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☒
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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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☐
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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
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30309
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Atlanta,
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Georgia
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(Address of principal executive offices)
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(Zip Code)
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Title of Each Class
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Trading Symbol
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Name of Each Exchange on Which Registered
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Common Stock, par value $0.01 per share
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IVR
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New York Stock Exchange
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7.75% Series A Cumulative Redeemable Preferred Stock
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IVRpA
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New York Stock Exchange
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7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock
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IVRpB
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New York Stock Exchange
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7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock
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IVRpC
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New York Stock Exchange
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Large accelerated filer
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☒
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Accelerated filer
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☐
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Non-accelerated filer
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☐
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Smaller reporting company
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☐
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Emerging growth company
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☐
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Item 1.
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Item 1A.
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Item 1B.
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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 7.
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Item 7A.
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Item 8.
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Item 9.
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Item 9A.
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Item 9B.
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Item 10.
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Item 11.
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Item 12.
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Item 13.
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Item 14.
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Item 15.
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Item 16.
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•
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our business and investment strategy;
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•
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our investment portfolio and expected investments;
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•
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our projected operating results;
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•
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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, 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;
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•
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the availability of financing sources, including our ability to obtain additional financing arrangements and the terms of such arrangements;
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•
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financing and advance rates for our target assets;
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•
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changes to our expected leverage;
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•
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our expected book value per diluted common share;
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•
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interest rate mismatches between our target assets and our borrowings used to fund such investments;
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•
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our ability to maintain sufficient liquidity to meet our short-term liquidity needs;
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•
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changes in the credit rating of the U.S. government;
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•
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changes in interest rates and interest rate spreads and the market value of our target assets;
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•
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changes in prepayment rates on our target assets;
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•
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the impact of any deficiencies in foreclosure practices of third parties and related uncertainty in the timing of collateral disposition;
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•
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our reliance on third parties in connection with services related to our target assets;
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•
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disruption of our information technology systems;
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•
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effects of hedging instruments on our target assets;
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•
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rates of default or decreased recovery rates on our target assets;
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•
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modifications to whole loans or loans underlying securities;
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•
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the degree to which our hedging strategies may or may not protect us from interest rate and foreign currency exchange rate volatility;
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•
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the degree to which derivative contracts expose us to contingent liabilities;
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•
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counterparty defaults;
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•
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compliance with financial covenants in our financing arrangements;
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•
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changes in governmental regulations, zoning, insurance, eminent domain and tax law and rates, and similar matters and our ability to respond to such changes;
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•
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our ability to maintain our qualification as a real estate investment trust for U.S. federal income tax purposes;
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1
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•
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our ability to maintain our exception from the definition of “investment company” under the Investment Company Act of 1940, as amended (the “1940 Act”);
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•
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availability of investment opportunities in mortgage-related, real estate-related and other securities;
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•
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availability of U.S. Government Agency guarantees with regard to payments of principal and interest on securities;
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•
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the market price and trading volume of our capital stock;
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•
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availability of qualified personnel of our Manager;
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•
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the relationship with our Manager;
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•
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estimates relating to taxable income and our ability to continue to make distributions to our stockholders in the future;
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•
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estimates relating to fair value of our target assets and loan loss reserves;
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•
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our understanding of our competition;
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•
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changes to generally accepted accounting principles in the United States of America (“U.S. GAAP”);
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•
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the adequacy of our disclosure controls and procedures and internal controls over financial reporting; and
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•
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market trends in our industry, interest rates, real estate values, the debt securities markets or the general economy.
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2
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•
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Residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association (“Ginnie Mae”) or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively “Agency RMBS”);
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•
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Commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively “Agency CMBS”);
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•
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RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency RMBS”);
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•
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CMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency CMBS”);
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•
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Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises (“GSE CRT”);
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•
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Residential and commercial mortgage loans; and
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•
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Other real estate-related financing arrangements.
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3
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4
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5
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6
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7
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8
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•
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no investment shall be made that would cause us to fail to qualify as a REIT for federal income tax purposes;
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•
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no investment shall be made that would cause us to be regulated as an investment company under the 1940 Act;
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•
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our assets will be invested within our target assets; and
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•
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until appropriate investments can be identified, our Manager may pay off short-term debt, or invest the proceeds of any offering in interest-bearing, short-term investments, including funds that are consistent with maintaining our REIT qualification.
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9
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10
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11
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12
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•
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If long-term rates increased significantly, the market value of our fixed-rate investments in our target assets would decline, and the duration and weighted average life of the investments may increase. We could realize a loss if the securities were sold. Further, declines in market value may reduce our book value per diluted common share and ultimately reduce earnings or result in losses to us.
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•
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An increase in short-term interest rates would increase the amount of interest owed on the repurchase agreements we enter into to finance the purchase of our investments.
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•
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If short-term interest rates rise disproportionately relative to longer-term interest rates (a flattening of the yield curve), our borrowing costs may increase more rapidly than the interest income earned on our assets. Because we expect our investments, on average, generally will bear interest based on longer-term rates than our borrowings, a flattening of the yield curve would tend to decrease our net income. Additionally, to the extent cash flows from investments that return scheduled and unscheduled principal are reinvested, the spread between the yields on the new investments and available borrowing rates may decline, which would likely decrease our net income.
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•
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If short-term interest rates exceed longer-term interest rates (a yield curve inversion), our borrowing costs may exceed our interest income and we could incur operating losses.
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•
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If interest rates fall, we may recognize losses on our derivative financial instruments that are not offset by gains on our assets, which may adversely affect our liquidity and financial position.
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•
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We may purchase RMBS that have a higher interest rate than the market interest rate at the time. In exchange for this higher interest rate, we may pay a premium over the par value to acquire the security. In accordance with U.S. GAAP,
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13
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•
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A substantial portion of our adjustable-rate RMBS may bear interest rates that are lower than their fully indexed rates, which are equivalent to the applicable index rate plus a margin. If an adjustable-rate RMBS is prepaid prior to or soon after the time of adjustment to a fully-indexed rate, we will have held that RMBS while it was least profitable and lost the opportunity to receive interest at the fully indexed rate over the remainder of its expected life.
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•
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If we are unable to acquire new RMBS at similar yields to the prepaid RMBS, our financial condition, results of operations and cash flow would suffer. Prepayment rates generally increase when interest rates fall and decrease when interest rates rise, but changes in prepayment rates are difficult to predict. Prepayment rates also may be affected by conditions in the housing and financial markets, general economic conditions and the relative interest rates on FRMs and ARMs.
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14
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15
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16
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17
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18
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19
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•
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interest rate and/or currency hedging can be expensive, particularly during periods of rising and volatile markets;
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•
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available interest rate hedges may not correspond directly with the interest rate risk for which protection is sought;
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•
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the duration of the hedges may not match the duration of the liabilities;
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•
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the amount of income that a REIT may earn from hedging transactions (other than hedging transactions that satisfy certain requirements of the Internal Revenue Code or that are done through a taxable REIT subsidiary (“TRS”)) to offset interest rate losses is limited by U.S. federal tax provisions governing REITs;
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•
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the credit quality of the hedging counterparty owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
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20
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21
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22
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23
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|
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24
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|
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25
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|
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26
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27
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28
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29
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30
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31
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32
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33
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Index
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12/31/2014
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12/31/2015
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12/31/2016
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12/31/2017
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12/31/2018
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12/31/2019
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Invesco Mortgage Capital Inc.
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100.00
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90.23
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119.23
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160.44
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145.16
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187.03
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S&P 500
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100.00
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101.38
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113.51
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138.29
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132.23
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173.86
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FTSE NAREIT Mortgage REITs
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100.00
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91.12
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111.95
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134.10
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130.71
|
158.60
|
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34
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As of December 31,
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$ in thousands
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2019
|
|
2018
|
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2017
|
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2016
|
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2015
|
|||||
Mortgage-backed and credit risk transfer securities, at fair value
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21,771,786
|
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|
17,396,642
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|
|
18,190,754
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|
14,981,331
|
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|
16,065,935
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Commercial loans, held-for-investment (1)
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24,055
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|
|
31,582
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|
|
191,808
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|
|
273,355
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|
|
209,062
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|
Total assets
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22,346,545
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|
|
17,813,505
|
|
|
18,657,256
|
|
|
15,706,238
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|
|
16,767,309
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Repurchase agreements
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17,532,303
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|
|
13,602,484
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|
|
14,080,801
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|
11,160,669
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|
|
12,126,048
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Secured loans
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1,650,000
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|
|
1,650,000
|
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|
1,650,000
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|
|
1,650,000
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|
1,650,000
|
|
Exchangeable senior notes
|
—
|
|
|
—
|
|
|
143,231
|
|
|
397,041
|
|
|
394,573
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|
Total stockholders’ equity
|
2,931,899
|
|
|
2,286,697
|
|
|
2,630,491
|
|
|
2,241,560
|
|
|
2,241,035
|
|
Non-controlling interest
|
—
|
|
|
—
|
|
|
26,387
|
|
|
28,624
|
|
|
25,873
|
|
Total equity
|
2,931,899
|
|
|
2,286,697
|
|
|
2,656,878
|
|
|
2,270,184
|
|
|
2,266,908
|
|
|
35
|
|
|
For the Years ended December 31,
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$ in thousands, except share amounts
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2019
|
|
2018
|
|
2017
|
|
2016
|
|
2015
|
|||||
Interest income
|
778,367
|
|
|
643,016
|
|
|
545,055
|
|
|
478,682
|
|
|
650,132
|
|
Interest expense
|
472,320
|
|
|
338,868
|
|
|
196,591
|
|
|
157,354
|
|
|
277,973
|
|
Net interest income
|
306,047
|
|
|
304,148
|
|
|
348,464
|
|
|
321,328
|
|
|
372,159
|
|
(Reduction in) provision for loan losses
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(213
|
)
|
Net interest income after provision for loan losses
|
306,047
|
|
|
304,148
|
|
|
348,464
|
|
|
321,328
|
|
|
372,372
|
|
Other income (loss)
|
104,228
|
|
|
(326,892
|
)
|
|
49,339
|
|
|
(21,824
|
)
|
|
(203,697
|
)
|
Total expenses
|
46,174
|
|
|
47,792
|
|
|
44,746
|
|
|
41,806
|
|
|
54,620
|
|
Net income (loss)
|
364,101
|
|
|
(70,536
|
)
|
|
353,057
|
|
|
257,698
|
|
|
114,055
|
|
Net income (loss) attributable to non-controlling interest
|
—
|
|
|
254
|
|
|
4,450
|
|
|
3,287
|
|
|
1,344
|
|
Net income (loss) attributable to Invesco Mortgage Capital Inc.
|
364,101
|
|
|
(70,790
|
)
|
|
348,607
|
|
|
254,411
|
|
|
112,711
|
|
Dividends to preferred stockholders
|
44,426
|
|
|
44,426
|
|
|
28,080
|
|
|
22,864
|
|
|
22,864
|
|
Net income (loss) attributable to common stockholders
|
319,675
|
|
|
(115,216
|
)
|
|
320,527
|
|
|
231,547
|
|
|
89,847
|
|
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|||||
Net income (loss) attributable to common stockholders
|
|
|
|
|
|
|
|
|
|
|||||
Basic
|
2.42
|
|
|
(1.03
|
)
|
|
2.87
|
|
|
2.07
|
|
|
0.74
|
|
Diluted
|
2.42
|
|
|
(1.03
|
)
|
|
2.75
|
|
|
1.98
|
|
|
0.74
|
|
Dividends declared per common share
|
1.85
|
|
|
1.68
|
|
|
1.63
|
|
|
1.60
|
|
|
1.70
|
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|
|
|
|
|||||
Basic
|
132,305,568
|
|
|
111,637,035
|
|
|
111,610,393
|
|
|
111,973,404
|
|
|
121,377,585
|
|
Diluted
|
132,317,853
|
|
|
111,637,035
|
|
|
123,040,827
|
|
|
130,254,003
|
|
|
122,843,838
|
|
•
|
Residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association (“Ginnie Mae”) or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively “Agency RMBS”);
|
•
|
Commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac”) (collectively “Agency CMBS”);
|
•
|
RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency RMBS”);
|
•
|
CMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency CMBS”);
|
|
36
|
|
•
|
Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises (“GSE CRT”);
|
•
|
Residential and commercial mortgage loans; and
|
•
|
Other real estate-related financing arrangements.
|
•
|
a dividend of $0.50 per share of common stock payable on January 28, 2020 to stockholders of record as of the close of business on December 27, 2019;
|
•
|
a dividend of $0.4844 per share of Series A Preferred Stock payable on January 27, 2020 to stockholders of record as of the close of business on January 1, 2020;
|
|
37
|
|
|
38
|
|
|
As of December 31,
|
||||
|
2019
|
|
2018
|
||
Agency RMBS
|
44
|
%
|
|
46
|
%
|
Agency CMBS
|
16
|
%
|
|
3
|
%
|
Commercial Credit (1)
|
28
|
%
|
|
33
|
%
|
Residential Credit (2)
|
12
|
%
|
|
18
|
%
|
Total
|
100
|
%
|
|
100
|
%
|
(1)
|
Commercial credit includes non-Agency CMBS, Multifamily GSE CRTs, commercial loans and investments in unconsolidated ventures.
|
(2)
|
Residential credit includes non-Agency RMBS, Single Family GSE CRTs and a loan participation interest.
|
$ in thousands
|
As of December 31,
|
||||
|
2019
|
|
2018
|
||
Agency RMBS:
|
|
|
|
||
30 year fixed-rate, at fair value
|
10,524,220
|
|
|
9,772,769
|
|
15 year fixed-rate, at fair value
|
292,414
|
|
|
424,254
|
|
Hybrid ARM, at fair value
|
56,893
|
|
|
659,948
|
|
Agency CMO, at fair value
|
427,512
|
|
|
267,691
|
|
Agency CMBS, at fair value
|
4,767,930
|
|
|
1,002,510
|
|
Non-Agency CMBS, at fair value
|
3,823,474
|
|
|
3,286,459
|
|
Non-Agency RMBS, at fair value
|
955,671
|
|
|
1,163,682
|
|
GSE CRT, at fair value
|
923,672
|
|
|
819,329
|
|
Loan participation interest, at fair value
|
44,654
|
|
|
54,981
|
|
Commercial loans, at amortized cost
|
24,055
|
|
|
31,582
|
|
Investments in unconsolidated ventures
|
21,998
|
|
|
24,012
|
|
Total investment portfolio
|
21,862,493
|
|
|
17,507,217
|
|
|
39
|
|
|
40
|
|
|
|
2003-2007
|
|
|
2008-2010
|
|
|
2011
|
|
2012
|
|
2013
|
|
2014
|
|
2015
|
|
2016
|
|
2017
|
|
2018
|
|
2019
|
|
Total
|
||||||||||
Prime
|
|
16.7
|
%
|
|
0.7
|
%
|
|
—
|
%
|
|
—
|
%
|
|
14.1
|
%
|
|
7.0
|
%
|
|
—
|
%
|
|
0.4
|
%
|
|
—
|
%
|
|
15.3
|
%
|
|
8.8
|
%
|
|
63.0
|
%
|
Alt-A
|
|
28.4
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
28.4
|
%
|
Re-REMIC (1)
|
|
0.6
|
%
|
|
4.3
|
%
|
|
1.7
|
%
|
|
1.3
|
%
|
|
0.6
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
8.5
|
%
|
Subprime/reperforming
|
|
0.1
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
Total Non-Agency RMBS
|
|
45.8
|
%
|
|
5.0
|
%
|
|
1.7
|
%
|
|
1.3
|
%
|
|
14.7
|
%
|
|
7.0
|
%
|
|
—
|
%
|
|
0.4
|
%
|
|
—
|
%
|
|
15.3
|
%
|
|
8.8
|
%
|
|
100.0
|
%
|
GSE CRT
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
23.0
|
%
|
|
28.5
|
%
|
|
4.3
|
%
|
|
18.3
|
%
|
|
3.2
|
%
|
|
5.8
|
%
|
|
16.9
|
%
|
|
100.0
|
%
|
Non-Agency CMBS
|
|
—
|
%
|
|
2.2
|
%
|
|
14.5
|
%
|
|
10.0
|
%
|
|
12.0
|
%
|
|
29.1
|
%
|
|
7.2
|
%
|
|
5.6
|
%
|
|
8.6
|
%
|
|
5.5
|
%
|
|
5.3
|
%
|
|
100.0
|
%
|
(1)
|
Reflects the year in which the resecuritizations were issued. The vintage distribution of the securities that collateralize our Re-REMIC investments is 4.3% for 2005, 0.4% for 2006 and 95.3% for 2007.
|
|
Percentage of Re-REMIC
Holdings at Fair Value
|
||||
Re-REMIC Subordination(1)
|
December 31, 2019
|
|
December 31, 2018
|
||
0% - 10%
|
57.1
|
%
|
|
49.8
|
%
|
10% - 20%
|
2.7
|
%
|
|
3.4
|
%
|
20% - 30%
|
19.6
|
%
|
|
16.9
|
%
|
30% - 40%
|
10.1
|
%
|
|
14.9
|
%
|
40% - 50%
|
0.2
|
%
|
|
1.8
|
%
|
50% - 60%
|
10.3
|
%
|
|
12.5
|
%
|
60% - 70%
|
—
|
%
|
|
0.7
|
%
|
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. As of December 31, 2019, 76.8% of our Re-REMIC holdings are not senior tranches.
|
|
41
|
|
Non-Agency RMBS
State
|
|
Percentage
|
|
GSE CRT
State
|
|
Percentage
|
|
Non-Agency CMBS
State
|
|
Percentage
|
|||
California
|
|
44.4
|
%
|
|
California
|
|
18.0
|
%
|
|
California
|
|
14.9
|
%
|
New York
|
|
8.5
|
%
|
|
Texas
|
|
6.5
|
%
|
|
New York
|
|
14.9
|
%
|
Florida
|
|
6.4
|
%
|
|
Florida
|
|
5.0
|
%
|
|
Texas
|
|
8.7
|
%
|
New Jersey
|
|
3.9
|
%
|
|
New York
|
|
4.7
|
%
|
|
Florida
|
|
6.3
|
%
|
Virginia
|
|
3.1
|
%
|
|
Virginia
|
|
4.0
|
%
|
|
Illinois
|
|
4.6
|
%
|
Washington
|
|
2.9
|
%
|
|
Illinois
|
|
3.7
|
%
|
|
New Jersey
|
|
3.7
|
%
|
Maryland
|
|
2.8
|
%
|
|
Washington
|
|
3.5
|
%
|
|
Pennsylvania
|
|
3.6
|
%
|
Colorado
|
|
2.7
|
%
|
|
New Jersey
|
|
3.2
|
%
|
|
Ohio
|
|
3.2
|
%
|
Massachusetts
|
|
2.7
|
%
|
|
Massachusetts
|
|
3.1
|
%
|
|
Virginia
|
|
3.0
|
%
|
Illinois
|
|
2.4
|
%
|
|
Pennsylvania
|
|
3.1
|
%
|
|
Michigan
|
|
2.9
|
%
|
Other
|
|
20.2
|
%
|
|
Other
|
|
45.2
|
%
|
|
Other
|
|
34.2
|
%
|
Total
|
|
100.0
|
%
|
|
|
|
100.0
|
%
|
|
Total
|
|
100.0
|
%
|
$ in thousands
|
Collateralized borrowings under repurchase agreements and secured loans
|
|||||||
Quarter Ended
|
Quarter-end balance
|
|
Average quarterly balance
|
|
Maximum balance
|
|||
March 31, 2018
|
15,561,137
|
|
|
15,536,093
|
|
|
15,561,137
|
|
June 30, 2018
|
15,352,321
|
|
|
15,275,972
|
|
|
15,352,321
|
|
September 30, 2018
|
16,028,518
|
|
|
15,973,428
|
|
|
16,078,388
|
|
December 31, 2018
|
15,252,484
|
|
|
15,836,597
|
|
|
16,144,062
|
|
March 31, 2019
|
18,474,387
|
|
|
17,229,809
|
|
|
18,474,387
|
|
June 30, 2019
|
18,725,065
|
|
|
19,019,503
|
|
|
19,365,413
|
|
September 30, 2019
|
19,722,032
|
|
|
19,535,263
|
|
|
19,898,863
|
|
December 31, 2019
|
19,182,303
|
|
|
19,842,868
|
|
|
20,377,801
|
|
|
42
|
|
•
|
available interest rate hedging may not correspond directly with the interest rate risk for which protection is sought;
|
•
|
the duration of the hedges may not match the duration of the related liabilities;
|
•
|
our counterparty in the hedging transaction may default on its obligation to pay;
|
•
|
the credit quality of our counterparty on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
|
•
|
the value of derivatives used for hedging may be adjusted from time-to-time in accordance with accounting rules to reflect changes in fair value.
