|
|
|
|
|
☒
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
☐
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
Maryland
|
|
27-0312904
|
(State or Other Jurisdiction of
Incorporation or Organization)
|
|
(I.R.S. Employer
Identification No.)
|
Title of Each Class:
|
|
Trading Symbol(s)
|
|
Name of Exchange on Which Registered:
|
Common Stock, par value $0.01 per share
|
|
TWO
|
|
New York Stock Exchange
|
8.125% Series A Cumulative Redeemable Preferred Stock
|
|
TWO PRA
|
|
New York Stock Exchange
|
7.625% Series B Cumulative Redeemable Preferred Stock
|
|
TWO PRB
|
|
New York Stock Exchange
|
7.25% Series C Cumulative Redeemable Preferred Stock
|
|
TWO PRC
|
|
New York Stock Exchange
|
7.75% Series D Cumulative Redeemable Preferred Stock
|
|
TWO PRD
|
|
New York Stock Exchange
|
7.50% Series E Cumulative Redeemable Preferred Stock
|
|
TWO PRE
|
|
New York Stock Exchange
|
Large accelerated filer
|
☒
|
Accelerated filer
|
☐
|
Non-accelerated filer
|
☐
|
Smaller reporting company
|
☐
|
|
|
Emerging growth company
|
☐
|
|
|
|
|
|
|
|
Page
|
|
PART I - FINANCIAL INFORMATION
|
|
|
||
|
||
|
||
|
||
|
||
|
PART II - OTHER INFORMATION
|
|
|
September 30,
2019 |
|
December 31,
2018 |
||||
ASSETS
|
(unaudited)
|
|
|
||||
Available-for-sale securities, at fair value
|
$
|
28,318,558
|
|
|
$
|
25,552,604
|
|
Mortgage servicing rights, at fair value
|
1,651,556
|
|
|
1,993,440
|
|
||
Cash and cash equivalents
|
740,698
|
|
|
409,758
|
|
||
Restricted cash
|
509,689
|
|
|
688,006
|
|
||
Accrued interest receivable
|
87,321
|
|
|
86,589
|
|
||
Due from counterparties
|
314,871
|
|
|
154,626
|
|
||
Derivative assets, at fair value
|
230,620
|
|
|
319,981
|
|
||
Reverse repurchase agreements
|
180,575
|
|
|
761,815
|
|
||
Other assets
|
130,339
|
|
|
165,660
|
|
||
Total Assets (1)
|
$
|
32,164,227
|
|
|
$
|
30,132,479
|
|
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
|
|
|
||||
Liabilities
|
|
|
|
||||
Repurchase agreements
|
$
|
25,567,136
|
|
|
$
|
23,133,476
|
|
Federal Home Loan Bank advances
|
50,000
|
|
|
865,024
|
|
||
Revolving credit facilities
|
300,000
|
|
|
310,000
|
|
||
Term notes payable
|
394,235
|
|
|
—
|
|
||
Convertible senior notes
|
284,635
|
|
|
283,856
|
|
||
Derivative liabilities, at fair value
|
17,201
|
|
|
820,590
|
|
||
Due to counterparties
|
231,021
|
|
|
130,210
|
|
||
Dividends payable
|
128,109
|
|
|
135,551
|
|
||
Accrued interest payable
|
122,793
|
|
|
160,005
|
|
||
Other liabilities
|
49,517
|
|
|
39,278
|
|
||
Total Liabilities (1)
|
27,144,647
|
|
|
25,877,990
|
|
||
Stockholders’ Equity
|
|
|
|
||||
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized and 40,050,000 and 40,050,000 shares issued and outstanding, respectively ($1,001,250 and $1,001,250 liquidation preference, respectively)
|
977,501
|
|
|
977,501
|
|
||
Common stock, par value $0.01 per share; 450,000,000 shares authorized and 272,895,402 and 248,085,721 shares issued and outstanding, respectively
|
2,729
|
|
|
2,481
|
|
||
Additional paid-in capital
|
5,151,554
|
|
|
4,809,616
|
|
||
Accumulated other comprehensive income
|
748,354
|
|
|
110,817
|
|
||
Cumulative earnings
|
2,521,137
|
|
|
2,332,371
|
|
||
Cumulative distributions to stockholders
|
(4,381,695
|
)
|
|
(3,978,297
|
)
|
||
Total Stockholders’ Equity
|
5,019,580
|
|
|
4,254,489
|
|
||
Total Liabilities and Stockholders’ Equity
|
$
|
32,164,227
|
|
|
$
|
30,132,479
|
|
(1)
|
The condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities, or VIEs. At September 30, 2019 and December 31, 2018, assets of the VIEs totaled $394,756 and $0, and liabilities of the VIEs totaled $394,756 and $0, respectively. See Note 3 - Variable Interest Entities for additional information.
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||
|
September 30,
|
|
September 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Interest income:
|
|
|
|
|
|
||||||||||
Available-for-sale securities
|
$
|
242,023
|
|
|
$
|
230,607
|
|
|
$
|
731,716
|
|
|
$
|
604,790
|
|
Other
|
7,717
|
|
|
6,091
|
|
|
24,536
|
|
|
13,287
|
|
||||
Total interest income
|
249,740
|
|
|
236,698
|
|
|
756,252
|
|
|
618,077
|
|
||||
Interest expense:
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements
|
176,450
|
|
|
138,343
|
|
|
501,361
|
|
|
322,735
|
|
||||
Federal Home Loan Bank advances
|
391
|
|
|
5,301
|
|
|
10,406
|
|
|
14,655
|
|
||||
Revolving credit facilities
|
3,964
|
|
|
3,973
|
|
|
15,316
|
|
|
5,776
|
|
||||
Term notes payable
|
5,475
|
|
|
—
|
|
|
5,706
|
|
|
—
|
|
||||
Convertible senior notes
|
4,797
|
|
|
4,779
|
|
|
14,256
|
|
|
14,204
|
|
||||
Total interest expense
|
191,077
|
|
|
152,396
|
|
|
547,045
|
|
|
357,370
|
|
||||
Net interest income
|
58,663
|
|
|
84,302
|
|
|
209,207
|
|
|
260,707
|
|
||||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
||||||||
Total other-than-temporary impairment losses
|
(5,950
|
)
|
|
(95
|
)
|
|
(11,004
|
)
|
|
(363
|
)
|
||||
Other income:
|
|
|
|
|
|
|
|
||||||||
Gain (loss) on investment securities
|
248,828
|
|
|
(42,996
|
)
|
|
251,977
|
|
|
(95,549
|
)
|
||||
Servicing income
|
126,025
|
|
|
89,618
|
|
|
373,922
|
|
|
238,473
|
|
||||
(Loss) gain on servicing asset
|
(234,514
|
)
|
|
20,591
|
|
|
(675,920
|
)
|
|
102,251
|
|
||||
Gain (loss) on interest rate swap, cap and swaption agreements
|
70,620
|
|
|
75,857
|
|
|
(101,414
|
)
|
|
255,535
|
|
||||
Gain (loss) on other derivative instruments
|
85,856
|
|
|
(31,463
|
)
|
|
270,798
|
|
|
(15,735
|
)
|
||||
Other income
|
495
|
|
|
907
|
|
|
277
|
|
|
2,695
|
|
||||
Total other income
|
297,310
|
|
|
112,514
|
|
|
119,640
|
|
|
487,670
|
|
||||
Expenses:
|
|
|
|
|
|
|
|
||||||||
Management fees
|
16,839
|
|
|
(5,041
|
)
|
|
42,556
|
|
|
18,120
|
|
||||
Servicing expenses
|
17,696
|
|
|
16,433
|
|
|
54,354
|
|
|
42,526
|
|
||||
Other operating expenses
|
13,344
|
|
|
17,033
|
|
|
42,913
|
|
|
47,040
|
|
||||
Acquisition transaction costs
|
—
|
|
|
86,703
|
|
|
—
|
|
|
86,703
|
|
||||
Restructuring charges
|
—
|
|
|
8,238
|
|
|
—
|
|
|
8,238
|
|
||||
Total expenses
|
47,879
|
|
|
123,366
|
|
|
139,823
|
|
|
202,627
|
|
||||
Income before income taxes
|
302,144
|
|
|
73,355
|
|
|
178,020
|
|
|
545,387
|
|
||||
(Benefit from) provision for income taxes
|
(3,556
|
)
|
|
37,409
|
|
|
(11,188
|
)
|
|
35,142
|
|
||||
Net income
|
305,700
|
|
|
35,946
|
|
|
189,208
|
|
|
510,245
|
|
||||
Dividends on preferred stock
|
18,951
|
|
|
18,951
|
|
|
56,851
|
|
|
46,445
|
|
||||
Net income attributable to common stockholders
|
$
|
286,749
|
|
|
$
|
16,995
|
|
|
$
|
132,357
|
|
|
$
|
463,800
|
|
Basic earnings per weighted average common share
|
$
|
1.05
|
|
|
$
|
0.08
|
|
|
$
|
0.50
|
|
|
$
|
2.42
|
|
Diluted earnings per weighted average common share
|
$
|
1.00
|
|
|
$
|
0.08
|
|
|
$
|
0.50
|
|
|
$
|
2.28
|
|
Dividends declared per common share
|
$
|
0.40
|
|
|
$
|
0.47
|
|
|
$
|
1.27
|
|
|
$
|
1.41
|
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|
|
||||||||
Basic
|
272,897,575
|
|
|
224,399,436
|
|
|
266,114,772
|
|
|
191,846,212
|
|
||||
Diluted
|
291,053,718
|
|
|
224,399,436
|
|
|
266,114,772
|
|
|
209,607,146
|
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||
|
September 30,
|
|
September 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Comprehensive income (loss):
|
|
|
|
|
|
|
|
||||||||
Net income
|
$
|
305,700
|
|
|
$
|
35,946
|
|
|
$
|
189,208
|
|
|
$
|
510,245
|
|
Other comprehensive (loss) income, net of tax:
|
|
|
|
|
|
|
|
||||||||
Unrealized (loss) gain on available-for-sale securities
|
(29,164
|
)
|
|
(119,796
|
)
|
|
637,537
|
|
|
(499,460
|
)
|
||||
Other comprehensive (loss) income
|
(29,164
|
)
|
|
(119,796
|
)
|
|
637,537
|
|
|
(499,460
|
)
|
||||
Comprehensive income (loss)
|
276,536
|
|
|
(83,850
|
)
|
|
826,745
|
|
|
10,785
|
|
||||
Dividends on preferred stock
|
18,951
|
|
|
18,951
|
|
|
56,851
|
|
|
46,445
|
|
||||
Comprehensive income (loss) attributable to common stockholders
|
$
|
257,585
|
|
|
$
|
(102,801
|
)
|
|
$
|
769,894
|
|
|
$
|
(35,660
|
)
|
|
Preferred Stock
|
|
Common Stock Par Value
|
|
Additional Paid-in Capital
|
|
Accumulated Other Comprehensive Income (Loss)
|
|
Cumulative Earnings
|
|
Cumulative Distributions to Stockholders
|
|
Total Stockholders’ Equity
|
||||||||||||||
Balance, December 31, 2017
|
$
|
702,537
|
|
|
$
|
1,745
|
|
|
$
|
3,672,003
|
|
|
$
|
334,813
|
|
|
$
|
2,386,604
|
|
|
$
|
(3,526,278
|
)
|
|
$
|
3,571,424
|
|
Cumulative effect of adoption of new accounting principle
|
—
|
|
|
—
|
|
|
—
|
|
|
9,918
|
|
|
(9,918
|
)
|
|
—
|
|
|
—
|
|
|||||||
Adjusted balance, January 1, 2018
|
702,537
|
|
|
1,745
|
|
|
3,672,003
|
|
|
344,731
|
|
|
2,376,686
|
|
|
(3,526,278
|
)
|
|
3,571,424
|
|
|||||||
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
334,809
|
|
|
—
|
|
|
334,809
|
|
|||||||
Other comprehensive loss before reclassifications, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(343,542
|
)
|
|
—
|
|
|
—
|
|
|
(343,542
|
)
|
|||||||
Amounts reclassified from accumulated other comprehensive income, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,235
|
)
|
|
—
|
|
|
—
|
|
|
(1,235
|
)
|
|||||||
Other comprehensive loss, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(344,777
|
)
|
|
—
|
|
|
—
|
|
|
(344,777
|
)
|
|||||||
Issuance of preferred stock, net of offering costs
|
13
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
13
|
|
|||||||
Issuance of common stock, net of offering costs
|
—
|
|
|
—
|
|
|
76
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
76
|
|
|||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(13,747
|
)
|
|
(13,747
|
)
|
|||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(82,454
|
)
|
|
(82,454
|
)
|
|||||||
Non-cash equity award compensation
|
—
|
|
|
9
|
|
|
2,332
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,341
|
|
|||||||
Balance, March 31, 2018
|
702,550
|
|
|
1,754
|
|
|
3,674,411
|
|
|
(46
|
)
|
|
2,711,495
|
|
|
(3,622,479
|
)
|
|
3,467,685
|
|
|||||||
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
139,490
|
|
|
—
|
|
|
139,490
|
|
|||||||
Other comprehensive loss before reclassifications, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(58,676
|
)
|
|
—
|
|
|
—
|
|
|
(58,676
|
)
|
|||||||
Amounts reclassified from accumulated other comprehensive income, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
23,789
|
|
|
—
|
|
|
—
|
|
|
23,789
|
|
|||||||
Other comprehensive loss, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(34,887
|
)
|
|
—
|
|
|
—
|
|
|
(34,887
|
)
|
|||||||
Issuance of common stock, net of offering costs
|
—
|
|
|
—
|
|
|
119
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
119
|
|
|||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(13,747
|
)
|
|
(13,747
|
)
|
|||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(82,472
|
)
|
|
(82,472
|
)
|
|||||||
Non-cash equity award compensation
|
—
|
|
|
1
|
|
|
4,056
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,057
|
|
|||||||
Balance, June 30, 2018
|
702,550
|
|
|
1,755
|
|
|
3,678,586
|
|
|
(34,933
|
)
|
|
2,850,985
|
|
|
(3,718,698
|
)
|
|
3,480,245
|
|
|||||||
Cumulative effect of adoption of new accounting principle
|
—
|
|
|
—
|
|
|
25
|
|
|
—
|
|
|
(25
|
)
|
|
—
|
|
|
—
|
|
|||||||
Adjusted balance, July 1, 2018
|
702,550
|
|
|
1,755
|
|
|
3,678,611
|
|
|
(34,933
|
)
|
|
2,850,960
|
|
|
(3,718,698
|
)
|
|
3,480,245
|
|
|||||||
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
35,946
|
|
|
—
|
|
|
35,946
|
|
|||||||
Other comprehensive loss before reclassifications, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(150,259
|
)
|
|
—
|
|
|
—
|
|
|
(150,259
|
)
|
|||||||
Amounts reclassified from accumulated other comprehensive income, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
30,463
|
|
|
—
|
|
|
—
|
|
|
30,463
|
|
|||||||
Other comprehensive loss, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(119,796
|
)
|
|
—
|
|
|
—
|
|
|
(119,796
|
)
|
|||||||
Acquisition of CYS Investments, Inc.
|
275,000
|
|
|
726
|
|
|
1,124,388
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,400,114
|
|
|||||||
Issuance of common stock, net of offering costs
|
—
|
|
|
—
|
|
|
134
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
134
|
|
|||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(18,951
|
)
|
|
(18,951
|
)
|
|||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(105,097
|
)
|
|
(105,097
|
)
|
|||||||
Non-cash equity award compensation
|
—
|
|
|
—
|
|
|
3,387
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,387
|
|
|||||||
Balance, September 30, 2018
|
$
|
977,550
|
|
|
$
|
2,481
|
|
|
$
|
4,806,520
|
|
|
$
|
(154,729
|
)
|
|
$
|
2,886,906
|
|
|
$
|
(3,842,746
|
)
|
|
$
|
4,675,982
|
|
|
Preferred Stock
|
|
Common Stock Par Value
|
|
Additional Paid-in Capital
|
|
Accumulated Other Comprehensive Income (Loss)
|
|
Cumulative Earnings
|
|
Cumulative Distributions to Stockholders
|
|
Total Stockholders’ Equity
|
||||||||||||||
Balance, December 31, 2018
|
$
|
977,501
|
|
|
$
|
2,481
|
|
|
$
|
4,809,616
|
|
|
$
|
110,817
|
|
|
$
|
2,332,371
|
|
|
$
|
(3,978,297
|
)
|
|
$
|
4,254,489
|
|
Cumulative effect of adoption of new accounting principle
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(442
|
)
|
|
—
|
|
|
(442
|
)
|
|||||||
Adjusted balance, January 1, 2019
|
977,501
|
|
|
2,481
|
|
|
4,809,616
|
|
|
110,817
|
|
|
2,331,929
|
|
|
(3,978,297
|
)
|
|
4,254,047
|
|
|||||||
Net loss
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(25,935
|
)
|
|
—
|
|
|
(25,935
|
)
|
|||||||
Other comprehensive income before reclassifications, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
327,840
|
|
|
—
|
|
|
—
|
|
|
327,840
|
|
|||||||
Amounts reclassified from accumulated other comprehensive income, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
28,312
|
|
|
—
|
|
|
—
|
|
|
28,312
|
|
|||||||
Other comprehensive income, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
356,152
|
|
|
—
|
|
|
—
|
|
|
356,152
|
|
|||||||
Issuance of common stock, net of offering costs
|
—
|
|
|
243
|
|
|
335,035
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
335,278
|
|
|||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(18,950
|
)
|
|
(18,950
|
)
|
|||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(128,229
|
)
|
|
(128,229
|
)
|
|||||||
Non-cash equity award compensation
|
—
|
|
|
4
|
|
|
1,857
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,861
|
|
|||||||
Balance, March 31, 2019
|
977,501
|
|
|
2,728
|
|
|
5,146,508
|
|
|
466,969
|
|
|
2,305,994
|
|
|
(4,125,476
|
)
|
|
4,774,224
|
|
|||||||
Net loss
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(90,557
|
)
|
|
—
|
|
|
(90,557
|
)
|
|||||||
Other comprehensive income before reclassifications, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
296,637
|
|
|
—
|
|
|
—
|
|
|
296,637
|
|
|||||||
Amounts reclassified from accumulated other comprehensive income, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
13,912
|
|
|
—
|
|
|
—
|
|
|
13,912
|
|
|||||||
Other comprehensive income, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
310,549
|
|
|
—
|
|
|
—
|
|
|
310,549
|
|
|||||||
Issuance of common stock, net of offering costs
|
—
|
|
|
—
|
|
|
171
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
171
|
|
|||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(18,950
|
)
|
|
(18,950
|
)
|
|||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(109,160
|
)
|
|
(109,160
|
)
|
|||||||
Non-cash equity award compensation
|
—
|
|
|
1
|
|
|
2,496
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,497
|
|
|||||||
Balance, June 30, 2019
|
977,501
|
|
|
2,729
|
|
|
5,149,175
|
|
|
777,518
|
|
|
2,215,437
|
|
|
(4,253,586
|
)
|
|
4,868,774
|
|
|||||||
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
305,700
|
|
|
—
|
|
|
305,700
|
|
|||||||
Other comprehensive income before reclassifications, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
191,676
|
|
|
—
|
|
|
—
|
|
|
191,676
|
|
|||||||
Amounts reclassified from accumulated other comprehensive income, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(220,840
|
)
|
|
—
|
|
|
—
|
|
|
(220,840
|
)
|
|||||||
Other comprehensive loss, net of tax
|
—
|
|
|
—
|
|
|
—
|
|
|
(29,164
|
)
|
|
—
|
|
|
—
|
|
|
(29,164
|
)
|
|||||||
Issuance of common stock, net of offering costs
|
—
|
|
|
—
|
|
|
217
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
217
|
|
|||||||
Repurchase of common stock
|
—
|
|
|
—
|
|
|
(19
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
|||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(18,951
|
)
|
|
(18,951
|
)
|
|||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(109,158
|
)
|
|
(109,158
|
)
|
|||||||
Non-cash equity award compensation
|
—
|
|
|
—
|
|
|
2,181
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,181
|
|
|||||||
Balance, September 30, 2019
|
$
|
977,501
|
|
|
$
|
2,729
|
|
|
$
|
5,151,554
|
|
|
$
|
748,354
|
|
|
$
|
2,521,137
|
|
|
$
|
(4,381,695
|
)
|
|
$
|
5,019,580
|
|
|
Nine Months Ended
|
||||||
|
September 30,
|
||||||
|
2019
|
|
2018
|
||||
Cash Flows From Operating Activities:
|
|
|
|
||||
Net income
|
$
|
189,208
|
|
|
$
|
510,245
|
|
Adjustments to reconcile net income to net cash provided by operating activities:
|
|
|
|
||||
Amortization of premiums and discounts on investment securities, net
|
119,175
|
|
|
73,441
|
|
||
Amortization of deferred debt issuance costs on term notes payable and convertible senior notes
|
1,096
|
|
|
728
|
|
||
Other-than-temporary impairment losses
|
11,004
|
|
|
363
|
|
||
Realized and unrealized (gains) losses on investment securities
|
(251,977
|
)
|
|
96,842
|
|
||
Loss (gain) on servicing asset
|
675,920
|
|
|
(102,251
|
)
|
||
Realized and unrealized loss (gain) on interest rate swaps, caps and swaptions
|
167,160
|
|
|
(221,649
|
)
|
||
Unrealized (gain) loss on other derivative instruments
|
(36,439
|
)
|
|
27,457
|
|
||
Equity based compensation
|
6,539
|
|
|
9,785
|
|
||
Excess consideration in the acquisition of CYS Investments, Inc.
