|
|
|
|
|
Maryland
|
|
27-0312904
|
(State or Other Jurisdiction of
Incorporation or Organization)
|
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(I.R.S. Employer
Identification No.)
|
Title of Each Class:
|
|
Name of Exchange on Which Registered:
|
Common Stock, par value $0.01 per share
|
|
New York Stock Exchange
|
Large accelerated filer
x
|
|
Accelerated filer
o
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Non-accelerated filer
o
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Smaller reporting company
o
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Page
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PART I
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PART II
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|
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PART III
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|
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PART IV
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|
•
|
Agency RMBS, meaning RMBS whose principal and interest payments are guaranteed by the Government National Mortgage Association (or Ginnie Mae), the Federal National Mortgage Association (or Fannie Mae), or the Federal Home Loan Mortgage Corporation (or Freddie Mac);
|
•
|
Non-Agency RMBS, meaning RMBS that are not issued or guaranteed by Ginnie Mae, Fannie Mae or Freddie Mac;
|
•
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MSR;
|
•
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Commercial real estate assets; and
|
•
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Other financial assets comprising approximately 5% to 10% of the portfolio.
|
•
|
changes in interest rates and the market value of our target assets;
|
•
|
changes in prepayment rates of mortgages underlying our target assets;
|
•
|
the occurrence, extent and timing of credit losses within our portfolio;
|
•
|
our exposure to adjustable-rate and negative amortization mortgage loans underlying our target assets;
|
•
|
the state of the credit markets and other general economic conditions, particularly as they affect the price of earning assets and the credit status of borrowers;
|
•
|
the concentration of the credit risks to which we are exposed;
|
•
|
legislative and regulatory actions affecting our business;
|
•
|
the availability and cost of our target assets;
|
•
|
the availability and cost of financing for our target assets, including repurchase agreement financing, lines of credit, revolving credit facilities and financing through the FHLB;
|
•
|
declines in home prices;
|
•
|
increases in payment delinquencies and defaults on the mortgages comprising and underlying our target assets;
|
•
|
changes in liquidity in the market for real estate securities, the re-pricing of credit risk in the capital markets, inaccurate ratings of securities by rating agencies, rating agency downgrades of securities, and increases in the supply of real estate securities available-for-sale;
|
•
|
changes in the values of securities we own and the impact of adjustments reflecting those changes on our
consolidated statements of comprehensive income (loss)
and balance sheets, including our stockholders’ equity;
|
•
|
our ability to generate cash flow from our target assets;
|
•
|
our ability to effectively execute and realize the benefits of strategic transactions and initiatives we have pursued or may in the future pursue;
|
•
|
changes in the competitive landscape within our industry, including changes that may affect our ability to attract and retain personnel;
|
•
|
our exposure to legal and regulatory claims, penalties or enforcement activities, including those arising from our involvement in securitization transactions and ownership and management of MSR;
|
•
|
our exposure to counterparties involved in our mortgage loan conduit and MSR businesses and our ability to enforce representations and warranties made by them;
|
•
|
our ability to acquire MSR and successfully operate our seller-servicer subsidiary and oversee the activities of our subservicers;
|
•
|
the state of commercial real estate markets, including the demand for commercial loans;
|
•
|
our ability to acquire commercial real estate assets, and to originate commercial loans;
|
•
|
our ability to successfully diversify our business into new asset classes, and manage the new risks to which they may expose us;
|
•
|
our ability to manage various operational and regulatory risks associated with our business;
|
•
|
interruptions in or impairments to our communications and information technology systems;
|
•
|
our ability to maintain appropriate internal controls over financial reporting;
|
•
|
our ability to establish, adjust and maintain appropriate hedges for the risks in our portfolio;
|
•
|
our ability to maintain our REIT qualification for U.S. federal income tax purposes; and
|
•
|
limitations imposed on our business due to our REIT status and our status as exempt from registration under the 1940 Act.
|
•
|
Rates Strategy -
Includes Agency RMBS, MSR and related hedging transactions. The performance of this strategy is most affected by changes in interest rates, prepayments and mortgage spreads. These assets have minimal exposure to the underlying credit performance of the investments.
|
Agency RMBS
|
Agency RMBS collateralized by fixed rate mortgage loans, adjustable-rate mortgage (or ARM) loans or hybrid mortgage loans, or derivatives thereof, including:
|
|
|
•
|
mortgage pass-through certificates;
|
|
•
|
collateralized mortgage obligations;
|
|
•
|
Freddie Mac gold certificates;
|
|
•
|
Fannie Mae certificates;
|
|
•
|
Ginnie Mae certificates;
|
|
•
|
“to-be-announced” forward contracts, or TBAs, which are pools of mortgages with specific investment terms to be issued by government sponsored entities, or GSEs, at a future date; and
|
|
•
|
interest-only and inverse interest-only securities.
|
MSR
|
The right to control the servicing of mortgage loans and receive the servicing income therefrom; the actual servicing functions are outsourced to appropriately licensed third-party subservicers.
|
•
|
Credit Strategy -
Includes non-Agency RMBS and related hedging transactions. The performance of this strategy is most affected by changes in credit performance of the underlying mortgage loan collateral. These assets have interest rate and mortgage spread exposure, although such exposures are not viewed to be the main drivers of performance.
|
Non-Agency RMBS
|
Non-Agency RMBS collateralized by prime mortgage loans, Alt-A mortgage loans, pay-option ARM loans and subprime mortgage loans, which may have fixed rate, adjustable rate or hybrid rate terms.
|
|
|
Non-Agency RMBS includes both senior and mezzanine RMBS. Senior RMBS refers to non-Agency RMBS that represent the senior-most tranches (that is, the tranches which have the highest priority claim to cash flows from the related collateral pool) within the RMBS structure. Mezzanine RMBS refers to subordinated tranches within the collateral pool. The non-Agency RMBS we purchase may include investment-grade and non-investment grade classes, including non-rated securities.
|
|
|
Hybrid mortgage loans have terms with interest rates that are fixed for a specified period of time and, thereafter, generally adjust annually to an increment over a specified interest rate index. ARMs refer to hybrid and adjustable-rate mortgage loans which typically have interest rates that adjust annually to an increment over a specified interest rate index.
|
•
|
Commercial Strategy -
Includes first mortgage and mezzanine commercial real estate loans, debt-like preferred equity, B-notes, and related hedging transactions. The performance of this strategy is affected by changes in interest rates and mortgage spreads as well as changes in performance of the underlying commercial collateral.
|
Commercial Real Estate Assets
|
Floating and fixed rate commercial real estate loans, including:
|
|
|
•
|
first mortgage loans secured by a first priority mortgage on commercial real estate assets;
|
|
•
|
mezzanine loans secured by a pledge of equity interests in the borrower and structurally subordinate to any loan made directly to the borrower;
|
|
•
|
B-notes, which represent interests in a junior portion of a commercial mortgage loan; and
|
|
•
|
debt-like preferred equity which is senior to the common equity and subordinate to any loan made directly to the borrower.
|
•
|
no investment shall be made that would cause us to fail to qualify as a REIT for U.S. federal income tax purposes;
|
•
|
no investment shall be made that would cause us to be regulated as an investment company under the 1940 Act;
|
•
|
we will primarily invest within our target assets, consisting primarily of Agency RMBS, non-Agency RMBS, residential mortgage loans, MSR and commercial real estate assets, inclusive of commercial real estate loans, commercial real property, CMBS, commercial corporate debt and loans and other commercial real estate-related investments in the U.S.; approximately 5% to 10% of our portfolio may include other financial assets; and
|
•
|
until appropriate investments can be identified, we will invest available cash in interest-bearing and short-term investments that are consistent with (i) our intention to qualify as a REIT and (ii) our exemption from investment company status under the 1940 Act.
|
•
|
build an investment portfolio consisting of Agency RMBS, non-Agency RMBS, MSR, commercial real estate and other financial assets that will generate attractive returns while having a moderate risk profile;
|
•
|
manage financing, interest, prepayment rate, credit and similar risks;
|
•
|
capitalize on discrepancies in the relative valuations in the mortgage and housing markets; and
|
•
|
provide regular quarterly dividend distributions to stockholders.
|
•
|
fundamental market and sector review;
|
•
|
cash flow analysis;
|
•
|
disciplined asset selection;
|
•
|
controlled risk exposure; and
|
•
|
prudent balance sheet management.
|
•
|
Our board of directors is composed of a majority of independent directors. Our Audit, Compensation, Nominating and Corporate Governance and Risk Oversight Committees are composed exclusively of independent directors.
|
•
|
In order to foster the highest standards of ethics and conduct in all of our business relationships, we have adopted a Code of Business Conduct and Ethics and Corporate Governance Guidelines, which cover a wide range of business practices and procedures that apply to all of our directors, officers and personnel. In addition, we have implemented Whistleblowing Procedures for Accounting and Auditing Matters that set forth procedures by which personnel may raise, on a confidential basis, concerns regarding any questionable or unethical accounting, internal accounting controls or auditing matters with our Audit Committee.
|
•
|
We have an insider trading policy that prohibits our directors, officers and personnel from buying or selling our securities on the basis of material nonpublic information and prohibits communicating material nonpublic information about us to others. In addition, we have policies that prohibit our directors, officers and personnel from buying or selling the securities of other issuers on the basis of material nonpublic information that we may possess from time to time.
|
•
|
We have a formal internal audit function to further the effective functioning of our internal controls and procedures. Our internal audit plan, which is approved annually by our Audit Committee, is based on a formal risk assessment and is intended to provide management and our Audit Committee with an effective tool to identify and address areas of financial or operational concerns and to ensure that appropriate controls and procedures are in place. We have implemented Section 404 of the Sarbanes-Oxley Act of 2002, as amended, or the SOX Act, which requires an evaluation of internal control over financial reporting in association with our financial statements as of
December 31, 2016
. See Item 9A, “
Controls and Procedures
” included in this Annual Report on Form 10-K.
|
•
|
hedging can be expensive, particularly during periods of volatile or rapidly changing interest rates;
|
•
|
available hedges may not correspond directly with the risks for which protection is sought;
|
•
|
the duration of the hedge may not match the duration of the related liability;
|
•
|
the amount of income that a REIT may earn from certain hedging transactions (other than through our TRSs) is limited by U.S. federal income tax provisions;
|
•
|
the credit quality of a hedging counterparty may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
|
•
|
the hedging counterparty may default on its obligations.
|
•
|
tenant mix;
|
•
|
success of tenant businesses;
|
•
|
property management decisions, including decisions on capital improvements;
|
•
|
property location and condition;
|
•
|
competition from similar properties;
|
•
|
changes in national, regional or local economic conditions;
|
•
|
changes in regional or local real estate values;
|
•
|
changes in regional or local rental or occupancy rates;
|
•
|
changes in interest rates and in the state of the debt and equity capital markets, including the availability of debt financing for commercial real estate;
|
•
|
changes in governmental rules, regulations and fiscal policies, including real estate taxes, environmental legislation and zoning laws;
|
•
|
environmental contamination; and
|
•
|
acts of God, terrorism, social unrest and civil disturbances, which may result in property damage, decrease the availability of or increase the cost of insurance or otherwise result in uninsured losses.
|
•
|
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, we may amortize this premium over the estimated term of the RMBS. If the RMBS is prepaid in whole or in part prior to its maturity date, however, we may be required to expense the premium that was prepaid at the time of the prepayment.
|
•
|
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.
|
•
|
If we are unable to acquire new RMBS similar to the prepaid RMBS, our financial condition, results of operations and cash flows would suffer.
|
•
|
actual receipt of an improper benefit or profit in money, property or services; or
|
•
|
a final judgment based upon a finding of active and deliberate dishonesty by the director or officer that was material to the cause of action adjudicated.
|
•
|
changes in financial estimates by analysts;
|
•
|
fluctuations in our results of operations or financial condition or the results of operations or financial condition of companies perceived to be similar to us;
|
•
|
general economic and financial and real estate market conditions;
|
•
|
changes in market valuations of similar companies;
|
•
|
monetary policy and regulatory developments in the U.S.; and
|
•
|
additions or departures of key personnel at Pine River.
|
Quarter Ended
|
|
Common Stock
|
||||||
2016
|
|
High
|
|
Low
|
||||
December 31
|
|
$
|
9.14
|
|
|
$
|
7.91
|
|
September 30
|
|
$
|
9.18
|
|
|
$
|
8.42
|
|
June 30
|
|
$
|
8.80
|
|
|
$
|
7.62
|
|
March 31
|
|
$
|
8.49
|
|
|
$
|
6.91
|
|
2015
|
|
|
|
|
||||
December 31
|
|
$
|
9.24
|
|
|
$
|
7.80
|
|
September 30
|
|
$
|
10.30
|
|
|
$
|
8.00
|
|
June 30
|
|
$
|
10.78
|
|
|
$
|
9.71
|
|
March 31
|
|
$
|
11.00
|
|
|
$
|
10.00
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Cash Dividend Per Share
|
||
December 15, 2016
|
|
December 30, 2016
|
|
January 27, 2017
|
|
$
|
0.24
|
|
September 15, 2016
|
|
September 30, 2016
|
|
October 20, 2016
|
|
$
|
0.23
|
|
June 16, 2016
|
|
June 30, 2016
|
|
July 20, 2016
|
|
$
|
0.23
|
|
March 15, 2016
|
|
March 31, 2016
|
|
April 21, 2016
|
|
$
|
0.23
|
|
December 16, 2015
|
|
December 30, 2015
|
|
January 20, 2016
|
|
$
|
0.26
|
|
September 16, 2015
|
|
September 30, 2015
|
|
October 22, 2015
|
|
$
|
0.26
|
|
June 17, 2015
|
|
June 30, 2015
|
|
July 21, 2015
|
|
$
|
0.26
|
|
March 18, 2015
|
|
March 31, 2015
|
|
April 21, 2015
|
|
$
|
0.26
|
|
|
|
December 31, 2016
|
||||||||
Plan Category
|
|
Number of securities to be issued upon exercise of outstanding options, warrants and rights
|
|
Weighted-average exercise price of outstanding options, warrants and rights
|
|
Number of securities remaining available for future issuance under equity compensation plans (excluding securities reflected in the first column of this table)
|
||||
Equity compensation plans approved by stockholders
(1)
|
|
—
|
|
|
$
|
—
|
|
|
7,526,278
|
|
Equity compensation plans not approved by stockholders
|
|
—
|
|
|
—
|
|
|
—
|
|
|
Total
|
|
—
|
|
|
$
|
—
|
|
|
7,526,278
|
|
(1)
|
For a detailed description of the Plan, see
Note 21
-
Equity Incentive Plan
of the consolidated financial statements included under Item 8 of this Annual Report on Form 10-K.
|
|
|
December 31,
|
||||||||||||||||||
Index
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
Two Harbors Investment Corp.
|
|
$
|
182.82
|
|
|
$
|
152.17
|
|
|
$
|
168.65
|
|
|
$
|
141.16
|
|
|
$
|
140.08
|
|
S&P 500
|
|
$
|
198.10
|
|
|
$
|
176.95
|
|
|
$
|
174.55
|
|
|
$
|
153.55
|
|
|
$
|
115.99
|
|
Bloomberg REIT Mortgage Index
|
|
$
|
153.14
|
|
|
$
|
125.24
|
|
|
$
|
138.99
|
|
|
$
|
116.38
|
|
|
$
|
119.18
|
|
(in thousands)
|
For the Years Ended December 31,
|
||||||||||||||||||
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
Interest income:
|
|
|
|
|
|
|
|
|
|
||||||||||
Available-for-sale securities
|
$
|
415,052
|
|
|
$
|
458,515
|
|
|
$
|
506,268
|
|
|
$
|
507,180
|
|
|
$
|
448,620
|
|
Trading securities
|
—
|
|
|
8,676
|
|
|
12,913
|
|
|
5,963
|
|
|
4,873
|
|
|||||
Residential mortgage loans held-for-sale
|
23,037
|
|
|
28,966
|
|
|
16,089
|
|
|
22,185
|
|
|
609
|
|
|||||
Residential mortgage loans held-for-investment in securitization trusts
|
133,993
|
|
|
95,740
|
|
|
41,220
|
|
|
19,220
|
|
|
—
|
|
|||||
Commercial real estate assets
|
59,819
|
|
|
9,138
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Cash and cash equivalents
|
1,589
|
|
|
902
|
|
|
717
|
|
|
1,043
|
|
|
944
|
|
|||||
Total interest income
|
633,490
|
|
|
601,937
|
|
|
577,207
|
|
|
555,591
|
|
|
455,046
|
|
|||||
Interest expense:
|
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase agreements
|
97,461
|
|
|
73,049
|
|
|
76,177
|
|
|
89,470
|
|
|
72,106
|
|
|||||
Collateralized borrowings in securitization trusts
|
97,729
|
|
|
57,216
|
|
|
26,760
|
|
|
10,937
|
|
|
—
|
|
|||||
Federal Home Loan Bank advances
|
26,101
|
|
|
11,921
|
|
|
4,513
|
|
|
—
|
|
|
—
|
|
|||||
Revolving credit facilities
|
604
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Total interest expense
|
221,895
|
|
|
142,186
|
|
|
107,450
|
|
|
100,407
|
|
|
72,106
|
|
|||||
Net interest income
|
411,595
|
|
|
459,751
|
|
|
469,757
|
|
|
455,184
|
|
|
382,940
|
|
|||||
Other-than-temporary impairment losses
|
(1,822
|
)
|
|
(535
|
)
|
|
(392
|
)
|
|
(1,662
|
)
|
|
(10,952
|
)
|
|||||
Other income (loss):
|
|
|
|
|
|
|
|
|
|
||||||||||
(Loss) gain on investment securities
|
(107,374
|
)
|
|
363,379
|
|
|
87,201
|
|
|
(54,430
|
)
|
|
122,466
|
|
|||||
Gain (loss) on interest rate swap and swaption agreements
|
45,371
|
|
|
(210,621
|
)
|
|
(345,647
|
)
|
|
245,229
|
|
|
(159,775
|
)
|
|||||
Gain (loss) on other derivative instruments
|
99,379
|
|
|
(5,049
|
)
|
|
(17,529
|
)
|
|
95,345
|
|
|
(40,906
|
)
|
|||||
Gain (loss) on residential mortgage loans held-for-sale
|
16,085
|
|
|
14,285
|
|
|
17,297
|
|
|
(33,846
|
)
|
|
2,270
|
|
|||||
Servicing income
|
143,616
|
|
|
127,412
|
|
|
128,160
|
|
|
11,795
|
|
|
—
|
|
|||||
(Loss) gain on servicing asset
|
(83,531
|
)
|
|
(99,584
|
)
|
|
(128,388
|
)
|
|
13,881
|
|
|
—
|
|
|||||
Other (loss) income
|
(5,955
|
)
|
|
(21,790
|
)
|
|
18,539
|
|
|
14,835
|
|
|
—
|
|
|||||
Total other income (loss)
|
107,591
|
|
|
168,032
|
|
|
(240,367
|
)
|
|
292,809
|
|
|
(75,945
|
)
|
|||||
Expenses:
|
|
|
|
|
|
|
|
|
|
||||||||||
Management fees
|
46,434
|
|
|
50,294
|
|
|
48,803
|
|
|
41,707
|
|
|
33,168
|
|
|||||
Securitization deal costs
|
6,152
|
|
|
8,971
|
|
|
4,638
|
|
|
4,153
|
|
|
—
|
|
|||||
Servicing expenses
|
32,724
|
|
|
28,101
|
|
|
25,925
|
|
|
3,761
|
|
|
—
|
|
|||||
Other operating expenses
|
63,483
|
|
|
64,162
|
|
|
56,231
|
|
|
37,259
|
|
|
17,678
|
|
|||||
Restructuring charges
|
2,990
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Total expenses
|
151,783
|
|
|
151,528
|
|
|
135,597
|
|
|
86,880
|
|
|
50,846
|
|
|||||
Income from continuing operations before income taxes
|
365,581
|
|
|
475,720
|
|
|
93,401
|
|
|
659,451
|
|
|
245,197
|
|
|||||
Provision for (benefit from) income taxes
|
12,303
|
|
|
(16,490
|
)
|
|
(73,738
|
)
|
|
84,411
|
|
|
(42,219
|
)
|
|||||
Net income from continuing operations
|
353,278
|
|
|
492,210
|
|
|
167,139
|
|
|
575,040
|
|
|
287,416
|
|
|||||
Income from discontinued operations
|
—
|
|
|
—
|
|
|
—
|
|
|
3,999
|
|
|
4,490
|
|
|||||
Net income
|
$
|
353,278
|
|
|
$
|
492,210
|
|
|
$
|
167,139
|
|
|
$
|
579,039
|
|
|
$
|
291,906
|
|
(in thousands, except share data)
|
For the Years Ended December 31,
|
||||||||||||||||||
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
Basic earnings per weighted average share:
|
|
|
|
|
|
|
|
|
|
||||||||||
Continuing operations
|
$
|
1.01
|
|
|
$
|
1.35
|
|
|
$
|
0.46
|
|
|
$
|
1.64
|
|
|
$
|
1.19
|
|
Discontinued operations
|
—
|
|
|
—
|
|
|
—
|
|
|
0.01
|
|
|
0.02
|
|
|||||
Net income
|
$
|
1.01
|
|
|
$
|
1.35
|
|
|
$
|
0.46
|
|
|
$
|
1.65
|
|
|
$
|
1.21
|
|
Diluted earnings per weighted average share:
|
|
|
|
|
|
|
|
|
|
||||||||||
Continuing operations
|
$
|
1.01
|
|
|
$
|
1.35
|
|
|
$
|
0.46
|
|
|
$
|
1.64
|
|
|
$
|
1.18
|
|
Discontinued operations
|
—
|
|
|
—
|
|
|
—
|
|
|
0.01
|
|
|
0.02
|
|
|||||
Net income
|
$
|
1.01
|
|
|
$
|
1.35
|
|
|
$
|
0.46
|
|
|
$
|
1.65
|
|
|
$
|
1.20
|
|
Dividends declared per common share
|
$
|
0.93
|
|
|
$
|
1.04
|
|
|
$
|
1.04
|
|
|
$
|
1.17
|
|
|
$
|
1.71
|
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|
|
|
|
||||||||||
Basic
|
348,073,704
|
|
|
365,247,738
|
|
|
366,011,855
|
|
|
350,361,827
|
|
|
242,014,751
|
|
|||||
Diluted
|
348,073,704
|
|
|
365,247,738
|
|
|
366,011,855
|
|
|
350,992,387
|
|
|
242,432,156
|
|
|||||
Comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
||||||||||
Net income
|
$
|
353,278
|
|
|
$
|
492,210
|
|
|
$
|
167,139
|
|
|
$
|
579,039
|
|
|
$
|
291,906
|
|
Other comprehensive (loss) income, net of tax:
|
|
|
|
|
|
|
|
|
|
||||||||||
Unrealized (loss) gain on available-for-sale securities, net
|
(159,834
|
)
|
|
(496,728
|
)
|
|
411,054
|
|
|
(251,723
|
)
|
|
755,174
|
|
|||||
Other comprehensive (loss) income
|
(159,834
|
)
|
|
(496,728
|
)
|
|
411,054
|
|
|
(251,723
|
)
|
|
755,174
|
|
|||||
Comprehensive income (loss)
|
$
|
193,444
|
|
|
$
|
(4,518
|
)
|
|
$
|
578,193
|
|
|
$
|
327,316
|
|
|
$
|
1,047,080
|
|
|
At December 31,
|
||||||||||||||||||
(in thousands)
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
Available-for-sale securities
|
$
|
13,128,857
|
|
|
$
|
7,825,320
|
|
|
$
|
14,341,102
|
|
|
$
|
12,256,727
|
|
|
$
|
13,666,954
|
|
Total assets
|
$
|
20,112,056
|
|
|
$
|
14,575,772
|
|
|
$
|
21,084,309
|
|
|
$
|
17,173,862
|
|
|
$
|
16,813,944
|
|
Repurchase agreements
|
$
|
9,316,351
|
|
|
$
|
5,008,274
|
|
|
$
|
12,932,463
|
|
|
$
|
12,250,450
|
|
|
$
|
12,624,510
|
|
Federal Home Loan Bank advances
|
$
|
4,000,000
|
|
|
$
|
3,785,000
|
|
|
$
|
2,500,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Total stockholders’ equity
|
$
|
3,401,111
|
|
|
$
|
3,576,561
|
|
|
$
|
4,068,042
|
|
|
$
|
3,854,995
|
|
|
$
|
3,450,577
|
|
•
|
Agency RMBS (which includes inverse interest-only Agency securities classified as “Agency Derivatives” for purposes of U.S. GAAP), meaning RMBS whose principal and interest payments are guaranteed by Ginnie Mae, Fannie Mae, or Freddie Mac;
|
•
|
Non-Agency RMBS, meaning RMBS that are not issued or guaranteed by Ginnie Mae, Fannie Mae or Freddie Mac;
|
•
|
MSR;
|
•
|
Commercial real estate assets; and
|
•
|
Other financial assets comprising approximately 5% to 10% of the portfolio.
|
|
As of
|
||||||||
|
December 31,
2016 |
|
September 30,
2016 |
|
June 30,
2016 |
|
March 31,
2016 |
|
December 31,
2015 |
Rates strategy
|
58%
|
|
54%
|
|
56%
|
|
56%
|
|
49%
|
Credit strategy
|
27%
|
|
31%
|
|
31%
|
|
33%
|
|
43%
|
Commercial strategy
|
15%
|
|
15%
|
|
13%
|
|
11%
|
|
8%
|
|
Three Months Ended
|
||||||||
|
December 31,
2016 |
|
September 30,
2016 |
|
June 30,
2016 |
|
March 31,
2016 |
|
December 31,
2015 |
Average annualized portfolio yield
(1)
|
3.54%
|
|
3.50%
|
|
3.77%
|
|
4.58%
|
|
4.56%
|
Cost of financing
(2)
|
1.17%
|
|
1.08%
|
|
1.18%
|
|
1.21%
|
|
1.30%
|
Net portfolio yield
|
2.37%
|
|
2.42%
|
|
2.59%
|
|
3.37%
|
|
3.26%
|
(1)
|
Average annualized yield incorporates future prepayment, credit loss and other assumptions, all of which are estimates and subject to change.
|
(2)
|
Cost of financing includes swap interest rate spread.
|
•
|
Managing a portfolio of RMBS to generate attractive returns with balanced risks
. We operate a hybrid REIT model, diversifying our portfolio across Agency and non-Agency RMBS in combination with derivative hedging instruments. We manage to an overall low level of interest rate exposure and leverage. We believe effectively managing an appropriate balance of risks within our portfolio is critical to providing attractive risk-adjusted returns to our stockholders and our ability to adjust our allocations and deploy capital across sectors allows us to optimize portfolio results over time.
|
•
|
Executing business diversification opportunities across MSR and commercial real estate assets.
We continue to pursue a variety of opportunities that leverage our core competencies of credit and prepayment risk management. Within our MSR business, we purchase the right to control the servicing of mortgage loans from high-quality originators. During
2016
, we expanded our flow-sale arrangements within our originator partner network. In addition, we originate and acquire senior and mezzanine commercial real estate assets. These assets are U.S. domiciled and are secured by a diverse mix of property types including office, retail, multifamily, industrial and hotel properties. As of
December 31, 2016
, we had invested in first mortgage and mezzanine commercial real estate loans. We are taking a measured approach as we diversify, keeping true to our strategic long-term plans and our core strengths.
|
•
|
Maintaining “best in class” investment, corporate governance, investor relations and disclosure practices.
We attribute our growth to portfolio alpha generation, innovation and best practice in corporate governance and disclosure.