|
|
43
|
|
|
Years Ended December 31,
|
|||||||
In thousands except per share amounts
|
2019
|
|
2018
|
|
2017
|
|||
Numerator (adjusted equity):
|
|
|
|
|
|
|||
Total equity
|
2,931,899
|
|
|
2,286,697
|
|
|
2,656,878
|
|
Less: Liquidation preference of Series A Preferred Stock
|
(140,000
|
)
|
|
(140,000
|
)
|
|
(140,000
|
)
|
Less: Liquidation preference of Series B Preferred Stock
|
(155,000
|
)
|
|
(155,000
|
)
|
|
(155,000
|
)
|
Less: Liquidation preference of Series C Preferred Stock
|
(287,500
|
)
|
|
(287,500
|
)
|
|
(287,500
|
)
|
Total adjusted equity
|
2,349,399
|
|
|
1,704,197
|
|
|
2,074,378
|
|
|
|
|
|
|
|
|||
Denominator (number of shares - diluted):
|
|
|
|
|
|
|||
Common stock outstanding
|
144,256
|
|
|
111,585
|
|
|
111,624
|
|
Non-controlling interest OP units (1)
|
—
|
|
|
—
|
|
|
1,425
|
|
Number of shares - diluted
|
144,256
|
|
|
111,585
|
|
|
113,049
|
|
|
|
|
|
|
|
|||
Book value per diluted common share
|
16.29
|
|
|
15.27
|
|
|
18.35
|
|
(1)
|
The Company redeemed all OP Units of the non-controlling interest holder in November 2018 as discussed in Note 14 - "Non-Controlling Interest - Operating Partnership".
|
|
44
|
|
|
45
|
|
|
46
|
|
|
Years Ended December 31,
|
|||||||
$ in thousands except share data
|
2019
|
|
2018
|
|
2017
|
|||
Interest Income
|
|
|
|
|
|
|||
Mortgage-backed and credit risk transfer securities
|
772,657
|
|
|
631,478
|
|
|
521,547
|
|
Commercial and other loans
|
5,710
|
|
|
11,538
|
|
|
23,508
|
|
Total interest income
|
778,367
|
|
|
643,016
|
|
|
545,055
|
|
Interest Expense
|
|
|
|
|
|
|||
Repurchase agreements
|
430,697
|
|
|
301,794
|
|
|
163,881
|
|
Secured loans
|
41,623
|
|
|
35,453
|
|
|
19,370
|
|
Exchangeable senior notes
|
—
|
|
|
1,621
|
|
|
13,340
|
|
Total interest expense
|
472,320
|
|
|
338,868
|
|
|
196,591
|
|
Net interest income
|
306,047
|
|
|
304,148
|
|
|
348,464
|
|
Other income (loss)
|
|
|
|
|
|
|||
Gain (loss) on investments, net
|
624,466
|
|
|
(327,700
|
)
|
|
(19,704
|
)
|
Equity in earnings (losses) of unconsolidated ventures
|
2,224
|
|
|
3,402
|
|
|
(1,327
|
)
|
Gain (loss) on derivative instruments, net
|
(534,755
|
)
|
|
(5,277
|
)
|
|
18,155
|
|
Realized and unrealized credit derivative income (loss), net
|
8,343
|
|
|
(151
|
)
|
|
51,648
|
|
Net loss on extinguishment of debt
|
—
|
|
|
(26
|
)
|
|
(6,814
|
)
|
Other investment income (loss), net
|
3,950
|
|
|
2,860
|
|
|
7,381
|
|
Total other income (loss)
|
104,228
|
|
|
(326,892
|
)
|
|
49,339
|
|
Expenses
|
|
|
|
|
|
|||
Management fee — related party
|
38,173
|
|
|
40,722
|
|
|
37,556
|
|
General and administrative
|
8,001
|
|
|
7,070
|
|
|
7,190
|
|
Total expenses
|
46,174
|
|
|
47,792
|
|
|
44,746
|
|
Net income (loss)
|
364,101
|
|
|
(70,536
|
)
|
|
353,057
|
|
Net income (loss) attributable to non-controlling interest
|
—
|
|
|
254
|
|
|
4,450
|
|
Net income (loss) attributable to Invesco Mortgage Capital Inc.
|
364,101
|
|
|
(70,790
|
)
|
|
348,607
|
|
Dividends to preferred stockholders
|
44,426
|
|
|
44,426
|
|
|
28,080
|
|
Net income (loss) attributable to common stockholders
|
319,675
|
|
|
(115,216
|
)
|
|
320,527
|
|
Earnings (loss) per share:
|
|
|
|
|
|
|||
Net income (loss) attributable to common stockholders
|
|
|
|
|
|
|||
Basic
|
2.42
|
|
|
(1.03
|
)
|
|
2.87
|
|
Diluted
|
2.42
|
|
|
(1.03
|
)
|
|
2.75
|
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|||
Basic
|
132,305,568
|
|
|
111,637,035
|
|
|
111,610,393
|
|
Diluted
|
132,317,853
|
|
|
111,637,035
|
|
|
123,040,827
|
|
|
47
|
|
|
As of and for the Years Ended
|
|||||||
|
December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Average Earning Asset Balances (1):
|
|
|
|
|
|
|||
Agency RMBS:
|
|
|
|
|
|
|||
15 year fixed-rate, at amortized cost
|
328,404
|
|
|
1,911,511
|
|
|
3,297,267
|
|
30 year fixed-rate, at amortized cost
|
11,757,662
|
|
|
8,867,942
|
|
|
5,874,757
|
|
Hybrid ARM, at amortized cost
|
129,396
|
|
|
1,531,077
|
|
|
2,237,032
|
|
Agency-CMO, at amortized cost
|
378,253
|
|
|
258,457
|
|
|
302,060
|
|
Agency CMBS, at amortized cost
|
2,522,256
|
|
|
339,816
|
|
|
—
|
|
Non-Agency CMBS, at amortized cost
|
3,532,202
|
|
|
3,226,174
|
|
|
2,818,244
|
|
Non-Agency RMBS, at amortized cost
|
980,775
|
|
|
1,055,682
|
|
|
1,441,527
|
|
GSE CRT, at amortized cost
|
863,080
|
|
|
767,220
|
|
|
784,203
|
|
Commercial loans, at amortized cost
|
25,007
|
|
|
110,461
|
|
|
270,314
|
|
Loan participation interest
|
49,220
|
|
|
20,503
|
|
|
—
|
|
Average earning assets
|
20,566,255
|
|
|
18,088,843
|
|
|
17,025,404
|
|
|
|
|
|
|
|
|||
Average Earning Asset Yields (2):
|
|
|
|
|
|
|||
Agency RMBS:
|
|
|
|
|
|
|||
15 year fixed-rate
|
3.34
|
%
|
|
2.23
|
%
|
|
1.98
|
%
|
30 year fixed-rate
|
3.26
|
%
|
|
3.09
|
%
|
|
2.79
|
%
|
Hybrid ARM
|
3.27
|
%
|
|
2.40
|
%
|
|
2.27
|
%
|
Agency-CMO
|
3.41
|
%
|
|
3.01
|
%
|
|
1.54
|
%
|
Agency CMBS
|
3.32
|
%
|
|
3.30
|
%
|
|
—
|
%
|
Non-Agency CMBS
|
5.06
|
%
|
|
4.91
|
%
|
|
4.50
|
%
|
Non-Agency RMBS
|
6.73
|
%
|
|
7.11
|
%
|
|
6.22
|
%
|
GSE CRT (3)
|
3.39
|
%
|
|
3.40
|
%
|
|
2.58
|
%
|
Commercial loans
|
10.90
|
%
|
|
9.54
|
%
|
|
8.70
|
%
|
Loan participation interest
|
6.04
|
%
|
|
6.10
|
%
|
|
—
|
%
|
Average earning asset yields
|
3.78
|
%
|
|
3.55
|
%
|
|
3.20
|
%
|
(1)
|
Average balances for each period are based on weighted month-end average earning assets.
|
(2)
|
Average earning asset yields for the period were calculated by dividing interest income, including amortization of premiums and discounts, by the average month-end earning assets based on the amortized cost of the investments. All yields are annualized.
|
(3)
|
GSE CRT average earning asset yields exclude 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.
|
|
48
|
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Interest Income
|
|
|
|
|
|
|||
MBS and GSE CRT - coupon interest
|
833,376
|
|
|
689,240
|
|
|
616,697
|
|
MBS and GSE CRT - net premium amortization
|
(60,719
|
)
|
|
(57,762
|
)
|
|
(95,150
|
)
|
MBS and GSE CRT - interest income
|
772,657
|
|
|
631,478
|
|
|
521,547
|
|
Commercial and other loans
|
5,710
|
|
|
11,538
|
|
|
23,508
|
|
Total interest income
|
778,367
|
|
|
643,016
|
|
|
545,055
|
|
|
49
|
|
|
Three Months Ended
|
||||||||||
|
December 31,
2019 |
|
September 30,
2019 |
|
June 30,
2019 |
|
March 31,
2019 |
||||
15 year fixed-rate Agency RMBS
|
12.5
|
|
|
12.3
|
|
|
11.1
|
|
|
7.1
|
|
30 year fixed-rate Agency RMBS
|
18.1
|
|
|
13.8
|
|
|
8.5
|
|
|
4.9
|
|
Hybrid ARM RMBS
|
28.7
|
|
|
29.2
|
|
|
18.2
|
|
|
15.7
|
|
Non-Agency RMBS
|
17.2
|
|
|
16.1
|
|
|
11.4
|
|
|
8.3
|
|
GSE CRT
|
20.1
|
|
|
15.0
|
|
|
9.8
|
|
|
6.6
|
|
Weighted average CPR
|
18.1
|
|
|
14.1
|
|
|
9.0
|
|
|
5.7
|
|
|
Three Months Ended
|
|||||||||
|
December 31,
2018 |
|
September 30,
2018 |
|
June 30,
2018 |
|
March 31,
2018 |
|||
15 year fixed-rate Agency RMBS
|
8.8
|
|
|
10.9
|
|
|
10.6
|
|
|
9.2
|
30 year fixed-rate Agency RMBS
|
6.2
|
|
|
7.4
|
|
|
8.2
|
|
|
7.1
|
Hybrid ARM RMBS
|
13.8
|
|
|
16.6
|
|
|
15.7
|
|
|
14.4
|
Non-Agency RMBS
|
9.1
|
|
|
10.5
|
|
|
12.0
|
|
|
11.6
|
GSE CRT
|
8.7
|
|
|
10.9
|
|
|
9.8
|
|
|
9.5
|
Weighted average CPR
|
7.3
|
|
|
8.9
|
|
|
10.2
|
|
|
9.2
|
|
Three Months Ended
|
||||||||||
|
December 31,
2017 |
|
September 30,
2017 |
|
June 30,
2017 |
|
March 31,
2017 |
||||
15 year fixed-rate Agency RMBS
|
9.3
|
|
|
10.2
|
|
|
9.5
|
|
|
8.1
|
|
30 year fixed-rate Agency RMBS
|
7.9
|
|
|
9.3
|
|
|
9.2
|
|
|
10.8
|
|
Hybrid ARM RMBS
|
14.9
|
|
|
18.6
|
|
|
16.3
|
|
|
15.7
|
|
Non-Agency RMBS
|
11.8
|
|
|
15.3
|
|
|
12.6
|
|
|
13.3
|
|
GSE CRT
|
11.8
|
|
|
12.4
|
|
|
9.7
|
|
|
13.1
|
|
Weighted average CPR
|
9.9
|
|
|
12.2
|
|
|
11.2
|
|
|
11.7
|
|
|
50
|
|
|
For the Years Ended
|
|||||||
|
December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Interest Expense
|
|
|
|
|
|
|||
Interest expense on repurchase agreement borrowings
|
454,426
|
|
|
327,633
|
|
|
189,425
|
|
Amortization of net deferred (gain) loss on de-designated interest rate swaps
|
(23,729
|
)
|
|
(25,839
|
)
|
|
(25,544
|
)
|
Repurchase agreements interest expense
|
430,697
|
|
|
301,794
|
|
|
163,881
|
|
Secured loans
|
41,623
|
|
|
35,453
|
|
|
19,370
|
|
Exchangeable senior notes
|
—
|
|
|
1,621
|
|
|
13,340
|
|
Total interest expense
|
472,320
|
|
|
338,868
|
|
|
196,591
|
|
|
51
|
|
|
52
|
|
(1)
|
Average borrowings for each period are based on weighted month-end balances.
|
(2)
|
Agency RMBS and non-Agency 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”.
|
|
53
|
|
|
For the Years Ended
|
|||||||
|
December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Interest Income
|
|
|
|
|
|
|||
Mortgage-backed and credit risk transfer securities
|
772,657
|
|
|
631,478
|
|
|
521,547
|
|
Commercial and other loans
|
5,710
|
|
|
11,538
|
|
|
23,508
|
|
Total interest income
|
778,367
|
|
|
643,016
|
|
|
545,055
|
|
Interest Expense
|
|
|
|
|
|
|||
Interest expense on repurchase agreement borrowings
|
454,426
|
|
|
327,633
|
|
|
189,425
|
|
Amortization of net deferred (gain) loss on de-designated interest rate swaps
|
(23,729
|
)
|
|
(25,839
|
)
|
|
(25,544
|
)
|
Repurchase agreements interest expense
|
430,697
|
|
|
301,794
|
|
|
163,881
|
|
Secured loans
|
41,623
|
|
|
35,453
|
|
|
19,370
|
|
Exchangeable senior notes
|
—
|
|
|
1,621
|
|
|
13,340
|
|
Total interest expense
|
472,320
|
|
|
338,868
|
|
|
196,591
|
|
Net interest income
|
306,047
|
|
|
304,148
|
|
|
348,464
|
|
Net interest rate margin
|
1.26
|
%
|
|
1.39
|
%
|
|
1.87
|
%
|
|
54
|
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Net realized gains (losses) on sale of investments
|
8,039
|
|
|
(218,136
|
)
|
|
(1,665
|
)
|
Other-than-temporary impairment losses
|
(7,731
|
)
|
|
(7,846
|
)
|
|
(11,962
|
)
|
Net unrealized gains (losses) on MBS accounted for under the fair value option
|
626,104
|
|
|
(95,327
|
)
|
|
(21,368
|
)
|
Net unrealized gains (losses) on GSE CRT accounted for under the fair value option
|
(1,946
|
)
|
|
(6,370
|
)
|
|
15,269
|
|
Net unrealized gains (losses on trading securities)
|
—
|
|
|
(21
|
)
|
|
22
|
|
Total gain (loss) on investments, net
|
624,466
|
|
|
(327,700
|
)
|
|
(19,704
|
)
|
|
55
|
|
$ in thousands
|
Year ended December 31, 2019
|
||||||||||
Derivative
not designated as
hedging instrument
|
Realized gain (loss) on derivative instruments, net
|
|
Contractual net
interest income (expense)
|
|
Unrealized
gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
(440,626
|
)
|
|
35,840
|
|
|
18,826
|
|
|
(385,960
|
)
|
Futures Contracts
|
(157,929
|
)
|
|
—
|
|
|
7,836
|
|
|
(150,093
|
)
|
Currency Forward Contracts
|
1,478
|
|
|
—
|
|
|
(180
|
)
|
|
1,298
|
|
Total
|
(597,077
|
)
|
|
35,840
|
|
|
26,482
|
|
|
(534,755
|
)
|
$ in thousands
|
Year ended December 31, 2018
|
||||||||||
Derivative
not designated as
hedging instrument
|
Realized gain (loss) on derivative instruments, net
|
|
Contractual net
interest income (expense) |
|
Unrealized
gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
81,417
|
|
|
(20,015
|
)
|
|
24,358
|
|
|
85,760
|
|
Futures Contracts
|
(86,318
|
)
|
|
—
|
|
|
(7,836
|
)
|
|
(94,154
|
)
|
Currency Forward Contracts
|
2,088
|
|
|
—
|
|
|
1,046
|
|
|
3,134
|
|
TBAs
|
(17
|
)
|
|
—
|
|
|
—
|
|
|
(17
|
)
|
Total
|
(2,830
|
)
|
|
(20,015
|
)
|
|
17,568
|
|
|
(5,277
|
)
|
$ in thousands
|
Year ended December 31, 2017
|
||||||||||
Derivative
not designated as hedging instrument |
Realized gain (loss) on derivative instruments, net
|
|
Contractual net
interest income (expense) |
|
Unrealized
gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
72,894
|
|
|
(77,076
|
)
|
|
28,316
|
|
|
24,134
|
|
Currency Forward Contracts
|
(5,056
|
)
|
|
—
|
|
|
(923
|
)
|
|
(5,979
|
)
|
Total
|
67,838
|
|
|
(77,076
|
)
|
|
27,393
|
|
|
18,155
|
|
$ in thousands
|
December 31, 2019
|
|
December 31, 2018
|
||||||||||||||||||
Derivative instrument
|
Notional Amounts
|
|
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
|
14,000,000
|
|
|
1.47
|
%
|
|
1.79
|
%
|
|
5.2
|
|
12,370,000
|
|
|
2.46
|
%
|
|
2.55
|
%
|
|
3.7
|
|
56
|
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
GSE CRT embedded derivative coupon interest
|
20,833
|
|
|
22,478
|
|
|
23,343
|
|
Change in fair value of GSE CRT embedded derivatives
|
(12,490
|
)
|
|
(22,629
|
)
|
|
28,305
|
|
Total realized and unrealized credit derivative income (loss), net
|
8,343
|
|
|
(151
|
)
|
|
51,648
|
|
|
57
|
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Dividend income
|
3,944
|
|
|
3,790
|
|
|
3,247
|
|
Gain (loss) on foreign currency transactions, net
|
6
|
|
|
(930
|
)
|
|
4,134
|
|
Total
|
3,950
|
|
|
2,860
|
|
|
7,381
|
|
|
58
|
|
•
|
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 yields),
|
•
|
total interest expense (and by calculation, cost of funds),
|
•
|
net interest income (and by calculation, net interest rate margin), and
|
•
|
debt-to-equity ratio.
