ý
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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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¨
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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Maryland
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27-5254382
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(State or Other Jurisdiction of
Incorporation or Organization)
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(I.R.S. Employer
Identification No.)
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245 Park Avenue, 26th Floor
New York, New York
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10167
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(Address of Principal Executive Offices)
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(Zip Code)
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Title of each class:
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Name of exchange on which registered:
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Common Stock, $0.01 par value per share
8.25% Series A Cumulative Redeemable Preferred Stock
8.00% Series B Cumulative Redeemable Preferred Stock
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New York Stock Exchange (NYSE)
New York Stock Exchange (NYSE)
New York Stock Exchange (NYSE)
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Large Accelerated filer
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¨
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Accelerated filer
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ý
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Non-Accelerated filer
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¨
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Smaller reporting company
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¨
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Emerging growth company
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¨
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Page
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•
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Fixed rate securities (held as mortgage pass-through securities);
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•
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Sequential pay fixed rate collateralized mortgage obligations ("CMOs");
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◦
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CMOs are structured debt instruments representing interests in specified pools of mortgage loans subdivided into multiple classes, or tranches, of securities, with each tranche having different maturities or risk profiles.
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•
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Inverse Interest Only securities (CMOs where the holder is entitled only to the interest payments made on the mortgages underlying certain mortgage backed securities ("MBS") whose coupon has an inverse relationship to its benchmark rate, such as LIBOR);
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•
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Interest Only securities (CMOs where the holder is entitled only to the interest payments made on the mortgages underlying certain MBS "interest-only strips");
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•
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Certain Agency RMBS for which the underlying collateral is not identified until shortly (generally two days) before the purchase or sale settlement date ("TBAs"); and
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•
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Excess mortgage servicing rights ("Excess MSRs") whose underlying collateral is securitized in a trust held by a U.S. government agency or GSE.
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◦
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Excess MSRs are interests in an MSR, representing a portion of the interest payment collected from a pool of mortgage loans, net of a basic servicing fee paid to the mortgage servicer. An MSR provides a mortgage servicer with the right to service a mortgage loan or a pool of mortgages in exchange for a portion of the interest payments made on the mortgage or the underlying mortgages. An MSR is made up of two components: a basic servicing fee and an Excess MSR. The basic servicing fee is the compensation received by the mortgage servicer for the performance of its servicing duties.
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•
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Prime (weighted average credit score above 700)
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•
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Alt-A/Subprime
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◦
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Alt-A (weighted average credit score between 700 and 620); and
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◦
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Subprime (weighted average credit score below 620)
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•
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CRTs (defined below)
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•
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RPL/NPL Securities (described below)
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•
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Interest Only securities (Non-Agency RMBS backed by interest-only strips)
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•
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Excess MSRs whose underlying collateral is securitized in a trust not held by a U.S. government agency or GSE;
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◦
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Excess MSRs are grouped within "Interest Only and Excess MSR" throughout Part II, Item 7 of this Annual Report on Form 10-K and are grouped within Excess mortgage servicing rights or Excess MSRs in the Notes to the Consolidated Financial Statements included in Part II, Item 8 of this Annual Report on Form 10-K;
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•
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Re/Non-Performing Loans (described below); and
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•
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New Origination Loans (described below).
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•
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Unguaranteed and unsecured mezzanine, junior mezzanine and first loss securities issued either by GSEs or issued by other third-party institutions to transfer their exposure to mortgage default risk to private investors. These securities reference a specific pool of newly originated single family mortgages from a specified time period (typically around the time of origination). The risk of loss on the reference pool of mortgages is transferred to investors who may experience losses when adverse credit events such as defaults, liquidations or delinquencies occur in the underlying mortgages. Owners of these securities generally receive an uncapped floating interest rate equal to a predetermined spread over one-month LIBOR.
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•
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Mortgage-backed securities collateralized by re-performing mortgage loans ("RPL") and/or non-performing mortgage loans ("NPL"). The RPL/NPL Securities that we own represent the senior and mezzanine tranches of such securitizations. These RPL/NPL securitizations are structured with significant credit enhancement (typically, approximately 50% to the senior tranche and 40% to the mezzanine tranche), which mitigates our exposure to credit risk on these securities. "Credit enhancement" refers to the value of the subordinated tranches available to absorb all credit losses prior to those losses
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•
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RPLs or NPLs in securitized form that we purchase from an affiliate (or affiliates) of the Manager that we hold alongside other private funds under the management of Angelo Gordon. The securitizations typically take the form of various classes of notes and a trust certificate. These investments are included in the "RMBS" and "Investments in debt and equity of affiliates" line items on our consolidated balance sheets.
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•
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RPLs or NPLs that we hold through interests in certain consolidated trusts. These investments are secured by residential real propertey, including prime, Alt-A, and subprime mortgage loans, and are included in the "Residential mortgage loans, at fair value" line item on our consolidated balance sheets.
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•
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"Non-QMs," which are residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau (the "CFPB") that we hold alongside other private funds under the management of Angelo Gordon. Non-QMs are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae. These investments are held in one of our unconsolidated subsidiaries, Mortgage Acquisition Trust I LLC (refer to Part II, Item 7 of this Annual Report on Form 10-K below for more detail), and are included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheets.
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•
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Commercial mortgage-backed securities ("CMBS");
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•
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Interest-Only securities (CMBS backed by interest-only strips);
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•
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Commercial real estate loans secured by commercial real property, including first mortgages, mezzanine loans, preferred equity, first or second lien loans, subordinate interests in first mortgages, bridge loans to be used in the acquisition, construction or redevelopment of a property and mezzanine financing secured by interests in commercial real estate; and
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•
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Freddie Mac K-Series (described below).
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•
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Fixed and floating-rate CMBS, including investment grade and non-investment grade classes. CMBS are secured by, or evidence ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans.
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•
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CMBS, Interest-Only securities and CMBS principal-only securities which are regularly-issued by Freddie Mac as structured pass-through securities backed by multifamily mortgage loans. These K-Series feature a wide range of investor options which include guaranteed senior and interest-only bonds as well as unguaranteed senior, mezzanine, subordinate and interest-only bonds. Our K-Series portfolio includes unguaranteed senior, mezzanine, subordinate and interest-only bonds. Throughout Item 7 of this Annual Report on Form 10-K, we categorize our Freddie Mac K-Series interest-only bonds as part of our Interest-Only securities.
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•
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Disciplined adherence to risk-adjusted return
. Our Manager deploys capital when it believes that risk-adjusted returns are attractive. In this analysis, our Manager considers the initial net interest spread of the investment, the cost of hedging and our ability to optimize returns over time through rebalancing activities. Our Manager’s management team has extensive experience implementing this approach.
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•
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Focus on multiple sectors
. Our Manager looks for attractive investment opportunities in all major sectors of the U.S. mortgage and real estate markets. Our management team evaluates investment opportunities in residential and commercial mortgage loans and securities and real estate. We believe this approach enables our Manager to identify attractive investments when it believes certain portions of the market are attractively priced or when investment opportunities in one or more sectors are scarce. By pursuing a broad investment strategy within the mortgage and real estate markets, we believe our investment portfolio is less exposed to dislocations in specific sectors of the market. We believe a diversified investment portfolio outperforms the traditional single strategy portfolios in the REIT market, with returns that are more resistant to changes in the interest rate and in the consumer credit environment.
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•
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Concurrent evaluation of interest rate and credit risk.
Our Manager seeks to balance our portfolio with both credit risk-intensive assets and interest rate risk-intensive assets. Both of these primary risk types are evaluated against a common risk-adjusted return framework.
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•
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Active hedging and rebalancing of portfolio.
Our Manager periodically evaluates our portfolio against pre-established risk tolerances and will take corrective action through asset sales, asset acquisitions, and dynamic hedging activities to bring the portfolio back within these risk tolerances. We believe this approach generates more attractive long-term returns than an approach that either attempts to hedge away a majority of the interest rate or credit risk in the portfolio at the time of acquisition, on the one end of the risk spectrum, or a highly speculative approach that does not attempt to hedge any of the interest rate or credit risk in the portfolio, on the other end of the risk spectrum.
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•
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Opportunistic approach to increased risk.
Our Manager’s investment strategy is to preserve our ability to extend our risk-taking capacity during periods of changing market fundamentals.
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•
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No investment shall be made that would cause us to fail to qualify as a REIT for federal income tax purposes;
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•
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No investment shall be made that would cause us to be regulated as an investment company under the Investment Company Act; and
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•
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Our investments will be in our target assets.
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•
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adverse changes in national and local economic and market conditions;
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•
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the availability of affordable refinancing options; and
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•
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uninsured or under-insured property losses caused by earthquakes, floods and other natural disasters.
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•
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overall macroeconomic conditions in the area in which the properties underlying the mortgages are located;
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•
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tenant mix and the success of tenant businesses;
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•
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property location, condition and management decisions;
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•
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competition from comparable types of properties; and
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•
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changes in laws that increase operating expenses or limit rents that may be charged.
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•
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our cash flow from operations may be insufficient to make required payments of principal and interest on the debt or we may fail to comply with any of the other debt covenants, which will likely result in (i) an acceleration of such debt (and any other debt containing a cross-default or cross-acceleration provision) that we may be unable to repay from internal funds or to refinance on favorable terms, or at all, (ii) our inability to borrow unused amounts under our financing agreements, even if we are current in payments on borrowings under those agreements and/or (iii) the loss of some or all of our assets to foreclosure or sale;
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•
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our debt increases our vulnerability to adverse economic and industry conditions with no assurance that investment yields will increase with higher financing costs;
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•
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we may be required to dedicate a substantial portion of our cash flow from operations to payments on our debt, thereby reducing funds available for operations, investments, stockholder distributions or other purposes; and
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•
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we may not be able to refinance debt that matures prior to the investment it was used to finance on favorable terms, or at all.
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•
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our lenders do not make financing arrangements available to us at acceptable rates;
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•
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certain of our lenders exit the repurchase market;
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•
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our lenders require that we pledge additional collateral to cover our borrowings, which we may be unable to do; or
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•
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we determine that the leverage would expose us to excessive risk.
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•
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interest rate hedging can be expensive, particularly during periods of volatile interest rates;
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•
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available interest rate hedging may not correspond directly with the interest rate risk for which protection is sought;
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•
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the duration of the hedge may not match the duration of the related liability or asset;
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•
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the amount of income that a REIT may earn from hedging transactions to offset interest rate losses is limited by U.S. federal tax provisions governing REITs;
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•
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the credit quality of the hedging counterparty owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction;
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•
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the hedging counterparty owing the money in the hedging transaction may default on its obligation to pay; and
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•
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we hedge incorrectly.
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•
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actual receipt of an improper benefit or profit in money, property or services; or
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•
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active and deliberate dishonesty by the director or officer that was established by a final judgment as being material to the cause of action.
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State
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Number of Single-Family Rental Properties
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Average Occupancy
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Average Monthly Rent (a)
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Average Monthly Rent PSF (a)
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Percent of Rental Income (b)
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|||||||
South Carolina
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436
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|
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85.8
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%
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$
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1,081
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$
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0.77
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|
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36.8
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%
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Alabama
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|
296
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|
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90.9
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%
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1,005
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0.67
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|
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24.6
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%
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Georgia
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210
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89.0
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%
|
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917
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0.63
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15.6
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%
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North Carolina
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121
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84.3
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%
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964
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0.72
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9.0
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%
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Ohio
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70
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91.4
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%
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1,072
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0.80
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6.2
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%
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Indiana
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49
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93.9
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%
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1,067
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0.70
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|
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4.5
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%
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Tennessee
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|
43
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|
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81.4
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%
|
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1,033
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|
|
0.68
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|
|
3.3
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%
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Total
|
|
1,225
|
|
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87.9
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%
|
|
$
|
1,020
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|
|
$
|
0.71
|
|
|
100.0
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%
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(a)
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Represents average monthly rent, based on contractual amounts for occupied residences as of
December 31, 2018
.
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(b)
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Represents the percentage of total contractual rents for occupied residences in each state as of
December 31, 2018
.
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2018
|
|
|
|
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Declaration Date
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Record Date
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Payment Date
|
|
Dividend Per Share
|
||
3/15/2018
|
|
3/29/2018
|
|
4/30/2018
|
|
$
|
0.475
|
|
6/18/2018
|
|
6/29/2018
|
|
7/31/2018
|
|
0.50
|
|
|
9/14/2018
|
|
9/28/2018
|
|
10/31/2018
|
|
0.50
|
|
|
12/14/2018
|
|
12/31/2018
|
|
1/31/2019
|
|
0.50
|
|
2017
|
|
|
|
|
|
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Declaration Date
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|
Record Date
|
|
Payment Date
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|
Dividend Per Share (1)
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||
3/10/2017
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|
3/21/2017
|
|
4/28/2017
|
|
$
|
0.475
|
|
6/8/2017
|
|
6/19/2017
|
|
7/31/2017
|
|
0.475
|
|
|
9/11/2017
|
|
9/29/2017
|
|
10/31/2017
|
|
0.575
|
|
|
12/15/2017
|
|
12/29/2017
|
|
1/31/2018
|
|
0.475
|
|
(1)
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The combined dividend of
$0.575
includes a dividend of
$0.475
per common share and a special cash dividend of
$0.10
per common share.
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Plan Category
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|
Number of Securities to
be Issued Upon Exercise
of Outstanding Options,
Warrants and Rights
|
|
Weighted Average
Exercise Price of
Outstanding Options,
Warrants, and Rights
|
|
Number of Securities Remaining
Available for Future Issuance
Under Equity Compensation Plans
(Excluding Securities Reflected
in the First Column of this Table)
|
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Equity compensation plans approved by stockholders
|
|
—
|
|
|
$
|
—
|
|
|
42,951
|
|
Equity compensation plans not approved by stockholders
|
|
—
|
|
|
—
|
|
|
—
|
|
|
Total
|
|
—
|
|
|
$
|
—
|
|
|
42,951
|
|
|
12/31/2013
|
12/31/2014
|
12/31/2015
|
12/31/2016
|
12/31/2017
|
12/31/2018
|
AG Mortgage Investment Trust, Inc.
|
100
|
150
|
119
|
180
|
222
|
208
|
S&P 500
|
100
|
168
|
170
|
191
|
232
|
222
|
FTSE NAREIT Mortgage REITs
|
100
|
131
|
118
|
145
|
174
|
169
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(in thousands)
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2016
|
|
December 31, 2015
|
|
December 31, 2014
|
||||||||||
Balance Sheet Data:
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||||||||||
Real estate securities, at fair value:
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|
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|
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|
||||||||||
Agency
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$
|
1,988,280
|
|
|
$
|
2,247,161
|
|
|
$
|
1,057,664
|
|
|
$
|
1,201,442
|
|
|
$
|
1,808,315
|
|
Non-Agency
|
625,350
|
|
|
1,004,256
|
|
|
1,043,017
|
|
|
1,229,811
|
|
|
1,140,078
|
|
|||||
ABS
|
21,160
|
|
|
40,958
|
|
|
21,232
|
|
|
54,762
|
|
|
66,693
|
|
|||||
CMBS
|
261,385
|
|
|
220,169
|
|
|
211,653
|
|
|
148,949
|
|
|
100,521
|
|
|||||
Residential mortgage loans, at fair value
|
186,096
|
|
|
18,890
|
|
|
38,196
|
|
|
57,080
|
|
|
85,090
|
|
|||||
Commercial loans, at fair value
|
98,574
|
|
|
57,521
|
|
|
60,069
|
|
|
72,800
|
|
|
72,800
|
|
|||||
U.S. Treasury securities, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
223,435
|
|
|
—
|
|
|||||
Single-family rental properties, net
|
138,678
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Investments in debt and equity of affiliates
|
84,892
|
|
|
99,696
|
|
|
72,216
|
|
|
43,040
|
|
|
20,345
|
|
|||||
Excess mortgage servicing rights, at fair value
|
26,650
|
|
|
5,084
|
|
|
413
|
|
|
425
|
|
|
628
|
|
|||||
Cash and cash equivalents
|
31,579
|
|
|
15,200
|
|
|
52,470
|
|
|
46,253
|
|
|
64,364
|
|
|||||
Total assets
|
3,548,926
|
|
|
3,789,295
|
|
|
2,628,645
|
|
|
3,164,076
|
|
|
3,458,405
|
|
|||||
Financing arrangements
|
2,822,505
|
|
|
3,004,407
|
|
|
1,900,510
|
|
|
2,034,963
|
|
|
2,644,956
|
|
|||||
FHLBC Advances
|
—
|
|
|
—
|
|
|
—
|
|
|
396,894
|
|
|
—
|
|
|||||
Securitized debt
|
10,858
|
|
|
16,478
|
|
|
21,492
|
|
|
30,047
|
|
|
39,778
|
|
|||||
Dividend payable
|
14,372
|
|
|
13,392
|
|
|
13,158
|
|
|
13,496
|
|
|
17,032
|
|
|||||
Stockholders' equity
|
656,011
|
|
|
714,259
|
|
|
655,876
|
|
|
666,945
|
|
|
732,675
|
|
(in thousands, except per share data)
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
|
Year Ended December 31, 2015
|
|
Year Ended December 31, 2014
|
||||||||||
Statement of Operations Data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Net Interest Income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Interest income
|
$
|
156,475
|
|
|
$
|
128,845
|
|
|
$
|
123,006
|
|
|
$
|
141,273
|
|
|
$
|
141,573
|
|
Interest expense
|
72,058
|
|
|
43,722
|
|
|
33,785
|
|
|
31,230
|
|
|
26,497
|
|
|||||
Total Net Interest Income
|
84,417
|
|
|
85,123
|
|
|
89,221
|
|
|
110,043
|
|
|
115,076
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Other Income/(Loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Rental income
|
4,091
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Net realized gain/(loss)
|
(39,501
|
)
|
|
(13,986
|
)
|
|
(10,391
|
)
|
|
(17,148
|
)
|
|
3,638
|
|
|||||
Net interest component of interest rate swaps
|
2,230
|
|
|
(7,763
|
)
|
|
(6,010
|
)
|
|
(13,205
|
)
|
|
(22,261
|
)
|
|||||
Unrealized gain/(loss) on real estate securities and loans, net
|
(20,940
|
)
|
|
45,529
|
|
|
2,673
|
|
|
(32,492
|
)
|
|
72,480
|
|
|||||
Unrealized gain/(loss) on derivative and other instruments, net
|
(13,538
|
)
|
|
19,813
|
|
|
8,613
|
|
|
(12,181
|
)
|
|
(51,255
|
)
|
|||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Management fee to affiliate
|
9,544
|
|
|
9,835
|
|
|
9,809
|
|
|
9,971
|
|
|
10,089
|
|
|||||
Other operating expenses
|
14,923
|
|
|
10,965
|
|
|
10,291
|
|
|
12,357
|
|
|
11,904
|
|
|||||
Excise tax
|
1,500
|
|
|
1,500
|
|
|
1,513
|
|
|
1,500
|
|
|
1,784
|
|
|||||
Property depreciation and amortization
|
2,336
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Property operating and maintenance expenses
|
1,862
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity in earnings/(loss) from affiliates
|
15,593
|
|
|
12,622
|
|
|
1,519
|
|
|
3,398
|
|
|
3,685
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Dividends on preferred stock
|
13,469
|
|
|
13,469
|
|
|
13,469
|
|
|
13,469
|
|
|
13,469
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Net Income/(Loss) Available to Common Stockholders
|
$
|
(11,901
|
)
|
|
$
|
105,089
|
|
|
$
|
50,214
|
|
|
$
|
349
|
|
|
$
|
83,423
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Share Data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Earnings/(Loss) Per Share of Common Stock
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Basic
|
$
|
(0.42
|
)
|
|
$
|
3.77
|
|
|
$
|
1.80
|
|
|
$
|
0.01
|
|
|
$
|
3.38
|
|
Diluted
|
$
|
(0.42
|
)
|
|
$
|
3.77
|
|
|
$
|
1.80
|
|
|
$
|
0.01
|
|
|
$
|
3.37
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Dividends Declared Per Share of Common Stock
|
$
|
1.975
|
|
|
$
|
2.00
|
|
|
$
|
1.90
|
|
|
$
|
2.275
|
|
|
$
|
2.40
|
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||
Statement of Operations Data:
|
|
|
|
|
|
|
|
|
|||
Net Interest Income
|
|
|
|
|
|
|
|
|
|||
Interest income
|
$
|
156,475
|
|
|
$
|
128,845
|
|
|
$
|
123,006
|
|
Interest expense
|
72,058
|
|
|
43,722
|
|
|
33,785
|
|
|||
Total Net Interest Income
|
84,417
|
|
|
85,123
|
|
|
89,221
|
|
|||
|
|
|
|
|
|
||||||
Other Income/(Loss)
|
|
|
|
|
|
|
|
|
|||
Rental income
|
4,091
|
|
|
—
|
|
|
—
|
|
|||
Net realized gain/(loss)
|
(39,501
|
)
|
|
(13,986
|
)
|
|
(10,391
|
)
|
|||
Net interest component of interest rate swaps
|
2,230
|
|
|
(7,763
|
)
|
|
(6,010
|
)
|
|||
Unrealized gain/(loss) on real estate securities and loans, net
|
(20,940
|
)
|
|
45,529
|
|
|
2,673
|
|
|||
Unrealized gain/(loss) on derivative and other instruments, net
|
(13,538
|
)
|
|
19,813
|
|
|
8,613
|
|
|||
Other income
|
372
|
|
|
55
|
|
|
374
|
|
|||
Total Other Income/(Loss)
|
(67,286
|
)
|
|
43,648
|
|
|
(4,741
|
)
|
|||
|
|
|
|
|
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|||
Management fee to affiliate
|
9,544
|
|
|
9,835
|
|
|
9,809
|
|
|||
Other operating expenses
|
14,923
|
|
|
10,965
|
|
|
10,291
|
|
|||
Equity based compensation to affiliate
|
239
|
|
|
301
|
|
|
299
|
|
|||
Excise tax
|
1,500
|
|
|
1,500
|
|
|
1,513
|
|
|||
Servicing fees
|
433
|
|
|
234
|
|
|
404
|
|
|||
Property depreciation and amortization
|
2,336
|
|
|
—
|
|
|
—
|
|
|||
Property operating and maintenance expenses
|
1,862
|
|
|
—
|
|
|
—
|
|
|||
Property management fee
|
319
|
|
|
—
|
|
|
—
|
|
|||
Total Expenses
|
31,156
|
|
|
22,835
|
|
|
22,316
|
|
|||
|
|
|
|
|
|
||||||
Income/(loss) before equity in earnings/(loss) from affiliates
|
(14,025
|
)
|
|
105,936
|
|
|
62,164
|
|
|||
|
|
|
|
|
|
||||||
Equity in earnings/(loss) from affiliates
|
15,593
|
|
|
12,622
|
|
|
1,519
|
|
|||
Net Income/(Loss)
|
1,568
|
|
|
118,558
|
|
|
63,683
|
|
|||
|
|
|
|
|
|
||||||
Dividends on preferred stock
|
13,469
|
|
|
13,469
|
|
|
13,469
|
|
|||
|
|
|
|
|
|
||||||
Net Income/(Loss) Available to Common Stockholders
|
$
|
(11,901
|
)
|
|
$
|
105,089
|
|
|
$
|
50,214
|
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||
Sale of real estate securities
|
$
|
(55,038
|
)
|
|
$
|
196
|
|
|
$
|
6,895
|
|
Sale of loans and loans transferred to or sold from Other assets
|
2,352
|
|
|
2,972
|
|
|
4,111
|
|
|||
Settlement of derivatives and other instruments
|
21,099
|
|
|
(9,228
|
)
|
|
(2,029
|
)
|
|||
OTTI
|
(7,914
|
)
|
|
(7,926
|
)
|
|
(19,368
|
)
|
|||
Total Net realized gain/(loss)
|
$
|
(39,501
|
)
|
|
$
|
(13,986
|
)
|
|
$
|
(10,391
|
)
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||
Affiliate reimbursement
|
|
|
|
|
|
||||||
Operating expenses
|
$
|
6,517
|
|
|
$
|
6,120
|
|
|
$
|
5,820
|
|
Deal related
|
674
|
|
|
170
|
|
|
193
|
|
|||
Professional fees
|
2,296
|
|
|
1,617
|
|
|
1,397
|
|
|||
Residential mortgage loan related expenses
|
1,896
|
|
|
781
|
|
|
902
|
|
|||
D&O insurance
|
708
|
|
|
722
|
|
|
770
|
|
|||
Directors' fees and stock compensation
|
854
|
|
|
549
|
|
|
429
|
|
|||
Other expenses
|
1,978
|
|
|
1,006
|
|
|
780
|
|
|||
Total Other operating expenses
|
$
|
14,923
|
|
|
$
|
10,965
|
|
|
$
|
10,291
|
|
|
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2016
|
||||||
Book value per share
|
|
$
|
17.21
|
|
|
$
|
19.62
|
|
|
$
|
17.86
|
|
Add back: Accumulated depreciation and amortization per share
|
|
0.09
|
|
|
—
|
|
|
—
|
|
|||
Undepreciated book value per share
|
|
$
|
17.30
|
|
|
$
|
19.62
|
|
|
$
|
17.86
|
|
December 31, 2018
|
|
|
|
|
|
|
|
|
||||
Weighted Average
|
|
GAAP Investment
Portfolio
|
|
Other Assets
|
|
Investments in Debt and Equity of Affiliates
|
|
Investment Portfolio**
|
||||
Yield*
|
|
5.24
|
%
|
|
—
|
%
|
|
6.49
|
%
|
|
5.32
|
%
|
Cost of Funds
|
|
2.88
|
%
|
|
—
|
%
|
|
5.79
|
%
|
|
3.02
|
%
|
Net Interest Margin
|
|
2.36
|
%
|
|
—
|
%
|
|
0.70
|
%
|
|
2.30
|
%
|
Leverage Ratio
|
|
4.3x
|
|
|
N/A
|
|
|
***
|
|
|
4.6x
|
|
December 31, 2017
|
|
|
|
|
|
|
|
|
||||
Weighted Average
|
|
GAAP Investment
Portfolio
|
|
Other Assets
|
|
Investments in Debt and Equity of Affiliates
|
|
Investment Portfolio**
|
||||
Yield
|
|
4.45
|
%
|
|
10.03
|
%
|
|
12.32
|
%
|
|
4.64
|
%
|
Cost of Funds
|
|
2.26
|
%
|
|
—
|
%
|
|
3.80
|
%
|
|
2.26
|
%
|
Net Interest Margin
|
|
2.19
|
%
|
|
10.03
|
%
|
|
8.52
|
%
|
|
2.38
|
%
|
Leverage Ratio
|
|
4.2x
|
|
|
N/A
|
|
|
***
|
|
|
4.4x
|
|
December 31, 2016
|
|
|
|
|
|
|
|
|
||||
Weighted Average
|
|
GAAP Investment
Portfolio
|
|
Other Assets
|
|
Investments in Debt and Equity of Affiliates
|
|
Investment Portfolio**
|
||||
Yield
|
|
4.94
|
%
|
|
—
|
%
|
|
14.54
|
%
|
|
5.18
|
%
|
Cost of Funds
|
|
2.01
|
%
|
|
—
|
%
|
|
3.51
|
%
|
|
2.02
|
%
|
Net Interest Margin
|
|
2.93
|
%
|
|
—
|
%
|
|
11.03
|
%
|
|
3.16
|
%
|
Leverage Ratio
|
|
2.9x
|
|
|
N/A
|
|
|
***
|
|
|
2.9x
|
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||
Net Income/(loss) available to common stockholders
|
$
|
(11,901
|
)
|
|
$
|
105,089
|
|
|
$
|
50,214
|
|
Add (Deduct):
|
|
|
|
|
|
||||||
Net realized (gain)/loss
|
39,501
|
|
|
13,986
|
|
|
10,391
|
|
|||
Dollar roll income
|
1,598
|
|
|
3,099
|
|
|
270
|
|
|||
Equity in (earnings)/loss from affiliates
|
(15,593
|
)
|
|
(12,622
|
)
|
|
(1,519
|
)
|
|||
Net interest income and expenses from equity method investments (a)
|
6,701
|
|
|
7,573
|
|
|
4,597
|
|
|||
Transaction related expenses and deal related performance fees (b)(c)
|
2,166
|
|
|
—
|
|
|
—
|
|
|||
Property depreciation and amortization
|
2,336
|
|
|
—
|
|
|
—
|
|
|||
Other income
|
(122
|
)
|
|
—
|
|
|
—
|
|
|||
Unrealized (gain)/loss on real estate securities and loans, net
|
20,940
|
|
|
(45,529
|
)
|
|
(2,673
|
)
|
|||
Unrealized (gain)/loss on derivative and other instruments, net
|
13,538
|
|
|
(19,813
|
)
|
|
(8,613
|
)
|
|||
Core Earnings
|
$
|
59,164
|
|
|
$
|
51,783
|
|
|
$
|
52,667
|
|
|
|
|
|
|
|
||||||
Core Earnings, per Diluted Share
|
$
|
2.08
|
|
|
$
|
1.86
|
|
|
$
|
1.88
|
|
(a)
|
For the years ended
December 31, 2018
,
December 31, 2017
, and
December 31, 2016
,
$0.5 million
or
$0.02
per share,
$1.1 million
or
$0.04
per share, and
$0.4 million
or
$0.02
per share, respectively, of realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and corresponding derivatives were excluded from Core Earnings per diluted share as a result of our modification to the definition and calculation of Core Earnings in Q4 2018. The
$0.5 million
or
$0.02
per share for the year ended December 31, 2018 was comprised of
$1.3 million
or
$0.05
per share,
$0.8 million
or
$0.03
per share,
$1.0 million
or
$0.03
per share, and
$(2.6) million
or
$(0.09)
per share for the three months ended March 31, 2018, June 30, 2018, September 30, 2018, and December 31, 2018, respectively.