|
—
|
|
|
77,602
|
|
||
Net change in assets and liabilities:
|
|
|
|
|
|||
(Increase) decrease in accrued interest receivable
|
(732
|
)
|
|
13,698
|
|
||
(Increase) decrease in deferred income taxes, net
|
(33,287
|
)
|
|
35,094
|
|
||
(Decrease) increase in accrued interest payable
|
(37,212
|
)
|
|
1,823
|
|
||
Change in other operating assets and liabilities, net
|
40,629
|
|
|
(1,812
|
)
|
||
Net cash provided by operating activities
|
851,084
|
|
|
521,366
|
|
||
Cash Flows From Investing Activities:
|
|
|
|
||||
Purchases of available-for-sale securities
|
(18,406,882
|
)
|
|
(6,319,252
|
)
|
||
Proceeds from sales of available-for-sale securities
|
14,065,573
|
|
|
9,156,686
|
|
||
Principal payments on available-for-sale securities
|
2,334,729
|
|
|
1,792,168
|
|
||
Purchases of mortgage servicing rights, net of purchase price adjustments
|
(333,506
|
)
|
|
(475,451
|
)
|
||
(Payments for) proceeds from sales of mortgage servicing rights
|
(530
|
)
|
|
395
|
|
||
(Purchases) short sales of derivative instruments, net
|
(76,739
|
)
|
|
(82,971
|
)
|
||
(Payments for termination and settlement) proceeds from sales and settlement of derivative instruments, net
|
(768,010
|
)
|
|
498,425
|
|
||
Payments for reverse repurchase agreements
|
(1,480,150
|
)
|
|
(1,440,713
|
)
|
||
Proceeds from reverse repurchase agreements
|
2,061,390
|
|
|
1,442,798
|
|
||
Net cash paid for the acquisition of CYS Investments, Inc.
|
—
|
|
|
(13,552
|
)
|
||
Decrease in due to counterparties, net
|
(59,434
|
)
|
|
(187,146
|
)
|
||
Change in other investing assets and liabilities, net
|
37,737
|
|
|
44,257
|
|
||
Net cash (used in) provided by investing activities
|
$
|
(2,625,822
|
)
|
|
$
|
4,415,644
|
|
|
Nine Months Ended
|
||||||
|
September 30,
|
||||||
|
2019
|
|
2018
|
||||
Cash Flows From Financing Activities:
|
|
|
|
||||
Proceeds from repurchase agreements
|
$
|
202,963,685
|
|
|
$
|
103,348,835
|
|
Principal payments on repurchase agreements
|
(200,530,025
|
)
|
|
(107,736,938
|
)
|
||
Principal payments on Federal Home Loan Bank advances
|
(815,024
|
)
|
|
(350,000
|
)
|
||
Proceeds from revolving credit facilities
|
450,000
|
|
|
377,400
|
|
||
Principal payments on revolving credit facilities
|
(460,000
|
)
|
|
(87,400
|
)
|
||
Proceeds from issuance of term notes payable
|
393,918
|
|
|
—
|
|
||
Proceeds from issuance of preferred stock, net of offering costs
|
—
|
|
|
13
|
|
||
Proceeds from issuance of common stock, net of offering costs
|
335,666
|
|
|
329
|
|
||
Repurchase of common stock
|
(19
|
)
|
|
—
|
|
||
Dividends paid on preferred stock
|
(56,851
|
)
|
|
(39,443
|
)
|
||
Dividends paid on common stock
|
(353,989
|
)
|
|
(193,318
|
)
|
||
Net cash provided by (used in) financing activities
|
1,927,361
|
|
|
(4,680,522
|
)
|
||
Net increase in cash, cash equivalents and restricted cash
|
152,623
|
|
|
256,488
|
|
||
Cash, cash equivalents and restricted cash at beginning of period
|
1,097,764
|
|
|
1,054,995
|
|
||
Cash, cash equivalents and restricted cash at end of period
|
$
|
1,250,387
|
|
|
$
|
1,311,483
|
|
Supplemental Disclosure of Cash Flow Information:
|
|
||||||
Cash paid for interest
|
$
|
581,333
|
|
|
$
|
300,573
|
|
Cash paid for taxes, net
|
$
|
16,946
|
|
|
$
|
502
|
|
Noncash Activities:
|
|
|
|
||||
Acquisition of the assets and liabilities of CYS Investments, Inc.
|
|
|
|
||||
Available-for-sale securities
|
$
|
—
|
|
|
$
|
10,034,557
|
|
Cash and cash equivalents
|
$
|
—
|
|
|
$
|
386
|
|
Restricted cash
|
$
|
—
|
|
|
$
|
1,062
|
|
Accrued interest receivable
|
$
|
—
|
|
|
$
|
30,646
|
|
Reverse repurchase agreements
|
$
|
—
|
|
|
$
|
761,460
|
|
Other assets
|
$
|
—
|
|
|
$
|
11,977
|
|
Repurchase agreements
|
$
|
—
|
|
|
$
|
(8,743,527
|
)
|
Derivative liabilities, net
|
$
|
—
|
|
|
$
|
(451,026
|
)
|
Due to counterparties, net
|
$
|
—
|
|
|
$
|
(279,715
|
)
|
Accrued interest payable
|
$
|
—
|
|
|
$
|
(27,487
|
)
|
Other liabilities
|
$
|
—
|
|
|
$
|
(821
|
)
|
Issuance of preferred stock in connection with the acquisition of CYS Investments, Inc.
|
$
|
—
|
|
|
$
|
275,000
|
|
Issuance of common stock in connection with the acquisition of CYS Investments, Inc.
|
$
|
—
|
|
|
$
|
1,125,114
|
|
Cumulative-effect adjustment to equity for adoption of new accounting principle
|
$
|
442
|
|
|
$
|
9,918
|
|
Dividends declared but not paid at end of period
|
$
|
128,109
|
|
|
$
|
96,259
|
|
(in thousands)
|
September 30,
2019 |
|
December 31,
2018 |
||||
Note receivable (1)
|
$
|
394,235
|
|
|
$
|
—
|
|
Cash and cash equivalents
|
200
|
|
|
—
|
|
||
Accrued interest receivable (1)
|
321
|
|
|
—
|
|
||
Total Assets
|
$
|
394,756
|
|
|
$
|
—
|
|
Term notes payable
|
$
|
394,235
|
|
|
$
|
—
|
|
Accrued interest payable
|
321
|
|
|
—
|
|
||
Other liabilities
|
200
|
|
|
—
|
|
||
Total Liabilities
|
$
|
394,756
|
|
|
$
|
—
|
|
(1)
|
Receivables due from a wholly owned subsidiary of the Company to the Issuer Trust are eliminated in consolidation in accordance with U.S. GAAP.
|
(in thousands)
|
September 30,
2019 |
|
December 31,
2018 |
||||
Agency
|
|
|
|
||||
Federal National Mortgage Association
|
$
|
19,445,245
|
|
|
$
|
15,812,696
|
|
Federal Home Loan Mortgage Corporation
|
4,835,146
|
|
|
4,930,963
|
|
||
Government National Mortgage Association
|
485,792
|
|
|
941,374
|
|
||
Non-Agency
|
3,552,375
|
|
|
3,867,571
|
|
||
Total available-for-sale securities
|
$
|
28,318,558
|
|
|
$
|
25,552,604
|
|
|
September 30, 2019
|
||||||||||||||||||||||||||||||
(in thousands)
|
Principal/ Current Face
|
|
Un-amortized Premium
|
|
Accretable Purchase Discount
|
|
Credit Reserve Purchase Discount
|
|
Amortized Cost
|
|
Unrealized Gain
|
|
Unrealized Loss
|
|
Carrying Value
|
||||||||||||||||
Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Principal and interest
|
$
|
23,255,819
|
|
|
$
|
935,781
|
|
|
$
|
(21
|
)
|
|
$
|
—
|
|
|
$
|
24,191,579
|
|
|
$
|
431,492
|
|
|
$
|
(5,701
|
)
|
|
$
|
24,617,370
|
|
Interest-only
|
2,757,909
|
|
|
179,769
|
|
|
—
|
|
|
—
|
|
|
179,769
|
|
|
15,881
|
|
|
(46,837
|
)
|
|
148,813
|
|
||||||||
Total Agency
|
26,013,728
|
|
|
1,115,550
|
|
|
(21
|
)
|
|
—
|
|
|
24,371,348
|
|
|
447,373
|
|
|
(52,538
|
)
|
|
24,766,183
|
|
||||||||
Non-Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Principal and interest
|
5,289,767
|
|
|
7,417
|
|
|
(462,973
|
)
|
|
(1,723,638
|
)
|
|
3,110,573
|
|
|
380,236
|
|
|
(17,526
|
)
|
|
3,473,283
|
|
||||||||
Interest-only
|
4,664,358
|
|
|
83,037
|
|
|
—
|
|
|
—
|
|
|
83,037
|
|
|
4,393
|
|
|
(8,338
|
)
|
|
79,092
|
|
||||||||
Total Non-Agency
|
9,954,125
|
|
|
90,454
|
|
|
(462,973
|
)
|
|
(1,723,638
|
)
|
|
3,193,610
|
|
|
384,629
|
|
|
(25,864
|
)
|
|
3,552,375
|
|
||||||||
Total
|
$
|
35,967,853
|
|
|
$
|
1,206,004
|
|
|
$
|
(462,994
|
)
|
|
$
|
(1,723,638
|
)
|
|
$
|
27,564,958
|
|
|
$
|
832,002
|
|
|
$
|
(78,402
|
)
|
|
$
|
28,318,558
|
|
|
December 31, 2018
|
||||||||||||||||||||||||||||||
(in thousands)
|
Principal/ Current Face
|
|
Un-amortized Premium
|
|
Accretable Purchase Discount
|
|
Credit Reserve Purchase Discount
|
|
Amortized Cost
|
|
Unrealized Gain
|
|
Unrealized Loss
|
|
Carrying Value
|
||||||||||||||||
Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Principal and interest
|
$
|
20,775,790
|
|
|
$
|
1,037,781
|
|
|
$
|
(25,085
|
)
|
|
$
|
—
|
|
|
$
|
21,788,486
|
|
|
$
|
61,128
|
|
|
$
|
(339,997
|
)
|
|
$
|
21,509,617
|
|
Interest-only
|
3,115,967
|
|
|
209,901
|
|
|
—
|
|
|
—
|
|
|
209,901
|
|
|
14,170
|
|
|
(48,655
|
)
|
|
175,416
|
|
||||||||
Total Agency
|
23,891,757
|
|
|
1,247,682
|
|
|
(25,085
|
)
|
|
—
|
|
|
21,998,387
|
|
|
75,298
|
|
|
(388,652
|
)
|
|
21,685,033
|
|
||||||||
Non-Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Principal and interest
|
5,360,124
|
|
|
6,682
|
|
|
(694,119
|
)
|
|
(1,322,762
|
)
|
|
3,349,925
|
|
|
478,095
|
|
|
(44,657
|
)
|
|
3,783,363
|
|
||||||||
Interest-only
|
5,137,169
|
|
|
83,846
|
|
|
—
|
|
|
—
|
|
|
83,846
|
|
|
3,655
|
|
|
(3,293
|
)
|
|
84,208
|
|
||||||||
Total Non-Agency
|
10,497,293
|
|
|
90,528
|
|
|
(694,119
|
)
|
|
(1,322,762
|
)
|
|
3,433,771
|
|
|
481,750
|
|
|
(47,950
|
)
|
|
3,867,571
|
|
||||||||
Total
|
$
|
34,389,050
|
|
|
$
|
1,338,210
|
|
|
$
|
(719,204
|
)
|
|
$
|
(1,322,762
|
)
|
|
$
|
25,432,158
|
|
|
$
|
557,048
|
|
|
$
|
(436,602
|
)
|
|
$
|
25,552,604
|
|
|
September 30, 2019
|
||||||||||
(in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||
Adjustable Rate
|
$
|
15,662
|
|
|
$
|
3,263,875
|
|
|
$
|
3,279,537
|
|
Fixed Rate
|
24,750,521
|
|
|
288,500
|
|
|
25,039,021
|
|
|||
Total
|
$
|
24,766,183
|
|
|
$
|
3,552,375
|
|
|
$
|
28,318,558
|
|
|
December 31, 2018
|
||||||||||
(in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||
Adjustable Rate
|
$
|
19,073
|
|
|
$
|
3,475,171
|
|
|
$
|
3,494,244
|
|
Fixed Rate
|
21,665,960
|
|
|
392,400
|
|
|
22,058,360
|
|
|||
Total
|
$
|
21,685,033
|
|
|
$
|
3,867,571
|
|
|
$
|
25,552,604
|
|
|
September 30, 2019
|
||||||||||
(in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||
≤ 1 year
|
$
|
666
|
|
|
$
|
42,933
|
|
|
$
|
43,599
|
|
> 1 and ≤ 3 years
|
59,293
|
|
|
180,489
|
|
|
239,782
|
|
|||
> 3 and ≤ 5 years
|
4,800,249
|
|
|
195,007
|
|
|
4,995,256
|
|
|||
> 5 and ≤ 10 years
|
19,904,761
|
|
|
2,761,214
|
|
|
22,665,975
|
|
|||
> 10 years
|
1,214
|
|
|
372,732
|
|
|
373,946
|
|
|||
Total
|
$
|
24,766,183
|
|
|
$
|
3,552,375
|
|
|
$
|
28,318,558
|
|
|
Nine Months Ended September 30,
|
||||||||||||||||||||||
|
2019
|
|
2018
|
||||||||||||||||||||
(in thousands)
|
Designated Credit Reserve
|
|
Net Unamortized Discount/Premium
|
|
Total
|
|
Designated Credit Reserve
|
|
Net Unamortized Discount/Premium
|
|
Total
|
||||||||||||
Beginning balance at January 1
|
$
|
(1,322,762
|
)
|
|
$
|
(603,591
|
)
|
|
$
|
(1,926,353
|
)
|
|
$
|
(653,613
|
)
|
|
$
|
(607,609
|
)
|
|
$
|
(1,261,222
|
)
|
Acquisitions
|
(471,746
|
)
|
|
10,524
|
|
|
(461,222
|
)
|
|
(606,728
|
)
|
|
(37,924
|
)
|
|
(644,652
|
)
|
||||||
Accretion of net discount
|
—
|
|
|
27,782
|
|
|
27,782
|
|
|
—
|
|
|
64,538
|
|
|
64,538
|
|
||||||
Realized credit losses
|
18,668
|
|
|
—
|
|
|
18,668
|
|
|
20,983
|
|
|
—
|
|
|
20,983
|
|
||||||
Reclassification adjustment for other-than-temporary impairments
|
(6,847
|
)
|
|
—
|
|
|
(6,847
|
)
|
|
(363
|
)
|
|
—
|
|
|
(363
|
)
|
||||||
Transfers from (to)
|
34,157
|
|
|
(34,157
|
)
|
|
—
|
|
|
44,972
|
|
|
(44,972
|
)
|
|
—
|
|
||||||
Sales, calls, other
|
24,892
|
|
|
226,923
|
|
|
251,815
|
|
|
—
|
|
|
18,430
|
|
|
18,430
|
|
||||||
Ending balance at September 30
|
$
|
(1,723,638
|
)
|
|
$
|
(372,519
|
)
|
|
$
|
(2,096,157
|
)
|
|
$
|
(1,194,749
|
)
|
|
$
|
(607,537
|
)
|
|
$
|
(1,802,286
|
)
|
|
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
|
||||||||||||
September 30, 2019
|
$
|
1,456,511
|
|
|
$
|
(22,884
|
)
|
|
$
|
751,426
|
|
|
$
|
(55,518
|
)
|
|
$
|
2,207,937
|
|
|
$
|
(78,402
|
)
|
December 31, 2018
|
$
|
4,386,946
|
|
|
$
|
(66,520
|
)
|
|
$
|
9,501,123
|
|
|
$
|
(370,082
|
)
|
|
$
|
13,888,069
|
|
|
$
|
(436,602
|
)
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||
|
September 30,
|
|
September 30,
|
||||||||||||
(in thousands)
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Cumulative credit loss at beginning of period
|
$
|
(9,376
|
)
|
|
$
|
(6,663
|
)
|
|
$
|
(6,865
|
)
|
|
$
|
(6,395
|
)
|
Additions:
|
|
|
|
|
|
|
|
||||||||
Other-than-temporary impairments not previously recognized
|
(5,950
|
)
|
|
(72
|
)
|
|
(10,353
|
)
|
|
(157
|
)
|
||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
—
|
|
|
(23
|
)
|
|
(651
|
)
|
|
(206
|
)
|
||||
Reductions:
|
|
|
|
|
|
|
|
||||||||
Decreases related to other-than-temporary impairments on securities paid down
|
—
|
|
|
—
|
|
|
1,703
|
|
|
—
|
|
||||
Decreases related to other-than-temporary impairments on securities sold
|
1,613
|
|
|
—
|
|
|
2,453
|
|
|
—
|
|
||||
Cumulative credit loss at end of period
|
$
|
(13,713
|
)
|
|
$
|
(6,758
|
)
|
|
$
|
(13,713
|
)
|
|
$
|
(6,758
|
)
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||
|
September 30,
|
|
September 30,
|
||||||||||||
(in thousands)
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Gross realized gains
|
$
|
254,655
|
|
|
$
|
6,603
|
|
|
$
|
380,808
|
|
|
$
|
16,357
|
|
Gross realized losses
|
(4,388
|
)
|
|
(48,758
|
)
|
|
(124,409
|
)
|
|
(117,075
|
)
|
||||
Total realized gains (losses) on sales, net
|
$
|
250,267
|
|
|
$
|
(42,155
|
)
|
|
$
|
256,399
|
|
|
$
|
(100,718
|
)
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||
|
September 30,
|
|
September 30,
|
||||||||||||
(in thousands)
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Balance at beginning of period
|
$
|
1,800,826
|
|
|
$
|
1,450,261
|
|
|
$
|
1,993,440
|
|
|
$
|
1,086,717
|
|
Purchases of mortgage servicing rights
|
76,588
|
|
|
201,197
|
|
|
341,110
|
|
|
480,462
|
|
||||
Sales of mortgage servicing rights
|
905
|
|
|
—
|
|
|
905
|
|
|
—
|
|
||||
Changes in fair value due to:
|
|
|
|
|
|
|
|
||||||||
Changes in valuation inputs or assumptions used in the valuation model
|
(144,071
|
)
|
|
62,680
|
|
|
(477,710
|
)
|
|
209,610
|
|
||||
Other changes in fair value (1)
|
(90,529
|
)
|
|
(42,085
|
)
|
|
(198,585
|
)
|
|
(107,754
|
)
|
||||
Other changes (2)
|
7,837
|
|
|
(8,029
|
)
|
|
(7,604
|
)
|
|
(5,011
|
)
|
||||
Balance at end of period
|
$
|
1,651,556
|
|
|
$
|
1,664,024
|
|
|
$
|
1,651,556
|
|
|
$
|
1,664,024
|
|
(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)
|
September 30,
2019 |
|
December 31,