|
|
59
|
|
|
Years Ended December 31,
|
|||||||
$ in thousands, except per share data
|
2019
|
|
2018
|
|
2017
|
|||
Net income (loss) attributable to common stockholders
|
319,675
|
|
|
(115,216
|
)
|
|
320,527
|
|
Adjustments:
|
|
|
|
|
|
|||
(Gain) loss on investments, net
|
(624,466
|
)
|
|
327,700
|
|
|
19,704
|
|
Realized (gain) loss on derivative instruments, net (1)
|
597,077
|
|
|
2,830
|
|
|
(67,838
|
)
|
Unrealized (gain) loss on derivative instruments, net (1)
|
(26,482
|
)
|
|
(17,568
|
)
|
|
(27,393
|
)
|
Realized and unrealized (gain) loss on GSE CRT embedded derivatives, net (2)
|
12,490
|
|
|
22,629
|
|
|
(28,305
|
)
|
(Gain) loss on foreign currency transactions, net (3)
|
(6
|
)
|
|
930
|
|
|
(4,134
|
)
|
Amortization of net deferred (gain) loss on de-designated interest rate swaps (4)
|
(23,729
|
)
|
|
(25,839
|
)
|
|
(25,544
|
)
|
Net loss on extinguishment of debt
|
—
|
|
|
26
|
|
|
6,814
|
|
Subtotal
|
(65,116
|
)
|
|
310,708
|
|
|
(126,696
|
)
|
Cumulative adjustments attributable to non-controlling interest
|
—
|
|
|
(2,536
|
)
|
|
1,597
|
|
Preferred stock dividend declared but not accumulated (5)
|
—
|
|
|
—
|
|
|
(2,870
|
)
|
Core earnings attributable to common stockholders
|
254,559
|
|
|
192,956
|
|
|
192,558
|
|
Basic earnings (loss) per common share
|
2.42
|
|
|
(1.03
|
)
|
|
2.87
|
|
Core earnings per share attributable to common stockholders (6)
|
1.92
|
|
|
1.73
|
|
|
1.73
|
|
(1)
|
U.S. GAAP gain (loss) on derivative instruments, net on the consolidated statements of operations includes the following components:
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Realized gain (loss) on derivative instruments, net
|
(597,077
|
)
|
|
(2,830
|
)
|
|
67,838
|
|
Unrealized gain (loss) on derivative instruments, net
|
26,482
|
|
|
17,568
|
|
|
27,393
|
|
Contractual net interest income (expense) on interest rate swaps
|
35,840
|
|
|
(20,015
|
)
|
|
(77,076
|
)
|
Gain (loss) on derivative instruments, net
|
(534,755
|
)
|
|
(5,277
|
)
|
|
18,155
|
|
|
60
|
|
(2)
|
U.S. GAAP realized and unrealized credit derivative income (loss), net on the consolidated statements of operations includes the following components:
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Realized and unrealized gain (loss) on GSE CRT embedded derivatives, net
|
(12,490
|
)
|
|
(22,629
|
)
|
|
28,305
|
|
GSE CRT embedded derivative coupon interest
|
20,833
|
|
|
22,478
|
|
|
23,343
|
|
Realized and unrealized credit derivative income (loss), net
|
8,343
|
|
|
(151
|
)
|
|
51,648
|
|
(3)
|
U.S. GAAP other investment income (loss), net on the consolidated statements of operations includes the following components:
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Dividend income
|
3,944
|
|
|
3,790
|
|
|
3,247
|
|
Gain (loss) on foreign currency transactions, net
|
6
|
|
|
(930
|
)
|
|
4,134
|
|
Other investment income (loss), net
|
3,950
|
|
|
2,860
|
|
|
7,381
|
|
(4)
|
U.S. GAAP repurchase agreements interest expense on the consolidated statements of operations includes the following components:
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Interest expense on repurchase agreements outstanding
|
454,426
|
|
|
327,633
|
|
|
189,425
|
|
Amortization of net deferred (gain) loss on de-designated interest rate swaps
|
(23,729
|
)
|
|
(25,839
|
)
|
|
(25,544
|
)
|
Repurchase agreements interest expense
|
430,697
|
|
|
301,794
|
|
|
163,881
|
|
(5)
|
Cumulative dividends are charged to retained earnings when declared or earned under U.S. GAAP. Prior to 2017, we declared quarterly dividends on Series B Preferred Stock prior to dividends accumulating. In December 2017, the Company deferred declaring its next dividend on Series B Preferred Stock to February 2018. We reduced core earnings for the year ended December 31, 2017 for the cumulative impact of deferring the Series B Preferred Stock declaration date to February 2018 because we consider all dividends accumulated during a year a current component of our capital costs regardless of the dividend declaration date.
|
(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.
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Effective net interest income(1)
|
338,991
|
|
|
280,772
|
|
|
269,187
|
|
Dividend income
|
3,944
|
|
|
3,790
|
|
|
3,247
|
|
Equity in earnings (losses) of unconsolidated ventures
|
2,224
|
|
|
3,402
|
|
|
(1,327
|
)
|
Total expenses
|
(46,174
|
)
|
|
(47,792
|
)
|
|
(44,746
|
)
|
Total core earnings
|
298,985
|
|
|
240,172
|
|
|
226,361
|
|
Dividends to preferred stockholders
|
(44,426
|
)
|
|
(44,426
|
)
|
|
(28,080
|
)
|
Preferred stock dividend declared but not accumulated
|
—
|
|
|
—
|
|
|
(2,870
|
)
|
Core earnings attributable to non-controlling interest
|
—
|
|
|
(2,790
|
)
|
|
(2,853
|
)
|
Core earnings attributable to common stockholders
|
254,559
|
|
|
192,956
|
|
|
192,558
|
|
(1)
|
See below for a reconciliation of net interest income to effective net interest income, a non-GAAP measure.
|
|
61
|
|
|
Years Ended December 31,
|
||||||||||||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
||||||||||||
$ in thousands
|
Reconciliation
|
|
Yield/Effective Yield
|
|
Reconciliation
|
|
Yield/Effective Yield
|
|
Reconciliation
|
|
Yield/Effective Yield
|
||||||
Total interest income
|
778,367
|
|
|
3.78
|
%
|
|
643,016
|
|
|
3.55
|
%
|
|
545,055
|
|
|
3.20
|
%
|
Add: GSE CRT embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net
|
20,833
|
|
|
0.11
|
%
|
|
22,478
|
|
|
0.13
|
%
|
|
23,343
|
|
|
0.14
|
%
|
Effective interest income
|
799,200
|
|
|
3.89
|
%
|
|
665,494
|
|
|
3.68
|
%
|
|
568,398
|
|
|
3.34
|
%
|
|
62
|
|
|
Years Ended December 31,
|
||||||||||||||||
|
2019
|
|
2018
|
|
2017
|
||||||||||||
$ in thousands
|
Reconciliation
|
|
Cost of Funds / Effective Cost of Funds
|
|
Reconciliation
|
|
Cost of Funds / Effective Cost of Funds
|
|
Reconciliation
|
|
Cost of Funds / Effective Cost of Funds
|
||||||
Total interest expense
|
472,320
|
|
|
2.52
|
%
|
|
338,868
|
|
|
2.16
|
%
|
|
196,591
|
|
|
1.33
|
%
|
Add: Amortization of net deferred gain (loss) on de-designated interest rate swaps
|
23,729
|
|
|
0.13
|
%
|
|
25,839
|
|
|
0.16
|
%
|
|
25,544
|
|
|
0.17
|
%
|
Add (Less): Contractual net interest expense (income) on interest rate swaps recorded as gain (loss) on derivative instruments, net
|
(35,840
|
)
|
|
(0.19
|
)%
|
|
20,015
|
|
|
0.13
|
%
|
|
77,076
|
|
|
0.52
|
%
|
Effective interest expense
|
460,209
|
|
|
2.46
|
%
|
|
384,722
|
|
|
2.45
|
%
|
|
299,211
|
|
|
2.02
|
%
|
|
63
|
|
|
Years Ended December 31,
|
||||||||||||||||
|
2019
|
|
2018
|
|
2017
|
||||||||||||
$ in thousands
|
Reconciliation
|
|
Net Interest Rate Margin / Effective Interest Rate Margin
|
|
Reconciliation
|
|
Net Interest Rate Margin / Effective Interest Rate Margin
|
|
Reconciliation
|
|
Net Interest Rate Margin / Effective Interest Rate Margin
|
||||||
Net interest income
|
306,047
|
|
|
1.26
|
%
|
|
304,148
|
|
|
1.39
|
%
|
|
348,464
|
|
|
1.87
|
%
|
Less: Amortization of net deferred (gain) loss on de-designated interest rate swaps
|
(23,729
|
)
|
|
(0.13
|
)%
|
|
(25,839
|
)
|
|
(0.16
|
)%
|
|
(25,544
|
)
|
|
(0.17
|
)%
|
Add: GSE CRT embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net
|
20,833
|
|
|
0.11
|
%
|
|
22,478
|
|
|
0.13
|
%
|
|
23,343
|
|
|
0.14
|
%
|
Add (Less): Contractual net interest income (expense) on interest rate swaps recorded as gain (loss) on derivative instruments, net
|
35,840
|
|
|
0.19
|
%
|
|
(20,015
|
)
|
|
(0.13
|
)%
|
|
(77,076
|
)
|
|
(0.52
|
)%
|
Effective net interest income
|
338,991
|
|
|
1.43
|
%
|
|
280,772
|
|
|
1.23
|
%
|
|
269,187
|
|
|
1.32
|
%
|
|
64
|
|
$ in thousands
|
Agency RMBS
|
Agency CMBS
|
Commercial Credit (1)
|
Residential Credit (2)
|
Total
|
|||||
Mortgage-backed and credit risk transfer securities
|
11,301,037
|
|
4,767,930
|
|
3,829,031
|
|
1,873,788
|
|
21,771,786
|
|
Cash and cash equivalents (3)
|
73,927
|
|
27,881
|
|
51,092
|
|
19,607
|
|
172,507
|
|
Restricted cash(4)
|
81,830
|
|
34,441
|
|
724
|
|
—
|
|
116,995
|
|
Derivative assets, at fair value (4)
|
13,034
|
|
5,499
|
|
—
|
|
—
|
|
18,533
|
|
Other assets
|
94,525
|
|
12,460
|
|
110,122
|
|
49,617
|
|
266,724
|
|
Total assets
|
11,564,353
|
|
4,848,211
|
|
3,990,969
|
|
1,943,012
|
|
22,346,545
|
|
|
|
|
|
|
|
|||||
Repurchase agreements
|
9,666,964
|
|
4,246,359
|
|
2,041,968
|
|
1,577,012
|
|
17,532,303
|
|
Secured loans (5)
|
540,299
|
|
—
|
|
1,109,701
|
|
—
|
|
1,650,000
|
|
Derivative liabilities, at fair value (4)
|
—
|
|
—
|
|
352
|
|
—
|
|
352
|
|
Other liabilities
|
65,353
|
|
124,305
|
|
29,727
|
|
12,606
|
|
231,991
|
|
Total liabilities
|
10,272,616
|
|
4,370,664
|
|
3,181,748
|
|
1,589,618
|
|
19,414,646
|
|
|
|
|
|
|
|
|||||
Total stockholders' equity (allocated)
|
1,291,737
|
|
477,547
|
|
809,221
|
|
353,394
|
|
2,931,899
|
|
Adjustments to calculate repurchase agreement debt-to-equity ratio:
|
|
|
|
|
|
|||||
Net stockholders' equity in unsecured assets (6)
|
—
|
|
—
|
|
(46,053
|
)
|
—
|
|
(46,053
|
)
|
Collateral pledged against secured loans
|
(621,667
|
)
|
—
|
|
(1,276,822
|
)
|
—
|
|
(1,898,489
|
)
|
Secured loans
|
540,299
|
|
—
|
|
1,109,701
|
|
—
|
|
1,650,000
|
|
Stockholders' equity related to repurchase agreement debt
|
1,210,369
|
|
477,547
|
|
596,047
|
|
353,394
|
|
2,637,357
|
|
Debt-to-equity ratio (7)
|
7.9
|
|
8.9
|
|
3.9
|
|
4.5
|
|
6.5
|
|
Repurchase agreement debt-to-equity ratio (8)
|
8.0
|
|
8.9
|
|
3.4
|
|
4.5
|
|
6.6
|
|
(1)
|
Investments in non-Agency CMBS, Multifamily GSE CRT, commercial loans and unconsolidated joint ventures are included in commercial credit.
|
(2)
|
Investments in non-Agency RMBS, Single Family GSE CRT and a loan participation interest are included in residential credit.
|
(3)
|
Cash and cash equivalents is allocated based on a percentage of stockholders' equity for each asset class.
|
(4)
|
Restricted cash, derivative assets and derivative liabilities are allocated based on the hedging strategy for each asset class.
|
(5)
|
Secured loans are allocated based on amount of collateral pledged.
|
(6)
|
Net stockholders' equity in unsecured assets includes commercial loans and investments in unconsolidated joint ventures.
|
(7)
|
Debt-to-equity ratio is calculated as the ratio of total debt (sum of repurchase agreements and secured loans) to total stockholders' equity.
|
(8)
|
Repurchase agreement debt-to-equity ratio is calculated as the ratio of repurchase agreements to stockholders' equity related to repurchase agreement debt.
|
|
65
|
|
$ in thousands
|
Agency RMBS
|
Agency CMBS
|
Commercial Credit (1)
|
Residential Credit (2)
|
Total
|
|||||
Mortgage-backed and credit risk transfer securities
|
11,124,663
|
|
1,002,510
|
|
3,286,459
|
|
1,983,010
|
|
17,396,642
|
|
Cash and cash equivalents (3)
|
64,908
|
|
3,781
|
|
45,632
|
|
21,296
|
|
135,617
|
|
Derivative assets, at fair value (4)
|
13,842
|
|
1,247
|
|
—
|
|
—
|
|
15,089
|
|
Other assets
|
84,452
|
|
4,065
|
|
115,908
|
|
61,732
|
|
266,157
|
|
Total assets
|
11,287,865
|
|
1,011,603
|
|
3,447,999
|
|
2,066,038
|
|
17,813,505
|
|
|
|
|
|
|
|
|||||
Repurchase agreements
|
9,529,352
|
|
810,450
|
|
1,616,473
|
|
1,646,209
|
|
13,602,484
|
|
Secured loans (5)
|
600,856
|
|
—
|
|
1,049,144
|
|
—
|
|
1,650,000
|
|
Derivative liabilities, at fair value (4)
|
21,300
|
|
1,919
|
|
171
|
|
—
|
|
23,390
|
|
Other liabilities
|
74,162
|
|
137,895
|
|
25,819
|
|
13,058
|
|
250,934
|
|
Total liabilities
|
10,225,670
|
|
950,264
|
|
2,691,607
|
|
1,659,267
|
|
15,526,808
|
|
|
|
|
|
|
|
|||||
Total stockholders' equity (allocated)
|
1,062,195
|
|
61,339
|
|
756,392
|
|
406,771
|
|
2,286,697
|
|
Adjustments to calculate repurchase agreement debt-to-equity ratio:
|
|
|
|
|
|
|||||
Net stockholders' equity in unsecured assets (6)
|
—
|
|
—
|
|
(55,594
|
)
|
—
|
|
(55,594
|
)
|
Collateral pledged against secured loans
|
(702,952
|
)
|
—
|
|
(1,227,412
|
)
|
—
|
|
(1,930,364
|
)
|
Secured loans
|
600,856
|
|
—
|
|
1,049,144
|
|
—
|
|
1,650,000
|
|
Stockholders' equity related to repurchase agreement debt
|
960,099
|
|
61,339
|
|
522,530
|
|
406,771
|
|
1,950,739
|
|
Debt-to-equity ratio (7)
|
9.5
|
|
13.2
|
|
3.5
|
|
4.0
|
|
6.7
|
|
Repurchase agreement debt-to-equity ratio (8)
|
9.9
|
|
13.2
|
|
3.1
|
|
4.0
|
|
7.0
|
|
(1)
|
Investments in non-Agency CMBS, commercial loans and unconsolidated joint ventures are included in commercial credit.
|
(2)
|
Investments in non-Agency RMBS, Single Family GSE CRT and a loan participation interest are included in residential credit.
|
(3)
|
Cash and cash equivalents are allocated based on a percentage of stockholders' equity for each asset class.
|
(4)
|
Derivative assets and liabilities are allocated based on the hedging strategy for each asset class.
|
(5)
|
Secured loans are allocated based on amount of collateral pledged.
|
(6)
|
Net stockholders' equity in unsecured assets includes commercial loans and investments in unconsolidated joint ventures.
|
(7)
|
Debt-to-equity ratio is calculated as the ratio of total debt (sum of repurchase agreements and secured loans) to total stockholders' equity.
|
(8)
|
Repurchase agreement debt-to-equity ratio is calculated as the ratio of repurchase agreements to stockholders' equity related to repurchase agreement debt.
|
|
66
|
|
|
67
|
|
|
Payments Due by Period
|
|||||||||||||
$ in thousands
|
Total
|
|
Less than 1
year
|
|
1-3 years
|
|
3-5 years
|
|
After 5
years
|
|||||
Repurchase agreements
|
17,532,303
|
|
|
17,532,303
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Secured loans (1)
|
1,650,000
|
|
|
300,000
|
|
|
100,000
|
|
|
—
|
|
|
1,250,000
|
|
Interest expense on repurchase agreements (2)
|
80,932
|
|
|
80,932
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Interest expense on secured loans (2)
|
141,272
|
|
|
27,276
|
|
|
48,944
|
|
|
48,725
|
|
|
16,327
|
|
Total contractual obligations (3)
|
19,404,507
|
|
|
17,940,511
|
|
|
148,944
|
|
|
48,725
|
|
|
1,266,327
|
|
(1)
|
We repaid $300.0 million of secured loans upon their maturity on February 11, 2020 through a combination of available cash and additional repurchase agreement borrowings.
|
(2)
|
Interest expense is calculated based on variable rates in effect at December 31, 2019.
|
(3)
|
Excluded from total contractual obligations are the amounts due to our Manager under our management agreement, as those obligations do not have fixed and determinable payments.
|
|
68
|
|
|
69
|
|
$ in thousands
|
Number of Counterparties
|
|
Repurchase Agreement Financing
|
|
Exposure
|
|||
North America
|
17
|
|
|
8,218,672
|
|
|
826,222
|
|
Europe (excluding United Kingdom)
|
7
|
|
|
2,609,955
|
|
|
354,215
|
|
Asia
|
5
|
|
|
3,096,025
|
|
|
202,027
|
|
United Kingdom
|
4
|
|
|
3,607,651
|
|
|
222,380
|
|
Total
|
33
|
|
|
17,532,303
|
|
|
1,604,844
|
|
|
70
|
|
|
71
|
|
Change in Interest Rates
|
|
Percentage Change in Projected
Net Interest Income
|
|
Percentage Change in Projected
Portfolio Value
|
||
+1.00%
|
|
(4.12
|
)%
|
|
(2.16
|
)%
|
+0.50%
|
|
(1.41
|
)%
|
|
(1.06
|
)%
|
-0.50%
|
|
(0.57
|
)%
|
|
0.45
|
%
|
-1.00%
|
|
(1.49
|
)%
|
|
0.90
|
%
|
|
72
|
|
•
|
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.
|
|
73
|
|
|
74
|
|
|
75
|
|
Exhibit
No.