|
(b)
|
For the years ended
December 31, 2017
and
December 31, 2016
, the above chart was not adjusted for transaction related expenses of
$0.3 million
and
$0.4 million
, respectively, as they did not have a material impact on Core Earnings for the periods. For the three months ended March 31, 2018, the above chart was not adjusted for transaction related expenses of
$0.1 million
as they did not have a material impact on Core Earnings for that period. Our policy with respect to transaction related expenses was modified in Q2 2018.
|
(c)
|
For the years ended
December 31, 2017
and
December 31, 2016
, the above chart was not adjusted for deal related performance fees of
$0.1 million
and
$0.1 million
, respectively, as they did not have a material impact on Core Earnings for the periods. For the six months ended June 30, 2018, the above chart was not adjusted for deal related performance fees as they did not have a material impact on Core Earnings for that period. Our policy with respect to deal related performance fees was modified in Q3 2018.
|
|
Amortized Cost
|
|
Carrying Value (a)
|
|
Percent of Investment Portfolio Carrying Value
|
|
Leverage Ratio (b)
|
|||||||||||||||||||
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2018
|
|
December 31, 2017
|
|||||||||||
Securities and Loans Segment
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Agency RMBS
|
$
|
2,019,617
|
|
|
$
|
2,354,789
|
|
|
$
|
2,015,586
|
|
|
$
|
2,354,915
|
|
|
56.6
|
%
|
|
62.3
|
%
|
|
7.0x
|
|
7.5x
|
|
Residential Investments
|
969,484
|
|
|
969,743
|
|
|
1,019,116
|
|
|
1,034,816
|
|
|
28.6
|
%
|
|
27.3
|
%
|
|
3.4x
|
|
3.3x
|
|
||||
Commercial Investments
|
348,720
|
|
|
345,214
|
|
|
365,052
|
|
|
351,594
|
|
|
10.3
|
%
|
|
9.3
|
%
|
|
2.4x
|
|
1.1x
|
|
||||
ABS
|
21,946
|
|
|
40,217
|
|
|
21,160
|
|
|
40,958
|
|
|
0.6
|
%
|
|
1.1
|
%
|
|
1.0x
|
|
1.3x
|
|
||||
Total Securities and Loans Segment
|
$
|
3,359,767
|
|
|
$
|
3,709,963
|
|
|
$
|
3,420,914
|
|
|
$
|
3,782,283
|
|
|
96.1
|
%
|
|
100.0
|
%
|
|
4.7x
|
|
4.4x
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Single-Family Rental Properties Segment
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Single-Family Rental Properties
|
$
|
138,678
|
|
|
$
|
—
|
|
|
$
|
138,678
|
|
|
$
|
—
|
|
|
3.9
|
%
|
|
—
|
%
|
|
2.7x
|
|
—
|
|
Total: Investment Portfolio
|
$
|
3,498,445
|
|
|
$
|
3,709,963
|
|
|
$
|
3,559,592
|
|
|
$
|
3,782,283
|
|
|
100.0
|
%
|
|
100.0
|
%
|
|
4.6x
|
|
4.4x
|
|
Investments in Debt and Equity of Affiliates (c)
|
$
|
212,349
|
|
|
$
|
83,434
|
|
|
$
|
213,419
|
|
|
$
|
85,291
|
|
|
N/A
|
|
|
N/A
|
|
|
(d)
|
|
(d)
|
|
Other Assets
|
$
|
—
|
|
|
$
|
238
|
|
|
$
|
—
|
|
|
$
|
242
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
N/A
|
|
TBAs
|
$
|
—
|
|
|
$
|
102,484
|
|
|
$
|
—
|
|
|
$
|
102,711
|
|
|
N/A
|
|
|
N/A
|
|
|
(d)
|
|
(d)
|
|
Total: GAAP Investment Portfolio
|
$
|
3,286,096
|
|
|
$
|
3,523,807
|
|
|
$
|
3,346,173
|
|
|
$
|
3,594,039
|
|
|
N/A
|
|
|
N/A
|
|
|
4.3x
|
|
4.2x
|
|
(a)
|
Carrying value represents fair value, except in the case of Single-family rental properties, which represents cost less accumulated depreciation and amortization.
|
(b)
|
The leverage ratio on Agency RMBS includes any net receivables on TBA. The leverage ratio by type of investment is calculated by dividing the investment type's total financing by its allocated equity (described in the chart below).
|
(c)
|
Net of any non-recourse securitized debt, as applicable.
|
(d)
|
Refer to the "Financing activities" section below for an aggregate breakout of leverage. During Q3 2018, the Company transferred certain of its CMBS from a non-wholly owned subsidiaries to a consolidated entity, resulting in those investments being reflected in the "Commercial Investments" line item of this chart and not in the "Investments in Debt and Equity of Affiliates" line item.
|
|
|
Allocated Equity
|
|
Percent of Equity
|
||||||||||
|
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||
Securities and Loans Segment
|
|
|
|
|
|
|
|
|
||||||
Agency RMBS
|
|
$
|
257,454
|
|
|
$
|
280,336
|
|
|
39.2
|
%
|
|
39.2
|
%
|
Residential Investments
|
|
241,284
|
|
|
245,934
|
|
|
36.8
|
%
|
|
34.5
|
%
|
||
Commercial Investments
|
|
109,159
|
|
|
169,953
|
|
|
16.6
|
%
|
|
23.8
|
%
|
||
ABS
|
|
10,293
|
|
|
18,036
|
|
|
1.6
|
%
|
|
2.5
|
%
|
||
Total Securities and Loans Segment
|
|
$
|
618,190
|
|
|
$
|
714,259
|
|
|
94.2
|
%
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
|
||||||
Single-Family Rental Properties Segment
|
|
|
|
|
|
|
|
|
||||||
SFR
|
|
$
|
37,821
|
|
|
$
|
—
|
|
|
5.8
|
%
|
|
—
|
%
|
Total
|
|
$
|
656,011
|
|
|
$
|
714,259
|
|
|
100.0
|
%
|
|
100.0
|
%
|
Instrument
|
|
Current Face
|
|
Amortized Cost
|
|
Unrealized Mark-to-
Market
|
|
Fair Value (1)
|
|
Weighted Average
Coupon (2)
|
|
Weighted
Average Yield
|
|
Weighted Average
Life (Years) (3)
|
||||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
30 Year Fixed Rate
|
|
$
|
1,781,995
|
|
|
$
|
1,832,745
|
|
|
$
|
(2,630
|
)
|
|
$
|
1,830,115
|
|
|
4.08
|
%
|
|
3.66
|
%
|
|
8.82
|
Fixed Rate CMO
|
|
44,418
|
|
|
44,745
|
|
|
(388
|
)
|
|
44,357
|
|
|
3.00
|
%
|
|
2.79
|
%
|
|
3.95
|
||||
Inverse Interest Only
|
|
310,065
|
|
|
52,952
|
|
|
(594
|
)
|
|
52,358
|
|
|
3.68
|
%
|
|
9.84
|
%
|
|
6.83
|
||||
Interest Only
|
|
370,679
|
|
|
62,132
|
|
|
(682
|
)
|
|
61,450
|
|
|
3.55
|
%
|
|
6.67
|
%
|
|
5.20
|
||||
Excess MSR (4)
|
|
3,723,025
|
|
|
27,043
|
|
|
263
|
|
|
27,306
|
|
|
N/A
|
|
|
10.45
|
%
|
|
6.76
|
||||
Credit Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Prime (5)
|
|
388,021
|
|
|
287,754
|
|
|
28,637
|
|
|
316,391
|
|
|
4.83
|
%
|
|
7.19
|
%
|
|
10.95
|
||||
Alt-A/Subprime (5)
|
|
209,577
|
|
|
125,896
|
|
|
11,789
|
|
|
137,685
|
|
|
4.76
|
%
|
|
6.81
|
%
|
|
7.30
|
||||
Credit Risk Transfer
|
|
144,215
|
|
|
144,409
|
|
|
5,259
|
|
|
149,668
|
|
|
6.13
|
%
|
|
6.26
|
%
|
|
5.97
|
||||
RPL/NPL Securities
|
|
310
|
|
|
310
|
|
|
—
|
|
|
310
|
|
|
6.97
|
%
|
|
6.97
|
%
|
|
0.25
|
||||
Interest Only and Excess MSR (6)
|
|
337,908
|
|
|
3,373
|
|
|
(65
|
)
|
|
3,308
|
|
|
0.63
|
%
|
|
22.02
|
%
|
|
5.51
|
||||
Re/Non-Performing Loans
|
|
369,803
|
|
|
294,803
|
|
|
3,624
|
|
|
298,427
|
|
|
4.86
|
%
|
|
7.71
|
%
|
|
5.73
|
||||
New Origination Loans
|
|
109,960
|
|
|
112,939
|
|
|
388
|
|
|
113,327
|
|
|
6.14
|
%
|
|
5.06
|
%
|
|
2.89
|
||||
Commercial Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
CMBS
|
|
172,095
|
|
|
131,159
|
|
|
(1,330
|
)
|
|
129,829
|
|
|
6.14
|
%
|
|
6.74
|
%
|
|
3.64
|
||||
Freddie Mac K-Series
|
|
202,176
|
|
|
70,590
|
|
|
14,694
|
|
|
85,284
|
|
|
5.89
|
%
|
|
12.24
|
%
|
|
9.56
|
||||
Interest Only (7)
|
|
3,534,050
|
|
|
48,398
|
|
|
2,967
|
|
|
51,365
|
|
|
0.23
|
%
|
|
6.87
|
%
|
|
3.43
|
||||
Commercial Real Estate Loans
|
|
98,574
|
|
|
98,573
|
|
|
1
|
|
|
98,574
|
|
|
7.45
|
%
|
|
7.65
|
%
|
|
0.92
|
||||
ABS
|
|
22,125
|
|
|
21,946
|
|
|
(786
|
)
|
|
21,160
|
|
|
9.49
|
%
|
|
10.22
|
%
|
|
5.38
|
||||
Total: Securities and Loans Segment
|
|
$
|
11,818,996
|
|
|
$
|
3,359,767
|
|
|
$
|
61,147
|
|
|
$
|
3,420,914
|
|
|
2.41
|
%
|
|
5.37
|
%
|
|
6.00
|
Investments in Debt and Equity of Affiliates
|
|
$
|
544,914
|
|
|
$
|
212,349
|
|
|
$
|
1,070
|
|
|
$
|
213,419
|
|
|
3.29
|
%
|
|
6.49
|
%
|
|
5.10
|
Total: GAAP Securities and Loans Segment
|
|
$
|
11,274,082
|
|
|
$
|
3,147,418
|
|
|
$
|
60,077
|
|
|
$
|
3,207,495
|
|
|
2.38
|
%
|
|
5.29
|
%
|
|
6.04
|
(1)
|
Included in Agency RMBS, Residential Investments and Commercial Investments are
$0.9 million
fair market value,
$207.4 million
fair market value and
$5.1 million
fair market value, respectively, net of any non-recourse securitized debt, that are included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheet. These items, inclusive of our investment in AG Arc and other items, net to
$84.9 million
which is included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheet. See Note 2 to the Notes to Consolidated Financial Statements for a discussion of investments in debt and equity of affiliates.
|
(2)
|
Equity residuals, principal only securities and Excess MSRs with a zero coupon rate are excluded from this calculation.
|
(3)
|
This is based on projected life. Typically, actual maturities of investments and loans are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
|
(4)
|
Excess MSRs whose underlying collateral is securitized in a trust held by a U.S. government agency or GSE.
|
(5)
|
Non-Agency RMBS with credit scores above 700, between 700 and 620 and below 620 at origination are classified as Prime, Alt-A, and Subprime, respectively. The weighted average credit scores of our Prime and Alt-A/Subprime Non-Agency RMBS were
719
and
665
, respectively.
|
(6)
|
Excess MSRs whose underlying collateral is securitized in a trust not held by a U.S. government agency or GSE.
|
(7)
|
Includes Freddie Mac K-Series interest-only bonds.
|
Instrument
|
|
Current Face
|
|
Amortized Cost
|
|
Unrealized Mark-to-
Market
|
|
Fair Value (1)
|
|
Weighted Average
Coupon (2)
|
|
Weighted
Average Yield (3)
|
|
Weighted Average
Life (Years) (3) (4)
|
|||||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
30 Year Fixed Rate
|
|
$
|
1,848,172
|
|
|
$
|
1,929,306
|
|
|
$
|
(273
|
)
|
|
$
|
1,929,033
|
|
|
3.79
|
%
|
|
3.13
|
%
|
|
8.64
|
|
Fixed Rate CMO
|
|
52,264
|
|
|
52,670
|
|
|
281
|
|
|
52,951
|
|
|
3.00
|
%
|
|
2.79
|
%
|
|
4.13
|
|
||||
ARM
|
|
176,561
|
|
|
175,726
|
|
|
661
|
|
|
176,387
|
|
|
2.35
|
%
|
|
2.83
|
%
|
|
4.79
|
|
||||
Inverse Interest Only
|
|
256,983
|
|
|
44,704
|
|
|
(775
|
)
|
|
43,929
|
|
|
4.20
|
%
|
|
7.37
|
%
|
|
5.86
|
|
||||
Interest Only
|
|
387,256
|
|
|
45,182
|
|
|
(321
|
)
|
|
44,861
|
|
|
2.66
|
%
|
|
6.32
|
%
|
|
4.38
|
|
||||
Excess MSR (5)
|
|
822,600
|
|
|
4,717
|
|
|
326
|
|
|
5,043
|
|
|
N/A
|
|
|
12.12
|
%
|
|
6.27
|
|
||||
Fixed Rate 30 Year TBA (6)
|
|
100,000
|
|
|
102,484
|
|
|
227
|
|
|
102,711
|
|
|
3.50
|
%
|
|
N/A
|
|
|
N/A
|
|
||||
Credit Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Residential Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Prime (7)
|
|
550,559
|
|
|
437,068
|
|
|
35,802
|
|
|
472,870
|
|
|
4.43
|
%
|
|
6.34
|
%
|
|
9.72
|
|
||||
Alt-A/Subprime (7)
|
|
311,153
|
|
|
216,422
|
|
|
16,196
|
|
|
232,618
|
|
|
4.10
|
%
|
|
5.91
|
%
|
|
6.46
|
|
||||
Credit Risk Transfer
|
|
149,710
|
|
|
149,786
|
|
|
10,712
|
|
|
160,498
|
|
|
5.11
|
%
|
|
5.28
|
%
|
|
5.87
|
|
||||
RPL/NPL Securities
|
|
67,999
|
|
|
67,968
|
|
|
(92
|
)
|
|
67,876
|
|
|
3.50
|
%
|
|
3.57
|
%
|
|
1.40
|
|
||||
Interest Only and Excess MSR (8)
|
|
421,605
|
|
|
3,579
|
|
|
(634
|
)
|
|
2,945
|
|
|
0.30
|
%
|
|
11.58
|
%
|
|
3.13
|
|
||||
Re/Non-Performing Loans
|
|
122,478
|
|
|
90,995
|
|
|
3,089
|
|
|
94,084
|
|
|
5.16
|
%
|
|
9.59
|
%
|
|
6.57
|
|
||||
New Origination Loans
|
|
3,822
|
|
|
3,925
|
|
|
—
|
|
|
3,925
|
|
|
5.50
|
%
|
|
5.50
|
%
|
|
3.20
|
|
||||
Commercial Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
CMBS
|
|
214,052
|
|
|
162,226
|
|
|
(271
|
)
|
|
161,955
|
|
|
5.48
|
%
|
|
6.16
|
%
|
|
3.58
|
|
||||
Freddie Mac K-Series
|
|
210,838
|
|
|
68,970
|
|
|
2,110
|
|
|
71,080
|
|
|
5.84
|
%
|
|
13.54
|
%
|
|
9.68
|
|
||||
Interest Only (9)
|
|
3,493,579
|
|
|
57,384
|
|
|
3,654
|
|
|
61,038
|
|
|
0.27
|
%
|
|
6.64
|
%
|
|
3.70
|
|
||||
Commercial Real Estate Loans
|
|
57,738
|
|
|
56,634
|
|
|
887
|
|
|
57,521
|
|
|
8.20
|
%
|
|
9.41
|
%
|
|
1.76
|
|
||||
ABS
|
|
40,655
|
|
|
40,217
|
|
|
741
|
|
|
40,958
|
|
|
7.61
|
%
|
|
8.27
|
%
|
|
5.43
|
|
||||
Total: Securities and Loans Segment
|
|
$
|
9,288,024
|
|
|
$
|
3,709,963
|
|
|
$
|
72,320
|
|
|
$
|
3,782,283
|
|
|
2.20
|
%
|
|
4.64
|
%
|
|
5.65
|
|
Investments in Debt and Equity of Affiliates
|
|
$
|
1,690,414
|
|
|
$
|
83,434
|
|
|
$
|
1,857
|
|
|
$
|
85,291
|
|
|
0.19
|
%
|
|
12.32
|
%
|
|
5.77
|
|
Other Assets
|
|
$
|
54,215
|
|
|
$
|
238
|
|
|
$
|
4
|
|
|
$
|
242
|
|
|
N/A
|
|
|
10.03
|
%
|
|
5.89
|
|
TBAs
|
|
$
|
100,000
|
|
|
$
|
102,484
|
|
|
$
|
227
|
|
|
$
|
102,711
|
|
|
3.50
|
%
|
|
N/A
|
|
|
N/A
|
|
Total: GAAP Securities and Loans Segment
|
|
$
|
7,443,395
|
|
|
$
|
3,523,807
|
|
|
$
|
70,232
|
|
|
$
|
3,594,039
|
|
|
2.65
|
%
|
|
4.45
|
%
|
|
5.64
|
|
(1)
|
Included in Residential Investments and Commercial Investments are
$11.4 million
fair market value and
$73.9 million
fair market value, respectively, that are included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheet. These items, inclusive of our investment in AG Arc and other items, net to
$99.7 million
which is included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheet. See Note 2 to the Notes to Consolidated Financial Statements for a discussion of investments in debt and equity of affiliates.
|
(2)
|
Equity residuals, principal only securities and Excess MSRs with a zero coupon rate are excluded from this calculation.
|
(3)
|
Fixed Rate 30 Year TBA are excluded from this calculation.
|
(4)
|
This is based on projected life. Typically, actual maturities of investments and loans are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
|
(5)
|
Excess MSRs whose underlying collateral is securitized in a trust held by a U.S. government agency or GSE.
|
(6)
|
Represents long positions in Fixed Rate 30 Year TBA.
|
(7)
|
Non-Agency RMBS with credit scores above 700, between 700 and 620 and below 620 at origination are classified as Prime, Alt-A, and Subprime, respectively. The weighted average credit scores of our Prime and Alt-A/Subprime Non-Agency RMBS were
726
and
656
, respectively.
|
(8)
|
Excess MSRs whose underlying collateral is securitized in a trust not held by a U.S. government agency or GSE.
|
(9)
|
Includes Freddie Mac K-Series interest-only bonds.
|
|
|
Three Months Ended (1) (2)
|
||||||||||
Agency RMBS
|
|
December 31, 2018
|
|
September 30, 2018
|
|
June 30, 2018
|
|
March 31, 2018
|
||||
30 Year Fixed Rate
|
|
4.0
|
%
|
|
6.1
|
%
|
|
5.9
|
%
|
|
5.9
|
%
|
Fixed Rate CMO
|
|
5.2
|
%
|
|
9.1
|
%
|
|
8.3
|
%
|
|
3.5
|
%
|
ARM
|
|
11.4
|
%
|
|
10.1
|
%
|
|
11.4
|
%
|
|
11.2
|
%
|
Interest Only
|
|
7.8
|
%
|
|
6.0
|
%
|
|
8.8
|
%
|
|
7.4
|
%
|
Weighted Average
|
|
4.4
|
%
|
|
6.4
|
%
|
|
6.4
|
%
|
|
6.3
|
%
|
(1)
|
Represents the weighted average monthly CPRs published during the quarter for our in-place portfolio during the same period.
|
(2)
|
Source: Bloomberg
|
|
|
Three Months Ended (1) (2)
|
||||||||||
Agency RMBS
|
|
December 31, 2017
|
|
September 30, 2017
|
|
June 30, 2017
|
|
March 31, 2017
|
||||
30 Year Fixed Rate
|
|
7.5
|
%
|
|
6.4
|
%
|
|
7.5
|
%
|
|
8.9
|
%
|
Fixed Rate CMO
|
|
6.3
|
%
|
|
11.6
|
%
|
|
9.8
|
%
|
|
5.1
|
%
|
ARM
|
|
10.8
|
%
|
|
13.0
|
%
|
|
14.1
|
%
|
|
10.8
|
%
|
Interest Only
|
|
9.8
|
%
|
|
14.3
|
%
|
|
13.4
|
%
|
|
14.9
|
%
|
Weighted Average
|
|
7.8
|
%
|
|
7.4
|
%
|
|
8.7
|
%
|
|
9.3
|
%
|
(1)
|
Represents the weighted average monthly CPRs published during the quarter for our in-place portfolio during the same period.
|
(2)
|
Source: Bloomberg
|
Credit Securities:
|
|
Current Face
|
|
Amortized Cost
|
|
Unrealized Mark-to-
Market
|
|
Fair Value (1)
|
|
Weighted Average
Coupon (2)
|
|
Weighted
Average Yield
|
|
Weighted Average
Life (Years) (3)
|
||||||||||
Pre 2009
|
|
$
|
409,237
|
|
|
$
|
279,978
|
|
|
$
|
26,811
|
|
|
$
|
306,789
|
|
|
4.98
|
%
|
|
7.01
|
%
|
|
10.79
|
2010
|
|
1,415
|
|
|
1,237
|
|
|
18
|
|
|
1,255
|
|
|
2.51
|
%
|
|
6.14
|
%
|
|
2.94
|
||||
2011
|
|
6,144
|
|
|
5,405
|
|
|
5
|
|
|
5,410
|
|
|
4.31
|
%
|
|
6.03
|
%
|
|
5.00
|
||||
2012
|
|
4,966
|
|
|
4,147
|
|
|
545
|
|
|
4,692
|
|
|
4.22
|
%
|
|
6.30
|
%
|
|
3.59
|
||||
2013
|
|
71,948
|
|
|
13,662
|
|
|
1,569
|
|
|
15,231
|
|
|
2.04
|
%
|
|
7.57
|
%
|
|
2.89
|
||||
2014
|
|
991,192
|
|
|
33,899
|
|
|
3,956
|
|
|
37,855
|
|
|
0.28
|
%
|
|
10.42
|
%
|
|
1.01
|
||||
2015
|
|
1,140,335
|
|
|
112,805
|
|
|
16,128
|
|
|
128,933
|
|
|
0.74
|
%
|
|
9.19
|
%
|
|
4.36
|
||||
2016
|
|
1,292,975
|
|
|
111,709
|
|
|
12,800
|
|
|
124,509
|
|
|
0.78
|
%
|
|
8.11
|
%
|
|
4.96
|
||||
2017
|
|
833,086
|
|
|
211,172
|
|
|
3,817
|
|
|
214,989
|
|
|
1.64
|
%
|
|
7.58
|
%
|
|
5.46
|
||||
2018
|
|
366,221
|
|
|
166,254
|
|
|
(2,082
|
)
|
|
164,172
|
|
|
2.49
|
%
|
|
7.35
|
%
|
|
5.51
|
||||
Total: Non-GAAP Basis
|
|
$
|
5,117,519
|
|
|
$
|
940,268
|
|
|
$
|
63,567
|
|
|
$
|
1,003,835
|
|
|
1.28
|
%
|
|
7.73
|
%
|
|
4.62
|
Less: Investments in Debt and Equity of Affiliates
|
|
$
|
271,780
|
|
|
$
|
95,474
|
|
|
$
|
465
|
|
|
$
|
95,940
|
|
|
1.60
|
%
|
|
8.26
|
%
|
|
5.19
|
Total: GAAP Basis
|
|
$
|
4,845,739
|
|
|
$
|
844,794
|
|
|
$
|
63,102
|
|
|
$
|
907,895
|
|
|
1.26
|
%
|
|
7.67
|
%
|
|
4.59
|
(1)
|
Net of any non-recourse securitized debt.
|
(2)
|
Equity residual investments and principal only securities are excluded from this calculation.
|
(3)
|
This is based on projected life. Typically, actual maturities of mortgage-backed securities are shorter than stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
|
Credit Securities:
|
|
Current Face
|
|
Amortized Cost
|
|
Unrealized Mark-to-
Market
|
|
Fair Value (1)
|
|
Weighted Average
Coupon (2)
|
|
Weighted Average
Yield
|
|
Weighted Average
Life (Years) (3)
|
|||||||||||
Pre 2009
|
|
$
|
570,127
|
|
|
$
|
415,152
|
|
|
$
|
38,219
|
|
|
$
|
453,371
|
|
|
4.62
|
%
|
|
6.55
|
%
|
|
9.69
|
|
2010
|
|
1,855
|
|
|
1,648
|
|
|
(1
|
)
|
|
1,647
|
|
|
1.69
|
%
|
|
5.70
|
%
|
|
3.35
|
|
||||
2011
|
|
6,953
|
|
|
6,059
|
|
|
(112
|
)
|
|
5,947
|
|
|
3.50
|
%
|
|
4.48
|
%
|
|
5.72
|
|
||||
2012
|
|
72,881
|
|
|
10,355
|
|
|
768
|
|
|
11,123
|
|
|
1.97
|
%
|
|
6.31
|
%
|
|
2.45
|
|
||||
2013
|
|
109,464
|
|
|
41,716
|
|
|
1,874
|
|
|
43,590
|
|
|
2.48
|
%
|
|
5.56
|
%
|
|
3.80
|
|
||||
2014
|
|
1,065,779
|
|
|
61,073
|
|
|
6,949
|
|
|
68,022
|
|
|
0.34
|
%
|
|
11.08
|
%
|
|
1.55
|
|
||||
2015
|
|
1,341,477
|
|
|
234,963
|
|
|
8,266
|
|
|
243,229
|
|
|
1.01
|
%
|
|
6.57
|
%
|
|
3.85
|
|
||||
2016
|
|
1,359,009
|
|
|
160,539
|
|
|
8,006
|
|
|
168,545
|
|
|
0.81
|
%
|
|
6.95
|
%
|
|
5.33
|
|
||||
2017
|
|
970,500
|
|
|
339,345
|
|
|
6,284
|
|
|
345,629
|
|
|
1.84
|
%
|
|
5.84
|
%
|
|
5.92
|
|
||||
Total: Non-GAAP Basis
|
|
$
|
5,498,045
|
|
|
$
|
1,270,850
|
|
|
$
|
70,253
|
|
|
$
|
1,341,103
|
|
|
1.38
|
%
|
|
6.61
|
%
|
|
4.72
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
$
|
1,677,993
|
|
|
$
|
73,887
|
|
|
$
|
1,833
|
|
|
$
|
75,720
|
|
|
0.13
|
%
|
|
13.05
|
%
|
|
5.77
|
|
Total: GAAP Basis
|
|
$
|
3,820,052
|
|
|
$
|
1,196,963
|
|
|
$
|
68,420
|
|
|
$
|
1,265,383
|
|
|
1.89
|
%
|
|
6.22
|
%
|
|
4.26
|
|
(1)
|
Net of any non-recourse securitized debt.
|
(2)
|
Equity residual investments and principal only securities are excluded from this calculation.
|
(3)
|
This is based on projected life. Typically, actual maturities of mortgage-backed securities are shorter than stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
|
Credit Rating - Credit Securities (1)
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
AAA
|
|
$
|
15,240
|
|
|
$
|
69,582
|
|
A
|
|
24,824
|
|
|
49,000
|
|
||
BBB
|
|
27,510
|
|
|
10,763
|
|
||
BB
|
|
71,678
|
|
|
65,784
|
|
||
B
|
|
146,753
|
|
|
183,944
|
|
||
Below B
|
|
144,962
|
|
|
370,699
|
|
||
Not Rated
|
|
572,868
|
|
|
591,331
|
|
||
Total: Non-GAAP Basis
|
|
$
|
1,003,835
|
|
|
$
|
1,341,103
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
$
|
95,940
|
|
|
$
|
75,720
|
|
Total: GAAP Basis
|
|
$
|
907,895
|
|
|
$
|
1,265,383
|
|
(1)
|
Represents the minimum rating for rated assets of S&P, Moody and Fitch credit ratings, stated in terms of the S&P equivalent.
