|
12.7
|
%
|
|
15.7
|
%
|
|
34.5
|
%
|
|
4.2
|
%
|
|
2.0
|
%
|
|
7.0
|
%
|
|
100.0
|
%
|
(1)
|
For Re-REMICs, the table reflects the year in which the resecuritizations were issued. The vintage distribution of the securities that collateralize our Re-REMIC investments is
9.2%
for
2005
,
10.4%
for
2006
, and
80.4%
for
2007
.
|
Non-Agency RMBS
State
|
|
Percentage
|
|
GSE CRT
State
|
|
Percentage
|
|
CMBS
State
|
|
Percentage
|
|||
California
|
|
42.8
|
%
|
|
California
|
|
19.0
|
%
|
|
California
|
|
14.5
|
%
|
New York
|
|
8.5
|
%
|
|
Texas
|
|
6.1
|
%
|
|
New York
|
|
14.3
|
%
|
Florida
|
|
6.5
|
%
|
|
New York
|
|
4.4
|
%
|
|
Texas
|
|
9.8
|
%
|
New Jersey
|
|
3.8
|
%
|
|
Florida
|
|
4.3
|
%
|
|
Florida
|
|
6.2
|
%
|
Virginia
|
|
3.5
|
%
|
|
Virginia
|
|
4.3
|
%
|
|
Pennsylvania
|
|
4.2
|
%
|
Maryland
|
|
3.3
|
%
|
|
Illinois
|
|
3.8
|
%
|
|
Illinois
|
|
4.2
|
%
|
Massachusetts
|
|
2.8
|
%
|
|
Massachusetts
|
|
3.4
|
%
|
|
New Jersey
|
|
3.4
|
%
|
Illinois
|
|
2.7
|
%
|
|
Washington
|
|
3.4
|
%
|
|
Ohio
|
|
3.0
|
%
|
Washington
|
|
2.2
|
%
|
|
New Jersey
|
|
3.3
|
%
|
|
Michigan
|
|
2.9
|
%
|
Arizona
|
|
2.0
|
%
|
|
Colorado
|
|
3.1
|
%
|
|
Virginia
|
|
2.8
|
%
|
Other
|
|
21.9
|
%
|
|
Other
|
|
44.9
|
%
|
|
Other
|
|
34.7
|
%
|
Total
|
|
100.0
|
%
|
|
Total
|
|
100.0
|
%
|
|
Total
|
|
100.0
|
%
|
|
42
|
|
$ in thousands
|
Collateralized borrowings under repurchase agreements and secured loans
|
|||||||
Quarter Ended
|
Quarter-end balance
|
|
Average quarterly balance
|
|
Maximum balance of any quarter-end
|
|||
March 31, 2016
|
12,837,159
|
|
|
13,137,569
|
|
|
13,501,433
|
|
June 30, 2016
|
13,418,647
|
|
|
13,075,770
|
|
|
13,418,647
|
|
September 30, 2016
|
13,710,502
|
|
|
13,826,469
|
|
|
13,984,960
|
|
December 31, 2016
|
12,810,669
|
|
|
13,215,697
|
|
|
13,626,829
|
|
March 31, 2017
|
13,939,899
|
|
|
13,901,254
|
|
|
14,086,600
|
|
June 30, 2017
|
13,768,948
|
|
|
13,716,749
|
|
|
13,768,948
|
|
September 30, 2017
|
15,738,838
|
|
|
15,010,514
|
|
|
15,738,838
|
|
$ in thousands
|
Three Months ended
September 30, 2017 |
|
Nine Months ended
September 30, 2017 |
||
Reacquisition price
|
62,068
|
|
|
247,454
|
|
Par value of Notes retired during the period
|
(60,933
|
)
|
|
(242,178
|
)
|
Write off of unamortized debt issuance cost associated with Notes retired during the period
|
209
|
|
|
1,305
|
|
Net loss on extinguishment of debt
|
1,344
|
|
|
6,581
|
|
|
43
|
|
|
As of
|
||||
In thousands except per share amounts
|
September 30, 2017
|
|
December 31, 2016
|
||
Numerator (adjusted equity):
|
|
|
|
||
Total equity
|
2,655,394
|
|
|
2,270,184
|
|
Less: Liquidation preference of Series A Preferred Stock
|
(140,000
|
)
|
|
(140,000
|
)
|
Less: Liquidation preference of Series B Preferred Stock
|
(155,000
|
)
|
|
(155,000
|
)
|
Less: Liquidation preference of Series C Preferred Stock
|
(287,500
|
)
|
|
—
|
|
Total adjusted equity
|
2,072,894
|
|
|
1,975,184
|
|
|
|
|
|
||
Denominator (number of shares - diluted):
|
|
|
|
||
Common stock outstanding
|
111,617
|
|
|
111,595
|
|
Non-controlling interest OP units
|
1,425
|
|
|
1,425
|
|
Number of shares - diluted
|
113,042
|
|
|
113,020
|
|
|
|
|
|
||
Book value per diluted common share
|
18.34
|
|
|
17.48
|
|
|
44
|
|
|
45
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands, except share data
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Interest Income
|
|
|
|
|
|
|
|
||||
Mortgage-backed and credit risk transfer securities
|
134,138
|
|
|
112,467
|
|
|
374,038
|
|
|
347,573
|
|
Commercial loans
|
6,251
|
|
|
5,680
|
|
|
18,036
|
|
|
16,520
|
|
Total interest income
|
140,389
|
|
|
118,147
|
|
|
392,074
|
|
|
364,093
|
|
Interest Expense
|
|
|
|
|
|
|
|
||||
Repurchase agreements
|
45,907
|
|
|
24,892
|
|
|
111,926
|
|
|
97,952
|
|
Secured loans
|
5,544
|
|
|
2,746
|
|
|
13,492
|
|
|
8,149
|
|
Exchangeable senior notes
|
2,724
|
|
|
5,620
|
|
|
11,236
|
|
|
16,847
|
|
Total interest expense
|
54,175
|
|
|
33,258
|
|
|
136,654
|
|
|
122,948
|
|
Net interest income
|
86,214
|
|
|
84,889
|
|
|
255,420
|
|
|
241,145
|
|
Other Income (loss)
|
|
|
|
|
|
|
|
||||
Gain (loss) on investments, net
|
(11,873
|
)
|
|
(7,155
|
)
|
|
(2,551
|
)
|
|
5,860
|
|
Equity in earnings (losses) of unconsolidated ventures
|
408
|
|
|
729
|
|
|
(1,280
|
)
|
|
1,992
|
|
Gain (loss) on derivative instruments, net
|
1,955
|
|
|
35,378
|
|
|
(46,096
|
)
|
|
(293,528
|
)
|
Realized and unrealized credit derivative income (loss), net
|
(2,930
|
)
|
|
31,926
|
|
|
38,428
|
|
|
57,564
|
|
Net loss on extinguishment of debt
|
(1,344
|
)
|
|
—
|
|
|
(6,581
|
)
|
|
—
|
|
Other investment income (loss), net
|
2,313
|
|
|
(554
|
)
|
|
6,175
|
|
|
(3,617
|
)
|
Total other income (loss)
|
(11,471
|
)
|
|
60,324
|
|
|
(11,905
|
)
|
|
(231,729
|
)
|
Expenses
|
|
|
|
|
|
|
|
||||
Management fee – related party
|
9,557
|
|
|
6,719
|
|
|
27,385
|
|
|
25,292
|
|
General and administrative
|
1,697
|
|
|
1,836
|
|
|
5,389
|
|
|
5,769
|
|
Total expenses
|
11,254
|
|
|
8,555
|
|
|
32,774
|
|
|
31,061
|
|
Net income (loss)
|
63,489
|
|
|
136,658
|
|
|
210,741
|
|
|
(21,645
|
)
|
Net income (loss) attributable to non-controlling interest
|
800
|
|
|
1,723
|
|
|
2,656
|
|
|
(235
|
)
|
Net income (loss) attributable to Invesco Mortgage Capital Inc.