|
(dollars in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||||||||
Agency
|
|
|
|
|
|
|
|
||||||
Fixed Rate
|
$
|
11,196,011
|
|
|
84.5
|
%
|
|
$
|
5,864,294
|
|
|
73.4
|
%
|
Hybrid ARM
|
30,463
|
|
|
0.2
|
%
|
|
108,596
|
|
|
1.4
|
%
|
||
Total Agency
|
11,226,474
|
|
|
84.7
|
%
|
|
5,972,890
|
|
|
74.8
|
%
|
||
Agency Derivatives
|
126,599
|
|
|
1.0
|
%
|
|
157,906
|
|
|
2.0
|
%
|
||
Non-Agency
|
|
|
|
|
|
|
|
||||||
Senior
|
1,210,462
|
|
|
9.1
|
%
|
|
1,313,695
|
|
|
16.4
|
%
|
||
Mezzanine
|
687,644
|
|
|
5.2
|
%
|
|
532,572
|
|
|
6.7
|
%
|
||
Interest-only securities
|
4,277
|
|
|
—
|
%
|
|
6,163
|
|
|
0.1
|
%
|
||
Total Non-Agency
|
1,902,383
|
|
|
14.3
|
%
|
|
1,852,430
|
|
|
23.2
|
%
|
||
Total
|
$
|
13,255,456
|
|
|
|
|
$
|
7,983,226
|
|
|
|
|
|
Three Months Ended
|
||||||||||
Agency RMBS
|
|
December 31,
2016 |
|
September 30,
2016 |
|
June 30,
2016 |
|
March 31,
2016 |
||||
Weighted Average CPR
|
|
7.1
|
%
|
|
9.7
|
%
|
|
8.6
|
%
|
|
9.2
|
%
|
|
As of December 31, 2016
|
||||||||||||||||||||||
(dollars in thousands)
|
Principal/ Current Face
|
|
Carrying Value
|
|
% of Agency Portfolio
|
|
% Prepayment Protected
|
|
Weighted Average Coupon Rate
|
|
Amortized Cost
|
|
Weighted Average Loan Age (months)
|
||||||||||
Agency RMBS AFS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
30-Year Fixed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
3.0-3.5%
|
$
|
6,652,972
|
|
|
$
|
6,762,130
|
|
|
59.6
|
%
|
|
70.5
|
%
|
|
3.3
|
%
|
|
$
|
6,909,378
|
|
|
5
|
|
4.0-4.5%
|
3,237,989
|
|
|
3,462,866
|
|
|
30.5
|
%
|
|
100.0
|
%
|
|
4.2
|
%
|
|
3,480,181
|
|
|
42
|
|
|||
≥ 5%
|
455,030
|
|
|
511,738
|
|
|
4.5
|
%
|
|
100.0
|
%
|
|
5.5
|
%
|
|
490,706
|
|
|
96
|
|
|||
|
10,345,991
|
|
|
10,736,734
|
|
|
94.6
|
%
|
|
81.4
|
%
|
|
3.7
|
%
|
|
10,880,265
|
|
|
21
|
|
|||
15-Year & Other Fixed
|
234,949
|
|
|
229,928
|
|
|
2.0
|
%
|
|
0.8
|
%
|
|
4.6
|
%
|
|
227,918
|
|
|
141
|
|
|||
Hybrid ARM
|
28,582
|
|
|
30,463
|
|
|
0.3
|
%
|
|
—
|
%
|
|
4.9
|
%
|
|
30,165
|
|
|
154
|
|
|||
Interest-only
|
2,961,895
|
|
|
229,349
|
|
|
2.0
|
%
|
|
—
|
%
|
|
2.3
|
%
|
|
246,373
|
|
|
39
|
|
|||
Agency Derivatives
|
740,844
|
|
|
126,599
|
|
|
1.1
|
%
|
|
—
|
%
|
|
5.2
|
%
|
|
109,762
|
|
|
152
|
|
|||
Total Agency RMBS
|
$
|
14,312,261
|
|
|
$
|
11,353,073
|
|
|
100.0
|
%
|
|
77.0
|
%
|
|
|
|
$
|
11,494,483
|
|
|
|
|
As of December 31, 2015
|
||||||||||||||||||||||
(dollars in thousands)
|
Principal/ Current Face
|
|
Carrying Value
|
|
% of Agency Portfolio
|
|
% Prepayment Protected
|
|
Weighted Average Coupon Rate
|
|
Amortized Cost
|
|
Weighted Average Loan Age (months)
|
||||||||||
Agency RMBS AFS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
30-Year Fixed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
4.0-4.5%
|
$
|
3,979,110
|
|
|
$
|
4,290,199
|
|
|
70.0
|
%
|
|
100.0
|
%
|
|
4.2
|
%
|
|
$
|
4,284,600
|
|
|
30
|
|
≥ 5%
|
561,874
|
|
|
632,954
|
|
|
10.3
|
%
|
|
100.0
|
%
|
|
5.5
|
%
|
|
607,318
|
|
|
84
|
|
|||
|
4,540,984
|
|
|
4,923,153
|
|
|
80.3
|
%
|
|
100.0
|
%
|
|
4.4
|
%
|
|
4,891,918
|
|
|
37
|
|
|||
15-Year & Other Fixed
|
330,142
|
|
|
326,745
|
|
|
5.3
|
%
|
|
0.7
|
%
|
|
4.6
|
%
|
|
315,557
|
|
|
116
|
|
|||
Home equity conversion mortgages
|
365,986
|
|
|
386,489
|
|
|
6.3
|
%
|
|
—
|
%
|
|
4.5
|
%
|
|
383,771
|
|
|
43
|
|
|||
Hybrid ARM
|
101,836
|
|
|
108,596
|
|
|
1.8
|
%
|
|
—
|
%
|
|
3.6
|
%
|
|
106,293
|
|
|
142
|
|
|||
Interest-only
|
2,918,082
|
|
|
227,907
|
|
|
3.7
|
%
|
|
—
|
%
|
|
2.1
|
%
|
|
232,299
|
|
|
29
|
|
|||
Agency Derivatives
|
932,037
|
|
|
157,906
|
|
|
2.6
|
%
|
|
—
|
%
|
|
6.1
|
%
|
|
139,859
|
|
|
140
|
|
|||
Total Agency RMBS
|
$
|
9,189,067
|
|
|
$
|
6,130,796
|
|
|
100.0
|
%
|
|
80.3
|
%
|
|
|
|
$
|
6,069,697
|
|
|
|
|
As of December 31, 2016
|
||||||||||||||
(in thousands)
|
Principal and Interest Securities
|
|
Interest-Only Securities
|
|
Total
|
||||||||||
|
Senior
|
|
Mezzanine
|
|
|
||||||||||
Face Value
|
$
|
1,622,604
|
|
|
$
|
924,000
|
|
|
$
|
185,535
|
|
|
$
|
2,732,139
|
|
Unamortized discount
|
|
|
|
|
|
|
|
||||||||
Designated credit reserve
|
(315,009
|
)
|
|
(52,428
|
)
|
|
—
|
|
|
(367,437
|
)
|
||||
Unamortized net discount
|
(377,017
|
)
|
|
(250,786
|
)
|
|
(181,172
|
)
|
|
(808,975
|
)
|
||||
Amortized Cost
|
$
|
930,578
|
|
|
$
|
620,786
|
|
|
$
|
4,363
|
|
|
$
|
1,555,727
|
|
|
As of December 31, 2015
|
||||||||||||||
(in thousands)
|
Principal and Interest Securities
|
|
Interest-Only Securities
|
|
Total
|
||||||||||
|
Senior
|
|
Mezzanine
|
|
|
||||||||||
Face Value
|
$
|
1,801,283
|
|
|
$
|
624,253
|
|
|
$
|
229,845
|
|
|
$
|
2,655,381
|
|
Unamortized discount
|
|
|
|
|
|
|
|
||||||||
Designated credit reserve
|
(373,729
|
)
|
|
(35,348
|
)
|
|
—
|
|
|
(409,077
|
)
|
||||
Unamortized net discount
|
(383,816
|
)
|
|
(98,729
|
)
|
|
(224,476
|
)
|
|
(707,021
|
)
|
||||
Amortized Cost
|
$
|
1,043,738
|
|
|
$
|
490,176
|
|
|
$
|
5,369
|
|
|
$
|
1,539,283
|
|
(in thousands, except share data)
|
|
Three Months Ended
|
|
Year Ended
|
||||||||||||||||
Income Statement Data:
|
|
December 31,
|
|
December 31,
|
||||||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2014
|
||||||||||
Interest income:
|
|
(unaudited)
|
|
(unaudited)
|
||||||||||||||||
Available-for-sale securities
|
|
$
|
122,719
|
|
|
$
|
88,543
|
|
|
$
|
415,052
|
|
|
$
|
458,515
|
|
|
$
|
506,268
|
|
Trading securities
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8,676
|
|
|
12,913
|
|
|||||
Residential mortgage loans held-for-sale
|
|
3,248
|
|
|
7,698
|
|
|
23,037
|
|
|
28,966
|
|
|
16,089
|
|
|||||
Residential mortgage loans held-for-investment in securitization trusts
|
|
33,228
|
|
|
30,832
|
|
|
133,993
|
|
|
95,740
|
|
|
41,220
|
|
|||||
Commercial real estate assets
|
|
19,540
|
|
|
6,297
|
|
|
59,819
|
|
|
9,138
|
|
|
—
|
|
|||||
Cash and cash equivalents
|
|
354
|
|
|
235
|
|
|
1,589
|
|
|
902
|
|
|
717
|
|
|||||
Total interest income
|
|
179,089
|
|
|
133,605
|
|
|
633,490
|
|
|
601,937
|
|
|
577,207
|
|
|||||
Interest expense:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase agreements
|
|
31,679
|
|
|
14,851
|
|
|
97,461
|
|
|
73,049
|
|
|
76,177
|
|
|||||
Collateralized borrowings in securitization trusts
|
|
26,764
|
|
|
17,815
|
|
|
97,729
|
|
|
57,216
|
|
|
26,760
|
|
|||||
Federal Home Loan Bank advances
|
|
7,297
|
|
|
3,909
|
|
|
26,101
|
|
|
11,921
|
|
|
4,513
|
|
|||||
Revolving credit facilities
|
|
476
|
|
|
—
|
|
|
604
|
|
|
—
|
|
|
—
|
|
|||||
Total interest expense
|
|
66,216
|
|
|
36,575
|
|
|
221,895
|
|
|
142,186
|
|
|
107,450
|
|
|||||
Net interest income
|
|
112,873
|
|
|
97,030
|
|
|
411,595
|
|
|
459,751
|
|
|
469,757
|
|
|||||
Other-than-temporary impairment losses
|
|
—
|
|
|
—
|
|
|
(1,822
|
)
|
|
(535
|
)
|
|
(392
|
)
|
|||||
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
||||||||||
(Loss) gain on investment securities
|
|
(173,469
|
)
|
|
99,867
|
|
|
(107,374
|
)
|
|
363,379
|
|
|
87,201
|
|
|||||
Gain (loss) on interest rate swap and swaption agreements
|
|
177,979
|
|
|
42,526
|
|
|
45,371
|
|
|
(210,621
|
)
|
|
(345,647
|
)
|
|||||
Gain (loss) on other derivative instruments
|
|
143,443
|
|
|
(2,077
|
)
|
|
99,379
|
|
|
(5,049
|
)
|
|
(17,529
|
)
|
|||||
(Loss) gain on residential mortgage loans held-for-sale
|
|
(1,563
|
)
|
|
(4,015
|
)
|
|
16,085
|
|
|
14,285
|
|
|
17,297
|
|
|||||
Servicing income
|
|
34,959
|
|
|
32,799
|
|
|
143,616
|
|
|
127,412
|
|
|
128,160
|
|
|||||
Gain (loss) on servicing asset
|
|
127,895
|
|
|
(3,267
|
)
|
|
(83,531
|
)
|
|
(99,584
|
)
|
|
(128,388
|
)
|
|||||
Other (loss) income
|
|
(4,978
|
)
|
|
(5,525
|
)
|
|
(5,955
|
)
|
|
(21,790
|
)
|
|
18,539
|
|
|||||
Total other income (loss)
|
|
304,266
|
|
|
160,308
|
|
|
107,591
|
|
|
168,032
|
|
|
(240,367
|
)
|
|||||
Expenses:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Management fees
|
|
11,166
|
|
|
12,270
|
|
|
46,434
|
|
|
50,294
|
|
|
48,803
|
|
|||||
Securitization deal costs
|
|
(89
|
)
|
|
1,200
|
|
|
6,152
|
|
|
8,971
|
|
|
4,638
|
|
|||||
Servicing expenses
|
|
8,214
|
|
|
8,252
|
|
|
32,724
|
|
|
28,101
|
|
|
25,925
|
|
|||||
Other operating expenses
|
|
16,203
|
|
|
16,130
|
|
|
63,483
|
|
|
64,162
|
|
|
56,231
|
|
|||||
Restructuring charges
|
|
1,801
|
|
|
—
|
|
|
2,990
|
|
|
—
|
|
|
—
|
|
|||||
Total expenses
|
|
37,295
|
|
|
37,852
|
|
|
151,783
|
|
|
151,528
|
|
|
135,597
|
|
|||||
Income before income taxes
|
|
379,844
|
|
|
219,486
|
|
|
365,581
|
|
|
475,720
|
|
|
93,401
|
|
|||||
Provision for (benefit from) income taxes
|
|
38,441
|
|
|
8,780
|
|
|
12,303
|
|
|
(16,490
|
)
|
|
(73,738
|
)
|
|||||
Net income
|
|
$
|
341,403
|
|
|
$
|
210,706
|
|
|
$
|
353,278
|
|
|
$
|
492,210
|
|
|
$
|
167,139
|
|
Basic and diluted earnings per weighted average common share
|
|
$
|
0.98
|
|
|
$
|
0.59
|
|
|
$
|
1.01
|
|
|
$
|
1.35
|
|
|
$
|
0.46
|
|
Dividends declared per common share
|
|
$
|
0.24
|
|
|
$
|
0.26
|
|
|
$
|
0.93
|
|
|
$
|
1.04
|
|
|
$
|
1.04
|
|
Basic and diluted weighted average number of shares of common stock outstanding
|
|
347,643,257
|
|
|
360,090,432
|
|
|
348,073,704
|
|
|
365,247,738
|
|
|
366,011,855
|
|
(in thousands)
|
|
Three Months Ended
|
|
Year Ended
|
||||||||||||||||
Income Statement Data:
|
|
December 31,
|
|
December 31,
|
||||||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2014
|
||||||||||
Comprehensive income (loss):
|
|
(unaudited)
|
|
(unaudited)
|
||||||||||||||||
Net income
|
|
$
|
341,403
|
|
|
$
|
210,706
|
|
|
$
|
353,278
|
|
|
$
|
492,210
|
|
|
$
|
167,139
|
|
Other comprehensive (loss) income, net of tax:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unrealized (loss) gain on available-for-sale securities
|
|
(339,216
|
)
|
|
(213,940
|
)
|
|
(159,834
|
)
|
|
(496,728
|
)
|
|
411,054
|
|
|||||
Other comprehensive (loss) income
|
|
(339,216
|
)
|
|
(213,940
|
)
|
|
(159,834
|
)
|
|
(496,728
|
)
|
|
411,054
|
|
|||||
Comprehensive income (loss)
|
|
$
|
2,187
|
|
|
$
|
(3,234
|
)
|
|
$
|
193,444
|
|
|
$
|
(4,518
|
)
|
|
$
|
578,193
|
|
|
Three Months Ended December 31, 2016
|
|
Year Ended December 31, 2016
|
||||||||||||||||||
(dollars in thousands)
|
Average Balance
(1)
|
|
Interest Income
|
|
Net Asset Yield
|
|
Average Balance
(1)
|
|
Interest Income
|
|
Net Asset Yield
|
||||||||||
Available-for-sale securities
|
$
|
14,072,745
|
|
|
$
|
122,719
|
|
|
3.5
|
%
|
|
$
|
11,791,260
|
|
|
$
|
415,052
|
|
|
3.5
|
%
|
Trading securities
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
Residential mortgage loans held-for-sale
|
331,509
|
|
|
3,248
|
|
|
3.9
|
%
|
|
566,239
|
|
|
23,037
|
|
|
4.1
|
%
|
||||
Residential mortgage loans held-for-investment in securitization trusts
|
3,453,981
|
|
|
33,228
|
|
|
3.8
|
%
|
|
3,470,272
|
|
|
133,993
|
|
|
3.9
|
%
|
||||
Commercial real estate assets
|
1,275,788
|
|
|
19,540
|
|
|
6.1
|
%
|
|
965,234
|
|
|
59,819
|
|
|
6.2
|
%
|
||||
|
19,134,023
|
|
|
178,735
|
|
|
3.7
|
%
|
|
16,793,005
|
|
|
631,901
|
|
|
3.8
|
%
|
||||
Agency derivatives
(2)
|
111,720
|
|
|
4,431
|
|
|
15.9
|
%
|
|
117,872
|
|
|
19,789
|
|
|
16.8
|
%
|
||||
Total
|
$
|
19,245,743
|
|
|
$
|
183,166
|
|
|
3.8
|
%
|
|
$
|
16,910,877
|
|
|
$
|
651,690
|
|
|
3.9
|
%
|
|
Three Months Ended December 31, 2015
|
|
Year Ended December 31, 2015
|
||||||||||||||||||
(dollars in thousands)
|
Average Balance
(1)
|
|
Interest Income
|
|
Net Asset Yield
|
|
Average Balance
(1)
|
|
Interest Income
|
|
Net Asset Yield
|
||||||||||
Available-for-sale securities
|
$
|
8,567,123
|
|
|
$
|
88,543
|
|
|
4.1
|
%
|
|
$
|
11,533,417
|
|
|
$
|
458,515
|
|
|
4.0
|
%
|
Trading securities
|
—
|
|
|
—
|
|
|
—
|
%
|
|
908,052
|
|
|
8,676
|
|
|
1.0
|
%
|
||||
Residential mortgage loans held-for-sale
|
767,102
|
|
|
7,698
|
|
|
4.0
|
%
|
|
749,025
|
|
|
28,966
|
|
|
3.9
|
%
|
||||
Residential mortgage loans held-for-investment in securitization trusts
|
3,177,980
|
|
|
30,832
|
|
|
3.9
|
%
|
|
2,467,905
|
|
|
95,740
|
|
|
3.9
|
%
|
||||
Commercial real estate assets
|
418,946
|
|
|
6,297
|
|
|
6.0
|
%
|
|
142,693
|
|
|
9,138
|
|
|
6.4
|
%
|
||||
|
12,931,151
|
|
|
133,370
|
|
|
4.1
|
%
|
|
15,801,092
|
|
|
601,035
|
|
|
3.8
|
%
|
||||
Agency derivatives
(2)
|
142,218
|
|
|
6,575
|
|
|
18.5
|
%
|
|
149,601
|
|
|
27,848
|
|
|
18.6
|
%
|
||||
Total
|
$
|
13,073,369
|
|
|
$
|
139,945
|
|
|
4.3
|
%
|
|
$
|
15,950,693
|
|
|
$
|
628,883
|
|
|
3.9
|
%
|
(1)
|
Average balance represents average amortized cost on AFS securities, trading securities, commercial real estate assets and Agency Derivatives and average unpaid principal balance, adjusted for purchase price changes, on residential mortgage loans held-for-sale and residential mortgage loans held-for-investment in securitization trusts.
|
(2)
|
Interest income on Agency Derivatives is included in
gain (loss) on other derivative instruments
on the
consolidated statements of comprehensive income (loss)
.
|
|
Three Months Ended December 31, 2016
|
|
Year Ended December 31, 2016
|
||||||||||||||
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
||||||
Gross yield/stated coupon
|
3.7
|
%
|
|
3.5
|
%
|
|
3.7
|
%
|
|
3.9
|
%
|
|
3.5
|
%
|
|
3.9
|
%
|
Net (premium amortization) discount accretion
|
(0.9
|
)%
|
|
5.2
|
%
|
|
(0.2
|
)%
|
|
(1.1
|
)%
|
|
4.9
|
%
|
|
(0.4
|
)%
|
Net yield
(2)
|
2.8
|
%
|
|
8.7
|
%
|
|
3.5
|
%
|
|
2.8
|
%
|
|
8.4
|
%
|
|
3.5
|
%
|
|
Three Months Ended December 31, 2015
|
|
Year Ended December 31, 2015
|
||||||||||||||
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
||||||
Gross yield/stated coupon
|
4.7
|
%
|
|
3.4
|
%
|
|
4.4
|
%
|
|
4.6
|
%
|
|
3.2
|
%
|
|
4.3
|
%
|
Net (premium amortization) discount accretion
|
(1.5
|
)%
|
|
4.4
|
%
|
|
(0.3
|
)%
|
|
(1.4
|
)%
|
|
4.6
|
%
|
|
(0.3
|
)%
|
Net yield
(2)
|
3.2
|
%
|
|
7.8
|
%
|
|
4.1
|
%
|
|
3.1
|
%
|
|
7.8
|
%
|
|
4.0
|
%
|
(1)
|
Excludes Agency Derivatives. For the
three and twelve months ended
December 31, 2016
, the average annualized net yield on total Agency RMBS, including Agency Derivatives, was
3.0%
and
3.0%
, respectively, compared to
3.5%
and
3.4%
for the same periods in
2015
.
|
(2)
|
These yields have not been adjusted for cost of delay and cost to carry purchase premiums.
|
|
Three Months Ended December 31, 2016
|
|
Year Ended December 31, 2016
|
||||||||||||||||||||
(dollars in thousands)
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
||||||||||||
Average amortized cost
|
$
|
12,504,473
|
|
|
$
|
1,568,272
|
|
|
$
|
14,072,745
|
|
|
$
|
10,341,218
|
|
|
$
|
1,450,042
|
|
|
$
|
11,791,260
|
|
Coupon interest
|
117,194
|
|
|
13,735
|
|
|
130,929
|
|
|
407,335
|
|
|
50,605
|
|
|
457,940
|
|
||||||
Net (premium amortization) discount accretion
|
(28,556
|
)
|
|
20,346
|
|
|
(8,210
|
)
|
|
(113,837
|
)
|
|
70,949
|
|
|
(42,888
|
)
|
||||||
Interest income
|
$
|
88,638
|
|
|
$
|
34,081
|
|
|
$
|
122,719
|
|
|
$
|
293,498
|
|
|
$
|
121,554
|
|
|
$
|
415,052
|
|
Net asset yield
|
2.8
|
%
|
|
8.7
|
%
|
|
3.5
|
%
|
|
2.8
|
%
|
|
8.4
|
%
|
|
3.5
|
%
|
|
Three Months Ended December 31, 2015
|
|
Year Ended December 31, 2015
|
||||||||||||||||||||
(dollars in thousands)
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
||||||||||||
Average amortized cost
|
$
|
6,837,974
|
|
|
$
|
1,729,149
|
|
|
$
|
8,567,123
|
|
|
$
|
9,434,121
|
|
|
$
|
2,099,296
|
|
|
$
|
11,533,417
|
|
Coupon interest
|
80,121
|
|
|
14,554
|
|
|
94,675
|
|
|
429,869
|
|
|
68,224
|
|
|
498,093
|
|
||||||
Net (premium amortization) discount accretion
|
(25,331
|
)
|
|
19,199
|
|
|
(6,132
|
)
|
|
(135,639
|
)
|
|
96,061
|
|
|
(39,578
|
)
|
||||||
Interest income
|
$
|
54,790
|
|
|
$
|
33,753
|
|
|
$
|
88,543
|
|
|
$
|
294,230
|
|
|
$
|
164,285
|
|
|
$
|
458,515
|
|
Net asset yield
|
3.2
|
%
|
|
7.8
|
%
|
|
4.1
|
%
|
|
3.1
|
%
|
|
7.8
|
%
|
|
4.0
|
%
|
(1)
|
Excludes Agency Derivatives. For the
three and twelve months ended
December 31, 2016
, the average annualized net yield on total Agency RMBS, including Agency Derivatives, was
3.0%
and
3.0%
, respectively, compared to
3.5%
and
3.4%
for the same periods in
2015
.
|
|
Three Months Ended December 31, 2016
|
|
Year Ended December 31, 2016
|
||||||||||||||||||
(dollars in thousands)
|
Average Balance
(1)
|
|
Interest Expense
|
|
Cost of Funds
(2)
|
|
Average Balance
(1)
|
|
Interest Expense
|
|
Cost of Funds
(2)
|
||||||||||
Available-for-sale securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency
(3)
|
$
|
11,868,558
|
|
|
$
|
24,763
|
|
|
0.8
|
%
|
|
$
|
9,834,224
|
|
|
$
|
73,864
|
|
|
0.8
|
%
|
Non-Agency
|
1,278,114
|
|
|
8,641
|
|
|
2.7
|
%
|
|
1,173,955
|
|
|
29,123
|
|
|
2.5
|
%
|
||||
|
13,146,672
|
|
|
33,404
|
|
|
1.0
|
%
|
|
11,008,179
|
|
|
102,987
|
|
|
0.9
|
%
|
||||
Agency derivatives
|
107,433
|
|
|
460
|
|
|
1.7
|
%
|
|
111,770
|
|
|
1,729
|
|
|
1.5
|
%
|
||||
Trading securities
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
Residential mortgage loans held-for-sale
|
190,503
|
|
|
331
|
|
|
0.7
|
%
|
|
376,513
|
|
|
2,733
|
|
|
0.7
|
%
|
||||
Residential mortgage loans held-for-investment in securitization trusts
(4)
|
3,394,271
|
|
|
27,626
|
|
|
3.3
|
%
|
|
3,377,687
|
|
|
103,039
|
|
|
3.1
|
%
|
||||
Commercial real estate assets
|
856,724
|
|
|
3,919
|
|
|
1.8
|
%
|
|
594,891
|
|
|
10,803
|
|
|
1.8
|
%
|
||||
Total
|
$
|
17,695,603
|
|
|
$
|
65,740
|
|
|
1.5
|
%
|
|
$
|
15,469,040
|
|
|
$
|
221,291
|
|
|
1.4
|
%
|
|
Three Months Ended December 31, 2015
|
|
Year Ended December 31, 2015
|
||||||||||||||||||
(dollars in thousands)
|
Average Balance
(1)
|
|
Interest Expense
|
|
Cost of Funds
(2)
|
|
Average Balance
(1)
|
|
Interest Expense
|
|
Cost of Funds
(2)
|
||||||||||
Available-for-sale securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency
(3)
|
$
|
6,467,442
|
|
|
$
|
8,429
|
|
|
0.5
|
%
|
|
$
|
9,046,108
|
|
|
$
|
40,352
|
|
|
0.4
|
%
|
Non-Agency
|
1,442,669
|
|
|
7,281
|
|
|
2.0
|
%
|
|
1,764,384
|
|
|
33,786
|
|
|
1.9
|
%
|
||||
|
7,910,111
|
|
|
15,710
|
|
|
0.8
|
%
|
|
10,810,492
|
|
|
74,138
|
|
|
0.7
|
%
|
||||
Agency derivatives
|
123,115
|
|
|
368
|
|
|
1.2
|
%
|
|
129,853
|
|
|
1,404
|
|
|
1.1
|
%
|
||||
Trading securities
|
—
|
|
|
—
|
|
|
—
|
%
|
|
917,682
|
|
|
1,727
|
|
|
0.2
|
%
|
||||
Residential mortgage loans held-for-sale
|
534,970
|
|
|
616
|
|
|
0.5
|
%
|
|
508,650
|
|
|
2,139
|
|
|
0.4
|
%
|
||||
Residential mortgage loans held-for-investment in securitization trusts
(4)
|
2,986,853
|
|
|
19,577
|
|
|
2.6
|
%
|
|
2,286,501
|
|
|
62,302
|
|
|
2.7
|
%
|
||||
Commercial real estate assets
|
102,051
|
|
|
304
|
|
|
1.2
|
%
|
|
34,393
|
|
|
476
|
|
|
1.4
|
%
|
||||
Total
|
$
|
11,657,100
|
|
|
$
|
36,575
|
|
|
1.3
|
%
|
|
$
|
14,687,571
|
|
|
$
|
142,186
|
|
|
1.0
|
%
|
(1)
|
Average balance represents average total repurchase agreements and FHLB advances on AFS securities, Agency Derivatives, trading securities, residential mortgage loans held-for-sale and commercial real estate assets, and average collateralized borrowings for residential mortgage loans held-for-investment in securitization trusts.
|
(2)
|
Cost of funds by investment type is based on the underlying investment type of the asset assigned as collateral. Cost of funds does not include the accrual and settlement of interest associated with interest rate swaps. In accordance with U.S. GAAP, those costs are included in
gain (loss) on interest rate swap and swaption agreements
in the
consolidated statements of comprehensive income (loss)
. For the
three and twelve months ended
December 31, 2016
, our total average cost of funds on the assets assigned as collateral for repurchase agreements, FHLB advances and collateralized borrowings shown in the table above, including interest spread expense associated with interest rate swaps, was
1.6%
and
1.6%
, respectively, compared to
1.7%
and
1.6%
for the same periods in
2015
.
|
(3)
|
Excludes Agency Derivatives. For the
three and twelve months ended
December 31, 2016
, our average cost of funds on total Agency RMBS, including Agency Derivatives, was
0.8%
and
0.8%
, respectively, compared to
0.5%
and
0.5%
for the same periods in
2015
.
|
(4)
|
Includes repurchase agreements and FHLB advances collateralized by retained interests from our on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
|
Three Months Ended December 31, 2016
|
|
Year Ended December 31, 2016
|
||||||||||
(dollars in thousands)
|
Net Interest Income
|
|
Net Interest Rate Spread
(1)
|
|
Net Interest Income
|
|
Net Interest Rate Spread
(1)
|
||||||
Available-for-sale securities
|
|
|
|
|
|
|
|
||||||
Agency
(2)
|
$
|
63,875
|
|
|
2.0
|
%
|
|
$
|
219,634
|
|
|
2.0
|
%
|
Non-Agency
|
25,440
|
|
|
6.0
|
%
|
|
92,431
|
|
|
5.9
|
%
|
||
|
89,315
|
|
|
2.5
|
%
|
|
312,065
|
|
|
2.6
|
%
|
||
Agency derivatives
(3)
|
3,971
|
|
|
14.2
|
%
|
|
18,060
|
|
|
15.3
|
%
|
||
Trading securities
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Residential mortgage loans held-for-sale
|
2,917
|
|
|
3.2
|
%
|
|
20,304
|
|
|
3.4
|
%
|
||
Residential mortgage loans held-for-investment in securitization trusts
(4)
|
5,602
|
|
|
0.5
|
%
|
|
30,954
|
|
|
0.8
|
%
|
||
Commercial real estate assets
|
15,621
|
|
|
4.3
|
%
|
|
49,016
|
|
|
4.4
|
%
|
||
Total
|
$
|
117,426
|
|
|
2.3
|
%
|
|
$
|
430,399
|
|
|
2.5
|
%
|
|
Three Months Ended December 31, 2015
|
|
Year Ended December 31, 2015
|
||||||||||
(dollars in thousands)
|
Net Interest Income
|
|
Net Interest Rate Spread
(1)
|
|
Net Interest Income
|
|
Net Interest Rate Spread
(1)
|
||||||
Available-for-sale securities
|
|
|
|
|
|
|
|
||||||
Agency
(2)
|
$
|
46,361
|
|
|
2.7
|
%
|
|
$
|
253,878
|
|
|
2.7
|
%
|
Non-Agency
|
26,472
|
|
|
5.8
|
%
|
|
130,499
|
|
|
5.9
|
%
|
||
|
72,833
|
|
|
3.3
|
%
|
|
384,377
|
|
|
3.3
|
%
|
||
Agency derivatives
(3)
|
6,207
|
|
|
17.3
|
%
|
|
26,444
|
|
|
17.5
|
%
|
||
Trading securities
|
—
|
|
|
—
|
%
|
|
6,949
|
|
|
0.8
|
%
|
||
Residential mortgage loans held-for-sale
|
7,082
|
|
|
3.5
|
%
|
|
26,827
|
|
|
3.5
|
%
|
||
Residential mortgage loans held-for-investment in securitization trusts
(4)
|
11,255
|
|
|
1.3
|
%
|
|
33,438
|
|
|
1.2
|
%
|
||
Commercial real estate assets
|
5,993
|
|
|
4.8
|
%
|
|
8,662
|
|
|
5.0
|
%
|
||
Total
|
$
|
103,370
|
|
|
3.0
|
%
|
|
$
|
486,697
|
|
|
3.0
|
%
|
(1)
|
Net interest rate spread does not include the accrual and settlement of interest associated with interest rate swaps. In accordance with U.S. GAAP, those costs are included in
gain (loss) on interest rate swap and swaption agreements
in the
consolidated statements of comprehensive income (loss)
. For the
three and twelve months ended
December 31, 2016
, our total average net interest rate spread on the assets shown in the table above, including interest spread expense associated with interest rate swaps, was
2.2%
and
2.3%
, respectively, compared to
2.6%
and
2.3%
for the same periods in
2015
.
|
(2)
|
Excludes Agency Derivatives. For the
three and twelve months ended
December 31, 2016
, our average annualized net interest rate spread on total Agency RMBS, including Agency Derivatives, was
2.2%
and
2.2%
, respectively, compared to
3.0%
and
2.9%
for the same periods in
2015
.
|
(3)
|
Interest income on Agency Derivatives is included in
gain (loss) on other derivative instruments
on the
consolidated statements of comprehensive income (loss)
, while interest expense on Agency Derivatives is included in interest expense on repurchase agreements on the
consolidated statements of comprehensive income (loss)
.
|
(4)
|
Net of interest expense on repurchase agreements and FHLB advances collateralized by retained interests from our on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
|
Three Months Ended
|
|
Year Ended
|
||||||||||||
|
December 31,
|
|
December 31,
|
||||||||||||
(in thousands)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net interest spread
|
$
|
(2,934
|
)
|
|
$
|
(12,552
|
)
|
|
$
|
(21,074
|
)
|
|
$
|
(85,636
|
)
|
Early termination, agreement maturation and option expiration gains (losses)
|
37,564
|
|
|
(101,159
|
)
|
|
(81,984
|
)
|
|
(226,143
|
)
|
||||
Change in unrealized gain on interest rate swap and swaption agreements, at fair value
|
143,349
|
|
|
156,237
|
|
|
148,429
|
|
|
101,158
|
|
||||
Gain (loss) on interest rate swap and swaption agreements
|
$
|
177,979
|
|
|
$
|
42,526
|
|
|
$
|
45,371
|
|
|
$
|
(210,621
|
)
|
|
Year Ended December 31, 2015
|
|
Year Ended December 31, 2014
|
||||||||||||||||||
(dollars in thousands)
|
Average Balance
(1)
|
|
Interest Income
|
|
Net Asset Yield
|
|
Average Balance
(1)
|
|
Interest Income
|
|
Net Asset Yield
|
||||||||||
Available-for-sale securities
|
$
|
11,533,417
|
|
|
$
|
458,515
|
|
|
4.0
|
%
|
|
$
|
12,202,246
|
|
|
$
|
506,268
|
|
|
4.1
|
%
|
Trading securities
|
908,052
|
|
|
8,676
|
|
|
1.0
|
%
|
|
1,462,816
|
|
|
12,913
|
|
|
0.9
|
%
|
||||
Residential mortgage loans held-for-sale
|
749,025
|
|
|
28,966
|
|
|
3.9
|
%
|
|
403,141
|
|
|
16,089
|
|
|
4.0
|
%
|
||||
Residential mortgage loans held-for-investment in securitization trusts
|
2,467,905
|
|
|
95,740
|
|
|
3.9
|
%
|
|
1,051,533
|
|
|
41,220
|
|
|
3.9
|
%
|
||||
Commercial real estate assets
|
142,693
|
|
|
9,138
|
|
|
6.4
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
|
15,801,092
|
|
|
601,035
|
|
|
3.8
|
%
|
|
15,119,736
|
|
|
576,490
|
|
|
3.8
|
%
|
||||
Agency derivatives
(2)
|
149,601
|
|
|
27,848
|
|
|
18.6
|
%
|
|
188,824
|
|
|
30,171
|
|
|
16.0
|
%
|
||||
Total
|
$
|
15,950,693
|
|
|
$
|
628,883
|
|
|
3.9
|
%
|
|
$
|
15,308,560
|
|
|
$
|
606,661
|
|
|
4.0
|
%
|
(1)
|
Average balance represents average amortized cost on AFS securities, trading securities, commercial real estate assets and Agency Derivatives and average unpaid principal balance, adjusted for purchase price changes, on residential mortgage loans held-for-sale and residential mortgage loans held-for-investment in securitization trusts.
|
(2)
|
Interest income on Agency Derivatives is included in
gain (loss) on other derivative instruments
on the
consolidated statements of comprehensive income (loss)
.
|
|
Year Ended December 31, 2015
|
|
Year Ended December 31, 2014
|
||||||||||||||
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
||||||
Gross yield/stated coupon
|
4.6
|
%
|
|
3.2
|
%
|
|
4.3
|
%
|
|
4.5
|
%
|
|
3.0
|
%
|
|
4.3
|
%
|
Net (premium amortization) discount accretion
|
(1.4
|
)%
|
|
4.6
|
%
|
|
(0.3
|
)%
|
|
(1.4
|
)%
|
|
5.5
|
%
|
|
(0.2
|
)%
|
Net yield
(2)
|
3.1
|
%
|
|
7.8
|
%
|
|
4.0
|
%
|
|
3.1
|
%
|
|
8.5
|
%
|
|
4.1
|
%
|
(1)
|
Excludes Agency Derivatives. For the
years ended
December 31, 2015
and
2014
, the average annualized net yield on total Agency RMBS, including Agency Derivatives, was
3.4%
and
3.4%
, respectively.
|
(2)
|
These yields have not been adjusted for cost of delay and cost to carry purchase premiums.
|
|
Year Ended December 31, 2015
|
|
Year Ended December 31, 2014
|
||||||||||||||||||||
(dollars in thousands)
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
||||||||||||
Average amortized cost
|
$
|
9,434,121
|
|
|
$
|
2,099,296
|
|
|
$
|
11,533,417
|
|
|
$
|
9,893,488
|
|
|
$
|
2,308,758
|
|
|
$
|
12,202,246
|
|
Coupon interest
|
429,869
|
|
|
68,224
|
|
|
498,093
|
|
|
450,001
|
|
|
69,742
|
|
|
519,743
|
|
||||||
Net (premium amortization) discount accretion
|
(135,639
|
)
|
|
96,061
|
|
|
(39,578
|
)
|
|
(140,827
|
)
|
|
127,352
|
|
|
(13,475
|
)
|
||||||
Interest income
|
$
|
294,230
|
|
|
$
|
164,285
|
|
|
$
|
458,515
|
|
|
$
|
309,174
|
|
|
$
|
197,094
|
|
|
$
|
506,268
|
|
Net asset yield
|
3.1
|
%
|
|
7.8
|
%
|
|
4.0
|
%
|
|
3.1
|
%
|
|
8.5
|
%
|
|
4.1
|
%
|
(1)
|
Excludes Agency Derivatives. For the
years ended
December 31, 2015
and
2014
, the average annualized net yield on total Agency RMBS, including Agency Derivatives, was
3.4%
and
3.4%
, respectively.