|
|
Description
|
3.1
|
|
|
|
|
|
3.2
|
|
|
|
|
|
3.3
|
|
|
|
|
|
3.4
|
|
|
|
|
|
3.5
|
|
|
|
|
|
3.6
|
|
|
|
|
|
3.7
|
|
|
|
|
|
3.8
|
|
|
|
|
|
4.1
|
|
|
|
|
|
4.2
|
|
|
|
|
|
4.3
|
|
|
|
|
|
4.4
|
|
|
|
|
|
4.5
|
|
|
|
|
|
4.6
|
|
|
|
|
|
10.1
|
|
|
|
|
|
10.2
|
|
|
|
|
|
10.3
|
|
|
|
|
|
§ 10.4
|
|
|
|
|
|
|
76
|
|
|
77
|
|
|
Page
|
|
78
|
|
|
79
|
|
|
80
|
|
|
As of
|
||||
|
December 31, 2019
|
|
December 31, 2018
|
||
$ in thousands except share amounts
|
|
||||
ASSETS
|
|
|
|
||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $21,132,742 and $17,082,825, respectively)
|
21,771,786
|
|
|
17,396,642
|
|
Cash and cash equivalents
|
172,507
|
|
|
135,617
|
|
Restricted cash
|
116,995
|
|
|
—
|
|
Due from counterparties
|
32,568
|
|
|
13,500
|
|
Investment related receivable
|
67,976
|
|
|
66,598
|
|
Derivative assets, at fair value
|
18,533
|
|
|
15,089
|
|
Other assets
|
166,180
|
|
|
186,059
|
|
Total assets
|
22,346,545
|
|
|
17,813,505
|
|
LIABILITIES AND STOCKHOLDERS' EQUITY
|
|
|
|
||
Liabilities:
|
|
|
|
||
Repurchase agreements
|
17,532,303
|
|
|
13,602,484
|
|
Secured loans
|
1,650,000
|
|
|
1,650,000
|
|
Derivative liabilities, at fair value
|
352
|
|
|
23,390
|
|
Dividends payable
|
74,841
|
|
|
49,578
|
|
Investment related payable
|
99,561
|
|
|
132,096
|
|
Accrued interest payable
|
43,998
|
|
|
37,620
|
|
Collateral held payable
|
170
|
|
|
18,083
|
|
Accounts payable and accrued expenses
|
1,560
|
|
|
1,694
|
|
Due to affiliate
|
11,861
|
|
|
11,863
|
|
Total liabilities
|
19,414,646
|
|
|
15,526,808
|
|
Commitments and contingencies (See Note 15)
|
|
|
|
||
Stockholders' equity:
|
|
|
|
||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized:
|
|
|
|
||
7.75% Series A Cumulative Redeemable Preferred Stock: 5,600,000 shares issued and outstanding ($140,000 aggregate liquidation preference)
|
135,356
|
|
|
135,356
|
|
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock: 6,200,000 shares issued and outstanding ($155,000 aggregate liquidation preference)
|
149,860
|
|
|
149,860
|
|
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock: 11,500,000 shares issued and outstanding ($287,500 aggregate liquidation preference)
|
278,108
|
|
|
278,108
|
|
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 144,256,357 and 111,584,996 shares issued and outstanding, respectively
|
1,443
|
|
|
1,115
|
|
Additional paid in capital
|
2,892,652
|
|
|
2,383,532
|
|
Accumulated other comprehensive income
|
288,963
|
|
|
220,813
|
|
Retained earnings (distributions in excess of earnings)
|
(814,483
|
)
|
|
(882,087
|
)
|
Total stockholders’ equity
|
2,931,899
|
|
|
2,286,697
|
|
Total liabilities and stockholders' equity
|
22,346,545
|
|
|
17,813,505
|
|
|
81
|
|
|
Years Ended December 31,
|
|||||||
|
2019
|
|
2018
|
|
2017
|
|||
$ in thousands except share data
|
|
|
||||||
Interest Income
|
|
|
|
|
|
|||
Mortgage-backed and credit risk transfer securities
|
772,657
|
|
|
631,478
|
|
|
521,547
|
|
Commercial and other loans
|
5,710
|
|
|
11,538
|
|
|
23,508
|
|
Total interest income
|
778,367
|
|
|
643,016
|
|
|
545,055
|
|
Interest Expense
|
|
|
|
|
|
|||
Repurchase agreements
|
430,697
|
|
|
301,794
|
|
|
163,881
|
|
Secured loans
|
41,623
|
|
|
35,453
|
|
|
19,370
|
|
Exchangeable senior notes
|
—
|
|
|
1,621
|
|
|
13,340
|
|
Total interest expense
|
472,320
|
|
|
338,868
|
|
|
196,591
|
|
Net interest income
|
306,047
|
|
|
304,148
|
|
|
348,464
|
|
Other income (loss)
|
|
|
|
|
|
|||
Gain (loss) on investments, net
|
624,466
|
|
|
(327,700
|
)
|
|
(19,704
|
)
|
Equity in earnings (losses) of unconsolidated ventures
|
2,224
|
|
|
3,402
|
|
|
(1,327
|
)
|
Gain (loss) on derivative instruments, net
|
(534,755
|
)
|
|
(5,277
|
)
|
|
18,155
|
|
Realized and unrealized credit derivative income (loss), net
|
8,343
|
|
|
(151
|
)
|
|
51,648
|
|
Net loss on extinguishment of debt
|
—
|
|
|
(26
|
)
|
|
(6,814
|
)
|
Other investment income (loss), net
|
3,950
|
|
|
2,860
|
|
|
7,381
|
|
Total other income (loss)
|
104,228
|
|
|
(326,892
|
)
|
|
49,339
|
|
Expenses
|
|
|
|
|
|
|||
Management fee — related party
|
38,173
|
|
|
40,722
|
|
|
37,556
|
|
General and administrative
|
8,001
|
|
|
7,070
|
|
|
7,190
|
|
Total expenses
|
46,174
|
|
|
47,792
|
|
|
44,746
|
|
Net income (loss)
|
364,101
|
|
|
(70,536
|
)
|
|
353,057
|
|
Net income (loss) attributable to non-controlling interest
|
—
|
|
|
254
|
|
|
4,450
|
|
Net income (loss) attributable to Invesco Mortgage Capital Inc.
|
364,101
|
|
|
(70,790
|
)
|
|
348,607
|
|
Dividends to preferred stockholders
|
44,426
|
|
|
44,426
|
|
|
28,080
|
|
Net income (loss) attributable to common stockholders
|
319,675
|
|
|
(115,216
|
)
|
|
320,527
|
|
Earnings (loss) per share:
|
|
|
|
|
|
|||
Net income (loss) attributable to common stockholders
|
|
|
|
|
|
|||
Basic
|
2.42
|
|
|
(1.03
|
)
|
|
2.87
|
|
Diluted
|
2.42
|
|
|
(1.03
|
)
|
|
2.75
|
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|||
Basic
|
132,305,568
|
|
|
111,637,035
|
|
|
111,610,393
|
|
Diluted
|
132,317,853
|
|
|
111,637,035
|
|
|
123,040,827
|
|
|
82
|
|
|
Years Ended December 31,
|
|||||||
|
2019
|
|
2018
|
|
2017
|
|||
In thousands
|
|
|
||||||
Net income (loss)
|
364,101
|
|
|
(70,536
|
)
|
|
353,057
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net
|
83,965
|
|
|
(210,424
|
)
|
|
(9,885
|
)
|
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net
|
9,072
|
|
|
193,162
|
|
|
1,508
|
|
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense
|
(23,729
|
)
|
|
(25,839
|
)
|
|
(25,544
|
)
|
Currency translation adjustments on investment in unconsolidated venture
|
(1,158
|
)
|
|
(447
|
)
|
|
863
|
|
Total other comprehensive income (loss)
|
68,150
|
|
|
(43,548
|
)
|
|
(33,058
|
)
|
Comprehensive income (loss)
|
432,251
|
|
|
(114,084
|
)
|
|
319,999
|
|
Less: Comprehensive (income) loss attributable to non-controlling interest
|
—
|
|
|
979
|
|
|
(4,032
|
)
|
Less: Dividends to preferred stockholders
|
(44,426
|
)
|
|
(44,426
|
)
|
|
(28,080
|
)
|
Comprehensive income (loss) attributable to common stockholders
|
387,825
|
|
|
(157,531
|
)
|
|
287,887
|
|
|
83
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Attributable to Common Stockholders
|
|
|
|
|
|
|
||||||||||||||||||||||
In thousands except share amounts
|
Series A
Preferred Stock
|
|
Series B
Preferred Stock
|
|
Series C
Preferred Stock
|
|
Common Stock
|
|
Additional
Paid in
Capital
|
|
Accumulated
Other
Comprehensive
Income (loss)
|
|
Retained earnings (Distributions
in excess
of earnings)
|
|
Total
Stockholders’
Equity
|
|
Non-
Controlling
Interest
|
|
Total
Equity
|
||||||||||||||||||||||
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
||||||||||||||||||||||||||
Balance at December 31, 2016
|
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 (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
348,607
|
|
|
348,607
|
|
|
4,450
|
|
|
353,057
|
|
Other comprehensive income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(32,640
|
)
|
|
—
|
|
|
(32,640
|
)
|
|
(418
|
)
|
|
(33,058
|
)
|
Proceeds from issuance of preferred stock, net of offering costs
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11,500,000
|
|
|
278,108
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
278,108
|
|
|
—
|
|
|
278,108
|
|
Stock awards
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
29,564
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Common stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(181,931
|
)
|
|
(181,931
|
)
|
|
—
|
|
|
(181,931
|
)
|
Common unit dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,323
|
)
|
|
(2,323
|
)
|
Preferred stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(27,707
|
)
|
|
(27,707
|
)
|
|
—
|
|
|
(27,707
|
)
|
Amortization of equity-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
541
|
|
|
—
|
|
|
—
|
|
|
541
|
|
|
7
|
|
|
548
|
|
Rebalancing of ownership percentage of non-controlling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,952
|
|
|
1
|
|
|
—
|
|
|
3,953
|
|
|
(3,953
|
)
|
|
—
|
|
Balance at December 31, 2017
|
5,600,000
|
|
|
135,356
|
|
|
6,200,000
|
|
|
149,860
|
|
|
11,500,000
|
|
|
278,108
|
|
|
111,624,159
|
|
|
1,116
|
|
|
2,384,356
|
|
|
261,029
|
|
|
(579,334
|
)
|
|
2,630,491
|
|
|
26,387
|
|
|
2,656,878
|
|
Net income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(70,790
|
)
|
|
(70,790
|
)
|
|
254
|
|
|
(70,536
|
)
|
Other comprehensive income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(42,315
|
)
|
|
—
|
|
|
(42,315
|
)
|
|
(1,233
|
)
|
|
(43,548
|
)
|
Repurchase of shares of common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(75,100
|
)
|
|
(1
|
)
|
|
(1,143
|
)
|
|
—
|
|
|
—
|
|
|
(1,144
|
)
|
|
—
|
|
|
(1,144
|
)
|
Stock awards
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
35,937
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Common stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(187,537
|
)
|
|
(187,537
|
)
|
|
—
|
|
|
(187,537
|
)
|
Common unit dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
|
|
|
(1,796
|
)
|
|
(1,796
|
)
|
||
Preferred stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(44,426
|
)
|
|
(44,426
|
)
|
|
—
|
|
|
(44,426
|
)
|
Amortization of equity-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
561
|
|
|
—
|
|
|
—
|
|
|
561
|
|
|
9
|
|
|
570
|
|
Purchase of OP units from non-controlling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(798
|
)
|
|
2,100
|
|
|
—
|
|
|
1,302
|
|
|
(23,066
|
)
|
|
(21,764
|
)
|
Rebalancing of ownership percentage of non-controlling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
556
|
|
|
(1
|
)
|
|
—
|
|
|
555
|
|
|
(555
|
)
|
|
—
|
|
Balance at December 31, 2018
|
5,600,000
|
|
|
135,356
|
|
|
6,200,000
|
|
|
149,860
|
|
|
11,500,000
|
|
|
278,108
|
|
|
111,584,996
|
|
|
1,115
|
|
|
2,383,532
|
|
|
220,813
|
|
|
(882,087
|
)
|
|
2,286,697
|
|
|
—
|
|
|
2,286,697
|
|
Net income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
364,101
|
|
|
364,101
|
|
|
—
|
|
|
364,101
|
|
Other comprehensive income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
68,150
|
|
|
—
|
|
|
68,150
|
|
|
—
|
|
|
68,150
|
|
Proceeds from issuance of common stock, net of offering costs
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
32,640,260
|
|
|
328
|
|
|
508,598
|
|
|
—
|
|
|
—
|
|
|
508,926
|
|
|
—
|
|
|
508,926
|
|
Stock awards
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
31,101
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Common stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(252,071
|
)
|
|
(252,071
|
)
|
|
—
|
|
|
(252,071
|
)
|
Preferred stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(44,426
|
)
|
|
(44,426
|
)
|
|
—
|
|
|
(44,426
|
)
|
Amortization of equity-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
522
|
|
|
—
|
|
|
—
|
|
|
522
|
|
|
—
|
|
|
522
|
|
Balance at December 31, 2019
|
5,600,000
|
|
|
135,356
|
|
|
6,200,000
|
|
|
149,860
|
|
|
11,500,000
|
|
|
278,108
|
|
|
144,256,357
|
|
|
1,443
|
|
|
2,892,652
|
|
|
288,963
|
|
|
(814,483
|
)
|
|
2,931,899
|
|
|
—
|
|
|
2,931,899
|
|
|
84
|
|
In thousands
|
Years Ended December 31,
|
|||||||
|
2019
|
|
2018
|
|
2017
|
|||
Cash Flows from Operating Activities
|
|
|
|
|
|
|||
Net income (loss)
|
364,101
|
|
|
(70,536
|
)
|
|
353,057
|
|
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
|
46,243
|
|
|
42,608
|
|
|
67,152
|
|
Realized and unrealized (gain) loss on derivative instruments, net
|
570,595
|
|
|
(14,738
|
)
|
|
(95,231
|
)
|
Realized and unrealized (gain) loss on credit derivatives, net
|
12,490
|
|
|
22,629
|
|
|
(28,305
|
)
|
(Gain) loss on investments, net
|
(624,466
|
)
|
|
327,700
|
|
|
19,704
|
|
(Gain) loss from investments in unconsolidated ventures in excess of distributions received
|
(490
|
)
|
|
392
|
|
|
1,972
|
|
Other amortization
|
(23,207
|
)
|
|
(25,184
|
)
|
|
(23,888
|
)
|
Net loss on extinguishment of debt
|
—
|
|
|
26
|
|
|
6,814
|
|
(Gain) loss on foreign currency transactions, net
|
—
|
|
|
1,038
|
|
|
(4,103
|
)
|
Changes in operating assets and liabilities:
|
|
|
|
|
|
|||
Increase in operating assets
|
(8,096
|
)
|
|
(155
|
)
|
|
(7,774
|
)
|
Increase in operating liabilities
|
6,189
|
|
|
20,484
|
|
|
1,203
|
|
Net cash provided by operating activities
|
343,359
|
|
|
304,264
|
|
|
290,601
|
|
Cash Flows from Investing Activities
|
|
|
|
|
|
|||
Purchase of mortgage-backed and credit risk transfer securities
|
(9,244,391
|
)
|
|
(6,217,723
|
)
|
|
(6,277,918
|
)
|
Distributions from (contributions to) investments in unconsolidated ventures, net
|
1,346
|
|
|
1,121
|
|
|
6,220
|
|
Change in other assets
|
10,327
|
|
|
(51,017
|
)
|
|
(3,457
|
)
|
Principal payments from mortgage-backed and credit risk transfer securities
|
2,189,327
|
|
|
1,986,930
|
|
|
2,401,951
|
|
Proceeds from sale of mortgage-backed and credit risk transfer securities
|
3,311,884
|
|
|
4,749,807
|
|
|
625,540
|
|
Settlement (termination) of futures, forwards, swaps, and TBAs, net
|
(597,077
|
)
|
|
(2,830
|
)
|
|
67,838
|
|
Net change in due from counterparties and collateral held payable on derivative instruments
|
(3,174
|
)
|
|
(3,994
|
)
|
|
5,627
|
|
Principal payments from commercial loans held-for-investment
|
7,527
|
|
|
160,934
|
|
|
90,713
|
|
Origination and advances of commercial loans, net of origination fees
|
—
|
|
|
(1,677
|
)
|
|
(4,799
|
)
|
Net cash (used in) provided by investing activities
|
(4,324,231
|
)
|
|
621,551
|
|
|
(3,088,285
|
)
|
Cash Flows from Financing Activities
|
|
|
|
|
|
|||
Proceeds from issuance of common stock
|
509,075
|
|
|
—
|
|
|
—
|
|
Repurchase of common stock
|
—
|
|
|
(1,144
|
)
|
|
—
|
|
Proceeds from issuance of preferred stock
|
—
|
|
|
—
|
|
|
278,226
|
|
Proceeds from repurchase agreements
|
131,624,461
|
|
|
136,573,821
|
|
|
146,886,038
|
|
Principal repayments of repurchase agreements
|
(127,694,642
|
)
|
|
(137,052,138
|
)
|
|
(143,964,490
|
)
|
Extinguishment of exchangeable senior notes
|
—
|
|
|
(143,433
|
)
|
|
(262,069
|
)
|
Net change in due from counterparties and collateral held payable on repurchase agreements
|
(32,557
|
)
|
|
—
|
|
|
—
|
|
Payments of deferred costs
|
(346
|
)
|
|
(167
|
)
|
|
(116
|
)
|
Purchase of Operating Partnership units from non-controlling interest
|
—
|
|
|
(21,764
|
)
|
|
—
|
|
Payments of dividends and distributions
|
(271,234
|
)
|
|
(234,374
|
)
|
|
(212,692
|
)
|
Net cash provided by (used in) financing activities
|
4,134,757
|
|
|
(879,199
|
)
|
|
2,724,897
|
|
Net change in cash, cash equivalents and restricted cash
|
153,885
|
|
|
46,616
|
|
|
(72,787
|
)
|
Cash, cash equivalents, and restricted cash beginning of period
|
135,617
|
|
|
89,001
|
|
|
161,788
|
|
Cash, cash equivalents, and restricted cash end of period
|
289,502
|
|
|
135,617
|
|
|
89,001
|
|
Supplement Disclosure of Cash Flow Information
|
|
|
|
|
|
|||
Interest paid
|
489,661
|
|
|
344,422
|
|
|
220,299
|
|
Non-cash Investing and Financing Activities Information
|
|
|
|
|
|
|||
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities
|
93,037
|
|
|
(17,262
|
)
|
|
(8,377
|
)
|
Dividends and distributions declared not paid
|
74,841
|
|
|
49,578
|
|
|
50,193
|
|
(Decrease) increase in unsettled to-be-announced (“TBA”) securities and related payable
|
(32,530
|
)
|
|
132,087
|
|
|
—
|
|
Net change in investment related receivable (payable) excluding TBA securities
|
5,724
|
|
|
(2,999
|
)
|
|
(25,948
|
)
|
Net change in repurchase agreements, not settled
|
—
|
|
|
—
|
|
|
(1,416
|
)
|
Change in foreign currency translation adjustment on other investments
|
1,158
|
|
|
447
|
|
|
(863
|
)
|
|
85
|
|
•
|
Residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association (“Ginnie Mae”), or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively “Agency RMBS”);
|
•
|
Commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Freddie Mac or Freddie Mac (collectively “Agency CMBS”);
|
•
|
RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency RMBS”);
|
•
|
CMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency CMBS”);
|
•
|
Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises (“GSE CRT”);
|
•
|
Residential and commercial mortgage loans; and
|
•
|
Other real estate-related financing agreements.