|
62,689
|
|
|
134,935
|
|
|
208,085
|
|
|
(21,410
|
)
|
Dividends to preferred stockholders
|
13,562
|
|
|
5,716
|
|
|
24,994
|
|
|
17,148
|
|
Net income (loss) attributable to common stockholders
|
49,127
|
|
|
129,219
|
|
|
183,091
|
|
|
(38,558
|
)
|
Earnings (loss) per share:
|
|
|
|
|
|
|
|
||||
Net income (loss) attributable to common stockholders
|
|
|
|
|
|
|
|
||||
Basic
|
0.44
|
|
|
1.16
|
|
|
1.64
|
|
|
(0.34
|
)
|
Diluted
|
0.43
|
|
|
1.05
|
|
|
1.59
|
|
|
(0.34
|
)
|
Dividends declared per common share
|
0.41
|
|
|
0.40
|
|
|
1.21
|
|
|
1.20
|
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|
|
||||
Basic
|
111,613,804
|
|
|
111,586,633
|
|
|
111,606,784
|
|
|
112,101,369
|
|
Diluted
|
121,225,215
|
|
|
129,893,354
|
|
|
124,278,215
|
|
|
113,526,369
|
|
|
46
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Average Balances
(1)
:
|
|
|
|
|
|
|
|
||||
Agency RMBS:
|
|
|
|
|
|
|
|
||||
15 year fixed-rate, at amortized cost
|
3,223,684
|
|
|
3,409,739
|
|
|
3,370,401
|
|
|
2,409,219
|
|
30 year fixed-rate, at amortized cost
|
6,486,613
|
|
|
3,613,116
|
|
|
5,274,103
|
|
|
3,784,762
|
|
ARM, at amortized cost
|
258,304
|
|
|
332,801
|
|
|
275,010
|
|
|
368,409
|
|
Hybrid ARM, at amortized cost
|
1,847,709
|
|
|
2,703,529
|
|
|
2,043,497
|
|
|
2,893,860
|
|
Agency - CMO, at amortized cost
|
287,364
|
|
|
362,825
|
|
|
308,159
|
|
|
383,995
|
|
Non-Agency RMBS, at amortized cost
|
1,339,639
|
|
|
2,079,681
|
|
|
1,537,013
|
|
|
2,243,941
|
|
GSE CRT, at amortized cost
|
790,886
|
|
|
612,531
|
|
|
784,301
|
|
|
641,445
|
|
CMBS, at amortized cost
|
2,920,587
|
|
|
2,532,667
|
|
|
2,721,306
|
|
|
2,610,204
|
|
U.S. Treasury securities, at amortized cost
|
—
|
|
|
169,041
|
|
|
—
|
|
|
60,610
|
|
Commercial loans, at amortized cost
|
279,840
|
|
|
272,614
|
|
|
277,642
|
|
|
263,532
|
|
Average earning assets
|
17,434,626
|
|
|
16,088,544
|
|
|
16,591,432
|
|
|
15,659,977
|
|
Average Earning Asset Yields
(2)
:
|
|
|
|
|
|
|
|
||||
Agency RMBS:
|
|
|
|
|
|
|
|
||||
15 year fixed-rate
|
1.95
|
%
|
|
1.86
|
%
|
|
1.99
|
%
|
|
1.97
|
%
|
30 year fixed-rate
|
2.73
|
%
|
|
2.55
|
%
|
|
2.73
|
%
|
|
2.76
|
%
|
ARM
|
2.35
|
%
|
|
2.18
|
%
|
|
2.31
|
%
|
|
2.31
|
%
|
Hybrid ARM
|
2.19
|
%
|
|
2.06
|
%
|
|
2.26
|
%
|
|
2.15
|
%
|
Agency - CMO
|
2.71
|
%
|
|
2.42
|
%
|
|
1.16
|
%
|
|
2.60
|
%
|
Non-Agency RMBS
|
6.56
|
%
|
|
5.06
|
%
|
|
5.97
|
%
|
|
4.90
|
%
|
GSE CRT
(3)
|
2.74
|
%
|
|
0.98
|
%
|
|
2.51
|
%
|
|
0.89
|
%
|
CMBS
|
4.52
|
%
|
|
4.28
|
%
|
|
4.40
|
%
|
|
4.34
|
%
|
U.S. Treasury securities
|
—
|
%
|
|
1.09
|
%
|
|
—
|
%
|
|
1.15
|
%
|
Commercial loans
|
8.86
|
%
|
|
8.27
|
%
|
|
8.69
|
%
|
|
8.35
|
%
|
Average earning asset yields
|
3.22
|
%
|
|
2.94
|
%
|
|
3.15
|
%
|
|
3.10
|
%
|
(1)
|
Average amounts for each period are based on weighted month-end balances.
|
(2)
|
Average earning asset yields for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the average balance of the amortized cost of the investments. All yields are annualized.
|
(3)
|
GSE CRT average earning asset yield excludes coupon interest associated with embedded derivatives on securities not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net under U.S. GAAP.