2018 |
|||
Weighted average prepayment speed:
|
16.1
|
%
|
|
8.6
|
%
|
|
Impact on fair value of 10% adverse change
|
$
|
(96,530
|
)
|
|
(67,245
|
)
|
Impact on fair value of 20% adverse change
|
$
|
(182,573
|
)
|
|
(130,371
|
)
|
Weighted average delinquency:
|
0.8
|
%
|
|
1.3
|
%
|
|
Impact on fair value of 10% adverse change
|
$
|
(6,435
|
)
|
|
(6,911
|
)
|
Impact on fair value of 20% adverse change
|
$
|
(12,898
|
)
|
|
(13,688
|
)
|
Weighted average discount rate:
|
7.0
|
%
|
|
9.4
|
%
|
|
Impact on fair value of 10% adverse change
|
$
|
(37,901
|
)
|
|
(62,528
|
)
|
Impact on fair value of 20% adverse change
|
$
|
(74,275
|
)
|
|
(121,135
|
)
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||
|
September 30,
|
|
September 30,
|
||||||||||||
(in thousands)
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Servicing fee income
|
$
|
106,700
|
|
|
$
|
80,690
|
|
|
$
|
327,184
|
|
|
$
|
218,022
|
|
Ancillary and other fee income
|
499
|
|
|
358
|
|
|
1,302
|
|
|
1,004
|
|
||||
Float income
|
18,826
|
|
|
8,570
|
|
|
45,436
|
|
|
19,447
|
|
||||
Total
|
$
|
126,025
|
|
|
$
|
89,618
|
|
|
$
|
373,922
|
|
|
$
|
238,473
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||
(dollars in thousands)
|
Number of Loans
|
|
Unpaid Principal Balance
|
|
Number of Loans
|
|
Unpaid Principal Balance
|
||||||
Mortgage servicing rights
|
742,723
|
|
|
$
|
165,332,533
|
|
|
717,167
|
|
|
$
|
163,102,308
|
|
Residential mortgage loans in securitization trusts
|
3,340
|
|
|
2,166,758
|
|
|
3,612
|
|
|
2,392,471
|
|
||
Other assets
|
74
|
|
|
12,833
|
|
|
220
|
|
|
34,374
|
|
||
Total serviced mortgage assets
|
746,137
|
|
|
$
|
167,512,124
|
|
|
720,999
|
|
|
$
|
165,529,153
|
|
(in thousands)
|
September 30,
2019 |
|
December 31,
2018 |
||||
Restricted cash balances held by trading counterparties:
|
|
|
|
||||
For securities and loan trading activity
|
$
|
45,050
|
|
|
$
|
51,350
|
|
For derivatives trading activity
|
142,604
|
|
|
219,900
|
|
||
As restricted collateral for repurchase agreements and Federal Home Loan Bank advances
|
321,975
|
|
|
416,696
|
|
||
Total restricted cash balances held by trading counterparties
|
509,629
|
|
|
687,946
|
|
||
Restricted cash balance pursuant to letter of credit on office lease
|
60
|
|
|
60
|
|
||
Total
|
$
|
509,689
|
|
|
$
|
688,006
|
|
(in thousands)
|
September 30,
2019 |
|
December 31,
2018 |
||||
Cash and cash equivalents
|
$
|
740,698
|
|
|
$
|
409,758
|
|
Restricted cash
|
509,689
|
|
|
688,006
|
|
||
Total cash, cash equivalents and restricted cash
|
$
|
1,250,387
|
|
|
$
|
1,097,764
|
|
|
|
September 30, 2019
|
||||||||||||||
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||||
(in thousands)
|
|
Fair Value
|
|
Notional
|
|
Fair Value
|
|
Notional
|
||||||||
Inverse interest-only securities
|
|
$
|
76,429
|
|
|
$
|
415,943
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Interest rate swap agreements
|
|
128,252
|
|
|
2,725,000
|
|
|
—
|
|
|
39,108,495
|
|
||||
Swaptions, net
|
|
9,283
|
|
|
1,750,000
|
|
|
—
|
|
|
—
|
|
||||
TBAs
|
|
16,656
|
|
|
5,604,000
|
|
|
(15,717
|
)
|
|
4,259,000
|
|
||||
U.S. Treasury futures
|
|
—
|
|
|
—
|
|
|
(1,471
|
)
|
|
320,000
|
|
||||
Markit IOS total return swaps
|
|
—
|
|
|
—
|
|
|
(13
|
)
|
|
43,767
|
|
||||
Total
|
|
$
|
230,620
|
|
|
$
|
10,494,943
|
|
|
$
|
(17,201
|
)
|
|
$
|
43,731,262
|
|
|
|
December 31, 2018
|
||||||||||||||
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||||
(in thousands)
|
|
Fair Value
|
|
Notional
|
|
Fair Value
|
|
Notional
|
||||||||
Inverse interest-only securities
|
|
$
|
70,813
|
|
|
$
|
476,299
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Interest rate swap agreements
|
|
187,231
|
|
|
26,798,605
|
|
|
—
|
|
|
2,725,000
|
|
||||
Interest rate cap contracts
|
|
40,335
|
|
|
2,500,000
|
|
|
—
|
|
|
—
|
|
||||
Swaptions, net
|
|
—
|
|
|
—
|
|
|
(13,456
|
)
|
|
63,000
|
|
||||
TBAs
|
|
21,602
|
|
|
6,484,000
|
|
|
—
|
|
|
—
|
|
||||
Put and call options for TBAs, net
|
|
—
|
|
|
—
|
|
|
(25,296
|
)
|
|
1,767,000
|
|
||||
Short U.S. Treasuries
|
|
—
|
|
|
—
|
|
|
(781,455
|
)
|
|
800,000
|
|
||||
Markit IOS total return swaps
|
|
—
|
|
|
—
|
|
|
(383
|
)
|
|
48,265
|
|
||||
Total
|
|
$
|
319,981
|
|
|
$
|
36,258,904
|
|
|
$
|
(820,590
|
)
|
|
$
|
5,403,265
|
|
Derivative Instruments
|
|
Location of Gain (Loss) Recognized in Income
|
|
Amount of Gain (Loss) Recognized in Income
|
||||||||||||||
|
|
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||
(in thousands)
|
|
|
|
September 30,
|
|
September 30,
|
||||||||||||
|
|
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Interest rate risk management
|
|
|
|
|
|
|
|
|
||||||||||
TBAs
|
|
Gain (loss) on other derivative instruments
|
|
$
|
82,964
|
|
|
$
|
(45,231
|
)
|
|
$
|
221,439
|
|
|
$
|
(55,766
|
)
|
Short U.S. Treasuries
|
|
Gain (loss) on other derivative instruments
|
|
—
|
|
|
1,606
|
|
|
(6,801
|
)
|
|
1,606
|
|
||||
U.S. Treasury futures
|
|
Gain (loss) on other derivative instruments
|
|
(359
|
)
|
|
—
|
|
|
46,089
|
|
|
—
|
|
||||
Put and call options for TBAs
|
|
Gain (loss) on other derivative instruments
|
|
—
|
|
|
13,489
|
|
|
(7,666
|
)
|
|
43,328
|
|
||||
Interest rate swaps - Payers
|
|
Gain (loss) on interest rate swap, cap and swaption agreements
|
|
(172,856
|
)
|
|
105,195
|
|
|
(834,426
|
)
|
|
412,291
|
|
||||
Interest rate swaps - Receivers
|
|
Gain (loss) on interest rate swap, cap and swaption agreements
|
|
211,086
|
|
|
(54,653
|
)
|
|
664,313
|
|
|
(252,375
|
)
|
||||
Swaptions
|
|
Gain (loss) on interest rate swap, cap and swaption agreements
|
|
32,390
|
|
|
24,629
|
|
|
76,383
|
|
|
94,933
|
|
||||
Interest rate caps
|
|
Gain (loss) on interest rate swap, cap and swaption agreements
|
|
—
|
|
|
686
|
|
|
(7,684
|
)
|
|
686
|
|
||||
Markit IOS total return swaps
|
|
Gain (loss) on other derivative instruments
|
|
(888
|
)
|
|
(302
|
)
|
|
(1,365
|
)
|
|
371
|
|
||||
Non-risk management
|
|
|
|
|
|
|
|
|
|
|
||||||||
Inverse interest-only securities
|
|
Gain (loss) on other derivative instruments
|
|
4,139
|
|
|
(1,025
|
)
|
|
19,102
|
|
|
(5,274
|
)
|
||||
Total
|
|
|
|
$
|
156,476
|
|
|
$
|
44,394
|
|
|
$
|
169,384
|
|
|
$
|
239,800
|
|
|
Three Months Ended September 30, 2019
|
||||||||||||||||||||||
(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
|
$
|
436,611
|
|
|
$
|
—
|
|
|
$
|
(20,668
|
)
|
|
$
|
415,943
|
|
|
$
|
427,222
|
|
|
$
|
—
|
|
Interest rate swap agreements
|
40,470,277
|
|
|
17,874,435
|
|
|
(16,511,217
|
)
|
|
41,833,495
|
|
|
41,180,308
|
|
|
38,044
|
|
||||||
Swaptions, net
|
3,875,000
|
|
|
1,000,000
|
|
|
(3,125,000
|
)
|
|
1,750,000
|
|
|
2,650,815
|
|
|
37,366
|
|
||||||
TBAs, net
|
9,422,000
|
|
|
40,347,000
|
|
|
(39,906,000
|
)
|
|
9,863,000
|
|
|
9,107,707
|
|
|
94,504
|
|
||||||
U.S. Treasury futures
|
1,300,000
|
|
|
3,567,000
|
|
|
(4,547,000
|
)
|
|
320,000
|
|
|
657,022
|
|
|
26,939
|
|
||||||
Markit IOS total return swaps
|
45,536
|
|
|
—
|
|
|
(1,769
|
)
|
|
43,767
|
|
|
46,088
|
|
|
—
|
|
||||||
Total
|
$
|
55,549,424
|
|
|
$
|
62,788,435
|
|
|
$
|
(64,111,654
|
)
|
|
$
|
54,226,205
|
|
|
$
|
54,069,162
|
|
|
$
|
196,853
|
|
|
Three Months Ended September 30, 2018
|
||||||||||||||||||||||
(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
|
$
|
529,056
|
|
|
$
|
—
|
|
|
$
|
(30,230
|
)
|
|
$
|
498,826
|
|
|
$
|
514,879
|
|
|
$
|
—
|
|
Interest rate swap agreements
|
26,047,264
|
|
|
12,544,820
|
|
|
(8,088,318
|
)
|
|
30,503,766
|
|
|
30,144,641
|
|
|
(50,240
|
)
|
||||||
Interest rate cap contracts
|
—
|
|
|
2,500,000
|
|
|
—
|
|
|
2,500,000
|
|
|
1,684,783
|
|
|
—
|
|
||||||
Swaptions, net
|
(738,000
|
)
|
|
1,164,000
|
|
|
(262,000
|
)
|
|
164,000
|
|
|
(157,663
|
)
|
|
10,374
|
|
||||||
TBAs, net
|
3,049,000
|
|
|
21,060,000
|
|
|
(14,785,000
|
)
|
|
9,324,000
|
|
|
6,430,924
|
|
|
(23,067
|
)
|
||||||
Short U.S. Treasuries
|
—
|
|
|
(800,000
|
)
|
|
—
|
|
|
(800,000
|
)
|
|
(539,130
|
)
|
|
—
|
|
||||||
Put and call options for TBAs, net
|
(320,000
|
)
|
|
(1,710,000
|
)
|
|
1,120,000
|
|
|
(910,000
|
)
|
|
(1,106,120
|
)
|
|
910
|
|
||||||
Markit IOS total return swaps
|
51,541
|
|
|
—
|
|
|
(1,850
|
)
|
|
49,691
|
|
|
50,296
|
|
|
(516
|
)
|
||||||
Total
|
$
|
28,618,861
|
|
|
$
|
34,758,820
|
|
|
$
|
(22,047,398
|
)
|
|
$
|
41,330,283
|
|
|
$
|
37,022,610
|
|
|
$
|
(62,539
|
)
|
|
Nine Months Ended September 30, 2019
|
||||||||||||||||||||||
(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
|
$
|
476,299
|
|
|
$
|
—
|
|
|
$
|
(60,356
|
)
|
|
$
|
415,943
|
|
|
$
|
447,082
|
|
|
$
|
—
|
|
Interest rate swap agreements
|
29,523,605
|
|
|
32,373,068
|
|
|
(20,063,178
|
)
|
|
41,833,495
|
|
|
38,402,820
|
|
|
41,975
|
|
||||||
Interest rate cap contracts
|
2,500,000
|
|
|
—
|
|
|
(2,500,000
|
)
|
|
—
|
|
|
1,417,216
|
|
|
(8,690
|
)
|
||||||
Swaptions, net
|
63,000
|
|
|
14,200,000
|
|
|
(12,513,000
|
)
|
|
1,750,000
|
|
|
3,259,802
|
|
|
63,139
|
|
||||||
TBAs, net
|
6,484,000
|
|
|
119,252,000
|
|
|
(115,873,000
|
)
|
|
9,863,000
|
|
|
8,905,264
|
|
|
242,102
|
|
||||||
Short U.S. Treasuries
|
(800,000
|
)
|
|
—
|
|
|
800,000
|
|
|
—
|
|
|
(61,097
|
)
|
|
(23,172
|
)
|
||||||
U.S. Treasury futures
|
—
|
|
|
8,077,000
|
|
|
(7,757,000
|
)
|
|
320,000
|
|
|
691,414
|
|
|
47,565
|
|
||||||
Put and call options for TBAs, net
|
(1,767,000
|
)
|
|
—
|
|
|
1,767,000
|
|
|
—
|
|
|
(147,606
|
)
|
|
(32,962
|
)
|
||||||
Markit IOS total return swaps
|
48,265
|
|
|
—
|
|
|
(4,498
|
)
|
|
43,767
|
|
|
45,964
|
|
|
—
|
|
||||||
Total
|
$
|
36,528,169
|
|
|
$
|
173,902,068
|
|
|
$
|
(156,204,032
|
)
|
|
$
|
54,226,205
|
|
|
$
|
52,960,859
|
|
|
$
|
329,957
|
|
|
Nine Months Ended September 30, 2018
|
||||||||||||||||||||||
(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
|
$
|
588,246
|
|
|
$
|
—
|
|
|
$
|
(89,420
|
)
|
|
$
|
498,826
|
|
|
$
|
544,691
|
|
|
$
|
—
|
|
Interest rate swap agreements
|
28,482,125
|
|
|
37,894,452
|
|
|
(35,872,811
|
)
|
|
30,503,766
|
|
|
25,588,646
|
|
|
(46,101
|
)
|
||||||
Interest rate cap contracts
|
—
|
|
|
2,500,000
|
|
|
—
|
|
|
2,500,000
|
|
|
567,766
|
|
|
—
|
|
||||||
Swaptions, net
|
2,666,000
|
|
|
(74,000
|
)
|
|
(2,428,000
|
)
|
|
164,000
|
|
|
(2,015,260
|
)
|
|
78,266
|
|
||||||
TBAs, net
|
(573,000
|
)
|
|
38,773,000
|
|
|
(28,876,000
|
)
|
|
9,324,000
|
|
|
3,210,355
|
|
|
(28,681
|
)
|
||||||
Short U.S. Treasuries
|
—
|
|
|
(800,000
|
)
|
|
—
|
|
|
(800,000
|
)
|
|
(181,685
|
)
|
|
—
|
|
||||||
Put and call options for TBAs, net
|
—
|
|
|
2,892,000
|
|
|
(3,802,000
|
)
|
|
(910,000
|
)
|
|
(590,168
|
)
|
|
39,452
|
|
||||||
Markit IOS total return swaps
|
63,507
|
|
|
—
|
|
|
(13,816
|
)
|
|
49,691
|
|
|
57,303
|
|
|
(765
|
)
|
||||||
Total
|
$
|
31,226,878
|
|
|
$
|
81,185,452
|
|
|
$
|
(71,082,047
|
)
|
|
$
|
41,330,283
|
|
|
$
|
27,181,648
|
|
|
$
|
42,171
|
|
(1)
|
Excludes net interest paid or received in full settlement of the net interest spread liability.
|
|
September 30, 2019
|
||||||||||||||||||
|
|
|
|
|
|
|
Net Carrying Value (4)
|
||||||||||||
(in thousands)
|
Notional Amount (1)
|
|
Cost Basis (2)
|
|
Market Value (3)
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||
Purchase contracts
|
$
|
12,659,000
|
|
|
$
|
13,168,924
|
|
|
$
|
13,166,842
|
|
|
$
|
13,146
|
|
|
$
|
(15,229
|
)
|
Sale contracts
|
(2,796,000
|
)
|
|
(2,905,436
|
)
|
|
(2,902,414
|
)
|
|
3,510
|
|
|
(488
|
)
|
|||||
TBAs, net
|
$
|
9,863,000
|
|
|
$
|
10,263,488
|
|
|
$
|
10,264,428
|
|
|
$
|
16,656
|
|
|
$
|
(15,717
|
)
|
|
December 31, 2018
|
||||||||||||||||||
|
|
|
|
|
|
|
Net Carrying Value (4)
|
||||||||||||
(in thousands)
|
Notional Amount (1)
|
|
Cost Basis (2)
|
|
Market Value (3)
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||
Purchase contracts
|
$
|
6,484,000
|
|
|
$
|
6,734,858
|
|
|
$
|
6,756,460
|
|
|
$
|
21,602
|
|
|
$
|
—
|
|
Sale contracts
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
TBAs, net
|
$
|
6,484,000
|
|
|
$
|
6,734,858
|
|
|
$
|
6,756,460
|
|
|
$
|
21,602
|
|
|
$
|
—
|
|
(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 condensed consolidated balance sheets.
|
(notional in thousands)
|
|
|
|
|
|
|
||||||
September 30, 2019
|
||||||||||||
Swaps Maturities
|
|
Notional Amount
|
|
Weighted Average Fixed Pay Rate
|
|
Weighted Average Receive Rate
|
|
Weighted Average Maturity (Years)
|
||||
2019
|
|
$
|
3,566,897
|
|
|
1.834
|
%
|
|
2.204
|
%
|
|
0.10
|
2020
|
|
3,640,000
|
|
|
1.806
|
%
|
|
2.186
|
%
|
|
1.08
|
|
2021
|
|
15,740,977
|
|
|
1.681
|
%
|
|
2.177
|
%
|
|
1.72
|
|
2022
|
|
2,578,640
|
|
|
1.911
|
%
|
|
2.185
|
%
|
|
2.99
|
|
2023 and Thereafter
|
|
7,518,220
|
|
|
2.344
|
%
|
|
2.212
|
%
|
|
6.96
|
|
Total
|
|
$
|
33,044,734
|
|
|
1.880
|
%
|
|
2.189
|
%
|
|
2.77
|
(notional in thousands)
|
|
|
|
|
|
|
||||||
December 31, 2018
|
||||||||||||
Swaps Maturities
|
|
Notional Amount (1)
|
|
Weighted Average Fixed Pay Rate (2)
|
|
Weighted Average Receive Rate (2)
|
|
Weighted Average Maturity (Years) (2)
|
||||
2019
|
|
$
|
4,336,897
|
|
|
1.769
|
%
|
|
2.565
|
%
|
|
0.79
|
2020
|
|
3,640,000
|
|
|
1.806
|
%
|
|
2.689
|
%
|
|
1.83
|
|
2021
|
|
4,117,000
|
|
|
1.550
|
%
|
|
2.687
|
%
|
|
2.69
|
|
2022
|
|
2,470,000
|
|
|
2.002
|
%
|
|
2.728
|
%
|
|
3.75
|
|
2023 and Thereafter
|
|
6,842,270
|
|
|
2.495
|
%
|
|
2.636
|
%
|
|
7.60
|
|
Total
|
|
$
|
21,406,167
|
|
|
1.978
|
%
|
|
2.651
|
%
|
|
3.75
|
(1)
|
Notional amount includes $572.0 million in forward starting interest rate swaps as of December 31, 2018.