|
December 31, 2018
|
||||||||
Non-Agency RMBS
|
|
|
|
CMBS
|
|
|
||
State
|
|
Percentage
|
|
State
|
|
Percentage
|
||
California
|
|
23.4
|
%
|
|
Texas
|
|
10.9
|
%
|
Florida
|
|
6.6
|
%
|
|
California
|
|
9.8
|
%
|
New York
|
|
6.4
|
%
|
|
Florida
|
|
8.7
|
%
|
Colorado
|
|
4.4
|
%
|
|
New York
|
|
8.0
|
%
|
Georgia
|
|
4.2
|
%
|
|
New Jersey
|
|
7.8
|
%
|
Other
|
|
55.0
|
%
|
|
Other
|
|
54.8
|
%
|
Total
|
|
100.0
|
%
|
|
Total
|
|
100.0
|
%
|
December 31, 2017
|
||||||||
Non-Agency RMBS
|
|
|
|
CMBS
|
|
|
||
State
|
|
Percentage
|
|
State
|
|
Percentage
|
||
California
|
|
22.6
|
%
|
|
California
|
|
12.5
|
%
|
Florida
|
|
7.8
|
%
|
|
Texas
|
|
9.4
|
%
|
New York
|
|
7.2
|
%
|
|
New York
|
|
7.7
|
%
|
Colorado
|
|
4.0
|
%
|
|
Arizona
|
|
7.5
|
%
|
Texas
|
|
3.9
|
%
|
|
New Jersey
|
|
6.8
|
%
|
Other
|
|
54.5
|
%
|
|
Other
|
|
56.1
|
%
|
Total
|
|
100.0
|
%
|
|
Total
|
|
100.0
|
%
|
December 31, 2018
|
|||||||||
Non-Agency RMBS*
|
|||||||||
Category
|
|
Weighted Average 60+
Days Delinquent
|
|
Weighted Average
Loan Age (Months)
|
|
Weighted Average
Credit Enhancement
|
|||
Prime
|
|
10.4
|
%
|
|
133.2
|
|
|
11.9
|
%
|
Alt-A/Subprime
|
|
14.5
|
%
|
|
152.3
|
|
|
16.3
|
%
|
Credit Risk Transfer
|
|
0.3
|
%
|
|
24.0
|
|
|
1.2
|
%
|
RPL/NPL Securities
|
|
66.7
|
%
|
|
62.0
|
|
|
89.3
|
%
|
CMBS*
|
|||||||||
Category
|
|
Weighted Average 60+
Days Delinquent
|
|
Weighted Average
Loan Age (Months)
|
|
Weighted Average
Credit Enhancement
|
|||
CMBS
|
|
1.1
|
%
|
|
29.6
|
|
|
13.6
|
%
|
Freddie Mac K Series
|
|
0.7
|
%
|
|
39.7
|
|
|
0.6
|
%
|
December 31, 2017
|
|||||||||
Non-Agency RMBS*
|
|||||||||
Category
|
|
Weighted Average 60+
Days Delinquent
|
|
Weighted Average
Loan Age (Months)
|
|
Weighted Average
Credit Enhancement
|
|||
Prime
|
|
9.5
|
%
|
|
114.5
|
|
|
14.5
|
%
|
Alt-A/Subprime
|
|
16.0
|
%
|
|
143.6
|
|
|
28.4
|
%
|
Credit Risk Transfer
|
|
0.3
|
%
|
|
19.7
|
|
|
1.1
|
%
|
RPL/NPL Securities
|
|
73.3
|
%
|
|
108.9
|
|
|
40.7
|
%
|
CMBS*
|
|||||||||
Category
|
|
Weighted Average 60+
Days Delinquent
|
|
Weighted Average
Loan Age (Months)
|
|
Weighted Average
Credit Enhancement
|
|||
CMBS
|
|
4.2
|
%
|
|
37.1
|
|
|
18.5
|
%
|
Freddie Mac K Series
|
|
—
|
%
|
|
31.2
|
|
|
0.8
|
%
|
State
|
|
Number of Properties
|
|
Average Occupancy
|
|
Average Monthly Rent (a)
|
|
Average Monthly Rent PSF (a)
|
|
Percent of Rental Income (b)
|
|||||||
South Carolina
|
|
436
|
|
|
85.8
|
%
|
|
$
|
1,081
|
|
|
$
|
0.77
|
|
|
36.8
|
%
|
Alabama
|
|
296
|
|
|
90.9
|
%
|
|
1,005
|
|
|
0.67
|
|
|
24.6
|
%
|
||
Georgia
|
|
210
|
|
|
89.0
|
%
|
|
917
|
|
|
0.63
|
|
|
15.6
|
%
|
||
North Carolina
|
|
121
|
|
|
84.3
|
%
|
|
964
|
|
|
0.72
|
|
|
9.0
|
%
|
||
Ohio
|
|
70
|
|
|
91.4
|
%
|
|
1,072
|
|
|
0.80
|
|
|
6.2
|
%
|
||
Indiana
|
|
49
|
|
|
93.9
|
%
|
|
1,067
|
|
|
0.70
|
|
|
4.5
|
%
|
||
Tennessee
|
|
43
|
|
|
81.4
|
%
|
|
1,033
|
|
|
0.68
|
|
|
3.3
|
%
|
||
Total
|
|
1,225
|
|
|
87.9
|
%
|
|
$
|
1,020
|
|
|
$
|
0.71
|
|
|
100.0
|
%
|
(a)
|
Represents average monthly rent, based on contractual amounts for occupied residences as of
December 31, 2018
.
|
(b)
|
Represents the percentage of total contractual rents for occupied residences in each state as of
December 31, 2018
.
|
Quarter Ended
|
|
Quarter-End
Balance
|
|
Average Quarterly
Balance
|
|
Maximum Balance at
Any Month-End
|
||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|||
Non-GAAP Basis
|
|
$
|
2,962,244
|
|
|
$
|
2,953,741
|
|
|
$
|
2,968,859
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
139,739
|
|
|
125,851
|
|
|
139,739
|
|
|||
GAAP Basis
|
|
$
|
2,822,505
|
|
|
$
|
2,827,890
|
|
|
$
|
2,829,120
|
|
September 30, 2018
|
|
|
|
|
|
|
||||||
Non-GAAP Basis
|
|
$
|
3,015,530
|
|
|
$
|
2,896,931
|
|
|
$
|
3,015,530
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
102,149
|
|
|
92,833
|
|
|
102,149
|
|
|||
GAAP Basis
|
|
$
|
2,913,381
|
|
|
$
|
2,804,098
|
|
|
$
|
2,913,381
|
|
June 30, 2018
|
|
|
|
|
|
|
||||||
Non-GAAP Basis
|
|
$
|
2,719,376
|
|
|
$
|
2,792,123
|
|
|
$
|
2,932,186
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
85,194
|
|
|
170,006
|
|
|
213,489
|
|
|||
GAAP Basis
|
|
$
|
2,634,182
|
|
|
$
|
2,622,117
|
|
|
$
|
2,718,697
|
|
March 31, 2018
|
|
|
|
|
|
|
||||||
Non-GAAP Basis
|
|
$
|
3,035,398
|
|
|
$
|
2,954,404
|
|
|
$
|
3,043,392
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
208,819
|
|
|
77,309
|
|
|
208,819
|
|
|||
GAAP Basis
|
|
$
|
2,826,579
|
|
|
$
|
2,877,095
|
|
|
$
|
2,834,573
|
|
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|||
Non-GAAP Basis
|
|
$
|
3,011,591
|
|
|
$
|
2,882,548
|
|
|
$
|
3,011,591
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
7,184
|
|
|
8,849
|
|
|
9,807
|
|
|||
GAAP Basis
|
|
$
|
3,004,407
|
|
|
$
|
2,873,699
|
|
|
$
|
3,001,784
|
|
September 30, 2017
|
|
|
|
|
|
|
||||||
Non-GAAP Basis
|
|
$
|
2,703,069
|
|
|
$
|
2,596,533
|
|
|
$
|
2,746,151
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
8,517
|
|
|
8,697
|
|
|
8,869
|
|
|||
GAAP Basis
|
|
$
|
2,694,552
|
|
|
$
|
2,587,836
|
|
|
$
|
2,737,282
|
|
June 30, 2017
|
|
|
|
|
|
|
||||||
Non-GAAP Basis
|
|
$
|
2,265,227
|
|
|
$
|
2,209,991
|
|
|
$
|
2,339,133
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
8,485
|
|
|
8,806
|
|
|
9,116
|
|
|||
GAAP Basis
|
|
$
|
2,256,742
|
|
|
$
|
2,201,185
|
|
|
$
|
2,330,017
|
|
March 31, 2017
|
|
|
|
|
|
|
||||||
Non-GAAP Basis
|
|
$
|
1,887,767
|
|
|
$
|
1,813,668
|
|
|
$
|
1,887,766
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
8,424
|
|
|
8,788
|
|
|
9,172
|
|
|||
GAAP Basis
|
|
$
|
1,879,343
|
|
|
$
|
1,804,880
|
|
|
$
|
1,878,594
|
|
December 31, 2016
|
|
|
|
|
|
|
|
|
|
|||
Non-GAAP Basis
|
|
$
|
1,910,509
|
|
|
$
|
1,972,785
|
|
|
$
|
2,009,130
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
9,999
|
|
|
10,525
|
|
|
11,019
|
|
|||
GAAP Basis
|
|
$
|
1,900,510
|
|
|
$
|
1,962,260
|
|
|
$
|
1,998,111
|
|
September 30, 2016
|
|
|
|
|
|
|
||||||
Non-GAAP Basis
|
|
$
|
2,237,849
|
|
|
$
|
2,242,396
|
|
|
$
|
2,275,368
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
11,485
|
|
|
12,147
|
|
|
12,843
|
|
|||
GAAP Basis
|
|
$
|
2,226,364
|
|
|
$
|
2,230,249
|
|
|
$
|
2,262,525
|
|
June 30, 2016
|
|
|
|
|
|
|
||||||
Non-GAAP Basis
|
|
$
|
2,263,591
|
|
|
$
|
2,305,133
|
|
|
$
|
2,368,335
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
13,595
|
|
|
14,628
|
|
|
15,535
|
|
|||
GAAP Basis
|
|
$
|
2,249,996
|
|
|
$
|
2,290,505
|
|
|
$
|
2,352,800
|
|
March 31, 2016
|
|
|
|
|
|
|
|
|
|
|||
Non-GAAP Basis
|
|
$
|
2,573,321
|
|
|
$
|
2,559,322
|
|
|
$
|
2,582,944
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
16,405
|
|
|
17,169
|
|
|
17,983
|
|
|||
GAAP Basis
|
|
$
|
2,556,916
|
|
|
$
|
2,542,153
|
|
|
$
|
2,564,961
|
|
|
|
Securities and Loans Segment
|
|
Single-Family Rental Properties Segment
|
|||||||||||||||||
|
|
Agency
|
|
Credit
|
|
SFR
|
|||||||||||||||
Financing Arrangements Maturing Within: (1)
|
|
Balance
|
|
Weighted Average
Funding Cost
|
|
Balance
|
|
Weighted Average
Funding Cost |
|
Balance
|
|
Weighted Average
Funding Cost |
|||||||||
Overnight
|
|
$
|
52,385
|
|
|
3.92
|
%
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
30 days or less
|
|
1,093,948
|
|
|
2.51
|
%
|
|
482,281
|
|
|
3.52
|
%
|
|
—
|
|
|
—
|
|
|||
31-60 days
|
|
658,721
|
|
|
2.57
|
%
|
|
274,968
|
|
|
4.55
|
%
|
|
—
|
|
|
—
|
|
|||
61-90 days
|
|
—
|
|
|
—
|
|
|
46,594
|
|
|
3.89
|
%
|
|
—
|
|
|
—
|
|
|||
91-180 days
|
|
—
|
|
|
—
|
|
|
13,699
|
|
|
6.01
|
%
|
|
—
|
|
|
—
|
|
|||
Greater than 180 days
|
|
—
|
|
|
—
|
|
|
237,631
|
|
|
4.56
|
%
|
|
102,017
|
|
|
4.80
|
%
|
|||
Total: Non-GAAP Basis
|
|
$
|
1,805,054
|
|
|
2.57
|
%
|
|
$
|
1,055,173
|
|
|
4.07
|
%
|
|
$
|
102,017
|
|
|
4.80
|
%
|
Investments in Debt and Equity of Affiliates
|
|
$
|
—
|
|
|
—
|
|
|
$
|
139,739
|
|
|
5.79
|
%
|
|
$
|
—
|
|
|
—
|
|
Total: GAAP Basis
|
|
$
|
1,805,054
|
|
|
2.57
|
%
|
|
$
|
915,434
|
|
|
3.81
|
%
|
|
$
|
102,017
|
|
|
4.80
|
%
|
(1)
|
As of
December 31, 2018
, our weighted average days to maturity was
143
days and our weighted average original days to maturity was
218
days on a GAAP Basis. As of
December 31, 2018
, our weighted average days to maturity was
142
days and our weighted average original days to maturity was
226
days on a Non-GAAP Basis.
|
|
|
Securities and Loans Segment
|
||||||||||||
|
|
Agency
|
|
Credit
|
||||||||||
Financing Arrangements Maturing Within: (1)
|
|
Balance
|
|
Weighted Average
Funding Cost |
|
Balance
|
|
Weighted Average
Funding Cost |
||||||
Overnight
|
|
$
|
128,779
|
|
|
1.80
|
%
|
|
$
|
—
|
|
|
—
|
|
30 days or less
|
|
1,398,411
|
|
|
1.57
|
%
|
|
707,993
|
|
|
2.68
|
%
|
||
31-60 days
|
|
477,943
|
|
|
1.49
|
%
|
|
133,820
|
|
|
2.75
|
%
|
||
61-90 days
|
|
—
|
|
|
—
|
|
|
32,445
|
|
|
3.04
|
%
|
||
91-180 days
|
|
—
|
|
|
—
|
|
|
1,189
|
|
|
3.22
|
%
|
||
Greater than 180 days
|
|
—
|
|
|
—
|
|
|
131,011
|
|
|
3.24
|
%
|
||
Total: Non-GAAP Basis
|
|
$
|
2,005,133
|
|
|
1.56
|
%
|
|
$
|
1,006,458
|
|
|
2.77
|
%
|
Investments in Debt and Equity of Affiliates
|
|
$
|
—
|
|
|
—
|
|
|
$
|
7,184
|
|
|
3.80
|
%
|
Total: GAAP Basis
|
|
$
|
2,005,133
|
|
|
1.56
|
%
|
|
$
|
999,274
|
|
|
2.77
|
%
|
(1)
|
As of
December 31, 2017
, our weighted average days to maturity was
42
days and our weighted average original days to maturity was
117
days on a GAAP Basis. As of
December 31, 2017
, our weighted average days to maturity was
43
days and our weighted average original days to maturity was
118
days on a Non-GAAP Basis.
|
Repurchase Agreements Maturing Within:
|
|
Balance
|
|
Weighted Average
Rate
|
|
Weighted Average
Funding Cost |
|
Weighted Average
Days to Maturity
|
|
Weighted
Average Haircut
|
||||||
Overnight
|
|
$
|
52,385
|
|
|
3.92
|
%
|
|
3.92
|
%
|
|
2
|
|
|
3.0
|
%
|
30 days or less
|
|
1,576,229
|
|
|
2.82
|
%
|
|
2.82
|
%
|
|
9
|
|
|
9.9
|
%
|
|
31-60 days
|
|
852,017
|
|
|
2.85
|
%
|
|
2.85
|
%
|
|
46
|
|
|
8.1
|
%
|
|
61-90 days
|
|
46,594
|
|
|
3.89
|
%
|
|
3.89
|
%
|
|
72
|
|
|
21.4
|
%
|
|
91-180 days
|
|
13,699
|
|
|
6.01
|
%
|
|
6.01
|
%
|
|
178
|
|
|
38.1
|
%
|
|
Greater than 180 days
|
|
26,212
|
|
|
4.71
|
%
|
|
4.77
|
%
|
|
556
|
|
|
21.9
|
%
|
|
Total: Non-GAAP Basis
|
|
$
|
2,567,136
|
|
|
2.91
|
%
|
|
2.91
|
%
|
|
29
|
|
|
9.7
|
%
|
Investments in Debt and Equity of Affiliates
|
|
$
|
55,025
|
|
|
4.94
|
%
|
|
4.97
|
%
|
|
258
|
|
|
27.1
|
%
|
Total: GAAP Basis
|
|
$
|
2,512,111
|
|
|
2.86
|
%
|
|
2.86
|
%
|
|
24
|
|
|
9.3
|
%
|
Repurchase Agreements Maturing Within:
|
|
Balance
|
|
Weighted Average
Rate |
|
Weighted Average
Funding Cost |
|
Weighted Average
Days to Maturity |
|
Weighted
Average Haircut |
||||||
Overnight
|
|
$
|
128,779
|
|
|
1.80
|
%
|
|
1.80
|
%
|
|
2
|
|
|
3.2
|
%
|
30 days or less
|
|
2,106,404
|
|
|
1.94
|
%
|
|
1.94
|
%
|
|
10
|
|
|
9.6
|
%
|
|
31-60 days
|
|
611,763
|
|
|
1.76
|
%
|
|
1.76
|
%
|
|
43
|
|
|
7.6
|
%
|
|
61-90 days
|
|
32,445
|
|
|
3.04
|
%
|
|
3.04
|
%
|
|
76
|
|
|
25.9
|
%
|
|
91-180 days
|
|
1,189
|
|
|
3.22
|
%
|
|
3.22
|
%
|
|
151
|
|
|
22.8
|
%
|
|
Greater than 180 days
|
|
93,060
|
|
|
3.00
|
%
|
|
3.00
|
%
|
|
644
|
|
|
20.4
|
%
|
|
Total: Non-GAAP Basis
|
|
$
|
2,973,640
|
|
|
1.94
|
%
|
|
1.94
|
%
|
|
37
|
|
|
9.4
|
%
|
Investments in Debt and Equity of Affiliates
|
|
$
|
1,359
|
|
|
3.31
|
%
|
|
3.31
|
%
|
|
24
|
|
|
6.0
|
%
|
Total: GAAP Basis
|
|
$
|
2,972,281
|
|
|
1.94
|
%
|
|
1.94
|
%
|
|
37
|
|
|
9.4
|
%
|
Repurchase Agreements Maturing Within:
|
|
Balance
|
|
Weighted Average
Rate |
|
Weighted Average
Funding Cost |
|
Weighted Average
Days to Maturity |
|
Weighted
Average Haircut |
||||||
Greater than 180 days
|
|
$
|
83,762
|
|
|
4.27
|
%
|
|
4.37
|
%
|
|
728
|
|
|
15.6
|
%
|
|
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||||||
Facility
|
|
Maturity Date
|
|
Rate
|
|
Funding Cost (2)
|
|
Balance
|
|
Rate
|
|
Funding Cost (2)
|
|
Balance
|
||||||||
Term loan facility, net (1)
|
|
October 10, 2023
|
|
4.63
|
%
|
|
4.80
|
%
|
|
$
|
102,017
|
|
|
—
|
|
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Revolving facility A
|
|
July 1, 2019
|
|
4.66
|
%
|
|
4.66
|
%
|
|
$
|
21,796
|
|
|
3.70
|
%
|
|
3.70
|
%
|
|
$
|
21,796
|
|
Revolving facility B
|
|
June 15, 2020
|
|
4.53
|
%
|
|
4.54
|
%
|
|
63,328
|
|
|
4.07
|
%
|
|
4.07
|
%
|
|
10,330
|
|
||
Revolving facility C
|
|
August 10, 2023
|
|
4.53
|
%
|
|
4.80
|
%
|
|
39,491
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Revolving facility D
|
|
February 19, 2019
|
|
5.00
|
%
|
|
6.37
|
%
|
|
81,671
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Revolving facility E
|
|
August 25, 2019
|
|
4.88
|
%
|
|
4.88
|
%
|
|
3,043
|
|
|
3.91
|
%
|
|
3.91
|
%
|
|
5,825
|
|
||
Total revolving facilities
|
|
|
|
|
|
|
|
$
|
209,329
|
|
|
|
|
|
|
$
|
37,951
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Total: Non-GAAP Basis
|
|
|
|
|
|
|
|
$
|
311,346
|
|
|
|
|
|
|
$
|
37,951
|
|
||||
Investments in Debt and Equity of Affiliates
|
|
|
|
|
|
|
|
$
|
84,714
|
|
|
|
|
|
|
$
|
5,825
|
|
||||
Total: GAAP Basis
|
|
|
|
|
|
|
|
$
|
226,632
|
|
|
|
|
|
|
$
|
32,126
|
|
(1)
|
The total borrowings under the term loan is
$103.0 million
, which is shown net of deferred financing costs of
$1.0 million
.
|
(2)
|
Funding costs represent the stated rate inclusive of any deferred financing costs.
|
|
|
|
|
|
Weighted Average
|
||||||||||
|
Current Face
|
|
Fair Value
|
|
Coupon
|
|
Yield
|
|
Life (Years) (1)
|
||||||
Consolidated tranche (2)
|
$
|
10,821
|
|
|
$
|
10,858
|
|
|
4.10
|
%
|
|
4.47
|
%
|
|
2.39
|
Retained tranche
|
8,401
|
|
|
6,550
|
|
|
4.61
|
%
|
|
18.50
|
%
|
|
8.37
|
||
Total resecuritized asset
|
$
|
19,222
|
|
|
$
|
17,408
|
|
|
4.32
|
%
|
|
9.75
|
%
|
|
5.00
|
(1)
|
This is based on projected life. Typically, actual maturities of investments and loans are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
|
(2)
|
As of
December 31, 2018
, the fair market value of the consolidated tranche is included in our consolidated balance sheets as "Non-Agency RMBS." As of
December 31, 2018
, we have recorded secured financing of
$10.9 million
on our consolidated balance sheets in the "Securitized debt, at fair value" line item.
|
|
|
|
|
|
Weighted Average
|
||||||||||
|
Current Face
|
|
Fair Value
|
|
Coupon
|
|
Yield
|
|
Life (Years) (1)
|
||||||
Consolidated tranche (2)
|
$
|
16,355
|
|
|
$
|
16,478
|
|
|
3.11
|
%
|
|
3.92
|
%
|
|
2.95
|
Retained tranche
|
8,618
|
|
|
6,101
|
|
|
4.28
|
%
|
|
15.48
|
%
|
|
9.04
|
||
Total resecuritized asset
|
$
|
24,973
|
|
|
$
|
22,578
|
|
|
3.51
|
%
|
|
7.04
|
%
|
|
5.05
|
(1)
|
This is based on projected life. Typically, actual maturities of investments and loans are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
|
(2)
|
As of
December 31, 2017
, the fair market value of the consolidated tranche is included in our consolidated balance sheets as "Non-Agency RMBS". As of
December 31, 2017
, we have recorded secured financing of
$16.5 million
on our consolidated balance sheets in the "Securitized debt, at fair value" line item.
|
December 31, 2018
|
|
Leverage
|
|
Stockholders' Equity
|
|
Leverage Ratio
|
||||
GAAP Leverage
|
|
$
|
2,833,363
|
|
|
$
|
656,011
|
|
|
4.3x
|
Financing arrangements through affiliated entities
|
|
155,888
|
|
|
|
|
|
|||
Non-GAAP "At Risk" Leverage
|
|
$
|
2,989,251
|
|
|
$
|
656,011
|
|
|
4.6x
|
December 31, 2017
|
|
Leverage
|
|
Stockholders' Equity
|
|
Leverage Ratio
|
||||
GAAP Leverage
|
|
$
|
3,023,293
|
|
|
$
|
714,259
|
|
|
4.2x
|
Financing arrangements through affiliated entities
|
|
7,184
|
|
|
|
|
|
|||
Net TBA receivable/(payable) adjustment
|
|
102,484
|
|
|
|
|
|
|||
Non-GAAP "At Risk" Leverage
|
|
$
|
3,132,961
|
|
|
$
|
714,259
|
|
|
4.4x
|
Derivatives and Other Instruments
|
|
GAAP
Designation
|
|
Balance Sheet Location
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Interest rate swaps (1)
|
|
Non-Hedge
|
|
Other assets
|
|
$
|
1,406
|
|
|
$
|
1,428
|
|
Interest rate swaps (1)
|
|
Non-Hedge
|
|
Other liabilities
|
|
(317
|
)
|
|
(450
|
)
|
||
Swaptions
|
|
Non-Hedge
|
|
Other assets
|
|
323
|
|
|
362
|
|
||
Short positions on U.S. Treasury Futures (2)
|
|
Non-Hedge
|
|
Other assets
|
|
—
|
|
|
110
|
|
||
Short positions on U.S. Treasuries
|
|
Non-Hedge
|
|
Other liabilities (3)
|
|
(11,378
|
)
|
|
(24,379
|
)
|
(1)
|
As of
December 31, 2018
, the Company applied a reduction in fair value of
$26.0 million
and
$18.1 million
to its interest rate swap assets and liabilities, respectively, related to variation margin. As of
December 31, 2017
, the Company applied a reduction in fair value of
$19.5 million
and
$0.6 million
to its interest rate swap assets and liabilities, respectively, related to variation margin.
|
(2)
|
As of
December 31, 2018
, the Company applied a reduction in fair value of
$0.1 million
and
$1.0 million
to its U.S. Treasury Futures assets and Eurodollar Futures liabilities, respectively, related to variation margin. As of
December 31, 2017
, the Company did not apply a fair value reduction to its U.S. Treasury Futures and Eurodollar Futures assets and liabilities.
|
(3)
|
Short positions on U.S. Treasuries relate to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded in the "Unrealized gain/(loss) on derivatives and other instruments, net" line item in our consolidated statement of operations.
|
Non-hedge derivatives and other instruments held long/(short):
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements
|
|
$
|
1,963,500
|
|
|
$
|
2,227,000
|
|
Net notional amount of Swaptions
|
|
260,000
|
|
|
270,000
|
|
||
Notional amount of short positions on U.S. Treasury Futures (1)
|
|
—
|
|
|
(52,500
|
)
|
||
Notional amount of long positions on U.S. Treasury Futures (1)
|
|
30,000
|
|
|
—
|
|
||
Notional amount of short positions on Eurodollar Futures (2)
|
|
(500,000
|
)
|
|
—
|
|
||
Notional amount of short positions on U.S. Treasuries
|
|
(11,250
|
)
|
|
(24,668
|
)
|
(1)
|
Each U.S. Treasury Future contract embodies $100,000 of notional value.
|
(2)
|
Each Eurodollar Future contract embodies $1,000,000 of notional value.