|
|
47
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Interest Income
|
|
|
|
|
|
|
|
||||
MBS and GSE CRT - coupon interest
|
156,635
|
|
|
144,325
|
|
|
449,971
|
|
|
433,095
|
|
MBS and GSE CRT - net (premium amortization)/discount accretion
|
(22,497
|
)
|
|
(31,858
|
)
|
|
(75,933
|
)
|
|
(85,522
|
)
|
MBS and GSE CRT - interest income
|
134,138
|
|
|
112,467
|
|
|
374,038
|
|
|
347,573
|
|
Commercial loans
|
6,251
|
|
|
5,680
|
|
|
18,036
|
|
|
16,520
|
|
Total interest income
|
140,389
|
|
|
118,147
|
|
|
392,074
|
|
|
364,093
|
|
|
2017
|
|||||||
|
September 30
|
|
June 30
|
|
March 31
|
|||
15 year fixed-rate Agency RMBS
|
10.2
|
|
|
9.5
|
|
|
8.1
|
|
30 year fixed-rate Agency RMBS
|
9.3
|
|
|
9.2
|
|
|
10.8
|
|
ARM/ Hybrid ARM Agency RMBS
|
18.6
|
|
|
16.3
|
|
|
15.7
|
|
Non-Agency RMBS
|
15.3
|
|
|
12.6
|
|
|
13.3
|
|
GSE CRT
|
12.4
|
|
|
9.7
|
|
|
13.1
|
|
Weighted average CPR
|
12.2
|
|
|
11.2
|
|
|
11.7
|
|
|
2016
|
|||||||
|
September 30
|
|
June 30
|
|
March 31
|
|||
15 year fixed-rate Agency RMBS
|
9.5
|
|
|
10.4
|
|
|
10.2
|
|
30 year fixed-rate Agency RMBS
|
16.2
|
|
|
13.7
|
|
|
10.8
|
|
ARM/ Hybrid ARM Agency RMBS
|
21.7
|
|
|
18.4
|
|
|
12.5
|
|
Non-Agency RMBS
|
16.5
|
|
|
15.2
|
|
|
11.1
|
|
GSE CRT
|
17.9
|
|
|
14.0
|
|
|
9.2
|
|
Weighted average CPR
|
16.1
|
|
|
14.9
|
|
|
11.2
|
|
|
48
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Interest Expense
|
|
|
|
|
|
|
|
||||
Interest expense on repurchase agreement borrowings
|
52,345
|
|
|
29,723
|
|
|
131,031
|
|
|
86,621
|
|
Amortization of net deferred (gain) loss on de-designated interest rate swaps
|
(6,438
|
)
|
|
(4,831
|
)
|
|
(19,105
|
)
|
|
11,331
|
|
Repurchase agreements interest expense
|
45,907
|
|
|
24,892
|
|
|
111,926
|
|
|
97,952
|
|
Secured loans
|
5,544
|
|
|
2,746
|
|
|
13,492
|
|
|
8,149
|
|
Exchangeable senior notes
|
2,724
|
|
|
5,620
|
|
|
11,236
|
|
|
16,847
|
|
Total interest expense
|
54,175
|
|
|
33,258
|
|
|
136,654
|
|
|
122,948
|
|
|
49
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Average Borrowings
(1)
:
|
|
|
|
|
|
|
|
||||
Agency RMBS
(2)
|
10,919,243
|
|
|
9,334,305
|
|
|
10,105,277
|
|
|
8,823,633
|
|
Non-Agency RMBS
|
1,062,528
|
|
|
1,681,136
|
|
|
1,208,702
|
|
|
1,812,516
|
|
GSE CRT
|
661,095
|
|
|
428,798
|
|
|
639,234
|
|
|
451,024
|
|
CMBS
(2)
|
2,367,648
|
|
|
2,213,541
|
|
|
2,260,356
|
|
|
2,187,871
|
|
U.S. Treasury securities
|
—
|
|
|
168,689
|
|
|
—
|
|
|
73,310
|
|
Exchangeable senior notes
|
185,930
|
|
|
396,213
|
|
|
256,261
|
|
|
395,599
|
|
Total average borrowings
|
15,196,444
|
|
|
14,222,682
|
|
|
14,469,830
|
|
|
13,743,953
|
|
Maximum borrowings during the period
(3)
|
15,896,218
|
|
|
14,381,178
|
|
|
15,896,218
|
|
|
14,381,178
|
|
Average Cost of Funds
(4)
:
|
|
|
|
|
|
|
|
||||
Agency RMBS
(2)
|
1.28
|
%
|
|
0.67
|
%
|
|
1.09
|
%
|
|
0.66
|
%
|
Non-Agency RMBS
|
2.67
|
%
|
|
1.94
|
%
|
|
2.42
|
%
|
|
1.86
|
%
|
GSE CRT
|
2.69
|
%
|
|
2.16
|
%
|
|
2.50
|
%
|
|
2.14
|
%
|
CMBS
(2)
|
1.91
|
%
|
|
1.14
|
%
|
|
1.63
|
%
|
|
1.13
|
%
|
U.S. Treasury securities
|
—
|
%
|
|
0.26
|
%
|
|
—
|
%
|
|
0.25
|
%
|
Exchangeable senior notes
|
5.86
|
%
|
|
5.67
|
%
|
|
5.85
|
%
|
|
5.68
|
%
|
Cost of funds
|
1.43
|
%
|
|
0.94
|
%
|
|
1.26
|
%
|
|
1.19
|
%
|
Effective cost of funds (non-GAAP measure)
(5)
|
2.06
|
%
|
|
1.82
|
%
|
|
2.00
|
%
|
|
1.86
|
%
|
(1)
|
Average amounts for each period are based on weighted month-end balances.
|
(2)
|
Agency RMBS and CMBS average borrowings and average cost of funds include borrowings under repurchase agreements and secured loans.
|
(3)
|
Amount represents the maximum borrowings at month-end during each of the respective periods.
|
(4)
|
Average cost of funds is calculated by dividing annualized interest expense excluding amortization of net deferred gain (loss) on de-designated interest rate swaps by our average borrowings.