|
|
Year Ended December 31, 2015
|
|
Year Ended December 31, 2014
|
||||||||||||||||||
(dollars in thousands)
|
Average Balance
(1)
|
|
Interest Expense
|
|
Cost of Funds
(2)
|
|
Average Balance
(1)
|
|
Interest Expense
|
|
Cost of Funds
(2)
|
||||||||||
Available-for-sale securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency
(3)
|
$
|
9,046,108
|
|
|
$
|
40,352
|
|
|
0.4
|
%
|
|
$
|
9,331,350
|
|
|
$
|
38,861
|
|
|
0.4
|
%
|
Non-Agency
|
1,764,384
|
|
|
33,786
|
|
|
1.9
|
%
|
|
2,077,668
|
|
|
37,262
|
|
|
1.8
|
%
|
||||
|
10,810,492
|
|
|
74,138
|
|
|
0.7
|
%
|
|
11,409,018
|
|
|
76,123
|
|
|
0.7
|
%
|
||||
Agency derivatives
|
129,853
|
|
|
1,404
|
|
|
1.1
|
%
|
|
151,180
|
|
|
1,562
|
|
|
1.0
|
%
|
||||
Trading securities
|
917,682
|
|
|
1,727
|
|
|
0.2
|
%
|
|
1,442,268
|
|
|
(15
|
)
|
|
—
|
%
|
||||
Residential mortgage loans held-for-sale
|
508,650
|
|
|
2,139
|
|
|
0.4
|
%
|
|
223,447
|
|
|
3,020
|
|
|
1.4
|
%
|
||||
Residential mortgage loans held-for-investment in securitization trusts
(4)
|
2,286,501
|
|
|
62,302
|
|
|
2.7
|
%
|
|
764,921
|
|
|
26,760
|
|
|
3.5
|
%
|
||||
Commercial real estate assets
|
34,393
|
|
|
476
|
|
|
1.4
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
Total
|
$
|
14,687,571
|
|
|
$
|
142,186
|
|
|
1.0
|
%
|
|
$
|
13,990,834
|
|
|
$
|
107,450
|
|
|
0.8
|
%
|
(1)
|
Average balance represents average total repurchase agreements and FHLB advances on AFS securities, Agency Derivatives, trading securities, residential mortgage loans held-for-sale and commercial real estate assets, and average collateralized borrowings for residential mortgage loans held-for-investment in securitization trusts.
|
(2)
|
Cost of funds by investment type is based on the underlying investment type of the asset assigned as collateral. Cost of funds does not include the accrual and settlement of interest associated with interest rate swaps. In accordance with U.S. GAAP, those costs are included in
gain (loss) on interest rate swap and swaption agreements
in the
consolidated statements of comprehensive income (loss)
. For the
years ended
December 31, 2015
and
2014
, our total average cost of funds on the assets assigned as collateral for repurchase agreements, FHLB advances and collateralized borrowings shown in the table above, including interest spread expense associated with interest rate swaps, was
1.6%
and
1.5%
, respectively.
|
(3)
|
Excludes Agency Derivatives. For the
years ended
December 31, 2015
and
2014
, our average cost of funds on total Agency RMBS, including Agency Derivatives, was
0.5%
and
0.4%
, respectively.
|
(4)
|
Includes repurchase agreements and FHLB advances collateralized by retained interests from our on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
|
Year Ended December 31, 2015
|
|
Year Ended December 31, 2014
|
||||||||||
(dollars in thousands)
|
Net Interest Income
|
|
Net Interest Rate Spread
(1)
|
|
Net Interest Income
|
|
Net Interest Rate Spread
(1)
|
||||||
Available-for-sale securities
|
|
|
|
|
|
|
|
||||||
Agency
(2)
|
$
|
253,878
|
|
|
2.7
|
%
|
|
$
|
270,313
|
|
|
2.7
|
%
|
Non-Agency
|
130,499
|
|
|
5.9
|
%
|
|
159,832
|
|
|
6.7
|
%
|
||
|
384,377
|
|
|
3.3
|
%
|
|
430,145
|
|
|
3.4
|
%
|
||
Agency derivatives
(3)
|
26,444
|
|
|
17.5
|
%
|
|
28,609
|
|
|
15.0
|
%
|
||
Trading securities
|
6,949
|
|
|
0.8
|
%
|
|
12,928
|
|
|
0.9
|
%
|
||
Residential mortgage loans held-for-sale
|
26,827
|
|
|
3.5
|
%
|
|
13,069
|
|
|
2.6
|
%
|
||
Residential mortgage loans held-for-investment in securitization trusts
(4)
|
33,438
|
|
|
1.2
|
%
|
|
14,460
|
|
|
0.4
|
%
|
||
Commercial real estate assets
|
8,662
|
|
|
5.0
|
%
|
|
—
|
|
|
—
|
%
|
||
Total
|
$
|
486,697
|
|
|
3.0
|
%
|
|
$
|
499,211
|
|
|
3.2
|
%
|
(1)
|
Net interest rate spread does not include the accrual and settlement of interest associated with interest rate swaps. In accordance with U.S. GAAP, those costs are included in
gain (loss) on interest rate swap and swaption agreements
in the
consolidated statements of comprehensive income (loss)
. For the
years ended
December 31, 2015
and
2014
, our total average net interest rate spread on the assets shown in the table above, including interest spread expense associated with interest rate swaps, was
2.3%
and
2.5%
, respectively.
|
(2)
|
Excludes Agency Derivatives. For the
years ended
December 31, 2015
and
2014
, our average annualized net interest rate spread on total Agency RMBS, including Agency Derivatives, was
2.9%
and
3.0%
, respectively.
|
(3)
|
Interest income on Agency Derivatives is included in
gain (loss) on other derivative instruments
on the
consolidated statements of comprehensive income (loss)
, while interest expense on Agency Derivatives is included in interest expense on repurchase agreements on the
consolidated statements of comprehensive income (loss)
.
|
(4)
|
Net of interest expense on repurchase agreements and FHLB advances collateralized by retained interests from our on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
|
Year Ended
|
||||||
|
December 31,
|
||||||
(in thousands)
|
2015
|
|
2014
|
||||
Net interest spread
|
$
|
(85,636
|
)
|
|
$
|
(91,754
|
)
|
Early termination, agreement maturation and option expiration losses
|
(226,143
|
)
|
|
(55,389
|
)
|
||
Change in unrealized gain (loss) on interest rate swap and swaption agreements, at fair value
|
101,158
|
|
|
(198,504
|
)
|
||
Loss on interest rate swap and swaption agreements
|
$
|
(210,621
|
)
|
|
$
|
(345,647
|
)
|
|
December 31, 2016
|
|||||||||||||||||||||||||||||
(dollars in thousands, except purchase price)
|
Principal/ Current Face
|
|
Net (Discount) Premium
|
|
Amortized Cost
|
|
Unrealized Gain
|
|
Unrealized Loss
|
|
Carrying Value
|
|
Weighted Average Coupon Rate
|
|
Weighted Average Purchase Price
|
|||||||||||||||
Principal and interest securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Fixed
|
$
|
10,580,940
|
|
|
$
|
527,243
|
|
|
$
|
11,108,183
|
|
|
$
|
66,369
|
|
|
$
|
(207,889
|
)
|
|
$
|
10,966,663
|
|
|
3.74
|
%
|
|
$
|
106.03
|
|
Hybrid ARM
|
28,582
|
|
|
1,583
|
|
|
30,165
|
|
|
599
|
|
|
(301
|
)
|
|
30,463
|
|
|
4.95
|
%
|
|
$
|
108.27
|
|
||||||
Total P&I Securities
|
10,609,522
|
|
|
528,826
|
|
|
11,138,348
|
|
|
66,968
|
|
|
(208,190
|
)
|
|
10,997,126
|
|
|
3.74
|
%
|
|
$
|
105.85
|
|
||||||
Interest-only securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Fixed
|
413,164
|
|
|
(348,407
|
)
|
|
64,757
|
|
|
3,111
|
|
|
(1,061
|
)
|
|
66,807
|
|
|
3.83
|
%
|
|
$
|
17.22
|
|
||||||
Fixed Other
(1)
|
2,548,731
|
|
|
(2,367,115
|
)
|
|
181,616
|
|
|
8,961
|
|
|
(28,036
|
)
|
|
162,541
|
|
|
1.62
|
%
|
|
$
|
9.09
|
|
||||||
Total
|
$
|
13,571,417
|
|
|
$
|
(2,186,696
|
)
|
|
$
|
11,384,721
|
|
|
$
|
79,040
|
|
|
$
|
(237,287
|
)
|
|
$
|
11,226,474
|
|
|
|
|
|
|
December 31, 2015
|
|||||||||||||||||||||||||||||
(dollars in thousands, except purchase price)
|
Principal/ Current Face
|
|
Net (Discount) Premium
|
|
Amortized Cost
|
|
Unrealized Gain
|
|
Unrealized Loss
|
|
Carrying Value
|
|
Weighted Average Coupon Rate
|
|
Weighted Average Purchase Price
|
|||||||||||||||
Principal and interest securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Fixed
|
$
|
5,237,112
|
|
|
$
|
354,134
|
|
|
$
|
5,591,246
|
|
|
$
|
82,591
|
|
|
$
|
(37,450
|
)
|
|
$
|
5,636,387
|
|
|
4.40
|
%
|
|
$
|
108.14
|
|
Hybrid ARM
|
101,836
|
|
|
4,457
|
|
|
106,293
|
|
|
2,625
|
|
|
(322
|
)
|
|
108,596
|
|
|
3.60
|
%
|
|
$
|
106.06
|
|
||||||
Total P&I Securities
|
5,338,948
|
|
|
358,591
|
|
|
5,697,539
|
|
|
85,216
|
|
|
(37,772
|
)
|
|
5,744,983
|
|
|
4.39
|
%
|
|
$
|
108.10
|
|
||||||
Interest-only securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Fixed
|
299,682
|
|
|
(262,868
|
)
|
|
36,814
|
|
|
1,810
|
|
|
(1,856
|
)
|
|
36,768
|
|
|
4.23
|
%
|
|
$
|
15.15
|
|
||||||
Fixed Other
(1)
|
2,618,400
|
|
|
(2,422,915
|
)
|
|
195,485
|
|
|
11,363
|
|
|
(15,709
|
)
|
|
191,139
|
|
|
1.63
|
%
|
|
$
|
9.23
|
|
||||||
Total
|
$
|
8,257,030
|
|
|
$
|
(2,327,192
|
)
|
|
$
|
5,929,838
|
|
|
$
|
98,389
|
|
|
$
|
(55,337
|
)
|
|
$
|
5,972,890
|
|
|
|
|
|
(1)
|
Fixed Other represents weighted-average coupon interest-only securities that are not generally used for our interest-rate risk management purposes. These securities pay variable coupon interest based on the weighted average of the fixed rates of the underlying loans of the security, less the weighted average rates of the applicable issued principal and interest securities.
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
0-12 months
|
$
|
30,131
|
|
|
$
|
108,227
|
|
13-36 months
|
332
|
|
|
369
|
|
||
Total
|
$
|
30,463
|
|
|
$
|
108,596
|
|
|
As of December 31, 2016
|
||||||||||||||||||||||||||
(in thousands)
|
Principal/current face
|
|
Accretable purchase discount
|
|
Credit reserve purchase discount
|
|
Amortized cost
|
|
Unrealized gain
|
|
Unrealized loss
|
|
Carrying value
|
||||||||||||||
Principal and interest securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Senior
|
$
|
1,622,604
|
|
|
$
|
(377,017
|
)
|
|
$
|
(315,009
|
)
|
|
$
|
930,578
|
|
|
$
|
282,479
|
|
|
$
|
(2,595
|
)
|
|
$
|
1,210,462
|
|
Mezzanine
|
924,000
|
|
|
(250,786
|
)
|
|
(52,428
|
)
|
|
620,786
|
|
|
70,761
|
|
|
(3,903
|
)
|
|
687,644
|
|
|||||||
Total P&I Securities
|
2,546,604
|
|
|
(627,803
|
)
|
|
(367,437
|
)
|
|
1,551,364
|
|
|
353,240
|
|
|
(6,498
|
)
|
|
1,898,106
|
|
|||||||
Interest-only securities
|
185,535
|
|
|
(181,172
|
)
|
|
—
|
|
|
4,363
|
|
|
118
|
|
|
(204
|
)
|
|
4,277
|
|
|||||||
Total
|
$
|
2,732,139
|
|
|
$
|
(808,975
|
)
|
|
$
|
(367,437
|
)
|
|
$
|
1,555,727
|
|
|
$
|
353,358
|
|
|
$
|
(6,702
|
)
|
|
$
|
1,902,383
|
|
|
As of December 31, 2015
|
||||||||||||||||||||||||||
(in thousands)
|
Principal/current face
|
|
Accretable purchase discount
|
|
Credit reserve purchase discount
|
|
Amortized cost
|
|
Unrealized gain
|
|
Unrealized loss
|
|
Carrying value
|
||||||||||||||
Principal and interest securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Senior
|
$
|
1,801,283
|
|
|
$
|
(383,816
|
)
|
|
$
|
(373,729
|
)
|
|
$
|
1,043,738
|
|
|
$
|
275,565
|
|
|
$
|
(5,608
|
)
|
|
$
|
1,313,695
|
|
Mezzanine
|
624,253
|
|
|
(98,729
|
)
|
|
(35,348
|
)
|
|
490,176
|
|
|
52,847
|
|
|
(10,451
|
)
|
|
532,572
|
|
|||||||
Total P&I Securities
|
2,425,536
|
|
|
(482,545
|
)
|
|
(409,077
|
)
|
|
1,533,914
|
|
|
328,412
|
|
|
(16,059
|
)
|
|
1,846,267
|
|
|||||||
Interest-only securities
|
229,845
|
|
|
(224,476
|
)
|
|
—
|
|
|
5,369
|
|
|
794
|
|
|
—
|
|
|
6,163
|
|
|||||||
Total
|
$
|
2,655,381
|
|
|
$
|
(707,021
|
)
|
|
$
|
(409,077
|
)
|
|
$
|
1,539,283
|
|
|
$
|
329,206
|
|
|
$
|
(16,059
|
)
|
|
$
|
1,852,430
|
|
|
December 31,
2016 |
|
December 31,
2015 |
||
AAA
|
0.1
|
%
|
|
—
|
%
|
AA
|
—
|
%
|
|
—
|
%
|
A
|
—
|
%
|
|
0.1
|
%
|
BBB
|
4.2
|
%
|
|
0.1
|
%
|
BB
|
1.4
|
%
|
|
1.8
|
%
|
B
|
4.4
|
%
|
|
4.7
|
%
|
Below B
|
76.7
|
%
|
|
73.0
|
%
|
Not rated
|
13.2
|
%
|
|
20.3
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
|
|
At December 31, 2016
|
||||||||||
Non-Agency Principal and Interest (P&I) RMBS
|
|
Senior
|
|
Mezzanine
|
|
Total P&I RMBS
|
||||||
Carrying Value (in thousands)
|
|
$
|
1,210,462
|
|
|
$
|
687,644
|
|
|
$
|
1,898,106
|
|
% of Non-Agency Portfolio
|
|
63.8
|
%
|
|
36.2
|
%
|
|
100.0
|
%
|
|||
Average Purchase Price
(1)
|
|
$
|
53.64
|
|
|
$
|
65.63
|
|
|
$
|
57.86
|
|
Average Coupon
|
|
2.9
|
%
|
|
2.2
|
%
|
|
2.6
|
%
|
|||
Average Fixed Coupon
|
|
5.6
|
%
|
|
3.5
|
%
|
|
4.4
|
%
|
|||
Average Floating Coupon
|
|
2.5
|
%
|
|
1.6
|
%
|
|
2.2
|
%
|
|||
Average Hybrid Coupon
|
|
5.1
|
%
|
|
3.2
|
%
|
|
3.8
|
%
|
|||
Collateral Attributes
|
|
|
|
|
|
|
||||||
Average Loan Age (months)
|
|
124
|
|
|
133
|
|
|
126
|
|
|||
Average Loan Size (in thousands)
|
|
$
|
361
|
|
|
$
|
315
|
|
|
$
|
347
|
|
Average Original Loan-to-Value
|
|
70.7
|
%
|
|
69.8
|
%
|
|
70.4
|
%
|
|||
Average Original FICO
(2)
|
|
633
|
|
|
584
|
|
|
619
|
|
|||
Current Performance
|
|
|
|
|
|
|
||||||
60+ day delinquencies
|
|
24.7
|
%
|
|
21.5
|
%
|
|
23.8
|
%
|
|||
Average Credit Enhancement
(3)
|
|
9.6
|
%
|
|
20.6
|
%
|
|
12.8
|
%
|
|||
3-Month CPR
(4)
|
|
5.9
|
%
|
|
7.0
|
%
|
|
6.2
|
%
|
|
|
At December 31, 2015
|
||||||||||
Non-Agency Principal and Interest (P&I) RMBS
|
|
Senior
|
|
Mezzanine
|
|
Total P&I RMBS
|
||||||
Carrying Value (in thousands)
|
|
$
|
1,313,695
|
|
|
$
|
532,572
|
|
|
$
|
1,846,267
|
|
% of Non-Agency Portfolio
|
|
71.2
|
%
|
|
28.8
|
%
|
|
100.0
|
%
|
|||
Average Purchase Price
(1)
|
|
$
|
52.88
|
|
|
$
|
79.01
|
|
|
$
|
60.42
|
|
Average Coupon
|
|
2.8
|
%
|
|
3.0
|
%
|
|
2.9
|
%
|
|||
Average Fixed Coupon
|
|
5.4
|
%
|
|
5.4
|
%
|
|
5.4
|
%
|
|||
Average Floating Coupon
|
|
2.5
|
%
|
|
2.9
|
%
|
|
2.6
|
%
|
|||
Average Hybrid Coupon
|
|
5.2
|
%
|
|
—
|
%
|
|
5.2
|
%
|
|||
Collateral Attributes
|
|
|
|
|
|
|
||||||
Average Loan Age (months)
|
|
112
|
|
|
85
|
|
|
105
|
|
|||
Average Loan Size (in thousands)
|
|
$
|
361
|
|
|
$
|
300
|
|
|
$
|
346
|
|
Average Original Loan-to-Value
|
|
71.3
|
%
|
|
73.0
|
%
|
|
71.8
|
%
|
|||
Average Original FICO
(2)
|
|
634
|
|
|
695
|
|
|
649
|
|
|||
Current Performance
|
|
|
|
|
|
|
||||||
60+ day delinquencies
|
|
28.1
|
%
|
|
12.2
|
%
|
|
24.0
|
%
|
|||
Average Credit Enhancement
(3)
|
|
9.1
|
%
|
|
12.9
|
%
|
|
10.1
|
%
|
|||
3-Month CPR
(4)
|
|
4.4
|
%
|
|
10.7
|
%
|
|
6.2
|
%
|
(1)
|
Average purchase price utilized carrying value for weighting purposes. If current face were utilized for weighting purposes, the average purchase price for senior, mezzanine, and total non-Agency RMBS, excluding our non-Agency interest-only portfolio, would be
$50.40
,
$64.34
and
$55.46
, respectively, at
December 31, 2016
and
$48.92
,
$75.63
and
$55.80
, respectively at
December 31, 2015
.
|
(2)
|
FICO represents a mortgage industry accepted credit score of a borrower, which was developed by Fair Isaac Corporation.
|
(3)
|
Average credit enhancement remaining on our non-Agency RMBS portfolio, which is the average amount of protection available to absorb future credit losses due to defaults on the underlying collateral.
|
(4)
|
Three-month CPR is reflective of the prepayment speed on the underlying securitization; however, it does not necessarily indicate the proceeds received on our investment tranche. Proceeds received for each security are dependent on the position of the individual security within the structure of each deal.
|
|
December 31, 2016
|
|||||||||||||||||||
(dollars in thousands)
|
Senior
|
|
Mezzanine
|
|
Total P&I RMBS
|
|||||||||||||||
Collateral Type
|
Carrying Value
|
|
% of Senior Portfolio
|
|
Carrying Value
|
|
% of Mezzanine Portfolio
|
|
Carrying Value
|
|
% of Non-Agency Portfolio
|
|||||||||
Prime
|
$
|
33,873
|
|
|
2.8
|
%
|
|
$
|
17,143
|
|
|
2.5
|
%
|
|
$
|
51,016
|
|
|
2.7
|
%
|
Alt-A
|
87,655
|
|
|
7.2
|
%
|
|
55,836
|
|
|
8.1
|
%
|
|
143,491
|
|
|
7.6
|
%
|
|||
POA
|
93,388
|
|
|
7.7
|
%
|
|
42,097
|
|
|
6.1
|
%
|
|
135,485
|
|
|
7.1
|
%
|
|||
Subprime
|
982,860
|
|
|
81.2
|
%
|
|
367,822
|
|
|
53.5
|
%
|
|
1,350,682
|
|
|
71.2
|
%
|
|||
Other
|
12,686
|
|
|
1.1
|
%
|
|
204,746
|
|
|
29.8
|
%
|
|
217,432
|
|
|
11.4
|
%
|
|||
Total
|
$
|
1,210,462
|
|
|
100.0
|
%
|
|
$
|
687,644
|
|
|
100.0
|
%
|
|
$
|
1,898,106
|
|
|
100.0
|
%
|
|
December 31, 2015
|
|||||||||||||||||||
(dollars in thousands)
|
Senior
|
|
Mezzanine
|
|
Total P&I RMBS
|
|||||||||||||||
Collateral Type
|
Carrying Value
|
|
% of Senior Portfolio
|
|
Carrying Value
|
|
% of Mezzanine Portfolio
|
|
Carrying Value
|
|
% of Non-Agency Portfolio
|
|||||||||
Prime
|
$
|
82,775
|
|
|
6.3
|
%
|
|
$
|
18,224
|
|
|
3.4
|
%
|
|
$
|
100,999
|
|
|
5.5
|
%
|
Alt-A
|
59,049
|
|
|
4.5
|
%
|
|
21,638
|
|
|
4.1
|
%
|
|
80,687
|
|
|
4.4
|
%
|
|||
POA
|
120,959
|
|
|
9.2
|
%
|
|
28,885
|
|
|
5.4
|
%
|
|
149,844
|
|
|
8.1
|
%
|
|||
Subprime
|
1,050,912
|
|
|
80.0
|
%
|
|
200,210
|
|
|
37.6
|
%
|
|
1,251,122
|
|
|
67.7
|
%
|
|||
Other
|
—
|
|
|
—
|
%
|
|
263,615
|
|
|
49.5
|
%
|
|
263,615
|
|
|
14.3
|
%
|
|||
Total
|
$
|
1,313,695
|
|
|
100.0
|
%
|
|
$
|
532,572
|
|
|
100.0
|
%
|
|
$
|
1,846,267
|
|
|
100.0
|
%
|
|
December 31, 2016
|
|||||||||||||||||||
(dollars in thousands)
|
Senior
|
|
Mezzanine
|
|
Total P&I RMBS
|
|||||||||||||||
Coupon Type
|
Carrying Value
|
|
% of Senior Portfolio
|
|
Carrying Value
|
|
% of Mezzanine Portfolio
|
|
Carrying Value
|
|
% of Non-Agency Portfolio
|
|||||||||
Fixed Rate
|
$
|
143,925
|
|
|
11.9
|
%
|
|
$
|
190,390
|
|
|
27.7
|
%
|
|
$
|
334,315
|
|
|
17.6
|
%
|
Hybrid or Floating
|
1,066,537
|
|
|
88.1
|
%
|
|
497,254
|
|
|
72.3
|
%
|
|
1,563,791
|
|
|
82.4
|
%
|
|||
Total
|
$
|
1,210,462
|
|
|
100.0
|
%
|
|
$
|
687,644
|
|
|
100.0
|
%
|
|
$
|
1,898,106
|
|
|
100.0
|
%
|
|
December 31, 2015
|
|||||||||||||||||||
(dollars in thousands)
|
Senior
|
|
Mezzanine
|
|
Total P&I RMBS
|
|||||||||||||||
Coupon Type
|
Carrying Value
|
|
% of Senior Portfolio
|
|
Carrying Value
|
|
% of Mezzanine Portfolio
|
|
Carrying Value
|
|
% of Non-Agency Portfolio
|
|||||||||
Fixed Rate
|
$
|
156,864
|
|
|
11.9
|
%
|
|
$
|
22,528
|
|
|
4.2
|
%
|
|
$
|
179,392
|
|
|
9.7
|
%
|
Hybrid or Floating
|
1,156,831
|
|
|
88.1
|
%
|
|
510,044
|
|
|
95.8
|
%
|
|
1,666,875
|
|
|
90.3
|
%
|
|||
Total
|
$
|
1,313,695
|
|
|
100.0
|
%
|
|
$
|
532,572
|
|
|
100.0
|
%
|
|
$
|
1,846,267
|
|
|
100.0
|
%
|
|
December 31, 2016
|
|||||||||||||||||||
(dollars in thousands)
|
Senior
|
|
Mezzanine
|
|
Total P&I RMBS
|
|||||||||||||||
Origination Year
|
Carrying Value
|
|
% of Senior Portfolio
|
|
Carrying Value
|
|
% of Mezzanine Portfolio
|
|
Carrying Value
|
|
% of Non-Agency Portfolio
|
|||||||||
2006 and Thereafter
|
$
|
1,049,738
|
|
|
86.7
|
%
|
|
$
|
354,610
|
|
|
51.6
|
%
|
|
$
|
1,404,348
|
|
|
74.0
|
%
|
2002-2005
|
156,288
|
|
|
12.9
|
%
|
|
332,883
|
|
|
48.4
|
%
|
|
489,171
|
|
|
25.8
|
%
|
|||
Pre-2002
|
4,436
|
|
|
0.4
|
%
|
|
151
|
|
|
—
|
%
|
|
4,587
|
|
|
0.2
|
%
|
|||
Total
|
$
|
1,210,462
|
|
|
100.0
|
%
|
|
$
|
687,644
|
|
|
100.0
|
%
|
|
$
|
1,898,106
|
|
|
100.0
|
%
|
|
December 31, 2015
|
|||||||||||||||||||
(dollars in thousands)
|
Senior
|
|
Mezzanine
|
|
Total P&I RMBS
|
|||||||||||||||
Origination Year
|
Carrying Value
|
|
% of Senior Portfolio
|
|
Carrying Value
|
|
% of Mezzanine Portfolio
|
|
Carrying Value
|
|
% of Non-Agency Portfolio
|
|||||||||
2006 and Thereafter
|
$
|
1,101,308
|
|
|
83.8
|
%
|
|
$
|
323,868
|
|
|
60.8
|
%
|
|
$
|
1,425,176
|
|
|
77.2
|
%
|
2002-2005
|
208,271
|
|
|
15.9
|
%
|
|
208,528
|
|
|
39.2
|
%
|
|
416,799
|
|
|
22.6
|
%
|
|||
Pre-2002
|
4,116
|
|
|
0.3
|
%
|
|
176
|
|
|
—
|
%
|
|
4,292
|
|
|
0.2
|
%
|
|||
Total
|
$
|
1,313,695
|
|
|
100.0
|
%
|
|
$
|
532,572
|
|
|
100.0
|
%
|
|
$
|
1,846,267
|
|
|
100.0
|
%
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||
(dollars in thousands)
|
Carrying Value
|
|
% of Non-Agency RMBS
|
|
Carrying Value
|
|
% of Non-Agency RMBS
|
||||||
California
|
$
|
435,227
|
|
|
22.9
|
%
|
|
$
|
443,964
|
|
|
24.0
|
%
|
New York
|
224,627
|
|
|
11.8
|
%
|
|
200,248
|
|
|
10.8
|
%
|
||
Florida
|
179,434
|
|
|
9.4
|
%
|
|
179,885
|
|
|
9.7
|
%
|
||
New Jersey
|
82,731
|
|
|
4.4
|
%
|
|
81,207
|
|
|
4.4
|
%
|
||
Texas
|
69,967
|
|
|
3.7
|
%
|
|
80,372
|
|
|
4.3
|
%
|
||
Total
|
$
|
991,986
|
|
|
52.2
|
%
|
|
$
|
985,676
|
|
|
53.2
|
%
|
|
December 31, 2016
|
||||||||||||||
(in thousands)
|
Unpaid Principal Balance
|
|
Fair Value - Purchase Price
|
|
Fair Value - Unrealized
|
|
Carrying Value
|
||||||||
Prime nonconforming residential mortgage loans
|
$
|
978
|
|
|
$
|
16
|
|
|
$
|
(69
|
)
|
|
$
|
925
|
|
Credit sensitive residential mortgage loans
|
17,840
|
|
|
(5,395
|
)
|
|
(1,956
|
)
|
|
10,489
|
|
||||
Ginnie Mae buyout residential mortgage loans
|
31,168
|
|
|
(1,519
|
)
|
|
(917
|
)
|
|
28,732
|
|
||||
Residential mortgage loans held-for-sale
|
$
|
49,986
|
|
|
$
|
(6,898
|
)
|
|
$
|
(2,942
|
)
|
|
$
|
40,146
|
|
|
December 31, 2015
|
||||||||||||||
(in thousands)
|
Unpaid Principal Balance
|
|
Fair Value - Purchase Price
|
|
Fair Value - Unrealized
|
|
Carrying Value
|
||||||||
Prime nonconforming residential mortgage loans
|
$
|
755,185
|
|
|
$
|
15,678
|
|
|
$
|
(6,545
|
)
|
|
$
|
764,318
|
|
Credit sensitive residential mortgage loans
|
19,173
|
|
|
(5,713
|
)
|
|
(2,416
|
)
|
|
11,044
|
|
||||
Ginnie Mae buyout residential mortgage loans
|
38,303
|
|
|
(1,912
|
)
|
|
(322
|
)
|
|
36,069
|
|
||||
Residential mortgage loans held-for-sale
|
$
|
812,661
|
|
|
$
|
8,053
|
|
|
$
|
(9,283
|
)
|
|
$
|
811,431
|
|
|
December 31,
2016 |
|
December 31,
2015 |
||||||||||||||||||||
(dollars in thousands)
|
Mezzanine Loans
|
|
First Mortgages
|
|
Total
|
|
Mezzanine Loans
|
|
First Mortgages
|
|
Total
|
||||||||||||
Unpaid principal balance
|
$
|
138,245
|
|
|
$
|
1,286,200
|
|
|
$
|
1,424,445
|
|
|
$
|
153,913
|
|
|
$
|
513,433
|
|
|
$
|
667,346
|
|
Unamortized (discount) premium
|
(15
|
)
|
|
(185
|
)
|
|
(200
|
)
|
|
(237
|
)
|
|
—
|
|
|
(237
|
)
|
||||||
Unamortized net deferred origination fees
|
(221
|
)
|
|
(11,481
|
)
|
|
(11,702
|
)
|
|
(830
|
)
|
|
(5,326
|
)
|
|
(6,156
|
)
|
||||||
Carrying value
|
$
|
138,009
|
|
|
$
|
1,274,534
|
|
|
$
|
1,412,543
|
|
|
$
|
152,846
|
|
|
$
|
508,107
|
|
|
$
|
660,953
|
|
Unfunded commitments
|
$
|
1,580
|
|
|
$
|
166,344
|
|
|
$
|
167,924
|
|
|
$
|
1,900
|
|
|
$
|
50,334
|
|
|
$
|
52,234
|
|
Number of loans
|
6
|
|
|
30
|
|
|
36
|
|
|
6
|
|
|
12
|
|
|
18
|
|
||||||
Weighted average coupon
|
8.6
|
%
|
|
5.1
|
%
|
|
5.4
|
%
|
|
8.1
|
%
|
|
4.5
|
%
|
|
5.4
|
%
|
||||||
Weighted average years to maturity
(1)
|
1.5
|
|
|
2.9
|
|
|
2.8
|
|
|
2.6
|
|
|
3.3
|
|
|
3.1
|
|
(1)
|
Based on contractual maturity date. Certain loans are subject to contractual extension options which may be subject to conditions as stipulated in the loan agreement. Actual maturities may differ from contractual maturities stated herein as certain borrowers may have the right to prepay with or without paying a prepayment penalty. We may also extend contractual maturities in connection with loan modifications.