|
(2)
|
Weighted averages exclude forward starting interest rate swaps. As of December 31, 2018, the weighted average fixed pay rate on forward starting interest rate swaps was 2.8%.
|
(notional in thousands)
|
|
|
|
|
|
|
||||||
December 31, 2018
|
||||||||||||
Swaps Maturities
|
|
Notional Amounts
|
|
Weighted Average Pay Rate
|
|
Weighted Average Fixed Receive Rate
|
|
Weighted Average Maturity (Years)
|
||||
2020
|
|
$
|
250,000
|
|
|
2.469
|
%
|
|
2.258
|
%
|
|
1.06
|
2021
|
|
2,477,438
|
|
|
2.538
|
%
|
|
2.736
|
%
|
|
2.24
|
|
2022
|
|
800,000
|
|
|
2.653
|
%
|
|
2.975
|
%
|
|
3.39
|
|
2023 and Thereafter
|
|
4,590,000
|
|
|
2.653
|
%
|
|
2.757
|
%
|
|
7.37
|
|
Total
|
|
$
|
8,117,438
|
|
|
2.612
|
%
|
|
2.757
|
%
|
|
5.22
|
|
|
September 30, 2019
|
|||||||||||||||||||||||
(notional and dollars in thousands)
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||||||||
Swaption
|
|
Expiration
|
|
Cost Basis
|
|
Fair Value
|
|
Average Months to Expiration
|
|
Notional Amount
|
|
Average Pay Rate
|
|
Average Receive Rate
|
|
Average Term (Years)
|
|||||||||
Purchase contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Payer
|
|
< 6 Months
|
|
$
|
5,395
|
|
|
$
|
1,401
|
|
|
4.01
|
|
|
$
|
1,250,000
|
|
|
2.05
|
%
|
|
3M Libor
|
|
5.2
|
|
Total Payer
|
|
|
|
$
|
5,395
|
|
|
$
|
1,401
|
|
|
4.01
|
|
|
$
|
1,250,000
|
|
|
2.05
|
%
|
|
3M Libor
|
|
5.2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Receiver
|
|
< 6 Months
|
|
$
|
4,100
|
|
|
$
|
7,882
|
|
|
4.10
|
|
|
$
|
500,000
|
|
|
3M Libor
|
|
1.55
|
%
|
|
10.0
|
|
Total Receiver
|
|
|
|
$
|
4,100
|
|
|
$
|
7,882
|
|
|
4.10
|
|
|
$
|
500,000
|
|
|
3M Libor
|
|
1.55
|
%
|
|
10.0
|
|
|
December 31, 2018
|
|||||||||||||||||||||||
(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
|
|
$
|
4,855
|
|
|
$
|
2,430
|
|
|
5.13
|
|
|
$
|
900,000
|
|
|
3.16
|
%
|
|
3M Libor
|
|
10.0
|
|
Payer
|
|
≥ 6 Months
|
|
8,400
|
|
|
5,992
|
|
|
8.60
|
|
|
800,000
|
|
|
3.14
|
%
|
|
3M Libor
|
|
10.0
|
||||
Total Payer
|
|
|
|
$
|
13,255
|
|
|
$
|
8,422
|
|
|
7.92
|
|
|
$
|
1,700,000
|
|
|
3.15
|
%
|
|
3M Libor
|
|
10.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Sale contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Receiver
|
|
< 6 Months
|
|
$
|
(4,855
|
)
|
|
$
|
(9,001
|
)
|
|
4.74
|
|
|
$
|
(845,000
|
)
|
|
3M Libor
|
|
2.66
|
%
|
|
10.0
|
|
Receiver
|
|
≥ 6 Months
|
|
(8,400
|
)
|
|
(12,877
|
)
|
|
8.60
|
|
|
(792,000
|
)
|
|
3M Libor
|
|
2.64
|
%
|
|
10.0
|
||||
Total Receiver
|
|
|
|
$
|
(13,255
|
)
|
|
$
|
(21,878
|
)
|
|
7.52
|
|
|
$
|
(1,637,000
|
)
|
|
3M Libor
|
|
2.65
|
%
|
|
10.0
|
(notional in thousands)
|
|
|
|
|
|
|
||||||
December 31, 2018
|
||||||||||||
Caps Maturities
|
|
Notional Amount
|
|
Weighted Average Cap Rate
|
|
Weighted Average Receive Rate
|
|
Weighted Average Maturity (Years)
|
||||
2019
|
|
$
|
800,000
|
|
|
1.344
|
%
|
|
2.422
|
%
|
|
0.53
|
2020
|
|
1,700,000
|
|
|
1.250
|
%
|
|
2.766
|
%
|
|
1.29
|
|
Total
|
|
$
|
2,500,000
|
|
|
1.280
|
%
|
|
2.656
|
%
|
|
1.04
|
(notional and dollars in thousands)
|
|
|
|
|
|
|||||||||||
December 31, 2018
|
||||||||||||||||
Maturity Date
|
|
Current Notional Amount
|
|
Fair Value
|
|
Cost Basis
|
|
Unrealized Gain (Loss)
|
||||||||
January 12, 2043
|
|
$
|
(21,395
|
)
|
|
$
|
(153
|
)
|
|
$
|
(30
|
)
|
|
$
|
(123
|
)
|
January 12, 2044
|
|
(26,870
|
)
|
|
(230
|
)
|
|
(29
|
)
|
|
(201
|
)
|
||||
Total
|
|
$
|
(48,265
|
)
|
|
$
|
(383
|
)
|
|
$
|
(59
|
)
|
|
$
|
(324
|
)
|
|
September 30, 2019
|
||||||||||||||||||||||
|
|
|
|
|
|
|
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1)
|
|
|
||||||||||||||
(in thousands)
|
Gross Amounts of Recognized Assets (Liabilities)
|
|
Gross Amounts Offset in the Balance Sheets
|
|
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
Net Amount
|
||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative assets
|
$
|
608,193
|
|
|
$
|
(377,573
|
)
|
|
$
|
230,620
|
|
|
$
|
(17,201
|
)
|
|
$
|
—
|
|
|
$
|
213,419
|
|
Reverse repurchase agreements
|
180,575
|
|
|
—
|
|
|
180,575
|
|
|
—
|
|
|
(180,575
|
)
|
|
—
|
|
||||||
Total Assets
|
$
|
788,768
|
|
|
$
|
(377,573
|
)
|
|
$
|
411,195
|
|
|
$
|
(17,201
|
)
|
|
$
|
(180,575
|
)
|
|
$
|
213,419
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Repurchase agreements
|
$
|
(25,567,136
|
)
|
|
$
|
—
|
|
|
$
|
(25,567,136
|
)
|
|
$
|
25,567,136
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Derivative liabilities
|
(394,774
|
)
|
|
377,573
|
|
|
(17,201
|
)
|
|
17,201
|
|
|
—
|
|
|
—
|
|
||||||
Total Liabilities
|
$
|
(25,961,910
|
)
|
|
$
|
377,573
|
|
|
$
|
(25,584,337
|
)
|
|
$
|
25,584,337
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
December 31, 2018
|
||||||||||||||||||||||
|
|
|
|
|
|
|
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1)
|
|
|
||||||||||||||
(in thousands)
|
Gross Amounts of Recognized Assets (Liabilities)
|
|
Gross Amounts Offset in the Balance Sheets
|
|
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
Net Amount
|
||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative assets
|
$
|
599,573
|
|
|
$
|
(279,592
|
)
|
|
$
|
319,981
|
|
|
$
|
(58,775
|
)
|
|
$
|
—
|
|
|
$
|
261,206
|
|
Reverse repurchase agreements
|
761,815
|
|
|
—
|
|
|
761,815
|
|
|
(761,815
|
)
|
|
—
|
|
|
—
|
|
||||||
Total Assets
|
$
|
1,361,388
|
|
|
$
|
(279,592
|
)
|
|
$
|
1,081,796
|
|
|
$
|
(820,590
|
)
|
|
$
|
—
|
|
|
$
|
261,206
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Repurchase agreements
|
$
|
(23,133,476
|
)
|
|
$
|
—
|
|
|
$
|
(23,133,476
|
)
|
|
$
|
23,133,476
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Derivative liabilities
|
(1,100,182
|
)
|
|
279,592
|
|
|
(820,590
|
)
|
|
820,590
|
|
|
—
|
|
|
—
|
|
||||||
Total Liabilities
|
$
|
(24,233,658
|
)
|
|
$
|
279,592
|
|
|
$
|
(23,954,066
|
)
|
|
$
|
23,954,066
|
|
|
$
|
—
|
|
|
$
|
—
|
|
(1)
|
Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed 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 condensed consolidated balance sheets.
|
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
|
||||||||||||||
|
September 30, 2019
|
||||||||||||||
(in thousands)
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Available-for-sale securities
|
$
|
—
|
|
|
$
|
28,172,321
|
|
|
$
|
146,237
|
|
|
$
|
28,318,558
|
|
Mortgage servicing rights
|
—
|
|
|
—
|
|
|
1,651,556
|
|
|
1,651,556
|
|
||||
Derivative assets
|
16,656
|
|
|
213,964
|
|
|
—
|
|
|
230,620
|
|
||||
Total assets
|
$
|
16,656
|
|
|
$
|
28,386,285
|
|
|
$
|
1,797,793
|
|
|
$
|
30,200,734
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
Derivative liabilities
|
$
|
17,188
|
|
|
$
|
13
|
|
|
$
|
—
|
|
|
$
|
17,201
|
|
Total liabilities
|
$
|
17,188
|
|
|
$
|
13
|
|
|
$
|
—
|
|
|
$
|
17,201
|
|
|
Recurring Fair Value Measurements
|
||||||||||||||
|
December 31, 2018
|
||||||||||||||
(in thousands)
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Available-for-sale securities
|
$
|
—
|
|
|
$
|
25,447,447
|
|
|
$
|
105,157
|
|
|
$
|
25,552,604
|
|
Mortgage servicing rights
|
—
|
|
|
—
|
|
|
1,993,440
|
|
|
1,993,440
|
|
||||
Derivative assets
|
21,602
|
|
|
298,379
|
|
|
—
|
|
|
319,981
|
|
||||
Total assets
|
$
|
21,602
|
|
|
$
|
25,745,826
|
|
|
$
|
2,098,597
|
|
|
$
|
27,866,025
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
Derivative liabilities
|
$
|
—
|
|
|
$
|
820,590
|
|
|
$
|
—
|
|
|
$
|
820,590
|
|
Total liabilities
|
$
|
—
|
|
|
$
|
820,590
|
|
|
$
|
—
|
|
|
$
|
820,590
|
|
|
Three Months Ended
|
|
Nine Months Ended
|
|
||||||||||||
|
September 30, 2019
|
|
September 30, 2019
|
|
||||||||||||
(in thousands)
|
Available-For-Sale Securities
|
|
Mortgage Servicing Rights
|
|
Available-For-Sale Securities
|
|
Mortgage Servicing Rights
|
|
||||||||
Beginning of period level 3 fair value
|
$
|
217,210
|
|
|
$
|
1,800,826
|
|
|
$
|
105,157
|
|
|
$
|
1,993,440
|
|
|
Gains (losses) included in net income:
|
|
|
|
|
|
|
|
|
||||||||
Realized (losses) gains, net
|
(3,448
|
)
|
|
(92,699
|
)
|
|
(15,490
|
)
|
|
(200,466
|
)
|
|
||||
Unrealized (losses) gains, net
|
—
|
|
|
(141,815
|
)
|
(1)
|
—
|
|
|
(475,454
|
)
|
(1)
|
||||
Net gains (losses) included in net income
|
(3,448
|
)
|
|
(234,514
|
)
|
|
(15,490
|
)
|
|
(675,920
|
)
|
|
||||
Other comprehensive (loss) income
|
(617
|
)
|
|
—
|
|
|
2,702
|
|
|
—
|
|
|
||||
Purchases
|
—
|
|
|
76,588
|
|
|
7,468
|
|
|
341,110
|
|
|
||||
Sales
|
—
|
|
|
819
|
|
|
—
|
|
|
530
|
|
|
||||
Settlements
|
—
|
|
|
7,837
|
|
|
—
|
|
|
(7,604
|
)
|
|
||||
Gross transfers into level 3
|
93,541
|
|
|
—
|
|
|
366,466
|
|
|
—
|
|
|
||||
Gross transfers out of level 3
|
(160,449
|
)
|
|
—
|
|
|
(320,066
|
)
|
|
—
|
|
|
||||
End of period level 3 fair value
|
$
|
146,237
|
|
|
$
|
1,651,556
|
|
|
$
|
146,237
|
|
|
$
|
1,651,556
|
|
|
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
|
$
|
—
|
|
|
$
|
(136,922
|
)
|
(2)
|
$
|
—
|
|
|
$
|
(448,075
|
)
|
(2)
|
Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period
|
$
|
(617
|
)
|
|
$
|
—
|
|
|
$
|
2,608
|
|
|
$
|
—
|
|
|
(1)
|
The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income (loss).
|
(2)
|
The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income (loss).
|
September 30, 2019
|
|||||||||
Valuation Technique
|
|
Unobservable Input (1)
|
|
Range
|
|
Weighted Average (2)
|
|||
Discounted cash flow
|
|
Constant prepayment speed
|
|
13.0
|
-
|
18.3
|
%
|
|
16.1%
|
|
|
Delinquency
|
|
0.6
|
-
|
0.9
|
%
|
|
0.8%
|
|
|
Discount rate
|
|
6.1
|
-
|
8.0
|
%
|
|
7.0%
|
December 31, 2018
|
|||||||||||
Valuation Technique
|
|
Unobservable Input (1)
|
|
Range
|
|
Weighted Average (2)
|
|||||
Discounted cash flow
|
|
Constant prepayment speed
|
|
7.6
|
|
-
|
9.6
|
|
%
|
|
8.6%
|
|
|
Delinquency
|
|
1.0
|
|
-
|
1.5
|
|
%
|
|
1.3%
|
|
|
Discount rate
|
|
8.2
|
|
-
|
10.7
|
|
%
|
|
9.4%
|
(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.
|
(2)
|
Calculated by averaging the weighted average significant unobservable inputs used by the multiple third-party pricing providers in the fair value measurement of MSR.
|
•
|
AFS securities, MSR, and derivative assets and liabilities 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 9.
|
•
|
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.
|
•
|
Reverse repurchase agreements have a carrying value which approximates fair value due to their short-term nature. The Company categorizes the fair value measurement of these assets as Level 2.
|
•
|
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 September 30, 2019, the Company held $262.9 million of repurchase agreements, $50.0 million of FHLB advances and $300.0 million of revolving credit facilities that are considered long-term. The Company’s long-term repurchase agreements, FHLB advances and revolving credit facilities 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.
|
•
|
Term notes payable are recorded at outstanding principal balance, net of any unamortized deferred debt issuance costs. In determining the fair value of term notes payable, management judgment may be used to arrive at fair value that considers prices obtained from third-party pricing providers, broker quotes received and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels, and credit losses). The Company categorizes the fair value measurement of these liabilities as Level 2.
|
•
|
Convertible senior notes are carried at their unpaid principal balance, net of any unamortized deferred issuance costs. The Company estimates the fair value of its convertible senior notes using the market transaction price nearest to September 30, 2019. The Company categorizes the fair value measurement of these assets as Level 2.
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||
(in thousands)
|
Carrying Value
|
|
Fair Value
|
|
Carrying Value
|
|
Fair Value
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Available-for-sale securities
|
$
|
28,318,558
|
|
|
$
|
28,318,558
|
|
|
$
|
25,552,604
|
|
|
$
|
25,552,604
|
|
Mortgage servicing rights
|
$
|
1,651,556
|
|
|
$
|
1,651,556
|
|
|
$
|
1,993,440
|
|
|
$
|
1,993,440
|
|
Cash and cash equivalents
|
$
|
740,698
|
|
|
$
|
740,698
|
|
|
$
|
409,758
|
|
|
$
|
409,758
|
|
Restricted cash
|
$
|
509,689
|
|
|
$
|
509,689
|
|
|
$
|
688,006
|
|
|
$
|
688,006
|
|
Derivative assets
|
$
|
230,620
|
|
|
$
|
230,620
|
|
|
$
|
319,981
|
|
|
$
|
319,981
|
|
Reverse repurchase agreements
|
$
|
180,575
|
|
|
$
|
180,575
|
|
|
$
|
761,815
|
|
|
$
|
761,815
|
|
Other assets
|
$
|
18,274
|
|
|
$
|
18,274
|
|
|
74,412
|
|
|
74,412
|
|
||
Liabilities
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements
|
$
|
25,567,136
|
|
|
$
|
25,567,136
|
|
|
$
|
23,133,476
|
|
|
$
|
23,133,476
|
|
Federal Home Loan Bank advances
|
$
|
50,000
|
|
|
$
|
50,000
|
|
|
$
|
865,024
|
|
|
$
|
865,024
|
|
Revolving credit facilities
|
$
|
300,000
|
|
|
$
|
300,000
|
|
|
$
|
310,000
|
|
|
$
|
310,000
|
|
Term notes payable
|
$
|
394,235
|
|
|
$
|
400,032
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Convertible senior notes
|
$
|
284,635
|
|
|
$
|
294,869
|
|
|
$
|
283,856
|
|
|
$
|
281,951
|
|
Derivative liabilities
|
$
|
17,201
|
|
|
$
|
17,201
|
|
|
$
|
820,590
|
|
|
$
|
820,590
|
|
(in thousands)
|
September 30,
2019 |
|
December 31,
2018 |
||||
Short-term
|
$
|
25,304,275
|
|
|
$
|
22,833,476
|
|
Long-term
|
262,861
|
|
|
300,000
|
|
||
Total
|
$
|
25,567,136
|
|
|
$
|
23,133,476
|
|
|
September 30, 2019
|
||||||||||||||||||
|
Collateral Type
|
|
|
||||||||||||||||
(in thousands)
|
Agency RMBS
|
|
Non-Agency Securities
|
|
Agency Derivatives
|
|
Mortgage Servicing Rights
|
|
Total Amount Outstanding
|
||||||||||
Within 30 days
|
$
|
6,804,755
|
|
|
$
|
328,032
|
|
|
$
|
21,525
|
|
|
$
|
—
|
|
|
$
|
7,154,312
|
|
30 to 59 days
|
6,450,044
|
|
|
317,390
|
|
|
11,961
|
|
|
—
|
|
|
6,779,395
|
|
|||||
60 to 89 days
|
—
|
|
|
93,353
|
|
|
—
|
|
|
—
|
|
|
93,353
|
|
|||||
90 to 119 days
|
3,655,339
|
|
|
136,347
|
|
|
—
|
|
|
—
|
|
|
3,791,686
|
|
|||||
120 to 364 days
|
7,124,853
|
|
|
345,547
|
|
|
15,129
|
|
|
—
|
|
|
7,485,529
|
|
|||||
One year and over
|
—
|
|
|
—
|
|
|
—
|
|
|
262,861
|
|
|
262,861
|
|
|||||
Total
|
$
|
24,034,991
|
|
|
$
|
1,220,669
|
|
|
$
|
48,615
|
|
|
$
|
262,861
|
|
|
$
|
25,567,136
|
|
Weighted average borrowing rate
|
2.41
|
%
|
|
3.34
|
%
|
|
3.08
|
%
|
|
3.77
|
%
|
|
2.47
|
%
|
|
December 31, 2018
|
||||||||||||||||||
|
Collateral Type
|
|
|
||||||||||||||||
(in thousands)
|
Agency RMBS
|
|
Non-Agency Securities
|
|
Agency Derivatives
|
|
Mortgage Servicing Rights
|
|
Total Amount Outstanding
|
||||||||||
Within 30 days
|
$
|
6,712,021
|
|
|
$
|
770,287
|
|
|
$
|
6,561
|
|
|
$
|
—
|
|
|
$
|
7,488,869
|
|
30 to 59 days
|
4,557,688
|
|
|
496,466
|
|
|
23,444
|
|
|
—
|
|
|
5,077,598
|
|
|||||
60 to 89 days
|
5,410,967
|
|
|
242,473
|
|
|
1,621
|
|
|
—
|
|
|
5,655,061
|
|
|||||
90 to 119 days
|
1,209,395
|
|
|
722,399
|
|
|
7,065
|
|
|
—
|
|
|
1,938,859
|
|
|||||
120 to 364 days
|
2,201,325
|
|
|
463,939
|
|
|
7,825
|
|
|
—
|
|
|
2,673,089
|
|
|||||
One year and over
|
—
|
|
|
—
|
|
|
—
|
|
|
300,000
|
|
|
300,000
|
|
|||||
Total
|
$
|
20,091,396
|
|
|
$
|
2,695,564
|
|
|
$
|
46,516
|
|
|
$
|
300,000
|
|
|
$
|
23,133,476
|
|
Weighted average borrowing rate
|
2.52
|
%
|
|
3.65
|
%
|
|
3.34
|
%
|
|
4.51
|
%
|
|
2.68
|
%
|
(in thousands)
|
September 30,
2019 |
|
December 31,
2018 |
||||
Available-for-sale securities, at fair value
|
$
|
26,351,294
|
|
|
$
|
24,240,507
|
|
Mortgage servicing rights, at fair value
|
530,696
|
|
|
685,683
|
|
||
Restricted cash
|
321,975
|
|
|
416,696
|
|
||
Due from counterparties
|
133,634
|
|
|
110,695
|
|
||
Derivative assets, at fair value
|
75,834
|
|
|
70,191
|
|
||
U.S. Treasuries (1)
|
—
|
|
|
6,457
|
|
||
Total
|
$
|
27,413,433
|
|
|
$
|
25,530,229
|
|
(1)
|
U.S. Treasuries received as collateral and re-pledged.