|
(5)
|
For a reconciliation of cost of funds to effective cost of funds, see "Non-GAAP Financial Measures"
|
|
50
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Interest Income
|
|
|
|
|
|
|
|
||||
Mortgage-backed and credit risk transfer securities
|
134,138
|
|
|
112,467
|
|
|
374,038
|
|
|
347,573
|
|
Commercial loans
|
6,251
|
|
|
5,680
|
|
|
18,036
|
|
|
16,520
|
|
Total interest income
|
140,389
|
|
|
118,147
|
|
|
392,074
|
|
|
364,093
|
|
Interest Expense
|
|
|
|
|
|
|
|
||||
Interest expense on repurchase agreement borrowings
|
52,345
|
|
|
29,723
|
|
|
131,031
|
|
|
86,621
|
|
Amortization of net deferred (gain) loss on de-designated interest rate swaps
|
(6,438
|
)
|
|
(4,831
|
)
|
|
(19,105
|
)
|
|
11,331
|
|
Repurchase agreements interest expense
|
45,907
|
|
|
24,892
|
|
|
111,926
|
|
|
97,952
|
|
Secured loans
|
5,544
|
|
|
2,746
|
|
|
13,492
|
|
|
8,149
|
|
Exchangeable senior notes
|
2,724
|
|
|
5,620
|
|
|
11,236
|
|
|
16,847
|
|
Total interest expense
|
54,175
|
|
|
33,258
|
|
|
136,654
|
|
|
122,948
|
|
Net interest income
|
86,214
|
|
|
84,889
|
|
|
255,420
|
|
|
241,145
|
|
Net interest rate margin
|
1.79
|
%
|
|
2.00
|
%
|
|
1.89
|
%
|
|
1.91
|
%
|
|
51
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Realized gains and losses on sale of investments
|
(7
|
)
|
|
(1,305
|
)
|
|
(1,665
|
)
|
|
10,276
|
|
Other-than-temporary impairment losses
|
(4,959
|
)
|
|
(1,156
|
)
|
|
(9,589
|
)
|
|
(8,364
|
)
|
Net unrealized gains and losses on MBS accounted for under the fair value option
|
(5,301
|
)
|
|
(5,412
|
)
|
|
(1,188
|
)
|
|
2,530
|
|
Net unrealized gains and losses on GSE CRT accounted for under the fair value option
|
(1,608
|
)
|
|
1,181
|
|
|
9,866
|
|
|
1,418
|
|
Net unrealized gains and losses on trading securities
|
2
|
|
|
(463
|
)
|
|
25
|
|
|
—
|
|
Total gain (loss) on investments, net
|
(11,873
|
)
|
|
(7,155
|
)
|
|
(2,551
|
)
|
|
5,860
|
|
|
52
|
|
$ in thousands
|
|
Three months ended September 30, 2017
|
||||||||||
Derivative
not designated as
hedging instrument
|
|
Realized gain (loss) on derivative instruments, net
|
|
Contractual net interest expense
|
|
Unrealized gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
|
21,126
|
|
|
(17,453
|
)
|
|
144
|
|
|
3,817
|
|
Currency Forward Contracts
|
|
(1,623
|
)
|
|
—
|
|
|
(239
|
)
|
|
(1,862
|
)
|
Total
|
|
19,503
|
|
|
(17,453
|
)
|
|
(95
|
)
|
|
1,955
|
|
$ in thousands
|
|
Three months ended September 30, 2016
|
||||||||||
Derivative
not designated as hedging instrument |
|
Realized gain (loss) on derivative instruments, net
|
|
Contractual net interest expense
|
|
Unrealized gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
|
(5,090
|
)
|
|
(26,388
|
)
|
|
65,396
|
|
|
33,918
|
|
Currency Forward Contracts
|
|
6,437
|
|
|
—
|
|
|
(4,977
|
)
|
|
1,460
|
|
Total
|
|
1,347
|
|
|
(26,388
|
)
|
|
60,419
|
|
|
35,378
|
|
$ in thousands
|
|
Nine Months Ended September 30, 2017
|
||||||||||
Derivative
not designated as hedging instrument |
|
Realized gain (loss) on derivative instruments, net
|
|
Contractual net interest expense
|
|
Unrealized gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
|
(1,392
|
)
|
|
(60,313
|
)
|
|
21,069
|
|
|
(40,636
|
)
|
Currency Forward Contracts
|
|
(4,416
|
)
|
|
—
|
|
|
(1,044
|
)
|
|
(5,460
|
)
|
Total
|
|
(5,808
|
)
|
|
(60,313
|
)
|
|
20,025
|
|
|
(46,096
|
)
|
$ in thousands
|
|
Nine Months Ended September 30, 2016
|
||||||||||
Derivative
not designated as hedging instrument |
|
Realized gain (loss) on derivative instruments, net
|
|
Contractual net interest expense
|
|
Unrealized gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
|
(69,090
|
)
|
|
(80,464
|
)
|
|
(150,986
|
)
|
|
(300,540
|
)
|
Interest Rate Swaptions
|
|
(1,485
|
)
|
|
—
|
|
|
1,485
|
|
|
—
|
|
Currency Forward Contracts
|
|
8,353
|
|
|
—
|
|
|
(1,341
|
)
|
|
7,012
|
|
Total
|
|
(62,222
|
)
|
|
(80,464
|
)
|
|
(150,842
|
)
|
|
(293,528
|
)
|
$ in thousands
|
|
As of September 30, 2017
|
|
As of December 31, 2016
|
||||||||||||||||||
Derivative instrument
|
|
Notional Amounts
(1)
|
|
Average Fixed Pay Rate
|
|
Average Receive Rate
|
|
Average Maturity (Years)
|
|
Notional Amounts
|
|
Average Fixed Pay Rate
|
|
Average Receive Rate
|
|
Average Maturity (Years)
|
||||||
Interest Rate Swaps
|
|
8,620,000
|
|
|
2.11
|
%
|
|
1.27
|
%
|
|
4.4
|
|
6,500,000
|
|
|
2.14
|
%
|
|
0.79
|
%
|
|
4.6
|
(1)
|
Excludes
$500.0 million
of notional amount for an interest rate swap with a forward start date of
5/24/2018
.
|
|
53
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
GSE CRT embedded derivative coupon interest
|
5,873
|
|
|
5,963
|
|
|
17,524
|
|
|
18,389
|
|
Gain (loss) on settlement of GSE CRT embedded derivatives
|
—
|
|
|
—
|
|
|
—
|
|
|
(6,017
|
)
|
Change in fair value of GSE CRT embedded derivatives
|
(8,803
|
)
|
|
25,963
|
|
|
20,904
|
|
|
45,192
|
|
Total
|
(2,930
|
)
|
|
31,926
|
|
|
38,428
|
|
|
57,564
|
|
$ in thousands
|
Three Months ended
September 30, 2017 |
|
Nine Months ended
September 30, 2017 |
||
Reacquisition price
|
62,068
|
|
|
247,454
|
|
Less: Par value of Notes retired during the period
|
(60,933
|
)
|
|
(242,178
|
)
|
Add: Write off of unamortized debt issuance cost associated with Notes retired during the period
|
209
|
|
|
1,305
|
|
Net loss on extinguishment of debt
|
1,344
|
|
|
6,581
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Dividend income
|
809
|
|
|
786
|
|
|
2,427
|
|
|
2,390
|
|
Gain (loss) on foreign currency transactions, net
|
1,504
|
|
|
(1,340
|
)
|
|
3,748
|
|
|
(6,007
|
)
|
Total
|
2,313
|
|
|
(554
|
)
|
|
6,175
|
|
|
(3,617
|
)
|
|
54
|
|
|
55
|
|
•
|
core earnings (and by calculation, core earnings per common share)
|
•
|
effective interest income (and by calculation, effective yield)
|
•
|
effective interest expense (and by calculation, effective cost of funds)
|
•
|
effective net interest income (and by calculation, effective interest rate margin), and
|
•
|
repurchase agreement debt-to-equity ratio.