|
(in thousands)
|
|
December 31,
2016 |
|
December 31,
2015 |
||||||||||
Property Type
|
|
Carrying Value
|
|
% of Commercial Portfolio
|
|
Carrying Value
|
|
% of Commercial Portfolio
|
||||||
Retail
|
|
$
|
237,414
|
|
|
16.8
|
%
|
|
$
|
185,883
|
|
|
28.1
|
%
|
Hotel
|
|
90,585
|
|
|
6.4
|
%
|
|
80,843
|
|
|
12.2
|
%
|
||
Industrial
|
|
105,081
|
|
|
7.4
|
%
|
|
—
|
|
|
—
|
%
|
||
Multifamily
|
|
260,683
|
|
|
18.5
|
%
|
|
139,011
|
|
|
21.1
|
%
|
||
Office
|
|
718,780
|
|
|
50.9
|
%
|
|
255,216
|
|
|
38.6
|
%
|
||
Total
|
|
$
|
1,412,543
|
|
|
100.0
|
%
|
|
$
|
660,953
|
|
|
100.0
|
%
|
(in thousands)
|
|
December 31,
2016 |
|
December 31,
2015 |
||||
Geographic Location
|
|
Carrying Value
|
|
% of Commercial Portfolio
|
|
Carrying Value
|
|
% of Commercial Portfolio
|
West
|
|
$250,044
|
|
17.7%
|
|
$131,488
|
|
19.9%
|
Southeast
|
|
239,194
|
|
16.9%
|
|
79,118
|
|
12.0%
|
Southwest
|
|
267,944
|
|
19.0%
|
|
161,721
|
|
24.4%
|
Northeast
|
|
578,762
|
|
41.0%
|
|
238,913
|
|
36.2%
|
Midwest
|
|
76,599
|
|
5.4%
|
|
49,713
|
|
7.5%
|
Total
|
|
$1,412,543
|
|
100.0%
|
|
$660,953
|
|
100.0%
|
|
At December 31, 2016
|
||||||||||||||
|
Government FHA
(1)
|
|
Government VA/USDA
(1)
|
|
Conventional
(2)
|
|
Total
|
||||||||
Unpaid principal balance (in thousands)
|
$
|
74,106
|
|
|
$
|
3,977
|
|
|
$
|
62,749,892
|
|
|
$
|
62,827,975
|
|
Number of loans
|
521
|
|
|
20
|
|
|
279,644
|
|
|
280,185
|
|
||||
Average Coupon
|
4.2
|
%
|
|
4.1
|
%
|
|
3.8
|
%
|
|
3.8
|
%
|
||||
Average Loan Age (months)
|
87
|
|
|
72
|
|
|
24
|
|
|
24
|
|
||||
Average Loan Size (in thousands)
|
$
|
142
|
|
|
$
|
199
|
|
|
$
|
224
|
|
|
$
|
224
|
|
Average Original Loan-to-Value
|
92.7
|
%
|
|
101.1
|
%
|
|
72.7
|
%
|
|
72.7
|
%
|
||||
Average Original FICO
|
649
|
|
|
659
|
|
|
757
|
|
|
756
|
|
||||
60+ day delinquencies
|
17.6
|
%
|
|
26.4
|
%
|
|
0.2
|
%
|
|
0.3
|
%
|
||||
3-Month CPR
|
10.1
|
%
|
|
26.2
|
%
|
|
14.5
|
%
|
|
14.5
|
%
|
|
At December 31, 2015
|
||||||||||||||
|
Government FHA
(1)
|
|
Government VA/USDA
(1)
|
|
Conventional
(2)
|
|
Total
|
||||||||
Unpaid principal balance (in thousands)
|
$
|
7,450,109
|
|
|
$
|
2,555,552
|
|
|
$
|
38,534,344
|
|
|
$
|
48,540,005
|
|
Number of loans
|
52,502
|
|
|
13,881
|
|
|
174,816
|
|
|
241,199
|
|
||||
Average Coupon
|
4.4
|
%
|
|
3.9
|
%
|
|
3.8
|
%
|
|
3.9
|
%
|
||||
Average Loan Age (months)
|
57
|
|
|
45
|
|
|
31
|
|
|
36
|
|
||||
Average Loan Size (in thousands)
|
$
|
142
|
|
|
$
|
184
|
|
|
$
|
221
|
|
|
$
|
201
|
|
Average Original Loan-to-Value
|
92.3
|
%
|
|
96.0
|
%
|
|
69.5
|
%
|
|
74.4
|
%
|
||||
Average Original FICO
|
699
|
|
|
719
|
|
|
762
|
|
|
750
|
|
||||
60+ day delinquencies
|
5.2
|
%
|
|
2.9
|
%
|
|
0.3
|
%
|
|
1.2
|
%
|
||||
3-Month CPR
|
14.2
|
%
|
|
13.3
|
%
|
|
12.6
|
%
|
|
12.9
|
%
|
(1)
|
Includes loans issued by Ginnie Mae.
|
(2)
|
Includes loans issued by Fannie Mae, Freddie Mac or private investors.
|
(dollars in thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||||
Collateral Type
|
|
Amount Outstanding
|
|
Weighted Average Borrowing Rate
|
|
Weighted Average Haircut on Collateral Value
|
|
Amount Outstanding
|
|
Weighted Average Borrowing Rate
|
|
Weighted Average Haircut on Collateral Value
|
||||||||
Agency RMBS
|
|
$
|
10,741,681
|
|
|
0.91
|
%
|
|
5.0
|
%
|
|
$
|
5,586,480
|
|
|
0.62
|
%
|
|
6.9
|
%
|
Non-Agency RMBS
(1)
|
|
1,435,754
|
|
|
2.60
|
%
|
|
30.2
|
%
|
|
2,261,504
|
|
|
1.53
|
%
|
|
23.6
|
%
|
||
Agency Derivatives
|
|
102,236
|
|
|
1.69
|
%
|
|
26.7
|
%
|
|
122,523
|
|
|
1.18
|
%
|
|
26.6
|
%
|
||
Residential mortgage loans held-for-sale
|
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
596,156
|
|
|
0.61
|
%
|
|
21.7
|
%
|
||
Commercial real estate assets
|
|
1,036,680
|
|
|
1.84
|
%
|
|
21.9
|
%
|
|
226,611
|
|
|
1.12
|
%
|
|
36.8
|
%
|
||
Mortgage servicing rights
|
|
70,000
|
|
|
4.53
|
%
|
|
37.1
|
%
|
|
—
|
|
|
—
|
%
|
|
—
|
%
|
||
Total
|
|
$
|
13,386,351
|
|
|
1.19
|
%
|
|
9.4
|
%
|
|
$
|
8,793,274
|
|
|
0.88
|
%
|
|
13.2
|
%
|
(1)
|
Includes repurchase agreements and FHLB advances collateralized by retained interests from our on-balance sheet securitizations which are eliminated in consolidation in accordance with U.S. GAAP.
|
(dollars in thousands)
|
Quarterly Average
(1)
|
|
End of Period Balance
(1)
|
|
Maximum Balance of Any Month-End
(1)
|
|
End of Period Total Borrowings to Equity Ratio
|
|||||||
For the Three Months Ended December 31, 2016
|
$
|
14,492,271
|
|
|
$
|
13,386,351
|
|
|
$
|
15,636,929
|
|
|
3.9
|
:1.0
|
For the Three Months Ended September 30, 2016
|
$
|
14,098,192
|
|
|
$
|
14,667,373
|
|
|
$
|
14,667,373
|
|
|
4.2
|
:1.0
|
For the Three Months Ended June 30, 2016
|
$
|
12,303,996
|
|
|
$
|
13,669,848
|
|
|
$
|
13,669,848
|
|
|
4.0
|
:1.0
|
For the Three Months Ended March 31, 2016
|
$
|
9,292,057
|
|
|
$
|
10,189,852
|
|
|
$
|
10,189,852
|
|
|
3.0
|
:1.0
|
For the Three Months Ended December 31, 2015
|
$
|
9,601,484
|
|
|
$
|
8,793,274
|
|
|
$
|
10,091,255
|
|
|
2.5
|
:1.0
|
(1)
|
Includes borrowings under repurchase agreements, FHLB advances and revolving credit facilities collateralized by RMBS AFS, residential mortgage loans held-for-sale, commercial real estate assets, MSR and Agency Derivatives and excludes collateralized borrowings in securitization trusts.
|
|
December 31,
2016 |
|
December 31,
2015 |
||||
Carrying Value (in thousands)
|
$
|
230,090
|
|
|
$
|
1,169,894
|
|
Average Coupon
|
3.0
|
%
|
|
3.1
|
%
|
||
Collateral Attributes
|
|
|
|
||||
Average Loan Age (months)
|
23
|
|
|
16
|
|
||
Average Loan Size (in thousands)
|
$
|
809
|
|
|
$
|
826
|
|
Average Original Loan-to-Value
|
65.3
|
%
|
|
65.2
|
%
|
||
Average Original FICO
|
772
|
|
|
772
|
|
||
Current Performance
|
|
|
|
||||
60+ day delinquencies
|
0.07
|
%
|
|
0.02
|
%
|
|
December 31,
2016 |
|
December 31,
2015 |
||||||||||
(dollars in thousands)
|
Carrying Value
|
|
% of Retained Portfolio
|
|
Carrying Value
|
|
% of Retained Portfolio
|
||||||
AAA
|
$
|
30,970
|
|
|
13.4
|
%
|
|
$
|
868,590
|
|
|
74.2
|
%
|
AA
|
35,956
|
|
|
15.6
|
%
|
|
42,900
|
|
|
3.7
|
%
|
||
A
|
27,073
|
|
|
11.8
|
%
|
|
49,925
|
|
|
4.3
|
%
|
||
BBB
|
44,337
|
|
|
19.3
|
%
|
|
41,685
|
|
|
3.6
|
%
|
||
BB
|
32,403
|
|
|
14.1
|
%
|
|
28,438
|
|
|
2.4
|
%
|
||
B
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Below B
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Not rated
|
59,351
|
|
|
25.8
|
%
|
|
138,356
|
|
|
11.8
|
%
|
||
Total
|
$
|
230,090
|
|
|
100.0
|
%
|
|
$
|
1,169,894
|
|
|
100.0
|
%
|
(dollars in millions, except per share amounts)
|
Book Value
|
|
Common Shares Outstanding
|
|
Book Value Per Share
|
|||||
Stockholders' equity at December 31, 2014
|
$
|
4,068.0
|
|
|
366.4
|
|
|
$
|
11.10
|
|
Cumulative effect of adoption of new accounting principle
|
(3.0
|
)
|
|
|
|
|
||||
Adjusted stockholders’ equity at January 1, 2015
|
4,065.0
|
|
|
|
|
|
||||
Reconciliation of non-GAAP measures to GAAP net income and Comprehensive loss:
|
|
|
|
|
|
|||||
Core Earnings, net of tax expense of $0.2 million ⁽¹⁾
|
325.8
|
|
|
|
|
|
||||
Realized gains and losses, net of tax benefit of $24.6 million
|
134.6
|
|
|
|
|
|
||||
Unrealized mark-to-market gains and losses, net of tax expense of $7.8 million
|
31.8
|
|
|
|
|
|
||||
GAAP net income
|
492.2
|
|
|
|
|
|
||||
Other comprehensive loss, net of tax
|
(496.7
|
)
|
|
|
|
|
||||
Comprehensive loss
|
(4.5
|
)
|
|
|
|
|
||||
Dividend declaration
|
(378.3
|
)
|
|
|
|
|
||||
Other
|
9.0
|
|
|
1.1
|
|
|
|
|||
Balance before capital transactions
|
3,691.2
|
|
|
367.5
|
|
|
|
|||
Repurchase of common stock
|
(115.2
|
)
|
|
(13.7
|
)
|
|
|
|||
Issuance of common stock, net of offering costs
|
0.6
|
|
|
0.1
|
|
|
|
|||
Stockholders' equity at December 31, 2015
|
$
|
3,576.6
|
|
|
353.9
|
|
|
$
|
10.11
|
|
Reconciliation of non-GAAP measures to GAAP net income and Comprehensive income:
|
|
|
|
|
|
|||||
Core Earnings, net of tax benefit of $5.7 million ⁽¹⁾
|
313.9
|
|
|
|
|
|
||||
Realized gains and losses, net of tax benefit of $43.4 million
|
(201.3
|
)
|
|
|
|
|
||||
Unrealized mark-to-market gains and losses, net of tax expense of $61.4 million
|
240.7
|
|
|
|
|
|
||||
GAAP net income
|
353.3
|
|
|
|
|
|
||||
Other comprehensive loss, net of tax
|
(159.9
|
)
|
|
|
|
|
||||
Comprehensive income
|
193.4
|
|
|
|
|
|
||||
Dividend declaration
|
(323.3
|
)
|
|
|
|
|
||||
Other
|
15.2
|
|
|
1.7
|
|
|
|
|||
Balance before capital transactions
|
3,461.9
|
|
|
355.6
|
|
|
|
|||
Repurchase of common stock
|
(61.3
|
)
|
|
(8.0
|
)
|
|
|
|||
Issuance of common stock, net of offering costs
|
0.5
|
|
|
0.1
|
|
|
|
|||
Stockholders' equity at December 31, 2016
|
$
|
3,401.1
|
|
|
347.7
|
|
|
$
|
9.78
|
|
(1)
|
Core Earnings is a non-U.S. GAAP measure that we define as
Comprehensive Income (Loss)
, excluding “realized gains and losses” (impairment losses, realized gains or losses on the aggregate portfolio, amortization of business combination intangible assets, servicing reserve expenses on MSR, certain upfront costs related to securitization transactions and restructuring charges) and “unrealized mark-to-market gains and losses” (unrealized gains and losses on the aggregate portfolio). As defined, Core Earnings includes interest income or expense and premium income or loss on derivative instruments and servicing income, net of estimated amortization on MSR. Core Earnings is provided for purposes of comparability to other peer issuers.
|
|
Year Ended December 31, 2016
|
||||||||||||||
(dollars in millions)
|
TRS
|
|
REIT
|
|
Securitization Trusts
|
|
Consolidated
|
||||||||
GAAP net income (loss), pre-tax
|
$
|
44.2
|
|
|
$
|
325.1
|
|
|
$
|
(3.8
|
)
|
|
$
|
365.5
|
|
State taxes
|
(0.1
|
)
|
|
—
|
|
|
—
|
|
|
(0.1
|
)
|
||||
Adjusted GAAP net income (loss), pre-tax
|
44.1
|
|
|
325.1
|
|
|
(3.8
|
)
|
|
365.4
|
|
||||
Permanent differences
|
|
|
|
|
|
|
|
||||||||
Securitization trusts consolidated for U.S. GAAP purposes only
|
—
|
|
|
—
|
|
|
3.8
|
|
|
3.8
|
|
||||
Other permanent differences
|
(9.4
|
)
|
|
6.7
|
|
|
—
|
|
|
(2.7
|
)
|
||||
Temporary differences
|
|
|
|
|
|
|
|
||||||||
Net accretion of OID and market discount
|
0.3
|
|
|
60.6
|
|
|
—
|
|
|
60.9
|
|
||||
Net unrealized gains and losses on derivatives
|
(131.5
|
)
|
|
(122.8
|
)
|
|
—
|
|
|
(254.3
|
)
|
||||
Other temporary differences
|
(18.7
|
)
|
|
(14.8
|
)
|
|
—
|
|
|
(33.5
|
)
|
||||
Capital loss deferral
|
9.6
|
|
|
61.2
|
|
|
—
|
|
|
70.8
|
|
||||
Taxable (loss) income
|
(105.6
|
)
|
|
316.0
|
|
|
—
|
|
|
210.4
|
|
||||
Dividend declaration deduction
|
—
|
|
|
(316.0
|
)
|
|
—
|
|
|
(316.0
|
)
|
||||
Taxable loss post-dividend deduction
|
$
|
(105.6
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(105.6
|
)
|
|
Year Ended December 31, 2015
|
||||||||||||||
(dollars in millions)
|
TRS
|
|
REIT
|
|
Securitization Trusts
|
|
Consolidated
|
||||||||
GAAP net (loss) income, pre-tax
|
$
|
(45.9
|
)
|
|
$
|
535.0
|
|
|
$
|
(13.4
|
)
|
|
$
|
475.7
|
|
State taxes
|
(0.2
|
)
|
|
—
|
|
|
—
|
|
|
(0.2
|
)
|
||||
Adjusted GAAP net (loss) income, pre-tax
|
(46.1
|
)
|
|
535.0
|
|
|
(13.4
|
)
|
|
475.5
|
|
||||
Permanent differences
|
|
|
|
|
|
|
|
||||||||
Securitization trusts consolidated for U.S. GAAP purposes only
|
—
|
|
|
—
|
|
|
13.4
|
|
|
13.4
|
|
||||
Other permanent differences
|
—
|
|
|
(2.2
|
)
|
|
—
|
|
|
(2.2
|
)
|
||||
Temporary differences
|
|
|
|
|
|
|
|
||||||||
Net accretion of OID and market discount
|
(0.1
|
)
|
|
(37.5
|
)
|
|
—
|
|
|
(37.6
|
)
|
||||
Net unrealized gains and losses on trading securities and derivatives
|
(23.2
|
)
|
|
(33.2
|
)
|
|
—
|
|
|
(56.4
|
)
|
||||
Other temporary differences
|
0.3
|
|
|
(57.3
|
)
|
|
—
|
|
|
(57.0
|
)
|
||||
Capital loss deferral
|
60.4
|
|
|
—
|
|
|
—
|
|
|
60.4
|
|
||||
Net operating loss carryover
|
(16.1
|
)
|
|
—
|
|
|
—
|
|
|
(16.1
|
)
|
||||
Taxable (loss) income
|
(24.8
|
)
|
|
404.8
|
|
|
—
|
|
|
380.0
|
|
||||
Dividend declaration deduction
|
—
|
|
|
(404.8
|
)
|
|
—
|
|
|
(404.8
|
)
|
||||
Taxable loss post-dividend deduction
|
$
|
(24.8
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(24.8
|
)
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Cash Dividend Per Share
|
||
December 15, 2016
|
|
December 30, 2016
|
|
January 27, 2017
|
|
$
|
0.24
|
|
September 15, 2016
|
|
September 30, 2016
|
|
October 20, 2016
|
|
$
|
0.23
|
|
June 16, 2016
|
|
June 30, 2016
|
|
July 20, 2016
|
|
$
|
0.23
|
|
March 15, 2016
|
|
March 31, 2016
|
|
April 21, 2016
|
|
$
|
0.23
|
|
December 16, 2015
|
|
December 30, 2015
|
|
January 20, 2016
|
|
$
|
0.26
|
|
September 16, 2015
|
|
September 30, 2015
|
|
October 22, 2015
|
|
$
|
0.26
|
|
June 17, 2015
|
|
June 30, 2015
|
|
July 21, 2015
|
|
$
|
0.26
|
|
March 18, 2015
|
|
March 31, 2015
|
|
April 21, 2015
|
|
$
|
0.26
|
|
December 16, 2014
|
|
December 30, 2014
|
|
January 20, 2015
|
|
$
|
0.26
|
|
September 16, 2014
|
|
September 30, 2014
|
|
October 21, 2014
|
|
$
|
0.26
|
|
June 17, 2014
|
|
July 2, 2014
|
|
July 22, 2014
|
|
$
|
0.26
|
|
March 17, 2014
|
|
March 31, 2014
|
|
April 21, 2014
|
|
$
|
0.26
|
|
|
|
|
|
Tax Characterization of Dividends
|
||||||||||||
Year Ended December 31,
|
|
Dividends Declared
|
|
Ordinary Dividends (Non-Qualified)
|
|
Qualified Ordinary Dividends
|
|
Capital Gain Distribution
|
||||||||
2016
|
|
$
|
0.93
|
|
|
$
|
0.93
|
|
|
$
|
—
|
|
|
$
|
—
|
|
2015
|
|
$
|
1.04
|
|
|
$
|
0.40
|
|
|
$
|
—
|
|
|
$
|
0.64
|
|
2014
|
|
$
|
1.04
|
|
|
$
|
0.96
|
|
|
$
|
—
|
|
|
$
|
0.08
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||||||
(dollars in thousands)
|
Amount Outstanding
|
|
Net Counterparty Exposure
(1)
|
|
Percent of Funding
|
|
Amount Outstanding
|
|
Net Counterparty Exposure
(1)
|
|
Percent of Funding
|
||||||||||
North America
|
$
|
4,916,309
|
|
|
$
|
965,621
|
|
|
67.3
|
%
|
|
$
|
3,381,616
|
|
|
$
|
693,667
|
|
|
67.0
|
%
|
Europe
(2)
|
2,617,372
|
|
|
355,060
|
|
|
24.7
|
%
|
|
1,125,944
|
|
|
303,206
|
|
|
29.3
|
%
|
||||
Asia
(2)
|
1,782,670
|
|
|
114,720
|
|
|
8.0
|
%
|
|
500,714
|
|
|
38,912
|
|
|
3.7
|
%
|
||||
Total
|
$
|
9,316,351
|
|
|
$
|
1,435,401
|
|
|
100.0
|
%
|
|
$
|
5,008,274
|
|
|
$
|
1,035,785
|
|
|
100.0
|
%
|
(1)
|
Represents the net carrying value of the securities, residential mortgage loans held-for-sale and commercial real estate assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. Payables due to broker counterparties for unsettled securities purchases are not included in the amounts presented above. However, at both
December 31, 2016
and
December 31, 2015
, the Company did not have any such payables.
|
(2)
|
Exposure to European and Asian domiciled banks and their U.S. subsidiaries.
|
(1)
|
The facilities are set to mature on the stated expiration date, unless extended pursuant to their terms.
|
•
|
Total indebtedness to net worth must be less than the specified threshold ratio in the repurchase agreement. As of
December 31, 2016
, our debt to net worth, as defined, was
4.9
:1.0 while our threshold ratio, as defined, was
5.5
:1.0.
|
•
|
Liquidity must be greater than the sum of 1.5% of indebtedness related to Agency securities and 5.0% of total indebtedness, excluding indebtedness related to Agency securities. As of
December 31, 2016
, this sum was
$289.8 million
while our liquidity, as defined, was
$865.0 million
.
|
•
|
Net worth must be greater than the sum of $1.75 billion plus 40% of the aggregate net cash proceeds of any additional equity issuances made and capital contributions received. As of
December 31, 2016
, our net worth, as defined, was
$3.4 billion
.
|
•
|
Interest coverage must not be less than 2.0:1.0. As of
December 31, 2016
, our interest coverage ratio, as defined, was
2.7
:1.0.
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Available-for-sale securities, at fair value
|
$
|
13,117,330
|
|
|
$
|
7,767,074
|
|
Residential mortgage loans held-for-sale, at fair value
|
—
|
|
|
745,454
|
|
||
Commercial real estate assets
|
1,357,874
|
|
|
361,130
|
|
||
Mortgage servicing rights, at fair value
|
180,948
|
|
|
—
|
|
||
Net economic interests in consolidated securitization trusts
(1)
|
213,110
|
|
|
1,138,312
|
|
||
Cash and cash equivalents
|
15,000
|
|
|
15,000
|
|
||
Restricted cash
|
162,759
|
|
|
119,310
|
|
||
Due from counterparties
|
48,939
|
|
|
10,211
|
|
||
Derivative assets, at fair value
|
126,341
|
|
|
157,879
|
|
||
Total
|
$
|
15,222,301
|
|
|
$
|
10,314,370
|
|
(1)
|
Includes the retained interests from our on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Within 30 days
|
$
|
3,286,783
|
|
|
$
|
2,689,363
|
|
30 to 59 days
|
2,376,002
|
|
|
1,739,237
|
|
||
60 to 89 days
|
1,365,394
|
|
|
161,449
|
|
||
90 to 119 days
|
1,504,056
|
|
|
175,486
|
|
||
120 to 364 days
|
1,319,720
|
|
|
242,739
|
|
||
One to three years
|
1,000,658
|
|
|
651,238
|
|
||
Three to five years
|
—
|
|
|
815,024
|
|
||
Five to ten years
|
—
|
|
|
—
|
|
||
Ten years and over
|
2,533,738
|
|
|
2,318,738
|
|
||
Total
|
$
|
13,386,351
|
|
|
$
|
8,793,274
|
|
•
|
Cash flows from operating activities.
For the
year ended
December 31, 2016
, operating activities
increased
our cash balances by approximately
$239.7 million
, primarily driven by our financial results for the year.
|
•
|
Cash flows from investing activities
. For the
year ended
December 31, 2016
, investing activities
decreased
our cash balances by approximately
$5.8 billion
, primarily driven by purchases, net of sales, of AFS securities, commercial real estate assets and MSR.
|
•
|
Cash flows from financing activities.
For the
year ended
December 31, 2016
, financing activities
increased
our cash balance by approximately
$5.2 billion
, primarily driven by proceeds from repurchase agreements due to purchases of AFS securities and commercial real estate assets and net proceeds from sales of retained interests from our on-balance sheet securitizations.
|
|
Due During the Year Ended December 31,
|
||||||||||||||||||||||||||
(in thousands)
|
2017
|
|
2018
|
|
2019
|
|
2020
|
|
2021
|
|
Thereafter
|
|
Total
|
||||||||||||||
Repurchase agreements
|
$
|
9,130,717
|
|
|
$
|
—
|
|
|
$
|
185,634
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9,316,351
|
|
Federal Home Loan Bank advances
|
651,238
|
|
|
—
|
|
|
815,024
|
|
|
—
|
|
|
—
|
|
|
2,533,738
|
|
|
4,000,000
|
|
|||||||
Revolving credit facilities
|
70,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
70,000
|
|
|||||||
Interest expense on borrowings
(1)
|
67,406
|
|
|
27,786
|
|
|
23,074
|
|
|
19,578
|
|
|
19,578
|
|
|
262,884
|
|
|
420,306
|
|
|||||||
Long-term operating lease obligations
|
2,808
|
|
|
2,412
|
|
|
2,483
|
|
|
2,424
|
|
|
2,438
|
|
|
828
|
|
|
13,393
|
|
|||||||
Management fee - PRCM Advisers
(2)
|
175,527
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
175,527
|
|
|||||||
Unfunded commitments on commercial real estate assets
(3)
|
25,513
|
|
|
135,818
|
|
|
6,593
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
167,924
|
|
|||||||
Total
|
$
|
10,123,209
|
|
|
$
|
166,016
|
|
|
$
|
1,032,808
|
|
|
$
|
22,002
|
|
|
$
|
22,016
|
|
|
$
|
2,797,450
|
|
|
$
|
14,163,501
|
|
(1)
|
Interest expense on borrowings, including repurchase agreements, FHLB advances and revolving credit facilities, are calculated based on rates at
December 31, 2016
.
|
(2)
|
Contractual obligation for the management fee is estimated through the contract expiration date of October 28,
2017
, inclusive of the termination fee as defined in the management agreement between us and PRCM Advisers. Disclosure assumes agreement not renewed or terminated without cause.
|
(3)
|
Allocation of unfunded commitments on commercial real estate assets is based on the earlier of the commitment expiration date or the loan maturity date.
|
|
|
As of December 31, 2016
|
|
As of December 31, 2015
|
||||||||||||||||||||||||||
Index Type
|
|
Floating
|
|
Hybrid
(1)
|
|
Total
|
|
Index %
|
|
Floating
|
|
Hybrid
(1)
|
|
Total
|
|
Index %
|
||||||||||||||
CMT
|
|
$
|
13,188
|
|
|
$
|
23,953
|
|
|
$
|
37,141
|
|
|
1
|
%
|
|
$
|
1,625
|
|
|
$
|
98,645
|
|
|
$
|
100,270
|
|
|
4
|
%
|
LIBOR
|
|
3,043,945
|
|
|
13,086
|
|
|
3,057,031
|
|
|
96
|
%
|
|
2,488,117
|
|
|
38,698
|
|
|
2,526,815
|
|
|
93
|
%
|
||||||
Other
(2)
|
|
45,880
|
|
|
41,760
|
|
|
87,640
|
|
|
3
|
%
|
|
68,138
|
|
|
17,031
|
|
|
85,169
|
|
|
3
|
%
|
||||||
Total
|
|
$
|
3,103,013
|
|
|
$
|
78,799
|
|
|
$
|
3,181,812
|
|
|
100
|
%
|
|
$
|
2,557,880
|
|
|
$
|
154,374
|
|
|
$
|
2,712,254
|
|
|
100
|
%
|
(1)
|
“Hybrid” amounts reflect those assets with greater than twelve months to reset.
|
(2)
|
“Other” includes COFI, MTA and other indices.
|
|
Changes in Interest Rates
|
||||||||||||||
(dollars in thousands)
|
-100 bps
|
|
-50 bps
|
|
+50 bps
|
|
+100 bps
|
||||||||
Change in value of financial position:
|
|
|
|
|
|
|
|
||||||||
Available-for-sale securities
|
$
|
619,802
|
|
|
$
|
333,370
|
|
|
$
|
(352,611
|
)
|
|
$
|
(733,736
|
)
|
As a % of December 31, 2016 equity
|
18.2
|
%
|
|
9.8
|
%
|
|
(10.4
|
)%
|
|
(21.6
|
)%
|
||||
Residential mortgage loans held-for-sale
|
$
|
497
|
|
|
$
|
143
|
|
|
$
|
(272
|
)
|
|
$
|
(893
|
)
|
As a % of December 31, 2016 equity
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
||||
Residential mortgage loans held-for-investment in securitization trusts
|
$
|
109,957
|
|
|
$
|
71,149
|
|
|
$
|
(84,085
|
)
|
|
$
|
(171,404
|
)
|
As a % of December 31, 2016 equity
|
3.2
|
%
|
|
2.1
|
%
|
|
(2.5
|
)%
|
|
(5.0
|
)%
|
||||
Commercial real estate assets
|
$
|
137
|
|
|
$
|
68
|
|
|
$
|
(264
|
)
|
|
$
|
(527
|
)
|
As a % of December 31, 2016 equity
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
||||
Mortgage servicing rights
|
$
|
(109,267
|
)
|
|
$
|
(38,788
|
)
|
|
$
|
25,516
|
|
|
$
|
43,074
|
|
As a % of December 31, 2016 equity
|
(3.2
|
)%
|
|
(1.1
|
)%
|
|
0.7
|
%
|
|
1.3
|
%
|
||||
Derivatives, net
|
$
|
(599,139
|
)
|
|
$
|
(300,352
|
)
|
|
$
|
316,385
|
|
|
$
|
638,007
|
|
As a % of December 31, 2016 equity
|
(17.6
|
)%
|
|
(8.8
|
)%
|
|
9.3
|
%
|
|
18.7
|
%
|
||||
Repurchase Agreements
|
$
|
(13,576
|
)
|
|
$
|
(7,214
|
)
|
|
$
|
7,214
|
|
|
$
|
14,427
|
|
As a % of December 31, 2016 equity
|
(0.4
|
)%
|
|
(0.2
|
)%
|
|
0.2
|
%
|
|
0.4
|
%
|
||||
Collateralized borrowings in securitization trusts
|
$
|
(120,958
|
)
|
|
$
|
(74,239
|
)
|
|
$
|
80,457
|
|
|
$
|
162,159
|
|
As a % of December 31, 2016 equity
|
(3.5
|
)%
|
|
(2.2
|
)%
|
|
2.4
|
%
|
|
4.8
|
%
|
||||
Federal Home Loan Bank advances
|
$
|
(3,572
|
)
|
|
$
|
(1,925
|
)
|
|
$
|
1,925
|
|
|
$
|
3,850
|
|
As a % of December 31, 2016 equity
|
(0.1
|
)%
|
|
(0.1
|
)%
|
|
0.1
|
%
|
|
0.1
|
%
|
||||
Revolving credit facilities
|
$
|
(26
|
)
|
|
$
|
(14
|
)
|
|
$
|
14
|
|
|
$
|
29
|
|
As a % of December 31, 2016 equity
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
||||
Total Net Assets
|
$
|
(116,145
|
)
|
|
$
|
(17,802
|
)
|
|
$
|
(5,721
|
)
|
|
$
|
(45,014
|
)
|
As a % of December 31, 2016 total assets
|
(0.6
|
)%
|
|
(0.1
|
)%
|
|
—
|
%
|
|
(0.2
|
)%
|
||||
As a % of December 31, 2016 equity
|
(3.4
|
)%
|
|
(0.5
|
)%
|
|
(0.2
|
)%
|
|
(1.3
|
)%
|
||||
|
-100 bps
|
|
-50 bps
|
|
+50 bps
|
|
+100 bps
|
||||||||
Change in annualized net interest income:
|
$
|
(12,432
|
)
|
|
$
|
(135
|
)
|
|
$
|
1,078
|
|
|
$
|
2,155
|
|
% change in net interest income
|
(3.7
|
)%
|
|
—
|
%
|
|
0.3
|
%
|
|
0.6
|
%
|
|
|
Page
|
|
||
|
||
|
||
|
||
|
||
|
||
|
|
December 31,
2016 |
|
December 31,
2015 |
||||
ASSETS
|
|
|
|
||||
Available-for-sale securities, at fair value
|
$
|
13,128,857
|
|
|
$
|
7,825,320
|
|
Residential mortgage loans held-for-sale, at fair value
|
40,146
|
|
|
811,431
|
|
||
Residential mortgage loans held-for-investment in securitization trusts, at fair value
|
3,271,317
|
|
|
3,173,727
|
|
||
Commercial real estate assets
|
1,412,543
|
|
|
660,953
|
|
||
Mortgage servicing rights, at fair value
|
693,815
|
|
|
493,688
|
|
||
Cash and cash equivalents
|
406,883
|
|
|
737,831
|
|
||
Restricted cash
|
408,312
|
|
|
262,562
|
|
||
Accrued interest receivable
|
62,751
|
|
|
49,970
|
|
||
Due from counterparties
|
60,380
|
|
|
17,206
|
|
||
Derivative assets, at fair value
|
324,182
|
|
|
271,509
|
|
||
Other assets
|
302,870
|
|
|
271,575
|
|
||
Total Assets
(1)
|
$
|
20,112,056
|
|
|
$
|
14,575,772
|
|
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
|
|
|
||||
Liabilities
|
|
|
|
||||
Repurchase agreements
|
$
|
9,316,351
|
|
|
$
|
5,008,274
|
|
Collateralized borrowings in securitization trusts, at fair value
|
3,037,196
|
|
|
2,000,110
|
|
||
Federal Home Loan Bank advances
|
4,000,000
|
|
|
3,785,000
|
|
||
Revolving credit facilities
|
70,000
|
|
|
—
|
|
||
Derivative liabilities, at fair value
|
12,501
|
|
|
7,285
|
|
||
Due to counterparties
|
111,884
|
|
|
34,294
|
|
||
Dividends payable
|
83,437
|
|
|
92,016
|
|
||
Other liabilities
|
79,576
|
|
|
72,232
|
|
||
Total Liabilities
(1)
|
16,710,945
|
|
|
10,999,211
|
|
||
Stockholders’ Equity
|
|
|
|
||||
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized; no shares issued and outstanding
|
—
|
|
|
—
|
|
||
Common stock, par value $0.01 per share; 900,000,000 shares authorized and 347,652,326 and 353,906,807 shares issued and outstanding, respectively
|
3,477
|
|
|
3,539
|
|
||
Additional paid-in capital
|
3,659,973
|
|
|
3,705,519
|
|
||
Accumulated other comprehensive income
|
199,227
|
|
|
359,061
|
|
||
Cumulative earnings
|
2,038,033
|
|
|
1,684,755
|
|
||
Cumulative distributions to stockholders
|
(2,499,599
|
)
|
|
(2,176,313
|
)
|
||
Total Stockholders’ Equity
|
3,401,111
|
|
|
3,576,561
|
|
||
Total Liabilities and Stockholders’ Equity
|
$
|
20,112,056
|
|
|
$
|
14,575,772
|
|
(1)
|
The consolidated balance sheets include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations of these VIEs, and liabilities of the consolidated VIEs for which creditors do not have recourse to Two Harbors Investment Corp. At
December 31, 2016
and
December 31, 2015
, assets of the VIEs totaled
$3,336,292
and
$3,237,918
, and liabilities of the VIEs totaled
$3,058,278
and
$2,017,677
, respectively. See
Note 3
-
Variable Interest Entities
for additional information.