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||||
(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
|
||||||||||
Barclays Capital Inc.
|
$
|
3,710,843
|
|
|
$
|
269,905
|
|
|
5
|
%
|
|
63
|
|
$
|
2,508,277
|
|
|
$
|
280,148
|
|
|
7
|
%
|
|
50
|
Royal Bank of Canada
|
2,665,484
|
|
|
226,480
|
|
|
5
|
%
|
|
123
|
|
2,504,438
|
|
|
342,739
|
|
|
8
|
%
|
|
94
|
||||
All other counterparties (2)
|
19,190,809
|
|
|
1,112,016
|
|
|
22
|
%
|
|
78
|
|
18,120,761
|
|
|
1,399,187
|
|
|
33
|
%
|
|
64
|
||||
Total
|
$
|
25,567,136
|
|
|
$
|
1,608,401
|
|
|
|
|
|
|
$
|
23,133,476
|
|
|
$
|
2,022,074
|
|
|
|
|
|
(1)
|
Represents the net carrying value of the 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.
|
(2)
|
Represents amounts outstanding with 23 and 28 counterparties at September 30, 2019 and December 31, 2018, respectively.
|
(in thousands)
|
September 30,
2019 |
|
December 31,
2018 |
||||
≤ 1 year
|
$
|
—
|
|
|
$
|
815,024
|
|
> 1 and ≤ 3 years
|
—
|
|
|
—
|
|
||
> 3 and ≤ 5 years
|
—
|
|
|
—
|
|
||
> 5 and ≤ 10 years
|
—
|
|
|
—
|
|
||
> 10 years
|
50,000
|
|
|
50,000
|
|
||
Total
|
$
|
50,000
|
|
|
$
|
865,024
|
|
(in thousands)
|
September 30,
2019 |
|
December 31,
2018 |
||||
Within 30 days
|
$
|
—
|
|
|
$
|
—
|
|
30 to 59 days
|
—
|
|
|
—
|
|
||
60 to 89 days
|
—
|
|
|
—
|
|
||
90 to 119 days
|
—
|
|
|
—
|
|
||
120 to 364 days
|
—
|
|
|
20,000
|
|
||
One year and over
|
300,000
|
|
|
290,000
|
|
||
Total
|
$
|
300,000
|
|
|
$
|
310,000
|
|
As of September 30, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
(in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Class of Stock
|
|
Issuance Date
|
|
Shares Issued and Outstanding
|
|
Carrying Value
|
|
Contractual Rate
|
|
Redemption Date (1)
|
|
Fixed to Floating Rate Conversion Date (2)
|
|
Floating Annual Rate (3)
|
|||||
Fixed-to-Floating Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Series A
|
|
March 14, 2017
|
|
5,750
|
|
|
$
|
138,872
|
|
|
8.125
|
%
|
|
April 27, 2027
|
|
April 27, 2027
|
|
3M LIBOR + 5.660%
|
|
Series B
|
|
July 19, 2017
|
|
11,500
|
|
|
278,094
|
|
|
7.625
|
%
|
|
July 27, 2027
|
|
July 27, 2027
|
|
3M LIBOR + 5.352%
|
||
Series C
|
|
November 27, 2017
|
|
11,800
|
|
|
285,585
|
|
|
7.250
|
%
|
|
January 27, 2025
|
|
January 27, 2025
|
|
3M LIBOR + 5.011%
|
||
Fixed Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Series D
|
|
July 31, 2018
|
|
3,000
|
|
|
74,964
|
|
|
7.750
|
%
|
|
July 31, 2018
|
|
N/A
|
|
N/A
|
||
Series E
|
|
July 31, 2018
|
|
8,000
|
|
|
199,986
|
|
|
7.500
|
%
|
|
July 31, 2018
|
|
N/A
|
|
N/A
|
||
|
Total
|
|
|
|
40,050
|
|
|
$
|
977,501
|
|
|
|
|
|
|
|
|
|
(1)
|
Subject to the Company’s right under limited circumstances to redeem the preferred stock earlier than the redemption date disclosed in order to preserve its qualification as a REIT or following a change in control of the Company.
|
(2)
|
For the fixed-to-floating rate redeemable preferred stock, the dividend rate will remain at a annual fixed rate of the $25.00 per share liquidation preference from the issuance date up to but not including the transition date disclosed within. Effective the conversion date and onward, dividends will accumulate on a floating rate basis according to the terms disclosed within (3) below.
|
(3)
|
On and after the fixed to floating rate conversion date, the dividend will accumulate and be payable quarterly at a percentage of the $25.00 per share liquidation preference equal to an annual floating rate of three-month LIBOR plus the spread indicated within each preferred class.
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Cash Dividend Per Preferred Share
|
||
Series A Preferred Stock:
|
|
|
|
|
|
|
||
September 19, 2019
|
|
October 11, 2019
|
|
October 28, 2019
|
|
$
|
0.507810
|
|
June 19, 2019
|
|
July 12, 2019
|
|
July 29, 2019
|
|
$
|
0.507810
|
|
March 19, 2019
|
|
April 12, 2019
|
|
April 29, 2019
|
|
$
|
0.507810
|
|
December 18, 2018
|
|
December 31, 2018
|
|
January 28, 2019
|
|
$
|
0.507810
|
|
September 20, 2018
|
|
October 12, 2018
|
|
October 29, 2018
|
|
$
|
0.507810
|
|
June 19, 2018
|
|
July 12, 2018
|
|
July 27, 2018
|
|
$
|
0.507810
|
|
March 20, 2018
|
|
April 12, 2018
|
|
April 27, 2018
|
|
$
|
0.507810
|
|
Series B Preferred Stock:
|
|
|
|
|
|
|
||
September 19, 2019
|
|
October 11, 2019
|
|
October 28, 2019
|
|
$
|
0.476560
|
|
June 19, 2019
|
|
July 12, 2019
|
|
July 29, 2019
|
|
$
|
0.476560
|
|
March 19, 2019
|
|
April 12, 2019
|
|
April 29, 2019
|
|
$
|
0.476560
|
|
December 18, 2018
|
|
December 31, 2018
|
|
January 28, 2019
|
|
$
|
0.476560
|
|
September 20, 2018
|
|
October 12, 2018
|
|
October 29, 2018
|
|
$
|
0.476560
|
|
June 19, 2018
|
|
July 12, 2018
|
|
July 27, 2018
|
|
$
|
0.476560
|
|
March 20, 2018
|
|
April 12, 2018
|
|
April 27, 2018
|
|
$
|
0.476560
|
|
Series C Preferred Stock:
|
|
|
|
|
|
|
||
September 19, 2019
|
|
October 11, 2019
|
|
October 28, 2019
|
|
$
|
0.453130
|
|
June 19, 2019
|
|
July 12, 2019
|
|
July 29, 2019
|
|
$
|
0.453130
|
|
March 19, 2019
|
|
April 12, 2019
|
|
April 29, 2019
|
|
$
|
0.453130
|
|
December 18, 2018
|
|
December 31, 2018
|
|
January 28, 2019
|
|
$
|
0.453130
|
|
September 20, 2018
|
|
October 12, 2018
|
|
October 29, 2018
|
|
$
|
0.453130
|
|
June 19, 2018
|
|
July 12, 2018
|
|
July 27, 2018
|
|
$
|
0.453130
|
|
March 20, 2018
|
|
April 12, 2018
|
|
April 27, 2018
|
|
$
|
0.453130
|
|
Series D Preferred Stock:
|
|
|
|
|
|
|
||
September 19, 2019
|
|
October 1, 2019
|
|
October 15, 2019
|
|
$
|
0.484375
|
|
June 19, 2019
|
|
July 1, 2019
|
|
July 15, 2019
|
|
$
|
0.484375
|
|
March 19, 2019
|
|
April 1, 2019
|
|
April 15, 2019
|
|
$
|
0.484375
|
|
December 18, 2018
|
|
December 31, 2018
|
|
January 28, 2019
|
|
$
|
0.484375
|
|
September 20, 2018
|
|
October 1, 2018
|
|
October 15, 2018
|
|
$
|
0.484375
|
|
Series E Preferred Stock:
|
|
|
|
|
|
|
||
September 19, 2019
|
|
October 1, 2019
|
|
October 15, 2019
|
|
$
|
0.468750
|
|
June 19, 2019
|
|
July 1, 2019
|
|
July 15, 2019
|
|
$
|
0.468750
|
|
March 19, 2019
|
|
April 1, 2019
|
|
April 15, 2019
|
|
$
|
0.468750
|
|
December 18, 2018
|
|
December 31, 2018
|
|
January 28, 2019
|
|
$
|
0.468750
|
|
September 20, 2018
|
|
October 1, 2018
|
|
October 15, 2018
|
|
$
|
0.468750
|
|
|
Number of common shares
|
|
Common shares outstanding, December 31, 2017
|
174,496,587
|
|
Issuance of common stock
|
72,608,932
|
|
Issuance of restricted stock (1)
|
972,651
|
|
Common shares outstanding, September 30, 2018
|
248,078,170
|
|
|
|
|
Common shares outstanding, December 31, 2018
|
248,085,721
|
|
Issuance of common stock
|
24,399,107
|
|
Issuance of restricted stock (1)
|
412,074
|
|
Repurchase of common stock
|
(1,500
|
)
|
Common shares outstanding, September 30, 2019
|
272,895,402
|
|
(1)
|
Represents shares of restricted stock granted under the Second Restated 2009 Equity Incentive Plan, net of forfeitures, of which 1,202,252 restricted shares remained subject to vesting requirements at September 30, 2019.
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Cash Dividend Per Common Share
|
||
September 19, 2019
|
|
September 30, 2019
|
|
October 28, 2019
|
|
$
|
0.400000
|
|
June 19, 2019
|
|
July 1, 2019
|
|
July 29, 2019
|
|
$
|
0.400000
|
|
March 19, 2019
|
|
March 29, 2019
|
|
April 29, 2019
|
|
$
|
0.470000
|
|
December 18, 2018
|
|
December 31, 2018
|
|
January 28, 2019
|
|
$
|
0.470000
|
|
September 20, 2018
|
|
October 1, 2018
|
|
October 29, 2018
|
|
$
|
0.311630
|
|
July 13, 2018
|
|
July 25, 2018
|
|
July 30, 2018
|
|
$
|
0.158370
|
|
June 19, 2018
|
|
June 29, 2018
|
|
July 27, 2018
|
|
$
|
0.470000
|
|
March 20, 2018
|
|
April 2, 2018
|
|
April 27, 2018
|
|
$
|
0.470000
|
|
(in thousands)
|
September 30,
2019 |
|
December 31,
2018 |
||||
Available-for-sale securities
|
|
|
|
||||
Unrealized gains
|
$
|
779,919
|
|
|
$
|
498,744
|
|
Unrealized losses
|
(31,565
|
)
|
|
(387,927
|
)
|
||
Accumulated other comprehensive income
|
$
|
748,354
|
|
|
$
|
110,817
|
|
|
|
Affected Line Item in the Statements of Comprehensive (Loss) Income
|
|
Amount Reclassified out of Accumulated Other Comprehensive Income
|
||||||||||||||
|
|
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||
(in thousands)
|
|
|
|
September 30,
|
|
September 30,
|
||||||||||||
|
|
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Other-than-temporary impairments on AFS securities
|
|
Total other-than-temporary impairment losses
|
|
$
|
5,950
|
|
|
$
|
95
|
|
|
$
|
11,004
|
|
|
$
|
363
|
|
Realized losses (gains) on sales of certain AFS securities, net of tax
|
|
Gain (loss) on investment securities
|
|
(226,790
|
)
|
|
30,368
|
|
|
(189,620
|
)
|
|
52,654
|
|
||||
Total
|
|
|
|
$
|
(220,840
|
)
|
|
$
|
30,463
|
|
|
$
|
(178,616
|
)
|
|
$
|
53,017
|
|
|
Nine Months Ended September 30,
|
||||||||||||
|
2019
|
|
2018
|
||||||||||
|
Shares
|
|
Weighted Average Grant Date Fair Market Value
|
|
Shares
|
|
Weighted Average Grant Date Fair Market Value
|
||||||
Outstanding at Beginning of Period
|
1,593,701
|
|
|
$
|
15.81
|
|
|
1,284,010
|
|
|
$
|
17.15
|
|
Granted
|
515,282
|
|
|
14.28
|
|
|
996,924
|
|
|
14.96
|
|
||
Vested
|
(803,523
|
)
|
|
(14.43
|
)
|
|
(673,118
|
)
|
|
(17.12
|
)
|
||
Forfeited
|
(103,208
|
)
|
|
(15.52
|
)
|
|
(14,115
|
)
|
|
(15.59
|
)
|
||
Outstanding at End of Period
|
1,202,252
|
|
|
$
|
16.10
|
|
|
1,593,701
|
|
|
$
|
15.81
|
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||
|
September 30,
|
|
September 30,
|
||||||||||||
(in thousands, except share data)
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Numerator:
|
|
|
|
|
|
|
|
||||||||
Net income
|
$
|
305,700
|
|
|
$
|
35,946
|
|
|
$
|
189,208
|
|
|
$
|
510,245
|
|
Dividends on preferred stock
|
18,951
|
|
|
18,951
|
|
|
56,851
|
|
|
46,445
|
|
||||
Net income attributable to common stockholders - basic
|
286,749
|
|
|
16,995
|
|
|
132,357
|
|
|
463,800
|
|
||||
Interest expense attributable to convertible notes (1)
|
4,779
|
|
|
—
|
|
|
—
|
|
|
14,151
|
|
||||
Net income attributable to common stockholders - diluted
|
$
|
291,528
|
|
|
$
|
16,995
|
|
|
$
|
132,357
|
|
|
$
|
477,951
|
|
Denominator:
|
|
|
|
|
|
|
|
||||||||
Weighted average common shares outstanding
|
271,689,878
|
|
|
222,805,735
|
|
|
264,871,455
|
|
|
190,229,850
|
|
||||
Weighted average restricted stock shares
|
1,207,697
|
|
|
1,593,701
|
|
|
1,243,317
|
|
|
1,616,362
|
|
||||
Basic weighted average shares outstanding
|
272,897,575
|
|
|
224,399,436
|
|
|
266,114,772
|
|
|
191,846,212
|
|
||||
Effect of dilutive shares issued in an assumed conversion
|
18,156,143
|
|
|
—
|
|
|
—
|
|
|
17,760,934
|
|
||||
Diluted weighted average shares outstanding
|
291,053,718
|
|
|
224,399,436
|
|
|
266,114,772
|
|
|
209,607,146
|
|
||||
Earnings Per Share
|
|
|
|
|
|
|
|
||||||||
Basic
|
$
|
1.05
|
|
|
$
|
0.08
|
|
|
$
|
0.50
|
|
|
$
|
2.42
|
|
Diluted
|
$
|
1.00
|
|
|
$
|
0.08
|
|
|
$
|
0.50
|
|
|
$
|
2.28
|
|
(1)
|
Includes a nondiscretionary adjustment for the assumed change in the management fee calculation.
|
•
|
Agency RMBS (which includes inverse interest-only Agency securities classified as “Agency Derivatives” for purposes of U.S. generally accepted accounting principles, or U.S. GAAP), 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), or collectively, the government sponsored entities, or GSEs;
|
•
|
Non-Agency securities, meaning securities that are not issued or guaranteed by Ginnie Mae, Fannie Mae or Freddie Mac;
|
•
|
MSR; and
|
•
|
Other financial assets comprising approximately 5% to 10% of the portfolio.
|
|
Capital Allocations(1) as of
|
||||||||
|
September 30,
2019 |
|
June 30,
2019 |
|
March 31,
2019 |
|
December 31,
2018 |
|
September 30,
2018 |
Rates strategy
|
79%
|
|
76%
|
|
77%
|
|
74%
|
|
76%
|
Credit strategy
|
21%
|
|
24%
|
|
23%
|
|
26%
|
|
24%
|
(1)
|
Capital allocation percentages reflect management’s assessment regarding the extent to which each asset class contributes to total portfolio risk. Does not represent funding allocation or balance sheet financing of such assets.
|
|
Three Months Ended
|
||||||||
|
September 30,
2019 |
|
June 30,
2019 |
|
March 31,
2019 |
|
December 31,
2018 |
|
September 30,
2018 |
Average annualized portfolio yield (1)
|
3.67%
|
|
3.93%
|
|
4.25%
|
|
4.14%
|
|
3.76%
|
Cost of financing (2)
|
2.51%
|
|
2.55%
|
|
2.47%
|
|
2.53%
|
|
2.28%
|
Net portfolio yield
|
1.16%
|
|
1.38%
|
|
1.78%
|
|
1.61%
|
|
1.48%
|
(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 and cap interest rate spread.
|
•
|
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, 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 condensed 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 ownership and management of MSR and prior securitization transactions;
|
•
|
our exposure to counterparties involved in our MSR business and prior securitization transactions 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;
|
•
|
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.