|
Non-hedge derivatives and other instruments gain/(loss):
|
|
Statement of Operations Location
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||
Interest rate swaps, at fair value
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
|
$
|
(11,171
|
)
|
|
$
|
20,547
|
|
|
$
|
5,009
|
|
Interest rate swaps, at fair value
|
|
Net realized gain/(loss)
|
|
21,338
|
|
|
(9,959
|
)
|
|
(10,939
|
)
|
|||
Swaptions
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
|
(1,083
|
)
|
|
(596
|
)
|
|
—
|
|
|||
Swaptions
|
|
Net realized gain/(loss)
|
|
(790
|
)
|
|
—
|
|
|
—
|
|
|||
Eurodollar Futures
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
|
(1,001
|
)
|
|
—
|
|
|
—
|
|
|||
Eurodollar Futures
|
|
Net realized gain/(loss)
|
|
—
|
|
|
1,372
|
|
|
1,059
|
|
|||
U.S. Treasury Futures
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
|
36
|
|
|
748
|
|
|
(639
|
)
|
|||
U.S. Treasury Futures
|
|
Net realized gain/(loss)
|
|
607
|
|
|
(4,050
|
)
|
|
1,558
|
|
|||
U.S. Treasuries
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
|
(176
|
)
|
|
(1,631
|
)
|
|
4,314
|
|
|||
U.S. Treasuries
|
|
Net realized gain
|
|
177
|
|
|
1,742
|
|
|
3,522
|
|
Weighted Average Life (Years) on non-hedge derivatives and other instruments
|
|
December 31, 2018
|
|
December 31, 2017
|
||
Interest rate swaps
|
|
5.57
|
|
|
4.56
|
|
Swaptions
|
|
0.60
|
|
|
0.59
|
|
Short positions on Eurodollar Futures
|
|
1.95
|
|
|
—
|
|
Short positions on U.S. Treasury Futures
|
|
—
|
|
|
0.22
|
|
Long positions on U.S. Treasury Futures
|
|
0.22
|
|
|
—
|
|
Short positions on U.S. Treasuries
|
|
2.88
|
|
|
6.86
|
|
Maturity
|
|
Notional Amount
|
|
Weighted Average
Pay-Fixed Rate
|
|
Weighted Average
Receive-Variable Rate
|
|
Weighted Average
Years to Maturity
|
||||
2020
|
|
$
|
105,000
|
|
|
1.54
|
%
|
|
2.56
|
%
|
|
1.20
|
2021
|
|
58,500
|
|
|
3.00
|
%
|
|
2.63
|
%
|
|
2.76
|
|
2022
|
|
478,000
|
|
|
1.87
|
%
|
|
2.72
|
%
|
|
3.58
|
|
2023
|
|
403,000
|
|
|
3.05
|
%
|
|
2.64
|
%
|
|
4.65
|
|
2024
|
|
230,000
|
|
|
2.06
|
%
|
|
2.63
|
%
|
|
5.50
|
|
2025
|
|
125,000
|
|
|
2.87
|
%
|
|
2.70
|
%
|
|
6.38
|
|
2026
|
|
75,000
|
|
|
2.12
|
%
|
|
2.66
|
%
|
|
7.89
|
|
2027
|
|
264,000
|
|
|
2.35
|
%
|
|
2.66
|
%
|
|
8.68
|
|
2028
|
|
225,000
|
|
|
2.96
|
%
|
|
2.69
|
%
|
|
9.37
|
|
Total/Wtd Avg
|
|
$
|
1,963,500
|
|
|
2.41
|
%
|
|
2.67
|
%
|
|
5.57
|
Maturity
|
|
Notional Amount
|
|
Weighted Average
Pay-Fixed Rate
|
|
Weighted Average
Receive-Variable Rate
|
|
Weighted Average
Years to Maturity
|
||||
2019
|
|
$
|
170,000
|
|
|
1.36
|
%
|
|
1.43
|
%
|
|
1.88
|
2020
|
|
835,000
|
|
|
1.77
|
%
|
|
1.52
|
%
|
|
2.54
|
|
2022
|
|
653,000
|
|
|
1.90
|
%
|
|
1.51
|
%
|
|
4.59
|
|
2024
|
|
230,000
|
|
|
2.06
|
%
|
|
1.47
|
%
|
|
6.50
|
|
2026
|
|
75,000
|
|
|
2.12
|
%
|
|
1.44
|
%
|
|
8.89
|
|
2027
|
|
264,000
|
|
|
2.35
|
%
|
|
1.50
|
%
|
|
9.69
|
|
Total/Wtd Avg
|
|
$
|
2,227,000
|
|
|
1.89
|
%
|
|
1.50
|
%
|
|
4.56
|
2018
|
|
|
|
|
|
|
||
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
3/15/2018
|
|
3/29/2018
|
|
4/30/2018
|
|
$
|
0.475
|
|
6/18/2018
|
|
6/29/2018
|
|
7/31/2018
|
|
0.50
|
|
|
9/14/2018
|
|
9/28/2018
|
|
10/31/2018
|
|
0.50
|
|
|
12/14/2018
|
|
12/31/2018
|
|
1/31/2019
|
|
0.50
|
|
2017
|
|
|
|
|
|
|
||
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share (1)
|
||
3/10/2017
|
|
3/21/2017
|
|
4/28/2017
|
|
$
|
0.475
|
|
6/8/2017
|
|
6/19/2017
|
|
7/31/2017
|
|
0.475
|
|
|
9/11/2017
|
|
9/29/2017
|
|
10/31/2017
|
|
0.575
|
|
|
12/15/2017
|
|
12/29/2017
|
|
1/31/2018
|
|
0.475
|
|
(1)
|
The combined dividend of $0.575 includes a dividend of $0.475 per common share and a special cash dividend of $0.10 per common share.
|
2016
|
|
|
|
|
|
|
||
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
3/10/2016
|
|
3/21/2016
|
|
4/29/2016
|
|
$
|
0.475
|
|
6/9/2016
|
|
6/20/2016
|
|
7/29/2016
|
|
0.475
|
|
|
9/12/2016
|
|
9/23/2016
|
|
10/31/2016
|
|
0.475
|
|
|
12/6/2016
|
|
12/19/2016
|
|
1/31/2017
|
|
0.475
|
|
2018
|
|
|
|
|
|
|
|
|
||
Dividend
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
8.25% Series A
|
|
2/16/2018
|
|
2/28/2018
|
|
3/19/2018
|
|
$
|
0.51563
|
|
8.25% Series A
|
|
5/15/2018
|
|
5/31/2018
|
|
6/18/2018
|
|
0.51563
|
|
|
8.25% Series A
|
|
8/16/2018
|
|
8/31/2018
|
|
9/17/2018
|
|
0.51563
|
|
|
8.25% Series A
|
|
11/15/2018
|
|
11/30/2018
|
|
12/17/2018
|
|
0.51563
|
|
Dividend
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
8.00% Series B
|
|
2/16/2018
|
|
2/28/2018
|
|
3/19/2018
|
|
$
|
0.50
|
|
8.00% Series B
|
|
5/15/2018
|
|
5/31/2018
|
|
6/18/2018
|
|
0.50
|
|
|
8.00% Series B
|
|
8/16/2018
|
|
8/31/2018
|
|
9/17/2018
|
|
0.50
|
|
|
8.00% Series B
|
|
11/15/2018
|
|
11/30/2018
|
|
12/17/2018
|
|
0.50
|
|
2017
|
|
|
|
|
|
|
|
|
||
Dividend
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
8.25% Series A
|
|
2/16/2017
|
|
2/28/2017
|
|
3/17/2017
|
|
$
|
0.51563
|
|
8.25% Series A
|
|
5/15/2017
|
|
5/31/2017
|
|
6/19/2017
|
|
0.51563
|
|
|
8.25% Series A
|
|
8/16/2017
|
|
8/31/2017
|
|
9/18/2017
|
|
0.51563
|
|
|
8.25% Series A
|
|
11/16/2017
|
|
11/30/2017
|
|
12/18/2017
|
|
0.51563
|
|
Dividend
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
8.00% Series B
|
|
2/16/2017
|
|
2/28/2017
|
|
3/17/2017
|
|
$
|
0.50
|
|
8.00% Series B
|
|
5/15/2017
|
|
5/31/2017
|
|
6/19/2017
|
|
0.50
|
|
|
8.00% Series B
|
|
8/16/2017
|
|
8/31/2017
|
|
9/18/2017
|
|
0.50
|
|
|
8.00% Series B
|
|
11/16/2017
|
|
11/30/2017
|
|
12/18/2017
|
|
0.50
|
|
2016
|
|
|
|
|
|
|
|
|
||
Dividend
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
8.25% Series A
|
|
2/12/2016
|
|
2/29/2016
|
|
3/17/2016
|
|
$
|
0.51563
|
|
8.25% Series A
|
|
5/13/2016
|
|
5/31/2016
|
|
6/17/2016
|
|
0.51563
|
|
|
8.25% Series A
|
|
8/15/2016
|
|
8/31/2016
|
|
9/19/2016
|
|
0.51563
|
|
|
8.25% Series A
|
|
11/16/2016
|
|
11/30/2016
|
|
12/19/2016
|
|
0.51563
|
|
Dividend
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
8.00% Series B
|
|
2/12/2016
|
|
2/29/2016
|
|
3/17/2016
|
|
$
|
0.50
|
|
8.00% Series B
|
|
5/13/2016
|
|
5/31/2016
|
|
6/17/2016
|
|
0.50
|
|
|
8.00% Series B
|
|
8/15/2016
|
|
8/31/2016
|
|
9/19/2016
|
|
0.50
|
|
|
8.00% Series B
|
|
11/16/2016
|
|
11/30/2016
|
|
12/19/2016
|
|
0.50
|
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Overnight
|
|
$
|
52,385
|
|
|
$
|
128,779
|
|
30 days or less
|
|
1,576,229
|
|
|
2,106,404
|
|
||
31 to 60 days
|
|
933,688
|
|
|
611,763
|
|
||
61 to 90 days
|
|
46,594
|
|
|
32,445
|
|
||
91-180 days
|
|
13,699
|
|
|
1,189
|
|
||
Greater than 180 days
|
|
339,649
|
|
|
131,011
|
|
||
Total: Non-GAAP Basis
|
|
$
|
2,962,244
|
|
|
$
|
3,011,591
|
|
Less: Investments in Debt and Equity of Affiliates
|
|
$
|
139,739
|
|
|
$
|
7,184
|
|
Total: GAAP Basis
|
|
$
|
2,822,505
|
|
|
$
|
3,004,407
|
|
Counterparty
|
|
Stockholders' Equity
at Risk
|
|
Weighted Average
Maturity (days)
|
|
Percentage of
Stockholders' Equity
|
||||
Credit Suisse Securities, LLC - Non-GAAP
|
|
$
|
60,783
|
|
|
135
|
|
|
9
|
%
|
Non-GAAP Adjustments (a)
|
|
(50,360
|
)
|
|
12
|
|
|
(7
|
)%
|
|
Credit Suisse Securities, LLC - GAAP
|
|
$
|
10,423
|
|
|
147
|
|
|
2
|
%
|
|
|
|
|
|
|
|
||||
Barclays Capital Inc
|
|
$
|
40,882
|
|
|
356
|
|
|
6
|
%
|
(a)
|
Represents stockholders' equity at risk, weighted average maturity and percentage of stockholders' equity from financing arrangements held in investments in debt and equity of affiliates.
|
Counterparty
|
|
Stockholders' Equity
at Risk
|
|
Weighted Average
Maturity (days)
|
|
Percentage of
Stockholders' Equity
|
||||
RBC (Barbados) Trading Bank Corporation
|
|
$
|
45,239
|
|
|
26
|
|
|
6
|
%
|
Barclays Capital Inc
|
|
39,358
|
|
|
13
|
|
|
6
|
%
|
|
Total (1)
|
|
2019
|
|
2020-2021
|
|
2022-2023
|
|
Thereafter
|
||||||||||
Repurchase agreements
|
$
|
2,595,873
|
|
|
$
|
2,507,195
|
|
|
$
|
88,678
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Revolving facilities
|
124,615
|
|
|
21,796
|
|
|
63,328
|
|
|
39,491
|
|
|
—
|
|
|||||
Term loan (2)
|
103,000
|
|
|
—
|
|
|
—
|
|
|
103,000
|
|
|
—
|
|
|||||
Securitized debt (3)
|
10,858
|
|
|
2,591
|
|
|
4,463
|
|
|
3,665
|
|
|
139
|
|
|||||
|
$
|
2,834,346
|
|
|
$
|
2,531,582
|
|
|
$
|
156,469
|
|
|
$
|
146,156
|
|
|
$
|
139
|
|
(1)
|
Our contractual obligations through investments in debt and equity of affiliates is
$139.7 million
.
|
(2)
|
The term loan is shown gross of deferred financing costs of
$1.0 million
.
|
(3)
|
Securitized debt is contractually scheduled to mature by February 29, 2024. However, the weighted average life of the securitized debt is estimated to be 2.39 years.
|
Duration (1)(2)
|
|
Years
|
|
Agency RMBS
|
|
2.40
|
|
Residential Loans (3)
|
|
0.40
|
|
Hedges
|
|
(2.84
|
)
|
Subtotal
|
|
(0.04
|
)
|
|
|
|
|
Credit Investments, excluding Residential Loans (3)
|
|
0.78
|
|
Duration Gap
|
|
0.74
|
|
(1)
|
Duration related to financing arrangements is netted within its respective Agency RMBS and Credit Investments line items.
|
(2)
|
The calculation of duration does not include our SFR portfolio.
|
(3)
|
Residential Loans include Re/Non Performing Loans and New Origination Loans.
|
Change in Interest Rates
(basis points) (1)(2)
|
|
Change in Fair Market
Value as a Percentage
of GAAP Equity
|
|
Change in Fair Market
Value as a
Percentage of Assets
|
|
Percentage Change in
Projected Net Interest
Income (3)
|
|||
+75
|
|
-4.7
|
%
|
|
-0.9
|
%
|
|
-3.7
|
%
|
+50
|
|
-2.8
|
%
|
|
-0.5
|
%
|
|
-2.4
|
%
|
+25
|
|
-1.2
|
%
|
|
-0.2
|
%
|
|
-1.2
|
%
|
-25
|
|
0.7
|
%
|
|
0.1
|
%
|
|
1.0
|
%
|
-50
|
|
0.8
|
%
|
|
0.2
|
%
|
|
1.9
|
%
|
-75
|
|
0.3
|
%
|
|
0.1
|
%
|
|
2.6
|
%
|
(1)
|
Includes investments held through affiliated entities that are reported as "Investments in debt and equity of affiliates" on our consolidated balance sheet, but excludes AG Arc.
|
(2)
|
Does not include cash investments, which typically have overnight maturities and are not expected to change in value as interest rates change.
|
(3)
|
Interest income includes trades settled as of
December 31, 2018
.
|
|
Page
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Assets
|
|
|
|
|
|
||
Real estate securities, at fair value:
|
|
|
|
|
|
||
Agency - $1,934,562 and $2,126,135 pledged as collateral, respectively
|
$
|
1,988,280
|
|
|
$
|
2,247,161
|
|
Non-Agency - $605,243 and $976,072 pledged as collateral, respectively (1)
|
625,350
|
|
|
1,004,256
|
|
||
ABS - $13,346 and $30,833 pledged as collateral, respectively
|
21,160
|
|
|
40,958
|
|
||
CMBS - $248,355 and $211,180 pledged as collateral, respectively
|
261,385
|
|
|
220,169
|
|
||
Residential mortgage loans, at fair value - $99,283 and $- pledged as collateral, respectively
|
186,096
|
|
|
18,890
|
|
||
Commercial loans, at fair value
|
98,574
|
|
|
57,521
|
|
||
Single-family rental properties, net
|
138,678
|
|
|
—
|
|
||
Investments in debt and equity of affiliates
|
84,892
|
|
|
99,696
|
|
||
Excess mortgage servicing rights, at fair value
|
26,650
|
|
|
5,084
|
|
||
Cash and cash equivalents
|
31,579
|
|
|
15,200
|
|
||
Restricted cash
|
52,779
|
|
|
37,615
|
|
||
Other assets
|
33,503
|
|
|
42,745
|
|
||
Total Assets
|
$
|
3,548,926
|
|
|
$
|
3,789,295
|
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
|
||
Financing arrangements, net
|
$
|
2,822,505
|
|
|
$
|
3,004,407
|
|
Securitized debt, at fair value
|
10,858
|
|
|
16,478
|
|
||
Dividend payable
|
14,372
|
|
|
13,392
|
|
||
Other liabilities
|
45,180
|
|
|
40,759
|
|
||
Total Liabilities
|
2,892,915
|
|
|
3,075,036
|
|
||
Commitments and Contingencies (Note 14)
|
|
|
|
|
|
||
Stockholders' Equity
|
|
|
|
|
|
||
Preferred stock - $0.01 par value; 50,000 shares authorized:
|
|
|
|
|
|
||
8.25% Series A Cumulative Redeemable Preferred Stock, 2,070 shares issued and outstanding ($51,750 aggregate liquidation preference)
|
49,921
|
|
|
49,921
|
|
||
8.00% Series B Cumulative Redeemable Preferred Stock, 4,600 shares issued and outstanding ($115,000 aggregate liquidation preference)
|
111,293
|
|
|
111,293
|
|
||
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 28,744 and 28,193 shares issued and outstanding at December 31, 2018 and December 31, 2017, respectively
|
287
|
|
|
282
|
|
||
Additional paid-in capital
|
595,412
|
|
|
585,530
|
|
||
Retained earnings/(deficit)
|
(100,902
|
)
|
|
(32,767
|
)
|
||
Total Stockholders' Equity
|
656,011
|
|
|
714,259
|
|
||
|
|
|
|
||||
Total Liabilities & Stockholders' Equity
|
$
|
3,548,926
|
|
|
$
|
3,789,295
|
|
(1)
|
See Note 3 for details of balances associated with variable interest entities.
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||
Net Interest Income
|
|
|
|
|
|
|
|
|
|||
Interest income
|
$
|
156,475
|
|
|
$
|
128,845
|
|
|
$
|
123,006
|
|
Interest expense
|
72,058
|
|
|
43,722
|
|
|
33,785
|
|
|||
Total Net Interest Income
|
84,417
|
|
|
85,123
|
|
|
89,221
|
|
|||
|
|
|
|
|
|
||||||
Other Income/(Loss)
|
|
|
|
|
|
||||||
Rental income
|
4,091
|
|
|
—
|
|
|
—
|
|
|||
Net realized gain/(loss)
|
(39,501
|
)
|
|
(13,986
|
)
|
|
(10,391
|
)
|
|||
Net interest component of interest rate swaps
|
2,230
|
|
|
(7,763
|
)
|
|
(6,010
|
)
|
|||
Unrealized gain/(loss) on real estate securities and loans, net
|
(20,940
|
)
|
|
45,529
|
|
|
2,673
|
|
|||
Unrealized gain/(loss) on derivative and other instruments, net
|
(13,538
|
)
|
|
19,813
|
|
|
8,613
|
|
|||
Other income
|
372
|
|
|
55
|
|
|
374
|
|
|||
Total Other Income/(Loss)
|
(67,286
|
)
|
|
43,648
|
|
|
(4,741
|
)
|
|||
|
|
|
|
|
|
||||||
Expenses
|
|
|
|
|
|
||||||
Management fee to affiliate
|
9,544
|
|
|
9,835
|
|
|
9,809
|
|
|||
Other operating expenses
|
14,923
|
|
|
10,965
|
|
|
10,291
|
|
|||
Equity based compensation to affiliate
|
239
|
|
|
301
|
|
|
299
|
|
|||
Excise tax
|
1,500
|
|
|
1,500
|
|
|
1,513
|
|
|||
Servicing fees
|
433
|
|
|
234
|
|
|
404
|
|
|||
Property depreciation and amortization
|
2,336
|
|
|
—
|
|
|
—
|
|
|||
Property operating and maintenance expenses
|
1,862
|
|
|
—
|
|
|
—
|
|
|||
Property management fee
|
319
|
|
|
—
|
|
|
—
|
|
|||
Total Expenses
|
31,156
|
|
|
22,835
|
|
|
22,316
|
|
|||
|
|
|
|
|
|
||||||
Income/(loss) before equity in earnings/(loss) from affiliates
|
(14,025
|
)
|
|
105,936
|
|
|
62,164
|
|
|||
|
|
|
|
|
|
||||||
Equity in earnings/(loss) from affiliates
|
15,593
|
|
|
12,622
|
|
|
1,519
|
|
|||
Net Income/(Loss)
|
1,568
|
|
|
118,558
|
|
|
63,683
|
|
|||
|
|
|
|
|
|
||||||
Dividends on preferred stock
|
13,469
|
|
|
13,469
|
|
|
13,469
|
|
|||
|
|
|
|
|
|
||||||
Net Income/(Loss) Available to Common Stockholders
|
$
|
(11,901
|
)
|
|
$
|
105,089
|
|
|
$
|
50,214
|
|
|
|
|
|
|
|
||||||
Earnings/(Loss) Per Share of Common Stock
|
|
|
|
|
|
||||||
Basic
|
$
|
(0.42
|
)
|
|
$
|
3.77
|
|
|
$
|
1.80
|
|
Diluted
|
$
|
(0.42
|
)
|
|
$
|
3.77
|
|
|
$
|
1.80
|
|
|
|
|
|
|
|
||||||
Weighted Average Number of Shares of Common Stock Outstanding
|
|
|
|
|
|
||||||
Basic
|
28,392
|
|
|
27,866
|
|
|
27,952
|
|
|||
Diluted
|
28,392
|
|
|
27,883
|
|
|
27,953
|
|
|
Common Stock
|
|
8.25 % Series A
Cumulative
Redeemable
Preferred Stock
|
|
8.00 % Series B
Cumulative
Redeemable
Preferred Stock
|
|
Additional
Paid-in Capital
|
|
Retained
Earnings/(Deficit)
|
|
|
|||||||||||||||
|
Shares
|
|
Amount
|
|
|
|
|
|
Total
|
|||||||||||||||||
Balance at January 1, 2016
|
28,286
|
|
|
$
|
283
|
|
|
$
|
49,921
|
|
|
$
|
111,293
|
|
|
$
|
584,582
|
|
|
$
|
(79,135
|
)
|
|
$
|
666,944
|
|
Repurchase of common stock
|
(615
|
)
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
(8,724
|
)
|
|
—
|
|
|
(8,730
|
)
|
||||||
Grant of restricted stock and amortization of equity based compensation
|
29
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
418
|
|
|
—
|
|
|
418
|
|
||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(52,970
|
)
|
|
(52,970
|
)
|
||||||
Preferred Series A dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4,269
|
)
|
|
(4,269
|
)
|
||||||
Preferred Series B dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,200
|
)
|
|
(9,200
|
)
|
||||||
Net Income/(Loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
63,683
|
|
|
63,683
|
|
||||||
Balance at December 31, 2016
|
27,700
|
|
|
$
|
277
|
|
|
$
|
49,921
|
|
|
$
|
111,293
|
|
|
$
|
576,276
|
|
|
$
|
(81,891
|
)
|
|
$
|
655,876
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Balance at January 1, 2017
|
27,700
|
|
|
$
|
277
|
|
|
$
|
49,921
|
|
|
$
|
111,293
|
|
|
$
|
576,276
|
|
|
$
|
(81,891
|
)
|
|
$
|
655,876
|
|
Net proceeds from issuance of common stock
|
461
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
8,714
|
|
|
—
|
|
|
8,719
|
|
||||||
Grant of restricted stock and amortization of equity based compensation
|
32
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
540
|
|
|
—
|
|
|
540
|
|
||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(55,965
|
)
|
|
(55,965
|
)
|
||||||
Preferred Series A dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4,269
|
)
|
|
(4,269
|
)
|
||||||
Preferred Series B dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,200
|
)
|
|
(9,200
|
)
|
||||||
Net Income/(Loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
118,558
|
|
|
118,558
|
|
||||||
Balance at December 31, 2017
|
28,193
|
|
|
$
|
282
|
|
|
$
|
49,921
|
|
|
$
|
111,293
|
|
|
$
|
585,530
|
|
|
$
|
(32,767
|
)
|
|
$
|
714,259
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Balance at January 1, 2018
|
28,193
|
|
|
$
|
282
|
|
|
$
|
49,921
|
|
|
$
|
111,293
|
|
|
$
|
585,530
|
|
|
$
|
(32,767
|
)
|
|
$
|
714,259
|
|
Net proceeds from issuance of common stock
|
512
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
9,251
|
|
|
—
|
|
|
9,256
|
|
||||||
Grant of restricted stock and amortization of equity based compensation
|
39
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
631
|
|
|
—
|
|
|
631
|
|
||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(56,234
|
)
|
|
(56,234
|
)
|
||||||
Preferred Series A dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4,269
|
)
|
|
(4,269
|
)
|
||||||
Preferred Series B dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,200
|
)
|
|
(9,200
|
)
|
||||||
Net Income/(Loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,568
|
|
|
1,568
|
|
||||||
Balance at December 31, 2018
|
28,744
|
|
|
$
|
287
|
|
|
$
|
49,921
|
|
|
$
|
111,293
|
|
|
$
|
595,412
|
|
|
$
|
(100,902
|
)
|
|
$
|
656,011
|
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||
Cash Flows from Operating Activities
|
|
|
|
|
|
|
|
|
|||
Net income/(loss)
|
$
|
1,568
|
|
|
$
|
118,558
|
|
|
$
|
63,683
|
|
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities:
|
|
|
|
|
|
||||||
Net amortization of premium
|
(4,031
|
)
|
|
(4,596
|
)
|
|
(9,569
|
)
|
|||
Net realized (gain)/loss
|
39,501
|
|
|
13,986
|
|
|
10,391
|
|
|||
Unrealized (gain)/loss on real estate securities and loans, net
|
20,940
|
|
|
(45,529
|
)
|
|
(2,673
|
)
|
|||
Unrealized (gain)/loss on derivative and other instruments, net
|
13,538
|
|
|
(19,813
|
)
|
|
(8,613
|
)
|
|||
Property depreciation and amortization
|
2,336
|
|
|
—
|
|
|
—
|
|
|||
Equity based compensation to affiliate
|
239
|
|
|
301
|
|
|
299
|
|
|||
Equity based compensation expense
|
392
|
|
|
239
|
|
|
119
|
|
|||
Income from investments in debt and equity of affiliates in excess of distributions received
|
(9,418
|
)
|
|
(5,639
|
)
|
|
(922
|
)
|
|||
Change in operating assets/liabilities:
|
|
|
|
|
|
||||||
Other assets
|
(857
|
)
|
|
(3,752
|
)
|
|
3,479
|
|
|||
Other liabilities
|
13,824
|
|
|
5,099
|
|
|
(3,415
|
)
|
|||
Net cash provided by (used in) operating activities
|
78,032
|
|
|
58,854
|
|
|
52,779
|
|
|||
|
|
|
|
|
|
||||||
Cash Flows from Investing Activities
|
|
|
|
|
|
||||||
Purchase of real estate securities
|
(2,138,411
|
)
|
|
(2,225,724
|
)
|
|
(563,568
|
)
|
|||
Purchase of residential mortgage loans
|
(205,043
|
)
|
|
—
|
|
|
—
|
|
|||
Purchase of commercial loans
|
(55,453
|
)
|
|
(10,271
|
)
|
|
(14,636
|
)
|
|||
Origination of commercial loans
|
—
|
|
|
—
|
|
|
(10,428
|
)
|
|||
Purchase of U.S. treasury securities
|
(249,659
|
)
|
|
—
|
|
|
(358,418
|
)
|
|||
Purchase of single-family rental properties
|
(140,854
|
)
|
|
—
|
|
|
—
|
|
|||
Investments in debt and equity of affiliates
|
(62,479
|
)
|
|
(28,168
|
)
|
|
(33,127
|
)
|
|||
Purchase of excess mortgage servicing rights
|
(25,162
|
)
|
|
(3,399
|
)
|
|
—
|
|
|||
Proceeds from sale of real estate securities
|
2,214,729
|
|
|
566,047
|
|
|
364,354
|
|
|||
Proceeds from sale of residential mortgage loans
|
34,408
|
|
|
18,536
|
|
|
35,606
|
|
|||
Proceeds from sales of U.S. treasury securities
|
249,227
|
|
|
—
|
|
|
588,220
|
|
|||
Distributions received in excess of income from investments in debt and equity of affiliates
|
22,962
|
|
|
6,396
|
|
|
1,697
|
|
|||
Principal repayments on real estate securities
|
487,519
|
|
|
518,047
|
|
|
495,645
|
|
|||
Principal repayments on residential mortgage loans
|
4,704
|
|
|
6,597
|
|
|
3,250
|
|
|||
Principal repayments on commercial loans
|
14,522
|
|
|
13,478
|
|
|
40,000
|
|
|||
Net proceeds from (payment made on) reverse repurchase agreements
|
13,299
|
|
|
(1,980
|
)
|
|
(22,634
|
)
|
|||
Net proceeds from (payment made on) sales of securities borrowed under reverse repurchase agreements
|
(12,732
|
)
|
|
2,086
|
|
|
24,356
|
|
|||
Net settlement of interest rate swaps and other instruments
|
10,435
|
|
|
6,224
|
|
|
(8,572
|
)
|
|||
Net settlement of TBAs
|
(233
|
)
|
|
1,669
|
|
|
2,771
|
|
|||
Proceeds from redemption of FHLBC Stock
|
—
|
|
|
—
|
|
|
8,014
|
|
|||
Cash flows provided by (used in) other investing activities
|
(737
|
)
|
|
4,058
|
|
|
1,378
|
|
|||
Net cash provided by (used in) investing activities
|
161,042
|
|
|
(1,126,404
|
)
|
|
553,908
|
|
|||
|
|
|
|
|
|
||||||
Cash Flows from Financing Activities
|
|
|
|
|
|
||||||
Repurchase of common stock
|
—
|
|
|
—
|
|
|
(9,929
|
)
|
|||
Net proceeds from issuance of common stock
|
9,282
|
|
|
8,718
|
|
|
—
|
|
|||
Deferred financing costs paid
|
(1,013
|
)
|
|
—
|
|
|
—
|
|
|||
Borrowings under financing arrangements
|
51,642,506
|
|
|
41,215,511
|
|
|
73,758,906
|
|
|||
Borrowings under FHLBC advances
|
—
|
|
|
—
|
|
|
147,216
|
|
|||
Repayments of financing arrangements
|
(51,789,674
|
)
|
|
(40,112,384
|
)
|
|
(73,892,590
|
)
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||
Repayments of FHLBC advances
|
—
|
|
|
—
|
|
|
(544,110
|
)
|
|||
Proceeds from transfer of loan participation
|
—
|
|
|
—
|
|
|
1,564
|
|
|||
Repayments of loan participation
|
—
|
|
|
(1,800
|
)
|
|
—
|
|
|||
Net collateral received from (paid to) derivative counterparty
|
(201
|
)
|
|
787
|
|
|
(940
|
)
|
|||
Net collateral received from (paid to) repurchase counterparty
|
292
|
|
|
(321
|
)
|
|
322
|
|
|||
Net collateral received from (paid to) FHLBC
|
—
|
|
|
—
|
|
|
250
|
|
|||
Dividends paid on common stock
|
(55,254
|
)
|
|
(55,730
|
)
|
|
(53,309
|
)
|
|||
Dividends paid on preferred stock
|
(13,469
|
)
|
|
(13,469
|
)
|
|
(13,469
|
)
|
|||
Net cash provided by (used in) financing activities
|
(207,531
|
)
|
|
1,041,312
|
|
|
(606,089
|
)
|
|||
|
|
|
|
|
|
||||||
Net change in cash and cash equivalents
|
31,543
|
|
|
(26,238
|
)
|
|
598
|
|
|||
Cash and cash equivalents, and restricted cash, Beginning of Year
|
52,815
|
|
|
79,053
|
|
|
78,455
|
|
|||
Cash and cash equivalents, and restricted cash, End of Year
|
$
|
84,358
|
|
|
$
|
52,815
|
|
|
$
|
79,053
|
|
|
|
|
|
|
|
||||||
Supplemental disclosure of cash flow information:
|
|
|
|
|
|
||||||
Cash paid for interest on financing arrangements and FHLBC advances
|
$
|
63,180
|
|
|
$
|
40,106
|
|
|
$
|
32,477
|
|
Cash paid for income tax
|
$
|
1,394
|
|
|
$
|
1,738
|
|
|
$
|
1,587
|
|
Supplemental disclosure of non-cash financing and investing activities:
|
|
|
|
|
|
||||||
Principal repayments on real estate securities not yet received
|
$
|
—
|
|
|
$
|
734
|
|
|
$
|
1,124
|
|
Proceeds from mortgage loan sales not yet received
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,633
|
|
Common stock dividends declared but not paid
|
$
|
14,372
|
|
|
$
|
13,391
|
|
|
$
|
13,158
|
|
Repayments of financing arrangements not yet paid
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
770
|
|
Decrease of securitized debt
|
$
|
5,533
|
|
|
$
|
5,241
|
|
|
$
|
8,824
|
|
Transfer from residential mortgage loans to other assets
|
$
|
1,825
|
|
|
$
|
2,486
|
|
|
$
|
1,897
|
|
Transfer from investments in debt and equity of affiliates to CMBS
|
$
|
65,425
|
|
|
$
|
—
|
|
|
$
|
3,103
|
|
Transfer from financing arrangements to investments in debt and equity of affiliates
|
$
|
33,720
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Transfer from non-agency to investments in debt and equity of affiliates
|
$
|
44,970
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Transfer from other assets to investments in debt and equity of affiliates
|
$
|
242
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||
Cash and cash equivalents
|
$
|
31,579
|
|
|
$
|
15,200
|
|
|
$
|
52,470
|
|
Restricted cash
|
52,779
|
|
|
37,615
|
|
|
26,583
|
|
|||
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows
|
$
|
84,358
|
|
|
$
|
52,815
|
|
|
$
|
79,053
|
|
•
|
Level 1 – Quoted prices in active markets for identical assets or liabilities.
|
•
|
Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.
|
•
|
Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available.