|
•
|
net income (loss) attributable to common stockholders (and by calculation, basic earnings (loss) per common share)
|
•
|
total interest income (and by calculation, earning asset yield)
|
•
|
total interest expense (and by calculation, cost of funds)
|
•
|
net interest income (and by calculation, net interest rate margin); and
|
•
|
debt-to-equity ratio.
|
|
56
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands, except per share data
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Net income (loss) attributable to common stockholders
|
49,127
|
|
|
129,219
|
|
|
183,091
|
|
|
(38,558
|
)
|
Adjustments:
|
|
|
|
|
|
|
|
||||
(Gain) loss on investments, net
|
11,873
|
|
|
7,155
|
|
|
2,551
|
|
|
(5,860
|
)
|
Realized (gain) loss on derivative instruments, net
(1)
|
(19,503
|
)
|
|
(1,347
|
)
|
|
5,808
|
|
|
62,222
|
|
Unrealized (gain) loss on derivative instruments, net
(1)
|
95
|
|
|
(60,419
|
)
|
|
(20,025
|
)
|
|
150,842
|
|
Realized and unrealized (gain) loss on GSE CRT embedded derivatives, net
(2)
|
8,803
|
|
|
(25,963
|
)
|
|
(20,904
|
)
|
|
(39,175
|
)
|
(Gain) loss on foreign currency transactions, net
(3)
|
(1,504
|
)
|
|
1,340
|
|
|
(3,748
|
)
|
|
6,007
|
|
Amortization of net deferred (gain) loss on de-designated interest rate swaps
(4)
|
(6,438
|
)
|
|
(4,831
|
)
|
|
(19,105
|
)
|
|
11,331
|
|
Net loss on extinguishment of debt
|
1,344
|
|
|
—
|
|
|
6,581
|
|
|
—
|
|
Subtotal
|
(5,330
|
)
|
|
(84,065
|
)
|
|
(48,842
|
)
|
|
185,367
|
|
Cumulative adjustments attributable to non-controlling interest
|
67
|
|
|
1,060
|
|
|
616
|
|
|
(2,289
|
)
|
Preferred stock dividend declared but not accumulated
(5)
|
5,211
|
|
|
—
|
|
|
5,211
|
|
|
—
|
|
Core earnings attributable to common stockholders
|
49,075
|
|
|
46,214
|
|
|
140,076
|
|
|
144,520
|
|
Basic income (loss) per common share
|
0.44
|
|
|
1.16
|
|
|
1.64
|
|
|
(0.34
|
)
|
Core earnings per share attributable to common stockholders
(6)
|
0.44
|
|
|
0.41
|
|
|
1.26
|
|
|
1.29
|
|
(1)
|
U.S. GAAP gain (loss) on derivative instruments, net on the condensed consolidated statements of operations includes the following components:
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Realized gain (loss) on derivative instruments, net
|
19,503
|
|
|
1,347
|
|
|
(5,808
|
)
|
|
(62,222
|
)
|
Unrealized gain (loss) on derivative instruments, net
|
(95
|
)
|
|
60,419
|
|
|
20,025
|
|
|
(150,842
|
)
|
Contractual net interest expense
|
(17,453
|
)
|
|
(26,388
|
)
|
|
(60,313
|
)
|
|
(80,464
|
)
|
Gain (loss) on derivative instruments, net
|
1,955
|
|
|
35,378
|
|
|
(46,096
|
)
|
|
(293,528
|
)
|
(2)
|
U.S. GAAP realized and unrealized credit derivative income (loss), net on the condensed consolidated statements of operations includes the following components:
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Realized and unrealized gain (loss) on GSE CRT embedded derivatives, net
|
(8,803
|
)
|
|
25,963
|
|
|
20,904
|
|
|
39,175
|
|
GSE CRT embedded derivative coupon interest
|
5,873
|
|
|
5,963
|
|
|
17,524
|
|
|
18,389
|
|
Realized and unrealized credit derivative income (loss), net
|
(2,930
|
)
|
|
31,926
|
|
|
38,428
|
|
|
57,564
|
|
|
57
|
|
(3)
|
U.S. GAAP other investment income (loss) net on the condensed consolidated statements of operations includes the following components:
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Dividend income
|
809
|
|
|
786
|
|
|
2,427
|
|
|
2,390
|
|
Gain (loss) on foreign currency transactions, net
|
1,504
|
|
|
(1,340
|
)
|
|
3,748
|
|
|
(6,007
|
)
|
Other investment income (loss), net
|
2,313
|
|
|
(554
|
)
|
|
6,175
|
|
|
(3,617
|
)
|
(4)
|
U.S. GAAP repurchase agreements interest expense on the condensed consolidated statements of operations includes the following components:
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||
$ in thousands
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||
Interest expense on repurchase agreements borrowings
|
52,345
|
|
|
29,723
|
|
|
131,031
|
|
|
86,621
|
|
Amortization of net deferred (gain) loss on de-designated interest rate swaps
|
(6,438
|
)
|
|
(4,831
|
)
|
|
(19,105
|
)
|
|
11,331
|
|
Repurchase agreements interest expense
|
45,907
|
|
|
24,892
|
|
|
111,926
|
|
|
97,952
|
|
(5)
|
Preferred stock dividend declared but not accumulated is a timing adjustment related to the first dividend declaration on Series C Preferred Stock. On September 14, 2017, we declared a dividend on Series C Preferred Stock that covers the period from the date of issuance, August 16, 2017, to but not including the dividend payment date, December 27, 2017. We adjusted core earnings for the period ended September 30, 2017 to exclude the portion of the dividend declared for the period from October 1, 2017 through December 26, 2017 because we do not consider the future unaccumulated portion of the dividend a current component of our capital costs.
|
(6)
|
Core earnings per share attributable to common stockholders is equal to core earnings divided by the basic weighted average number of common shares outstanding.