|
(dollars in thousands)
|
September 30,
2019 |
|
December 31,
2018 |
||||||||||
Agency
|
|
|
|
|
|
|
|
||||||
Fixed Rate
|
$
|
24,750,521
|
|
|
87.2
|
%
|
|
$
|
21,665,960
|
|
|
84.6
|
%
|
Hybrid ARM
|
15,662
|
|
|
—
|
%
|
|
19,073
|
|
|
0.1
|
%
|
||
Total Agency
|
24,766,183
|
|
|
87.2
|
%
|
|
21,685,033
|
|
|
84.7
|
%
|
||
Agency Derivatives
|
75,892
|
|
|
0.3
|
%
|
|
70,257
|
|
|
0.3
|
%
|
||
Non-Agency
|
|
|
|
|
|
|
|
||||||
Senior
|
2,990,274
|
|
|
10.5
|
%
|
|
2,854,731
|
|
|
11.1
|
%
|
||
Mezzanine
|
483,009
|
|
|
1.7
|
%
|
|
928,632
|
|
|
3.6
|
%
|
||
Interest-only securities
|
79,092
|
|
|
0.3
|
%
|
|
84,208
|
|
|
0.3
|
%
|
||
Total Non-Agency
|
3,552,375
|
|
|
12.5
|
%
|
|
3,867,571
|
|
|
15.0
|
%
|
||
Total
|
$
|
28,394,450
|
|
|
|
|
$
|
25,622,861
|
|
|
|
|
|
Three Months Ended
|
|||||||||||||
Agency RMBS
|
|
September 30,
2019 |
|
June 30,
2019 |
|
March 31,
2019 |
|
December 31,
2018 |
|
September 30,
2018 |
|||||
Weighted Average CPR
|
|
13.4
|
%
|
|
10.1
|
%
|
|
6.5
|
%
|
|
6.8
|
%
|
|
8.1
|
%
|
|
September 30, 2019
|
||||||||||||||||||||||
(dollars in thousands)
|
Principal/ Current Face
|
|
Carrying Value
|
|
% of Agency Portfolio
|
|
% Prepayment Protected
|
|
Gross Weighted Average Coupon Rate
|
|
Amortized Cost
|
|
Weighted Average Loan Age (months)
|
||||||||||
Agency RMBS AFS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
30-Year Fixed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
3.0%
|
$
|
1,235,468
|
|
|
$
|
1,264,756
|
|
|
5.1
|
%
|
|
100.0
|
%
|
|
3.9
|
%
|
|
$
|
1,266,544
|
|
|
3
|
|
3.5%
|
6,265,723
|
|
|
6,512,005
|
|
|
26.2
|
%
|
|
100.0
|
%
|
|
4.4
|
%
|
|
6,443,871
|
|
|
4
|
|
|||
4.0%
|
8,963,441
|
|
|
9,510,723
|
|
|
38.3
|
%
|
|
100.0
|
%
|
|
4.6
|
%
|
|
9,338,734
|
|
|
22
|
|
|||
4.5%
|
5,101,841
|
|
|
5,491,084
|
|
|
22.1
|
%
|
|
100.0
|
%
|
|
5.0
|
%
|
|
5,347,820
|
|
|
17
|
|
|||
≥ 5%
|
1,557,936
|
|
|
1,691,013
|
|
|
6.8
|
%
|
|
78.9
|
%
|
|
5.8
|
%
|
|
1,648,078
|
|
|
28
|
|
|||
|
23,124,409
|
|
|
24,469,581
|
|
|
98.5
|
%
|
|
98.5
|
%
|
|
4.7
|
%
|
|
24,045,047
|
|
|
16
|
|
|||
Other P&I
|
131,410
|
|
|
147,789
|
|
|
0.6
|
%
|
|
4.1
|
%
|
|
6.7
|
%
|
|
146,532
|
|
|
207
|
|
|||
Interest-only
|
2,757,909
|
|
|
148,813
|
|
|
0.6
|
%
|
|
—
|
%
|
|
4.5
|
%
|
|
179,769
|
|
|
101
|
|
|||
Agency Derivatives
|
415,943
|
|
|
75,892
|
|
|
0.3
|
%
|
|
—
|
%
|
|
6.7
|
%
|
|
59,911
|
|
|
181
|
|
|||
Total Agency RMBS
|
$
|
26,429,671
|
|
|
$
|
24,842,075
|
|
|
100.0
|
%
|
|
97.1
|
%
|
|
|
|
$
|
24,431,259
|
|
|
|
|
December 31, 2018
|
||||||||||||||||||||||
(dollars in thousands)
|
Principal/ Current Face
|
|
Carrying Value
|
|
% of Agency Portfolio
|
|
% Prepayment Protected
|
|
Gross Weighted Average Coupon Rate
|
|
Amortized Cost
|
|
Weighted Average Loan Age (months)
|
||||||||||
Agency RMBS AFS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
30-Year Fixed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
3.0%
|
$
|
3,255
|
|
|
$
|
3,200
|
|
|
—
|
%
|
|
100.0
|
%
|
|
3.6
|
%
|
|
$
|
3,314
|
|
|
47
|
|
3.5%
|
231,068
|
|
|
231,321
|
|
|
1.1
|
%
|
|
100.0
|
%
|
|
4.1
|
%
|
|
232,200
|
|
|
19
|
|
|||
4.0%
|
8,640,859
|
|
|
8,846,367
|
|
|
40.7
|
%
|
|
83.0
|
%
|
|
4.4
|
%
|
|
9,047,282
|
|
|
22
|
|
|||
4.5%
|
10,237,108
|
|
|
10,686,699
|
|
|
49.1
|
%
|
|
99.0
|
%
|
|
5.0
|
%
|
|
10,765,144
|
|
|
16
|
|
|||
≥ 5%
|
1,367,700
|
|
|
1,452,170
|
|
|
6.7
|
%
|
|
74.4
|
%
|
|
5.8
|
%
|
|
1,449,256
|
|
|
24
|
|
|||
|
20,479,990
|
|
|
21,219,757
|
|
|
97.6
|
%
|
|
90.7
|
%
|
|
4.8
|
%
|
|
21,497,196
|
|
|
19
|
|
|||
Other P&I
|
295,800
|
|
|
289,860
|
|
|
1.3
|
%
|
|
0.3
|
%
|
|
5.7
|
%
|
|
291,290
|
|
|
151
|
|
|||
Interest-only
|
3,115,967
|
|
|
175,416
|
|
|
0.8
|
%
|
|
—
|
%
|
|
4.5
|
%
|
|
209,901
|
|
|
92
|
|
|||
Agency Derivatives
|
476,299
|
|
|
70,257
|
|
|
0.3
|
%
|
|
—
|
%
|
|
6.7
|
%
|
|
69,496
|
|
|
173
|
|
|||
Total Agency RMBS
|
$
|
24,368,056
|
|
|
$
|
21,755,290
|
|
|
100.0
|
%
|
|
88.4
|
%
|
|
|
|
$
|
22,067,883
|
|
|
|
|
September 30, 2019
|
||||||||||||||||||
(in thousands)
|
Principal/ Current Face
|
|
Un-amortized Premium
|
|
Accretable Purchase Discount
|
|
Credit Reserve Purchase Discount
|
|
Amortized Cost
|
||||||||||
Principal and interest securities
|
|
|
|
|
|
|
|
|
|
||||||||||
Senior
|
$
|
4,654,131
|
|
|
$
|
7,308
|
|
|
$
|
(359,396
|
)
|
|
$
|
(1,593,708
|
)
|
|
$
|
2,708,335
|
|
Mezzanine
|
635,636
|
|
|
109
|
|
|
(103,577
|
)
|
|
(129,930
|
)
|
|
402,238
|
|
|||||
Total P&I securities
|
5,289,767
|
|
|
7,417
|
|
|
(462,973
|
)
|
|
(1,723,638
|
)
|
|
3,110,573
|
|
|||||
Interest-only
|
4,664,358
|
|
|
83,037
|
|
|
—
|
|
|
—
|
|
|
83,037
|
|
|||||
Total Non-Agency
|
$
|
9,954,125
|
|
|
$
|
90,454
|
|
|
$
|
(462,973
|
)
|
|
$
|
(1,723,638
|
)
|
|
$
|
3,193,610
|
|
|
December 31, 2018
|
||||||||||||||||||
(in thousands)
|
Principal/ Current Face
|
|
Un-amortized Premium
|
|
Accretable Purchase Discount
|
|
Credit Reserve Purchase Discount
|
|
Amortized Cost
|
||||||||||
Principal and interest securities
|
|
|
|
|
|
|
|
|
|
||||||||||
Senior
|
$
|
4,227,631
|
|
|
$
|
5,381
|
|
|
$
|
(477,682
|
)
|
|
$
|
(1,204,325
|
)
|
|
$
|
2,551,005
|
|
Mezzanine
|
1,132,493
|
|
|
1,301
|
|
|
(216,437
|
)
|
|
(118,437
|
)
|
|
798,920
|
|
|||||
Total P&I securities
|
5,360,124
|
|
|
6,682
|
|
|
(694,119
|
)
|
|
(1,322,762
|
)
|
|
3,349,925
|
|
|||||
Interest-only
|
5,137,169
|
|
|
83,846
|
|
|
—
|
|
|
—
|
|
|
83,846
|
|
|||||
Total Non-Agency
|
$
|
10,497,293
|
|
|
$
|
90,528
|
|
|
$
|
(694,119
|
)
|
|
$
|
(1,322,762
|
)
|
|
$
|
3,433,771
|
|
(in thousands, except share data)
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||
Income Statement Data:
|
|
September 30,
|
|
September 30,
|
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
|
(unaudited)
|
|
(unaudited)
|
||||||||||||
Interest income:
|
|
|
|
|
|
|
|
|
||||||||
Available-for-sale securities
|
|
$
|
242,023
|
|
|
$
|
230,607
|
|
|
$
|
731,716
|
|
|
$
|
604,790
|
|
Other
|
|
7,717
|
|
|
6,091
|
|
|
24,536
|
|
|
13,287
|
|
||||
Total interest income
|
|
249,740
|
|
|
236,698
|
|
|
756,252
|
|
|
618,077
|
|
||||
Interest expense:
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements
|
|
176,450
|
|
|
138,343
|
|
|
501,361
|
|
|
322,735
|
|
||||
Federal Home Loan Bank advances
|
|
391
|
|
|
5,301
|
|
|
10,406
|
|
|
14,655
|
|
||||
Revolving credit facilities
|
|
3,964
|
|
|
3,973
|
|
|
15,316
|
|
|
5,776
|
|
||||
Term notes payable
|
|
5,475
|
|
|
—
|
|
|
5,706
|
|
|
—
|
|
||||
Convertible senior notes
|
|
4,797
|
|
|
4,779
|
|
|
14,256
|
|
|
14,204
|
|
||||
Total interest expense
|
|
191,077
|
|
|
152,396
|
|
|
547,045
|
|
|
357,370
|
|
||||
Net interest income
|
|
58,663
|
|
|
84,302
|
|
|
209,207
|
|
|
260,707
|
|
||||
Other-than-temporary impairment losses
|
|
(5,950
|
)
|
|
(95
|
)
|
|
(11,004
|
)
|
|
(363
|
)
|
||||
Other income:
|
|
|
|
|
|
|
|
|
||||||||
Gain (loss) on investment securities
|
|
248,828
|
|
|
(42,996
|
)
|
|
251,977
|
|
|
(95,549
|
)
|
||||
Servicing income
|
|
126,025
|
|
|
89,618
|
|
|
373,922
|
|
|
238,473
|
|
||||
(Loss) gain on servicing asset
|
|
(234,514
|
)
|
|
20,591
|
|
|
(675,920
|
)
|
|
102,251
|
|
||||
Gain (loss) on interest rate swap, cap and swaption agreements
|
|
70,620
|
|
|
75,857
|
|
|
(101,414
|
)
|
|
255,535
|
|
||||
Gain (loss) on other derivative instruments
|
|
85,856
|
|
|
(31,463
|
)
|
|
270,798
|
|
|
(15,735
|
)
|
||||
Other income
|
|
495
|
|
|
907
|
|
|
277
|
|
|
2,695
|
|
||||
Total other income
|
|
297,310
|
|
|
112,514
|
|
|
119,640
|
|
|
487,670
|
|
||||
Expenses:
|
|
|
|
|
|
|
|
|
||||||||
Management fees
|
|
16,839
|
|
|
(5,041
|
)
|
|
42,556
|
|
|
18,120
|
|
||||
Servicing expenses
|
|
17,696
|
|
|
16,433
|
|
|
54,354
|
|
|
42,526
|
|
||||
Other operating expenses
|
|
13,344
|
|
|
17,033
|
|
|
42,913
|
|
|
47,040
|
|
||||
Acquisition transaction costs
|
|
—
|
|
|
86,703
|
|
|
—
|
|
|
86,703
|
|
||||
Restructuring charges
|
|
—
|
|
|
8,238
|
|
|
—
|
|
|
8,238
|
|
||||
Total expenses
|
|
47,879
|
|
|
123,366
|
|
|
139,823
|
|
|
202,627
|
|
||||
Income before income taxes
|
|
302,144
|
|
|
73,355
|
|
|
178,020
|
|
|
545,387
|
|
||||
(Benefit from) provision for income taxes
|
|
(3,556
|
)
|
|
37,409
|
|
|
(11,188
|
)
|
|
35,142
|
|
||||
Net income
|
|
305,700
|
|
|
35,946
|
|
|
189,208
|
|
|
510,245
|
|
||||
Dividends on preferred stock
|
|
18,951
|
|
|
18,951
|
|
|
56,851
|
|
|
46,445
|
|
||||
Net income attributable to common stockholders
|
|
$
|
286,749
|
|
|
$
|
16,995
|
|
|
$
|
132,357
|
|
|
$
|
463,800
|
|
Basic earnings per weighted average common share
|
|
$
|
1.05
|
|
|
$
|
0.08
|
|
|
$
|
0.50
|
|
|
$
|
2.42
|
|
Diluted earnings per weighted average common share
|
|
$
|
1.00
|
|
|
$
|
0.08
|
|
|
$
|
0.50
|
|
|
$
|
2.28
|
|
Dividends declared per common share
|
|
$
|
0.40
|
|
|
$
|
0.47
|
|
|
$
|
1.27
|
|
|
$
|
1.41
|
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|
|
|
||||||||
Basic
|
|
272,897,575
|
|
|
224,399,436
|
|
|
266,114,772
|
|
|
191,846,212
|
|
||||
Diluted
|
|
291,053,718
|
|
|
224,399,436
|
|
|
266,114,772
|
|
|
209,607,146
|
|
(in thousands)
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||
Income Statement Data:
|
|
September 30,
|
|
September 30,
|
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
|
(unaudited)
|
|
(unaudited)
|
||||||||||||
Comprehensive income (loss):
|
|
|
|
|
|
|
|
|
||||||||
Net income
|
|
$
|
305,700
|
|
|
$
|
35,946
|
|
|
$
|
189,208
|
|
|
$
|
510,245
|
|
Other comprehensive (loss) income, net of tax:
|
|
|
|
|
|
|
|
|
||||||||
Unrealized (loss) gain on available-for-sale securities
|
|
(29,164
|
)
|
|
(119,796
|
)
|
|
637,537
|
|
|
(499,460
|
)
|
||||
Other comprehensive (loss) income
|
|
(29,164
|
)
|
|
(119,796
|
)
|
|
637,537
|
|
|
(499,460
|
)
|
||||
Comprehensive income (loss)
|
|
276,536
|
|
|
(83,850
|
)
|
|
826,745
|
|
|
10,785
|
|
||||
Dividends on preferred stock
|
|
18,951
|
|
|
18,951
|
|
|
56,851
|
|
|
46,445
|
|
||||
Comprehensive income (loss) attributable to common stockholders
|
|
$
|
257,585
|
|
|
$
|
(102,801
|
)
|
|
$
|
769,894
|
|
|
$
|
(35,660
|
)
|
(in thousands)
|
|
September 30,
2019 |
|
December 31,
2018 |
||||
Balance Sheet Data:
|
|
|
||||||
|
|
(unaudited)
|
|
|
||||
Available-for-sale securities
|
|
$
|
28,318,558
|
|
|
$
|
25,552,604
|
|
Mortgage servicing rights
|
|
$
|
1,651,556
|
|
|
$
|
1,993,440
|
|
Total assets
|
|
$
|
32,164,227
|
|
|
$
|
30,132,479
|
|
Repurchase agreements
|
|
$
|
25,567,136
|
|
|
$
|
23,133,476
|
|
Federal Home Loan Bank advances
|
|
$
|
50,000
|
|
|
$
|
865,024
|
|
Total stockholders’ equity
|
|
$
|
5,019,580
|
|
|
$
|
4,254,489
|
|
|
Three Months Ended September 30, 2019
|
|
Nine Months Ended September 30, 2019
|
||||||||||||||||||
(dollars in thousands)
|
Average Balance (1)
|
|
Interest Income/Expense
|
|
Net Yield/Cost of Funds (2)
|
|
Average Balance (1)
|
|
Interest Income/Expense
|
|
Net Yield/Cost of Funds (2)
|
||||||||||
Interest-earning assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency available-for-sale securities
|
$
|
25,140,887
|
|
|
$
|
199,121
|
|
|
3.2
|
%
|
|
$
|
23,241,104
|
|
|
$
|
584,980
|
|
|
3.4
|
%
|
Non-Agency available-for-sale securities
|
3,259,772
|
|
|
42,902
|
|
|
5.3
|
%
|
|
3,265,827
|
|
|
146,736
|
|
|
6.0
|
%
|
||||
Other
|
9,430
|
|
|
7,717
|
|
|
4.3
|
%
|
|
17,642
|
|
|
24,536
|
|
|
4.6
|
%
|
||||
Total interest income/net asset yield
|
$
|
28,410,089
|
|
|
$
|
249,740
|
|
|
3.5
|
%
|
|
$
|
26,524,573
|
|
|
$
|
756,252
|
|
|
3.8
|
%
|
Interest-bearing liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase agreements, FHLB advances, revolving credit facilities and term notes payable collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency available-for-sale securities
|
$
|
24,608,562
|
|
|
$
|
160,608
|
|
|
2.6
|
%
|
|
$
|
22,448,615
|
|
|
$
|
445,727
|
|
|
2.6
|
%
|
Non-Agency available-for-sale securities
|
1,462,268
|
|
|
12,879
|
|
|
3.5
|
%
|
|
2,013,227
|
|
|
55,263
|
|
|
3.7
|
%
|
||||
Agency derivatives (3)
|
47,873
|
|
|
392
|
|
|
3.3
|
%
|
|
47,010
|
|
|
1,197
|
|
|
3.4
|
%
|
||||
Mortgage servicing rights (4)
|
946,488
|
|
|
12,401
|
|
|
5.2
|
%
|
|
757,654
|
|
|
30,602
|
|
|
5.4
|
%
|
||||
Other unassignable
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Convertible senior notes
|
284,528
|
|
|
4,797
|
|
|
6.7
|
%
|
|
284,268
|
|
|
14,256
|
|
|
6.7
|
%
|
||||
Total interest expense/cost of funds
|
$
|
27,349,719
|
|
|
191,077
|
|
|
2.8
|
%
|
|
$
|
25,550,774
|
|
|
547,045
|
|
|
2.9
|
%
|
||
Net interest income/spread (5)
|
|
|
$
|
58,663
|
|
|
0.7
|
%
|
|
|
|
$
|
209,207
|
|
|
0.9
|
%
|
|
Three Months Ended September 30, 2018
|
|
Nine Months Ended September 30, 2018
|
||||||||||||||||||
(dollars in thousands)
|
Average Balance (1)
|
|
Interest Income/Expense
|
|
Net Yield/Cost of Funds (2)
|
|
Average Balance (1)
|
|
Interest Income/Expense
|
|
Net Yield/Cost of Funds (2)
|
||||||||||
Interest-earning assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency available-for-sale securities
|
$
|
22,443,273
|
|
|
$
|
174,459
|
|
|
3.1
|
%
|
|
$
|
19,278,634
|
|
|
$
|
443,584
|
|
|
3.1
|
%
|
Non-Agency available-for-sale securities
|
3,027,030
|
|
|
56,148
|
|
|
7.4
|
%
|
|
2,764,818
|
|
|
161,206
|
|
|
7.8
|
%
|
||||
Other
|
29,249
|
|
|
6,091
|
|
|
4.5
|
%
|
|
30,686
|
|
|
13,287
|
|
|
4.3
|
%
|
||||
Total interest income/net asset yield
|
$
|
25,499,552
|
|
|
$
|
236,698
|
|
|
3.7
|
%
|
|
$
|
22,074,138
|
|
|
$
|
618,077
|
|
|
3.7
|
%
|
Interest-bearing liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase agreements, FHLB advances, revolving credit facilities and term notes payable collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency available-for-sale securities
|
$
|
20,793,417
|
|
|
$
|
119,197
|
|
|
2.3
|
%
|
|
$
|
18,206,059
|
|
|
$
|
271,772
|
|
|
2.0
|
%
|
Non-Agency available-for-sale securities
|
2,282,735
|
|
|
20,803
|
|
|
3.6
|
%
|
|
2,181,769
|
|
|
55,970
|
|
|
3.4
|
%
|
||||
Agency derivatives (3)
|
53,834
|
|
|
427
|
|
|
3.2
|
%
|
|
59,185
|
|
|
1,246
|
|
|
2.8
|
%
|
||||
Mortgage servicing rights (4)
|
508,550
|
|
|
7,190
|
|
|
5.7
|
%
|
|
349,664
|
|
|
14,178
|
|
|
5.4
|
%
|
||||
Other unassignable
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Convertible senior notes
|
283,453
|
|
|
4,779
|
|
|
6.7
|
%
|
|
283,211
|
|
|
14,204
|
|
|
6.7
|
%
|
||||
Total interest expense/cost of funds
|
$
|
23,921,989
|
|
|
152,396
|
|
|
2.5
|
%
|
|
$
|
21,079,888
|
|
|
357,370
|
|
|
2.3
|
%
|
||
Net interest income/spread (5)
|
|
|
$
|
84,302
|
|
|
1.2
|
%
|
|
|
|
$
|
260,707
|
|
|
1.4
|
%
|
(1)
|
Average asset balance represents average amortized cost on AFS securities and Agency Derivatives.