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Real Estate Securities, Excess MSRs and Loans, at fair value (1)(2)
|
|
$
|
214,564
|
|
|
$
|
88,349
|
|
AG Arc, at fair value
|
|
20,360
|
|
|
17,911
|
|
||
Financing arrangements
|
|
(139,739
|
)
|
|
(7,184
|
)
|
||
Other assets/(liabilities)
|
|
(10,293
|
)
|
|
620
|
|
||
Investment in debt and equity of affiliates
|
|
$
|
84,892
|
|
|
$
|
99,696
|
|
(1)
|
Net of any non-recourse securitized debt.
|
(2)
|
Within Real Estate Securities, Excess MSRs and Loans is
$113.3 million
and
$3.9 million
of fair market value of Non-QMs held in MATT at
December 31, 2018
and
December 31, 2017
, respectively.
|
|
|
|
|
|
|
|
Gross Unrealized (1)
|
|
|
|
Weighted Average
|
||||||||||||||||||
|
Current Face
|
|
Premium /
(Discount)
|
|
Amortized
Cost
|
|
Gains
|
|
Losses
|
|
Fair Value
|
|
Coupon (2)
|
|
Yield
|
||||||||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
30 Year Fixed Rate
|
$
|
1,781,995
|
|
|
$
|
50,750
|
|
|
$
|
1,832,745
|
|
|
$
|
6,544
|
|
|
$
|
(9,174
|
)
|
|
$
|
1,830,115
|
|
|
4.08
|
%
|
|
3.66
|
%
|
Fixed Rate CMO
|
44,418
|
|
|
327
|
|
|
44,745
|
|
|
—
|
|
|
(388
|
)
|
|
44,357
|
|
|
3.00
|
%
|
|
2.79
|
%
|
||||||
Interest Only
|
680,743
|
|
|
(565,659
|
)
|
|
115,084
|
|
|
1,788
|
|
|
(3,064
|
)
|
|
113,808
|
|
|
3.61
|
%
|
|
8.13
|
%
|
||||||
Total Agency:
|
2,507,156
|
|
|
(514,582
|
)
|
|
1,992,574
|
|
|
8,332
|
|
|
(12,626
|
)
|
|
1,988,280
|
|
|
3.94
|
%
|
|
3.89
|
%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Credit Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Non-Agency RMBS
|
763,753
|
|
|
(189,569
|
)
|
|
574,184
|
|
|
50,131
|
|
|
(2,064
|
)
|
|
622,251
|
|
|
5.09
|
%
|
|
7.18
|
%
|
||||||
Non-Agency RMBS Interest Only
|
296,677
|
|
|
(293,520
|
)
|
|
3,157
|
|
|
879
|
|
|
(937
|
)
|
|
3,099
|
|
|
0.63
|
%
|
|
21.88
|
%
|
||||||
Total Non-Agency:
|
1,060,430
|
|
|
(483,089
|
)
|
|
577,341
|
|
|
51,010
|
|
|
(3,001
|
)
|
|
625,350
|
|
|
4.29
|
%
|
|
7.25
|
%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
ABS
|
22,125
|
|
|
(179
|
)
|
|
21,946
|
|
|
—
|
|
|
(786
|
)
|
|
21,160
|
|
|
9.49
|
%
|
|
10.22
|
%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
CMBS
|
361,514
|
|
|
(163,366
|
)
|
|
198,148
|
|
|
14,936
|
|
|
(2,030
|
)
|
|
211,054
|
|
|
6.12
|
%
|
|
8.87
|
%
|
||||||
CMBS Interest Only
|
3,401,670
|
|
|
(3,354,311
|
)
|
|
47,359
|
|
|
3,243
|
|
|
(271
|
)
|
|
50,331
|
|
|
0.24
|
%
|
|
6.87
|
%
|
||||||
Total CMBS:
|
3,763,184
|
|
|
(3,517,677
|
)
|
|
245,507
|
|
|
18,179
|
|
|
(2,301
|
)
|
|
261,385
|
|
|
0.48
|
%
|
|
8.48
|
%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Total
|
$
|
7,352,895
|
|
|
$
|
(4,515,527
|
)
|
|
$
|
2,837,368
|
|
|
$
|
77,521
|
|
|
$
|
(18,714
|
)
|
|
$
|
2,896,175
|
|
|
2.23
|
%
|
|
5.08
|
%
|
(1)
|
The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item on the consolidated statement of operations. The gross unrealized stated above represents inception to date unrealized gains/(losses).
|
(2)
|
Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation.
|
|
|
|
|
|
|
|
Gross Unrealized (1)
|
|
|
|
Weighted Average
|
||||||||||||||||||
|
Current Face
|
|
Premium /
(Discount) |
|
Amortized
Cost |
|
Gains
|
|
Losses
|
|
Fair Value
|
|
Coupon (2)
|
|
Yield
|
||||||||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
30 Year Fixed Rate
|
$
|
1,848,172
|
|
|
$
|
81,134
|
|
|
$
|
1,929,306
|
|
|
$
|
5,125
|
|
|
$
|
(5,398
|
)
|
|
$
|
1,929,033
|
|
|
3.79
|
%
|
|
3.13
|
%
|
Fixed Rate CMO
|
52,264
|
|
|
406
|
|
|
52,670
|
|
|
281
|
|
|
—
|
|
|
52,951
|
|
|
3.00
|
%
|
|
2.79
|
%
|
||||||
ARM
|
176,561
|
|
|
(835
|
)
|
|
175,726
|
|
|
683
|
|
|
(22
|
)
|
|
176,387
|
|
|
2.35
|
%
|
|
2.83
|
%
|
||||||
Interest Only
|
644,239
|
|
|
(554,353
|
)
|
|
89,886
|
|
|
1,608
|
|
|
(2,704
|
)
|
|
88,790
|
|
|
3.27
|
%
|
|
6.84
|
%
|
||||||
Total Agency:
|
2,721,236
|
|
|
(473,648
|
)
|
|
2,247,588
|
|
|
7,697
|
|
|
(8,124
|
)
|
|
2,247,161
|
|
|
3.56
|
%
|
|
3.25
|
%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Credit Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Non-Agency RMBS
|
1,165,534
|
|
|
(228,543
|
)
|
|
936,991
|
|
|
66,813
|
|
|
(2,210
|
)
|
|
1,001,594
|
|
|
4.45
|
%
|
|
6.10
|
%
|
||||||
Non-Agency RMBS Interest Only
|
371,297
|
|
|
(367,977
|
)
|
|
3,320
|
|
|
130
|
|
|
(788
|
)
|
|
2,662
|
|
|
0.30
|
%
|
|
10.49
|
%
|
||||||
Total Non-Agency:
|
1,536,831
|
|
|
(596,520
|
)
|
|
940,311
|
|
|
66,943
|
|
|
(2,998
|
)
|
|
1,004,256
|
|
|
3.38
|
%
|
|
6.12
|
%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
ABS
|
40,655
|
|
|
(438
|
)
|
|
40,217
|
|
|
741
|
|
|
—
|
|
|
40,958
|
|
|
7.61
|
%
|
|
8.27
|
%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
CMBS
|
221,305
|
|
|
(51,818
|
)
|
|
169,487
|
|
|
1,060
|
|
|
(1,080
|
)
|
|
169,467
|
|
|
5.58
|
%
|
|
6.23
|
%
|
||||||
CMBS Interest Only
|
2,021,261
|
|
|
(1,974,313
|
)
|
|
46,948
|
|
|
3,778
|
|
|
(24
|
)
|
|
50,702
|
|
|
0.40
|
%
|
|
6.63
|
%
|
||||||
Total CMBS:
|
2,242,566
|
|
|
(2,026,131
|
)
|
|
216,435
|
|
|
4,838
|
|
|
(1,104
|
)
|
|
220,169
|
|
|
0.80
|
%
|
|
6.32
|
%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Total
|
$
|
6,541,288
|
|
|
$
|
(3,096,737
|
)
|
|
$
|
3,444,551
|
|
|
$
|
80,219
|
|
|
$
|
(12,226
|
)
|
|
$
|
3,512,544
|
|
|
2.60
|
%
|
|
4.32
|
%
|
(1)
|
The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item on the consolidated statement of operations. The gross unrealized stated above represents inception to date unrealized gains/(losses).
|
(2)
|
Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation.
|
|
|
Less than 12 months
|
|
Greater than 12 months
|
||||||||||||
As of
|
|
Fair Value
|
|
Unrealized Losses
|
|
Fair Value
|
|
Unrealized Losses
|
||||||||
December 31, 2018
|
|
$
|
966,620
|
|
|
$
|
(14,937
|
)
|
|
$
|
81,170
|
|
|
$
|
(3,777
|
)
|
December 31, 2017
|
|
1,116,925
|
|
|
(8,012
|
)
|
|
188,434
|
|
|
(4,214
|
)
|
|
|
Agency RMBS (1)
|
|
Credit Investments (2)
|
||||||||||||||||||
Weighted Average Life (3)
|
|
Fair Value
|
|
Amortized
Cost |
|
Weighted
Average
Coupon
|
|
Fair Value
|
|
Amortized
Cost |
|
Weighted
Average
Coupon (4)
|
||||||||||
Less than or equal to 1 year
|
|
$
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
73,194
|
|
|
$
|
73,738
|
|
|
0.59
|
%
|
Greater than one year and less than or equal to five years
|
|
61,644
|
|
|
61,305
|
|
|
3.01
|
%
|
|
240,232
|
|
|
226,342
|
|
|
0.89
|
%
|
||||
Greater than five years and less than or equal to ten years
|
|
1,908,417
|
|
|
1,912,545
|
|
|
4.02
|
%
|
|
420,050
|
|
|
388,500
|
|
|
1.47
|
%
|
||||
Greater than ten years
|
|
18,219
|
|
|
18,724
|
|
|
3.50
|
%
|
|
174,419
|
|
|
156,214
|
|
|
5.77
|
%
|
||||
Total
|
|
$
|
1,988,280
|
|
|
$
|
1,992,574
|
|
|
3.94
|
%
|
|
$
|
907,895
|
|
|
$
|
844,794
|
|
|
1.26
|
%
|
(1)
|
For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 30 Year mortgages, Fixed Rate CMOs and Agency Interest Only securities.
|
(2)
|
For purposes of this table, Credit Investments represent Non-Agency RMBS, ABS, CMBS and Interest Only credit securities.
|
(3)
|
This is based on projected life. Typically, actual maturities of mortgage-backed securities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
|
(4)
|
Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation.
|
|
|
Agency RMBS (1)
|
|
Credit Investments (2)
|
||||||||||||||||||
Weighted Average Life (3)
|
|
Fair Value
|
|
Amortized Cost
|
|
Weighted
Average
Coupon
|
|
Fair Value
|
|
Amortized Cost
|
|
Weighted
Average
Coupon (4)
|
||||||||||
Less than or equal to 1 year
|
|
$
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
117,532
|
|
|
$
|
117,805
|
|
|
2.15
|
%
|
Greater than one year and less than or equal to five years
|
|
258,175
|
|
|
257,917
|
|
|
2.42
|
%
|
|
477,066
|
|
|
460,334
|
|
|
1.07
|
%
|
||||
Greater than five years and less than or equal to ten years
|
|
1,925,427
|
|
|
1,926,072
|
|
|
3.87
|
%
|
|
482,184
|
|
|
452,403
|
|
|
2.87
|
%
|
||||
Greater than ten years
|
|
63,559
|
|
|
63,599
|
|
|
3.50
|
%
|
|
188,601
|
|
|
166,421
|
|
|
5.31
|
%
|
||||
Total
|
|
$
|
2,247,161
|
|
|
$
|
2,247,588
|
|
|
3.56
|
%
|
|
$
|
1,265,383
|
|
|
$
|
1,196,963
|
|
|
1.89
|
%
|
(1)
|
For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 30 Year mortgages, ARMs,Fixed Rate CMOs and Agency Interest Only securities.
|
(2)
|
For purposes of this table, Credit Investments represent Non-Agency RMBS, ABS, CMBS and Interest Only credit securities.
|
(3)
|
This is based on projected life. Typically, actual maturities of mortgage-backed securities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
|
(4)
|
Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation.
|
|
|
|
|
|
Weighted Average
|
||||||||||
|
Current Face
|
|
Fair Value
|
|
Coupon
|
|
Yield
|
|
Life (Years) (1)
|
||||||
Consolidated tranche (2)
|
$
|
10,821
|
|
|
$
|
10,858
|
|
|
4.10
|
%
|
|
4.47
|
%
|
|
2.39
|
Retained tranche
|
8,401
|
|
|
6,550
|
|
|
4.61
|
%
|
|
18.50
|
%
|
|
8.37
|
||
Total resecuritized asset
|
$
|
19,222
|
|
|
$
|
17,408
|
|
|
4.32
|
%
|
|
9.75
|
%
|
|
5.00
|
(1)
|
This is based on projected life. Typically, actual maturities of investments and loans are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
|
(2)
|
As of
December 31, 2018
, the fair market value of the consolidated tranche is included in the Company's consolidated balance sheets as "Non-Agency RMBS." As of
December 31, 2018
, the Company has recorded secured financing of
$10.9 million
on the consolidated balance sheets in the "Securitized debt, at fair value" line item. The Company recorded the proceeds from the issuance of the secured financing in the "Cash Flows from Financing Activities" section of the consolidated statement of cash flows at the time of securitization.
|
|
|
|
|
|
Weighted Average
|
||||||||||
|
Current Face
|
|
Fair Value
|
|
Coupon
|
|
Yield
|
|
Life (Years) (1)
|
||||||
Consolidated tranche (2)
|
$
|
16,355
|
|
|
$
|
16,478
|
|
|
3.11
|
%
|
|
3.92
|
%
|
|
2.95
|
Retained tranche
|
8,618
|
|
|
6,101
|
|
|
4.28
|
%
|
|
15.48
|
%
|
|
9.04
|
||
Total resecuritized asset
|
$
|
24,973
|
|
|
$
|
22,578
|
|
|
3.51
|
%
|
|
7.04
|
%
|
|
5.05
|
(1)
|
This is based on projected life. Typically, actual maturities of investments and loans are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
|
(2)
|
As of
December 31, 2017
, the fair market value of the consolidated tranche is included in the Company's consolidated balance sheets as "Non-Agency RMBS." As of
December 31, 2017
, the Company has recorded secured financing of
$16.5 million
on the consolidated balance sheets in the "Securitized debt, at fair value" line item. The Company recorded the proceeds from the issuance of the secured financing in the "Cash Flows from Financing Activities" section of the consolidated statement of cash flows at the time of securitization.
|
|
|
December 31, 2018
|
||
Assets
|
|
|
||
CMBS
|
|
$
|
84,515
|
|
Cash and cash equivalents
|
|
595
|
|
|
Restricted cash
|
|
258
|
|
|
Other assets
|
|
151
|
|
|
Total assets
|
|
$
|
85,519
|
|
|
|
|
||
Liabilities
|
|
|
||
Financing arrangements, net
|
|
$
|
54,278
|
|
Other liabilities
|
|
2,954
|
|
|
Total liabilities
|
|
$
|
57,232
|
|
|
|
|
|
|
|
|
Gross Unrealized (1)
|
|
|
|
Weighted Average
|
||||||||||||||||||||
|
Unpaid Principal
Balance
|
|
Premium
(Discount)
|
|
Amortized Cost
|
|
Gains
|
|
Losses
|
|
Fair Value
|
|
Coupon
|
|
Yield
|
|
Life
(Years) (2)
|
||||||||||||||
Residential mortgage loans
|
$
|
216,853
|
|
|
$
|
(31,773
|
)
|
|
$
|
185,080
|
|
|
$
|
1,190
|
|
|
$
|
(174
|
)
|
|
$
|
186,096
|
|
|
4.75
|
%
|
|
6.53
|
%
|
|
7.14
|
(1)
|
The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item. The gross unrealized stated above represents inception to date unrealized gains (losses).
|
(2)
|
This is based on projected life. Typically, actual maturities of residential mortgage loans are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
|
|
|
|
|
|
|
|
Gross Unrealized (1)
|
|
|
|
Weighted Average
|
||||||||||||||||||||
|
Unpaid Principal
Balance
|
|
Premium
(Discount)
|
|
Amortized Cost
|
|
Gains
|
|
Losses
|
|
Fair Value
|
|
Coupon
|
|
Yield
|
|
Life
(Years) (2)
|
||||||||||||||
Residential mortgage loans
|
$
|
25,676
|
|
|
$
|
(7,792
|
)
|
|
$
|
17,884
|
|
|
$
|
1,006
|
|
|
$
|
—
|
|
|
$
|
18,890
|
|
|
3.10
|
%
|
|
12.24
|
%
|
|
5.67
|
(1)
|
The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item. The gross unrealized stated above represents inception to date unrealized gains (losses).
|
(2)
|
This is based on projected life. Typically, actual maturities of residential mortgage loans are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||
|
Fair Value
|
|
Unpaid Principal
Balance |
|
Fair Value
|
|
Unpaid Principal
Balance
|
||||||||
Re-Performing
|
$
|
148,508
|
|
|
$
|
172,470
|
|
|
$
|
7,069
|
|
|
$
|
9,544
|
|
Non-Performing
|
37,588
|
|
|
44,383
|
|
|
11,821
|
|
|
16,132
|
|
||||
|
$
|
186,096
|
|
|
$
|
216,853
|
|
|
$
|
18,890
|
|
|
$
|
25,676
|
|
Geographic Concentration of Credit Risk
|
December 31, 2018
|
|
December 31, 2017
|
||
Percentage of fair value of mortgage loans secured by properties in the following states:
|
|
|
|
||
Representing 5% or more of fair value:
|
|
|
|
||
California
|
19
|
%
|
|
7
|
%
|
Florida
|
9
|
%
|
|
1
|
%
|
Georgia
|
5
|
%
|
|
3
|
%
|
New York
|
5
|
%
|
|
37
|
%
|
Maryland
|
3
|
%
|
|
7
|
%
|
New Jersey
|
3
|
%
|
|
6
|
%
|
|
Years Ended
|
||||||||||
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2016
|
||||||
Beginning Balance
|
$
|
9,318
|
|
|
$
|
18,282
|
|
|
$
|
24,217
|
|
Additions
|
82,757
|
|
|
—
|
|
|
—
|
|
|||
Accretion
|
(4,161
|
)
|
|
(2,503
|
)
|
|
(4,084
|
)
|
|||
Reclassifications from/(to) non-accretable difference
|
(3,988
|
)
|
|
6,275
|
|
|
4,779
|
|
|||
Disposals
|
(4,316
|
)
|
|
(12,736
|
)
|
|
(6,630
|
)
|
|||
Ending Balance
|
$
|
79,610
|
|
|
$
|
9,318
|
|
|
$
|
18,282
|
|
|
|
|
|
|
|
|
|
Gross Unrealized (1)
|
|
|
|
Weighted Average
|
|
|
|
|
|
|
||||||||||||||||||||
Loan (2)
|
|
Current Face
|
|
Premium
(Discount)
|
|
Amortized Cost
|
|
Gains
|
|
Losses
|
|
Fair Value
|
|
Coupon (3)
|
|
Yield
|
|
Life
(Years) (4)
|
|
Initial Stated
Maturity Date
|
|
Extended
Maturity Date
(5)
|
|
Location
|
||||||||||||||
Loan B (6)
|
|
$
|
32,800
|
|
|
$
|
—
|
|
|
$
|
32,800
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
32,800
|
|
|
7.13
|
%
|
|
7.51
|
%
|
|
0.52
|
|
July 1, 2016
|
|
July 1, 2019
|
|
TX
|
Loan F (7)
|
|
10,417
|
|
|
(1
|
)
|
|
10,416
|
|
|
1
|
|
|
—
|
|
|
10,417
|
|
|
13.39
|
%
|
|
14.02
|
%
|
|
0.03
|
|
September 9, 2018
|
|
September 9, 2019
|
|
MN
|
||||||
Loan G (8)
|
|
19,357
|
|
|
—
|
|
|
19,357
|
|
|
—
|
|
|
—
|
|
|
19,357
|
|
|
7.14
|
%
|
|
7.14
|
%
|
|
1.54
|
|
July 9, 2020
|
|
July 9, 2022
|
|
CA
|
||||||
Loan H (9)
|
|
36,000
|
|
|
—
|
|
|
36,000
|
|
|
—
|
|
|
—
|
|
|
36,000
|
|
|
6.21
|
%
|
|
6.21
|
%
|
|
1.21
|
|
March 9, 2019
|
|
March 9, 2020
|
|
AZ
|
||||||
|
|
$
|
98,574
|
|
|
$
|
(1
|
)
|
|
$
|
98,573
|
|
|
$
|
1
|
|
|
$
|
—
|
|
|
$
|
98,574
|
|
|
7.45
|
%
|
|
7.65
|
%
|
|
0.92
|
|
|
|
|
|
|
(1)
|
The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item. The gross unrealized columns above represent inception to date unrealized gains (losses).
|
(2)
|
The Company has the contractual right to receive a balloon payment for each loan.
|
(3)
|
Each commercial loan investment has a variable coupon rate.
|
(4)
|
This is based on projected life. Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal.
|
(5)
|
Represents the maturity date of the last possible extension option.
|
(6)
|
Loan B is comprised of a first mortgage and mezzanine loan of
$31.8 million
and
$1.0 million
, respectively. As of
December 31, 2018
, Loan B has been extended to the extended maturity date shown above.
|
(7)
|
Loan F is a mezzanine loan of up to
$10.4 million
, all of which has been funded. As of December 31, 2018, Loan F has been extended to January 2019. Loan F paid off at par in Q1 2019, with the Company receiving proceeds of
$10.4 million
.
|
(8)
|
Loan G is a first mortgage of up to
$75.0 million
, of which
$19.4 million
has been funded.
|
(9)
|
Loan H is a first mortgage of up to
$36.0 million
, all of which has been funded. As of Q1 2019, Loan H has been extended to the extended maturity date.
|
|
|
|
|
|
|
|
|
Gross Unrealized (1)
|
|
|
|
Weighted Average
|
|
|
|
|
|
|
||||||||||||||||||||
Loan (2)
|
|
Current Face
|
|
Premium
(Discount)
|
|
Amortized Cost
|
|
Gains
|
|
Losses
|
|
Fair Value
|
|
Coupon (3)
|
|
Yield
|
|
Life
(Years) (4)
|
|
Initial Stated
Maturity Date
|
|
Extended
Maturity Date
(5)
|
|
Location
|
||||||||||||||
Loan B (6)
|
|
$
|
32,800
|
|
|
$
|
—
|
|
|
$
|
32,800
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
32,800
|
|
|
6.14
|
%
|
|
6.52
|
%
|
|
1.53
|
|
July 1, 2016
|
|
July 1, 2019
|
|
TX
|
Loan E (7)
|
|
14,521
|
|
|
(1,028
|
)
|
|
13,493
|
|
|
810
|
|
|
—
|
|
|
14,303
|
|
|
9.83
|
%
|
|
12.70
|
%
|
|
3.01
|
|
April 9, 2017
|
|
April 9, 2021
|
|
Various
|
||||||
Loan F (8)
|
|
10,417
|
|
|
(76
|
)
|
|
10,341
|
|
|
77
|
|
|
—
|
|
|
10,418
|
|
|
12.43
|
%
|
|
13.98
|
%
|
|
0.70
|
|
September 9, 2018
|
|
September 9, 2019
|
|
MN
|
||||||
|
|
$
|
57,738
|
|
|
(1,104
|
)
|
|
$
|
56,634
|
|
|
$
|
887
|
|
|
$
|
—
|
|
|
$
|
57,521
|
|
|
8.20
|
%
|
|
9.41
|
%
|
|
1.76
|
|
|
|
|
|
|
(1)
|
The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item. The gross unrealized columns above represent inception to date unrealized gains (losses).
|
(2)
|
The Company has the contractual right to receive a balloon payment for each loan.
|
(3)
|
Each commercial loan investment has a variable coupon rate.
|
(4)
|
This is based on projected life. Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal.
|
(5)
|
Represents the maturity date of the last possible extension option.
|
(6)
|
Loan B is comprised of a first mortgage and mezzanine loan of
$31.8 million
and
$1.0 million
, respectively. As of
December 31, 2017
, Loan B has been extended to the extended maturity date shown above.
|
(7)
|
Loan E is a mezzanine loan. As of
December 31, 2017
, Loan E has been extended to April 9, 2018. Loan E paid off at par in Q2 2018, with the Company receiving
$14.5 million
of principal proceeds.
|
(8)
|
Loan F is a mezzanine loan of up to
$14.6 million
, of which
$10.4 million
has been funded.
|
|
|
|
|
|
Gross Unrealized (1)
|
|
|
|
Weighted Average
|
|||||||||||||||
|
Unpaid Principal
Balance
|
|
Amortized
Cost
|
|
Gains
|
|
Losses
|
|
Fair Value
|
|
Yield
|
|
Life
(Years) (2)
|
|||||||||||
Agency Excess MSRs
|
$
|
3,564,527
|
|
|
$
|
26,182
|
|
|
$
|
1,081
|
|
|
$
|
(821
|
)
|
|
$
|
26,442
|
|
|
10.43
|
%
|
|
6.77
|
Credit Excess MSRs
|
41,231
|
|
|
215
|
|
|
—
|
|
|
(7
|
)
|
|
208
|
|
|
24.09
|
%
|
|
5.02
|
|||||
Total Excess MSRs
|
$
|
3,605,758
|
|
|
$
|
26,397
|
|
|
$
|
1,081
|
|
|
$
|
(828
|
)
|
|
$
|
26,650
|
|
|
10.62
|
%
|
|
6.75
|
(1)
|
The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on derivative and other instruments, net" line item. The gross unrealized columns above represent inception to date unrealized gains (losses).