|
|
Year Ended
|
||||||||||
|
December 31,
|
||||||||||
|
2016
|
|
2015
|
|
2014
|
||||||
Interest income:
|
|
|
|
|
|
||||||
Available-for-sale securities
|
$
|
415,052
|
|
|
$
|
458,515
|
|
|
$
|
506,268
|
|
Trading securities
|
—
|
|
|
8,676
|
|
|
12,913
|
|
|||
Residential mortgage loans held-for-sale
|
23,037
|
|
|
28,966
|
|
|
16,089
|
|
|||
Residential mortgage loans held-for-investment in securitization trusts
|
133,993
|
|
|
95,740
|
|
|
41,220
|
|
|||
Commercial real estate assets
|
59,819
|
|
|
9,138
|
|
|
—
|
|
|||
Cash and cash equivalents
|
1,589
|
|
|
902
|
|
|
717
|
|
|||
Total interest income
|
633,490
|
|
|
601,937
|
|
|
577,207
|
|
|||
Interest expense:
|
|
|
|
|
|
||||||
Repurchase agreements
|
97,461
|
|
|
73,049
|
|
|
76,177
|
|
|||
Collateralized borrowings in securitization trusts
|
97,729
|
|
|
57,216
|
|
|
26,760
|
|
|||
Federal Home Loan Bank advances
|
26,101
|
|
|
11,921
|
|
|
4,513
|
|
|||
Revolving credit facilities
|
604
|
|
|
—
|
|
|
—
|
|
|||
Total interest expense
|
221,895
|
|
|
142,186
|
|
|
107,450
|
|
|||
Net interest income
|
411,595
|
|
|
459,751
|
|
|
469,757
|
|
|||
Other-than-temporary impairments:
|
|
|
|
|
|
||||||
Total other-than-temporary impairment losses
|
(1,822
|
)
|
|
(535
|
)
|
|
(392
|
)
|
|||
Other income (loss):
|
|
|
|
|
|
||||||
(Loss) gain on investment securities
|
(107,374
|
)
|
|
363,379
|
|
|
87,201
|
|
|||
Gain (loss) on interest rate swap and swaption agreements
|
45,371
|
|
|
(210,621
|
)
|
|
(345,647
|
)
|
|||
Gain (loss) on other derivative instruments
|
99,379
|
|
|
(5,049
|
)
|
|
(17,529
|
)
|
|||
Gain on residential mortgage loans held-for-sale
|
16,085
|
|
|
14,285
|
|
|
17,297
|
|
|||
Servicing income
|
143,616
|
|
|
127,412
|
|
|
128,160
|
|
|||
Loss on servicing asset
|
(83,531
|
)
|
|
(99,584
|
)
|
|
(128,388
|
)
|
|||
Other (loss) income
|
(5,955
|
)
|
|
(21,790
|
)
|
|
18,539
|
|
|||
Total other income (loss)
|
107,591
|
|
|
168,032
|
|
|
(240,367
|
)
|
|||
Expenses:
|
|
|
|
|
|
||||||
Management fees
|
46,434
|
|
|
50,294
|
|
|
48,803
|
|
|||
Securitization deal costs
|
6,152
|
|
|
8,971
|
|
|
4,638
|
|
|||
Servicing expenses
|
32,724
|
|
|
28,101
|
|
|
25,925
|
|
|||
Other operating expenses
|
63,483
|
|
|
64,162
|
|
|
56,231
|
|
|||
Restructuring charges
|
2,990
|
|
|
—
|
|
|
—
|
|
|||
Total expenses
|
151,783
|
|
|
151,528
|
|
|
135,597
|
|
|||
Income before income taxes
|
365,581
|
|
|
475,720
|
|
|
93,401
|
|
|||
Provision for (benefit from) income taxes
|
12,303
|
|
|
(16,490
|
)
|
|
(73,738
|
)
|
|||
Net income
|
$
|
353,278
|
|
|
$
|
492,210
|
|
|
$
|
167,139
|
|
Basic and diluted earnings per weighted average common share
|
$
|
1.01
|
|
|
$
|
1.35
|
|
|
$
|
0.46
|
|
Basic and diluted weighted average number of shares of common stock outstanding
|
348,073,704
|
|
|
365,247,738
|
|
|
366,011,855
|
|
|
Year Ended
|
||||||||||
|
December 31,
|
||||||||||
|
2016
|
|
2015
|
|
2014
|
||||||
|
|
|
|
|
|
||||||
Comprehensive income (loss):
|
|
|
|
|
|
||||||
Net income
|
$
|
353,278
|
|
|
$
|
492,210
|
|
|
$
|
167,139
|
|
Other comprehensive (loss) income, net of tax:
|
|
|
|
|
|
||||||
Unrealized (loss) gain on available-for-sale securities
|
(159,834
|
)
|
|
(496,728
|
)
|
|
411,054
|
|
|||
Other comprehensive (loss) income
|
(159,834
|
)
|
|
(496,728
|
)
|
|
411,054
|
|
|||
Comprehensive income (loss)
|
$
|
193,444
|
|
|
$
|
(4,518
|
)
|
|
$
|
578,193
|
|
|
Common Stock
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
Shares
|
|
Amount
|
|
Additional Paid-in Capital
|
|
Accumulated Other Comprehensive Income
|
|
Cumulative Earnings
|
|
Cumulative Distributions to Stockholders
|
|
Total Stockholders’ Equity
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Balance, December 31, 2013
|
364,935,168
|
|
|
$
|
3,649
|
|
|
$
|
3,795,372
|
|
|
$
|
444,735
|
|
|
$
|
1,028,397
|
|
|
$
|
(1,417,158
|
)
|
|
$
|
3,854,995
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
167,139
|
|
|
—
|
|
|
167,139
|
|
||||||
Other comprehensive income before reclassifications, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
463,593
|
|
|
—
|
|
|
—
|
|
|
463,593
|
|
||||||
Amounts reclassified from accumulated other comprehensive income, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(52,539
|
)
|
|
—
|
|
|
—
|
|
|
(52,539
|
)
|
||||||
Net other comprehensive income, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
411,054
|
|
|
—
|
|
|
—
|
|
|
411,054
|
|
||||||
Issuance of common stock, net of offering costs
|
57,218
|
|
|
1
|
|
|
587
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
588
|
|
||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(380,816
|
)
|
|
(380,816
|
)
|
||||||
Non-cash equity award compensation
|
1,403,534
|
|
|
14
|
|
|
15,068
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15,082
|
|
||||||
Balance, December 31, 2014
|
366,395,920
|
|
|
$
|
3,664
|
|
|
$
|
3,811,027
|
|
|
$
|
855,789
|
|
|
$
|
1,195,536
|
|
|
$
|
(1,797,974
|
)
|
|
$
|
4,068,042
|
|
Cumulative effect of adoption of new accounting principle
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,991
|
)
|
|
—
|
|
|
(2,991
|
)
|
||||||
Adjusted balance, January 1, 2015
|
366,395,920
|
|
|
3,664
|
|
|
3,811,027
|
|
|
855,789
|
|
|
1,192,545
|
|
|
(1,797,974
|
)
|
|
4,065,051
|
|
||||||
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
492,210
|
|
|
—
|
|
|
492,210
|
|
||||||
Other comprehensive loss before reclassifications, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(161,033
|
)
|
|
—
|
|
|
—
|
|
|
(161,033
|
)
|
||||||
Amounts reclassified from accumulated other comprehensive income, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(335,695
|
)
|
|
—
|
|
|
—
|
|
|
(335,695
|
)
|
||||||
Net other comprehensive loss, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(496,728
|
)
|
|
—
|
|
|
—
|
|
|
(496,728
|
)
|
||||||
Issuance of common stock, net of offering costs
|
69,826
|
|
|
1
|
|
|
538
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
539
|
|
||||||
Repurchase of common stock
|
(13,664,300
|
)
|
|
(137
|
)
|
|
(115,037
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(115,174
|
)
|
||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(378,339
|
)
|
|
(378,339
|
)
|
||||||
Non-cash equity award compensation
|
1,105,361
|
|
|
11
|
|
|
8,991
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,002
|
|
||||||
Balance, December 31, 2015
|
353,906,807
|
|
|
$
|
3,539
|
|
|
$
|
3,705,519
|
|
|
$
|
359,061
|
|
|
$
|
1,684,755
|
|
|
$
|
(2,176,313
|
)
|
|
$
|
3,576,561
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
353,278
|
|
|
—
|
|
|
353,278
|
|
||||||
Other comprehensive loss before reclassifications, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(58,804
|
)
|
|
—
|
|
|
—
|
|
|
(58,804
|
)
|
||||||
Amounts reclassified from accumulated other comprehensive income, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(101,030
|
)
|
|
—
|
|
|
—
|
|
|
(101,030
|
)
|
||||||
Net other comprehensive loss, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(159,834
|
)
|
|
—
|
|
|
—
|
|
|
(159,834
|
)
|
||||||
Issuance of common stock, net of offering costs
|
60,602
|
|
|
1
|
|
|
501
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
502
|
|
||||||
Repurchase of common stock
|
(8,020,000
|
)
|
|
(80
|
)
|
|
(61,227
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(61,307
|
)
|
||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(323,286
|
)
|
|
(323,286
|
)
|
||||||
Non-cash equity award compensation
|
1,704,917
|
|
|
17
|
|
|
15,180
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15,197
|
|
||||||
Balance, December 31, 2016
|
347,652,326
|
|
|
$
|
3,477
|
|
|
$
|
3,659,973
|
|
|
$
|
199,227
|
|
|
$
|
2,038,033
|
|
|
$
|
(2,499,599
|
)
|
|
$
|
3,401,111
|
|
|
Year Ended
|
||||||||||
|
December 31,
|
||||||||||
|
2016
|
|
2015
|
|
2014
|
||||||
Cash Flows From Operating Activities:
|
|
|
|
|
|
||||||
Net income
|
$
|
353,278
|
|
|
$
|
492,210
|
|
|
$
|
167,139
|
|
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
|
|
|
|
|
|
|
|||||
Amortization of premiums and discounts on investment securities and commercial real estate assets, net
|
35,644
|
|
|
38,445
|
|
|
12,012
|
|
|||
Other-than-temporary impairment losses
|
1,822
|
|
|
535
|
|
|
392
|
|
|||
Realized and unrealized losses (gains) on investment securities, net
|
107,374
|
|
|
(363,379
|
)
|
|
(87,201
|
)
|
|||
Gain on residential mortgage loans held-for-sale
|
(16,085
|
)
|
|
(14,285
|
)
|
|
(17,297
|
)
|
|||
Loss (gain) on residential mortgage loans held-for-investment and collateralized borrowings in securitization trusts
|
11,834
|
|
|
26,527
|
|
|
(16,840
|
)
|
|||
Realized gain on sales of commercial real estate assets
|
—
|
|
|
(181
|
)
|
|
—
|
|
|||
Loss on servicing asset
|
83,531
|
|
|
99,584
|
|
|
128,388
|
|
|||
Loss on termination and option expiration of interest rate swaps and swaptions
|
81,985
|
|
|
226,143
|
|
|
55,389
|
|
|||
Unrealized (gain) loss on interest rate swaps and swaptions
|
(148,429
|
)
|
|
(101,158
|
)
|
|
198,504
|
|
|||
Unrealized gain on other derivative instruments
|
(37,463
|
)
|
|
(14,196
|
)
|
|
(8,011
|
)
|
|||
Equity based compensation
|
15,197
|
|
|
9,002
|
|
|
15,082
|
|
|||
Depreciation of fixed assets
|
1,283
|
|
|
1,362
|
|
|
1,083
|
|
|||
Amortization of intangible assets
|
—
|
|
|
—
|
|
|
533
|
|
|||
Purchases of residential mortgage loans held-for-sale
|
(1,214,865
|
)
|
|
(2,599,737
|
)
|
|
(1,475,210
|
)
|
|||
Proceeds from sales of residential mortgage loans held-for-sale
|
804,265
|
|
|
160,559
|
|
|
432,749
|
|
|||
Proceeds from repayment of residential mortgage loans held-for-sale
|
143,587
|
|
|
98,631
|
|
|
38,545
|
|
|||
Net change in assets and liabilities:
|
|
|
|
|
|
|
|||||
(Increase) decrease in accrued interest receivable
|
(12,781
|
)
|
|
15,559
|
|
|
(15,226
|
)
|
|||
Decrease (increase) in deferred income taxes, net
|
13,766
|
|
|
(12,638
|
)
|
|
(80,261
|
)
|
|||
Decrease (increase) in income taxes receivable
|
3,754
|
|
|
(5,286
|
)
|
|
—
|
|
|||
Increase in prepaid and fixed assets
|
(338
|
)
|
|
(930
|
)
|
|
(2,536
|
)
|
|||
(Increase) decrease in other receivables
|
(6,376
|
)
|
|
8,701
|
|
|
(10,421
|
)
|
|||
Decrease (increase) in servicing advances
|
11,352
|
|
|
(10,009
|
)
|
|
(20,192
|
)
|
|||
Increase (decrease) in accrued interest payable
|
10,782
|
|
|
(5,049
|
)
|
|
3,495
|
|
|||
(Decrease) increase in income taxes payable
|
(70
|
)
|
|
(1,305
|
)
|
|
618
|
|
|||
(Decrease) increase in accrued expenses and other liabilities
|
(3,368
|
)
|
|
14,147
|
|
|
11,983
|
|
|||
Net cash provided by (used in) operating activities
|
$
|
239,679
|
|
|
$
|
(1,936,748
|
)
|
|
$
|
(667,283
|
)
|
|
Year Ended
|
||||||||||
|
December 31,
|
||||||||||
|
2016
|
|
2015
|
|
2014
|
||||||
Cash Flows From Investing Activities:
|
|
|
|
|
|
||||||
Purchases of available-for-sale securities
|
$
|
(21,325,083
|
)
|
|
$
|
(1,788,541
|
)
|
|
$
|
(6,126,579
|
)
|
Proceeds from sales of available-for-sale securities
|
14,404,458
|
|
|
6,985,567
|
|
|
3,479,329
|
|
|||
Principal payments on available-for-sale securities
|
1,278,361
|
|
|
1,148,407
|
|
|
1,044,487
|
|
|||
(Purchases) short sales of derivative instruments, net
|
(19,240
|
)
|
|
4,081
|
|
|
(81,330
|
)
|
|||
Proceeds from sales (payments for termination) of derivative instruments, net
|
76,040
|
|
|
(90,183
|
)
|
|
73,966
|
|
|||
Purchases of trading securities
|
—
|
|
|
—
|
|
|
(2,138,647
|
)
|
|||
Proceeds from sales of trading securities
|
—
|
|
|
2,004,375
|
|
|
1,145,410
|
|
|||
Proceeds from repayment of residential mortgage loans held-for-investment in securitization trusts
|
913,894
|
|
|
562,025
|
|
|
111,129
|
|
|||
Originations and purchases of commercial real estate assets, net of deferred fees
|
(760,731
|
)
|
|
(662,627
|
)
|
|
—
|
|
|||
Proceeds from sales of commercial real estate assets
|
—
|
|
|
1,979
|
|
|
—
|
|
|||
Proceeds from repayment of commercial real estate assets
|
16,385
|
|
|
344
|
|
|
—
|
|
|||
Purchases of mortgage servicing rights, net of purchase price adjustments
|
(317,709
|
)
|
|
(123,666
|
)
|
|
(59,568
|
)
|
|||
Proceeds from sales of mortgage servicing rights
|
40,137
|
|
|
—
|
|
|
—
|
|
|||
Purchases of Federal Home Loan Bank stock
|
(11,206
|
)
|
|
(56,640
|
)
|
|
(100,000
|
)
|
|||
Purchases of equity investments
|
—
|
|
|
—
|
|
|
(3,000
|
)
|
|||
Increase (decrease) in due to counterparties, net
|
34,416
|
|
|
(71,493
|
)
|
|
(205,180
|
)
|
|||
(Increase) decrease in restricted cash
|
(145,750
|
)
|
|
74,209
|
|
|
64,876
|
|
|||
Net cash (used in) provided by investing activities
|
(5,816,028
|
)
|
|
7,987,837
|
|
|
(2,795,107
|
)
|
|||
Cash Flows From Financing Activities:
|
|
|
|
|
|
||||||
Proceeds from repurchase agreements
|
112,504,120
|
|
|
47,385,219
|
|
|
213,091,865
|
|
|||
Principal payments on repurchase agreements
|
(108,196,043
|
)
|
|
(55,309,408
|
)
|
|
(212,409,852
|
)
|
|||
Proceeds from issuance of collateralized borrowings in securitization trusts
|
1,877,399
|
|
|
1,223,302
|
|
|
728,519
|
|
|||
Principal payments on collateralized borrowings in securitization trusts
|
(832,405
|
)
|
|
(406,942
|
)
|
|
(182,872
|
)
|
|||
Proceeds from Federal Home Loan Bank advances
|
215,000
|
|
|
1,490,000
|
|
|
4,796,411
|
|
|||
Principal payments on Federal Home Loan Bank advances
|
—
|
|
|
(205,000
|
)
|
|
(2,296,411
|
)
|
|||
Proceeds from revolving credit facilities
|
70,000
|
|
|
—
|
|
|
—
|
|
|||
Proceeds from issuance of common stock, net of offering costs
|
502
|
|
|
539
|
|
|
588
|
|
|||
Repurchase of common stock
|
(61,307
|
)
|
|
(115,174
|
)
|
|
—
|
|
|||
Dividends paid on common stock
|
(331,865
|
)
|
|
(381,586
|
)
|
|
(285,553
|
)
|
|||
Net cash provided by (used in) financing activities
|
5,245,401
|
|
|
(6,319,050
|
)
|
|
3,442,695
|
|
|||
Net decrease in cash and cash equivalents
|
(330,948
|
)
|
|
(267,961
|
)
|
|
(19,695
|
)
|
|||
Cash and cash equivalents at beginning of period
|
737,831
|
|
|
1,005,792
|
|
|
1,025,487
|
|
|||
Cash and cash equivalents at end of period
|
$
|
406,883
|
|
|
$
|
737,831
|
|
|
$
|
1,005,792
|
|
|
Year Ended
|
||||||||||
|
December 31,
|
||||||||||
|
2016
|
|
2015
|
|
2014
|
||||||
Supplemental Disclosure of Cash Flow Information:
|
|
|
|
|
|
||||||
Cash paid for interest
|
$
|
116,147
|
|
|
$
|
92,286
|
|
|
$
|
79,276
|
|
Cash (received) paid for taxes
|
$
|
(5,146
|
)
|
|
$
|
2,739
|
|
|
$
|
5,905
|
|
Noncash Activities:
|
|
|
|
|
|
||||||
Transfers of residential mortgage loans held-for-sale to residential mortgage loans held-for-investment in securitization trusts
|
$
|
1,031,226
|
|
|
$
|
2,046,437
|
|
|
$
|
1,022,360
|
|
Transfers of residential mortgage loans held-for-sale to other receivables for foreclosed government-guaranteed loans
|
$
|
16,721
|
|
|
$
|
16,723
|
|
|
$
|
—
|
|
Transfer of fair value of mortgage servicing rights to fair value of Ginnie Mae residential mortgage loans held-for-sale upon buyout
|
$
|
5,162
|
|
|
$
|
15,756
|
|
|
$
|
6,136
|
|
Additions to mortgage servicing rights due to sale of residential mortgage loans held-for-sale
|
$
|
924
|
|
|
$
|
1,844
|
|
|
$
|
288
|
|
Cumulative-effect adjustment to equity for adoption of new accounting principle
|
$
|
—
|
|
|
$
|
(2,991
|
)
|
|
$
|
—
|
|
Dividends declared but not paid at end of period
|
$
|
83,437
|
|
|
$
|
92,016
|
|
|
$
|
95,263
|
|
Reconciliation of residential mortgage loans held-for-sale:
|
|
|
|
|
|
||||||
Residential mortgage loans held-for-sale at beginning of period
|
$
|
811,431
|
|
|
$
|
535,712
|
|
|
$
|
544,581
|
|
Purchases of residential mortgage loans held-for-sale
|
1,214,865
|
|
|
2,599,737
|
|
|
1,475,210
|
|
|||
Transfers to residential mortgage loans held-for-investment in securitization trusts
|
(1,031,226
|
)
|
|
(2,046,437
|
)
|
|
(1,022,360
|
)
|
|||
Transfers to other receivables for foreclosed government-guaranteed loans
|
(16,721
|
)
|
|
(16,723
|
)
|
|
—
|
|
|||
Transfer of fair value of mortgage servicing rights to fair value of Ginnie Mae residential mortgage loans held-for-sale upon buyout
|
(5,162
|
)
|
|
(15,756
|
)
|
|
(6,136
|
)
|
|||
Proceeds from sales of residential mortgage loans held-for-sale
|
(804,265
|
)
|
|
(160,559
|
)
|
|
(432,749
|
)
|
|||
Proceeds from repayment of residential mortgage loans held-for-sale
|
(143,587
|
)
|
|
(98,631
|
)
|
|
(38,545
|
)
|
|||
Realized and unrealized gains on residential mortgage loans held-for-sale
|
14,811
|
|
|
14,088
|
|
|
15,711
|
|
|||
Residential mortgage loans held-for-sale at end of period
|
$
|
40,146
|
|
|
$
|
811,431
|
|
|
$
|
535,712
|
|
|
December 31, 2016
|
||||||||||||||||||||||
|
|
|
|
|
|
|
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets
(1)
|
|
|
||||||||||||||
(in thousands)
|
Gross Amounts of Recognized Assets (Liabilities)
|
|
Gross Amounts Offset in the Consolidated Balance Sheets
|
|
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
Net Amount
|
||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative assets
|
$
|
388,522
|
|
|
$
|
(64,340
|
)
|
|
$
|
324,182
|
|
|
$
|
(12,501
|
)
|
|
$
|
—
|
|
|
$
|
311,681
|
|
Total Assets
|
$
|
388,522
|
|
|
$
|
(64,340
|
)
|
|
$
|
324,182
|
|
|
$
|
(12,501
|
)
|
|
$
|
—
|
|
|
$
|
311,681
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Repurchase agreements
|
$
|
(9,316,351
|
)
|
|
$
|
—
|
|
|
$
|
(9,316,351
|
)
|
|
$
|
9,316,351
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Derivative liabilities
|
(76,841
|
)
|
|
64,340
|
|
|
(12,501
|
)
|
|
12,501
|
|
|
—
|
|
|
—
|
|
||||||
Total Liabilities
|
$
|
(9,393,192
|
)
|
|
$
|
64,340
|
|
|
$
|
(9,328,852
|
)
|
|
$
|
9,328,852
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
December 31, 2015
|
||||||||||||||||||||||
|
|
|
|
|
|
|
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets
(1)
|
|
|
||||||||||||||
(in thousands)
|
Gross Amounts of Recognized Assets (Liabilities)
|
|
Gross Amounts Offset in the Consolidated Balance Sheets
|
|
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
Net Amount
|
||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative assets
|
$
|
325,755
|
|
|
$
|
(54,246
|
)
|
|
$
|
271,509
|
|
|
$
|
(7,285
|
)
|
|
$
|
—
|
|
|
$
|
264,224
|
|
Total Assets
|
$
|
325,755
|
|
|
$
|
(54,246
|
)
|
|
$
|
271,509
|
|
|
$
|
(7,285
|
)
|
|
$
|
—
|
|
|
$
|
264,224
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Repurchase agreements
|
$
|
(5,008,274
|
)
|
|
$
|
—
|
|
|
$
|
(5,008,274
|
)
|
|
$
|
5,008,274
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Derivative liabilities
|
(61,531
|
)
|
|
54,246
|
|
|
(7,285
|
)
|
|
7,285
|
|
|
—
|
|
|
—
|
|
||||||
Total Liabilities
|
$
|
(5,069,805
|
)
|
|
$
|
54,246
|
|
|
$
|
(5,015,559
|
)
|
|
$
|
5,015,559
|
|
|
$
|
—
|
|
|
$
|
—
|
|
(1)
|
Amounts presented are limited in total to the net amount of assets or liabilities presented in the consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s consolidated balance sheets.
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Residential mortgage loans held-for-investment in securitization trusts
|
$
|
3,271,317
|
|
|
$
|
3,173,727
|
|
Commercial real estate assets
|
45,885
|
|
|
45,698
|
|
||
Accrued interest receivable
|
19,090
|
|
|
18,493
|
|
||
Total Assets
|
$
|
3,336,292
|
|
|
$
|
3,237,918
|
|
Collateralized borrowings in securitization trusts
|
$
|
3,037,196
|
|
|
$
|
2,000,110
|
|
Accrued interest payable
|
8,708
|
|
|
5,943
|
|
||
Other liabilities
|
12,374
|
|
|
11,624
|
|
||
Total Liabilities
|
$
|
3,058,278
|
|
|
$
|
2,017,677
|
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Agency
|
|
|
|
||||
Federal Home Loan Mortgage Corporation
|
$
|
2,742,630
|
|
|
$
|
1,678,814
|
|
Federal National Mortgage Association
|
8,274,507
|
|
|
3,602,348
|
|
||
Government National Mortgage Association
|
209,337
|
|
|
691,728
|
|
||
Non-Agency
|
1,902,383
|
|
|
1,852,430
|
|
||
Total available-for-sale securities
|
$
|
13,128,857
|
|
|
$
|
7,825,320
|
|
|
December 31, 2016
|
||||||||||
(in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||
Face Value
|
$
|
13,571,417
|
|
|
$
|
2,732,139
|
|
|
$
|
16,303,556
|
|
Unamortized premium
|
571,749
|
|
|
—
|
|
|
571,749
|
|
|||
Unamortized discount
|
|
|
|
|
|
||||||
Designated credit reserve
|
—
|
|
|
(367,437
|
)
|
|
(367,437
|
)
|
|||
Net, unamortized
|
(2,758,445
|
)
|
|
(808,975
|
)
|
|
(3,567,420
|
)
|
|||
Amortized Cost
|
11,384,721
|
|
|
1,555,727
|
|
|
12,940,448
|
|
|||
Gross unrealized gains
|
79,040
|
|
|
353,358
|
|
|
432,398
|
|
|||
Gross unrealized losses
|
(237,287
|
)
|
|
(6,702
|
)
|
|
(243,989
|
)
|
|||
Carrying Value
|
$
|
11,226,474
|
|
|
$
|
1,902,383
|
|
|
$
|
13,128,857
|
|
|
December 31, 2015
|
||||||||||
(in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||
Face Value
|
$
|
8,257,030
|
|
|
$
|
2,655,381
|
|
|
$
|
10,912,411
|
|
Unamortized premium
|
394,787
|
|
|
—
|
|
|
394,787
|
|
|||
Unamortized discount
|
|
|
|
|
|
||||||
Designated credit reserve
|
—
|
|
|
(409,077
|
)
|
|
(409,077
|
)
|
|||
Net, unamortized
|
(2,721,979
|
)
|
|
(707,021
|
)
|
|
(3,429,000
|
)
|
|||
Amortized Cost
|
5,929,838
|
|
|
1,539,283
|
|
|
7,469,121
|
|
|||
Gross unrealized gains
|
98,389
|
|
|
329,206
|
|
|
427,595
|
|
|||
Gross unrealized losses
|
(55,337
|
)
|
|
(16,059
|
)
|
|
(71,396
|
)
|
|||
Carrying Value
|
$
|
5,972,890
|
|
|
$
|
1,852,430
|
|
|
$
|
7,825,320
|
|
|
December 31, 2016
|
||||||||||
(in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||
Adjustable Rate
|
$
|
30,463
|
|
|
$
|
1,574,850
|
|
|
$
|
1,605,313
|
|
Fixed Rate
|
11,196,011
|
|
|
327,533
|
|
|
11,523,544
|
|
|||
Total
|
$
|
11,226,474
|
|
|
$
|
1,902,383
|
|
|
$
|
13,128,857
|
|
|
December 31, 2015
|
||||||||||
(in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||
Adjustable Rate
|
$
|
108,596
|
|
|
$
|
1,673,038
|
|
|
$
|
1,781,634
|
|
Fixed Rate
|
5,864,294
|
|
|
179,392
|
|
|
6,043,686
|
|
|||
Total
|
$
|
5,972,890
|
|
|
$
|
1,852,430
|
|
|
$
|
7,825,320
|
|
|
December 31, 2016
|
||||||||||
(in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||
≤ 1 year
|
$
|
1,198
|
|
|
$
|
20,684
|
|
|
$
|
21,882
|
|
> 1 and ≤ 3 years
|
48,595
|
|
|
56,498
|
|
|
105,093
|
|
|||
> 3 and ≤ 5 years
|
614,633
|
|
|
207,724
|
|
|
822,357
|
|
|||
> 5 and ≤ 10 years
|
10,532,188
|
|
|
946,609
|
|
|
11,478,797
|
|
|||
> 10 years
|
29,860
|
|
|
670,868
|
|
|
700,728
|
|
|||
Total
|
$
|
11,226,474
|
|
|
$
|
1,902,383
|
|
|
$
|
13,128,857
|
|
|
Year Ended December 31,
|
||||||||||||||||||||||
|
2016
|
|
2015
|
||||||||||||||||||||
(in thousands)
|
Designated Credit Reserve
|
|
Unamortized Net Discount
|
|
Total
|
|
Designated Credit Reserve
|
|
Unamortized Net Discount
|
|
Total
|
||||||||||||
Beginning balance at January 1
|
$
|
(409,077
|
)
|
|
$
|
(707,021
|
)
|
|
$
|
(1,116,098
|
)
|
|
$
|
(927,605
|
)
|
|
$
|
(967,368
|
)
|
|
$
|
(1,894,973
|
)
|
Acquisitions
|
(70,108
|
)
|
|
(189,754
|
)
|
|
(259,862
|
)
|
|
557
|
|
|
(5,124
|
)
|
|
(4,567
|
)
|
||||||
Accretion of net discount
|
—
|
|
|
69,542
|
|
|
69,542
|
|
|
—
|
|
|
96,061
|
|
|
96,061
|
|
||||||
Realized credit losses
|
1,969
|
|
|
—
|
|
|
1,969
|
|
|
18,068
|
|
|
—
|
|
|
18,068
|
|
||||||
Reclassification adjustment for other-than-temporary impairments
|
914
|
|
|
—
|
|
|
914
|
|
|
1,742
|
|
|
—
|
|
|
1,742
|
|
||||||
Transfers from (to)
|
74,972
|
|
|
(74,972
|
)
|
|
—
|
|
|
154,580
|
|
|
(154,580
|
)
|
|
—
|
|
||||||
Sales, calls, other
|
33,893
|
|
|
93,230
|
|
|
127,123
|
|
|
343,581
|
|
|
323,990
|
|
|
667,571
|
|
||||||
Ending balance at December 31
|
$
|
(367,437
|
)
|
|
$
|
(808,975
|
)
|
|
$
|
(1,176,412
|
)
|
|
$
|
(409,077
|
)
|
|
$
|
(707,021
|
)
|
|
$
|
(1,116,098
|
)
|
|
Unrealized Loss Position for
|
||||||||||||||||||||||
|
Less than 12 Months
|
|
12 Months or More
|
|
Total
|
||||||||||||||||||
(in thousands)
|
Estimated Fair Value
|
|
Gross Unrealized Losses
|
|
Estimated Fair Value
|
|
Gross Unrealized Losses
|
|
Estimated Fair Value
|
|
Gross Unrealized Losses
|
||||||||||||
December 31, 2016
|
$
|
6,416,820
|
|
|
$
|
(204,034
|
)
|
|
$
|
504,978
|
|
|
$
|
(39,955
|
)
|
|
$
|
6,921,798
|
|
|
$
|
(243,989
|
)
|
December 31, 2015
|
$
|
1,503,939
|
|
|
$
|
(26,984
|
)
|
|
$
|
1,141,839
|
|
|
$
|
(44,412
|
)
|
|
$
|
2,645,778
|
|
|
$
|
(71,396
|
)
|
|
Year Ended
|
||||||||||
|
December 31,
|
||||||||||
(in thousands)
|
2016
|
|
2015
|
|
2014
|
||||||
Cumulative credit loss at beginning of period
|
$
|
(6,499
|
)
|
|
$
|
(8,241
|
)
|
|
$
|
(9,467
|
)
|
Additions:
|
|
|
|
|
|
||||||
Other-than-temporary impairments not previously recognized
|
(1,307
|
)
|
|
(238
|
)
|
|
(91
|
)
|
|||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
(515
|
)
|
|
(297
|
)
|
|
(301
|
)
|
|||
Reductions:
|
|
|
|
|
|
||||||
Decreases related to other-than-temporary impairments on securities paid down
|
1,387
|
|
|
—
|
|
|
464
|
|
|||
Decreases related to other-than-temporary impairments on securities sold
|
1,328
|
|
|
2,277
|
|
|
1,154
|
|
|||
Cumulative credit loss at end of period
|
$
|
(5,606
|
)
|
|
$
|
(6,499
|
)
|
|
$
|
(8,241
|
)
|
|
Year Ended
|
||||||||||
|
December 31,
|
||||||||||
(in thousands)
|
2016
|
|
2015
|
|
2014
|
||||||
Gross realized gains
|
$
|
97,049
|
|
|
$
|
388,392
|
|
|
$
|
162,235
|
|
Gross realized losses
|
(223,277
|
)
|
|
(19,040
|
)
|
|
(77,820
|
)
|
|||
Total realized (losses) gains on sales, net
|
$
|
(126,228
|
)
|
|
$
|
369,352
|
|
|
$
|
84,415
|
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Unpaid principal balance
|
$
|
49,986
|
|
|
$
|
812,661
|
|
Fair value adjustment
|
(9,840
|
)
|
|
(1,230
|
)
|
||
Carrying value
|
$
|
40,146
|
|
|
$
|
811,431
|
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Unpaid principal balance
|
$
|
3,234,044
|
|
|
$
|
3,143,515
|
|
Fair value adjustment
|
37,273
|
|
|
30,212
|
|
||
Carrying value
|
$
|
3,271,317
|
|
|
$
|
3,173,727
|
|
|
December 31,
2016 |
|
December 31,
2015 |
||||||||||||||||||||
(dollars in thousands)
|
Mezzanine Loans
|
|
First Mortgages
|
|
Total
|
|
Mezzanine Loans
|
|
First Mortgages
|
|
Total
|
||||||||||||
Unpaid principal balance
|
$
|
138,245
|
|
|
$
|
1,286,200
|
|
|
$
|
1,424,445
|
|
|
$
|
153,913
|
|
|
$
|
513,433
|
|
|
$
|
667,346
|
|
Unamortized (discount) premium
|
(15
|
)
|
|
(185
|
)
|
|
(200
|
)
|
|
(237
|
)
|
|
—
|
|
|
(237
|
)
|
||||||
Unamortized net deferred origination fees
|
(221
|
)
|
|
(11,481
|
)
|
|
(11,702
|
)
|
|
(830
|
)
|
|
(5,326
|
)
|
|
(6,156
|
)
|
||||||
Carrying value
|
$
|
138,009
|
|
|
$
|
1,274,534
|
|
|
$
|
1,412,543
|
|
|
$
|
152,846
|
|
|
$
|
508,107
|
|
|
$
|
660,953
|
|
Unfunded commitments
|
$
|
1,580
|
|
|
$
|
166,344
|
|
|
$
|
167,924
|
|
|
$
|
1,900
|
|
|
$
|
50,334
|
|
|
$
|
52,234
|
|
Number of loans
|
6
|
|
|
30
|
|
|
36
|
|
|
6
|
|
|
12
|
|
|
18
|
|
||||||
Weighted average coupon
|
8.6
|
%
|
|
5.1
|
%
|
|
5.4
|
%
|
|
8.1
|
%
|
|
4.5
|
%
|
|
5.4
|
%
|
||||||
Weighted average years to maturity
(1)
|
1.5
|
|
|
2.9
|
|
|
2.8
|
|
|
2.6
|
|
|
3.3
|
|
|
3.1
|
|
(1)
|
Based on contractual maturity date. Certain loans are subject to contractual extension options which may be subject to conditions as stipulated in the loan agreement. Actual maturities may differ from contractual maturities stated herein as certain borrowers may have the right to prepay with or without paying a prepayment penalty. The Company may also extend contractual maturities in connection with loan modifications.