|
|
86
|
|
|
87
|
|
|
88
|
|
•
|
Loan-to-value ratios;
|
•
|
The most recent financial information available for each loan and associated properties, including net operating income, debt service coverage ratios, occupancy rates, rent rolls, as well as any other factors we consider relevant, including, but not limited to, specific loan trigger events that would indicate an adverse change in expected cash flows or payment delinquency;
|
•
|
Economic trends, both macroeconomic as well as those directly affecting the properties associated with the loans, and the supply and demand trends in the market in which the subject property is located; and
|
•
|
The loan sponsor or borrowing entity’s ability to ensure that properties associated with the loan are managed and operated sufficiently.
|
|
89
|
|
|
90
|
|
|
91
|
|
|
92
|
|
$ in thousands
|
Carrying
Amount
|
|
Company's Maximum Risk of Loss
|
||
Non-Agency CMBS
|
3,823,474
|
|
|
3,823,474
|
|
Non-Agency RMBS
|
955,671
|
|
|
955,671
|
|
Investments in unconsolidated ventures
|
21,998
|
|
|
21,998
|
|
Total
|
4,801,143
|
|
|
4,801,143
|
|
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|||||||
$ in thousands
|
Principal/ Notional
Balance |
|
Unamortized
Premium
(Discount)
|
|
Amortized
Cost
|
|
Unrealized
Gain/
(Loss), net
|
|
Fair
Value
|
|
Period-
end Weighted Average Yield (1) |
||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
15 year fixed-rate
|
280,426
|
|
|
1,666
|
|
|
282,092
|
|
|
10,322
|
|
|
292,414
|
|
|
3.34
|
%
|
30 year fixed-rate
|
9,911,339
|
|
|
308,427
|
|
|
10,219,766
|
|
|
304,454
|
|
|
10,524,220
|
|
|
3.62
|
%
|
Hybrid ARM*
|
55,024
|
|
|
602
|
|
|
55,626
|
|
|
1,267
|
|
|
56,893
|
|
|
3.46
|
%
|
Total Agency RMBS pass-through
|
10,246,789
|
|
|
310,695
|
|
|
10,557,484
|
|
|
316,043
|
|
|
10,873,527
|
|
|
3.61
|
%
|
Agency-CMO (2)
|
883,122
|
|
|
(467,840
|
)
|
|
415,282
|
|
|
12,230
|
|
|
427,512
|
|
|
3.54
|
%
|
Agency CMBS (3)
|
4,561,276
|
|
|
75,299
|
|
|
4,636,575
|
|
|
131,355
|
|
|
4,767,930
|
|
|
3.01
|
%
|
Non-Agency CMBS (4)
|
4,464,525
|
|
|
(772,295
|
)
|
|
3,692,230
|
|
|
131,244
|
|
|
3,823,474
|
|
|
5.16
|
%
|
Non-Agency RMBS (5)(6)(7)
|
2,340,119
|
|
|
(1,487,603
|
)
|
|
852,516
|
|
|
103,155
|
|
|
955,671
|
|
|
6.98
|
%
|
GSE CRT (8)
|
858,244
|
|
|
19,945
|
|
|
878,189
|
|
|
45,483
|
|
|
923,672
|
|
|
2.78
|
%
|
Total
|
23,354,075
|
|
|
(2,321,799
|
)
|
|
21,032,276
|
|
|
739,510
|
|
|
21,771,786
|
|
|
3.85
|
%
|
(1)
|
Period-end weighted average yield is based on amortized cost as of December 31, 2019 and incorporates future prepayment and loss assumptions.
|
(2)
|
Agency collateralized mortgage obligation (“Agency-CMO”) includes interest-only securities (“Agency IO”), which represent 56.3% of principal/notional balance, 6.4% of amortized cost and 6.4% of fair value.
|
(3)
|
Includes unsettled TBA securities with an amortized cost of approximately $99.3 million.
|
(4)
|
Non-Agency CMBS includes interest-only securities which represent of 13.1% principal/notional balance, 0.3% of amortized cost and 0.3% of fair value.
|
(5)
|
Non-Agency RMBS held by us is 37.0% variable rate, 57.7% fixed rate and 5.3% floating rate based on fair value. Coupon payments on variable instruments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based up a spread to a reference index.
|
(6)
|
Of the total discount in non-Agency RMBS, $120.2 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.
|
(7)
|
Non-Agency RMBS includes interest-only securities (“non-Agency IO”) which represent 56.2% of principal/notional balance, 1.9% of amortized cost and 1.3% of fair value.
|
(8)
|
GSE CRT 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.
|
|
93
|
|
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
||||||
$ in thousands
|
Principal/ Notional
Balance
|
|
Unamortized
Premium
(Discount)
|
|
Amortized
Cost
|
|
Unrealized
Gain/
(Loss), net
|
|
Fair Value
|
|
Period-
end
Weighted
Average
Yield (1)
|
||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
15 year fixed-rate
|
417,233
|
|
|
5,077
|
|
|
422,310
|
|
|
1,944
|
|
|
424,254
|
|
|
3.27
|
%
|
30 year fixed-rate
|
9,599,301
|
|
|
298,693
|
|
|
9,897,994
|
|
|
(125,225
|
)
|
|
9,772,769
|
|
|
3.55
|
%
|
Hybrid ARM
|
653,586
|
|
|
13,775
|
|
|
667,361
|
|
|
(7,413
|
)
|
|
659,948
|
|
|
2.79
|
%
|
Total Agency RMBS pass-through
|
10,670,120
|
|
|
317,545
|
|
|
10,987,665
|
|
|
(130,694
|
)
|
|
10,856,971
|
|
|
3.49
|
%
|
Agency-CMO (2)
|
907,862
|
|
|
(631,180
|
)
|
|
276,682
|
|
|
(8,991
|
)
|
|
267,691
|
|
|
3.61
|
%
|
Agency CMBS
|
973,122
|
|
|
15,058
|
|
|
988,180
|
|
|
14,330
|
|
|
1,002,510
|
|
|
3.54
|
%
|
Non-Agency CMBS (3)
|
4,024,715
|
|
|
(727,307
|
)
|
|
3,297,408
|
|
|
(10,949
|
)
|
|
3,286,459
|
|
|
5.05
|
%
|
Non-Agency RMBS (4)(5)(6)
|
2,800,335
|
|
|
(1,748,223
|
)
|
|
1,052,112
|
|
|
111,570
|
|
|
1,163,682
|
|
|
7.24
|
%
|
GSE CRT (7)
|
738,529
|
|
|
21,259
|
|
|
759,788
|
|
|
59,541
|
|
|
819,329
|
|
|
3.10
|
%
|
Total
|
20,114,683
|
|
|
(2,752,848
|
)
|
|
17,361,835
|
|
|
34,807
|
|
|
17,396,642
|
|
|
4.00
|
%
|
(1)
|
Period-end weighted average yield based on amortized cost as of December 31, 2018 and incorporates future prepayment and loss assumptions.
|
(2)
|
Agency collateralized mortgage obligation (“Agency-CMO”) includes interest-only securities (“Agency IO”), which represent 73.6% of principal/notional balance, 13.5% of amortized cost and 12.4% of fair value.
|
(3)
|
Non-Agency CMBS includes interest-only securities which represent 15.0% of principal/notional balance, 0.4% of amortized cost and 0.5% of fair value.
|
(4)
|
Non-Agency RMBS held by us is 43.5% variable rate, 50.7% fixed rate and 5.8% floating rate based on fair value. Coupon payments on variable instruments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based up a spread to a reference index.
|
(5)
|
Of the total discount in non-Agency RMBS, $145.6 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.
|
(6)
|
Non-Agency RMBS includes interest-only securities (“non-Agency IO”) which represent 55.4% of principal/notional balance, 2.3% of amortized cost and 2.4% of fair value.
|
(7)
|
GSE CRT 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.
|
|
December 31, 2019
|
|
December 31, 2018
|
||||||||||||||
$ in thousands
|
Available-for-sale Securities
|
|
Securities under Fair Value Option
|
|
Total
Fair Value
|
|
Available-for-sale Securities
|
|
Securities under Fair Value Option
|
|
Total
Fair Value |
||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
15 year fixed-rate
|
98,666
|
|
|
193,748
|
|
|
292,414
|
|
|
204,347
|
|
|
219,907
|
|
|
424,254
|
|
30 year fixed-rate
|
754,590
|
|
|
9,769,630
|
|
|
10,524,220
|
|
|
1,093,070
|
|
|
8,679,699
|
|
|
9,772,769
|
|
ARM
|
|
|
|
|
|
|
—
|
|
|
105,747
|
|
|
—
|
|
|
105,747
|
|
Hybrid ARM
|
31,522
|
|
|
25,371
|
|
|
56,893
|
|
|
521,199
|
|
|
33,002
|
|
|
554,201
|
|
Total Agency RMBS pass-through
|
884,778
|
|
|
9,988,749
|
|
|
10,873,527
|
|
|
1,924,363
|
|
|
8,932,608
|
|
|
10,856,971
|
|
Agency-CMO
|
146,733
|
|
|
280,779
|
|
|
427,512
|
|
|
168,385
|
|
|
99,306
|
|
|
267,691
|
|
Agency CMBS
|
—
|
|
|
4,767,930
|
|
|
4,767,930
|
|
|
—
|
|
|
1,002,510
|
|
|
1,002,510
|
|
Non-Agency CMBS
|
2,150,991
|
|
|
1,672,483
|
|
|
3,823,474
|
|
|
2,153,403
|
|
|
1,133,056
|
|
|
3,286,459
|
|
Non-Agency RMBS
|
715,479
|
|
|
240,192
|
|
|
955,671
|
|
|
961,445
|
|
|
202,237
|
|
|
1,163,682
|
|
GSE CRT
|
507,445
|
|
|
416,227
|
|
|
923,672
|
|
|
586,231
|
|
|
233,098
|
|
|
819,329
|
|
Total
|
4,405,426
|
|
|
17,366,360
|
|
|
21,771,786
|
|
|
5,793,827
|
|
|
11,602,815
|
|
|
17,396,642
|
|
|
94
|
|
|
December 31, 2019
|
|
December 31, 2018
|
||||||||||||||
$ in thousands
|
MBS and GSE
CRT Securities
|
|
Interest-Only Securities
|
|
Total
|
|
MBS and GSE
CRT Securities
|
|
Interest-Only Securities
|
|
Total
|
||||||
Principal/notional balance
|
20,957,410
|
|
|
2,396,665
|
|
|
23,354,075
|
|
|
17,442,367
|
|
|
2,672,316
|
|
|
20,114,683
|
|
Unamortized premium
|
440,503
|
|
|
—
|
|
|
440,503
|
|
|
395,907
|
|
|
—
|
|
|
395,907
|
|
Unamortized discount
|
(419,983
|
)
|
|
(2,342,319
|
)
|
|
(2,762,302
|
)
|
|
(549,988
|
)
|
|
(2,598,767
|
)
|
|
(3,148,755
|
)
|
Gross unrealized gains (1)
|
807,324
|
|
|
4,782
|
|
|
812,106
|
|
|
238,579
|
|
|
7,448
|
|
|
246,027
|
|
Gross unrealized losses (1)
|
(66,064
|
)
|
|
(6,532
|
)
|
|
(72,596
|
)
|
|
(204,664
|
)
|
|
(6,556
|
)
|
|
(211,220
|
)
|
Fair value
|
21,719,190
|
|
|
52,596
|
|
|
21,771,786
|
|
|
17,322,201
|
|
|
74,441
|
|
|
17,396,642
|
|
(1)
|
Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the years ended December 31, 2019 and 2018 is provided below within this Note 4.
|
$ in thousands
|
December 31, 2019
|
|
December 31, 2018
|
||
Less than one year
|
268,536
|
|
|
110,020
|
|
Greater than one year and less than five years
|
7,836,620
|
|
|
3,508,100
|
|
Greater than or equal to five years
|
13,666,630
|
|
|
13,778,522
|
|
Total
|
21,771,786
|
|
|
17,396,642
|
|
December 31, 2019
|
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
|
957
|
|
|
(1
|
)
|
|
2
|
|
|
362
|
|
|
(3
|
)
|
|
4
|
|
|
1,319
|
|
|
(4
|
)
|
|
6
|
|
30 year fixed-rate
|
255,649
|
|
|
(207
|
)
|
|
3
|
|
|
34,009
|
|
|
(256
|
)
|
|
5
|
|
|
289,658
|
|
|
(463
|
)
|
|
8
|
|
Hybrid ARM
|
434
|
|
|
(2
|
)
|
|
1
|
|
|
1,524
|
|
|
(46
|
)
|
|
3
|
|
|
1,958
|
|
|
(48
|
)
|
|
4
|
|
Total Agency RMBS pass-through (1)
|
257,040
|
|
|
(210
|
)
|
|
6
|
|
|
35,895
|
|
|
(305
|
)
|
|
12
|
|
|
292,935
|
|
|
(515
|
)
|
|
18
|
|
Agency-CMO (2)
|
67,875
|
|
|
(1,194
|
)
|
|
15
|
|
|
6,155
|
|
|
(1,513
|
)
|
|
13
|
|
|
74,030
|
|
|
(2,707
|
)
|
|
28
|
|
Agency CMBS (3)
|
1,743,800
|
|
|
(50,521
|
)
|
|
58
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,743,800
|
|
|
(50,521
|
)
|
|
58
|
|
Non-Agency CMBS (4)
|
203,129
|
|
|
(2,783
|
)
|
|
19
|
|
|
101,021
|
|
|
(11,425
|
)
|
|
7
|
|
|
304,150
|
|
|
(14,208
|
)
|
|
26
|
|
Non-Agency RMBS (5)
|
26,283
|
|
|
(3,935
|
)
|
|
14
|
|
|
12,199
|
|
|
(636
|
)
|
|
2
|
|
|
38,482
|
|
|
(4,571
|
)
|
|
16
|
|
GSE CRT (6)
|
77,044
|
|
|
(74
|
)
|
|
4
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
77,044
|
|
|
(74
|
)
|
|
4
|
|
Total
|
2,375,171
|
|
|
(58,717
|
)
|
|
116
|
|
|
155,270
|
|
|
(13,879
|
)
|
|
34
|
|
|
2,530,441
|
|
|
(72,596
|
)
|
|
150
|
|
(1)
|
Includes Agency RMBS with a fair value of $271.3 million for which the fair value option has been elected. These securities have unrealized losses of $268,000.
|
(2)
|
Includes Agency IO with fair value of $11.1 million for which the fair value option has been elected. These Agency IO have unrealized losses of $2.3 million.
|
(3)
|
Fair value option has been elected for all Agency CMBS that are in an unrealized loss position.
|
(4)
|
Includes non-Agency CMBS with a fair value of $181.5 million for which the fair value option has been elected. These securities have unrealized losses of $2.8 million.
|
(5)
|
Includes non-Agency RMBS and non-Agency IO with a fair value of $17.6 million and $8.5 million, respectively, for which the fair value option has been elected. These securities have unrealized losses of $261,000 and $3.7 million, respectively.
|
(6)
|
Fair value option has been elected for all GSE CRT that are in an unrealized loss position.
|
|
95
|
|
December 31, 2018
|
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
|
86,241
|
|
|
(814
|
)
|
|
50
|
|
|
16,660
|
|
|
(189
|
)
|
|
22
|
|
|
102,901
|
|
|
(1,003
|
)
|
|
72
|
|
30 year fixed-rate
|
3,966,347
|
|
|
(49,182
|
)
|
|
158
|
|
|
2,846,090
|
|
|
(94,716
|
)
|
|
95
|
|
|
6,812,437
|
|
|
(143,898
|
)
|
|
253
|
|
Hybrid ARM
|
9,390
|
|
|
(87
|
)
|
|
3
|
|
|
503,417
|
|
|
(9,175
|
)
|
|
81
|
|
|
512,807
|
|
|
(9,262
|
)
|
|
84
|
|
Total Agency RMBS pass-through (1)
|
4,061,978
|
|
|
(50,083
|
)
|
|
211
|
|
|
3,366,167
|
|
|
(104,080
|
)
|
|
198
|
|
|
7,428,145
|
|
|
(154,163
|
)
|
|
409
|
|
Agency-CMO (2)
|
152,962
|
|
|
(6,315
|
)
|
|
34
|
|
|
101,705
|
|
|
(5,100
|
)
|
|
19
|
|
|
254,667
|
|
|
(11,415
|
)
|
|
53
|
|
Non-Agency CMBS (3)
|
1,214,691
|
|
|
(17,778
|
)
|
|
94
|
|
|
659,298
|
|
|
(25,381
|
)
|
|
52
|
|
|
1,873,989
|
|
|
(43,159
|
)
|
|
146
|
|
Non-Agency RMBS (4)
|
87,850
|
|
|
(1,152
|
)
|
|
19
|
|
|
89,265
|
|
|
(1,138
|
)
|
|
16
|
|
|
177,115
|
|
|
(2,290
|
)
|
|
35
|
|
GSE CRT (5)
|
9,639
|
|
|
(193
|
)
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,639
|
|
|
(193
|
)
|
|
1
|
|
Total
|
5,527,120
|
|
|
(75,521
|
)
|
|
359
|
|
|
4,216,435
|
|
|
(135,699
|
)
|
|
285
|
|
|
9,743,555
|
|
|
(211,220
|
)
|
|
644
|
|
(1)
|
Includes Agency RMBS with a fair value of $6.1 billion for which the fair value option has been elected. These securities have unrealized losses of $130.2 million.
|
(2)
|
Includes Agency IO and Agency-CMO with fair value of $21.8 million and $66.0 million, respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.3 million and $845,000, respectively.
|
(3)
|
Includes non-Agency CMBS with a fair value of $831.3 million for which the fair value option has been elected. These securities have unrealized losses of $26.3 million.
|
(4)
|
Includes non-Agency RMBS and non-Agency IO with a fair value of $6.2 million and $3.7 million, respectively, for which the fair value option has been elected. These securities have unrealized losses of $79,000 and $269,000, respectively.
|
(5)
|
Fair value option has been elected for all GSE CRT that are in an unrealized loss position.