|
(2)
|
This is based on projected life. Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal.
|
|
|
|
|
|
Gross Unrealized (1)
|
|
|
|
Weighted Average
|
|||||||||||||||
|
Unpaid Principal
Balance |
|
Amortized
Cost
|
|
Gains
|
|
Losses
|
|
Fair Value
|
|
Yield
|
|
Life
(Years) (2)
|
|||||||||||
Agency Excess MSRs
|
$
|
768,385
|
|
|
$
|
4,479
|
|
|
$
|
333
|
|
|
$
|
(11
|
)
|
|
$
|
4,801
|
|
|
12.23
|
%
|
|
6.33
|
Credit Excess MSRs
|
50,308
|
|
|
259
|
|
|
24
|
|
|
—
|
|
|
283
|
|
|
21.87
|
%
|
|
5.00
|
|||||
Total Excess MSRs
|
$
|
818,693
|
|
|
$
|
4,738
|
|
|
$
|
357
|
|
|
$
|
(11
|
)
|
|
$
|
5,084
|
|
|
12.76
|
%
|
|
6.20
|
(1)
|
The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on derivative and other instruments, net" line item. The gross unrealized columns above represent inception to date unrealized gains (losses).
|
(2)
|
This is based on projected life. Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal.
|
|
|
At Acquisition
|
||
Land
|
|
$
|
29,104
|
|
Building and improvements
|
|
109,651
|
|
|
In-place lease intangibles
|
|
2,099
|
|
|
Single-family rental properties
|
|
$
|
140,854
|
|
|
|
December 31, 2018
|
||
Land
|
|
$
|
29,104
|
|
Building and improvements
|
|
109,812
|
|
|
In-place lease intangibles
|
|
2,098
|
|
|
Single-family rental properties
|
|
141,014
|
|
|
Less: Accumulated depreciation and amortization
|
|
(2,336
|
)
|
|
Single-family rental properties, net
|
|
$
|
138,678
|
|
Period Ending December 31,
|
|
Amount
|
||
2019
|
|
$
|
5,816
|
|
2020
|
|
111
|
|
|
Thereafter
|
|
—
|
|
|
Total
|
|
$
|
5,927
|
|
|
Fair Value at December 31, 2018
|
||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
30 Year Fixed Rate
|
$
|
—
|
|
|
$
|
1,830,115
|
|
|
$
|
—
|
|
|
$
|
1,830,115
|
|
Fixed Rate CMO
|
—
|
|
|
44,357
|
|
|
—
|
|
|
44,357
|
|
||||
Interest Only
|
—
|
|
|
113,808
|
|
|
—
|
|
|
113,808
|
|
||||
Credit Investments:
|
|
|
|
|
|
|
|
||||||||
Non-Agency RMBS
|
—
|
|
|
130,697
|
|
|
491,554
|
|
|
622,251
|
|
||||
Non-Agency RMBS Interest Only
|
—
|
|
|
—
|
|
|
3,099
|
|
|
3,099
|
|
||||
ABS
|
—
|
|
|
—
|
|
|
21,160
|
|
|
21,160
|
|
||||
CMBS
|
—
|
|
|
—
|
|
|
211,054
|
|
|
211,054
|
|
||||
CMBS Interest Only
|
—
|
|
|
—
|
|
|
50,331
|
|
|
50,331
|
|
||||
Residential mortgage loans
|
—
|
|
|
—
|
|
|
186,096
|
|
|
186,096
|
|
||||
Commercial loans
|
—
|
|
|
—
|
|
|
98,574
|
|
|
98,574
|
|
||||
Excess mortgage servicing rights
|
—
|
|
|
—
|
|
|
26,650
|
|
|
26,650
|
|
||||
Cash equivalents
|
595
|
|
|
—
|
|
|
—
|
|
|
595
|
|
||||
Derivative assets
|
—
|
|
|
1,729
|
|
|
—
|
|
|
1,729
|
|
||||
AG Arc
|
—
|
|
|
—
|
|
|
20,360
|
|
|
20,360
|
|
||||
Total Assets Measured at Fair Value
|
$
|
595
|
|
|
$
|
2,120,706
|
|
|
$
|
1,108,878
|
|
|
$
|
3,230,179
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities:
|
|
|
|
|
|
|
|
||||||||
Securitized debt
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(10,858
|
)
|
|
$
|
(10,858
|
)
|
Securities borrowed under reverse repurchase agreements
|
—
|
|
|
(11,378
|
)
|
|
—
|
|
|
(11,378
|
)
|
||||
Derivative liabilities
|
—
|
|
|
(317
|
)
|
|
—
|
|
|
(317
|
)
|
||||
Total Liabilities Measured at Fair Value
|
$
|
—
|
|
|
$
|
(11,695
|
)
|
|
$
|
(10,858
|
)
|
|
$
|
(22,553
|
)
|
|
Fair Value at December 31, 2017
|
||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
30 Year Fixed Rate
|
$
|
—
|
|
|
$
|
1,929,033
|
|
|
$
|
—
|
|
|
$
|
1,929,033
|
|
Fixed Rate CMO
|
—
|
|
|
52,951
|
|
|
—
|
|
|
52,951
|
|
||||
ARM
|
—
|
|
|
176,387
|
|
|
—
|
|
|
176,387
|
|
||||
Interest Only
|
—
|
|
|
88,790
|
|
|
—
|
|
|
88,790
|
|
||||
Credit Investments:
|
|
|
|
|
|
|
|
||||||||
Non-Agency RMBS
|
—
|
|
|
156,170
|
|
|
845,424
|
|
|
1,001,594
|
|
||||
Non-Agency RMBS Interest Only
|
—
|
|
|
—
|
|
|
2,662
|
|
|
2,662
|
|
||||
ABS
|
—
|
|
|
—
|
|
|
40,958
|
|
|
40,958
|
|
||||
CMBS
|
—
|
|
|
8,217
|
|
|
161,250
|
|
|
169,467
|
|
||||
CMBS Interest Only
|
—
|
|
|
—
|
|
|
50,702
|
|
|
50,702
|
|
||||
Residential mortgage loans
|
—
|
|
|
—
|
|
|
18,890
|
|
|
18,890
|
|
||||
Commercial loans
|
—
|
|
|
—
|
|
|
57,521
|
|
|
57,521
|
|
||||
Excess mortgage servicing rights
|
—
|
|
|
—
|
|
|
5,084
|
|
|
5,084
|
|
||||
Derivative assets
|
110
|
|
|
2,017
|
|
|
—
|
|
|
2,127
|
|
||||
AG Arc
|
—
|
|
|
—
|
|
|
17,911
|
|
|
17,911
|
|
||||
Total Assets Measured at Fair Value
|
$
|
110
|
|
|
$
|
2,413,565
|
|
|
$
|
1,200,402
|
|
|
$
|
3,614,077
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities:
|
|
|
|
|
|
|
|
||||||||
Securitized debt
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(16,478
|
)
|
|
$
|
(16,478
|
)
|
Securities borrowed under reverse repurchase agreements
|
—
|
|
|
(24,379
|
)
|
|
—
|
|
|
(24,379
|
)
|
||||
Derivative liabilities
|
—
|
|
|
(450
|
)
|
|
—
|
|
|
(450
|
)
|
||||
Total Liabilities Measured at Fair Value
|
$
|
—
|
|
|
$
|
(24,829
|
)
|
|
$
|
(16,478
|
)
|
|
$
|
(41,307
|
)
|
Year Ended
December 31, 2018 (in thousands) |
|||||||||||||||||||||||||||||||||||||||
|
Non-Agency
RMBS
|
|
Non-Agency
RMBS IO
|
|
ABS
|
|
CMBS
|
|
CMBS
Interest
Only
|
|
Residential
Mortgage
Loans
|
|
Commercial
Loans
|
|
Excess
Mortgage
Servicing
Rights
|
|
AG Arc
|
|
Securitized
debt
|
||||||||||||||||||||
Beginning balance
|
$
|
845,424
|
|
|
$
|
2,662
|
|
|
$
|
40,958
|
|
|
$
|
161,250
|
|
|
$
|
50,702
|
|
|
$
|
18,890
|
|
|
$
|
57,521
|
|
|
$
|
5,084
|
|
|
$
|
17,911
|
|
|
$
|
(16,478
|
)
|
Transfers (1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Transfers into level 3
|
61,225
|
|
|
—
|
|
|
—
|
|
|
8,217
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||
Transfers out of level 3
|
(90,028
|
)
|
|
—
|
|
|
—
|
|
|
(6,951
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||
Purchases/Reclassifications (2)
|
140,488
|
|
|
—
|
|
|
8,580
|
|
|
113,684
|
|
|
10,436
|
|
|
203,979
|
|
|
55,357
|
|
|
25,162
|
|
|
(336
|
)
|
|
—
|
|
||||||||||
Capital contributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,729
|
|
|
—
|
|
||||||||||
Proceeds from sales/redemptions
|
(311,920
|
)
|
|
—
|
|
|
(11,559
|
)
|
|
—
|
|
|
—
|
|
|
(34,259
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||
Proceeds from settlement
|
(145,300
|
)
|
|
—
|
|
|
(15,620
|
)
|
|
(80,436
|
)
|
|
(5,400
|
)
|
|
(4,360
|
)
|
|
(14,522
|
)
|
|
—
|
|
|
—
|
|
|
5,533
|
|
||||||||||
Total net gains/(losses) (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Included in net income
|
(8,335
|
)
|
|
437
|
|
|
(1,199
|
)
|
|
15,290
|
|
|
(5,407
|
)
|
|
1,846
|
|
|
218
|
|
|
(3,596
|
)
|
|
(1,944
|
)
|
|
87
|
|
||||||||||
Ending Balance
|
$
|
491,554
|
|
|
$
|
3,099
|
|
|
$
|
21,160
|
|
|
$
|
211,054
|
|
|
$
|
50,331
|
|
|
$
|
186,096
|
|
|
$
|
98,574
|
|
|
$
|
26,650
|
|
|
$
|
20,360
|
|
|
$
|
(10,858
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2018 (4)
|
$
|
(4,456
|
)
|
|
$
|
513
|
|
|
$
|
(1,347
|
)
|
|
$
|
15,254
|
|
|
$
|
(5,076
|
)
|
|
$
|
1,197
|
|
|
$
|
—
|
|
|
$
|
(2,662
|
)
|
|
$
|
(1,944
|
)
|
|
$
|
87
|
|
(1)
|
Transfers are assumed to occur at the beginning of the period. For the year ended
December 31, 2018
, the Company transferred
4
Non-Agency RMBS securities and
2
CMBS securities into the Level 3 category from the Level 2 category and
13
Non-Agency RMBS securities and
1
CMBS security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.
|
(2)
|
Any reclassifications represent proceeds from investments in debt and equity of affiliates, or changes in ownership interests that do not result in a change of control.
|
(3)
|
Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
|
Unrealized gain/(loss) on real estate securities and loans, net
|
$
|
1,054
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
(3,509
|
)
|
|
Net realized gain/(loss)
|
1,796
|
|
|
Equity in earnings/(loss) from affiliates
|
(1,944
|
)
|
|
Total
|
$
|
(2,603
|
)
|
(4)
|
Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
|
Unrealized gain/(loss) on real estate securities and loans, net
|
$
|
6,085
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
(2,575
|
)
|
|
Equity in earnings/(loss) from affiliates
|
(1,944
|
)
|
|
Total
|
$
|
1,566
|
|
Year Ended
December 31, 2017 (in thousands) |
|||||||||||||||||||||||||||||||||||||||||||
|
Non-Agency
RMBS
|
|
Non-Agency
RMBS IO
|
|
ABS
|
|
CMBS
|
|
CMBS Interest
Only
|
|
Residential
Mortgage
Loans
|
|
Commercial
Loans
|
|
Excess
Mortgage
Servicing
Rights
|
|
AG Arc
|
|
Securitized
debt
|
|
Loan
Participation
payable
|
||||||||||||||||||||||
Beginning balance
|
$
|
717,761
|
|
|
$
|
3,761
|
|
|
$
|
21,232
|
|
|
$
|
130,790
|
|
|
$
|
52,137
|
|
|
$
|
38,196
|
|
|
$
|
60,069
|
|
|
$
|
413
|
|
|
$
|
12,895
|
|
|
$
|
(21,492
|
)
|
|
$
|
(1,800
|
)
|
Transfers (1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Transfers into level 3
|
210,433
|
|
|
—
|
|
|
—
|
|
|
8,460
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
Transfers out of level 3
|
(71,348
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
Purchases/Reclassifications (2)
|
445,849
|
|
|
—
|
|
|
55,443
|
|
|
64,059
|
|
|
435
|
|
|
—
|
|
|
10,271
|
|
|
4,853
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
Capital contributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,459
|
|
|
—
|
|
|
—
|
|
|||||||||||
Proceeds from sales/redemptions
|
(269,381
|
)
|
|
—
|
|
|
(11,143
|
)
|
|
(4,533
|
)
|
|
—
|
|
|
(15,016
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
Proceeds from settlement
|
(232,486
|
)
|
|
—
|
|
|
(26,271
|
)
|
|
(39,563
|
)
|
|
—
|
|
|
(4,265
|
)
|
|
(13,534
|
)
|
|
(398
|
)
|
|
—
|
|
|
5,241
|
|
|
1,955
|
|
|||||||||||
Total net gains/(losses) (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Included in net income
|
44,596
|
|
|
(1,099
|
)
|
|
1,697
|
|
|
2,037
|
|
|
(1,870
|
)
|
|
(25
|
)
|
|
715
|
|
|
216
|
|
|
557
|
|
|
(227
|
)
|
|
(155
|
)
|
|||||||||||
Ending Balance
|
$
|
845,424
|
|
|
$
|
2,662
|
|
|
$
|
40,958
|
|
|
$
|
161,250
|
|
|
$
|
50,702
|
|
|
$
|
18,890
|
|
|
$
|
57,521
|
|
|
$
|
5,084
|
|
|
$
|
17,911
|
|
|
$
|
(16,478
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2017 (4)
|
$
|
42,736
|
|
|
$
|
(833
|
)
|
|
$
|
1,228
|
|
|
$
|
2,311
|
|
|
$
|
(1,870
|
)
|
|
$
|
(2,878
|
)
|
|
$
|
659
|
|
|
$
|
216
|
|
|
$
|
557
|
|
|
$
|
(227
|
)
|
|
$
|
—
|
|
(1)
|
Transfers are assumed to occur at the beginning of the period. For the year ended
December 31, 2017
, the Company transferred
22
Non-Agency RMBS securities and
2
CMBS securities into the Level 3 category from the Level 2 category and
4
Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.
|
(2)
|
Any reclassifications represent proceeds from investments in debt and equity of affiliates.
|
(3)
|
Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
|
Unrealized gain/(loss) on real estate securities and loans, net
|
$
|
45,358
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
(382
|
)
|
|
Net realized gain/(loss)
|
909
|
|
|
Equity in earnings/(loss) from affiliates
|
557
|
|
|
Total
|
$
|
46,442
|
|
(4)
|
Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
|
Unrealized gain/(loss) on real estate securities and loans, net
|
$
|
41,569
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
(227
|
)
|
|
Equity in earnings/(loss) from affiliates
|
557
|
|
|
Total
|
$
|
41,899
|
|
Asset Class
|
|
Fair Value at December 31, 2018 (in thousands)
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Range
(Weighted Average)
|
||
|
|
|
|
|
|
Yield
|
|
3.32% - 20.00% (5.34%)
|
||
Non-Agency RMBS
|
|
$
|
475,927
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
0.00% - 100.00% (13.66%)
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.00% - 30.00% (2.24%)
|
||
|
|
|
|
|
|
Projected Collateral Severities
|
|
-0.43% - 100.00% (26.30%)
|
||
|
|
$
|
15,627
|
|
|
Consensus Pricing
|
|
Offered Quotes
|
|
86.57 - 97.39 (92.43)
|
|
|
|
|
|
|
Yield
|
|
7.00% - 35.00% (27.37%)
|
||
Non-Agency RMBS Interest Only
|
|
$
|
3,099
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
9.50% - 18.00% (15.70%)
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.75% - 2.00% (1.53%)
|
|||
|
|
|
|
|
|
Projected Collateral Severities
|
|
20.00% - 65.00% (34.04%)
|
||
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
20.00% - 20.00% (20.00%)
|
||
ABS
|
|
$
|
13,346
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Losses
|
|
2.00% - 2.00% (2.00%)
|
|
|
|
|
|
|
Projected Collateral Severities
|
|
50.00% - 50.00% (50.00%)
|
||
|
|
$
|
7,814
|
|
|
Consensus Pricing
|
|
Offered Quotes
|
|
100.00 - 100.00 (100.00)
|
|
|
|
|
|
|
Yield
|
|
4.99% - 14.51% (7.91%)
|
||
CMBS
|
|
$
|
208,228
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
0.00% - 0.00% (0.00%)
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.00% - 0.50% (0.02%)
|
||
|
|
|
|
|
|
Projected Collateral Severities
|
|
0.00% - 25.00% (1.05%)
|
||
|
|
$
|
2,826
|
|
|
Consensus Pricing
|
|
Offered Quotes
|
|
4.83 - 8.88 (7.87)
|
|
|
|
|
|
|
Yield
|
|
3.67% - 10.79% (4.93%)
|
||
CMBS Interest Only
|
|
$
|
50,331
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
99.00% - 100.00% (99.92%)
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.00% - 0.00% (0.00%)
|
||
|
|
|
|
|
|
Projected Collateral Severities
|
|
0.00% - 0.00% (0.00%)
|
||
|
|
|
|
|
|
Yield
|
|
5.92% - 9.00% (6.33%)
|
||
Residential Mortgage Loans
|
|
$
|
86,813
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
4.99% - 8.37% (7.95%)
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
1.43% - 5.83% (1.94%)
|
||
|
|
|
|
|
|
Projected Collateral Severities
|
|
6.28% - 32.19% (8.13%)
|
||
|
|
$
|
99,283
|
|
|
Recent Transaction
|
|
Cost
|
|
N/A
|
|
|
|
|
|
|
Yield
|
|
7.51% - 7.51% (7.51%)
|
||
Commercial Loans
|
|
$
|
32,800
|
|
|
Discounted Cash Flow
|
|
Credit Spread
|
|
475 bps - 475 bps (475 bps)
|
|
|
|
|
|
|
Recovery Percentage (1)
|
|
100.00% - 100.00% (100.00%)
|
||
|
|
$
|
65,774
|
|
|
Consensus Pricing
|
|
Offered Quotes
|
|
100.00 - 100.00 (100.00)
|
|
|
|
|
|
|
Yield
|
|
8.50% - 11.62% (9.18%)
|
||
Excess Mortgage Servicing Rights
|
|
$
|
26,442
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
6.31% - 10.12% (8.47%)
|
|
$
|
208
|
|
|
Consensus Pricing
|
|
Offered Quotes
|
|
0.02 - 0.49 (0.47)
|
|
AG Arc
|
|
$
|
20,360
|
|
|
Comparable Multiple
|
|
Book Value Multiple
|
|
1.0x - 1.0x (1.0x)
|
|
|
|
|
|
|
|
|
|
||
Liability Class
|
|
Fair Value at December 31, 2018 (in thousands)
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Range
(Weighted Average)
|
||
|
|
|
|
|
|
Yield
|
|
4.09% - 4.09% (4.09%)
|
||
Securitized debt
|
|
$
|
(10,858
|
)
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
10.00% - 10.00% (10.00%)
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
3.50% - 3.50% (3.50%)
|
||
|
|
|
|
|
|
Projected Collateral Severities
|
|
45.00% - 45.00% (45.00%)
|
(1)
|
Represents the proportion of the principal expected to be collected relative to the loan balances as of
December 31, 2018
.
|
Asset Class
|
|
Fair Value at December 31, 2017 (in thousands)
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Range
(Weighted Average)
|
||
|
|
|
|
|
|
Yield
|
|
0.94% - 31.75% (4.49%)
|
||
Non-Agency RMBS
|
|
$
|
783,881
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
0.00% - 35.00% (10.50%)
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.00% - 50.00% (3.25%)
|
||
|
|
|
|
|
|
Projected Collateral Severities
|
|
0.00% - 100.00% (34.77%)
|
||
|
|
$
|
14,794
|
|
|
Consensus Pricing
|
|
Offered Quotes
|
|
74.75 - 74.75 (74.75)
|
|
|
$
|
46,749
|
|
|
Recent Transaction
|
|
Recent Transaction
|
|
N/A
|
|
|
|
|
|
|
Yield
|
|
7.00% - 25.00% (22.34%)
|
||
Non-Agency RMBS Interest Only
|
|
$
|
2,662
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
10.50% - 18.00% (16.89%)
|
|
|
|
|
|
Projected Collateral Losses
|
|
1.50% - 2.00% (1.57%)
|
|||
|
|
|
|
|
|
Projected Collateral Severities
|
|
10.00% - 40.00% (14.43%)
|
||
|
|
|
|
|
|
Yield
|
|
4.62% - 9.83% (7.56%)
|
||
ABS
|
|
$
|
40,958
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
20.00% - 40.00% (22.62%)
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.00% - 2.00% (1.74%)
|
||
|
|
|
|
|
|
Projected Collateral Severities
|
|
0.00% - 50.00% (43.45%)
|
||
|
|
|
|
|
|
Yield
|
|
-1.45% - 8.35% (6.24%)
|
||
CMBS
|
|
$
|
157,685
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
0.00% - 0.00% (0.00%)
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.00% - 0.00% (0.00%)
|
||
|
|
|
|
|
|
Projected Collateral Severities
|
|
0.00% - 0.00% (0.00%)
|
||
|
|
$
|
3,565
|
|
|
Consensus Pricing
|
|
Offered Quotes
|
|
6.20 - 7.60 (7.12)
|
|
|
|
|
|
|
Yield
|
|
2.93% - 5.90% (4.43%)
|
||
CMBS Interest Only
|
|
$
|
50,702
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
100.00% - 100.00% (100.00%)
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.00% - 0.00% (0.00%)
|
||
|
|
|
|
|
|
Projected Collateral Severities
|
|
0.00% - 0.00% (0.00%)
|
||
|
|
|
|
|
|
Yield
|
|
6.25% - 9.00% (7.81%)
|
||
Residential Mortgage Loans
|
|
$
|
18,890
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
2.98% - 5.05% (3.93%)
|
|
|
|
|
|
Projected Collateral Losses
|
|
3.88% - 6.91% (4.27%)
|
|||
|
|
|
|
|
|
Projected Collateral Severities
|
|
20.21% - 37.25% (22.00%)
|
||
|
|
|
|
|
|
Yield
|
|
6.52% - 6.52% (6.52%)
|
||
Commercial Loans
|
|
$
|
32,800
|
|
|
Discounted Cash Flow
|
|
Credit Spread
|
|
475 bps - 475 bps (475 bps)
|
|
|
|
|
|
|
Recovery Percentage (1)
|
|
100.00% - 100.00% (100.00%)
|
||
|
|
$
|
24,721
|
|
|
Consensus Pricing
|
|
Offered Quotes
|
|
98.50 - 100.00 (99.13)
|
|
|
|
|
|
|
Yield
|
|
9.12% - 11.74% (10.29%)
|
||
Excess Mortgage Servicing Rights
|
|
$
|
4,801
|
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
7.59% - 11.85% (9.67%)
|
|
$
|
283
|
|
|
Consensus Pricing
|
|
Offered Quotes
|
|
0.04 - 0.52 (0.48)
|
|
AG Arc
|
|
$
|
17,911
|
|
|
Comparable Multiple
|
|
Book Value Multiple
|
|
1.0x - 1.0x (1.0x)
|
|
|
|
|
|
|
|
|
|
||
Liability Class
|
|
Fair Value at December 31, 2017 (in thousands)
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Range
(Weighted Average)
|
||
|
|
|
|
|
|
Yield
|
|
3.23% - 3.23% (3.23%)
|
||
Securitized debt
|
|
$
|
(16,478
|
)
|
|
Discounted Cash Flow
|
|
Projected Collateral Prepayments
|
|
14.00% - 14.00% (14.00%)
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
7.00% - 7.00% (7.00%)
|
||
|
|
|
|
|
|
Projected Collateral Severities
|
|
40.00% - 40.00% (40.00%)
|
(1)
|
Represents the proportion of the principal expected to be collected relative to the loan balances as of
December 31, 2017
.
|
|
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||
|
|
|
|
Carrying Value
|
|
Fair Value
|
|
Carrying Value
|
|
Fair Value
|
||||||||
Term loan (1)
|
|
Level 3
|
|
$
|
102,017
|
|
|
$
|
103,784
|
|
|
$
|
—
|
|
|
$
|
—
|
|
(1)
|
The carrying value of the term loan is showed net of deferred financing costs of
$1.0 million
.