|
|
58
|
|
|
Three Months Ended September 30,
|
||||||||||
|
2017
|
|
2016
|
||||||||
$ in thousands
|
Reconciliation
|
|
Yield/Effective Yield
|
|
Reconciliation
|
|
Yield/Effective Yield
|
||||
Total interest income
|
140,389
|
|
|
3.22
|
%
|
|
118,147
|
|
|
2.94
|
%
|
Add: GSE CRT embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net
|
5,873
|
|
|
0.14
|
%
|
|
5,963
|
|
|
0.15
|
%
|
Effective interest income
|
146,262
|
|
|
3.36
|
%
|
|
124,110
|
|
|
3.09
|
%
|
|
Nine Months Ended September 30,
|
||||||||||
|
2017
|
|
2016
|
||||||||
$ in thousands
|
Reconciliation
|
|
Yield/Effective Yield
|
|
Reconciliation
|
|
Yield/Effective Yield
|
||||
Total interest income
|
392,074
|
|
|
3.15
|
%
|
|
364,093
|
|
|
3.10
|
%
|
Add: GSE CRT embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net
|
17,524
|
|
|
0.14
|
%
|
|
18,389
|
|
|
0.16
|
%
|
Effective interest income
|
409,598
|
|
|
3.29
|
%
|
|
382,482
|
|
|
3.26
|
%
|
|
59
|
|
|
Three Months Ended September 30,
|
||||||||||
|
2017
|
|
2016
|
||||||||
$ in thousands
|
Reconciliation
|
|
Cost of Funds / Effective Cost of Funds
|
|
Reconciliation
|
|
Cost of Funds / Effective Cost of Funds
|
||||
Total interest expense
|
54,175
|
|
|
1.43
|
%
|
|
33,258
|
|
|
0.94
|
%
|
Add (Less): Amortization of net deferred gain (loss) on de-designated interest rate swaps
|
6,438
|
|
|
0.17
|
%
|
|
4,831
|
|
|
0.14
|
%
|
Add: Contractual net interest expense on interest rate swaps recorded as gain (loss) on derivative instruments, net
|
17,453
|
|
|
0.46
|
%
|
|
26,388
|
|
|
0.74
|
%
|
Effective interest expense
|
78,066
|
|
|
2.06
|
%
|
|
64,477
|
|
|
1.82
|
%
|
|
Nine Months Ended September 30,
|
||||||||||
|
2017
|
|
2016
|
||||||||
$ in thousands
|
Reconciliation
|
|
Cost of Funds / Effective Cost of Funds
|
|
Reconciliation
|
|
Cost of Funds / Effective Cost of Funds
|
||||
Total interest expense
|
136,654
|
|
|
1.26
|
%
|
|
122,948
|
|
|
1.19
|
%
|
Add (Less): Amortization of net deferred gain (loss) on de-designated interest rate swaps
|
19,105
|
|
|
0.18
|
%
|
|
(11,331
|
)
|
|
(0.11
|
)%
|
Add: Contractual net interest expense on interest rate swaps recorded as gain (loss) on derivative instruments, net
|
60,313
|
|
|
0.56
|
%
|
|
80,464
|
|
|
0.78
|
%
|
Effective interest expense
|
216,072
|
|
|
2.00
|
%
|
|
192,081
|
|
|
1.86
|
%
|
|
60
|
|
|
Three Months Ended September 30,
|
||||||||||
|
2017
|
|
2016
|
||||||||
$ in thousands
|
Reconciliation
|
|
Net Interest Rate Margin / Effective Interest Rate Margin
|
|
Reconciliation
|
|
Net Interest Rate Margin / Effective Interest Rate Margin
|
||||
Net interest income
|
86,214
|
|
|
1.79
|
%
|
|
84,889
|
|
|
2.00
|
%
|
Add (Less): Amortization of net deferred (gain) loss on de-designated interest rate swaps
|
(6,438
|
)
|
|
(0.17
|
)%
|
|
(4,831
|
)
|
|
(0.14
|
)%
|
Add: GSE CRT embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net
|
5,873
|
|
|
0.14
|
%
|
|
5,963
|
|
|
0.15
|
%
|
Less: Contractual net interest expense on interest rate swaps recorded as gain (loss) on derivative instruments, net
|
(17,453
|
)
|
|
(0.46
|
)%
|
|
(26,388
|
)
|
|
(0.74
|
)%
|
Effective net interest income
|
68,196
|
|
|
1.30
|
%
|
|
59,633
|
|
|
1.27
|
%
|
|
Nine Months Ended September 30,
|
||||||||||
|
2017
|
|
2016
|
||||||||
$ in thousands
|
Reconciliation
|
|
Net Interest Rate Margin / Effective Interest Rate Margin
|
|
Reconciliation
|
|
Net Interest Rate Margin / Effective Interest Rate Margin
|
||||
Net interest income
|
255,420
|
|
|
1.89
|
%
|
|
241,145
|
|
|
1.91
|
%
|
Add (Less): Amortization of net deferred (gain) loss on de-designated interest rate swaps
|
(19,105
|
)
|
|
(0.18
|
)%
|
|
11,331
|
|
|
0.11
|
%
|
Add: GSE CRT embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net
|
17,524
|
|
|
0.14
|
%
|
|
18,389
|
|
|
0.16
|
%
|
Less: Contractual net interest expense on interest rate swaps recorded as gain (loss) on derivative instruments, net
|
(60,313
|
)
|
|
(0.56
|
)%
|
|
(80,464
|
)
|
|
(0.78
|
)%
|
Effective net interest income
|
193,526
|
|
|
1.29
|
%
|
|
190,401
|
|
|
1.40
|
%
|
|
61
|
|
$ in thousands
|
Agency
RMBS
|
Residential Credit
(1)
|
Commercial Credit
(2)
|
Exchangeable Senior Notes and Other
|
Total
|
|||||
Investments
|
12,869,842
|
|
2,280,913
|
|
3,412,470
|
|
—
|
|
18,563,225
|
|
Cash and cash equivalents
(3)
|
30,453
|
|
15,569
|
|
27,508
|
|
—
|
|
73,530
|
|
Derivative assets, at fair value
(4)
|
7,394
|
|
—
|
|
—
|
|
—
|
|
7,394
|
|
Other assets
|
82,161
|
|
6,135
|
|
66,397
|
|
3,982
|
|
158,675
|
|
Total assets
|
12,989,850
|
|
2,302,617
|
|
3,506,375
|
|
3,982
|
|
18,802,824
|
|
|
|
|
|
|
|
|||||
Repurchase agreements
|
11,115,979
|
|
1,688,915
|
|
1,283,944
|
|
—
|
|
14,088,838
|
|
Secured loans
(5)
|
517,771
|
|
—
|
|
1,132,229
|
|
—
|
|
1,650,000
|
|
Exchangeable senior notes, net
|
—
|
|
—
|
|
—
|
|
157,380
|
|
157,380
|
|
Derivative liabilities, at fair value
|
39,292
|
|
—
|
|
1,339
|
|
—
|
|
40,631
|
|
Other liabilities
|
162,669
|
|
17,566
|
|
29,995
|
|
351
|
|
210,581
|
|
Total liabilities
|
11,835,711
|
|
1,706,481
|
|
2,447,507
|
|
157,731
|
|
16,147,430
|
|
|
|
|
|
|
|
|||||
Total equity (allocated)
|
1,154,139
|
|
596,136
|
|
1,058,868
|
|
(153,749
|
)
|
2,655,394
|
|
Adjustments to calculate repurchase agreement debt-to-equity ratio:
|
|
|
|
|
|
|||||
Net equity in unsecured assets and exchangeable senior notes
(6)
|
—
|
|
—
|
|
(303,673
|
)
|
153,749
|
|
(149,924
|
)
|
Collateral pledged against secured loans
|
(598,870
|
)
|
—
|
|
(1,309,570
|
)
|
—
|
|
(1,908,440
|
)
|
Secured loans
|
517,771
|
|
—
|
|
1,132,229
|
|
—
|
|
1,650,000
|
|
Equity related to repurchase agreement debt
|
1,073,040
|
|
596,136
|
|
577,854
|
|
—
|
|
2,247,030
|
|
Debt-to-equity ratio
(7)
|
10.1
|
|
2.8
|
|
2.3
|
|
NA
|
|
6.0
|
|
Repurchase agreement debt-to-equity ratio
(8)
|
10.4
|
|
2.8
|
|
2.2
|
|
NA
|
|
6.3
|
|
(1)
|
Investments in non-Agency RMBS and GSE CRT are included in residential credit.