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
RMBS interest-only securities
|
6,707
|
|
|
7,761
|
|
|
11,208
|
|
Non-Agency RMBS (1)
|
1,024
|
|
|
85
|
|
|
754
|
|
Total
|
7,731
|
|
|
7,846
|
|
|
11,962
|
|
(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.
|
|
96
|
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Gross realized gains on sale of investments
|
24,721
|
|
|
774
|
|
|
2,208
|
|
Gross realized losses on sale of investments
|
(16,682
|
)
|
|
(218,910
|
)
|
|
(3,873
|
)
|
Other-than-temporary impairment losses
|
(7,731
|
)
|
|
(7,846
|
)
|
|
(11,962
|
)
|
Net unrealized gains (losses) on MBS accounted for under the fair value option
|
626,104
|
|
|
(95,327
|
)
|
|
(21,368
|
)
|
Net unrealized gains (losses) on GSE CRT accounted for under the fair value option
|
(1,946
|
)
|
|
(6,370
|
)
|
|
15,269
|
|
Net unrealized gains (losses on trading securities)
|
—
|
|
|
(21
|
)
|
|
22
|
|
Total gain (loss) on investments, net
|
624,466
|
|
|
(327,700
|
)
|
|
(19,704
|
)
|
|
97
|
|
$ in thousands
|
December 31, 2019
|
|
December 31, 2018
|
||
FHLBI stock
|
74,250
|
|
|
74,250
|
|
Loan participation interest
|
44,654
|
|
|
54,981
|
|
Commercial loans, held-for-investment
|
24,055
|
|
|
31,582
|
|
Investments in unconsolidated ventures
|
21,998
|
|
|
24,012
|
|
Prepaid expenses and other assets
|
1,223
|
|
|
1,234
|
|
Total
|
166,180
|
|
|
186,059
|
|
|
98
|
|
$ in thousands
|
December 31, 2019
|
||||||
|
Amount
Outstanding
|
|
Period-end Weighted Average
Interest Rate
|
|
Weighted Average
Remaining Maturity
(Days)
|
||
Repurchase Agreements:
|
|
|
|
|
|
||
Agency RMBS
|
9,666,964
|
|
|
1.95
|
%
|
|
46
|
Agency CMBS
|
4,246,359
|
|
|
1.95
|
%
|
|
43
|
Non-Agency CMBS
|
2,041,968
|
|
|
2.71
|
%
|
|
14
|
Non-Agency RMBS
|
790,412
|
|
|
2.65
|
%
|
|
16
|
GSE CRT
|
753,110
|
|
|
2.70
|
%
|
|
13
|
Loan Participation Interest
|
33,490
|
|
|
3.22
|
%
|
|
240
|
Total Repurchase Agreements
|
17,532,303
|
|
|
2.11
|
%
|
|
39
|
Secured Loans
|
1,650,000
|
|
|
1.93
|
%
|
|
1587
|
Total Borrowings
|
19,182,303
|
|
|
2.09
|
%
|
|
172
|
$ in thousands
|
December 31, 2018
|
||||||
|
Amount
Outstanding |
|
Period-end Weighted Average
Interest Rate |
|
Weighted Average
Remaining Maturity (Days) |
||
Repurchase Agreements:
|
|
|
|
|
|
||
Agency RMBS
|
9,529,352
|
|
|
2.56
|
%
|
|
36
|
Agency CMBS
|
810,450
|
|
|
2.53
|
%
|
|
31
|
Non-Agency CMBS
|
1,616,473
|
|
|
3.56
|
%
|
|
19
|
Non-Agency RMBS
|
923,959
|
|
|
3.60
|
%
|
|
26
|
GSE CRT
|
681,014
|
|
|
3.48
|
%
|
|
21
|
Loan Participation Interest
|
41,236
|
|
|
4.09
|
%
|
|
605
|
Total Repurchase Agreements
|
13,602,484
|
|
|
2.80
|
%
|
|
34
|
Secured Loans
|
1,650,000
|
|
|
2.68
|
%
|
|
1952
|
Total Borrowings
|
15,252,484
|
|
|
2.79
|
%
|
|
242
|
|
As of
|
|
$ in thousands
|
December 31, 2019
|
|
2020
|
17,832,303
|
|
2021
|
100,000
|
|
2022
|
—
|
|
2023
|
—
|
|
2024
|
—
|
|
2025
|
1,250,000
|
|
Total
|
19,182,303
|
|
|
99
|
|
|
100
|
|
$ in thousands
|
As of
|
||||
Collateral Pledged
|
December 31, 2019
|
|
December 31, 2018
|
||
Repurchase Agreements:
|
|
|
|
||
Agency RMBS
|
10,187,555
|
|
|
10,158,404
|
|
Agency CMBS
|
4,446,384
|
|
|
870,702
|
|
Non-Agency CMBS
|
2,549,841
|
|
|
2,016,202
|
|
Non-Agency RMBS
|
943,176
|
|
|
1,127,911
|
|
GSE CRT
|
918,117
|
|
|
819,328
|
|
Loan participation interest
|
44,654
|
|
|
54,981
|
|
Cash
|
32,568
|
|
|
—
|
|
Total repurchase agreements collateral pledged
|
19,122,295
|
|
|
15,047,528
|
|
Secured Loans:
|
|
|
|
||
Agency RMBS
|
621,471
|
|
|
702,952
|
|
Non-Agency CMBS
|
1,276,418
|
|
|
1,227,412
|
|
Restricted cash
|
600
|
|
|
—
|
|
Total secured loans collateral pledged
|
1,898,489
|
|
|
1,930,364
|
|
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts:
|
|
|
|
||
Agency RMBS
|
189,780
|
|
|
159,914
|
|
Cash
|
—
|
|
|
13,500
|
|
Restricted cash
|
116,395
|
|
|
—
|
|
Total interest rate swaps, futures contracts and currency forward contracts collateral pledged
|
306,175
|
|
|
173,414
|
|
Total collateral pledged:
|
|
|
|
||
Mortgage-backed and credit risk transfer securities
|
21,132,742
|
|
|
17,082,825
|
|
Loan participation interest
|
44,654
|
|
|
54,981
|
|
Cash
|
32,568
|
|
|
13,500
|
|
Restricted cash
|
116,995
|
|
|
—
|
|
Total collateral pledged
|
21,326,959
|
|
|
17,151,306
|
|
Collateral Held
|
December 31, 2019
|
|
December 31, 2018
|
||
Repurchase Agreements:
|
|
|
|
||
Cash
|
10
|
|
|
—
|
|
Non-cash collateral
|
181
|
|
|
—
|
|
Total repurchase agreements collateral held
|
191
|
|
|
—
|
|
Interest Rate Swaps:
|
|
|
|
||
Cash
|
160
|
|
|
18,083
|
|
Total interest rate swap collateral held
|
160
|
|
|
18,083
|
|
|
|
|
|
||
Total collateral held:
|
|
|
|
||
Cash
|
170
|
|
|
18,083
|
|
Non-cash collateral
|
181
|
|
|
—
|
|
Total collateral held
|
351
|
|
|
18,083
|
|
|
101
|
|
|
102
|
|
$ in thousands
|
Notional Amount as of December 31, 2018
|
|
Additions
|
|
Settlement,
Termination, Expiration or Exercise |
|
Notional Amount as
of December 31, 2019 |
||||
Interest Rate Swaps
|
12,370,000
|
|
|
26,950,000
|
|
|
(25,320,000
|
)
|
|
14,000,000
|
|
Futures Contracts
|
1,689,900
|
|
|
3,625,800
|
|
|
(5,315,700
|
)
|
|
—
|
|
Currency Forward Contracts
|
23,149
|
|
|
101,597
|
|
|
(101,635
|
)
|
|
23,111
|
|
Credit Derivatives
|
526,912
|
|
|
—
|
|
|
(61,946
|
)
|
|
464,966
|
|
Total
|
14,609,961
|
|
|
30,677,397
|
|
|
(30,799,281
|
)
|
|
14,488,077
|
|
|
103
|
|
$ in thousands
|
|
As of December 31, 2019
|
|||||||||
Maturities
|
|
Notional Amount (1)
|
|
Weighted Average Fixed Pay Rate
|
|
Weighted Average Receive Rate
|
|
Weighted Average Years to Maturity
|
|||
2020
|
|
1,900,000
|
|
|
1.67
|
%
|
|
1.84
|
%
|
|
0.6
|
2021
|
|
2,500,000
|
|
|
1.40
|
%
|
|
1.77
|
%
|
|
1.3
|
2022
|
|
800,000
|
|
|
1.53
|
%
|
|
1.91
|
%
|
|
2.9
|
2023
|
|
2,400,000
|
|
|
1.44
|
%
|
|
1.72
|
%
|
|
3.9
|
2024
|
|
900,000
|
|
|
1.49
|
%
|
|
1.76
|
%
|
|
4.8
|
Thereafter
|
|
5,500,000
|
|
|
1.44
|
%
|
|
1.78
|
%
|
|
9.5
|
Total
|
|
14,000,000
|
|
|
1.47
|
%
|
|
1.79
|
%
|
|
5.2
|
$ in thousands
|
|
As of December 31, 2018
|
|||||||||
Maturities
|
|
Notional Amount (2)
|
|
Weighted Average Fixed Pay Rate
|
|
Weighted Average Receive Rate
|
|
Weighted Average Years to Maturity
|
|||
2019
|
|
1,500,000
|
|
|
2.70
|
%
|
|
2.47
|
%
|
|
0.9
|
2020
|
|
1,500,000
|
|
|
2.78
|
%
|
|
2.51
|
%
|
|
1.7
|
2021
|
|
2,300,000
|
|
|
2.51
|
%
|
|
2.58
|
%
|
|
2.5
|
2022
|
|
2,550,000
|
|
|
2.13
|
%
|
|
2.65
|
%
|
|
3.4
|
2023
|
|
1,600,000
|
|
|
2.39
|
%
|
|
2.47
|
%
|
|
4.7
|
Thereafter
|
|
2,920,000
|
|
|
2.47
|
%
|
|
2.55
|
%
|
|
6.8
|
Total
|
|
12,370,000
|
|
|
2.46
|
%
|
|
2.55
|
%
|
|
3.7
|
(1)
|
Notional amount includes $10.7 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $3.3 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of December 31, 2019.
|
(2)
|
Notional amount includes $6.7 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $5.7 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of December 31, 2018.
|
$ in thousands
|
December 31, 2019
|
|
December 31, 2018
|
||
Fair value amount
|
10,281
|
|
|
22,771
|
|
Notional amount
|
464,966
|
|
|
526,912
|
|
Maximum potential amount of future undiscounted payments
|
464,966
|
|
|
526,912
|
|
|
104
|
|
$ in thousands
|
|
|
|
|
|
|
|
|
|
|
||||
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||||
|
|
As of December 31, 2019
|
|
As of December 31, 2018
|
|
|
|
As of December 31, 2019
|
|
As of December 31, 2018
|
||||
Balance
Sheet
|
|
Fair Value
|
|
Fair Value
|
|
Balance
Sheet
|
|
Fair Value
|
|
Fair Value
|
||||
Interest Rate Swaps Asset
|
|
18,533
|
|
|
15,089
|
|
|
Interest Rate Swaps Liability
|
|
—
|
|
|
15,382
|
|
Currency Forward Contracts
|
|
—
|
|
|
—
|
|
|
Currency Forward Contracts
|
|
352
|
|
|
172
|
|
Futures Contracts
|
|
—
|
|
|
—
|
|
|
Futures Contracts
|
|
—
|
|
|
7,836
|
|
Total Derivative Assets
|
|
18,533
|
|
|
15,089
|
|
|
Total Derivative Liabilities
|
|
352
|
|
|
23,390
|
|
$ in thousands
|
Year ended December 31, 2019
|
||||||||||
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
|
—
|
|
|
20,833
|
|
|
(12,490
|
)
|
|
8,343
|
|
$ in thousands
|
Year ended December 31, 2018
|
||||||||||
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
|
—
|
|
|
22,478
|
|
|
(22,629
|
)
|
|
(151
|
)
|
$ in thousands
|
Year ended December 31, 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
|
—
|
|
|
23,343
|
|
|
28,305
|
|
|
51,648
|
|
$ in thousands
|
Year ended December 31, 2019
|
||||||||||
Derivative
not designated as
hedging instrument
|
Realized gain (loss) on derivative instruments, net
|
|
Contractual net
interest income (expense)
|
|
Unrealized
gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
(440,626
|
)
|
|
35,840
|
|
|
18,826
|
|
|
(385,960
|
)
|
Future Contracts
|
(157,929
|
)
|
|
—
|
|
|
7,836
|
|
|
(150,093
|
)
|
Currency Forward Contracts
|
1,478
|
|
|
—
|
|
|
(180
|
)
|
|
1,298
|
|
Total
|
(597,077
|
)
|
|
35,840
|
|
|
26,482
|
|
|
(534,755
|
)
|
|
105
|
|
$ in thousands
|
Year ended December 31, 2018
|
||||||||||
Derivative
not designated as
hedging instrument
|
Realized gain (loss) on derivative instruments, net
|
|
Contractual net
interest income (expense)
|
|
Unrealized
gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
81,417
|
|
|
(20,015
|
)
|
|
24,358
|
|
|
85,760
|
|
Future Contracts
|
(86,318
|
)
|
|
—
|
|
|
(7,836
|
)
|
|
(94,154
|
)
|
Currency Forward Contracts
|
2,088
|
|
|
—
|
|
|
1,046
|
|
|
3,134
|
|
TBAs
|
(17
|
)
|
|
—
|
|
|
—
|
|
|
(17
|
)
|
Total
|
(2,830
|
)
|
|
(20,015
|
)
|
|
17,568
|
|
|
(5,277
|
)
|
$ in thousands
|
Year ended December 31, 2017
|
||||||||||
Derivative
not designated as hedging instrument |
Realized gain (loss) on derivative instruments, net
|
|
Contractual net
interest income (expense)
|
|
Unrealized
gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
72,894
|
|
|
(77,076
|
)
|
|
28,316
|
|
|
24,134
|
|
Currency Forward Contracts
|
(5,056
|
)
|
|
—
|
|
|
(923
|
)
|
|
(5,979
|
)
|
Total
|
67,838
|
|
|
(77,076
|
)
|
|
27,393
|
|
|
18,155
|
|
|
|
106
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
|
||||||||
$ in thousands
Description
|
Gross
Amounts of
Recognized
Liabilities
|
|
Gross
Amounts
Offset in the
Consolidated
Balance
Sheets
|
|
Net Amounts
of Liabilities
presented
in the
Consolidated
Balance Sheets
|
|
Financial
Instruments (1)
|
|
Cash Collateral
Pledged
|
|
Net Amount
|
||||||
Derivatives (2)
|
352
|
|
|
—
|
|
|
352
|
|
|
—
|
|
|
(320
|
)
|
|
32
|
|
Repurchase Agreements (3)
|
17,532,303
|
|
|
—
|
|
|
17,532,303
|
|
|
(17,532,303
|
)
|
|
—
|
|
|
—
|
|
Secured Loans (4)
|
1,650,000
|
|
|
—
|
|
|
1,650,000
|
|
|
(1,650,000
|
)
|
|
—
|
|
|
—
|
|
Total
|
19,182,655
|
|
|
—
|
|
|
19,182,655
|
|
|
(19,182,303
|
)
|
|
(320
|
)
|
|
32
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
|
||||||||
$ in thousands
Description
|
Gross
Amounts of
Recognized
Assets
|
|
Gross
Amounts
Offset in the
Consolidated
Balance
Sheets
|
|
Net Amounts
of Assets
presented
in the
Consolidated
Balance Sheets
|
|
Financial
Instruments
|
|
Cash
Collateral
Received
|
|
Net Amount
|
||||||
Derivatives (3)(5)
|
15,089
|
|
|
—
|
|
|
15,089
|
|
|
(433
|
)
|
|
(14,656
|
)
|
|
—
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
|
||||||||
$ in thousands
Description
|
Gross
Amounts of
Recognized
Liabilities
|
|
Gross
Amounts
Offset in the
Consolidated
Balance
Sheets
|
|
Net Amounts
of Liabilities
presented
in the
Consolidated
Balance Sheets
|
|
Financial
Instruments (1)
|
|
Cash
Collateral
Pledged
|
|
Net Amount
|
||||||
Derivatives (2)
|
10,239
|
|
|
—
|
|
|
10,239
|
|
|
(2,058
|
)
|
|
(7,836
|
)
|
|
345
|
|
Repurchase Agreements (3)
|
13,602,484
|
|
|
—
|
|
|
13,602,484
|
|
|
(13,602,484
|
)
|
|
—
|
|
|
—
|
|
Secured Loans (4)
|
1,650,000
|
|
|
—
|
|
|
1,650,000
|
|
|
(1,650,000
|
)
|
|
—
|
|
|
—
|
|
Total
|
15,262,723
|
|
|
—
|
|
|
15,262,723
|
|
|
(15,254,542
|
)
|
|
(7,836
|
)
|
|
345
|
|
(1)
|
Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives.
|
(2)
|
The fair value of securities pledged against our derivatives was $189.8 million at December 31, 2019 (December 31, 2018: $159.9 million), of which $189.8 million (December 31, 2018: $158.3 million) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $160,000 and $18.1 million at December 31, 2019 and December 31, 2018, respectively. Cash collateral pledged by us on our futures contracts and interest rate swaps was $116.4 million and $13.5 million at December 31, 2019 and December 31, 2018, respectively. 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 December 31, 2019 and December 31, 2018, respectively.
|
(3)
|
The fair value of securities pledged against our borrowing under repurchase agreements was $19.1 billion and $15.0 billion at December 31, 2019 and December 31, 2018, respectively. We pledged cash collateral of $32.6 million and held cash collateral of $10,000 under repurchase agreements as of December 31, 2019.
|
(4)
|
The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion and $1.9 billion at December 31, 2019 and December 31, 2018, respectively.
|
(5)
|
Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at December 31, 2018, subject to a netting arrangement.
|
|
107
|
|
•
|
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.
|
|
December 31, 2019
|
|
|
|||||||||||
|
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)
|
—
|
|
|
21,761,505
|
|
|
10,281
|
|
|
—
|
|
|
21,771,786
|
|
Derivative assets
|
—
|
|
|
18,533
|
|
|
—
|
|
|
—
|
|
|
18,533
|
|
Other assets (4)
|
—
|
|
|
—
|
|
|
44,654
|
|
|
21,998
|
|
|
66,652
|
|
Total assets
|
—
|
|
|
21,780,038
|
|
|
54,935
|
|
|
21,998
|
|
|
21,856,971
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|||||
Derivative liabilities
|
—
|
|
|
352
|
|
|
—
|
|
|
—
|
|
|
352
|
|
Total liabilities
|
—
|
|
|
352
|
|
|
—
|
|
|
—
|
|
|
352
|
|
|
December 31, 2018
|
|
|
|||||||||||
|
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)
|
—
|
|
|
17,373,871
|
|
|
22,771
|
|
|
—
|
|
|
17,396,642
|
|
Derivative assets
|
—
|
|
|
15,089
|
|
|
—
|
|
|
—
|
|
|
15,089
|
|
Other assets(4)
|
—
|
|
|
—
|
|
|
54,981
|
|
|
24,012
|
|
|
78,993
|
|
Total assets
|
—
|
|
|
17,388,960
|
|
|
77,752
|
|
|
24,012
|
|
|
17,490,724
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|||||
Derivative liabilities
|
7,836
|
|
|
15,554
|
|
|
—
|
|
|
—
|
|
|
23,390
|
|
Total liabilities
|
7,836
|
|
|
15,554
|
|
|
—
|
|
|
—
|
|
|
23,390
|
|
(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 December 31, 2019, the net embedded derivative asset position of $10.3 million includes $19.5 million of embedded derivatives in an asset position and $9.2 million of embedded derivatives in a liability position. As of December 31, 2018, the net embedded derivative asset position of $22.8 million includes $28.8 million of embedded derivatives in an asset position and $6.0 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 December 31, 2019 and December 31, 2018, the weighted average remaining term of investments in unconsolidated ventures is 2.2 years and 2.6 years, respectively.
|
(4)
|
Includes $44.7 million and $55.0 million of a loan participation interest as of December 31, 2019 and December 31, 2018, respectively. The loan participation interest is transferable and bears interest at a variable rate based on LIBOR plus a spread and resets daily. As a result, the cost of the loan participation interest approximates its fair value.
|
|
108
|
|
|
Years Ended
|
||||
$ in thousands
|
December 31, 2019
|
|
December 31, 2018
|
||
Beginning balance
|
22,771
|
|
|
45,400
|
|
Unrealized gains/(losses), net (1)
|
(12,490
|
)
|
|
(22,629
|
)
|
Ending balance
|
10,281
|
|
|
22,771
|
|
(1)
|
Included in realized and unrealized credit derivative income (loss), net in the consolidated statements of operations are $12.5 million in net unrealized losses and $22.6 million in net unrealized losses attributable to assets still held as of December 31, 2019 and December 31, 2018, respectively.