|
(2)
|
Cost of funds does not include the accrual and settlement of interest associated with interest rate swaps and caps. In accordance with U.S. GAAP, those costs are included in (loss) gain on interest rate swap, cap and swaption agreements in the condensed consolidated statements of comprehensive income (loss). For the three and nine months ended September 30, 2019, our total average cost of funds on the assets assigned as collateral for borrowings shown in the table above, including interest spread expense associated with interest rate swaps and caps, was 2.5% and 2.5%, respectively, compared to 2.3% and 2.1% for the same periods in 2018.
|
(3)
|
Yields on Agency Derivatives not shown as interest income is included in gain (loss) on other derivative instruments in the condensed consolidated statements of comprehensive income (loss).
|
(4)
|
Yields on mortgage servicing rights not shown as these assets do not earn interest.
|
(5)
|
Net interest spread does not include the accrual and settlement of interest associated with interest rate swaps and caps. In accordance with U.S. GAAP, those costs are included in gain (loss) on interest rate swap, cap and swaption agreements in the condensed consolidated statements of comprehensive income (loss). For the three and nine months ended September 30, 2019, our total average net interest rate spread on the assets and liabilities shown in the table above, including interest spread expense associated with interest rate swaps and caps, was 0.9% and 1.2%, respectively, compared to 1.3% and 1.6% for the same periods in 2018.
|
|
Three Months Ended September 30, 2019
|
|
Nine Months Ended September 30, 2019
|
||||||||||||||
|
Agency (1)
|
|
Non-Agency
|
|
Total
|
|
Agency (1)
|
|
Non-Agency
|
|
Total
|
||||||
Gross yield/stated coupon
|
4.1
|
%
|
|
4.8
|
%
|
|
4.2
|
%
|
|
4.2
|
%
|
|
4.8
|
%
|
|
4.3
|
%
|
Net (premium amortization) discount accretion
|
(0.9
|
)%
|
|
0.5
|
%
|
|
(0.8
|
)%
|
|
(0.8
|
)%
|
|
1.2
|
%
|
|
(0.6
|
)%
|
Net yield (2)
|
3.2
|
%
|
|
5.3
|
%
|
|
3.4
|
%
|
|
3.4
|
%
|
|
6.0
|
%
|
|
3.7
|
%
|
|
Three Months Ended September 30, 2018
|
|
Nine Months Ended September 30, 2018
|
||||||||||||||
|
Agency (1)
|
|
Non-Agency
|
|
Total
|
|
Agency (1)
|
|
Non-Agency
|
|
Total
|
||||||
Gross yield/stated coupon
|
4.0
|
%
|
|
4.8
|
%
|
|
4.1
|
%
|
|
4.0
|
%
|
|
4.7
|
%
|
|
4.1
|
%
|
Net (premium amortization) discount accretion
|
(0.9
|
)%
|
|
2.6
|
%
|
|
(0.5
|
)%
|
|
(0.9
|
)%
|
|
3.1
|
%
|
|
(0.4
|
)%
|
Net yield (2)
|
3.1
|
%
|
|
7.4
|
%
|
|
3.6
|
%
|
|
3.1
|
%
|
|
7.8
|
%
|
|
3.7
|
%
|
(1)
|
Excludes Agency Derivatives. For the three and nine months ended September 30, 2019, the average annualized net yield on total Agency RMBS, including Agency Derivatives, was 3.2% and 3.4%, respectively, compared to 3.1% and 3.1% for the same periods in 2018.
|
(2)
|
These yields have not been adjusted for cost of delay and cost to carry purchase premiums.
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||
|
September 30,
|
|
September 30,
|
||||||||||||
(in thousands)
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Net interest spread
|
$
|
19,151
|
|
|
$
|
16,237
|
|
|
$
|
65,746
|
|
|
$
|
33,886
|
|
Early termination, agreement maturation and option expiration gains (losses)
|
75,409
|
|
|
(39,866
|
)
|
|
96,423
|
|
|
32,164
|
|
||||
Change in unrealized (loss) gain on interest rate swap, cap and swaption agreements, at fair value
|
(23,940
|
)
|
|
99,486
|
|
|
(263,583
|
)
|
|
189,485
|
|
||||
Gain (loss) on interest rate swap, cap and swaption agreements
|
$
|
70,620
|
|
|
$
|
75,857
|
|
|
$
|
(101,414
|
)
|
|
$
|
255,535
|
|
|
September 30, 2019
|
|||||||||||||||||||||||||||||
(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
|
|||||||||||||||
P&I securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Fixed
|
$
|
23,241,167
|
|
|
$
|
935,027
|
|
|
$
|
24,176,194
|
|
|
$
|
431,036
|
|
|
$
|
(5,522
|
)
|
|
$
|
24,601,708
|
|
|
4.02
|
%
|
|
$
|
104.23
|
|
Hybrid ARM
|
14,652
|
|
|
733
|
|
|
15,385
|
|
|
456
|
|
|
(179
|
)
|
|
15,662
|
|
|
6.29
|
%
|
|
$
|
108.47
|
|
||||||
Total P&I securities
|
23,255,819
|
|
|
935,760
|
|
|
24,191,579
|
|
|
431,492
|
|
|
(5,701
|
)
|
|
24,617,370
|
|
|
4.02
|
%
|
|
$
|
104.23
|
|
||||||
Interest-only securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Fixed
|
653,460
|
|
|
47,211
|
|
|
47,211
|
|
|
4,456
|
|
|
(490
|
)
|
|
51,177
|
|
|
2.93
|
%
|
|
$
|
34.97
|
|
||||||
Fixed Other (1)
|
2,104,449
|
|
|
132,558
|
|
|
132,558
|
|
|
11,425
|
|
|
(46,347
|
)
|
|
97,636
|
|
|
1.61
|
%
|
|
$
|
8.71
|
|
||||||
Total
|
$
|
26,013,728
|
|
|
$
|
1,115,529
|
|
|
$
|
24,371,348
|
|
|
$
|
447,373
|
|
|
$
|
(52,538
|
)
|
|
$
|
24,766,183
|
|
|
|
|
|
(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 P&I securities.
|
|
September 30, 2019
|
||||||||||||||||||||||||||||||
(in thousands)
|
Principal/Current Face
|
|
Un-amortized Premium
|
|
Accretable Purchase Discount
|
|
Credit Reserve Purchase Discount
|
|
Amortized Cost
|
|
Unrealized Gain
|
|
Unrealized Loss
|
|
Carrying Value
|
||||||||||||||||
P&I securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Senior
|
$
|
4,654,131
|
|
|
$
|
7,308
|
|
|
$
|
(359,396
|
)
|
|
$
|
(1,593,708
|
)
|
|
$
|
2,708,335
|
|
|
$
|
296,287
|
|
|
$
|
(14,348
|
)
|
|
$
|
2,990,274
|
|
Mezzanine
|
635,636
|
|
|
109
|
|
|
(103,577
|
)
|
|
(129,930
|
)
|
|
402,238
|
|
|
83,949
|
|
|
(3,178
|
)
|
|
483,009
|
|
||||||||
Total P&I
|
5,289,767
|
|
|
7,417
|
|
|
(462,973
|
)
|
|
(1,723,638
|
)
|
|
3,110,573
|
|
|
380,236
|
|
|
(17,526
|
)
|
|
3,473,283
|
|
||||||||
Interest-only securities
|
4,664,358
|
|
|
83,037
|
|
|
—
|
|
|
—
|
|
|
83,037
|
|
|
4,393
|
|
|
(8,338
|
)
|
|
79,092
|
|
||||||||
Total
|
$
|
9,954,125
|
|
|
$
|
90,454
|
|
|
$
|
(462,973
|
)
|
|
$
|
(1,723,638
|
)
|
|
$
|
3,193,610
|
|
|
$
|
384,629
|
|
|
$
|
(25,864
|
)
|
|
$
|
3,552,375
|
|
|
|
September 30, 2019
|
||||||||||
Non-Agency P&I Securities
|
|
Senior
|
|
Mezzanine
|
|
Total
|
||||||
Carrying value (in thousands)
|
|
$
|
2,990,274
|
|
|
$
|
483,009
|
|
|
$
|
3,473,283
|
|
% of total
|
|
86.1
|
%
|
|
13.9
|
%
|
|
100.0
|
%
|
|||
Weighted average purchase price (1)
|
|
$
|
63.32
|
|
|
$
|
65.52
|
|
|
$
|
63.63
|
|
Weighted average coupon
|
|
3.0
|
%
|
|
2.8
|
%
|
|
3.0
|
%
|
|||
Weighted average fixed coupon
|
|
5.8
|
%
|
|
5.8
|
%
|
|
5.8
|
%
|
|||
Weighted average floating coupon
|
|
2.7
|
%
|
|
2.5
|
%
|
|
2.7
|
%
|
|||
Weighted average hybrid coupon
|
|
4.3
|
%
|
|
5.5
|
%
|
|
4.5
|
%
|
|||
Collateral attributes
|
|
|
|
|
|
|
||||||
Weighted average loan age (months)
|
|
157
|
|
|
164
|
|
|
158
|
|
|||
Weighted average current loan size (in thousands)
|
|
$
|
208
|
|
|
$
|
262
|
|
|
$
|
216
|
|
Weighted average current loan-to-value
|
|
61.0
|
%
|
|
58.9
|
%
|
|
60.7
|
%
|
|||
Current performance
|
|
|
|
|
|
|
||||||
60+ day delinquencies
|
|
18.6
|
%
|
|
16.7
|
%
|
|
18.3
|
%
|
|||
Average credit enhancement (2)
|
|
1.9
|
%
|
|
7.8
|
%
|
|
2.8
|
%
|
|||
3-month CPR (3)
|
|
5.6
|
%
|
|
7.8
|
%
|
|
5.9
|
%
|
|||
CDR
|
|
4.2
|
%
|
|
5.5
|
%
|
|
4.4
|
%
|
|||
Severity
|
|
48.8
|
%
|
|
33.3
|
%
|
|
46.7
|
%
|
|||
Cumulative loss
|
|
36.3
|
%
|
|
21.3
|
%
|
|
34.2
|
%
|
(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 securities, excluding our non-Agency interest-only portfolio, would be $59.31, $60.11 and $59.41, respectively, at September 30, 2019.
|
(2)
|
Average credit enhancement remaining on our non-Agency P&I securities portfolio, which is the average amount of protection available to absorb future credit losses due to defaults on the underlying collateral.
|
(3)
|
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.
|
|
|
September 30, 2019
|
|||||||||||||||||||
|
|
Non-Agency P&I Securities
|
|||||||||||||||||||
(dollars in thousands)
|
|
Senior
|
|
Mezzanine
|
|
Total
|
|||||||||||||||
Collateral Type
|
|
Carrying Value
|
|
% of Senior
|
|
Carrying Value
|
|
% of Mezzanine
|
|
Carrying Value
|
|
% of Total
|
|||||||||
Prime
|
|
$
|
28,189
|
|
|
0.9
|
%
|
|
$
|
9,050
|
|
|
1.9
|
%
|
|
$
|
37,239
|
|
|
1.1
|
%
|
Alt-A
|
|
373,196
|
|
|
12.5
|
%
|
|
83,148
|
|
|
17.2
|
%
|
|
456,344
|
|
|
13.1
|
%
|
|||
POA
|
|
151,795
|
|
|
5.1
|
%
|
|
161,948
|
|
|
33.5
|
%
|
|
313,743
|
|
|
9.0
|
%
|
|||
Subprime
|
|
2,432,613
|
|
|
81.4
|
%
|
|
228,863
|
|
|
47.4
|
%
|
|
2,661,476
|
|
|
76.7
|
%
|
|||
Other
|
|
4,481
|
|
|
0.1
|
%
|
|
—
|
|
|
—
|
%
|
|
4,481
|
|
|
0.1
|
%
|
|||
Total
|
|
$
|
2,990,274
|
|
|
100.0
|
%
|
|
$
|
483,009
|
|
|
100.0
|
%
|
|
$
|
3,473,283
|
|
|
100.0
|
%
|
|
|
September 30, 2019
|
|||||||||||||||||||
|
|
Non-Agency P&I Securities
|
|||||||||||||||||||
(dollars in thousands)
|
|
Senior
|
|
Mezzanine
|
|
Total
|
|||||||||||||||
Coupon Type
|
|
Carrying Value
|
|
% of Senior
|
|
Carrying Value
|
|
% of Mezzanine
|
|
Carrying Value
|
|
% of Total
|
|||||||||
Fixed rate
|
|
$
|
254,300
|
|
|
8.5
|
%
|
|
$
|
27,268
|
|
|
5.6
|
%
|
|
$
|
281,568
|
|
|
8.1
|
%
|
Hybrid or floating
|
|
2,735,974
|
|
|
91.5
|
%
|
|
455,741
|
|
|
94.4
|
%
|
|
3,191,715
|
|
|
91.9
|
%
|
|||
Total
|
|
$
|
2,990,274
|
|
|
100.0
|
%
|
|
$
|
483,009
|
|
|
100.0
|
%
|
|
$
|
3,473,283
|
|
|
100.0
|
%
|
|
|
September 30, 2019
|
|||||||||||||||||||
|
|
Non-Agency P&I Securities
|
|||||||||||||||||||
(dollars in thousands)
|
|
Senior
|
|
Mezzanine
|
|
Total
|
|||||||||||||||
Origination Year
|
|
Carrying Value
|
|
% of Senior
|
|
Carrying Value
|
|
% of Mezzanine
|
|
Carrying Value
|
|
% of Total
|
|||||||||
2006 and thereafter
|
|
$
|
2,795,791
|
|
|
93.5
|
%
|
|
$
|
256,216
|
|
|
53.0
|
%
|
|
$
|
3,052,007
|
|
|
87.9
|
%
|
2002-2005
|
|
193,883
|
|
|
6.5
|
%
|
|
226,694
|
|
|
47.0
|
%
|
|
420,577
|
|
|
12.1
|
%
|
|||
Pre-2002
|
|
600
|
|
|
—
|
%
|
|
99
|
|
|
—
|
%
|
|
699
|
|
|
—
|
%
|
|||
Total
|
|
$
|
2,990,274
|
|
|
100.0
|
%
|
|
$
|
483,009
|
|
|
100.0
|
%
|
|
$
|
3,473,283
|
|
|
100.0
|
%
|
|
September 30, 2019
|
|||||||||||||||||||||||||||||||||
(dollars in thousands)
|
Number of Loans
|
|
Unpaid Principal Balance
|
|
Fair Value
|
|
% Fannie Mae
|
|
Gross Weighted Average Coupon Rate
|
|
Weighted Average Loan Age (months)
|
|
Weighted Average Original FICO
|
|
Weighted Average Original LTV
|
|
60+ Day Delinquencies
|
|
3-Month CPR
|
|
Net Servicing Fee (bps)
|
|||||||||||||
30-Year Fixed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
≤ 3.75%
|
91,609
|
|
|
$
|
23,622,904
|
|
|
$
|
248,427
|
|
|
75.2
|
%
|
|
3.5
|
%
|
|
49
|
|
|
770
|
|
|
69.7
|
%
|
|
0.1
|
%
|
|
11.3
|
%
|
|
25.3
|
|
> 3.75 - 4.25%
|
212,196
|
|
|
51,893,607
|
|
|
533,613
|
|
|
68.3
|
%
|
|
3.9
|
%
|
|
39
|
|
|
760
|
|
|
75.9
|
%
|
|
0.2
|
%
|
|
15.5
|
%
|
|
26.0
|
|
||
> 4.25 - 4.75%
|
191,980
|
|
|
43,960,380
|
|
|
433,990
|
|
|
66.4
|
%
|
|
4.4
|
%
|
|
30
|
|
|
745
|
|
|
78.8
|
%
|
|
0.4
|
%
|
|
24.5
|
%
|
|
26.1
|
|
||
> 4.75 - 5.25%
|
100,078
|
|
|
21,392,716
|
|
|
216,418
|
|
|
65.7
|
%
|
|
4.9
|
%
|
|
22
|
|
|
733
|
|
|
80.5
|
%
|
|
0.6
|
%
|
|
31.7
|
%
|
|
28.0
|
|
||
> 5.25%
|
35,406
|
|
|
6,340,674
|
|
|
62,167
|
|
|
70.3
|
%
|
|
5.5
|
%
|
|
20
|
|
|
709
|
|
|
80.3
|
%
|
|
0.9
|
%
|
|
29.3
|
%
|
|
30.8
|
|
||
|
631,269
|
|
|
147,210,281
|
|
|
1,494,615
|
|
|
68.5
|
%
|
|
4.2
|
%
|
|
35
|
|
|
751
|
|
|
76.6
|
%
|
|
0.3
|
%
|
|
21.0
|
%
|
|
26.4
|
|
||
15-Year Fixed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
≤ 2.75%
|
2,202
|
|
|
456,212
|
|
|
4,027
|
|
|
82.0
|
%
|
|
2.6
|
%
|
|
43
|
|
|
777
|
|
|
59.4
|
%
|
|
0.1
|
%
|
|
9.0
|
%
|
|
26.1
|
|
||
> 2.75 - 3.25%
|
35,460
|
|
|
6,050,907
|
|
|
50,688
|
|
|
85.7
|
%
|
|
2.9
|
%
|
|
49
|
|
|
771
|
|
|
61.6
|
%
|
|
—
|
%
|
|
11.2
|
%
|
|
25.5
|
|
||
> 3.25 - 3.75%
|
35,603
|
|
|
5,581,539
|
|
|
49,764
|
|
|
79.1
|
%
|
|
3.4
|
%
|
|
40
|
|
|
758
|
|
|
64.6
|
%
|
|
0.1
|
%
|
|
14.3
|
%
|
|
26.9
|
|
||
> 3.75 - 4.25%
|
20,021
|
|
|
2,882,477
|
|
|
26,801
|
|
|
67.4
|
%
|
|
3.9
|
%
|
|
29
|
|
|
746
|
|
|
65.8
|
%
|
|
0.2
|
%
|
|
20.4
|
%
|
|
29.0
|
|
||
> 4.25%
|
11,848
|
|
|
1,508,153
|
|
|
13,799
|
|
|
62.3
|
%
|
|
4.5
|
%
|
|
19
|
|
|
734
|
|
|
66.7
|
%
|
|
0.3
|
%
|
|
24.5
|
%
|
|
31.4
|
|
||
|
105,134
|
|
|
16,479,288
|
|
|
145,079
|
|
|
78.0
|
%
|
|
3.4
|
%
|
|
39
|
|
|
759
|
|
|
63.8
|
%
|
|
0.1
|
%
|
|
15.2
|
%
|
|
27.1
|
|
||
Total ARMs
|
6,320
|
|
|
1,642,964
|
|
|
11,862
|
|
|
71.6
|
%
|
|
3.7
|
%
|
|
41
|
|
|
762
|
|
|
65.5
|
%
|
|
0.4
|
%
|
|
29.5
|
%
|
|
25.1
|
|
||
Total
|
742,723
|
|
|
$
|
165,332,533
|
|
|
$
|
1,651,556
|
|
|
69.5
|
%
|
|
4.1
|
%
|
|
35
|
|
|
752
|
|
|
75.2
|
%
|
|
0.3
|
%
|
|
20.5
|
%
|
|
26.5
|
|
(dollars in thousands)
|
|
September 30, 2019
|
||||||||
Collateral Type
|
|
Amount Outstanding
|
|
Weighted Average Borrowing Rate
|
|
Weighted Average Haircut on Collateral Value
|
||||
Agency RMBS
|
|
$
|
24,084,991
|
|
|
2.41
|
%
|
|
4.1
|
%
|
Non-Agency securities
|
|
1,220,669
|
|
|
3.34
|
%
|
|
25.0
|
%
|
|
Agency Derivatives
|
|
48,615
|
|
|
3.08
|
%
|
|
26.4
|
%
|
|
Mortgage servicing rights
|
|
957,096
|
|
|
4.45
|
%
|
|
31.7
|
%
|
|
Other (1)
|
|
284,635
|
|
|
6.25
|
%
|
|
NA
|
|
|
Total
|
|
$
|
26,596,006
|
|
|
2.57
|
%
|
|
6.0
|
%
|
(1)
|
Includes unsecured convertible senior notes paying interest semiannually at a rate of 6.25% per annum on the aggregate principal amount of $287.5 million.