|
(2)
|
Investments in CMBS, commercial loans and investments in unconsolidated joint ventures are included in commercial credit.
|
(3)
|
Cash and cash equivalents are allocated based on a percentage of equity for Agency RMBS, residential credit and commercial credit.
|
(4)
|
Derivative assets are allocated based on the hedging strategy for each class.
|
(5)
|
Secured loans are allocated based on amount of collateral pledged.
|
(6)
|
Net equity in unsecured assets and exchangeable senior notes includes commercial loans, investments in unconsolidated joint ventures, exchangeable senior notes and other.
|
(7)
|
Debt-to-equity ratio is calculated as the ratio of total debt (sum of repurchase agreements, secured loans and exchangeable senior notes) to total equity.
|
(8)
|
Repurchase agreement debt-to-equity ratio is calculated as the ratio of repurchase agreements to equity related to repurchase agreement debt.
|
|
62
|
|
$ in thousands
|
Agency
RMBS |
Residential Credit
(1)
|
Commercial Credit
(2)
|
Exchangeable Senior Notes and Other
|
Total
|
|||||
Investments
|
9,665,860
|
|
2,763,751
|
|
2,858,376
|
|
—
|
|
15,287,987
|
|
Cash and cash equivalents
(3)
|
76,067
|
|
49,582
|
|
36,139
|
|
—
|
|
161,788
|
|
Derivative assets, at fair value
(4)
|
3,085
|
|
—
|
|
101
|
|
—
|
|
3,186
|
|
Other assets
|
179,931
|
|
9,381
|
|
63,465
|
|
500
|
|
253,277
|
|
Total assets
|
9,924,943
|
|
2,822,714
|
|
2,958,081
|
|
500
|
|
15,706,238
|
|
|
|
|
|
|
|
|||||
Repurchase agreements
|
8,148,220
|
|
2,067,731
|
|
944,718
|
|
—
|
|
11,160,669
|
|
Secured loans
(5)
|
500,150
|
|
—
|
|
1,149,850
|
|
—
|
|
1,650,000
|
|
Exchangeable senior notes
|
—
|
|
—
|
|
—
|
|
397,041
|
|
397,041
|
|
Derivative liabilities, at fair value
|
133,832
|
|
—
|
|
396
|
|
—
|
|
134,228
|
|
Other liabilities
|
52,047
|
|
21,389
|
|
14,791
|
|
5,889
|
|
94,116
|
|
Total liabilities
|
8,834,249
|
|
2,089,120
|
|
2,109,755
|
|
402,930
|
|
13,436,054
|
|
|
|
|
|
|
|
|||||
Total equity (allocated)
|
1,090,694
|
|
733,594
|
|
848,326
|
|
(402,430
|
)
|
2,270,184
|
|
Adjustments to calculate repurchase agreement debt-to-equity ratio:
|
|
|
|
|
|
|||||
Net equity in unsecured assets and exchangeable senior notes
(6)
|
—
|
|
—
|
|
(306,656
|
)
|
402,430
|
|
95,774
|
|
Collateral pledged against secured loans
|
(585,504
|
)
|
—
|
|
(1,346,078
|
)
|
—
|
|
(1,931,582
|
)
|
Secured loans
|
500,150
|
|
—
|
|
1,149,850
|
|
—
|
|
1,650,000
|
|
Equity related to repurchase agreement debt
|
1,005,340
|
|
733,594
|
|
345,442
|
|
—
|
|
2,084,376
|
|
Debt-to-equity ratio
(7)
|
7.9
|
|
2.8
|
|
2.5
|
|
NA
|
|
5.8
|
|
Repurchase agreement debt-to-equity ratio
(8)
|
8.1
|
|
2.8
|
|
2.7
|
|
NA
|
|
5.4
|
|
(1)
|
Investments in non-Agency RMBS and GSE CRT are included in residential credit.
|
(2)
|
Investments in CMBS, commercial loans and investments in unconsolidated joint ventures are included in commercial credit.
|
(3)
|
Cash and cash equivalents are allocated based on a percentage of equity for Agency RMBS, residential credit and commercial credit.
|
(4)
|
Derivative assets are allocated based on the hedging strategy for each class.
|
(5)
|
Secured loans are allocated based on amount of collateral pledged.
|
(6)
|
Net equity in unsecured assets and exchangeable senior notes includes commercial loans, investments in unconsolidated joint ventures, exchangeable senior notes and other.
|
(7)
|
Debt-to-equity ratio is calculated as the ratio of total debt (sum of repurchase agreements, secured loans and exchangeable senior notes) to total equity.
|
(8)
|
Repurchase agreement debt-to-equity ratio is calculated as the ratio of repurchase agreements to equity related to repurchase agreement debt.
|
|
63
|
|
|
64
|
|
|
Payments Due by Period
|
|||||||||||||
$ in thousands
|
Total
|
|
Less than 1
year
|
|
1-3 years
|
|
3-5 years
|
|
After 5
years
|
|||||
Repurchase agreements
|
14,088,838
|
|
|
14,088,838
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Secured loans
|
1,650,000
|
|
|
—
|
|
|
300,000
|
|
|
100,000
|
|
|
1,250,000
|
|
Exchangeable senior notes
|
157,822
|
|
|
157,822
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Total
(1)
|
15,896,660
|
|
|
14,246,660
|
|
|
300,000
|
|
|
100,000
|
|
|
1,250,000
|
|
(1)
|
Excluded from total contractual obligations are the amounts due to our Manager under the management agreement, as those obligations do not have fixed and determinable payments.