|
|
|
Repurchase Agreements
|
|
Financial Instruments Pledged
|
||||||||||||||||||
Repurchase Agreements
Maturing Within: |
|
Balance
|
|
Weighted Average
Rate
|
|
Weighted Average
Haircut
|
|
Fair Value
Pledged
|
|
Amortized Cost
|
|
Accrued Interest
|
||||||||||
Overnight
|
|
$
|
52,385
|
|
|
3.92
|
%
|
|
3.0
|
%
|
|
$
|
54,032
|
|
|
$
|
53,848
|
|
|
$
|
177
|
|
30 days or less
|
|
1,555,709
|
|
|
2.80
|
%
|
|
9.7
|
%
|
|
1,733,753
|
|
|
1,698,750
|
|
|
7,294
|
|
||||
31-60 days
|
|
852,017
|
|
|
2.85
|
%
|
|
8.1
|
%
|
|
939,222
|
|
|
925,418
|
|
|
3,123
|
|
||||
61-90 days
|
|
46,594
|
|
|
3.89
|
%
|
|
21.4
|
%
|
|
59,319
|
|
|
58,422
|
|
|
306
|
|
||||
Greater than 180 days
|
|
5,406
|
|
|
4.53
|
%
|
|
23.1
|
%
|
|
7,977
|
|
|
7,387
|
|
|
6
|
|
||||
Total / Weighted Average
|
|
$
|
2,512,111
|
|
|
2.86
|
%
|
|
9.3
|
%
|
|
$
|
2,794,303
|
|
|
$
|
2,743,825
|
|
|
$
|
10,906
|
|
|
|
Repurchase Agreements
|
|
Financial Instruments Pledged
|
||||||||||||||||||
Repurchase Agreements
Maturing Within:
|
|
Balance
|
|
Weighted Average
Rate
|
|
Weighted Average
Haircut
|
|
Fair Value
Pledged
|
|
Amortized Cost
|
|
Accrued Interest
|
||||||||||
Overnight
|
|
$
|
128,779
|
|
|
1.80
|
%
|
|
3.2
|
%
|
|
$
|
133,012
|
|
|
$
|
133,030
|
|
|
$
|
376
|
|
30 days or less
|
|
2,105,103
|
|
|
1.94
|
%
|
|
9.6
|
%
|
|
2,361,574
|
|
|
2,302,744
|
|
|
8,407
|
|
||||
31-60 days
|
|
611,763
|
|
|
1.76
|
%
|
|
7.6
|
%
|
|
677,310
|
|
|
670,307
|
|
|
2,131
|
|
||||
61-90 days
|
|
32,445
|
|
|
3.04
|
%
|
|
25.9
|
%
|
|
43,851
|
|
|
42,712
|
|
|
301
|
|
||||
91-180 days
|
|
1,131
|
|
|
3.21
|
%
|
|
22.7
|
%
|
|
1,463
|
|
|
1,479
|
|
|
1
|
|
||||
Greater than 180 days
|
|
93,060
|
|
|
3.00
|
%
|
|
20.4
|
%
|
|
119,490
|
|
|
118,698
|
|
|
47
|
|
||||
Total / Weighted Average
|
|
$
|
2,972,281
|
|
|
1.94
|
%
|
|
9.4
|
%
|
|
$
|
3,336,700
|
|
|
$
|
3,268,970
|
|
|
$
|
11,263
|
|
|
|
Repurchase Agreements
|
|
Financial Instruments Pledged
|
|||||||||||||||||||||
Repurchase Agreements
Maturing Within:
|
|
Balance
|
|
Weighted Average Rate
|
|
Weighted Average Funding Cost
|
|
Weighted Average Haircut
|
|
Fair Value Pledged
|
|
Amortized Cost
|
|
Accrued Interest
|
|||||||||||
Greater than 180 days
|
|
$
|
83,762
|
|
|
4.27
|
%
|
|
4.37
|
%
|
|
15.6
|
%
|
|
$
|
99,283
|
|
|
$
|
99,457
|
|
|
$
|
91
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Fair Value of investments pledged as collateral under repurchase agreements:
|
|
|
|
|
|
||
Agency RMBS
|
$
|
1,927,359
|
|
|
$
|
2,118,615
|
|
Non-Agency RMBS
|
605,243
|
|
|
976,072
|
|
||
ABS
|
13,346
|
|
|
30,833
|
|
||
CMBS
|
248,355
|
|
|
211,180
|
|
||
Residential mortgage loans
|
99,283
|
|
|
—
|
|
||
Cash pledged (i.e., restricted cash) under repurchase agreements
|
20,267
|
|
|
12,155
|
|
||
Total collateral pledged under repurchase agreements
|
$
|
2,913,853
|
|
|
$
|
3,348,855
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Fair Value of investments posted to us under repurchase agreements:
|
|
|
|
||||
Agency RMBS
|
$
|
1,534
|
|
|
$
|
—
|
|
U.S. Treasury Securities
|
1,123
|
|
|
—
|
|
||
Total collateral posted to us under repurchase agreements
|
$
|
2,657
|
|
|
$
|
—
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Repurchase agreements secured by investments:
|
|
|
|
|
|
||
Agency RMBS
|
$
|
1,805,054
|
|
|
$
|
2,005,133
|
|
Non-Agency RMBS
|
499,851
|
|
|
784,897
|
|
||
ABS
|
10,548
|
|
|
22,761
|
|
||
CMBS
|
196,658
|
|
|
159,490
|
|
||
Residential mortgage loans
|
83,762
|
|
|
—
|
|
||
Gross Liability for repurchase agreements
|
$
|
2,595,873
|
|
|
$
|
2,972,281
|
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
|
||||||||||||||
Description
|
|
Gross Amounts of
Recognized
Liabilities
|
|
Gross Amounts
Offset in the
Consolidated Balance
Sheets
|
|
Net Amounts of Liabilities
Presented in the Consolidated
Balance Sheets
|
|
Financial
Instruments
Posted
|
|
Cash Collateral
Posted
|
|
Net Amount
|
||||||||||||
Repurchase agreements
|
|
$
|
2,595,873
|
|
|
$
|
—
|
|
|
$
|
2,595,873
|
|
|
$
|
2,595,873
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
|
||||||||||||||
Description
|
|
Gross Amounts of
Recognized
Liabilities
|
|
Gross Amounts
Offset in the
Consolidated Balance
Sheets
|
|
Net Amounts of Liabilities
Presented in the Consolidated
Balance Sheets
|
|
Financial
Instruments
Posted
|
|
Cash Collateral
Posted
|
|
Net Amount
|
||||||||||||
Repurchase agreements
|
|
$
|
2,972,281
|
|
|
$
|
—
|
|
|
$
|
2,972,281
|
|
|
$
|
2,972,281
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||||||||||||||
Facility (1)
|
|
Maturity Date
|
|
Rate
|
|
Funding Cost
|
|
Balance
|
|
Net Carrying Value of Assets Pledged as Collateral
|
|
Rate
|
|
Funding Cost
|
|
Balance
|
|
Net Carrying Value of Assets Pledged as Collateral
|
||||||||||||
Term loan, net (2)
|
|
October 10, 2023
|
|
4.63
|
%
|
|
4.80
|
%
|
|
$
|
102,017
|
|
|
$
|
138,678
|
|
|
—
|
%
|
|
—
|
%
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Revolving facility A
|
|
July 1, 2019
|
|
4.66
|
%
|
|
4.66
|
%
|
|
$
|
21,796
|
|
|
$
|
32,800
|
|
|
3.70
|
%
|
|
3.70
|
%
|
|
$
|
21,796
|
|
|
$
|
32,800
|
|
Revolving facility B
|
|
June 15, 2020
|
|
4.53
|
%
|
|
4.54
|
%
|
|
63,328
|
|
|
85,343
|
|
|
4.07
|
%
|
|
4.07
|
%
|
|
10,330
|
|
|
15,861
|
|
||||
Revolving facility C
|
|
August 10, 2023
|
|
4.53
|
%
|
|
4.80
|
%
|
|
39,491
|
|
|
55,357
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
|
|
—
|
|
||||
Total revolving facilities
|
|
|
|
|
|
|
|
$
|
124,615
|
|
|
$
|
173,500
|
|
|
|
|
|
|
$
|
32,126
|
|
|
$
|
48,661
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Total term loan and revolving facilities
|
|
|
|
|
|
|
|
$
|
226,632
|
|
|
$
|
312,178
|
|
|
|
|
|
|
$
|
32,126
|
|
|
$
|
48,661
|
|
(1)
|
The term loan and all revolving facilities listed above are interest only until maturity.
|
(2)
|
The total borrowings under the term loan is
$103.0 million
, which is shown net of deferred financing costs of
$1.0 million
.
|
Counterparty
|
|
Stockholders' Equity
at Risk
|
|
Weighted Average
Maturity (days)
|
|
Percentage of
Stockholders' Equity
|
|||
Barclays Capital Inc
|
|
$
|
40,882
|
|
|
356
|
|
6
|
%
|
Counterparty
|
|
Stockholders' Equity
at Risk
|
|
Weighted Average
Maturity (days)
|
|
Percentage of
Stockholders' Equity
|
|||
RBC (Barbados) Trading Bank Corporation
|
|
$
|
45,239
|
|
|
26
|
|
6
|
%
|
Barclays Capital Inc
|
|
39,358
|
|
|
13
|
|
6
|
%
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Other assets
|
|
|
|
|
||||
Interest receivable
|
|
$
|
12,762
|
|
|
$
|
12,607
|
|
Receivable under reverse repurchase agreements
|
|
11,461
|
|
|
24,671
|
|
||
Derivative assets, at fair value
|
|
1,729
|
|
|
2,127
|
|
||
Other assets
|
|
6,948
|
|
|
2,490
|
|
||
Due from broker
|
|
603
|
|
|
850
|
|
||
Total Other assets
|
|
$
|
33,503
|
|
|
$
|
42,745
|
|
|
|
|
|
|
||||
Other liabilities
|
|
|
|
|
||||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
|
|
$
|
11,378
|
|
|
$
|
24,379
|
|
Payable on unsettled trades
|
|
—
|
|
|
2,419
|
|
||
Interest payable
|
|
12,196
|
|
|
5,226
|
|
||
Derivative liabilities, at fair value
|
|
317
|
|
|
450
|
|
||
Due to affiliates
|
|
4,023
|
|
|
4,258
|
|
||
Accrued expenses (1)
|
|
7,859
|
|
|
790
|
|
||
Taxes payable
|
|
1,673
|
|
|
1,545
|
|
||
Due to broker
|
|
7,734
|
|
|
1,692
|
|
||
Total Other liabilities
|
|
$
|
45,180
|
|
|
$
|
40,759
|
|
(1)
|
The increase in accrued expenses from
December 31, 2017
to
December 31, 2018
pertains to increases in transaction related expenses payable and deal related performance fees payable, as well as increases in annual Single-family rental property taxes payable, a majority of which were advanced at settlement.
|
Derivatives and Other Instruments
|
|
Designation
|
|
Balance Sheet Location
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Interest rate swaps (1)
|
|
Non-Hedge
|
|
Other assets
|
|
$
|
1,406
|
|
|
$
|
1,428
|
|
Interest rate swaps (1)
|
|
Non-Hedge
|
|
Other liabilities
|
|
(317
|
)
|
|
(450
|
)
|
||
Swaptions
|
|
Non-Hedge
|
|
Other assets
|
|
323
|
|
|
362
|
|
||
TBAs
|
|
Non-Hedge
|
|
Other assets
|
|
—
|
|
|
227
|
|
||
Short positions on U.S. Treasury Futures (2)
|
|
Non-Hedge
|
|
Other assets
|
|
—
|
|
|
110
|
|
||
Short positions on U.S. Treasuries
|
|
Non-Hedge
|
|
Other liabilities (3)
|
|
(11,378
|
)
|
|
(24,379
|
)
|
(1)
|
As of
December 31, 2018
, the Company applied a reduction in fair value of
$26.0 million
and
$18.1 million
to its interest rate swap assets and liabilities, respectively, related to variation margin. As of
December 31, 2017
, the Company applied a reduction in fair value of
$19.5 million
and
$0.6 million
to its interest rate swap assets and liabilities, respectively, related to variation margin
|
(2)
|
As of
December 31, 2018
, the Company applied a reduction in fair value of
$0.1 million
and
$1.0 million
to its U.S. Treasury Futures assets and Eurodollar Future liabilities, respectively, related to variation margin. As of
December 31, 2017
, the Company did not apply a fair value reduction to its U.S. Treasury Futures and Eurodollar Futures assets and liabilities related to variation margin.
|
(3)
|
Short positions on U.S. Treasuries relate to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded in the "Unrealized gain/(loss) on derivatives and other instruments, net" line item in the Company's consolidated statement of operations.
|
Non-hedge derivatives and other instruments held long/(short):
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements
|
|
$
|
1,963,500
|
|
|
$
|
2,227,000
|
|
Notional amount of Swaptions
|
|
260,000
|
|
|
270,000
|
|
||
Net notional amount of TBAs
|
|
—
|
|
|
100,000
|
|
||
Notional amount of short positions on U.S. Treasury Futures (1)
|
|
—
|
|
|
(52,500
|
)
|
||
Notional amount of long positions on U.S. Treasury Futures (1)
|
|
30,000
|
|
|
—
|
|
||
Notional amount of short positions on Eurodollar Futures (2)
|
|
(500,000
|
)
|
|
—
|
|
||
Notional amount of short positions on U.S. Treasuries
|
|
(11,250
|
)
|
|
(24,668
|
)
|
(1)
|
Each U.S. Treasury Future contract embodies
$100,000
of notional value.
|
(2)
|
Each Eurodollar Future contract embodies
$1,000,000
of notional value.
|
Non-hedge derivatives and other instruments gain/(loss):
|
|
Statement of Operations Location
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||
Interest rate swaps
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
|
$
|
(11,171
|
)
|
|
$
|
20,547
|
|
|
$
|
5,009
|
|
Interest rate swaps
|
|
Net realized gain/(loss)
|
|
21,338
|
|
|
(9,959
|
)
|
|
(10,939
|
)
|
|||
Swaptions, at fair value
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
|
(1,083
|
)
|
|
(596
|
)
|
|
—
|
|
|||
Swaptions, at fair value
|
|
Net realized gain/(loss)
|
|
(790
|
)
|
|
—
|
|
|
—
|
|
|||
Eurodollar Futures
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
|
(1,001
|
)
|
|
—
|
|
|
—
|
|
|||
Eurodollar Futures
|
|
Net realized gain/(loss)
|
|
—
|
|
|
1,372
|
|
|
1,059
|
|
|||
U.S. Treasury Futures
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
|
36
|
|
|
748
|
|
|
(639
|
)
|
|||
U.S. Treasury Futures
|
|
Net realized gain/(loss)
|
|
607
|
|
|
(4,050
|
)
|
|
1,558
|
|
|||
TBAs (1)
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
|
(227
|
)
|
|
650
|
|
|
(282
|
)
|
|||
TBAs
|
|
Net realized gain/(loss)
|
|
(233
|
)
|
|
1,669
|
|
|
2,771
|
|
|||
U.S. Treasuries
|
|
Unrealized gain/(loss) on derivative and other instruments, net
|
|
(176
|
)
|
|
(1,631
|
)
|
|
4,314
|
|
|||
U.S. Treasuries
|
|
Net realized gain/(loss)
|
|
177
|
|
|
1,742
|
|
|
3,522
|
|
(1)
|
For the year ended
December 31, 2018
, gains and losses from purchases and sales of TBAs consisted of
$1.6 million
of net TBA dollar roll net interest income and net losses of
$2.1 million
due to price changes. For the year ended
December 31, 2017
, gains and losses from purchases and sales of TBAs consisted of
$3.1 million
of net TBA dollar roll net interest income and net losses of
$0.8 million
due to price changes. For the year ended
December 31, 2016
, gains and losses from purchases and sales of TBAs consisted of
$0.3 million
of net TBA dollar roll net interest income and net gains of
$2.2 million
due to price changes.
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
|
||||||||||||||
Description (1)
|
|
Gross Amounts of Recognized
Assets (Liabilities)
|
|
Gross Amounts Offset
in the Consolidated
Balance Sheets
|
|
Net Amounts of Assets (Liabilities) Presented in the
Consolidated Balance Sheets
|
|
Financial
Instruments
(Posted)/Received
|
|
Cash Collateral
(Posted)/Received
|
|
Net Amount
|
||||||||||||
Receivable Under Reverse Repurchase Agreements
|
|
$
|
11,461
|
|
|
$
|
—
|
|
|
$
|
11,461
|
|
|
$
|
11,378
|
|
|
$
|
—
|
|
|
$
|
83
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative Assets (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest Rate Swaps
|
|
$
|
2,608
|
|
|
$
|
—
|
|
|
$
|
2,608
|
|
|
$
|
—
|
|
|
$
|
1,465
|
|
|
$
|
1,143
|
|
Interest Rate Swaptions
|
|
322
|
|
|
—
|
|
|
322
|
|
|
—
|
|
|
(600
|
)
|
|
922
|
|
||||||
Total Derivative Assets
|
|
$
|
2,930
|
|
|
$
|
—
|
|
|
$
|
2,930
|
|
|
$
|
—
|
|
|
$
|
865
|
|
|
$
|
2,065
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative Liabilities (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest Rate Swaps
|
|
$
|
1,635
|
|
|
$
|
—
|
|
|
$
|
1,635
|
|
|
$
|
—
|
|
|
$
|
1,465
|
|
|
$
|
170
|
|
Total Derivative Liabilities
|
|
$
|
1,635
|
|
|
$
|
—
|
|
|
$
|
1,635
|
|
|
$
|
—
|
|
|
$
|
1,465
|
|
|
$
|
170
|
|
(1)
|
The Company applied a reduction of fair value of
$26.0 million
and
$18.1 million
to its interest rate swap assets and liabilities, respectively, and a reduction of fair value of
$0.1 million
and
$1.0 million
to its U.S. Treasury Futures assets and Eurodollar Future liabilities, respectively, related to variation margin.
|
(2)
|
Included in Other assets on the consolidated balance sheet is
$2.9 million
less accrued interest of
$(1.2) million
for a total of
$1.7 million
.
|
(3)
|
Included in Other liabilities on the consolidated balance sheet is
$1.6 million
less accrued interest of
$(1.9) million
for a total of
$(0.3) million
.
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
|
||||||||||||||
Description (1)
|
|
Gross Amounts of
Recognized
Assets (Liabilities)
|
|
Gross Amounts Offset
in the
Consolidated
Balance Sheets
|
|
Net Amounts of Assets
(Liabilities) Presented in the
Consolidated Balance Sheets
|
|
Financial
Instruments
(Posted)/Received
|
|
Cash Collateral
(Posted)/Received
|
|
Net Amount
|
||||||||||||
Receivable Under Reverse Repurchase Agreements
|
|
$
|
24,671
|
|
|
$
|
—
|
|
|
$
|
24,671
|
|
|
$
|
24,379
|
|
|
$
|
—
|
|
|
$
|
292
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative Assets (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest Rate Swaps
|
|
$
|
4,544
|
|
|
$
|
—
|
|
|
$
|
4,544
|
|
|
$
|
—
|
|
|
$
|
1,666
|
|
|
$
|
2,878
|
|
Interest Rate Swaptions
|
|
362
|
|
|
—
|
|
|
362
|
|
|
—
|
|
|
—
|
|
|
362
|
|
||||||
TBAs
|
|
227
|
|
|
—
|
|
|
227
|
|
|
—
|
|
|
—
|
|
|
227
|
|
||||||
U.S. Treasury Futures - Short
|
|
110
|
|
|
—
|
|
|
110
|
|
|
—
|
|
|
—
|
|
|
110
|
|
||||||
Total Derivative Assets
|
|
$
|
5,243
|
|
|
$
|
—
|
|
|
$
|
5,243
|
|
|
$
|
—
|
|
|
$
|
1,666
|
|
|
$
|
3,577
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative Liabilities (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest Rate Swaps
|
|
$
|
(6
|
)
|
|
$
|
—
|
|
|
$
|
(6
|
)
|
|
$
|
—
|
|
|
$
|
(6
|
)
|
|
$
|
—
|
|
Total Derivative Liabilities
|
|
$
|
(6
|
)
|
|
$
|
—
|
|
|
$
|
(6
|
)
|
|
$
|
—
|
|
|
$
|
(6
|
)
|
|
$
|
—
|
|
(1)
|
The Company applied a reduction of fair value of
$19.5 million
and
$0.6 million
to its interest rate swap assets and liabilities, respectively, related to variation margin.
|
(2)
|
Included in Other assets on the consolidated balance sheet is
$5.2 million
less accrued interest of
$(3.1) million
for a total of
$2.1 million
.
|
(3)
|
Included in Other liabilities on the consolidated balance sheet is
$(6) thousand
plus accrued interest of
$(444) thousand
for a total of
$(450) thousand
.
|
Maturity
|
|
Notional Amount
|
|
Weighted Average
Pay-Fixed Rate
|
|
Weighted Average
Receive-Variable Rate
|
|
Weighted Average
Years to Maturity
|
||||
2020
|
|
$
|
105,000
|
|
|
1.54
|
%
|
|
2.56
|
%
|
|
1.20
|
2021
|
|
58,500
|
|
|
3.00
|
%
|
|
2.63
|
%
|
|
2.76
|
|
2022
|
|
478,000
|
|
|
1.87
|
%
|
|
2.72
|
%
|
|
3.58
|
|
2023
|
|
403,000
|
|
|
3.05
|
%
|
|
2.64
|
%
|
|
4.65
|
|
2024
|
|
230,000
|
|
|
2.06
|
%
|
|
2.63
|
%
|
|
5.50
|
|
2025
|
|
125,000
|
|
|
2.87
|
%
|
|
2.70
|
%
|
|
6.38
|
|
2026
|
|
75,000
|
|
|
2.12
|
%
|
|
2.66
|
%
|
|
7.89
|
|
2027
|
|
264,000
|
|
|
2.35
|
%
|
|
2.66
|
%
|
|
8.68
|
|
2028
|
|
225,000
|
|
|
2.96
|
%
|
|
2.69
|
%
|
|
9.37
|
|
Total/Wtd Avg
|
|
$
|
1,963,500
|
|
|
2.41
|
%
|
|
2.67
|
%
|
|
5.57
|
Maturity
|
|
Notional Amount
|
|
Weighted Average
Pay-Fixed Rate
|
|
Weighted Average
Receive-Variable Rate
|
|
Weighted Average
Years to Maturity
|
||||
2019
|
|
$
|
170,000
|
|
|
1.36
|
%
|
|
1.43
|
%
|
|
1.88
|
2020
|
|
835,000
|
|
|
1.77
|
%
|
|
1.52
|
%
|
|
2.54
|
|
2022
|
|
653,000
|
|
|
1.90
|
%
|
|
1.51
|
%
|
|
4.59
|
|
2024
|
|
230,000
|
|
|
2.06
|
%
|
|
1.47
|
%
|
|
6.50
|
|
2026
|
|
75,000
|
|
|
2.12
|
%
|
|
1.44
|
%
|
|
8.89
|
|
2027
|
|
264,000
|
|
|
2.35
|
%
|
|
1.50
|
%
|
|
9.69
|
|
Total/Wtd Avg
|
|
$
|
2,227,000
|
|
|
1.89
|
%
|
|
1.50
|
%
|
|
4.56
|
For the Year Ended December 31, 2018
|
|||||||||||||||||||||||||||||||
|
Beginning
Notional
Amount
|
|
Buys or Covers
|
|
Sales or Shorts
|
|
Ending Net
Notional
Amount
|
|
Net Fair Value
as of Year End
|
|
Net
Receivable/(Payable)
from/to Broker
|
|
Derivative
Asset
|
|
Derivative
Liability
|
||||||||||||||||
TBAs - Long
|
$
|
100,000
|
|
|
$
|
1,761,000
|
|
|
$
|
(1,861,000
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
TBAs - Short
|
$
|
—
|
|
|
$
|
1,071,000
|
|
|
$
|
(1,071,000
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
For the Year Ended December 31, 2017
|
|||||||||||||||||||||||||||||||
|
Beginning
Notional
Amount
|
|
Buys or Covers
|
|
Sales or Shorts
|
|
Ending Net
Notional
Amount
|
|
Net Fair Value
as of Year End
|
|
Net
Receivable/(Payable)
from/to Broker
|
|
Derivative
Asset
|
|
Derivative
Liability
|
||||||||||||||||
TBAs - Long
|
$
|
50,000
|
|
|
$
|
2,231,000
|
|
|
$
|
(2,181,000
|
)
|
|
$
|
100,000
|
|
|
$
|
102,711
|
|
|
$
|
(102,484
|
)
|
|
$
|
227
|
|
|
$
|
—
|
|
TBAs - Short
|
$
|
(75,000
|
)
|
|
$
|
75,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
For the Year Ended December 31, 2016
|
|||||||||||||||||||||||||||||||
|
Beginning
Notional
Amount
|
|
Buys or Covers
|
|
Sales or Shorts
|
|
Ending Net
Notional
Amount
|
|
Net Fair Value
as of Year End
|
|
Net
Receivable/(Payable)
from/to Broker
|
|
Derivative
Asset
|
|
Derivative
Liability
|
||||||||||||||||
TBAs - Long
|
$
|
75,000
|
|
|
$
|
429,000
|
|
|
$
|
(454,000
|
)
|
|
$
|
50,000
|
|
|
$
|
51,250
|
|
|
$
|
(51,428
|
)
|
|
$
|
—
|
|
|
$
|
(178
|
)
|
TBAs - Short
|
$
|
—
|
|
|
$
|
705,000
|
|
|
$
|
(780,000
|
)
|
|
$
|
(75,000
|
)
|
|
$
|
(74,590
|
)
|
|
$
|
74,344
|
|
|
$
|
—
|
|
|
$
|
(246
|
)
|
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2016
|
|||
Outstanding warrants (1)
|
—
|
|
|
1,007,500
|
|
|
1,007,500
|
|
Unvested restricted stock units previously granted to the Manager
|
40,007
|
|
|
60,000
|
|
|
20,003
|
|
(1)
|
The warrants expired July 6, 2018.
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||
Numerator:
|
|
|
|
|
|
|
|
|
|||
Net income/(loss) available to common stockholders for basic and diluted earnings per share
|
$
|
(11,901
|
)
|
|
$
|
105,089
|
|
|
$
|
50,214
|
|
|
|
|
|
|
|
||||||
Denominator:
|
|
|
|
|
|
||||||
Basic weighted average common shares outstanding
|
28,392
|
|
|
27,866
|
|
|
27,952
|
|
|||
Dilutive effect of restricted stock units (a)
|
—
|
|
|
17
|
|
|
1
|
|
|||
Dilutive weighted average common shares outstanding
|
28,392
|
|
|
27,883
|
|
|
27,953
|
|
|||
|
|
|
|
|
|
||||||
Basic Earnings/(Loss) Per Share of Common Stock:
|
$
|
(0.42
|
)
|
|
$
|
3.77
|
|
|
$
|
1.80
|
|
Diluted Earnings/(Loss) Per Share of Common Stock:
|
$
|
(0.42
|
)
|
|
$
|
3.77
|
|
|
$
|
1.80
|
|
(a)
|
Manager restricted stock units of
12,227
were excluded from the computation of diluted earnings per share because its effect would be anti-dilutive for the year ended
December 31, 2018
.
|
2018
|
|
|
|
|
|
|
||
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
3/15/2018
|
|
3/29/2018
|
|
4/30/2018
|
|
$
|
0.475
|
|
6/18/2018
|
|
6/29/2018
|
|
7/31/2018
|
|
0.50
|
|
|
9/14/2018
|
|
9/28/2018
|
|
10/31/2018
|
|
0.50
|
|
|
12/14/2018
|
|
12/31/2018
|
|
1/31/2019
|
|
0.50
|
|
|
Total
|
|
|
|
|
|
$
|
1.975
|
|
2017
|
|
|
|
|
|
|
||
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share (1)
|
||
3/10/2017
|
|
3/21/2017
|
|
4/28/2017
|
|
$
|
0.475
|
|
6/8/2017
|
|
6/19/2017
|
|
7/31/2017
|
|
0.475
|
|
|
9/11/2017
|
|
9/29/2017
|
|
10/31/2017
|
|
0.575
|
|
|
12/15/2017
|
|
12/29/2017
|
|
1/31/2018
|
|
0.475
|
|
|
Total
|
|
|
|
|
|
$
|
2.00
|
|
(1)
|
The combined dividend of
$0.575
includes a dividend of
$0.475
per common share and a special cash dividend of
$0.10
per common share.
|
2016
|
|
|
|
|
|
|
||
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
3/10/2016
|
|
3/21/2016
|
|
4/29/2016
|
|
$
|
0.475
|
|
6/9/2016
|
|
6/20/2016
|
|
7/29/2016
|
|
0.475
|
|
|
9/12/2016
|
|
9/23/2016
|
|
10/31/2016
|
|
0.475
|
|
|
12/6/2016
|
|
12/19/2016
|
|
1/31/2017
|
|
0.475
|
|
|
Total
|
|
|
|
|
|
$
|
1.90
|
|
2018
|
|
|
|
|
|
|
|
|
||
Dividend
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
8.25% Series A
|
|
2/16/2018
|
|
2/28/2018
|
|
3/19/2018
|
|
$
|
0.51563
|
|
8.25% Series A
|
|
5/15/2018
|
|
5/31/2018
|
|
6/18/2018
|
|
0.51563
|
|
|
8.25% Series A
|
|
8/16/2018
|
|
8/31/2018
|
|
9/17/2018
|
|
0.51563
|
|
|
8.25% Series A
|
|
11/15/2018
|
|
11/30/2018
|
|
12/17/2018
|
|
0.51563
|
|
|
Total
|
|
|
|
|
|
|
|
$
|
2.06252
|
|
Dividend
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
8.00% Series B
|
|
2/16/2018
|
|
2/28/2018
|
|
3/19/2018
|
|
$
|
0.50
|
|
8.00% Series B
|
|
5/15/2018
|
|
5/31/2018
|
|
6/18/2018
|
|
0.50
|
|
|
8.00% Series B
|
|
8/16/2018
|
|
8/31/2018
|
|
9/17/2018
|
|
0.50
|
|
|
8.00% Series B
|
|
11/15/2018
|
|
11/30/2018
|
|
12/17/2018
|
|
0.50
|
|
|
Total
|
|
|
|
|
|
|
|
$
|
2.00
|
|
2017
|
|
|
|
|
|
|
|
|
||
Dividend
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
8.25% Series A
|
|
2/16/2017
|
|
2/28/2017
|
|
3/17/2017
|
|
$
|
0.51563
|
|
8.25% Series A
|
|
5/15/2017
|
|
5/31/2017
|
|
6/19/2017
|
|
0.51563
|
|
|
8.25% Series A
|
|
8/16/2017
|
|
8/31/2017
|
|
9/18/2017
|
|
0.51563
|
|
|
8.25% Series A
|
|
11/16/2017
|
|
11/30/2017
|
|
12/18/2017
|
|
0.51563
|
|
|
Total
|
|
|
|
|
|
|
|
$
|
2.06252
|
|
Dividend
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
8.00% Series B
|
|
2/16/2017
|
|
2/28/2017
|
|
3/17/2017
|
|
$
|
0.50
|
|
8.00% Series B
|
|
5/15/2017
|
|
5/31/2017
|
|
6/19/2017
|
|
0.50
|
|
|
8.00% Series B
|
|
8/16/2017
|
|
8/31/2017
|
|
9/18/2017
|
|
0.50
|
|
|
8.00% Series B
|
|
11/16/2017
|
|
11/30/2017
|
|
12/18/2017
|
|
0.50
|
|
|
Total
|
|
|
|
|
|
|
|
$
|
2.00
|
|
2016
|
|
|
|
|
|
|
|
|
||
Dividend
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
8.25% Series A
|
|
2/12/2016
|
|
2/29/2016
|
|
3/17/2016
|
|
$
|
0.51563
|
|
8.25% Series A
|
|
5/13/2016
|
|
5/31/2016
|
|
6/17/2016
|
|
0.51563
|
|
|
8.25% Series A
|
|
8/15/2016
|
|
8/31/2016
|
|
9/19/2016
|
|
0.51563
|
|
|
8.25% Series A
|
|
11/16/2016
|
|
11/30/2016
|
|
12/19/2016
|
|
0.51563
|
|
|
Total
|
|
|
|
|
|
|
|
$
|
2.06252
|
|
Dividend
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
||
8.00% Series B
|
|
2/12/2016
|
|
2/29/2016
|
|
3/17/2016
|
|
$
|
0.50
|
|
8.00% Series B
|
|
5/13/2016
|
|
5/31/2016
|
|
6/17/2016
|
|
0.50
|
|
|
8.00% Series B
|
|
8/15/2016
|
|
8/31/2016
|
|
9/19/2016
|
|
0.50
|
|
|
8.00% Series B
|
|
11/16/2016
|
|
11/30/2016
|
|
12/19/2016
|
|
0.50
|
|
|
Total
|
|
|
|
|
|
|
|
$
|
2.00
|
|
|
Year Ended
December 31, 2018 |
|
Year Ended
December 31, 2017 |
|
Year Ended
December 31, 2016 |
|||||||||||||||
|
Shares of Restricted Stock and Restricted Stock Units
|
|
Weighted Average Grant Date Fair Value
|
|
Shares of Restricted Stock and Restricted Stock Units
|
|
Weighted Average Grant Date Fair Value
|
|
Shares of Restricted Stock and Restricted Stock Units
|
|
Weighted Average Grant Date Fair Value
|
|||||||||
Outstanding at beginning of year
|
109,430
|
|
|
$
|
19.64
|
|
|
57,981
|
|
|
$
|
20.66
|
|
|
69,348
|
|
|
$
|
19.72
|
|
Granted (1)
|
19,187
|
|
|
18.31
|
|
|
71,452
|
|
|
18.50
|
|
|
8,636
|
|
|
13.88
|
|
|||
Canceled/forfeited
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
Unrestricted
|
(19,993
|
)
|
|
19.01
|
|
|
(20,003
|
)
|
|
18.53
|
|
|
(20,003
|
)
|
|
14.48
|
|
|||
Outstanding at end of year
|
108,624
|
|
|
$
|
19.52
|
|
|
109,430
|
|
|
$
|
19.64
|
|
|
57,981
|
|
|
$
|
20.66
|
|
Unvested at end of year
|
40,007
|
|
|
$
|
18.53
|
|
|
60,000
|
|
|
$
|
18.53
|
|
|
20,003
|
|
|
$
|
18.86
|
|
(1)
|
The grant date fair value of restricted stock awards was established as the average of the high and low prices of the Company's common stock at the grant date. The grant date fair value of restricted stock units is based on the closing market price of the Company's common stock at the grant date.