|
(dollars in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
For the Three Months Ended
|
|
Quarterly Average
|
|
End of Period Balance
|
|
Maximum Balance of Any Month-End
|
|
End of Period Total Borrowings to Equity Ratio
|
|
End of Period Net Long (Short) TBA Notional
|
|
End of Period Economic Debt-to-Equity Ratio (1)
|
||||||||
September 30, 2019
|
|
$
|
27,349,719
|
|
|
$
|
26,596,006
|
|
|
$
|
28,168,892
|
|
|
5.3:1.0
|
|
$
|
9,863,000
|
|
|
7.2:1.0
|
June 30, 2019
|
|
$
|
26,640,949
|
|
|
$
|
28,896,436
|
|
|
$
|
29,132,756
|
|
|
5.9:1.0
|
|
$
|
9,422,000
|
|
|
7.8:1.0
|
March 31, 2019
|
|
$
|
22,661,656
|
|
|
$
|
21,254,108
|
|
|
$
|
23,685,031
|
|
|
4.5:1.0
|
|
$
|
10,168,000
|
|
|
6.5:1.0
|
December 31, 2018
|
|
$
|
23,276,768
|
|
|
$
|
24,592,356
|
|
|
$
|
24,592,356
|
|
|
5.8:1.0
|
|
$
|
6,484,000
|
|
|
7.2:1.0
|
September 30, 2018
|
|
$
|
23,921,989
|
|
|
$
|
25,265,210
|
|
|
$
|
27,528,323
|
|
|
5.4:1.0
|
|
$
|
9,324,000
|
|
|
7.3:1.0
|
(1)
|
Defined as total borrowings under repurchase agreements, FHLB advances, revolving credit facilities, term notes payable and convertible senior notes, plus implied debt on net TBA notional, divided by total equity.
|
(dollars in millions, except per share amounts)
|
Book Value
|
|
Common Shares Outstanding
|
|
Common Book Value Per Share
|
|||||
Common stockholders' equity at June 30, 2019
|
$
|
3,867.5
|
|
|
272.9
|
|
|
$
|
14.17
|
|
Core Earnings, including dollar roll income, net of tax expense of $2.0 million ⁽¹⁾⁽²⁾
|
84.0
|
|
|
|
|
|
||||
Dividends on preferred stock
|
(19.0
|
)
|
|
|
|
|
||||
Core Earnings attributable to common stockholders, including dollar roll income, net of tax expense of $2.0 million ⁽¹⁾⁽²⁾
|
65.0
|
|
|
|
|
|
||||
Realized and unrealized gains and losses, net of tax benefit of $5.6 million
|
221.7
|
|
|
|
|
|
||||
Other comprehensive loss, net of tax
|
(29.1
|
)
|
|
|
|
|
||||
Dividend declaration
|
(109.2
|
)
|
|
|
|
|
||||
Other
|
2.2
|
|
|
—
|
|
|
|
|||
Issuance of common stock, net of offering costs
|
0.2
|
|
|
—
|
|
|
|
|||
Common stockholders' equity at September 30, 2019
|
$
|
4,018.3
|
|
|
272.9
|
|
|
$
|
14.72
|
|
Total preferred stock liquidation preference
|
1,001.3
|
|
|
|
|
|
||||
Total equity at September 30, 2019
|
$
|
5,019.6
|
|
|
|
|
|
|
Three Months Ended
|
||
(in millions)
|
September 30,
2019 |
||
Comprehensive income attributable to common stockholders
|
$
|
257.6
|
|
Adjustment for other comprehensive income attributable to common stockholders:
|
|
||
Unrealized losses on available-for-sale securities
|
29.1
|
|
|
Net loss attributable to common stockholders
|
286.7
|
|
|
Adjustments for non-Core Earnings:
|
|
||
Other-than-temporary impairments and loss recovery adjustments
|
7.3
|
|
|
Realized gain on investment securities
|
(250.2
|
)
|
|
Unrealized loss on investment securities
|
1.4
|
|
|
Realized and unrealized losses on mortgage servicing rights
|
161.2
|
|
|
Realized gain on termination or expiration of interest rate swaps, caps and swaptions
|
(75.4
|
)
|
|
Unrealized loss on interest rate swaps, caps and swaptions
|
23.9
|
|
|
Gains on other derivative instruments
|
(85.9
|
)
|
|
Other income
|
(0.1
|
)
|
|
Change in servicing reserves
|
(0.3
|
)
|
|
Non-cash equity compensation expense
|
2.0
|
|
|
Net benefit for income taxes on non-Core Earnings
|
(5.6
|
)
|
|
Core Earnings attributable to common stockholders, including dollar roll income (1)(2)
|
$
|
65.0
|
|
(1)
|
Core Earnings, including dollar roll income, is a non-U.S. GAAP measure that we define as comprehensive income (loss) attributable to common stockholders, excluding “realized and unrealized gains and losses” (impairment losses, realized and unrealized gains and losses on the aggregate portfolio, reserve expense for representation and warranty obligations on MSR and non-cash compensation expense related to restricted common stock). As defined, Core Earnings, including dollar roll income, includes interest income or expense and premium income or loss on derivative instruments and servicing income, net of estimated amortization on MSR. Dollar roll income is the economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements.
|
(2)
|
Beginning with the period ended June 30, 2019, the company refined the MSR amortization method utilized in the calculation of Core Earnings, including dollar roll income. The new method includes an adjustment for any gain or loss on the capital used to purchase the MSR and allows Core Earnings to better reflect how the carry earned on MSR varies as a function of prepayment rates.
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||
(dollars in thousands)
|
Amount Outstanding
|
|
Net Counterparty Exposure(1)
|
|
Percent of Funding
|
|
Amount Outstanding
|
|
Net Counterparty Exposure(1)
|
|
Percent of Funding
|
||||||||||
North America
|
$
|
11,480,356
|
|
|
$
|
813,491
|
|
|
50.6
|
%
|
|
$
|
12,061,693
|
|
|
$
|
1,120,101
|
|
|
55.4
|
%
|
Europe (2)
|
9,073,593
|
|
|
573,462
|
|
|
35.7
|
%
|
|
6,728,245
|
|
|
646,000
|
|
|
31.9
|
%
|
||||
Asia (2)
|
5,013,187
|
|
|
221,448
|
|
|
13.7
|
%
|
|
4,343,538
|
|
|
255,973
|
|
|
12.7
|
%
|
||||
Total
|
$
|
25,567,136
|
|
|
$
|
1,608,401
|
|
|
100.0
|
%
|
|
$
|
23,133,476
|
|
|
$
|
2,022,074
|
|
|
100.0
|
%
|
(1)
|
Represents the net carrying value of the 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.
|
(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.
|
(2)
|
Commitment fee charged on unused capacity.
|
(3)
|
This repurchase facility is secured by MSR notes, which are collateralized by our MSR.
|
•
|
Total indebtedness to net worth must be less than a specified threshold ratio in a repurchase agreement. As of September 30, 2019, our debt to net worth, as defined, was 5.4:1.0 while our threshold ratio, as defined, was 6.9:1.0.
|
•
|
Cash liquidity must be greater than $100.0 million. As of September 30, 2019, our liquidity, as defined, was $740.7 million.
|
•
|
Net worth must be greater than $1.5 billion or 50% of the highest net worth during the 24 calendar months prior, whichever is higher. As of September 30, 2019, 50% of the highest net worth during the 24 calendar months prior was $2.6 billion and our net worth, as defined, was $5.0 billion.
|
(in thousands)
|
September 30,
2019 |
|
December 31,
2018 |
||||
Available-for-sale securities, at fair value
|
$
|
26,406,106
|
|
|
$
|
25,157,999
|
|
Mortgage servicing rights, at fair value
|
1,581,925
|
|
|
1,143,918
|
|
||
Restricted cash
|
321,975
|
|
|
416,696
|
|
||
Due from counterparties
|
133,634
|
|
|
110,695
|
|
||
Derivative assets, at fair value
|
75,834
|
|
|
70,191
|
|
||
U.S. Treasuries, at fair value (1)
|
—
|
|
|
6,457
|
|
||
Total
|
$
|
28,519,474
|
|
|
$
|
26,905,956
|
|
(1)
|
U.S. Treasuries received as collateral and re-pledged.
|
(in thousands)
|
September 30,
2019 |
|
December 31,
2018 |
||||
Within 30 days
|
$
|
7,154,312
|
|
|
$
|
7,488,869
|
|
30 to 59 days
|
6,779,395
|
|
|
5,077,598
|
|
||
60 to 89 days
|
93,353
|
|
|
5,655,060
|
|
||
90 to 119 days
|
3,791,686
|
|
|
1,938,859
|
|
||
120 to 364 days
|
7,485,529
|
|
|
3,508,114
|
|
||
One to three years
|
847,496
|
|
|
300,000
|
|
||
Three to five years
|
394,235
|
|
|
573,856
|
|
||
Five to ten years
|
—
|
|
|
—
|
|
||
Ten years and over
|
50,000
|
|
|
50,000
|
|
||
Total
|
$
|
26,596,006
|
|
|
$
|
24,592,356
|
|
•
|
Cash flows from operating activities. For the three months ended September 30, 2019, operating activities increased our cash balances by approximately $323.6 million, primarily driven by our financial results for the quarter.
|
•
|
Cash flows from investing activities. For the three months ended September 30, 2019, investing activities increased our cash balances by approximately $2.6 billion, primarily driven by sales, net of purchases, and principal payments received on AFS securities as well as an increase in payables due to broker counterparties for settling of securities sales made in the second quarter.
|
•
|
Cash flows from financing activities. For the three months ended September 30, 2019, financing activities decreased our cash balance by approximately $2.4 billion, primarily driven by decreased repurchase agreements on AFS securities sales.
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||||||||
Index Type
|
|
Floating
|
|
Hybrid (1)
|
|
Total
|
|
Index %
|
|
Floating
|
|
Hybrid (1)
|
|
Total
|
|
Index %
|
||||||||||||||
CMT
|
|
$
|
—
|
|
|
$
|
12,695
|
|
|
$
|
12,695
|
|
|
—
|
%
|
|
$
|
9,502
|
|
|
$
|
15,423
|
|
|
$
|
24,925
|
|
|
1
|
%
|
LIBOR
|
|
3,179,354
|
|
|
8,796
|
|
|
3,188,150
|
|
|
93
|
%
|
|
3,374,141
|
|
|
9,278
|
|
|
3,383,419
|
|
|
93
|
%
|
||||||
Other (2)
|
|
48,508
|
|
|
160,691
|
|
|
209,199
|
|
|
7
|
%
|
|
50,597
|
|
|
165,054
|
|
|
215,651
|
|
|
6
|
%
|
||||||
Total
|
|
$
|
3,227,862
|
|
|
$
|
182,182
|
|
|
$
|
3,410,044
|
|
|
100
|
%
|
|
$
|
3,434,240
|
|
|
$
|
189,755
|
|
|
$
|
3,623,995
|
|
|
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)
|
-50 bps
|
|
-25 bps
|
|
+25 bps
|
|
+50 bps
|
||||||||
Change in annualized net interest income (1):
|
$
|
(36,806
|
)
|
|
$
|
(18,425
|
)
|
|
$
|
18,417
|
|
|
$
|
36,834
|
|
% change in net interest income (1)
|
(7.3
|
)%
|
|
(3.7
|
)%
|
|
3.7
|
%
|
|
7.3
|
%
|
||||
Change in value of financial position:
|
|
|
|
|
|
|
|
||||||||
Available-for-sale securities
|
$
|
317,439
|
|
|
$
|
150,259
|
|
|
$
|
(176,030
|
)
|
|
$
|
(415,719
|
)
|
As a % of common equity
|
7.9
|
%
|
|
3.7
|
%
|
|
(4.4
|
)%
|
|
(10.3
|
)%
|
||||
Mortgage servicing rights
|
$
|
(285,186
|
)
|
|
$
|
(144,881
|
)
|
|
$
|
144,705
|
|
|
$
|
283,254
|
|
As a % of common equity
|
(7.1
|
)%
|
|
(3.6
|
)%
|
|
3.6
|
%
|
|
7.0
|
%
|
||||
Derivatives, net
|
$
|
53,455
|
|
|
$
|
31,196
|
|
|
$
|
(41,018
|
)
|
|
$
|
(90,729
|
)
|
As a % of common equity
|
1.3
|
%
|
|
0.8
|
%
|
|
(1.0
|
)%
|
|
(2.3
|
)%
|
||||
Reverse repurchase agreements
|
$
|
38
|
|
|
$
|
19
|
|
|
$
|
(19
|
)
|
|
$
|
(38
|
)
|
As a % of common equity
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
||||
Repurchase agreements
|
$
|
(27,802
|
)
|
|
$
|
(13,901
|
)
|
|
$
|
13,901
|
|
|
$
|
27,802
|
|
As a % of common equity
|
(0.7
|
)%
|
|
(0.3
|
)%
|
|
0.3
|
%
|
|
0.7
|
%
|
||||
Federal Home Loan Bank advances
|
$
|
(10
|
)
|
|
$
|
(5
|
)
|
|
$
|
5
|
|
|
$
|
10
|
|
As a % of common equity
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
||||
Revolving credit facilities
|
$
|
(63
|
)
|
|
$
|
(32
|
)
|
|
$
|
(31
|
)
|
|
$
|
(63
|
)
|
As a % of common equity
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
||||
Term notes payable
|
$
|
(132
|
)
|
|
$
|
(66
|
)
|
|
$
|
66
|
|
|
$
|
132
|
|
As a % of common equity
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
||||
Convertible senior notes
|
$
|
(2,812
|
)
|
|
$
|
(1,401
|
)
|
|
$
|
1,392
|
|
|
$
|
2,774
|
|
As a % of common equity
|
(0.1
|
)%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
||||
Total Net Assets
|
$
|
54,927
|
|
|
$
|
21,188
|
|
|
$
|
(57,029
|
)
|
|
$
|
(192,577
|
)
|
As a % of total assets
|
0.2
|
%
|
|
0.1
|
%
|
|
(0.2
|
)%
|
|
(0.6
|
)%
|
||||
As a % of common equity
|
1.4
|
%
|
|
0.5
|
%
|
|
(1.4
|
)%
|
|
(4.8
|
)%
|
(1)
|
Amounts include the effect of interest spread from our interest rate swaps and caps and float income from custodial accounts associated with our MSR, but do not reflect any potential changes to dollar roll income associated with our TBA positions, which are accounted for as derivative instruments in accordance with U.S. GAAP.
|
Period
|
|
Total Number of Shares Purchased
|
|
Average Price Paid per Share
|
|
Total Number of Shares Purchased as Part of Publicly Announced Plans of Programs
|
|
Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs
|
|||||
July 1, 2019 through July 31, 2019
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
25,432,500
|
|
August 1, 2019 through August 31, 2019
|
|
1,500
|
|
|
12.50
|
|
|
1,500
|
|
|
25,431,000
|
|
|
September 1, 2019 through September 30, 2019
|
|
—
|
|
|
—
|
|
|
—
|
|
|
25,431,000
|
|
|
Total
|
|
1,500
|
|
|
$
|
12.50
|
|
|
1,500
|
|
|
25,431,000
|
|
Exhibit Number
|
|
Exhibit Description
|
3.1
|
|
|
3.2
|
|
|
3.3
|
|
|
3.4
|
|
|
3.5
|
|
|
3.6
|
|
|
3.7
|
|
|
3.8
|
|
|
3.9
|
|
|
3.10
|
|
|
31.1
|
|
|
31.2
|
|
|
32.1
|
|
|
32.2
|
|
|
101
|
|
Financial statements from the Quarterly Report on Form 10-Q of Two Harbors Investment Corp. for the three months ended September 30, 2019, filed with the SEC on November 6, 2019, formatted in Inline XBRL: (i) the Condensed Consolidated Balance Sheets, (ii) the Condensed Consolidated Statements of Comprehensive Income (Loss), (iii) the Condensed Consolidated Statements of Stockholders’ Equity, (iv) the Condensed Consolidated Statements of Cash Flows, and (v) the Notes to the Condensed Consolidated Financial Statements. (filed herewith)
|
104
|
|
Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101). (filed herewith)
|
|
|
|
TWO HARBORS INVESTMENT CORP.
|
Dated:
|
November 6, 2019
|
By:
|
/s/ Thomas E. Siering
|
|
|
|
Thomas E. Siering
Chief Executive Officer, President and Director
(Principal Executive Officer)
|
Dated:
|
November 6, 2019
|
By:
|
/s/ Mary Riskey
|
|
|
|
Mary Riskey
Chief Financial Officer
(Principal Financial and Accounting Officer) |
Date:
|
November 6, 2019
|
|
/s/ Thomas E. Siering
|
|
|
|
|
Thomas E. Siering
|
|
|
|
|
Chief Executive Officer and President
|
|
Date:
|
November 6, 2019
|
|
/s/ Mary Riskey
|
|
|
|
|
Mary Riskey
|
|
|
|
|
Chief Financial Officer
|
|
Date:
|
November 6, 2019
|
|
/s/ Thomas E. Siering
|
|
|
|
|
Thomas E. Siering
|
|
|
|
|
Chief Executive Officer and President
|
|
Date:
|
November 6, 2019
|
|
/s/ Mary Riskey
|
|
|
|
|
Mary Riskey
|
|
|
|
|
Chief Financial Officer
|
|