|
|
Year Ended
|
||||
$ in thousands
|
December 31, 2019
|
|
December 31, 2018
|
||
Beginning balance
|
54,981
|
|
|
—
|
|
Purchases/Advances
|
7,962
|
|
|
54,981
|
|
Repayments
|
(18,289
|
)
|
|
—
|
|
Ending balance
|
44,654
|
|
|
54,981
|
|
|
Fair Value at
|
|
|
|
|
|
|
|
|
||
$ in thousands
|
December 31, 2019
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted Average
|
||
GSE CRT Embedded Derivatives
|
10,281
|
|
|
Market Comparables, Vendor Pricing
|
|
Weighted average life
|
|
1.1 - 4.2 years
|
|
2.9
|
years
|
|
Fair Value at
|
|
|
|
|
|
|
|
|
|
$ in thousands
|
December 31, 2018
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted Average
|
|
GSE CRT Embedded Derivatives
|
22,771
|
|
|
Market Comparables, Vendor Pricing
|
|
Weighted average life
|
|
2.9 - 5.9 years
|
|
4.3 years
|
|
109
|
|
|
December 31, 2019
|
|
December 31, 2018
|
||||||||
$ in thousands
|
Carrying
Value
|
|
Estimated
Fair Value
|
|
Carrying
Value
|
|
Estimated
Fair Value
|
||||
Financial Assets:
|
|
|
|
|
|
|
|
||||
Commercial loans, held-for-investment
|
24,055
|
|
|
24,397
|
|
|
31,582
|
|
|
31,826
|
|
FHLBI stock
|
74,250
|
|
|
74,250
|
|
|
74,250
|
|
|
74,250
|
|
Total
|
98,305
|
|
|
98,647
|
|
|
105,832
|
|
|
106,076
|
|
Financial Liabilities:
|
|
|
|
|
|
|
|
||||
Repurchase agreements
|
17,532,303
|
|
|
17,534,344
|
|
|
13,602,484
|
|
|
13,602,050
|
|
Secured loans
|
1,650,000
|
|
|
1,650,000
|
|
|
1,650,000
|
|
|
1,650,000
|
|
Total
|
19,182,303
|
|
|
19,184,344
|
|
|
15,252,484
|
|
|
15,252,050
|
|
•
|
The estimated fair value of commercial loans held-for-investment, included in “Other assets” on our consolidated balance sheets, 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” on our consolidated balance sheets, is a Level 3 fair value measurement. FHLBI stock may only be sold back to the FHLBI at its discretion at par. 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.
|
|
110
|
|
|
Years ended December 31,
|
|||||||
$ in thousands
|
2019
|
|
2018
|
|
2017
|
|||
Incurred costs, prepaid or expensed
|
7,343
|
|
|
6,483
|
|
|
5,997
|
|
Incurred costs, charged against equity as a cost of raising capital
|
950
|
|
|
230
|
|
|
299
|
|
Total incurred costs, originally paid by our Manager
|
8,293
|
|
|
6,713
|
|
|
6,296
|
|
|
111
|
|
|
112
|
|
|
Year Ended December 31,
|
|||||
|
2019
|
|||||
|
Restricted Stock Units
|
|
Weighted Average Grant Date Fair Value
|
|||
Unvested at the beginning of the year
|
11,051
|
|
|
$
|
14.55
|
|
Shares granted during the year
|
6,189
|
|
|
15.92
|
|
|
Shares vested during the year
|
(4,720
|
)
|
|
14.48
|
|
|
Unvested at the end of the year
|
12,520
|
|
|
$
|
15.25
|
|
|
December 31, 2019
|
||||||||||
$ in thousands
|
Equity method investments
|
|
Available-for-sale securities
|
|
Derivatives and hedging
|
|
Total
|
||||
Total other comprehensive income (loss), net:
|
|
|
|
|
|
|
|
||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net
|
—
|
|
|
83,965
|
|
|
—
|
|
|
83,965
|
|
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net
|
—
|
|
|
9,072
|
|
|
—
|
|
|
9,072
|
|
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense
|
—
|
|
|
—
|
|
|
(23,729
|
)
|
|
(23,729
|
)
|
Currency translation adjustments on investment in unconsolidated venture
|
(1,158
|
)
|
|
—
|
|
|
—
|
|
|
(1,158
|
)
|
Total other comprehensive income (loss), net
|
(1,158
|
)
|
|
93,037
|
|
|
(23,729
|
)
|
|
68,150
|
|
|
|
|
|
|
|
|
|
||||
AOCI balance at beginning of period
|
513
|
|
|
120,664
|
|
|
99,636
|
|
|
220,813
|
|
Total other comprehensive income/(loss), net
|
(1,158
|
)
|
|
93,037
|
|
|
(23,729
|
)
|
|
68,150
|
|
AOCI balance at end of period
|
(645
|
)
|
|
213,701
|
|
|
75,907
|
|
|
288,963
|
|
|
113
|
|
|
December 31, 2018
|
||||||||||
$ in thousands
|
Equity method investments
|
|
Available-for-sale securities
|
|
Derivatives and hedging
|
|
Total
|
||||
Total other comprehensive income (loss), net:
|
|
|
|
|
|
|
|
||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net
|
—
|
|
|
(210,424
|
)
|
|
—
|
|
|
(210,424
|
)
|
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net
|
—
|
|
|
193,162
|
|
|
—
|
|
|
193,162
|
|
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense
|
—
|
|
|
—
|
|
|
(25,839
|
)
|
|
(25,839
|
)
|
Currency translation adjustments on investment in unconsolidated venture
|
(447
|
)
|
|
—
|
|
|
—
|
|
|
(447
|
)
|
Total other comprehensive income (loss), net
|
(447
|
)
|
|
(17,262
|
)
|
|
(25,839
|
)
|
|
(43,548
|
)
|
|
|
|
|
|
|
|
|
||||
AOCI balance at beginning of period
|
947
|
|
|
136,188
|
|
|
123,894
|
|
|
261,029
|
|
Total other comprehensive income/(loss), net
|
(447
|
)
|
|
(17,262
|
)
|
|
(25,839
|
)
|
|
(43,548
|
)
|
Other comprehensive income/(loss) attributable to non-controlling interest
|
6
|
|
|
927
|
|
|
300
|
|
|
1,233
|
|
Rebalancing of ownership percentage of non-controlling interest
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
Purchase of OP units from non-controlling interest
|
7
|
|
|
812
|
|
|
1,281
|
|
|
2,100
|
|
AOCI balance at end of period
|
513
|
|
|
120,664
|
|
|
99,636
|
|
|
220,813
|
|
$ in thousands, except per share amounts
|
Dividends Declared
|
||||||
Series A Preferred Stock
|
Per Share
|
|
In Aggregate
|
|
Date of Payment
|
||
2019
|
|
|
|
|
|
||
December 16, 2019
|
0.4844
|
|
|
2,712
|
|
|
January 27, 2020
|
September 16, 2019
|
0.4844
|
|
|
2,713
|
|
|
October 25, 2019
|
June 17, 2019
|
0.4844
|
|
|
2,712
|
|
|
July 25, 2019
|
March 18, 2019
|
0.4844
|
|
|
2,713
|
|
|
April 25, 2019
|
2018
|
|
|
|
|
|
||
December 14, 2018
|
0.4844
|
|
|
2,713
|
|
|
January 25, 2019
|
September 14, 2018
|
0.4844
|
|
|
2,713
|
|
|
October 25, 2018
|
June 15, 2018
|
0.4844
|
|
|
2,712
|
|
|
July 25, 2018
|
March 15, 2018
|
0.4844
|
|
|
2,713
|
|
|
April 25, 2018
|
|
114
|
|
$ in thousands, except per share amounts
|
Dividends Declared
|
||||||
Series B Preferred Stock
|
Per Share
|
|
In Aggregate
|
|
Date of Payment
|
||
2019
|
|
|
|
|
|
||
November 5, 2019
|
0.4844
|
|
|
3,003
|
|
|
December 27, 2019
|
August 1, 2019
|
0.4844
|
|
|
3,003
|
|
|
September 27, 2019
|
May 3, 2019
|
0.4844
|
|
|
3,004
|
|
|
June 27, 2019
|
February 14, 2019
|
0.4844
|
|
|
3,003
|
|
|
March 27, 2019
|
2018
|
|
|
|
|
|
||
November 6, 2018
|
0.4844
|
|
|
3,003
|
|
|
December 27, 2018
|
August 2, 2018
|
0.4844
|
|
|
3,003
|
|
|
September 27, 2018
|
May 2, 2018
|
0.4844
|
|
|
3,004
|
|
|
June 27, 2018
|
February 15, 2018
|
0.4844
|
|
|
3,003
|
|
|
March 27, 2018
|
|
Dividends Declared
|
||||||
Series C Preferred Stock
|
Per Share
|
|
In Aggregate
|
|
Date of Payment
|
||
2019
|
|
|
|
|
|
||
November 5, 2019
|
0.46875
|
|
|
5,391
|
|
|
December 27, 2019
|
August 1, 2019
|
0.46875
|
|
|
5,391
|
|
|
September 27, 2019
|
May 3, 2019
|
0.46875
|
|
|
5,390
|
|
|
June 27, 2019
|
February 14, 2019
|
0.46875
|
|
|
5,391
|
|
|
March 27, 2019
|
2018
|
|
|
|
|
|
||
November 6, 2018
|
0.46875
|
|
|
5,391
|
|
|
December 27, 2018
|
August 2, 2018
|
0.46875
|
|
|
5,391
|
|
|
September 27, 2018
|
May 2, 2018
|
0.46875
|
|
|
5,390
|
|
|
June 27, 2018
|
February 15, 2018
|
0.46875
|
|
|
5,391
|
|
|
March 27, 2018
|
Common Stock
|
Dividends Declared
|
||||||
|
Per Share
|
|
In Aggregate
|
|
Date of Payment
|
||
2019
|
|
|
|
|
|
||
December 16, 2019
|
0.50
|
|
|
72,132
|
|
|
January 28, 2020
|
September 16, 2019
|
0.45
|
|
|
64,261
|
|
|
October 28, 2019
|
June 17, 2019
|
0.45
|
|
|
57,958
|
|
|
July 26, 2019
|
March 18, 2019
|
0.45
|
|
|
57,720
|
|
|
April 26, 2019
|
2018
|
|
|
|
|
|
||
December 14, 2018
|
0.42
|
|
|
46,866
|
|
|
January 28, 2019
|
September 14, 2018
|
0.42
|
|
|
46,895
|
|
|
October 26, 2018
|
June 15, 2018
|
0.42
|
|
|
46,890
|
|
|
July 26, 2018
|
March 15, 2018
|
0.42
|
|
|
46,887
|
|
|
April 26, 2018
|
|
115
|
|
|
|
|
Tax Characterization of Dividends
|
|||||||||||
Fiscal Tax Year
|
Dividends Declared
|
|
Ordinary Dividends
|
|
Return of Capital
|
|
Capital Gain Distribution
|
|
Carry Forward
|
|||||
Series A Preferred Stock Dividends
|
|
|
|
|
|
|
|
|
|
|||||
Fiscal tax year 2019 (1)
|
1.937600
|
|
|
—
|
|
|
1.937600
|
|
|
—
|
|
|
—
|
|
Fiscal tax year 2018 (2)
|
1.937600
|
|
|
1.937600
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Series B Preferred Stock Dividends
|
|
|
|
|
|
|
|
|
|
|||||
Fiscal tax year 2019
|
1.937600
|
|
|
—
|
|
|
1.937600
|
|
|
—
|
|
|
—
|
|
Fiscal tax year 2018
|
1.937600
|
|
|
1.937600
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Series C Preferred Stock Dividends
|
|
|
|
|
|
|
|
|
|
|||||
Fiscal tax year 2019
|
1.875000
|
|
|
—
|
|
|
1.875000
|
|
|
—
|
|
|
—
|
|
Fiscal tax year 2018
|
1.875000
|
|
|
1.875000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Common Stock Dividends
|
|
|
|
|
|
|
|
|
|
|||||
Fiscal tax year 2019 (3)
|
1.850000
|
|
|
—
|
|
|
1.350000
|
|
|
—
|
|
|
0.500000
|
|
Fiscal tax year 2018 (4)
|
1.680000
|
|
|
1.378178
|
|
|
—
|
|
|
—
|
|
|
0.301822
|
|
(1)
|
Excludes preferred stock dividend of $0.4844 per share declared on December 16, 2019 that has a record date of January 1, 2020. This dividend is a 2020 dividend for federal income tax purposes.
|
(2)
|
Excludes preferred stock dividend of $0.4844 per share declared on December 14, 2018 that had a record date of January 1, 2019. This dividend is a 2019 dividend for federal income tax purposes.
|
(3)
|
Our fourth quarter dividend declared on December 16, 2019 that has a record date of December 27, 2019 was paid on January 28, 2020. This dividend is a 2020 dividend for federal income tax purposes.
|
(4)
|
Our fourth quarter dividend declared on December 14, 2018 that had a record date of December 26, 2018 was paid on January 28, 2019. A portion of this dividend, $0.301822 per share, was a 2019 dividend for tax purposes and treated as a return of capital.
|
|
116
|
|
In thousands except per share amounts
|
Years Ended December 31,
|
|||||||
|
2019
|
|
2018
|
|
2017
|
|||
Numerator (Income)
|
|
|
|
|
|
|||
Basic Earnings:
|
|
|
|
|
|
|||
Net income (loss) available to common stockholders
|
319,675
|
|
|
(115,216
|
)
|
|
320,527
|
|
Effect of dilutive securities:
|
|
|
|
|
|
|||
Income allocated to exchangeable senior notes (1)
|
—
|
|
|
—
|
|
|
13,340
|
|
Income (loss) allocated to non-controlling interest (2)
|
—
|
|
|
—
|
|
|
4,450
|
|
Dilutive net income (loss) available to stockholders
|
319,675
|
|
|
(115,216
|
)
|
|
338,317
|
|
Denominator (Weighted Average Shares)
|
|
|
|
|
|
|||
Basic Earnings:
|
|
|
|
|
|
|||
Shares available to common stockholders
|
132,306
|
|
|
111,637
|
|
|
111,610
|
|
Effect of dilutive securities:
|
|
|
|
|
|
|||
Restricted stock awards
|
12
|
|
|
—
|
|
|
20
|
|
Non-controlling interest OP Units (2)
|
—
|
|
|
—
|
|
|
1,425
|
|
Exchangeable senior notes (1)
|
—
|
|
|
—
|
|
|
9,986
|
|
Dilutive Shares
|
132,318
|
|
|
111,637
|
|
|
123,041
|
|
Earnings (loss) per share:
|
|
|
|
|
|
|||
Net income (loss) attributable to common stockholders
|
|
|
|
|
|
|||
Basic
|
2.42
|
|
|
(1.03
|
)
|
|
2.87
|
|
Diluted
|
2.42
|
|
|
(1.03
|
)
|
|
2.75
|
|
(1)
|
The Company repaid its exchangeable senior notes in March 2018.
|
(2)
|
The Company redeemed all OP Units of the non-controlling interest holder in November 2018 as discussed in Note 14 - "Non-Controlling Interest - Operating Partnership".
|
|
117
|
|
|
Years ended December 31,
|
||||
$ in thousands
|
2018
|
|
2017
|
||
Net income (loss) attributable to Invesco Mortgage Capital Inc.
|
(70,790
|
)
|
|
348,607
|
|
Transfers from non-controlling interest:
|
|
|
|
||
Decrease in additional paid-in capital due to purchase of OP units
|
(798
|
)
|
|
—
|
|
Net transfers from non-controlling interest
|
(798
|
)
|
|
—
|
|
Change from net income (loss) attributable to Invesco Mortgage Capital Inc. common stockholders and transfers (to) from non-controlling interest
|
(71,588
|
)
|
|
348,607
|
|
|
Years ended December 31,
|
||||
$ in thousands
|
2018
|
|
2017
|
||
Net income (loss) allocated
|
254
|
|
|
4,450
|
|
Distributions paid
|
2,394
|
|
|
2,294
|
|
|
118
|
|
$ in thousands except share amounts
|
Q4 19
|
|
Q3 19
|
|
Q2 19
|
|
Q1 19
|
|
Q4 18
|
|
Q3 18
|
|
Q2 18
|
|
Q1 18
|
||||||||
Interest Income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Mortgage-backed and credit risk transfer securities
|
191,490
|
|
|
194,938
|
|
|
200,737
|
|
|
185,492
|
|
|
174,511
|
|
|
160,416
|
|
|
147,548
|
|
|
149,003
|
|
Commercial and other loans
|
1,291
|
|
|
1,353
|
|
|
1,484
|
|
|
1,582
|
|
|
1,593
|
|
|
1,672
|
|
|
4,051
|
|
|
4,222
|
|
Total interest income
|
192,781
|
|
|
196,291
|
|
|
202,221
|
|
|
187,074
|
|
|
176,104
|
|
|
162,088
|
|
|
151,599
|
|
|
153,225
|
|
Interest Expense
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements
|
97,993
|
|
|
112,851
|
|
|
117,978
|
|
|
101,875
|
|
|
91,057
|
|
|
81,763
|
|
|
69,389
|
|
|
59,585
|
|
Secured loans
|
8,808
|
|
|
10,413
|
|
|
11,258
|
|
|
11,144
|
|
|
10,565
|
|
|
9,490
|
|
|
8,471
|
|
|
6,927
|
|
Exchangeable senior notes
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,621
|
|
Total interest expense
|
106,801
|
|
|
123,264
|
|
|
129,236
|
|
|
113,019
|
|
|
101,622
|
|
|
91,253
|
|
|
77,860
|
|
|
68,133
|
|
Net interest income
|
85,980
|
|
|
73,027
|
|
|
72,985
|
|
|
74,055
|
|
|
74,482
|
|
|
70,835
|
|
|
73,739
|
|
|
85,092
|
|
Other income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Gain (loss) on investments, net
|
(148,511
|
)
|
|
202,413
|
|
|
302,182
|
|
|
268,382
|
|
|
76,957
|
|
|
(207,910
|
)
|
|
(36,377
|
)
|
|
(160,370
|
)
|
Equity in earnings of unconsolidated ventures
|
427
|
|
|
403
|
|
|
702
|
|
|
692
|
|
|
624
|
|
|
1,084
|
|
|
798
|
|
|
896
|
|
Gain (loss) on derivative instruments, net
|
188,682
|
|
|
(177,244
|
)
|
|
(344,733
|
)
|
|
(201,460
|
)
|
|
(293,485
|
)
|
|
87,672
|
|
|
67,169
|
|
|
133,367
|
|
Realized and unrealized credit derivative income (loss), net
|
2,896
|
|
|
1
|
|
|
(2,438
|
)
|
|
7,884
|
|
|
(9,026
|
)
|
|
4,975
|
|
|
735
|
|
|
3,165
|
|
Net loss on extinguishment of debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(26
|
)
|
Other investment income (loss), net
|
909
|
|
|
1,005
|
|
|
1,007
|
|
|
1,029
|
|
|
850
|
|
|
1,068
|
|
|
(2,160
|
)
|
|
3,102
|
|
Total other income (loss)
|
44,403
|
|
|
26,578
|
|
|
(43,280
|
)
|
|
76,527
|
|
|
(224,080
|
)
|
|
(113,111
|
)
|
|
30,165
|
|
|
(19,866
|
)
|
Expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Management fee – related party
|
10,529
|
|
|
8,740
|
|
|
9,370
|
|
|
9,534
|
|
|
10,294
|
|
|
10,105
|
|
|
10,102
|
|
|
10,221
|
|
General and administrative
|
1,882
|
|
|
1,862
|
|
|
1,999
|
|
|
2,258
|
|
|
2,116
|
|
|
1,673
|
|
|
1,525
|
|
|
1,756
|
|
Total expenses
|
12,411
|
|
|
10,602
|
|
|
11,369
|
|
|
11,792
|
|
|
12,410
|
|
|
11,778
|
|
|
11,627
|
|
|
11,977
|
|
Net income (loss)
|
117,972
|
|
|
89,003
|
|
|
18,336
|
|
|
138,790
|
|
|
(162,008
|
)
|
|
(54,054
|
)
|
|
92,277
|
|
|
53,249
|
|
Net income (loss) attributable to non-controlling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(899
|
)
|
|
(681
|
)
|
|
1,163
|
|
|
671
|
|
Net income (loss) attributable to Invesco Mortgage Capital Inc.
|
117,972
|
|
|
89,003
|
|
|
18,336
|
|
|
138,790
|
|
|
(161,109
|
)
|
|
(53,373
|
)
|
|
91,114
|
|
|
52,578
|
|
Dividends to preferred stockholders
|
11,106
|
|
|
11,107
|
|
|
11,106
|
|
|
11,107
|
|
|
11,106
|
|
|
11,107
|
|
|
11,106
|
|
|
11,107
|
|
Net income (loss) attributable to common stockholders
|
106,866
|
|
|
77,896
|
|
|
7,230
|
|
|
127,683
|
|
|
(172,215
|
)
|
|
(64,480
|
)
|
|
80,008
|
|
|
41,471
|
|
Earnings (loss) per share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Net income (loss) attributable to common stockholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Basic
|
0.75
|
|
|
0.57
|
|
|
0.06
|
|
|
1.05
|
|
|
(1.54
|
)
|
|
(0.58
|
)
|
|
0.72
|
|
|
0.37
|
|
Diluted
|
0.75
|
|
|
0.57
|
|
|
0.06
|
|
|
1.05
|
|
|
(1.54
|
)
|
|
(0.58
|
)
|
|
0.72
|
|
|
0.37
|
|
|
119
|
|
|
120
|
|
$ in thousands
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Asset Type
|
|
Property Type
|
|
Location
|
|
Interest Rate
|
|
Maturity Date
|
|
Periodic Payment Terms(1)
|
|
Prior Liens
|
|
Face Amount of Mortgages
|
|
Carrying Amount of Mortgages
|
|
Principal Amount of Loans Subject to Delinquent Principal or Interest
|
||||
Mezzanine Loan
|
|
Hotel
|
|
TX
|
|
L+8.50%
|
|
2/28/2021
|
|
I
|
|
—
|
|
|
24,055
|
|
|
24,055
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,055
|
|
|
24,055
|
|
(2)
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest (“I”) only until stated maturity of the loan.
|
||||||||||||||||||||||
(2) The aggregate cost for federal income tax purposes is $24.1 million.