|
Month Purchased (1)
|
|
Total Number of
Shares Repurchased
|
|
Weighted Average
Price per Share Paid (2)
|
|
Total Number of Shares Purchased as Part of Publicly Announced Program
|
|
Maximum Number (or
approximate dollar value) of Shares that May Yet be Purchased Under the Program (3)
|
||||||
March 2016
|
|
120
|
|
|
$
|
12.86
|
|
|
246
|
|
|
$
|
21,791
|
|
May 2016
|
|
276
|
|
|
13.75
|
|
|
523
|
|
|
17,989
|
|
||
June 2016
|
|
37
|
|
|
14.38
|
|
|
560
|
|
|
17,461
|
|
||
August 2016
|
|
166
|
|
|
15.74
|
|
|
725
|
|
|
14,851
|
|
||
September 2016
|
|
16
|
|
|
15.76
|
|
|
741
|
|
|
14,598
|
|
||
Total
|
|
615
|
|
|
$
|
14.20
|
|
|
741
|
|
|
$
|
14,598
|
|
(1)
|
Based on trade date. The Program was announced on November 4, 2015. The Program does not have an expiration date.
|
(2)
|
Includes brokerage commissions and clearing fees.
|
(3)
|
The maximum dollar amount authorized was
$25.0 million
.
|
|
|
Securities and Loans
|
|
Single-Family Rental Properties
|
|
Corporate
|
|
Total
|
||||||||
Net Interest Income
|
|
|
|
|
|
|
|
|
||||||||
Interest income (1)
|
|
$
|
156,343
|
|
|
$
|
—
|
|
|
$
|
132
|
|
|
$
|
156,475
|
|
Interest expense
|
|
70,502
|
|
|
1,556
|
|
|
—
|
|
|
72,058
|
|
||||
Total Net Interest Income
|
|
85,841
|
|
|
(1,556
|
)
|
|
132
|
|
|
84,417
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Other Income/(Loss)
|
|
|
|
|
|
|
|
|
||||||||
Rental income
|
|
—
|
|
|
4,091
|
|
|
—
|
|
|
4,091
|
|
||||
Net realized gain/(loss)
|
|
(39,450
|
)
|
|
(51
|
)
|
|
—
|
|
|
(39,501
|
)
|
||||
Net interest component of interest rate swaps
|
|
2,230
|
|
|
—
|
|
|
—
|
|
|
2,230
|
|
||||
Unrealized gain/(loss) on real estate securities and loans, net
|
|
(20,940
|
)
|
|
—
|
|
|
—
|
|
|
(20,940
|
)
|
||||
Unrealized gain/(loss) on derivative and other instruments, net
|
|
(13,538
|
)
|
|
—
|
|
|
—
|
|
|
(13,538
|
)
|
||||
Other income
|
|
237
|
|
|
135
|
|
|
—
|
|
|
372
|
|
||||
Total Other Income/(Loss)
|
|
(71,461
|
)
|
|
4,175
|
|
|
—
|
|
|
(67,286
|
)
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Expenses
|
|
|
|
|
|
|
|
|
||||||||
Management fee to affiliate
|
|
—
|
|
|
—
|
|
|
9,544
|
|
|
9,544
|
|
||||
Other operating expenses
|
|
3,730
|
|
|
38
|
|
|
11,155
|
|
|
14,923
|
|
||||
Equity based compensation to affiliate
|
|
—
|
|
|
—
|
|
|
239
|
|
|
239
|
|
||||
Excise tax
|
|
—
|
|
|
—
|
|
|
1,500
|
|
|
1,500
|
|
||||
Servicing fees
|
|
433
|
|
|
—
|
|
|
—
|
|
|
433
|
|
||||
Property depreciation and amortization
|
|
—
|
|
|
2,336
|
|
|
—
|
|
|
2,336
|
|
||||
Property operating and maintenance expenses
|
|
—
|
|
|
1,862
|
|
|
—
|
|
|
1,862
|
|
||||
Property management fee
|
|
—
|
|
|
319
|
|
|
—
|
|
|
319
|
|
||||
Total Expenses
|
|
4,163
|
|
|
4,555
|
|
|
22,438
|
|
|
31,156
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Income/(loss) before equity in earnings/(loss) from affiliates
|
|
10,217
|
|
|
(1,936
|
)
|
|
(22,306
|
)
|
|
(14,025
|
)
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Equity in earnings/(loss) from affiliates
|
|
15,593
|
|
|
—
|
|
|
—
|
|
|
15,593
|
|
||||
Net Income/(Loss)
|
|
25,810
|
|
|
(1,936
|
)
|
|
(22,306
|
)
|
|
1,568
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Dividends on preferred stock
|
|
—
|
|
|
—
|
|
|
13,469
|
|
|
13,469
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Net Income/(Loss) Available to Common Stockholders
|
|
$
|
25,810
|
|
|
$
|
(1,936
|
)
|
|
$
|
(35,775
|
)
|
|
$
|
(11,901
|
)
|
(1)
|
Interest earned on cash and cash equivalents, including money markets, is shown within Corporate.
|
|
|
Securities and Loans
|
|
Single-Family Rental Properties
|
|
Corporate
|
|
Total
|
||||||||
Net Interest Income
|
|
|
|
|
|
|
|
|
||||||||
Interest income
|
|
$
|
128,845
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
128,845
|
|
Interest expense
|
|
43,722
|
|
|
—
|
|
|
—
|
|
|
43,722
|
|
||||
Total Net Interest Income
|
|
85,123
|
|
|
—
|
|
|
—
|
|
|
85,123
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Other Income/(Loss)
|
|
|
|
|
|
|
|
|
||||||||
Net realized gain/(loss)
|
|
(13,986
|
)
|
|
—
|
|
|
—
|
|
|
(13,986
|
)
|
||||
Net interest component of interest rate swaps
|
|
(7,763
|
)
|
|
—
|
|
|
—
|
|
|
(7,763
|
)
|
||||
Unrealized gain/(loss) on real estate securities and loans, net
|
|
45,529
|
|
|
—
|
|
|
—
|
|
|
45,529
|
|
||||
Unrealized gain/(loss) on derivative and other instruments, net
|
|
19,813
|
|
|
—
|
|
|
—
|
|
|
19,813
|
|
||||
Other income
|
|
55
|
|
|
—
|
|
|
—
|
|
|
55
|
|
||||
Total Other Income/(Loss)
|
|
43,648
|
|
|
—
|
|
|
—
|
|
|
43,648
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Expenses
|
|
|
|
|
|
|
|
|
||||||||
Management fee to affiliate
|
|
—
|
|
|
—
|
|
|
9,835
|
|
|
9,835
|
|
||||
Other operating expenses
|
|
1,281
|
|
|
—
|
|
|
9,684
|
|
|
10,965
|
|
||||
Equity based compensation to affiliate
|
|
—
|
|
|
—
|
|
|
301
|
|
|
301
|
|
||||
Excise tax
|
|
—
|
|
|
—
|
|
|
1,500
|
|
|
1,500
|
|
||||
Servicing fees
|
|
234
|
|
|
—
|
|
|
—
|
|
|
234
|
|
||||
Total Expenses
|
|
1,515
|
|
|
—
|
|
|
21,320
|
|
|
22,835
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Income/(loss) before equity in earnings/(loss) from affiliates
|
|
127,256
|
|
|
—
|
|
|
(21,320
|
)
|
|
105,936
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Equity in earnings/(loss) from affiliates
|
|
12,622
|
|
|
—
|
|
|
—
|
|
|
12,622
|
|
||||
Net Income/(Loss)
|
|
139,878
|
|
|
—
|
|
|
(21,320
|
)
|
|
118,558
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Dividends on preferred stock
|
|
—
|
|
|
—
|
|
|
13,469
|
|
|
13,469
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Net Income/(Loss) Available to Common Stockholders
|
|
$
|
139,878
|
|
|
$
|
—
|
|
|
$
|
(34,789
|
)
|
|
$
|
105,089
|
|
|
|
Securities and Loans
|
|
Single-Family Rental Properties
|
|
Corporate
|
|
Total
|
||||||||
Net Interest Income
|
|
|
|
|
|
|
|
|
||||||||
Interest income
|
|
$
|
123,006
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
123,006
|
|
Interest expense
|
|
33,785
|
|
|
—
|
|
|
—
|
|
|
33,785
|
|
||||
Total Net Interest Income
|
|
89,221
|
|
|
—
|
|
|
—
|
|
|
89,221
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Other Income/(Loss)
|
|
|
|
|
|
|
|
|
||||||||
Net realized gain/(loss)
|
|
(10,391
|
)
|
|
—
|
|
|
—
|
|
|
(10,391
|
)
|
||||
Net interest component of interest rate swaps
|
|
(6,010
|
)
|
|
—
|
|
|
—
|
|
|
(6,010
|
)
|
||||
Unrealized gain/(loss) on real estate securities and loans, net
|
|
2,673
|
|
|
—
|
|
|
—
|
|
|
2,673
|
|
||||
Unrealized gain/(loss) on derivative and other instruments, net
|
|
8,613
|
|
|
—
|
|
|
—
|
|
|
8,613
|
|
||||
Other income
|
|
374
|
|
|
—
|
|
|
—
|
|
|
374
|
|
||||
Total Other Income/(Loss)
|
|
(4,741
|
)
|
|
—
|
|
|
—
|
|
|
(4,741
|
)
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Expenses
|
|
|
|
|
|
|
|
|
||||||||
Management fee to affiliate
|
|
—
|
|
|
—
|
|
|
9,809
|
|
|
9,809
|
|
||||
Other operating expenses
|
|
1,287
|
|
|
—
|
|
|
9,004
|
|
|
10,291
|
|
||||
Equity based compensation to affiliate
|
|
—
|
|
|
—
|
|
|
299
|
|
|
299
|
|
||||
Excise tax
|
|
—
|
|
|
—
|
|
|
1,513
|
|
|
1,513
|
|
||||
Servicing fees
|
|
404
|
|
|
—
|
|
|
—
|
|
|
404
|
|
||||
Total Expenses
|
|
1,691
|
|
|
—
|
|
|
20,625
|
|
|
22,316
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Income/(loss) before equity in earnings/(loss) from affiliates
|
|
82,789
|
|
|
—
|
|
|
(20,625
|
)
|
|
62,164
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Equity in earnings/(loss) from affiliates
|
|
1,519
|
|
|
—
|
|
|
—
|
|
|
1,519
|
|
||||
Net Income/(Loss)
|
|
84,308
|
|
|
—
|
|
|
(20,625
|
)
|
|
63,683
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Dividends on preferred stock
|
|
—
|
|
|
—
|
|
|
13,469
|
|
|
13,469
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Net Income/(Loss) Available to Common Stockholders
|
|
$
|
84,308
|
|
|
$
|
—
|
|
|
$
|
(34,094
|
)
|
|
$
|
50,214
|
|
|
|
Securities and Loans (a)
|
|
Single-Family Rental Properties
|
|
Corporate
|
|
Total
|
||||||||
Total Assets
|
|
$
|
3,373,713
|
|
|
$
|
142,535
|
|
|
$
|
32,678
|
|
|
$
|
3,548,926
|
|
Total Liabilities
|
|
$
|
2,759,082
|
|
|
$
|
105,102
|
|
|
$
|
28,731
|
|
|
$
|
2,892,915
|
|
Total Stockholders' Equity
|
|
$
|
614,631
|
|
|
$
|
37,433
|
|
|
$
|
3,947
|
|
|
$
|
656,011
|
|
Total Liabilities & Stockholders' Equity
|
|
$
|
3,373,713
|
|
|
$
|
142,535
|
|
|
$
|
32,678
|
|
|
$
|
3,548,926
|
|
(a)
|
Includes Investments in debt and equity of affiliates of
$84.9 million
.
|
|
|
Securities and Loans (a)
|
|
Single-Family Rental Properties
|
|
Corporate
|
|
Total
|
||||||||
Total Assets
|
|
$
|
3,772,812
|
|
|
$
|
—
|
|
|
$
|
16,483
|
|
|
$
|
3,789,295
|
|
Total Liabilities
|
|
$
|
3,053,556
|
|
|
$
|
—
|
|
|
$
|
21,480
|
|
|
$
|
3,075,036
|
|
Total Stockholders' Equity
|
|
$
|
719,256
|
|
|
$
|
—
|
|
|
$
|
(4,997
|
)
|
|
$
|
714,259
|
|
Total Liabilities & Stockholders' Equity
|
|
$
|
3,772,812
|
|
|
$
|
—
|
|
|
$
|
16,483
|
|
|
$
|
3,789,295
|
|
(a)
|
Includes Investments in debt and equity of affiliates of
$99.7 million
.
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Assets
|
|
|
|
|
|
||
Real estate securities and loans, at fair value
|
$
|
1,059,755
|
|
|
$
|
479,434
|
|
Mortgage servicing rights and excess mortgage servicing rights, at fair value
|
155,183
|
|
|
57,851
|
|
||
Other assets
|
190,243
|
|
|
74,453
|
|
||
Total Assets
|
$
|
1,405,181
|
|
|
$
|
611,738
|
|
|
|
|
|
||||
Liabilities
|
|
|
|
||||
Repurchase agreements
|
$
|
430,433
|
|
|
$
|
154,269
|
|
Securitized debt, at fair value
|
212,902
|
|
|
—
|
|
||
Other liabilities
|
285,401
|
|
|
39,832
|
|
||
Total Liabilities
|
928,736
|
|
|
194,101
|
|
||
|
|
|
|
||||
Total Members' Equity
|
|
|
|
||||
Members' equity
|
472,958
|
|
|
415,396
|
|
||
Noncontrolling preferred interests
|
3,487
|
|
|
2,241
|
|
||
Total Member's equity
|
476,445
|
|
|
417,637
|
|
||
|
|
|
|
||||
Total Liabilities & Members' Equity
|
$
|
1,405,181
|
|
|
$
|
611,738
|
|
|
|
|
|
||||
The Company's Investments in debt and equity of affiliates (1)
|
$
|
84,892
|
|
|
$
|
99,696
|
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||
Net Interest Income
|
|
|
|
|
|
|
|
|
|||
Interest income
|
$
|
67,029
|
|
|
$
|
53,213
|
|
|
$
|
47,206
|
|
Interest expense
|
37,036
|
|
|
10,905
|
|
|
8,673
|
|
|||
Total Net Interest Income
|
29,993
|
|
|
42,308
|
|
|
38,533
|
|
|||
|
|
|
|
|
|
||||||
Other Income
|
|
|
|
|
|
||||||
Net realized gain/(loss)
|
29,362
|
|
|
13,423
|
|
|
(22,483
|
)
|
|||
Unrealized gain (loss) on real estate securities and loans, net
|
41,537
|
|
|
28,739
|
|
|
(9,528
|
)
|
|||
Other income
|
40,761
|
|
|
13,752
|
|
|
4,455
|
|
|||
Total Other Income
|
111,660
|
|
|
55,914
|
|
|
(27,556
|
)
|
|||
|
|
|
|
|
|
||||||
Expenses
|
|
|
|
|
|
||||||
Other operating expenses
|
43,418
|
|
|
23,279
|
|
|
19,709
|
|
|||
|
|
|
|
|
|
||||||
Net Income/(Loss)
|
98,235
|
|
|
74,943
|
|
|
(8,732
|
)
|
|||
|
|
|
|
|
|
||||||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests
|
(423
|
)
|
|
(245
|
)
|
|
—
|
|
|||
|
|
|
|
|
|
||||||
Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments
|
$
|
97,812
|
|
|
$
|
74,698
|
|
|
$
|
(8,732
|
)
|
|
|
|
|
|
|
||||||
The Company's Equity in earnings/(loss) from affiliates (1)
|
$
|
15,593
|
|
|
$
|
12,622
|
|
|
$
|
1,519
|
|
|
Three Months Ended
|
||||||||||||||
|
March 31, 2018
|
|
June 30, 2018
|
|
September 30, 2018
|
|
December 31, 2018
|
||||||||
Statement of Operations Data:
|
|
|
|
|
|
|
|
||||||||
Net Interest Income
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest income
|
$
|
39,357
|
|
|
$
|
36,012
|
|
|
$
|
39,703
|
|
|
$
|
41,403
|
|
Interest expense
|
15,326
|
|
|
16,271
|
|
|
18,692
|
|
|
21,769
|
|
||||
Total Net Interest Income
|
24,031
|
|
|
19,741
|
|
|
21,011
|
|
|
19,634
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Other Income/(Loss)
|
|
|
|
|
|
|
|
||||||||
Rental income
|
—
|
|
|
—
|
|
|
794
|
|
|
3,297
|
|
||||
Net realized gain/(loss)
|
(11,839
|
)
|
|
(11,060
|
)
|
|
(14,204
|
)
|
|
(2,398
|
)
|
||||
Net interest component of interest rate swaps
|
(1,470
|
)
|
|
1,261
|
|
|
1,816
|
|
|
623
|
|
||||
Unrealized gain/(loss) on real estate securities and loans, net
|
(36,155
|
)
|
|
(577
|
)
|
|
700
|
|
|
15,092
|
|
||||
Unrealized gain/(loss) on derivative and other instruments, net
|
37,090
|
|
|
4,781
|
|
|
6,589
|
|
|
(61,998
|
)
|
||||
Other income
|
—
|
|
|
20
|
|
|
1
|
|
|
351
|
|
||||
Total Other Income/(Loss)
|
(12,374
|
)
|
|
(5,575
|
)
|
|
(4,304
|
)
|
|
(45,033
|
)
|
||||
|
|
|
|
|
|
|
|
||||||||
Expenses
|
|
|
|
|
|
|
|
||||||||
Management fee to affiliate
|
2,439
|
|
|
2,387
|
|
|
2,384
|
|
|
2,334
|
|
||||
Other operating expenses
|
3,223
|
|
|
3,443
|
|
|
3,503
|
|
|
4,754
|
|
||||
Equity based compensation to affiliate
|
51
|
|
|
94
|
|
|
66
|
|
|
28
|
|
||||
Excise tax
|
375
|
|
|
375
|
|
|
375
|
|
|
375
|
|
||||
Servicing fees
|
62
|
|
|
22
|
|
|
148
|
|
|
201
|
|
||||
Property depreciation and amortization
|
—
|
|
|
—
|
|
|
494
|
|
|
1,842
|
|
||||
Property operating and maintenance expenses
|
—
|
|
|
—
|
|
|
232
|
|
|
1,630
|
|
||||
Property management fee
|
—
|
|
|
—
|
|
|
88
|
|
|
231
|
|
||||
Total Expenses
|
6,150
|
|
|
6,321
|
|
|
7,290
|
|
|
11,395
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Income/(loss) before equity in earnings/(loss) from affiliates
|
5,507
|
|
|
7,845
|
|
|
9,417
|
|
|
(36,794
|
)
|
||||
Equity in earnings/(loss) from affiliates
|
2,740
|
|
|
323
|
|
|
13,960
|
|
|
(1,430
|
)
|
||||
Net Income/(Loss)
|
8,247
|
|
|
8,168
|
|
|
23,377
|
|
|
(38,224
|
)
|
||||
|
|
|
|
|
|
|
|
||||||||
Dividends on preferred stock
|
3,367
|
|
|
3,367
|
|
|
3,367
|
|
|
3,367
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Net Income/(Loss) Available to Common Stockholders
|
$
|
4,880
|
|
|
$
|
4,801
|
|
|
$
|
20,010
|
|
|
$
|
(41,591
|
)
|
|
|
|
|
|
|
|
|
||||||||
Earnings/(Loss) Per Share of Common Stock
|
|
|
|
|
|
|
|
||||||||
Basic
|
$
|
0.17
|
|
|
$
|
0.17
|
|
|
$
|
0.70
|
|
|
$
|
(1.45
|
)
|
Diluted
|
$
|
0.17
|
|
|
$
|
0.17
|
|
|
$
|
0.70
|
|
|
$
|
(1.45
|
)
|
|
Three Months Ended
|
||||||||||||||
|
March 31, 2017
|
|
June 30, 2017
|
|
September 30, 2017
|
|
December 31, 2017
|
||||||||
Statement of Operations Data:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net Interest Income
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest income
|
$
|
27,960
|
|
|
$
|
31,221
|
|
|
$
|
33,592
|
|
|
$
|
36,072
|
|
Interest expense
|
8,162
|
|
|
10,201
|
|
|
11,959
|
|
|
13,400
|
|
||||
Total Net Interest Income
|
19,798
|
|
|
21,020
|
|
|
21,633
|
|
|
22,672
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Other Income/(Loss)
|
|
|
|
|
|
|
|
||||||||
Net realized gain/(loss)
|
(2,428
|
)
|
|
(10,121
|
)
|
|
22
|
|
|
(1,459
|
)
|
||||
Net interest component of interest rate swaps
|
(1,610
|
)
|
|
(1,858
|
)
|
|
(2,147
|
)
|
|
(2,148
|
)
|
||||
Unrealized gain/(loss) on real estate securities and loans, net
|
12,751
|
|
|
25,547
|
|
|
14,893
|
|
|
(7,662
|
)
|
||||
Unrealized gain/(loss) on derivative and other instruments, net
|
(126
|
)
|
|
1,927
|
|
|
2,423
|
|
|
15,589
|
|
||||
Other income
|
28
|
|
|
4
|
|
|
2
|
|
|
21
|
|
||||
Total Other Income/(Loss)
|
8,615
|
|
|
15,499
|
|
|
15,193
|
|
|
4,341
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Expenses
|
|
|
|
|
|
|
|
||||||||
Management fee to affiliate
|
2,476
|
|
|
2,444
|
|
|
2,454
|
|
|
2,461
|
|
||||
Other operating expenses
|
2,793
|
|
|
2,851
|
|
|
2,603
|
|
|
2,718
|
|
||||
Equity based compensation to affiliate
|
77
|
|
|
88
|
|
|
61
|
|
|
75
|
|
||||
Excise tax
|
375
|
|
|
375
|
|
|
375
|
|
|
375
|
|
||||
Servicing fees
|
76
|
|
|
86
|
|
|
23
|
|
|
49
|
|
||||
Total Expenses
|
5,797
|
|
|
5,844
|
|
|
5,516
|
|
|
5,678
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Income/(loss) before equity in earnings/(loss) from affiliates
|
22,616
|
|
|
30,675
|
|
|
31,310
|
|
|
21,335
|
|
||||
Equity in earnings/(loss) from affiliates
|
2,502
|
|
|
2,497
|
|
|
4,701
|
|
|
2,922
|
|
||||
Net Income/(Loss)
|
25,118
|
|
|
33,172
|
|
|
36,011
|
|
|
24,257
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Dividends on preferred stock
|
3,367
|
|
|
3,367
|
|
|
3,367
|
|
|
3,367
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Net Income/(Loss) Available to Common Stockholders
|
$
|
21,751
|
|
|
$
|
29,805
|
|
|
$
|
32,644
|
|
|
$
|
20,890
|
|
|
|
|
|
|
|
|
|
||||||||
Earnings/(Loss) Per Share of Common Stock
|
|
|
|
|
|
|
|
||||||||
Basic
|
$
|
0.79
|
|
|
$
|
1.08
|
|
|
$
|
1.17
|
|
|
$
|
0.74
|
|
Diluted
|
$
|
0.78
|
|
|
$
|
1.07
|
|
|
$
|
1.17
|
|
|
$
|
0.74
|
|
1.
|
Financial Statements.
|
2.
|
Schedules to Financial Statements.
|
3.
|
Exhibits:
|
Exhibit
No.
|
|
Description
|
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
Exhibit
No.
|
|
Description
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
Exhibit
No.
|
|
Description
|
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
Exhibit
No.
|
|
Description
|
|
|
|
101.INS
|
|
XBRL Instance Document
|
|
|
|
101.SCH
|
|
XBRL Taxonomy Extension Schema Document
|
|
|
|
101.CAL
|
|
XBRL Taxonomy Extension Calculation Linkbase Document
|
|
|
|
101.DEF
|
|
XBRL Taxonomy Extension Definition Linkbase Document
|
|
|
|
101.LAB
|
|
XBRL Taxonomy Extension Label Linkbase Document
|
|
|
|
101.PRE
|
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
*
|
Fully or partly previously filed.
|
**
|
Management contract or compensatory plan or arrangement.
|
|
AG MORTGAGE INVESTMENT TRUST, INC.
|
|
|
|
|
February 27, 2019
|
By:
|
/s/ DAVID N. ROBERTS
|
|
|
David N. Roberts
|
|
|
Chief Executive Officer (Principal Executive Officer)
|
|
|
|
February 27, 2019
|
By:
|
/s/ BRIAN C. SIGMAN
|
|
|
Brian C. Sigman
|
|
|
Chief Financial Officer and Treasurer (Principal
|
|
|
Financial Officer and Principal Accounting Officer)
|
|
|
|
|
|
|
February 27, 2019
|
By:
|
/s/ DAVID N. ROBERTS
|
|
|
David Roberts
Director, Chief Executive Officer and President
|
|
|
|
February 27, 2019
|
By:
|
/s/ BRIAN C. SIGMAN
|
|
|
Brian Sigman
Director, Chief Financial Officer |
|
|
|
February 27, 2019
|
By:
|
/s/ THOMAS DURKIN
|
|
|
Thomas Durkin
Director, Chief Investment Officer |
|
|
|
February 27, 2019
|
By:
|
/s/ ARTHUR AINSBERG
|
|
|
Arthur Ainsberg
Director
|
|
|
|
February 27, 2019
|
By:
|
/s/ ANDREW L. BERGER
|
|
|
Andrew L. Berger
Director
|
|
|
|
February 27, 2019
|
By:
|
/s/ DEBRA HESS
|
|
|
Debra Hess
Director
|
|
|
|
February 27, 2019
|
By:
|
/s/ JOSEPH LAMANNA
|
|
|
Joseph LaManna
Director
|
February 27, 2019
|
By:
|
/s/ PETER LINNEMAN
|
|
|
Peter Linneman
Director
|
|
Subsidiary
|
|
State of Incorporation
|
1.
|
AG MIT, LLC
|
|
Delaware
|
2.
|
AG MIT CMO, LLC
|
|
Delaware
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
/s/ PricewaterhouseCoopers LLP
|
|
New York, New York
|
|
February 27, 2019
|
|
1.
|
I have reviewed this annual report on Form 10-K of AG Mortgage Investment Trust, Inc.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a.
|
Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b.
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c.
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
d.
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a.
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b.
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: February 27, 2019
|
|
|
/s/ David N. Roberts
|
|
David N. Roberts
|
|
Chief Executive Officer
|
1.
|
I have reviewed this annual report on Form 10-K of AG Mortgage Investment Trust, Inc.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a.
|
Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b.
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c.
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
d.
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a.
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b.
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: February 27, 2019
|
|
|
/s/ Brian C. Sigman
|
|
Brian C. Sigman
|
|
Chief Financial Officer and
|
|
Principal Accounting Officer
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
|
|
/s/ David N. Roberts
|
|
David N. Roberts
|
|
Chief Executive Officer
|
|
February 27, 2019
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.1
|
|
/s/ Brian C. Sigman
|
|
Brian C. Sigman
|
|
Chief Financial Officer and
|
|
Principal Accounting Officer
|
|
February 27, 2019
|