|
(in thousands)
|
|
December 31,
2016 |
|
December 31,
2015 |
||||||||||
Property Type
|
|
Carrying Value
|
|
% of Commercial Portfolio
|
|
Carrying Value
|
|
% of Commercial Portfolio
|
||||||
Retail
|
|
$
|
237,414
|
|
|
16.8
|
%
|
|
$
|
185,883
|
|
|
28.1
|
%
|
Hotel
|
|
90,585
|
|
|
6.4
|
%
|
|
80,843
|
|
|
12.2
|
%
|
||
Industrial
|
|
105,081
|
|
|
7.4
|
%
|
|
—
|
|
|
—
|
%
|
||
Multifamily
|
|
260,683
|
|
|
18.5
|
%
|
|
139,011
|
|
|
21.1
|
%
|
||
Office
|
|
718,780
|
|
|
50.9
|
%
|
|
255,216
|
|
|
38.6
|
%
|
||
Total
|
|
$
|
1,412,543
|
|
|
100.0
|
%
|
|
$
|
660,953
|
|
|
100.0
|
%
|
(in thousands)
|
|
December 31,
2016 |
|
December 31,
2015 |
||||||||||
Geographic Location
|
|
Carrying Value
|
|
% of Commercial Portfolio
|
|
Carrying Value
|
|
% of Commercial Portfolio
|
||||||
West
|
|
$
|
250,044
|
|
|
17.7
|
%
|
|
$
|
131,488
|
|
|
19.9
|
%
|
Southeast
|
|
239,194
|
|
|
16.9
|
%
|
|
79,118
|
|
|
12.0
|
%
|
||
Southwest
|
|
267,944
|
|
|
19.0
|
%
|
|
161,721
|
|
|
24.4
|
%
|
||
Northeast
|
|
578,762
|
|
|
41.0
|
%
|
|
238,913
|
|
|
36.2
|
%
|
||
Midwest
|
|
76,599
|
|
|
5.4
|
%
|
|
49,713
|
|
|
7.5
|
%
|
||
Total
|
|
$
|
1,412,543
|
|
|
100.0
|
%
|
|
$
|
660,953
|
|
|
100.0
|
%
|
|
Year Ended
December 31, |
||||||||||
(in thousands)
|
2016
|
|
2015
|
|
2014
|
||||||
Balance at beginning of period
|
$
|
660,953
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Originations and purchases
|
773,285
|
|
|
669,283
|
|
|
—
|
|
|||
Sales
|
—
|
|
|
(1,979
|
)
|
|
—
|
|
|||
Repayments
|
(16,385
|
)
|
|
(344
|
)
|
|
—
|
|
|||
Net discount accretion (premium amortization)
|
263
|
|
|
149
|
|
|
—
|
|
|||
(Increase) decrease in net deferred origination fees
|
(12,554
|
)
|
|
(6,656
|
)
|
|
—
|
|
|||
Amortization of net deferred origination fees
|
6,981
|
|
|
319
|
|
|
—
|
|
|||
Realized gains on sales
|
—
|
|
|
181
|
|
|
—
|
|
|||
Allowance for loan losses
|
—
|
|
|
—
|
|
|
—
|
|
|||
Balance at end of period
|
$
|
1,412,543
|
|
|
$
|
660,953
|
|
|
$
|
—
|
|
1 –
|
Lower Risk
|
2 –
|
Average Risk
|
3 –
|
Acceptable Risk
|
4 –
|
Higher Risk: A loan that has exhibited material deterioration in cash flows and/or other credit factors, which, if negative trends continue, could be indicative of future loss.
|
5 –
|
Impaired/Loss Likely: A loan that has a significantly increased probability of default or principal loss.
|
(dollars in thousands)
|
|
December 31,
2016 |
|
December 31,
2015 |
||||||||||||||||||
Risk Rating
|
|
Number of Loans
|
|
Unpaid Principal Balance
|
|
Carrying Value
|
|
Number of Loans
|
|
Unpaid Principal Balance
|
|
Carrying Value
|
||||||||||
1 – 3
|
|
36
|
|
|
$
|
1,424,445
|
|
|
$
|
1,412,543
|
|
|
18
|
|
|
$
|
667,346
|
|
|
$
|
660,953
|
|
4 – 5
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total
|
|
36
|
|
|
$
|
1,424,445
|
|
|
$
|
1,412,543
|
|
|
18
|
|
|
$
|
667,346
|
|
|
$
|
660,953
|
|
|
Year Ended
|
||||||||||
|
December 31,
|
||||||||||
(in thousands)
|
2016
|
|
2015
|
|
2014
|
||||||
Balance at beginning of period
|
$
|
493,688
|
|
|
$
|
452,006
|
|
|
$
|
514,402
|
|
Additions from purchases of mortgage servicing rights
|
312,580
|
|
|
124,261
|
|
|
67,533
|
|
|||
Additions from sales of residential mortgage loans
|
924
|
|
|
1,844
|
|
|
288
|
|
|||
Subtractions from sales of mortgage servicing rights
|
(61,511
|
)
|
|
—
|
|
|
—
|
|
|||
Changes in fair value due to:
|
|
|
|
|
|
||||||
Changes in valuation inputs or assumptions used in the valuation model
|
16,572
|
|
|
(51,634
|
)
|
|
(73,573
|
)
|
|||
Other changes in fair value
(1)
|
(78,729
|
)
|
|
(47,950
|
)
|
|
(54,815
|
)
|
|||
Other changes
(2)
|
10,291
|
|
|
15,161
|
|
|
(1,829
|
)
|
|||
Balance at end of period
|
$
|
693,815
|
|
|
$
|
493,688
|
|
|
$
|
452,006
|
|
(1)
|
Other changes in fair value primarily represents changes due to the realization of expected cash flows.
|
(2)
|
Other changes includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral.
|
(dollars in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Weighted average prepayment speed:
|
9.2
|
%
|
|
11.8
|
%
|
||
Impact on fair value of 10% adverse change
|
$
|
(25,012
|
)
|
|
$
|
(20,093
|
)
|
Impact on fair value of 20% adverse change
|
$
|
(48,602
|
)
|
|
$
|
(38,656
|
)
|
Weighted average delinquency:
|
1.9
|
%
|
|
4.0
|
%
|
||
Impact on fair value of 10% adverse change
|
$
|
(1,908
|
)
|
|
$
|
(3,826
|
)
|
Impact on fair value of 20% adverse change
|
$
|
(3,816
|
)
|
|
$
|
(6,640
|
)
|
Weighted average discount rate:
|
9.4
|
%
|
|
10.1
|
%
|
||
Impact on fair value of 10% adverse change
|
$
|
(23,590
|
)
|
|
$
|
(16,316
|
)
|
Impact on fair value of 20% adverse change
|
$
|
(45,861
|
)
|
|
$
|
(31,522
|
)
|
|
Year Ended
|
||||||||||
|
December 31,
|
||||||||||
(in thousands)
|
2016
|
|
2015
|
|
2014
|
||||||
Servicing fee income
|
$
|
138,430
|
|
|
$
|
123,834
|
|
|
$
|
125,061
|
|
Ancillary fee income
|
1,668
|
|
|
2,144
|
|
|
2,210
|
|
|||
Float income
|
3,518
|
|
|
1,434
|
|
|
889
|
|
|||
Total
|
$
|
143,616
|
|
|
$
|
127,412
|
|
|
$
|
128,160
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||
(dollars in thousands)
|
Number of Loans
|
|
Unpaid Principal Balance
|
|
Number of Loans
|
|
Unpaid Principal Balance
|
||||||
Residential mortgage loans held-for-sale
|
333
|
|
|
$
|
49,986
|
|
|
1,415
|
|
|
$
|
812,661
|
|
Residential mortgage loans held-for-investment in securitization trusts
|
4,604
|
|
|
3,234,044
|
|
|
4,358
|
|
|
3,143,515
|
|
||
Mortgage servicing rights
|
280,185
|
|
|
62,827,975
|
|
|
241,199
|
|
|
48,540,005
|
|
||
Total serviced mortgage assets
|
285,122
|
|
|
$
|
66,112,005
|
|
|
246,972
|
|
|
$
|
52,496,181
|
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Restricted cash balances held by trading counterparties:
|
|
|
|
||||
For securities and loan trading activity
|
$
|
26,310
|
|
|
$
|
12,550
|
|
For derivatives trading activity
|
218,896
|
|
|
130,355
|
|
||
As restricted collateral for repurchase agreements and Federal Home Loan Bank advances
|
162,759
|
|
|
119,310
|
|
||
Total restricted cash balances held by trading counterparties
|
407,965
|
|
|
262,215
|
|
||
Restricted cash balance pursuant to letter of credit on office lease
|
347
|
|
|
347
|
|
||
Total
|
$
|
408,312
|
|
|
$
|
262,562
|
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Available-for-sale securities:
|
|
|
|
||||
Agency
|
|
|
|
||||
Federal Home Loan Mortgage Corporation
|
$
|
8,914
|
|
|
$
|
6,235
|
|
Federal National Mortgage Association
|
25,273
|
|
|
12,407
|
|
||
Government National Mortgage Association
|
3,068
|
|
|
4,910
|
|
||
Non-Agency
|
2,705
|
|
|
2,339
|
|
||
Total available-for-sale securities
|
39,960
|
|
|
25,891
|
|
||
Residential mortgage loans held-for-sale
|
164
|
|
|
4,173
|
|
||
Residential mortgage loans held-for-investment in securitization trusts
|
18,928
|
|
|
18,339
|
|
||
Commercial real estate assets
|
3,699
|
|
|
1,567
|
|
||
Total
|
$
|
62,751
|
|
|
$
|
49,970
|
|
(in thousands)
|
|
December 31, 2016
|
||||||||||||||
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||||
Trading instruments
|
|
Fair Value
|
|
Notional
|
|
Fair Value
|
|
Notional
|
||||||||
Inverse interest-only securities
|
|
$
|
127,843
|
|
|
$
|
740,844
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Interest rate swap agreements
|
|
109,531
|
|
|
18,471,063
|
|
|
(495
|
)
|
|
1,900,000
|
|
||||
Credit default swaps
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Swaptions, net
|
|
39,881
|
|
|
825,000
|
|
|
(1,645
|
)
|
|
600,000
|
|
||||
TBAs
|
|
4,294
|
|
|
536,000
|
|
|
(10,344
|
)
|
|
953,000
|
|
||||
Put and call options for TBAs, net
|
|
42,633
|
|
|
1,136,000
|
|
|
—
|
|
|
—
|
|
||||
Markit IOS total return swaps
|
|
—
|
|
|
—
|
|
|
(17
|
)
|
|
90,593
|
|
||||
Forward purchase commitments
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total
|
|
$
|
324,182
|
|
|
$
|
21,708,907
|
|
|
$
|
(12,501
|
)
|
|
$
|
3,543,593
|
|
(in thousands)
|
|
December 31, 2015
|
||||||||||||||
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||||
Trading instruments
|
|
Fair Value
|
|
Notional
|
|
Fair Value
|
|
Notional
|
||||||||
Inverse interest-only securities
|
|
$
|
159,582
|
|
|
$
|
932,037
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Interest rate swap agreements
|
|
91,757
|
|
|
14,268,806
|
|
|
—
|
|
|
—
|
|
||||
Credit default swaps
|
|
—
|
|
|
—
|
|
|
(703
|
)
|
|
125,000
|
|
||||
Swaptions, net
|
|
17,374
|
|
|
4,700,000
|
|
|
(4,831
|
)
|
|
500,000
|
|
||||
TBAs
|
|
1,074
|
|
|
847,000
|
|
|
(1,324
|
)
|
|
550,000
|
|
||||
Markit IOS total return swaps
|
|
1,645
|
|
|
889,418
|
|
|
—
|
|
|
—
|
|
||||
Forward purchase commitments
|
|
77
|
|
|
98,736
|
|
|
(427
|
)
|
|
187,384
|
|
||||
Total
|
|
$
|
271,509
|
|
|
$
|
21,735,997
|
|
|
$
|
(7,285
|
)
|
|
$
|
1,362,384
|
|
Trading Instruments
|
|
Location of Gain (Loss) Recognized in Income on Derivatives
|
|
Amount of Gain (Loss) Recognized in Income on Derivatives
|
||||||||||
(in thousands)
|
|
|
|
Year Ended
December 31, |
||||||||||
|
|
|
|
2016
|
|
2015
|
|
2014
|
||||||
Interest rate risk management
|
|
|
|
|
|
|
|
|
||||||
TBAs
(1)
|
|
Gain (loss) on other derivative instruments
|
|
$
|
51,816
|
|
|
$
|
(39,748
|
)
|
|
$
|
(69,921
|
)
|
Short U.S. Treasuries
(1)
|
|
Gain (loss) on other derivative instruments
|
|
—
|
|
|
125
|
|
|
(8
|
)
|
|||
Put and call options for TBAs
(1)
|
|
Gain (loss) on other derivative instruments
|
|
64,920
|
|
|
6,846
|
|
|
(14,070
|
)
|
|||
Put and call options for U.S. Treasuries
(1)
|
|
Gain (loss) on other derivative instruments
|
|
—
|
|
|
(837
|
)
|
|
—
|
|
|||
Constant maturity swaps
(1)
|
|
Gain (loss) on other derivative instruments
|
|
—
|
|
|
6,164
|
|
|
6,340
|
|
|||
Interest rate swap agreements - Receivers
(1)
|
|
Gain (loss) on interest rate swap and swaption agreements
|
|
37,272
|
|
|
52,785
|
|
|
201,536
|
|
|||
Interest rate swap agreements - Payers
(1)
|
|
Gain (loss) on interest rate swap and swaption agreements
|
|
(19,986
|
)
|
|
(69,495
|
)
|
|
(114,121
|
)
|
|||
Swaptions
(1)
|
|
Gain (loss) on interest rate swap and swaption agreements
|
|
11,209
|
|
|
(63,797
|
)
|
|
(242,795
|
)
|
|||
Markit IOS total return swaps
(1)
|
|
Gain (loss) on other derivative instruments
|
|
(36,898
|
)
|
|
(13,371
|
)
|
|
8,061
|
|
|||
Interest rate swap agreements - Payers
(2)
|
|
Gain (loss) on interest rate swap and swaption agreements
|
|
16,876
|
|
|
(130,114
|
)
|
|
(190,267
|
)
|
|||
Credit risk management
|
|
|
|
|
|
|
|
|
||||||
Credit default swaps - Receive protection
(3)
|
|
Gain (loss) on other derivative instruments
|
|
962
|
|
|
(294
|
)
|
|
1,742
|
|
|||
Non-risk management
|
|
|
|
|
|
|
|
|
||||||
TBAs
|
|
Gain (loss) on other derivative instruments
|
|
—
|
|
|
—
|
|
|
(4,701
|
)
|
|||
Inverse interest-only securities
|
|
Gain (loss) on other derivative instruments
|
|
18,579
|
|
|
36,066
|
|
|
55,028
|
|
|||
Forward purchase commitments
|
|
Gain on residential mortgage loans held-for-sale
|
|
2,418
|
|
|
(1,668
|
)
|
|
4,729
|
|
|||
Total
|
|
|
|
$
|
147,168
|
|
|
$
|
(217,338
|
)
|
|
$
|
(358,447
|
)
|
(1)
|
Includes derivative instruments held to mitigate interest rate risk associated with the Company’s investment portfolio.
|
(2)
|
Includes derivative instruments held to mitigate interest rate risk associated with the Company’s repurchase agreements and FHLB advances.
|
(3)
|
Includes derivative instruments held to mitigate credit risk associated with the Company’s non-Agency RMBS and residential mortgage loans held-for-sale.
|
|
Year Ended December 31, 2016
|
||||||||||||||||||||||
(in thousands)
|
Beginning of Period Notional Amount
|
|
Additions
|
|
Settlement, Termination, Expiration or Exercise
|
|
End of Period Notional Amount
|
|
Average Notional Amount
|
|
Realized Gain (Loss), net
(1)
|
||||||||||||
Inverse interest-only securities
|
$
|
932,037
|
|
|
$
|
—
|
|
|
$
|
(191,193
|
)
|
|
$
|
740,844
|
|
|
$
|
836,707
|
|
|
$
|
—
|
|
Interest rate swap agreements
|
14,268,806
|
|
|
25,103,456
|
|
|
(19,001,199
|
)
|
|
20,371,063
|
|
|
15,506,763
|
|
|
16,032
|
|
||||||
Credit default swaps
|
125,000
|
|
|
10,000
|
|
|
(135,000
|
)
|
|
—
|
|
|
71,257
|
|
|
1,022
|
|
||||||
Swaptions, net
|
5,200,000
|
|
|
1,668,000
|
|
|
(6,643,000
|
)
|
|
225,000
|
|
|
2,449,268
|
|
|
(98,016
|
)
|
||||||
TBAs, net
|
297,000
|
|
|
(10,173,000
|
)
|
|
8,387,000
|
|
|
(1,489,000
|
)
|
|
(531,866
|
)
|
|
57,616
|
|
||||||
Put and call options for TBAs, net
|
—
|
|
|
11,260,000
|
|
|
(12,396,000
|
)
|
|
(1,136,000
|
)
|
|
2,569,117
|
|
|
22,288
|
|
||||||
Markit IOS total return swaps
|
889,418
|
|
|
99,911
|
|
|
(898,736
|
)
|
|
90,593
|
|
|
471,028
|
|
|
(13,374
|
)
|
||||||
Forward purchase commitments
|
286,120
|
|
|
1,548,027
|
|
|
(1,834,147
|
)
|
|
—
|
|
|
269,562
|
|
|
2,068
|
|
||||||
Total
|
$
|
21,998,381
|
|
|
$
|
29,516,394
|
|
|
$
|
(32,712,275
|
)
|
|
$
|
18,802,500
|
|
|
$
|
21,641,836
|
|
|
$
|
(12,364
|
)
|
|
Year Ended December 31, 2015
|
||||||||||||||||||||||
(in thousands)
|
Beginning of Period Notional Amount
|
|
Additions
|
|
Settlement, Termination, Expiration or Exercise
|
|
End of Period Notional Amount
|
|
Average Notional Amount
|
|
Realized Gain (Loss), net
(1)
|
||||||||||||
Inverse interest-only securities
|
$
|
1,168,226
|
|
|
$
|
12,563
|
|
|
$
|
(248,752
|
)
|
|
$
|
932,037
|
|
|
$
|
1,050,906
|
|
|
$
|
64
|
|
Interest rate swap agreements
|
18,584,000
|
|
|
26,868,227
|
|
|
(31,183,421
|
)
|
|
14,268,806
|
|
|
16,091,714
|
|
|
(126,870
|
)
|
||||||
Credit default swaps
|
125,000
|
|
|
—
|
|
|
—
|
|
|
125,000
|
|
|
125,000
|
|
|
—
|
|
||||||
Swaptions, net
|
12,410,000
|
|
|
8,550,000
|
|
|
(15,760,000
|
)
|
|
5,200,000
|
|
|
9,780,027
|
|
|
(99,273
|
)
|
||||||
TBAs, net
|
(1,325,000
|
)
|
|
(7,266,000
|
)
|
|
8,888,000
|
|
|
297,000
|
|
|
(773,381
|
)
|
|
(46,835
|
)
|
||||||
Short U.S. Treasuries
|
—
|
|
|
(50,000
|
)
|
|
50,000
|
|
|
—
|
|
|
—
|
|
|
125
|
|
||||||
Put and call options for TBAs, net
|
2,000,000
|
|
|
1,250,000
|
|
|
(3,250,000
|
)
|
|
—
|
|
|
(120,548
|
)
|
|
6,331
|
|
||||||
Put and call options for U.S. Treasuries, net
|
—
|
|
|
500,000
|
|
|
(500,000
|
)
|
|
—
|
|
|
685
|
|
|
(837
|
)
|
||||||
Constant maturity swaps
|
14,000,000
|
|
|
6,000,000
|
|
|
(20,000,000
|
)
|
|
—
|
|
|
2,257,534
|
|
|
7,694
|
|
||||||
Markit IOS total return swaps
|
598,459
|
|
|
1,626,514
|
|
|
(1,335,555
|
)
|
|
889,418
|
|
|
950,206
|
|
|
(11,296
|
)
|
||||||
Forward purchase commitments
|
554,838
|
|
|
3,512,843
|
|
|
(3,781,561
|
)
|
|
286,120
|
|
|
563,108
|
|
|
(21
|
)
|
||||||
Total
|
$
|
48,115,523
|
|
|
$
|
41,004,147
|
|
|
$
|
(67,121,289
|
)
|
|
$
|
21,998,381
|
|
|
$
|
29,925,251
|
|
|
$
|
(270,918
|
)
|
(1)
|
Excludes net interest paid or received in full settlement of the net interest spread liability.
|
|
As of December 31, 2016
|
||||||||||||||||||
|
|
|
|
|
|
|
Net Carrying Value
(4)
|
||||||||||||
(in thousands)
|
Notional Amount
(1)
|
|
Cost Basis
(2)
|
|
Market Value
(3)
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||
Purchase contracts
|
$
|
1,500,000
|
|
|
$
|
1,576,270
|
|
|
$
|
1,576,875
|
|
|
$
|
605
|
|
|
$
|
—
|
|
Sale contracts
|
(2,989,000
|
)
|
|
(3,028,470
|
)
|
|
(3,035,125
|
)
|
|
3,689
|
|
|
(10,344
|
)
|
|||||
TBAs, net
|
$
|
(1,489,000
|
)
|
|
$
|
(1,452,200
|
)
|
|
$
|
(1,458,250
|
)
|
|
$
|
4,294
|
|
|
$
|
(10,344
|
)
|
|
As of December 31, 2015
|
||||||||||||||||||
|
|
|
|
|
|
|
Net Carrying Value
(4)
|
||||||||||||
(in thousands)
|
Notional Amount
(1)
|
|
Cost Basis
(2)
|
|
Market Value
(3)
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||
Purchase contracts
|
$
|
847,000
|
|
|
$
|
858,572
|
|
|
$
|
859,646
|
|
|
$
|
1,074
|
|
|
$
|
—
|
|
Sale contracts
|
(550,000
|
)
|
|
(568,813
|
)
|
|
(570,137
|
)
|
|
—
|
|
|
(1,324
|
)
|
|||||
TBAs, net
|
$
|
297,000
|
|
|
$
|
289,759
|
|
|
$
|
289,509
|
|
|
$
|
1,074
|
|
|
$
|
(1,324
|
)
|
(1)
|
Notional amount represents the face amount of the underlying Agency RMBS.
|
(2)
|
Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.
|
(3)
|
Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period-end.
|
(4)
|
Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the consolidated balance sheets.
|
(notional in thousands)
|
|
|
|
|
|
|
|||||||
December 31, 2015
|
|||||||||||||
Swaps Maturities
|
|
Notional Amounts
|
|
Weighted Average Fixed Pay Rate
|
|
Weighted Average Receive Rate
|
|
Weighted Average Maturity (Years)
|
|||||
2018
|
|
$
|
2,040,000
|
|
|
1.563
|
%
|
|
0.487
|
%
|
|
2.94
|
|
2020 and Thereafter
|
|
1,210,000
|
|
|
2.164
|
%
|
|
0.531
|
%
|
|
5.08
|
|
|
Total
|
|
$
|
3,250,000
|
|
|
1.787
|
%
|
|
0.503
|
%
|
|
3.74
|
|
(notional in thousands)
|
|
|
|
|
|
|
|||||||
December 31, 2016
|
|||||||||||||
Swaps Maturities
|
|
Notional Amounts
|
|
Weighted Average Pay Rate
|
|
Weighted Average Fixed Receive Rate
|
|
Weighted Average Maturity (Years)
|
|||||
2018
|
|
$
|
575,000
|
|
|
0.911
|
%
|
|
1.440
|
%
|
|
1.89
|
|
2019
|
|
500,000
|
|
|
0.882
|
%
|
|
1.042
|
%
|
|
2.06
|
|
|
2020
|
|
510,000
|
|
|
0.881
|
%
|
|
1.580
|
%
|
|
3.59
|
|
|
2021 and Thereafter
|
|
3,479,000
|
|
|
0.963
|
%
|
|
2.137
|
%
|
|
5.52
|
|
|
Total
|
|
$
|
5,064,000
|
|
|
0.941
|
%
|
|
1.894
|
%
|
|
4.57
|
|
(notional in thousands)
|
|
|
|
|
|
|
|||||||
December 31, 2015
|
|||||||||||||
Swaps Maturities
|
|
Notional Amounts
|
|
Weighted Average Pay Rate
|
|
Weighted Average Fixed Receive Rate
|
|
Weighted Average Maturity (Years)
|
|||||
2018
|
|
$
|
575,000
|
|
|
0.329
|
%
|
|
1.440
|
%
|
|
2.89
|
|
2020 and Thereafter
|
|
2,589,000
|
|
|
0.453
|
%
|
|
2.301
|
%
|
|
7.00
|
|
|
Total
|
|
$
|
3,164,000
|
|
|
0.431
|
%
|
|
2.145
|
%
|
|
6.26
|
|
(notional in thousands)
|
|
|
|
|
|
|
|||||||
December 31, 2015
|
|||||||||||||
Swaps Maturities
|
|
Notional Amount
(1)
|
|
Weighted Average Fixed Pay Rate
(2)
|
|
Weighted Average Receive Rate
(2)
|
|
Weighted Average Maturity (Years)
(2)
|
|||||
2016
|
|
$
|
1,700,000
|
|
|
0.462
|
%
|
|
0.481
|
%
|
|
0.73
|
|
2017
|
|
2,375,000
|
|
|
0.765
|
%
|
|
0.510
|
%
|
|
1.59
|
|
|
2018
|
|
800,000
|
|
|
0.944
|
%
|
|
0.384
|
%
|
|
2.14
|
|
|
2019
|
|
350,000
|
|
|
1.283
|
%
|
|
0.340
|
%
|
|
3.44
|
|
|
2020 and Thereafter
|
|
2,629,806
|
|
|
1.821
|
%
|
|
0.371
|
%
|
|
8.04
|
|
|
Total
|
|
$
|
7,854,806
|
|
|
1.094
|
%
|
|
0.437
|
%
|
|
3.71
|
|
(1)
|
Notional amount includes
$777.1 million
in forward starting interest rate swaps as of
December 31, 2016
. The Company did not have any forward starting interest rate swaps as of
December 31, 2015
.
|
(2)
|
Weighted averages exclude forward starting interest rate swaps. As of
December 31, 2016
, the weighted average fixed pay rate on interest rate swaps starting in
2017
was
2.0%
. The Company did not have any forward starting interest rate swaps as of
December 31, 2015
.