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019
|
|
2018
|
|
2017
|
||||
Beginning balance
|
|
|
|
|
|
|
|
|
|
|
|
31,582
|
|
|
191,808
|
|
|
273,355
|
|
|||
Additions:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Originations and purchases of new loans
|
|
|
|
|
|
|
|
—
|
|
|
1,677
|
|
|
4,799
|
|
|||||||
Amortization of commercial loan origination fees and premium (discount)
|
|
|
|
—
|
|
|
91
|
|
|
337
|
|
|||||||||||
Deductions:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Collection of principal
|
|
|
|
|
|
|
|
|
|
|
|
7,527
|
|
|
160,934
|
|
|
90,713
|
|
|||
Loss on foreign currency revaluation
|
|
|
|
|
|
|
|
|
|
—
|
|
|
1,060
|
|
|
(4,030
|
)
|
|||||
Ending balance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,055
|
|
|
31,582
|
|
|
191,808
|
|
|
121
|
|
|
|
Invesco Mortgage Capital Inc.
|
|
|
|
|
By:
|
/s/ John M. Anzalone
|
|
|
John M. Anzalone
Chief Executive Officer
|
|
Date:
|
February 19, 2020
|
|
Signatures
|
|
Title
|
|
Date
|
|
|
|
|
|
|
By:
|
/s/ John M. Anzalone
|
|
Chief Executive Officer
|
|
February 19, 2020
|
|
John M. Anzalone
|
|
(principal executive officer)
|
|
|
|
|
|
|
|
|
By:
|
/s/ R. Lee Phegley, Jr.
|
|
Chief Financial Officer
|
|
February 19, 2020
|
|
R. Lee Phegley, Jr.
|
|
(principal financial officer)
|
|
|
|
|
|
|
|
|
By:
|
/s/ Roseann M. Perlis
|
|
Chief Accounting Officer
|
|
February 19, 2020
|
|
Roseann M. Perlis
|
|
(principal accounting officer)
|
|
|
|
|
|
|
|
|
By:
|
/s/ John S. Day
|
|
Director
|
|
February 19, 2020
|
|
John S. Day
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ Carolyn B. Handlon
|
|
Director
|
|
February 19, 2020
|
|
Carolyn B. Handlon
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ Edward J. Hardin
|
|
Director
|
|
February 19, 2020
|
|
Edward J. Hardin
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ James R. Lientz, Jr.
|
|
Director
|
|
February 19, 2020
|
|
James R. Lientz, Jr.
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ Dennis P. Lockhart
|
|
Director
|
|
February 19, 2020
|
|
Dennis P. Lockhart
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ Gregory G. McGreevey
|
|
Director
|
|
February 19, 2020
|
|
Gregory G. McGreevey
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ Loren M. Starr
|
|
Director
|
|
February 19, 2020
|
|
Loren M. Starr
|
|
|
|
|
|
122
|
|
•
|
any person from beneficially or constructively owning, applying certain attribution rules of the Internal Revenue Code, our shares of stock that would result in our being “closely held” under Section 856(h) of the Internal Revenue Code or otherwise cause us to fail to qualify as a REIT; and
|
•
|
any person from transferring our shares of stock if such transfer would result in our shares of stock being beneficially owned by fewer than 100 persons (determined without reference to any rules of attribution).
|
•
|
to rescind as void any vote cast by a purported record transferee prior to our discovery that the shares have been transferred to the trust; and
|
•
|
to recast the vote in accordance with the desires of the trustee acting for the benefit of the beneficiary of the trust.
|
•
|
the acquisition by any person, including any syndicate or group deemed to be a “person” under Section 13(d)(3) of the Securities Exchange Act of 1934, as amended, or the Exchange Act, of beneficial ownership, directly or indirectly, through a purchase, merger or other acquisition transaction or series of purchases, mergers or other acquisition transactions of our stock entitling that person to exercise more than 50% of the total voting power of all our stock entitled to vote generally in the election of our directors (except that such person will be deemed to have beneficial ownership of all securities that such person has the right to acquire, whether such right is currently exercisable or is exercisable only upon the occurrence of a subsequent condition); and
|
•
|
following the closing of any transaction referred to in the bullet point above, neither we nor the acquiring or surviving entity has a class of common securities (or American Depositary Receipts representing such securities) listed on the NYSE, the NYSE MKT or Nasdaq, or listed or quoted on an exchange or quotation system that is a successor to the NYSE, the NYSE MKT or Nasdaq.
|
•
|
the redemption date;
|
•
|
the number of shares of Series A Preferred Stock to be redeemed;
|
•
|
the redemption price;
|
•
|
the place or places where certificates (if any) for the Series A Preferred Stock are to be surrendered for payment of the redemption price;
|
•
|
that dividends on the shares to be redeemed will cease to accumulate on the redemption date;
|
•
|
whether such redemption is being made pursuant to the provisions described above under “-Optional Redemption” or “-Special Optional Redemption”;
|
•
|
if applicable, that such redemption is being made in connection with a Change of Control and, in that case, a brief description of the transaction or transactions constituting such Change of Control; and
|
•
|
if such redemption is being made in connection with a Change of Control, that the holders of the shares of Series A Preferred Stock being so called for redemption will not be able to tender such shares of Series A Preferred Stock for conversion in connection with the Change of Control and that each share of Series A Preferred Stock tendered for conversion that is called, prior to the Change of Control Conversion Date (as defined below), for redemption will be redeemed on the related date of redemption instead of converted on the Change of Control Conversion Date.
|
•
|
the quotient obtained by dividing (i) the sum of the $25.00 liquidation preference per share of Series A Preferred Stock plus the amount of any accumulated and unpaid dividends thereon to, but not including, the Change of Control Conversion Date (unless the Change of Control Conversion Date is after a Dividend Record Date and prior to the corresponding dividend payment date for the Series A Preferred Stock, in which case no additional amount for such accrued and unpaid dividend will be included in this sum) by (ii) the Common Stock Price, as defined below (such quotient, the “Conversion Rate” for the Series A Preferred Stock); and
|
•
|
2.6427, or the Series A Share Cap, subject to certain adjustments as described below.
|
•
|
the events constituting the Change of Control;
|
•
|
the date of the Change of Control;
|
•
|
the last date on which the holders of Series A Preferred Stock may exercise their Change of Control Conversion Right;
|
•
|
the method and period for calculating the Common Stock Price;
|
•
|
the Change of Control Conversion Date;
|
•
|
that if, prior to the Change of Control Conversion Date, we have provided notice of our election to redeem all or any shares of Series A Preferred Stock, holders will not be able to convert the shares of Series A Preferred Stock called for
|
•
|
if applicable, the type and amount of Alternative Conversion Consideration entitled to be received per share of Series A Preferred Stock;
|
•
|
the name and address of the paying agent, transfer agent and conversion agent for the Series A Preferred Stock;
|
•
|
the procedures that the holders of Series A Preferred Stock must follow to exercise the Change of Control Conversion Right (including procedures for surrendering shares for conversion through the facilities of a Depositary (as defined below)), including the form of conversion notice to be delivered by such holders as described below; and
|
•
|
the last date on which holders of Series A Preferred Stock may withdraw shares surrendered for conversion and the procedures that such holders must follow to effect such a withdrawal.
|
•
|
the relevant Change of Control Conversion Date;
|
•
|
the number of shares of Series A Preferred Stock to be converted; and
|
•
|
that the Series A Preferred Stock is to be converted pursuant to the applicable provisions of the Series A Preferred Stock.
|
•
|
the number of withdrawn shares of Series A Preferred Stock;
|
•
|
if certificated Series A Preferred Stock has been surrendered for conversion, the certificate numbers of the withdrawn shares of Series A Preferred Stock; and
|
•
|
the number of shares of Series A Preferred Stock, if any, which remain subject to the holder’s conversion notice.
|
•
|
the acquisition by any person, including any syndicate or group deemed to be a “person” under Section 13(d)(3) of the Securities Exchange Act of 1934, as amended, or the Exchange Act, of beneficial ownership, directly or indirectly, through a purchase, merger or other acquisition transaction or series of purchases, mergers or other acquisition transactions of our stock entitling that person to exercise more than 50% of the total voting power of all our stock entitled to vote generally in the election of our directors (except that such person will be deemed to have beneficial
|
•
|
following the closing of any transaction referred to in the bullet point above, neither we nor the acquiring or surviving entity has a class of common securities (or American Depositary Receipts representing such securities) listed on the NYSE, the NYSE MKT or Nasdaq, or listed or quoted on an exchange or quotation system that is a successor to the NYSE, the NYSE MKT or Nasdaq.
|
•
|
the redemption date;
|
•
|
the number of shares of Series B Preferred Stock to be redeemed;
|
•
|
the redemption price;
|
•
|
the place or places where certificates (if any) for the Series B Preferred Stock are to be surrendered for payment of the redemption price;
|
•
|
that dividends on the shares to be redeemed will cease to accumulate on the redemption date;
|
•
|
whether such redemption is being made pursuant to the provisions described above under “-Optional Redemption” or “-Special Optional Redemption”;
|
•
|
if applicable, that such redemption is being made in connection with a Change of Control and, in that case, a brief description of the transaction or transactions constituting such Change of Control; and
|
•
|
if such redemption is being made in connection with a Change of Control, that the holders of the shares of Series B Preferred Stock being so called for redemption will not be able to tender such shares of Series B Preferred Stock for conversion in connection with the Change of Control and that each share of Series B Preferred Stock tendered for conversion that is called, prior to the Change of Control Conversion Date (as defined below), for redemption will be redeemed on the related date of redemption instead of converted on the Change of Control Conversion Date.
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•
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the quotient obtained by dividing (i) the sum of the $25.00 liquidation preference per share of Series B Preferred Stock plus the amount of any accumulated and unpaid dividends thereon to, but not including, the Change of Control Conversion Date (unless the Change of Control Conversion Date is after a Dividend Record Date and prior to the corresponding dividend payment date for the Series B Preferred Stock, in which case no additional amount for such accrued and unpaid dividends will be included in this sum) by (ii) the Common Stock Price, as defined below (such quotient, the Conversion Rate); and
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•
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2.89184, or the Series B Share Cap, subject to certain adjustments as described below.
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•
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the events constituting the Change of Control;
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•
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the date of the Change of Control;
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•
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the last date on which the holders of Series B Preferred Stock may exercise their Change of Control Conversion Right;
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•
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the method and period for calculating the Common Stock Price;
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•
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the Change of Control Conversion Date;
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•
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that if, prior to the Change of Control Conversion Date, we have provided notice of our election to redeem all or any shares of Series B Preferred Stock, holders will not be able to convert the shares of Series B Preferred Stock called for redemption and such shares will be redeemed on the related redemption date, even if such shares have already been tendered for conversion pursuant to the Change of Control Conversion Right;
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•
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if applicable, the type and amount of Alternative Conversion Consideration entitled to be received per share of Series B Preferred Stock;
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•
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the name and address of the paying agent, transfer agent and conversion agent for the Series B Preferred Stock;
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•
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the procedures that the holders of Series B Preferred Stock must follow to exercise the Change of Control Conversion Right (including procedures for surrendering shares for conversion through the facilities of a Depositary), including the form of conversion notice to be delivered by such holders as described below; and
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•
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the last date on which holders of Series B Preferred Stock may withdraw shares surrendered for conversion and the procedures that such holders must follow to effect such a withdrawal.
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•
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the relevant Change of Control Conversion Date;
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•
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the number of shares of Series B Preferred Stock to be converted; and
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•
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that the Series B Preferred Stock is to be converted pursuant to the applicable provisions of the Series B Preferred Stock.
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•
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the number of withdrawn shares of Series B Preferred Stock;
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•
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if certificated Series B Preferred Stock has been surrendered for conversion, the certificate numbers of the withdrawn shares of Series B Preferred Stock; and
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•
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the number of shares of Series B Preferred Stock, if any, which remain subject to the holder’s conversion notice.
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•
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the acquisition by any person, including any syndicate or group deemed to be a “person” under Section 13(d)(3) of the Securities Exchange Act of 1934, as amended, or the Exchange Act, of beneficial ownership, directly or indirectly, through a purchase, merger or other acquisition transaction or series of purchases, mergers or other acquisition transactions of our stock entitling that person to exercise more than 50% of the total voting power of all our stock
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•
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following the closing of any transaction referred to in the bullet point above, neither we nor the acquiring or surviving entity has a class of common securities (or American Depositary Receipts representing such securities) listed on the NYSE, the NYSE MKT LLC or the Nasdaq Stock Market, or listed or quoted on an exchange or quotation system that is a successor to the NYSE, the NYSE MKT LLC or the Nasdaq Stock Market.
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•
|
the redemption date;
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•
|
the number of shares of Series C Preferred Stock to be redeemed;
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•
|
the redemption price;
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•
|
the place or places where certificates (if any) for the Series C Preferred Stock are to be surrendered for payment of the redemption price;
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•
|
that dividends on the shares to be redeemed will cease to accumulate on the redemption date;
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•
|
whether such redemption is being made pursuant to the provisions described above under “- Optional Redemption” or “-Special Optional Redemption”;
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•
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if applicable, that such redemption is being made in connection with a Change of Control and, in that case, a brief description of the transaction or transactions constituting such Change of Control; and
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•
|
if such redemption is being made in connection with a Change of Control, that the holders of the shares of Series C Preferred Stock being so called for redemption will not be able to tender such shares of Series C Preferred Stock for conversion in connection with the Change of Control and that each share of Series C Preferred Stock tendered for conversion that is called, prior to the Change of Control Conversion Date (as defined below), for redemption will be redeemed on the related date of redemption instead of converted on the Change of Control Conversion Date.
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•
|
the quotient obtained by dividing (i) the sum of the $25.00 liquidation preference per share of Series C Preferred Stock plus the amount of any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the Change of Control Conversion Date (unless the Change of Control Conversion Date is after a Dividend Record Date and prior to the corresponding dividend payment date for the Series C Preferred Stock, in which case no additional amount for such accumulated and unpaid dividends to be paid on such dividend payment date will be included in this sum) by (ii) the Common Stock Price, as defined below; and
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•
|
2.94118, or the Series C Share Cap, subject to certain adjustments as described below.
|
•
|
the events constituting the Change of Control;
|
•
|
the date of the Change of Control;
|
•
|
the last date on which the holders of Series C Preferred Stock may exercise their Change of Control Conversion Right;
|
•
|
the method and period for calculating the Common Stock Price;
|
•
|
the Change of Control Conversion Date;
|
•
|
that if, prior to the Change of Control Conversion Date, we have provided notice of our election to redeem all or any shares of Series C Preferred Stock, holders will not be able to convert the shares of Series C Preferred Stock called for redemption and such shares will be redeemed on the related redemption date, even if such shares have already been tendered for conversion pursuant to the Change of Control Conversion Right;
|
•
|
if applicable, the type and amount of Alternative Conversion Consideration entitled to be received per share of Series C Preferred Stock;
|
•
|
the name and address of the paying agent, transfer agent and conversion agent for the Series C Preferred Stock;
|
•
|
the procedures that the holders of Series C Preferred Stock must follow to exercise the Change of Control Conversion Right (including procedures for surrendering shares of Series C Preferred Stock for conversion through the facilities of a Depositary (as defined below)), including the form of conversion notice to be delivered by such holders as described below; and
|
•
|
the last date on which holders of Series C Preferred Stock may withdraw shares of the Series C Preferred Stock surrendered for conversion and the procedures that such holders must follow to effect such a withdrawal.
|
•
|
the relevant Change of Control Conversion Date;
|
•
|
the number of shares of Series C Preferred Stock to be converted; and
|
•
|
that the shares of Series C Preferred Stock are to be converted pursuant to the applicable provisions of the articles supplementary designating the Series C Preferred Stock.
|
•
|
the number of withdrawn shares of Series C Preferred Stock;
|
•
|
if certificated Series C Preferred Stock has been surrendered for conversion, the certificate numbers of the withdrawn shares of Series C Preferred Stock; and
|
•
|
the number of shares of Series C Preferred Stock, if any, which remain subject to the holder’s conversion notice.
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Name
|
Jurisdiction
|
IAS Operating Partnership LP
|
Delaware
|
IAS Asset I LLC
|
Delaware
|
IMRF Holdings LLC
|
Delaware
|
IMRF TRSCO Inc.
|
Delaware
|
IAS Services LLC
|
Michigan
|
IVR Irish Mezzanine LLC
|
Delaware
|
IVR Limited Partner LLC
|
Delaware
|
IVR Residential Mortgage Acquisition LLC
|
Delaware
|
/s/ PricewaterhouseCoopers LLP
|
|
Atlanta, Georgia
|
February 19, 2020
|
1.
|
I have reviewed this Annual Report on Form 10-K 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(s) 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(s) 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.
|
February 19, 2020
|
/s/ John M. Anzalone
|
|
John M. Anzalone
|
|
Chief Executive Officer
|
1.
|
I have reviewed this Annual Report on Form 10-K 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(s) 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(s) 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.
|
February 19, 2020
|
/s/ R. Lee Phegley, Jr.
|
|
R. 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.
|
February 19, 2020
|
/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.
|
February 19, 2020
|
/s/ R. Lee Phegley, Jr.
|
|
R. Lee Phegley, Jr.
|
|
Chief Financial Officer
|