|
|
65
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||
|
2017
|
|
2017
|
||||||||||
|
Restricted Stock Units
|
|
Weighted Average Grant Date Fair Value
(1)
|
|
Restricted Stock Units
|
|
Weighted Average Grant Date Fair Value
(1)
|
||||||
Unvested at the beginning of the period
|
19,827
|
|
|
$
|
14.35
|
|
|
18,807
|
|
|
$
|
14.37
|
|
Shares granted during the period
|
—
|
|
|
—
|
|
|
8,115
|
|
|
15.55
|
|
||
Shares vested during the period
|
—
|
|
|
—
|
|
|
(7,095
|
)
|
|
15.78
|
|
||
Unvested at the end of the period
|
19,827
|
|
|
$
|
14.35
|
|
|
19,827
|
|
|
$
|
14.35
|
|
(1)
|
The grant date fair value of restricted stock awards is based on the closing market price of our common stock at the grant date.
|
|
66
|
|
ITEM 3.
|
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.
|
|
67
|
|
|
68
|
|
Change in Interest Rates
|
|
Percentage Change in Projected
Net Interest Income
|
|
Percentage Change in Projected
Portfolio Value
|
||
+1.00%
|
|
(21.95
|
)%
|
|
(1.62
|
)%
|
+0.50%
|
|
(7.07
|
)%
|
|
(0.58
|
)%
|
-0.50%
|
|
1.84
|
%
|
|
0.66
|
%
|
-1.00%
|
|
(4.40
|
)%
|
|
0.78
|
%
|
|
69
|
|
•
|
monitoring and adjusting, if necessary, the reset index and interest rate related to our target assets and our financings;
|
•
|
attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods;
|
•
|
using hedging instruments, primarily interest rate swap agreements but also financial futures, options, interest rate cap agreements, floors and forward sales to adjust the interest rate sensitivity of our target assets and our borrowings; and
|
•
|
actively managing, on an aggregate basis, the interest rate indices, interest rate adjustment periods, and gross reset margins of our target assets and the interest rate indices and adjustment periods of our financings.
|
|
70
|
|
ITEM 4.
|
CONTROLS AND PROCEDURES.
|
|
71
|
|
ITEM 1.
|
LEGAL PROCEEDINGS.
|
ITEM 1A.
|
RISK FACTORS.
|
ITEM 2.
|
UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS.
|
ITEM 3.
|
DEFAULTS UPON SENIOR SECURITIES.
|
|
72
|
|
ITEM 4.
|
MINE SAFETY DISCLOSURES.
|
ITEM 5.
|
OTHER INFORMATION.
|
ITEM 6.
|
EXHIBITS.
|
|
73
|
|
|
INVESCO MORTGAGE CAPITAL INC.
|
|
|
|
|
November 6, 2017
|
By:
|
/s/ John M. Anzalone
|
|
|
John M. Anzalone
|
|
|
Chief Executive Officer
|
|
|
|
November 6, 2017
|
By:
|
/s/ Richard Lee Phegley, Jr.
|
|
|
Richard Lee Phegley, Jr.
|
|
|
Chief Financial Officer
|
|
74
|
|
Exhibit
No.
|
|
Description
|
|
|
|
||
3.1
|
|
|
|
|
|
||
3.2
|
|
|
|
|
|
||
3.3
|
|
|
|
|
|
||
3.4
|
|
|
|
|
|
|
|
3.5
|
|
|
|
|
|
|
|
4.1
|
|
|
|
|
|
|
|
10.1
|
|
|
|
|
|
|
|
31.1
|
|
|
|
|
|
||
31.2
|
|
|
|
|
|
||
32.1
|
|
|
|
|
|
||
32.2
|
|
|
|
|
|
||
101
|
|
|
The following series of unaudited XBRL-formatted documents are collectively included herewith as Exhibit 101. The financial information is extracted from Invesco Mortgage Capital Inc.’s unaudited condensed consolidated interim financial statements and notes that are included in this Form 10-Q Report.
101.INS XBRL Instance Document
101.SCH XBRL Taxonomy Extension Schema Document
101.CAL XBRL Taxonomy Calculation Linkbase Document
101.LAB XBRL Taxonomy Label Linkbase Document
101.PRE XBRL Taxonomy Presentation Linkbase Document
101.DEF XBRL Taxonomy Definition Linkbase Document
|
|
75
|
|
|
Op Units
|
Series A Preferred
|
Series B Preferred
|
Series C Preferred
|
||||
Name and Address of Partner
|
Capital Contributions
(1)
|
Units
|
Capital Contributions
|
Preferred Units
|
Capital Contributions
|
Preferred Units
|
Capital Contributions
|
Preferred Units
|
GENERAL PARTNERS:
|
|
|
|
|
|
|
|
|
Invesco Mortgage Capital Inc.
|
$24,489,478
|
1,130,416
1.0%
|
$140,000,000
|
5,600,000
100%
|
$155,000,000
|
6,200,000
100%
|
$287,500,000
|
11,500,000
100%
|
|
|
|
|
|
|
|
|
|
LIMITED PARTNERS
|
|
|
|
|
|
|
|
|
Invesco Mortgage Capital Inc.
|
$2,424,458,305
|
110,486,135
97.7%
|
0
|
0%
|
0
|
0%
|
0
|
0%
|
|
|
|
|
|
|
|
|
|
Invesco Investments (Bermuda) Ltd.
|
$28,500,000
|
1,425,000
1.3%
|
0
|
0%
|
0
|
0%
|
0
|
0%
|
(1)
|
Subject to adjustment as provided in Section 4.1 of the Partnership Agreement.
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of Invesco Mortgage Capital Inc.;
|
2.
|
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;
|
3.
|
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;
|
4.
|
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:
|
a)
|
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;
|
b)
|
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;
|
c)
|
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
|
d)
|
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
|
5.
|
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 registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
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
|
b)
|
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.
|
/s/ John M. Anzalone
|
John M. Anzalone
|
Chief Executive Officer
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of Invesco Mortgage Capital Inc.;
|
2.
|
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;
|
3.
|
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;
|
4.
|
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:
|
a)
|
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;
|
b)
|
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;
|
c)
|
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
|
d)
|
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
|
5.
|
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 registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
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
|
b)
|
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.
|
/s/ Richard Lee Phegley, Jr.
|
Richard Lee Phegley, Jr.
|
Chief Financial Officer
|
1.
|
the Report fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934; and
|
2.
|
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ John M. Anzalone
|
John M. Anzalone
|
Chief Executive Officer
|
1.
|
the Report fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934; and
|
2.
|
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ Richard Lee Phegley, Jr.
|
Richard Lee Phegley, Jr.
|
Chief Financial Officer
|