|
|
|
December 31, 2016
|
|||||||||||||||||||||||
(notional and dollars in thousands)
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||||||||
Swaption
|
|
Expiration
|
|
Cost
|
|
Fair Value
|
|
Average Months to Expiration
|
|
Notional Amount
|
|
Average Pay Rate
|
|
Average Receive Rate
|
|
Average Term (Years)
|
|||||||||
Purchase contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Payer
|
|
< 6 Months
|
|
$
|
29,360
|
|
|
$
|
42,149
|
|
|
1.22
|
|
$
|
4,500,000
|
|
|
2.16
|
%
|
|
3M Libor
|
|
4.8
|
|
|
Payer
|
|
≥ 6 Months
|
|
13,655
|
|
|
792
|
|
|
6.70
|
|
300,000
|
|
|
3.50
|
%
|
|
3M Libor
|
|
10.0
|
|
||||
Total Payer
|
|
|
|
$
|
43,015
|
|
|
$
|
42,941
|
|
|
1.23
|
|
$
|
4,800,000
|
|
|
2.24
|
%
|
|
3M Libor
|
|
5.1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Sale contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Payer
|
|
< 6 Months
|
|
$
|
(51,355
|
)
|
|
$
|
(1,414
|
)
|
|
5.81
|
|
$
|
(500,000
|
)
|
|
3.40
|
%
|
|
3M Libor
|
|
10.0
|
|
|
Payer
|
|
≥ 6 Months
|
|
(29,893
|
)
|
|
(938
|
)
|
|
6.77
|
|
(300,000
|
)
|
|
3.50
|
%
|
|
3M Libor
|
|
10.0
|
|
||||
Total Payer
|
|
|
|
$
|
(81,248
|
)
|
|
$
|
(2,352
|
)
|
|
6.05
|
|
$
|
(800,000
|
)
|
|
3.44
|
%
|
|
3M Libor
|
|
10.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Receiver
|
|
< 6 Months
|
|
$
|
—
|
|
|
$
|
(2,353
|
)
|
|
2.30
|
|
$
|
(3,775,000
|
)
|
|
3M Libor
|
|
1.19
|
%
|
|
4.9
|
|
|
Total Receiver
|
|
|
|
$
|
—
|
|
|
$
|
(2,353
|
)
|
|
2.30
|
|
$
|
(3,775,000
|
)
|
|
3M Libor
|
|
1.19
|
%
|
|
4.9
|
|
|
|
December 31, 2015
|
|||||||||||||||||||||||
(notional and dollars in thousands)
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||||||||
Swaption
|
|
Expiration
|
|
Cost
|
|
Fair Value
|
|
Average Months to Expiration
|
|
Notional Amount
|
|
Average Fixed Pay Rate
|
|
Average Receive Rate
|
|
Average Term (Years)
|
|||||||||
Purchase contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Payer
|
|
< 6 Months
|
|
$
|
375
|
|
|
$
|
174
|
|
|
0.75
|
|
$
|
2,000,000
|
|
|
2.23
|
%
|
|
3M Libor
|
|
6.3
|
|
|
Payer
|
|
≥ 6 Months
|
|
126,273
|
|
|
19,150
|
|
|
39.17
|
|
4,500,000
|
|
|
3.69
|
%
|
|
3M Libor
|
|
5.8
|
|
||||
Total Payer
|
|
|
|
$
|
126,648
|
|
|
$
|
19,324
|
|
|
38.51
|
|
$
|
6,500,000
|
|
|
3.24
|
%
|
|
3M Libor
|
|
5.9
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Sale contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Payer
|
|
≥ 6 Months
|
|
$
|
(81,248
|
)
|
|
$
|
(6,738
|
)
|
|
18.01
|
|
$
|
(800,000
|
)
|
|
3.44
|
%
|
|
3M Libor
|
|
10.0
|
|
|
Total Payer
|
|
|
|
$
|
(81,248
|
)
|
|
$
|
(6,738
|
)
|
|
18.01
|
|
$
|
(800,000
|
)
|
|
3.44
|
%
|
|
3M Libor
|
|
10.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Receiver
|
|
< 6 Months
|
|
$
|
(100
|
)
|
|
$
|
(43
|
)
|
|
0.73
|
|
$
|
(500,000
|
)
|
|
3M Libor
|
|
1.75
|
%
|
|
10.0
|
|
|
Total Receiver
|
|
|
|
$
|
(100
|
)
|
|
$
|
(43
|
)
|
|
0.73
|
|
$
|
(500,000
|
)
|
|
3M Libor
|
|
1.75
|
%
|
|
10.0
|
|
(notional and dollars in thousands)
|
|
|
|
|
|
|||||||||||
December 31, 2015
|
||||||||||||||||
Maturity Date
|
|
Current Notional Amount
|
|
Fair Value
|
|
Upfront Payable
|
|
Unrealized Gain (Loss)
|
||||||||
January 12, 2043
|
|
$
|
(369,639
|
)
|
|
$
|
456
|
|
|
$
|
(866
|
)
|
|
$
|
(410
|
)
|
January 12, 2044
|
|
(325,003
|
)
|
|
350
|
|
|
(1,679
|
)
|
|
(1,329
|
)
|
||||
January 12, 2045
|
|
(194,776
|
)
|
|
839
|
|
|
1,162
|
|
|
2,001
|
|
||||
Total
|
|
$
|
(889,418
|
)
|
|
$
|
1,645
|
|
|
$
|
(1,383
|
)
|
|
$
|
262
|
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Face Value
|
$
|
740,844
|
|
|
$
|
932,037
|
|
Unamortized premium
|
—
|
|
|
—
|
|
||
Unamortized discount
|
|
|
|
||||
Designated credit reserve
|
—
|
|
|
—
|
|
||
Net, unamortized
|
(631,082
|
)
|
|
(792,178
|
)
|
||
Amortized Cost
|
109,762
|
|
|
139,859
|
|
||
Gross unrealized gains
|
18,389
|
|
|
19,655
|
|
||
Gross unrealized losses
|
(1,552
|
)
|
|
(1,608
|
)
|
||
Carrying Value
|
$
|
126,599
|
|
|
$
|
157,906
|
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Property and equipment at cost
|
$
|
6,481
|
|
|
$
|
5,997
|
|
Accumulated depreciation
(1)
|
(4,566
|
)
|
|
(3,303
|
)
|
||
Net property and equipment
|
1,915
|
|
|
2,694
|
|
||
Prepaid expenses
|
1,406
|
|
|
1,572
|
|
||
Income taxes receivable
|
1,532
|
|
|
5,286
|
|
||
Deferred tax assets, net
|
57,361
|
|
|
44,318
|
|
||
Servicing advances
|
26,147
|
|
|
37,499
|
|
||
Federal Home Loan Bank stock
|
167,856
|
|
|
156,650
|
|
||
Equity investments
|
3,000
|
|
|
3,000
|
|
||
Other receivables
|
43,653
|
|
|
20,556
|
|
||
Total other assets
|
$
|
302,870
|
|
|
$
|
271,575
|
|
(1)
|
Depreciation expense for the
years ended
December 31, 2016
and
2015
was
$1.3 million
and
$1.4 million
, respectively.
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Accrued expenses
|
$
|
28,944
|
|
|
$
|
37,052
|
|
Accrued interest payable
|
29,505
|
|
|
18,723
|
|
||
Income taxes payable
|
—
|
|
|
70
|
|
||
Other
|
21,127
|
|
|
16,387
|
|
||
Total other liabilities
|
$
|
79,576
|
|
|
$
|
72,232
|
|
Level 1
|
Inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity.
|
Level 2
|
Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities.
|
Level 3
|
Unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation.
|
|
Recurring Fair Value Measurements
|
||||||||||||||
|
At December 31, 2016
|
||||||||||||||
(in thousands)
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Available-for-sale securities
|
$
|
—
|
|
|
$
|
13,128,857
|
|
|
$
|
—
|
|
|
$
|
13,128,857
|
|
Residential mortgage loans held-for-sale
|
—
|
|
|
925
|
|
|
39,221
|
|
|
40,146
|
|
||||
Residential mortgage loans held-for-investment in securitization trusts
|
—
|
|
|
3,271,317
|
|
|
—
|
|
|
3,271,317
|
|
||||
Mortgage servicing rights
|
—
|
|
|
—
|
|
|
693,815
|
|
|
693,815
|
|
||||
Derivative assets
|
4,294
|
|
|
319,888
|
|
|
—
|
|
|
324,182
|
|
||||
Total assets
|
$
|
4,294
|
|
|
$
|
16,720,987
|
|
|
$
|
733,036
|
|
|
$
|
17,458,317
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
Collateralized borrowings in securitization trusts
|
$
|
—
|
|
|
$
|
3,037,196
|
|
|
$
|
—
|
|
|
$
|
3,037,196
|
|
Derivative liabilities
|
10,344
|
|
|
2,157
|
|
|
—
|
|
|
12,501
|
|
||||
Total liabilities
|
$
|
10,344
|
|
|
$
|
3,039,353
|
|
|
$
|
—
|
|
|
$
|
3,049,697
|
|
|
Recurring Fair Value Measurements
|
||||||||||||||
|
At December 31, 2015
|
||||||||||||||
(in thousands)
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Available-for-sale securities
|
$
|
—
|
|
|
$
|
7,825,320
|
|
|
$
|
—
|
|
|
$
|
7,825,320
|
|
Residential mortgage loans held-for-sale
|
—
|
|
|
764,319
|
|
|
47,112
|
|
|
811,431
|
|
||||
Residential mortgage loans held-for-investment in securitization trusts
|
—
|
|
|
3,173,727
|
|
|
—
|
|
|
3,173,727
|
|
||||
Mortgage servicing rights
|
—
|
|
|
—
|
|
|
493,688
|
|
|
493,688
|
|
||||
Derivative assets
|
1,074
|
|
|
270,435
|
|
|
—
|
|
|
271,509
|
|
||||
Total assets
|
$
|
1,074
|
|
|
$
|
12,033,801
|
|
|
$
|
540,800
|
|
|
$
|
12,575,675
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
Collateralized borrowings in securitization trusts
|
$
|
—
|
|
|
$
|
2,000,110
|
|
|
$
|
—
|
|
|
$
|
2,000,110
|
|
Derivative liabilities
|
1,324
|
|
|
5,961
|
|
|
—
|
|
|
7,285
|
|
||||
Total liabilities
|
$
|
1,324
|
|
|
$
|
2,006,071
|
|
|
$
|
—
|
|
|
$
|
2,007,395
|
|
|
Level 3 Recurring Fair Value Measurements
|
|
||||||||||||||
|
Year Ended
|
|
||||||||||||||
|
December 31,
|
|
||||||||||||||
|
2016
|
|
2015
|
|
||||||||||||
(in thousands)
|
Residential Mortgage Loans Held-For-Sale
|
|
Mortgage Servicing Rights
|
|
Residential Mortgage Loans Held-For-Sale
|
|
Mortgage Servicing Rights
|
|
||||||||
Beginning of period level 3 fair value
|
$
|
47,112
|
|
|
$
|
493,688
|
|
|
$
|
35,553
|
|
|
$
|
452,006
|
|
|
Gains (losses) included in net income:
|
|
|
|
|
|
|
|
|
||||||||
Realized gains (losses)
|
4,451
|
|
|
(100,103
|
)
|
|
25,330
|
|
|
(47,950
|
)
|
|
||||
Unrealized (losses) gains
|
(135
|
)
|
(1)
|
16,572
|
|
(3)
|
445
|
|
(1)
|
(51,634
|
)
|
(3)
|
||||
Total gains (losses) included in net income
|
4,316
|
|
|
(83,531
|
)
|
|
25,775
|
|
|
(99,584
|
)
|
|
||||
Purchases
|
183,074
|
|
|
313,504
|
|
|
231,782
|
|
|
126,105
|
|
|
||||
Sales
|
(98,338
|
)
|
|
(40,137
|
)
|
|
(163,449
|
)
|
|
—
|
|
|
||||
Settlements
|
(96,943
|
)
|
|
10,291
|
|
|
(82,549
|
)
|
|
15,161
|
|
|
||||
Gross transfers into level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||
Gross transfers out of level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||
End of period level 3 fair value
|
$
|
39,221
|
|
|
$
|
693,815
|
|
|
$
|
47,112
|
|
|
$
|
493,688
|
|
|
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
|
$
|
168
|
|
(2)
|
$
|
13,906
|
|
(4)
|
$
|
566
|
|
(2)
|
$
|
(51,634
|
)
|
(4)
|
(1)
|
The change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in
gain on residential mortgage loans held-for-sale
on the
consolidated statements of comprehensive income (loss)
.
|
(2)
|
The change in unrealized gains or losses on residential mortgage loans held-for-sale that were held at the end of the reporting period was recorded in
gain on residential mortgage loans held-for-sale
on the
consolidated statements of comprehensive income (loss)
.
|
(3)
|
The change in unrealized gains or losses on MSR was recorded in
loss on servicing asset
on the
consolidated statements of comprehensive income (loss)
.
|
(4)
|
The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in
loss on servicing asset
on the
consolidated statements of comprehensive income (loss)
.
|
As of December 31, 2016
|
|||||||||
Valuation Technique
|
|
Unobservable Input
(1)
|
|
Range
|
|
Weighted Average
|
|||
Discounted cash flow
|
|
Constant prepayment speed
|
|
8.0
|
-
|
10.3
|
%
|
|
9.2%
|
|
|
Delinquency
|
|
1.8
|
-
|
2.1
|
%
|
|
1.9%
|
|
|
Discount rate
|
|
8.4
|
-
|
10.2
|
%
|
|
9.4%
|
As of December 31, 2015
|
|||||||||
Valuation Technique
|
|
Unobservable Input
(1)
|
|
Range
|
|
Weighted Average
|
|||
Discounted cash flow
|
|
Constant prepayment speed
|
|
9.6
|
-
|
13.5
|
%
|
|
11.8%
|
|
|
Delinquency
|
|
3.7
|
-
|
4.2
|
%
|
|
4.0%
|
|
|
Discount rate
|
|
8.7
|
-
|
11.2
|
%
|
|
10.1%
|
(1)
|
Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates.
|
|
Year Ended December 31, 2016
|
||||||||||||||||||||||||
(in thousands)
|
Interest income (expense)
|
|
(Loss) gain on investment securities
|
|
Gain on residential mortgage loans held-for-sale
|
|
Other (loss) income
|
|
Total included in net income
|
|
Change in fair value due to credit risk
|
||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Available-for-sale securities
|
$
|
(281
|
)
|
|
|
$
|
1,905
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,624
|
|
|
N/A
|
|
|
|
Residential mortgage loans held-for-sale
|
23,037
|
|
(1)
|
|
—
|
|
|
15,735
|
|
|
—
|
|
|
38,772
|
|
|
$
|
228
|
|
(2)
|
|||||
Residential mortgage loans held-for-investment in securitization trusts
|
133,993
|
|
(1)
|
|
—
|
|
|
—
|
|
|
(19,741
|
)
|
|
114,252
|
|
|
—
|
|
(3)
|
||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Collateralized borrowings in securitization trusts
|
(97,729
|
)
|
|
|
—
|
|
|
—
|
|
|
7,907
|
|
|
(89,822
|
)
|
|
—
|
|
(3)
|
||||||
Total
|
$
|
59,020
|
|
|
|
$
|
1,905
|
|
|
$
|
15,735
|
|
|
$
|
(11,834
|
)
|
|
$
|
64,826
|
|
|
$
|
228
|
|
|
|
Year Ended December 31, 2015
|
||||||||||||||||||||||||
(in thousands)
|
Interest income (expense)
|
|
(Loss) gain on investment securities
|
|
Gain on residential mortgage loans held-for-sale
|
|
Other (loss) income
|
|
Total included in net income
|
|
Change in fair value due to credit risk
|
||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Available-for-sale securities
|
$
|
124
|
|
|
|
$
|
(68
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
56
|
|
|
N/A
|
|
|
|
Residential mortgage loans held-for-sale
|
28,966
|
|
(1)
|
|
—
|
|
|
15,932
|
|
|
—
|
|
|
44,898
|
|
|
$
|
(6,365
|
)
|
(2)
|
|||||
Residential mortgage loans held-for-investment in securitization trusts
|
95,740
|
|
(1)
|
|
—
|
|
|
—
|
|
|
(52,440
|
)
|
|
43,300
|
|
|
—
|
|
(3)
|
||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Collateralized borrowings in securitization trusts
|
(57,216
|
)
|
|
|
—
|
|
|
—
|
|
|
25,914
|
|
|
(31,302
|
)
|
|
—
|
|
(3)
|
||||||
Total
|
$
|
67,614
|
|
|
|
$
|
(68
|
)
|
|
$
|
15,932
|
|
|
$
|
(26,526
|
)
|
|
$
|
56,952
|
|
|
$
|
(6,365
|
)
|
|
|
Year Ended December 31, 2014
|
||||||||||||||||||||||||
(in thousands)
|
Interest income (expense)
|
|
(Loss) gain on investment securities
|
|
Gain on residential mortgage loans held-for-sale
|
|
Other (loss) income
|
|
Total included in net income
|
|
Change in fair value due to credit risk
|
||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Residential mortgage loans held-for-sale
|
$
|
16,089
|
|
(1)
|
|
$
|
—
|
|
|
$
|
12,568
|
|
|
$
|
—
|
|
|
$
|
28,657
|
|
|
$
|
1,295
|
|
(2)
|
Residential mortgage loans held-for-investment in securitization trusts
|
41,220
|
|
(1)
|
|
—
|
|
|
—
|
|
|
41,125
|
|
|
82,345
|
|
|
—
|
|
(3)
|
||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Collateralized borrowings in securitization trusts
|
(26,760
|
)
|
|
|
—
|
|
|
—
|
|
|
(24,285
|
)
|
|
(51,045
|
)
|
|
—
|
|
(3)
|
||||||
Total
|
$
|
30,549
|
|
|
|
$
|
—
|
|
|
$
|
12,568
|
|
|
$
|
16,840
|
|
|
$
|
59,957
|
|
|
$
|
1,295
|
|
|
(1)
|
Interest income on residential mortgage loans held-for-sale and residential mortgage loans held-for-investment in securitization trusts is measured by multiplying the unpaid principal balance on the loans by the coupon rate and the number of days of interest due.
|
(2)
|
The change in fair value due to credit risk on residential mortgage loans held-for-sale was quantified by holding yield constant in the cash flow model in order to isolate credit risk component.
|
(3)
|
The change in fair value on residential mortgage loans held-for-investment in securitization trusts and collateralized borrowings in securitization trusts was due entirely to changes in market interest rates.
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||
(in thousands)
|
Unpaid Principal Balance
|
|
Fair
Value
(1)
|
|
Unpaid Principal Balance
|
|
Fair
Value
(1)
|
||||||||
Residential mortgage loans held-for-sale
|
|
|
|
|
|
|
|
||||||||
Total loans
|
$
|
49,986
|
|
|
$
|
40,146
|
|
|
$
|
812,661
|
|
|
$
|
811,431
|
|
Nonaccrual loans
|
$
|
25,445
|
|
|
$
|
21,162
|
|
|
$
|
30,438
|
|
|
$
|
25,771
|
|
Loans 90+ days past due
|
$
|
21,759
|
|
|
$
|
18,203
|
|
|
$
|
26,702
|
|
|
$
|
22,470
|
|
Residential mortgage loans held-for-investment in securitization trusts
|
|
|
|
|
|
|
|
||||||||
Total loans
|
$
|
3,234,044
|
|
|
$
|
3,271,317
|
|
|
$
|
3,143,515
|
|
|
$
|
3,173,727
|
|
Nonaccrual loans
|
$
|
2,373
|
|
|
$
|
2,408
|
|
|
$
|
860
|
|
|
$
|
868
|
|
Loans 90+ days past due
|
$
|
1,401
|
|
|
$
|
1,419
|
|
|
$
|
860
|
|
|
$
|
868
|
|
Collateralized borrowings in securitization trusts
|
|
|
|
|
|
|
|
||||||||
Total borrowings
|
$
|
3,015,162
|
|
|
$
|
3,037,196
|
|
|
$
|
1,987,628
|
|
|
$
|
2,000,110
|
|
(1)
|
Excludes accrued interest receivable.
|
•
|
AFS securities, residential mortgage loans held-for-sale, residential mortgage loans held-for-investment in securitization trusts, MSR, derivative assets and liabilities, and collateralized borrowings in securitization trusts are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the
Fair Value Measurements
section of this
Note 14
.
|
•
|
Commercial real estate assets are carried at cost, net of any unamortized acquisition premiums or discounts, loan fees and origination costs as applicable, unless deemed impaired. The Company estimates the fair value of its commercial real estate assets by assessing any changes in market interest rates, shifts in credit profiles and actual operating results for mezzanine commercial real estate loans and commercial real estate first mortgages, taking into consideration such factors as underlying property type, property competitive position within its market, market and submarket fundamentals, tenant mix, nature of business plan, sponsorship, extent of leverage and other loan terms. The Company categorizes the fair value measurement of these assets as Level 3.
|
•
|
Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments. The Company categorizes the fair value measurement of these assets as Level 1.
|
•
|
As a condition to membership in the FHLB, the Company is required to purchase and hold a certain amount of FHLB stock, which is considered a non-marketable, long-term investment, and is carried at cost. Because this stock can only be redeemed or sold at its par value, and only to the FHLB, carrying value, or cost, approximates fair value. The Company categorizes the fair value measurement of these assets as Level 3.
|
•
|
Equity investments include cost method investments for which fair value is not estimated. Carrying value, or cost, approximates fair value. The Company categorizes the fair value measurement of these assets as Level 3.
|
•
|
The carrying value of repurchase agreements, FHLB advances and revolving credit facilities that mature in less than one year generally approximates fair value due to the short maturities. As of
December 31, 2016
, the Company held
$185.6 million
of repurchase agreements and
$3.3 billion
of FHLB advances that are considered long-term. The Company’s long-term repurchase agreements and FHLB advances have floating rates based on an index plus a spread and, for members of the FHLB, the credit spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these borrowings are at market and thus carrying value approximates fair value. The Company categorizes the fair value measurement of these liabilities as Level 2.
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||
(in thousands)
|
Carrying Value
|
|
Fair Value
|
|
Carrying Value
|
|
Fair Value
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Available-for-sale securities
|
$
|
13,128,857
|
|
|
$
|
13,128,857
|
|
|
$
|
7,825,320
|
|
|
$
|
7,825,320
|
|
Residential mortgage loans held-for-sale
|
$
|
40,146
|
|
|
$
|
40,146
|
|
|
$
|
811,431
|
|
|
$
|
811,431
|
|
Residential mortgage loans held-for-investment in securitization trusts
|
$
|
3,271,317
|
|
|
$
|
3,271,317
|
|
|
$
|
3,173,727
|
|
|
$
|
3,173,727
|
|
Commercial real estate assets
|
$
|
1,412,543
|
|
|
$
|
1,411,733
|
|
|
$
|
660,953
|
|
|
$
|
660,953
|
|
Mortgage servicing rights
|
$
|
693,815
|
|
|
$
|
693,815
|
|
|
$
|
493,688
|
|
|
$
|
493,688
|
|
Cash and cash equivalents
|
$
|
406,883
|
|
|
$
|
406,883
|
|
|
$
|
737,831
|
|
|
$
|
737,831
|
|
Restricted cash
|
$
|
408,312
|
|
|
$
|
408,312
|
|
|
$
|
262,562
|
|
|
$
|
262,562
|
|
Derivative assets
|
$
|
324,182
|
|
|
$
|
324,182
|
|
|
$
|
271,509
|
|
|
$
|
271,509
|
|
Federal Home Loan Bank stock
|
$
|
167,856
|
|
|
$
|
167,856
|
|
|
$
|
156,650
|
|
|
$
|
156,650
|
|
Equity investments
|
$
|
3,000
|
|
|
$
|
3,000
|
|
|
$
|
3,000
|
|
|
$
|
3,000
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements
|
$
|
9,316,351
|
|
|
$
|
9,316,351
|
|
|
$
|
5,008,274
|
|
|
$
|
5,008,274
|
|
Collateralized borrowings in securitization trusts
|
$
|
3,037,196
|
|
|
$
|
3,037,196
|
|
|
$
|
2,000,110
|
|
|
$
|
2,000,110
|
|
Federal Home Loan Bank advances
|
$
|
4,000,000
|
|
|
$
|
4,000,000
|
|
|
$
|
3,785,000
|
|
|
$
|
3,785,000
|
|
Revolving credit facilities
|
$
|
70,000
|
|
|
$
|
70,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Derivative liabilities
|
$
|
12,501
|
|
|
$
|
12,501
|
|
|
$
|
7,285
|
|
|
$
|
7,285
|
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Short-term
|
$
|
9,130,717
|
|
|
$
|
5,008,274
|
|
Long-term
|
185,634
|
|
|
—
|
|
||
Total
|
$
|
9,316,351
|
|
|
$
|
5,008,274
|
|
|
December 31, 2016
|
||||||||||||||||||||||
|
Collateral Type
|
|
|
||||||||||||||||||||
(in thousands)
|
Agency RMBS
|
|
Non-Agency RMBS
(1)
|
|
Agency Derivatives
|
|
Residential Mortgage Loans Held-for-Sale
|
|
Commercial Real Estate Assets
|
|
Total Amount Outstanding
|
||||||||||||
Within 30 days
|
$
|
2,511,773
|
|
|
$
|
688,667
|
|
|
$
|
30,672
|
|
|
$
|
—
|
|
|
$
|
21,933
|
|
|
$
|
3,253,045
|
|
30 to 59 days
|
1,786,664
|
|
|
334,590
|
|
|
68,257
|
|
|
—
|
|
|
28,991
|
|
|
2,218,502
|
|
||||||
60 to 89 days
|
1,035,806
|
|
|
89,281
|
|
|
3,307
|
|
|
—
|
|
|
—
|
|
|
1,128,394
|
|
||||||
90 to 119 days
|
1,192,127
|
|
|
251,929
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,444,056
|
|
||||||
120 to 364 days
|
810,552
|
|
|
69,678
|
|
|
—
|
|
|
—
|
|
|
206,490
|
|
|
1,086,720
|
|
||||||
One year and over
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
185,634
|
|
|
185,634
|
|
||||||
Total
|
$
|
7,336,922
|
|
|
$
|
1,434,145
|
|
|
$
|
102,236
|
|
|
$
|
—
|
|
|
$
|
443,048
|
|
|
$
|
9,316,351
|
|
Weighted average borrowing rate
|
0.94
|
%
|
|
2.60
|
%
|
|
1.69
|
%
|
|
—
|
%
|
|
3.16
|
%
|
|
1.31
|
%
|
|
December 31, 2015
|
||||||||||||||||||||||
|
Collateral Type
|
|
|
||||||||||||||||||||
(in thousands)
|
Agency RMBS
|
|
Non-Agency RMBS
(1)
|
|
Agency Derivatives
|
|
Residential Mortgage Loans Held-for-Sale
|
|
Commercial Real Estate Assets
|
|
Total Amount Outstanding
|
||||||||||||
Within 30 days
|
$
|
1,719,292
|
|
|
$
|
852,436
|
|
|
$
|
58,286
|
|
|
$
|
—
|
|
|
$
|
59,349
|
|
|
$
|
2,689,363
|
|
30 to 59 days
|
1,407,353
|
|
|
271,819
|
|
|
60,065
|
|
|
—
|
|
|
—
|
|
|
1,739,237
|
|
||||||
60 to 89 days
|
143,051
|
|
|
15,691
|
|
|
2,707
|
|
|
—
|
|
|
—
|
|
|
161,449
|
|
||||||
90 to 119 days
|
68,014
|
|
|
106,007
|
|
|
1,465
|
|
|
—
|
|
|
—
|
|
|
175,486
|
|
||||||
120 to 364 days
|
—
|
|
|
234,229
|
|
|
—
|
|
|
8,510
|
|
|
—
|
|
|
242,739
|
|
||||||
Total
|
$
|
3,337,710
|
|
|
$
|
1,480,182
|
|
|
$
|
122,523
|
|
|
$
|
8,510
|
|
|
$
|
59,349
|
|
|
$
|
5,008,274
|
|
Weighted average borrowing rate
|
0.65
|
%
|
|
2.03
|
%
|
|
1.18
|
%
|
|
2.87
|
%
|
|
2.62
|
%
|
|
1.10
|
%
|
(1)
|
Includes repurchase agreements collateralized by retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Available-for-sale securities, at fair value
|
$
|
9,540,849
|
|
|
$
|
5,354,104
|
|
Residential mortgage loans held-for-sale, at fair value
|
—
|
|
|
9,543
|
|
||
Commercial real estate assets
|
648,885
|
|
|
108,958
|
|
||
Net economic interests in consolidated securitization trusts
(1)
|
211,095
|
|
|
274,949
|
|
||
Cash and cash equivalents
|
15,000
|
|
|
15,000
|
|
||
Restricted cash
|
162,759
|
|
|
119,310
|
|
||
Due from counterparties
|
48,939
|
|
|
10,211
|
|
||
Derivative assets, at fair value
|
126,341
|
|
|
157,879
|
|
||
Total
|
$
|
10,753,868
|
|
|
$
|
6,049,954
|
|
(1)
|
Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||
(dollars in thousands)
|
Amount Outstanding
|
|
Net Counterparty Exposure
(1)
|
|
Percent of Equity
|
|
Weighted Average Days to Maturity
|
|
Amount Outstanding
|
|
Net Counterparty Exposure
(1)
|
|
Percent of Equity
|
|
Weighted Average Days to Maturity
|
||||||||||||
Royal Bank of Canada
|
$
|
980,738
|
|
|
$
|
247,486
|
|
|
7
|
%
|
|
76.1
|
|
|
$
|
799,527
|
|
|
$
|
217,677
|
|
|
6
|
%
|
|
31.5
|
|
All other counterparties
(2)
|
8,335,613
|
|
|
1,187,915
|
|
|
35
|
%
|
|
77.6
|
|
|
4,208,747
|
|
|
818,108
|
|
|
23
|
%
|
|
36.2
|
|
||||
Total
|
$
|
9,316,351
|
|
|
$
|
1,435,401
|
|
|
|
|
|
|
$
|
5,008,274
|
|
|
$
|
1,035,785
|
|
|
|
|
|
(1)
|
Represents the net carrying value of the securities, residential mortgage loans held-for-sale and commercial real estate assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. Payables due to broker counterparties for unsettled securities purchases are not included in the amounts presented above. However, at both
December 31, 2016
and
December 31, 2015
, the Company did not have any such payables.
|
(2)
|
Represents amounts outstanding with
22
and
20
counterparties at
December 31, 2016
and
December 31, 2015
, respectively.
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
≤ 1 year
|
$
|
651,238
|
|
|
$
|
—
|
|
> 1 and ≤ 3 years
|
815,024
|
|
|
651,238
|
|
||
> 3 and ≤ 5 years
|
—
|
|
|
815,024
|
|
||
> 5 and ≤ 10 years
|
—
|
|
|
—
|
|
||
> 10 years
|
2,533,738
|
|
|
2,318,738
|
|
||
Total
|
$
|
4,000,000
|
|
|
$
|
3,785,000
|
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Available-for-sale securities, at fair value
|
$
|
3,576,481
|
|
|
$
|
2,412,970
|
|
Residential mortgage loans held-for-sale, at fair value
|
—
|
|
|
735,911
|
|
||
Commercial real estate assets
|
708,989
|
|
|
252,172
|
|
||
Net economic interests in consolidated securitization trusts
(1)
|
2,015
|
|
|
863,363
|
|
||
Total
|
$
|
4,287,485
|
|
|
$
|
4,264,416
|
|
(1)
|
Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
(in thousands)
|
||||
Year
|
|
Minimum Payment
|
||
2017
|
|
$
|
2,808
|
|
2018
|
|
2,412
|
|
|
2019
|
|
2,483
|
|
|
2020
|
|
2,424
|
|
|
2021
|
|
2,438
|
|
|
Thereafter
|
|
828
|
|
|
Total
|
|
$
|
13,393
|
|
|
Number of common shares
|
|
Common shares outstanding, December 31, 2013
|
364,935,168
|
|
Issuance of common stock
|
57,218
|
|
Issuance of restricted stock
(1)
|
1,403,534
|
|
Common shares outstanding, December 31, 2014
|
366,395,920
|
|
Issuance of common stock
|
69,826
|
|
Issuance of restricted stock
(1)
|
1,105,361
|
|
Repurchase of common stock
|
(13,664,300
|
)
|
Common shares outstanding, December 31, 2015
|
353,906,807
|
|
Issuance of common stock
|
60,602
|
|
Issuance of restricted stock
(1)
|
1,704,917
|
|
Repurchase of common stock
|
(8,020,000
|
)
|
Common shares outstanding, December 31, 2016
|
347,652,326
|
|
(1)
|
Represents shares of
restricted stock granted under the Second Restated 2009 Equity Incentive Plan, of which
2,639,424
restricted shares remained subject to vesting requirements at
December 31, 2016
.
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Cash Dividend Per Share
|
||
December 15, 2016
|
|
December 30, 2016
|
|
January 27, 2017
|
|
$
|
0.24
|
|
September 15, 2016
|
|
September 30, 2016
|
|
October 20, 2016
|
|
$
|
0.23
|
|
June 16, 2016
|
|
June 30, 2016
|
|
July 20, 2016
|
|
$
|
0.23
|
|
March 15, 2016
|
|
March 31, 2016
|
|
April 21, 2016
|
|
$
|
0.23
|
|
December 16, 2015
|
|
December 30, 2015
|
|
January 20, 2016
|
|
$
|
0.26
|
|
September 16, 2015
|
|
September 30, 2015
|
|
October 22, 2015
|
|
$
|
0.26
|
|
June 17, 2015
|
|
June 30, 2015
|
|
July 21, 2015
|
|
$
|
0.26
|
|
March 18, 2015
|
|
March 31, 2015
|
|
April 21, 2015
|
|
$
|
0.26
|
|
December 16, 2014
|
|
December 30, 2014
|
|
January 20, 2015
|
|
$
|
0.26
|
|
September 16, 2014
|
|
September 30, 2014
|
|
October 21, 2014
|
|
$
|
0.26
|
|
June 17, 2014
|
|
July 2, 2014
|
|
July 22, 2014
|
|
$
|
0.26
|
|
March 17, 2014
|
|
March 31, 2014
|
|
April 21, 2014
|
|
$
|
0.26
|
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Available-for-sale securities
|
|
|
|
||||
Unrealized gains
|
$
|
393,555
|
|
|
$
|
405,177
|
|
Unrealized losses
|
(194,328
|
)
|
|
(46,116
|
)
|
||
Accumulated other comprehensive income
|
$
|
199,227
|
|
|
$
|
359,061
|
|
|
|
Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income (Loss)
|
|
Amount Reclassified out of Accumulated Other Comprehensive Income
|
||||||||||
(in thousands)
|
|
|
|
Year Ended
December 31, |
||||||||||
|
|
|
|
2016
|
|
2015
|
|
2014
|
||||||
Other-than-temporary impairments on AFS securities
|
|
Total other-than-temporary impairment losses
|
|
$
|
1,822
|
|
|
$
|
535
|
|
|
$
|
392
|
|
Realized gains on sales of certain AFS securities, net of tax
|
|
(Loss) gain on investment securities
|
|
(102,852
|
)
|
|
(336,230
|
)
|
|
(52,931
|
)
|
|||
Total
|
|
|
|
$
|
(101,030
|
)
|
|
$
|
(335,695
|
)
|
|
$
|
(52,539
|
)
|
|
Year Ended December 31,
|
||||||||||||
|
2016
|
|
2015
|
||||||||||
|
Shares
|
|
Weighted Average Grant Date Fair Market Value
|
|
Shares
|
|
Weighted Average Grant Date Fair Market Value
|
||||||
Outstanding at Beginning of Period
|
2,290,609
|
|
|
$
|
10.36
|
|
|
2,002,406
|
|
|
$
|
10.32
|
|
Granted
|
2,019,261
|
|
|
7.56
|
|
|
1,177,526
|
|
|
10.47
|
|
||
Vested
|
(1,369,229
|
)
|
|
(10.05
|
)
|
|
(828,164
|
)
|
|
(10.42
|
)
|
||
Forfeited
|
(301,217
|
)
|
|
(8.50
|
)
|
|
(61,159
|
)
|
|
(10.17
|
)
|
||
Outstanding at End of Period
|
2,639,424
|
|
|
$
|
8.59
|
|
|
2,290,609
|
|
|
$
|
10.36
|
|
|
Year Ended
|
||
(in thousands)
|
December 31, 2016
|
||
Termination benefits
|
$
|
2,398
|
|
Contract terminations
|
217
|
|
|
Other associated costs
|
375
|
|
|
Total
|
$
|
2,990
|
|
|
Year Ended
|
||||||||||
|
December 31,
|
||||||||||
(in thousands)
|
2016
|
|
2015
|
|
2014
|
||||||
Current tax (benefit) provision:
|
|
|
|
|
|
||||||
Federal
|
$
|
(1,630
|
)
|
|
$
|
(4,027
|
)
|
|
$
|
6,507
|
|
State
|
167
|
|
|
175
|
|
|
16
|
|
|||
Total current tax (benefit) provision
|
(1,463
|
)
|
|
(3,852
|
)
|
|
6,523
|
|
|||
Deferred tax provision (benefit)
|
13,766
|
|
|
(12,638
|
)
|
|
(80,261
|
)
|
|||
Total provision for (benefit from) income taxes
|
$
|
12,303
|
|
|
$
|
(16,490
|
)
|
|
$
|
(73,738
|
)
|
|
Year Ended
|
|||||||||||||||||||
|
December 31,
|
|||||||||||||||||||
|
2016
|
|
2015
|
|
2014
|
|||||||||||||||
(dollars in thousands)
|
Amount
|
|
Percent
|
|
Amount
|
|
Percent
|
|
Amount
|
|
Percent
|
|||||||||
Computed income tax expense at federal rate
|
$
|
127,953
|
|
|
35
|
%
|
|
$
|
166,502
|
|
|
35
|
%
|
|
$
|
32,691
|
|
|
35
|
%
|
State taxes, net of federal benefit, if applicable
|
108
|
|
|
—
|
%
|
|
114
|
|
|
—
|
%
|
|
10
|
|
|
—
|
%
|
|||
Permanent differences in taxable income from GAAP net income
|
392
|
|
|
—
|
%
|
|
4,203
|
|
|
1
|
%
|
|
1,636
|
|
|
2
|
%
|
|||
Dividends paid deduction
|
(116,150
|
)
|
|
(32
|
)%
|
|
(187,309
|
)
|
|
(39
|
)%
|
|
(108,075
|
)
|
|
(116
|
)%
|
|||
Provision for (benefit from) income taxes/ Effective Tax Rate
(1)
|
$
|
12,303
|
|
|
3
|
%
|
|
$
|
(16,490
|
)
|
|
(3
|
)%
|
|
$
|
(73,738
|
)
|
|
(79
|
)%
|
(1)
|
The provision for (benefit from) income taxes is recorded at the taxable subsidiary level.
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Income taxes receivable
|
|
|
|
||||
Federal income taxes receivable
|
$
|
1,532
|
|
|
$
|
5,216
|
|
State and local income taxes receivable
|
—
|
|
|
—
|
|
||
Income taxes receivable, net
|
1,532
|
|
|
5,216
|
|
||
Deferred tax assets (liabilities)
|
|
|
|
||||
Deferred tax asset
|
111,636
|
|
|
69,441
|
|
||
Deferred tax liability
|
(54,275
|
)
|
|
(25,123
|
)
|
||
Total net deferred tax assets
|
57,361
|
|
|
44,318
|
|
||
Total tax assets, net
|
$
|
58,893
|
|
|
$
|
49,534
|
|
(in thousands)
|
December 31,
2016 |
|
December 31,
2015 |
||||
Available-for-sale securities
|
$
|
17,942
|
|
|
$
|
(8,673
|
)
|
Mortgage servicing rights
|
(9,492
|
)
|
|
6,363
|
|
||
Derivative assets and liabilities
|
(42,666
|
)
|
|
(4,492
|
)
|
||
Other assets
|
24
|
|
|
3
|
|
||
Other liabilities
|
2,713
|
|
|
978
|
|
||
Intangibles
|
235
|
|
|
256
|
|
||
Alternative minimum tax credit
|
1,904
|
|
|
420
|
|
||
Net operating loss carryforward
|
42,039
|
|
|
8,177
|
|
||
Capital loss carryforward
|
44,662
|
|
|
41,286
|
|
||
Total net deferred tax assets
|
$
|
57,361
|
|
|
$
|
44,318
|
|
|
Year Ended
|
||||||||||
|
December 31,
|
||||||||||
(in thousands, except share data)
|
2016
|
|
2015
|
|
2014
|
||||||
Numerator:
|
|
|
|
|
|
||||||
Net income
|
$
|
353,278
|
|
|
$
|
492,210
|
|
|
$
|
167,139
|
|
Denominator:
|
|
|
|
|
|
||||||
Weighted average common shares outstanding
|
345,046,993
|
|
|
363,055,228
|
|
|
364,181,059
|
|
|||
Weighted average restricted stock shares
|
3,026,711
|
|
|
2,192,510
|
|
|
1,830,796
|
|
|||
Basic and diluted weighted average shares outstanding
|
348,073,704
|
|
|
365,247,738
|
|
|
366,011,855
|
|
|||
Basic and Diluted Earnings Per Share
|
$
|
1.01
|
|
|
$
|
1.35
|
|
|
$
|
0.46
|
|
|
2016 Quarter Ended
|
||||||||||||||
(in thousands, except share data)
|
March 31
|
|
June 30
|
|
September 30
|
|
December 31
|
||||||||
|
|
|
|
|
|
|
|
||||||||
Total interest income
|
$
|
130,763
|
|
|
$
|
154,776
|
|
|
$
|
168,862
|
|
|
$
|
179,089
|
|
Total interest expense
|
41,360
|
|
|
53,969
|
|
|
60,350
|
|
|
66,216
|
|
||||
Net interest income
|
89,403
|
|
|
100,807
|
|
|
108,512
|
|
|
112,873
|
|
||||
Other-than-temporary impairment losses
|
(717
|
)
|
|
(90
|
)
|
|
(1,015
|
)
|
|
—
|
|
||||
Total other (loss) income
|
(133,672
|
)
|
|
(94,974
|
)
|
|
31,971
|
|
|
304,266
|
|
||||
Total expenses
|
38,493
|
|
|
37,486
|
|
|
38,509
|
|
|
37,295
|
|
||||
Provision for (benefit from) income taxes
|
5,451
|
|
|
(14,762
|
)
|
|
(16,827
|
)
|
|
38,441
|
|
||||
Net (loss) income
|
$
|
(88,930
|
)
|
|
$
|
(16,981
|
)
|
|
$
|
117,786
|
|
|
$
|
341,403
|
|
Basic and diluted (loss) earnings per weighted average common share
|
$
|
(0.25
|
)
|
|
$
|
(0.05
|
)
|
|
$
|
0.34
|
|
|
$
|
0.98
|
|
Basic and diluted weighted average number of shares of common stock
|
349,436,015
|
|
|
347,597,955
|
|
|
347,627,226
|
|
|
347,643,257
|
|
|
2015 Quarter Ended
|
||||||||||||||
(in thousands, except share data)
|
March 31
|
|
June 30
|
|
September 30
|
|
December 31
|
||||||||
|
|
|
|
|
|
|
|
||||||||
Total interest income
|
$
|
162,969
|
|
|
$
|
152,529
|
|
|
$
|
152,834
|
|
|
$
|
133,605
|
|
Total interest expense
|
33,503
|
|
|
35,029
|
|
|
37,079
|
|
|
36,574
|
|
||||
Net interest income
|
129,466
|
|
|
117,500
|
|
|
115,755
|
|
|
97,031
|
|
||||
Other-than-temporary impairment losses
|
(127
|
)
|
|
(170
|
)
|
|
(238
|
)
|
|
—
|
|
||||
Total other (loss) income
|
(7,100
|
)
|
|
134,110
|
|
|
(119,286
|
)
|
|
160,308
|
|
||||
Total expenses
|
38,103
|
|
|
36,896
|
|
|
38,677
|
|
|
37,852
|
|
||||
(Benefit from) provision for income taxes
|
(10,657
|
)
|
|
(6,957
|
)
|
|
(7,656
|
)
|
|
8,780
|
|
||||
Net income (loss)
|
$
|
94,793
|
|
|
$
|
221,501
|
|
|
$
|
(34,790
|
)
|
|
$
|
210,707
|
|
Basic and diluted earnings (loss) per weighted average common share
|
$
|
0.26
|
|
|
$
|
0.60
|
|
|
$
|
(0.09
|
)
|
|
$
|
0.59
|
|
Basic and diluted weighted average number of shares of common stock
|
366,507,657
|
|
|
367,074,131
|
|
|
367,365,973
|
|
|
360,090,432
|
|
Asset Type/ Location
|
|
Interest Rate
|
|
Final Maturity Date
(1)
|
|
Periodic Payment Terms
(2)
|
|
Prior Liens
(3)
|
|
Face Amount
|
|
Carrying Amount
|
|
Principal Amount Subject to Delinquent Principal or Interest
|
||||||||
Commercial real estate loans held-for-investment
|
|
|
|
|
|
|
|
|
||||||||||||||
Retail-Mixed Use/ Southwest
|
|
L+4.20%
|
|
12/2019
|
|
P&I
|
|
$
|
—
|
|
|
$
|
120,000
|
|
|
$
|
119,734
|
|
|
$
|
—
|
|
Retail/ West
|
|
L+3.42%
|
|
10/2018
|
|
IO
|
|
—
|
|
|
105,000
|
|
|
104,967
|
|
|
—
|
|
||||
Office/ Diversified US
|
|
L+4.45%
|
|
8/2020
|
|
P&I
|
|
—
|
|
|
93,138
|
|
|
91,727
|
|
|
—
|
|
||||
Industrial/ Northeast
|
|
L+4.75%
|
|
4/2019
|
|
IO
|
|
—
|
|
|
82,000
|
|
|
81,250
|
|
|
—
|
|
||||
Office-Mixed Use/ Northeast
|
|
L+4.20%
|
|
12/2018
|
|
IO
|
|
—
|
|
|
77,134
|
|
|
76,923
|
|
|
—
|
|
||||
Office/ Northeast
|
|
L+4.37%
|
|
10/2020
|
|
P&I
|
|
—
|
|
|
72,966
|
|
|
72,043
|
|
|
—
|
|
||||
Office/ Southeast
|
|
L+4.11%
|
|
1/2021
|
|
P&I
|
|
—
|
|
|
62,275
|
|
|
60,373
|
|
|
—
|
|
||||
Retail/ West
|
|
L+4.49%
|
|
7/2020
|
|
P&I
|
|
—
|
|
|
50,300
|
|
|
49,837
|
|
|
—
|
|
||||
Office/ Diversified US
|
|
L+7.25%
|
|
9/2018
|
|
P&I
|
|
708,000
|
|
|
48,252
|
|
|
48,252
|
|
|
—
|
|
||||
Hotel/ Diversified US
|
|
L+6.75%
|
|
1/2017
|
|
IO
|
|
285,000
|
|
|
45,900
|
|
|
45,885
|
|
|
—
|
|
Asset Type/ Location
|
|
Interest Rate
|
|
Final Maturity Date
(1)
|
|
Periodic Payment Terms
(2)
|
|
Prior Liens
(3)
|
|
Face Amount
|
|
Carrying Amount
|
|
Principal Amount Subject to Delinquent Principal or Interest
|
|||||||||
Commercial real estate loans held-for-investment, continued
|
|
|
|
|
|
|
|
|
|||||||||||||||
Multifamily/ Southwest
|
|
L+4.05%
|
|
|
1/2019
|
|
P&I
|
|
—
|
|
|
43,500
|
|
|
43,462
|
|
|
—
|
|
||||
Office/ Northeast
|
|
L+4.40%
|
|
|
5/2019
|
|
IO
|
|
—
|
|
|
43,500
|
|
|
42,937
|
|
|
—
|
|
||||
Office/ Northeast
|
|
L+4.65%
|
|
|
1/2020
|
|
IO
|
|
—
|
|
|
43,215
|
|
|
43,181
|
|
|
—
|
|
||||
Office/ Southwest
|
|
L+4.30%
|
|
|
3/2019
|
|
IO
|
|
—
|
|
|
41,821
|
|
|
41,457
|
|
|
—
|
|
||||
Office/ Northeast
|
|
L+4.95%
|
|
|
9/2020
|
|
P&I
|
|
—
|
|
|
39,550
|
|
|
38,885
|
|
|
—
|
|
||||
Office/ Northeast
|
|
L+4.55%
|
|
|
12/2019
|
|
P&I
|
|
—
|
|
|
38,000
|
|
|
37,778
|
|
|
—
|
|
||||
Office/ Northeast
|
|
L+4.60%
|
|
|
11/2018
|
|
IO
|
|
—
|
|
|
37,000
|
|
|
36,539
|
|
|
—
|
|
||||
Office/ West
|
|
L+4.60%
|
|
|
11/2019
|
|
IO
|
|
—
|
|
|
36,010
|
|
|
35,414
|
|
|
—
|
|
||||
Multifamily/ Northeast
|
|
L+4.27%
|
|
|
12/2019
|
|
IO
|
|
—
|
|
|
34,000
|
|
|
33,321
|
|
|
—
|
|
||||
Office/ Northeast
|
|
5.11
|
%
|
|
3/2026
|
|
P&I
|
|
—
|
|
|
33,800
|
|
|
33,615
|
|
|
—
|
|
||||
Multifamily/ Midwest
|
|
L+4.80%
|
|
|
2/2019
|
|
P&I
|
|
—
|
|
|
30,941
|
|
|
30,651
|
|
|
—
|
|
||||
Industrial/ Northeast
|
|
L+4.70%
|
|
|
9/2020
|
|
P&I
|
|
—
|
|
|
24,000
|
|
|
23,831
|
|
|
—
|
|
||||
Multifamily/ Northeast
|
|
L+3.60%
|
|
|
11/2019
|
|
P&I
|
|
—
|
|
|
23,500
|
|
|
23,515
|
|
|
—
|
|
||||
Office/ West
|
|
L+4.55%
|
|
|
10/2019
|
|
IO
|
|
—
|
|
|
23,083
|
|
|
22,781
|
|
|
—
|
|
||||
Hotel/ Midwest
|
|
L+4.99%
|
|
|
11/2018
|
|
IO
|
|
—
|
|
|
21,157
|
|
|
21,049
|
|
|
—
|
|
||||
Multifamily/ Southeast
|
|
L+4.57%
|
|
|
8/2019
|
|
P&I
|
|
—
|
|
|
20,488
|
|
|
20,214
|
|
|
—
|
|
||||
Multifamily/ Southeast
|
|
L+5.25%
|
|
|
8/2018
|
|
P&I
|
|
—
|
|
|
19,288
|
|
|
19,287
|
|
|
—
|
|
||||
Multifamily/ Southeast
|
|
L+4.05%
|
|
|
9/2018
|
|
P&I
|
|
—
|
|
|
18,700
|
|
|
18,669
|
|
|
—
|
|
||||
Hotel/ Southeast
|
|
L+8.75%
|
|
|
8/2017
|
|
IO
|
|
98,500
|
|
|
17,000
|
|
|
17,027
|
|
|
—
|
|
||||
Multifamily/ Northeast
|
|
L+4.85%
|
|
|
11/2019
|
|
IO
|
|
—
|
|
|
16,527
|
|
|
16,216
|
|
|
—
|
|
||||
Multifamily/ Northeast
|
|
L+4.62%
|
|
|
6/2019
|
|
IO
|
|
—
|
|
|
13,400
|
|
|
13,216
|
|
|
—
|
|
||||
Multifamily/ Southeast
|
|
L+4.03%
|
|
|
10/2018
|
|
P&I
|
|
—
|
|
|
11,000
|
|
|
11,001
|
|
|
—
|
|
||||
Office/ West
|
|
L+5.90%
|
|
|
1/2020
|
|
IO
|
|
—
|
|
|
10,907
|
|
|
10,660
|
|
|
—
|
|
||||
Office/ Northeast
|
|
L+12.25%
|
|
|
7/2018
|
|
IO
|
|
45,100
|
|
|
10,257
|
|
|
10,279
|
|
|
—
|
|
||||
Office/ Southeast
|
|
L+9.50%
|
|
|
8/2020
|
|
IO
|
|
45,303
|
|
|
9,900
|
|
|
9,942
|
|
|
—
|
|
||||
Hotel/ Northeast
|
|
13
|
%
|
|
11/2025
|
|
P&I
|
|
59,000
|
|
|
6,936
|
|
|
6,625
|
|
|
—
|
|
||||
Total commercial real estate loans held-for-investment
|
|
$
|
1,240,903
|
|
|
$
|
1,424,445
|
|
|
$
|
1,412,543
|
|
|
$
|
—
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Total mortgage loans on real estate
|
|
$
|
1,240,903
|
|
|
$
|
4,708,475
|
|
|
$
|
4,724,006
|
|
|
$
|
23,160
|
|
(1)
|
Based on contractual maturity date. Certain commercial real estate loans are subject to contractual extension options which may be subject to conditions as stipulated in the loan agreement. Actual maturities may differ from contractual maturities stated herein as certain borrowers may have the right to prepay with or without paying a prepayment penalty. The Company may also extend contractual maturities in connection with loan modifications.
|
(2)
|
Principal and interest (“P&I”); Interest-only (“IO”). Certain commercial real estate loans labeled as P&I are non-amortizing until a specific date when they begin amortizing P&I, as stated in the loan agreements.
|
(3)
|
Represents third-party priority liens. Third party portions of pari-passu participations are not considered prior liens.
|
|
Year Ended
|
||||||||||
|
December 31,
|
||||||||||
(in thousands)
|
2016
|
|
2015
|
|
2014
|
||||||
Balance at beginning of period
|
$
|
4,646,111
|
|
|
$
|
2,280,458
|
|
|
$
|
1,336,971
|
|
Additions during period:
|
|
|
|
|
|
||||||
Originations and purchases
|
1,988,150
|
|
|
3,269,020
|
|
|
1,475,210
|
|
|||
Net discount accretion (premium amortization)
|
263
|
|
|
149
|
|
|
—
|
|
|||
Amortization of net deferred origination fees
|
6,981
|
|
|
319
|
|
|
—
|
|
|||
Deductions during period:
|
|
|
|
|
|
||||||
Collections of principal
|
(1,080,632
|
)
|
|
(661,000
|
)
|
|
(149,674
|
)
|
|||
Cost of mortgages sold
|
(799,563
|
)
|
|
(147,713
|
)
|
|
(425,505
|
)
|
|||
(Increase) decrease in net deferred origination fees
|
(12,554
|
)
|
|
(6,656
|
)
|
|
—
|
|
|||
Cumulative-effect adjustment to equity for adoption of new accounting principle
|
—
|
|
|
(2,991
|
)
|
|
—
|
|
|||
Change in realized and unrealized (losses) gains
|
(2,868
|
)
|
|
(53,689
|
)
|
|
49,719
|
|
|||
Other
(1)
|
(21,882
|
)
|
|
(31,786
|
)
|
|
(6,263
|
)
|
|||
Balance at end of period
|
$
|
4,724,006
|
|
|
$
|
4,646,111
|
|
|
$
|
2,280,458
|
|
(1)
|
Includes transfer of mortgage servicing rights fair value on buyout of Ginnie Mae residential mortgage loans and transfers to other receivables for foreclosed government-guaranteed loans.
|
•
|
pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Company;
|
•
|
provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with U.S. GAAP, and that receipts and expenditures of the Company are being made only in accordance with authorizations of management and directors of the Company; and
|
•
|
provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Company’s assets that could have a material effect on the financial statements.
|
|
Year Ended
|
||||||
|
December 31,
|
||||||
|
2016
|
|
2015
|
||||
Audit fees
(1)
|
$
|
1,269,500
|
|
|
$
|
1,177,210
|
|
Audit-related fees
(2)
|
302,825
|
|
|
518,400
|
|
||
Tax fees
(3)
|
147,828
|
|
|
218,350
|
|
||
Total principal accountant fees
|
$
|
1,720,153
|
|
|
$
|
1,913,960
|
|
(1)
|
Audit fees pertain to
the audit of our annual Consolidated Financial Statements, including review of the interim financial statements contained in our Quarterly Reports on Form 10-Q, comfort letters to underwriters in connection with our registration statements and common stock offerings, attest services, consents to the incorporation of the EY audit report in publicly filed documents and assistance with and review of documents filed with the SEC
.
|
(2)
|
Audit-related fees pertain to assurance and related services that are traditionally performed by the principal accountant, including accounting consultations and audits in connection with proposed or consummated acquisitions, internal control reviews and consultation concerning financial accounting and reporting standard.
|
(3)
|
Tax fees pertain to services performed for tax compliance, including REIT compliance, tax planning and tax advice, including preparation of tax returns and claims for refund and tax-payment planning services. Tax planning and advice also includes assistance with tax audits and appeals, and tax advice related to specific transactions.
|
Exhibit Number
|
|
Exhibit Index
|
1.1
|
|
Equity Distribution Agreement among Two Harbors Investment Corp., JMP Securities LLC and Keefe, Bruyette & Woods, Inc. dated May 25, 2012 (incorporated by reference to Exhibit 1.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on May 25, 2012).
|
1.2
|
|
Amendment No. 1, dated as of May 22, 2015, by and among Two Harbors Investment Corp., JMP Securities LLC and Keefe, Bruyette & Woods, Inc. to the Equity Distribution Agreement dated May 25, 2012 (incorporated by reference to Exhibit 1.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on May 22, 2015).
|
2.1
|
|
Agreement and Plan of Merger, dated as of June 11, 2009, by and among Capitol Acquisition Corp., Two Harbors Investment Corp., Two Harbors Merger Corp. and Pine River Capital Management L.P. (incorporated by reference to Annex A filed with Pre Effective Amendment No. 4 to the Registrant’s Registration Statement on Form S-4 (File No. 333-160199) filed with the Securities and Exchange Commission, or SEC, on October 8, 2009, or Amendment No. 4).
|
2.2
|
|
Amendment No. 1 to Agreement and Plan of Merger, dated as of August 17, 2009, by and among Capitol Acquisition Corp., Two Harbors Investment Corp., Two Harbors Merger Corp. and Pine River Capital Management L.P. (incorporated by reference to Annex A-2 filed with Amendment No. 4).
|
2.3
|
|
Amendment No. 2 to Agreement and Plan of Merger, dated as of September 20, 2009, by and among Capitol Acquisition Corp., Two Harbors Investment Corp., Two Harbors Merger Corp. and Pine River Capital Management L.P. (incorporated by reference to Annex A-3 filed with Amendment No. 4).
|
3.1
|
|
Articles of Amendment and Restatement of Two Harbors Investment Corp. (incorporated by reference to Exhibit 99.1 to Annex B filed with Amendment No. 4).
|
3.2
|
|
Articles of Amendment to the Articles of Amendment and Restatement of Two Harbors Investment Corp. (incorporated by reference to Exhibit 99.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on December 19, 2012).
|
3.3
|
|
Amended and Restated Bylaws of Two Harbors Investment Corp. (incorporated by reference to Exhibit 3.3 to the Registrant’s Current Report on Form 8-K filed with the SEC on November 13, 2015).
|
4.1
|
|
Specimen Common Stock Certificate of Two Harbors Investment Corp. (incorporated by reference to Exhibit 4.2 to Amendment No. 4).
|
4.2
|
|
Indenture, dated as of January 19, 2017, between Two Harbors Investment Corp. and The Bank of New York Mellon Trust Company, N.A. (incorporated by reference to Exhibit 4.1 to the Registrant’s Current Report on Form 8-K file with the SEC on January 19, 2017).
|
4.3
|
|
Supplemental Indenture, dated as of January 19, 2017, between Two Harbors Investment Corp. and The Bank of New York Mellon Trust Company, N.A. (incorporated by reference to Exhibit 4.2 to the Registrant’s Current Report on Form 8-K file with the SEC on January 19, 2017).
|
10.1
|
|
Management Agreement (incorporated by reference to Exhibit 10.1 to the Registrant's Form 10-K for the year ended December 31, 2009, filed with the SEC on March 4, 2010).
|
10.2
|
|
Amendment to Management Agreement (incorporated by reference to Exhibit 10.1 to the Current Report on Form 8-K filed with the SEC on December 19, 2012).
|
10.3
|
|
Second Amendment to Management Agreement (incorporated by reference to Exhibit 10.1 to the Current Report on Form 8-K filed with the SEC on November 7, 2014).
|
10.4
|
|
Shared Facilities and Services Agreement (incorporated by reference to Exhibit 10.4 to the Registrant's Form 10-K for the year ended December 31, 2009, filed with the SEC on March 4, 2010).
|
10.5*
|
|
Second Restated 2009 Equity Incentive Plan (incorporated by reference to Appendix A to the Registrant's Definitive Proxy Statement filed with the SEC on March 26, 2015).
|
10.6*
|
|
Form of Restricted Stock Agreement under the Second Restated 2009 Equity Incentive Plan (incorporated by reference to Exhibit 10.2 to the Registrant's Quarterly Report on Form 10-Q filed with the SEC on August 5, 2015).
|
10.7*
|
|
Form of Phantom Share Award (incorporated by reference to Exhibit 10.10.2 to Amendment No. 4).
|
10.8
|
|
Form of Indemnification Agreement (incorporated by reference to Exhibit 10.1 to the Current Report on Form 8-K filed with the SEC on November 19, 2009).
|
Exhibit Number
|
|
Exhibit Index
|
21.1
|
|
Subsidiaries of registrant. (filed herewith)
|
23.1
|
|
Consent of Independent Registered Public Accounting Firm of Ernst & Young LLP. (filed herewith)
|
24.1
|
|
Powers of Attorney (included on signature page).
|
31.1
|
|
Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (filed herewith)
|
31.2
|
|
Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (filed herewith)
|
32.1
|
|
Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (filed herewith)
|
32.2
|
|
Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (filed herewith)
|
101
|
|
Financial statements from the Annual Report on Form 10-K of Two Harbors Investment Corp. for the year ended December 31, 2016, formatted in XBRL: (i) the Consolidated Balance Sheets, (ii) the Consolidated Statements of Comprehensive Income (Loss), (iii) the Consolidated Statements of Stockholders’ Equity, (iv) the Consolidated Statements of Cash Flows, and (v) the Notes to the Consolidated Financial Statements. (filed herewith)
|
*
|
Management or compensatory agreement
|
|
|
|
TWO HARBORS INVESTMENT CORP.
|
Dated:
|
February 28, 2017
|
By:
|
/s/ Thomas E. Siering
|
|
|
|
Thomas E. Siering
Chief Executive Officer, President and
Director (principal executive officer)
|
Signature
|
|
Title
|
|
Date
|
/s/ Thomas E. Siering
|
|
Chief Executive Officer, President and Director
(principal executive officer)
|
|
February 28, 2017
|
Thomas E. Siering
|
|
|
|
|
|
|
|
|
|
/s/ Brad Farrell
|
|
Chief Financial Officer and Treasurer
(principal financial officer)
|
|
February 28, 2017
|
Brad Farrell
|
|
|
|
|
|
|
|
|
|
/s/ Mary Riskey
|
|
Chief Accounting Officer
(principal accounting officer)
|
|
February 28, 2017
|
Mary Riskey
|
|
|
|
|
|
|
|
|
|
/s/ Brian C. Taylor
|
|
Chairman of the Board of Directors
|
|
February 28, 2017
|
Brian C. Taylor
|
|
|
|
|
|
|
|
|
|
/s/ Stephen G. Kasnet
|
|
Director
|
|
February 28, 2017
|
Stephen G. Kasnet
|
|
|
|
|
|
|
|
|
|
/s/ E. Spencer Abraham
|
|
Director
|
|
February 28, 2017
|
E. Spencer Abraham
|
|
|
|
|
|
|
|
|
|
/s/ James J. Bender
|
|
Director
|
|
February 28, 2017
|
James J. Bender
|
|
|
|
|
|
|
|
|
|
/s/ Lisa A. Pollina
|
|
Director
|
|
February 28, 2017
|
Lisa A. Pollina
|
|
|
|
|
|
|
|
|
|
/s/ William Roth
|
|
Chief Investment Officer and Director
|
|
February 28, 2017
|
William Roth
|
|
|
|
|
|
|
|
|
|
/s/ W. Reid Sanders
|
|
Director
|
|
February 28, 2017
|
W. Reid Sanders
|
|
|
|
|
|
|
|
|
|
/s/ Hope B. Woodhouse
|
|
Director
|
|
February 28, 2017
|
Hope B. Woodhouse
|
|
|
|
Name
|
State of Organization
|
% of Securities Owned
|
Agate Bay Residential Mortgage Securities LLC
|
Delaware
|
100%
|
Capitol Acquisition Corp.
|
Delaware
|
100%
|
Matrix Financial Services Corporation
|
Arizona
|
100%
|
North Shore Assets LLC
|
Delaware
|
100%
|
North Shore Mortgage Opportunity LLC
|
Delaware
|
100%
|
TH Asset Holdings LLC
|
Delaware
|
100%
|
TH Asset Investment Corp.
|
Delaware
|
100%
|
TH Commercial Holdings LLC
|
Delaware
|
100%
|
TH Commercial Investment Corp.
|
Delaware
|
100%
|
TH Commercial JPM LLC
|
Delaware
|
100%
|
TH Commercial Mortgage LLC
|
Delaware
|
100%
|
TH Commercial MS I, LLC
|
Delaware
|
100%
|
TH Commercial MS II, LLC
|
Delaware
|
100%
|
TH Commercial UBS LLC
|
Delaware
|
100%
|
TH Insurance Holdings Company LLC
|
Missouri
|
100%
|
TH TRS Corp.
|
Delaware
|
100%
|
THCM Asset Holdings LLC
|
Delaware
|
100%
|
Two Harbors Asset I, LLC
|
Delaware
|
100%
|
Two Harbors Asset II, LLC
|
Delaware
|
100%
|
Two Harbors Operating Company LLC
|
Delaware
|
100%
|
•
|
Registration Statements (Form S-8 No. 333-204220 and 333-188875) pertaining to Two Harbors Investment Corp.’s Equity Incentive Plan,
|
•
|
Registration Statement (Form S-3 No. 333-215177) pertaining to the Two Harbors Investment Corp. Dividend Reinvestment and Direct Stock Purchase Plan, and
|
•
|
Registration Statement (Form S-3 No. 333-204216) pertaining to Two Harbors Investment Corp.’s registration of common stock, preferred stock, debt securities, and depositary shares,
|
Date:
|
February 28, 2017
|
|
/s/ Thomas E. Siering
|
|
|
|
|
Thomas E. Siering
|
|
|
|
|
Chief Executive Officer and President
|
|
Date:
|
February 28, 2017
|
|
/s/ Brad Farrell
|
|
|
|
|
Brad Farrell
|
|
|
|
|
Chief Financial Officer and Treasurer
|
|
Date:
|
February 28, 2017
|
|
/s/ Thomas E. Siering
|
|
|
|
|
Thomas E. Siering
|
|
|
|
|
Chief Executive Officer and President
|
|
Date:
|
February 28, 2017
|
|
/s/ Brad Farrell
|
|
|
|
|
Brad Farrell
|
|
|
|
|
Chief Financial Officer and Treasurer
|
|