þ
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QUARTERLY 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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|
45-0907772
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(State or other jurisdiction of
incorporation or organization)
|
|
(I.R.S. Employer
Identification No.)
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Large accelerated filer
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þ
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|
Accelerated filer
|
o
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|
|
|
|
|
Non-accelerated filer
|
o
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(Do not check if a smaller reporting company)
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Smaller Reporting Company
|
o
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PART I. FINANCIAL INFORMATION
|
|
|
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Item 1.
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Financial Statements
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Item 2.
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Management's Discussion and Analysis of Financial Condition and Results of Operations
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Item 3.
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Quantitative and Qualitative Disclosures about Market Risk
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Item 4.
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Controls and Procedures
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|
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PART II. OTHER INFORMATION
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|
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Item 1.
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Legal Proceedings
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Item 1A.
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Risk Factors
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Item 2.
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Unregistered Sales of Equity Securities and Use of Proceeds
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Item 3.
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Defaults upon Senior Securities
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Item 4.
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Mine Safety Disclosures
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Item 5.
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Other Information
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Item 6.
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Exhibits
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|
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Signatures
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September 30, 2016
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December 31, 2015
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||||
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(unaudited)
|
|
|
||||
Assets:
|
|
|
|
||||
Agency securities, at fair value (including pledged securities of $2,760,377 and $3,174,675, respectively)
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$
|
2,952,851
|
|
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$
|
3,217,252
|
|
Non-agency securities, at fair value (including pledged securities of $1,170,038 and $1,435,931, respectively)
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1,285,266
|
|
|
1,557,671
|
|
||
U.S. Treasury securities, at fair value (including pledged securities of $4,995 and $0, respectively)
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4,995
|
|
|
—
|
|
||
Land
|
4,383
|
|
|
—
|
|
||
Buildings, furniture, fixtures and equipment, net of accumulated depreciation
|
59,492
|
|
|
—
|
|
||
Cash and cash equivalents
|
122,872
|
|
|
169,319
|
|
||
Restricted cash and cash equivalents
|
44,608
|
|
|
95,636
|
|
||
Interest receivable
|
10,006
|
|
|
11,629
|
|
||
Derivative assets, at fair value
|
6,583
|
|
|
8,151
|
|
||
Receivable for securities sold
|
158,024
|
|
|
2,565
|
|
||
Receivable under reverse repurchase agreements
|
166,542
|
|
|
281,618
|
|
||
Mortgage servicing rights, at fair value
|
50,535
|
|
|
83,647
|
|
||
Other assets
|
42,656
|
|
|
54,914
|
|
||
Total assets
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$
|
4,908,813
|
|
|
$
|
5,482,402
|
|
Liabilities:
|
|
|
|
||||
Repurchase agreements
|
$
|
3,284,942
|
|
|
$
|
3,664,715
|
|
Federal Home Loan Bank advances
|
273,700
|
|
|
442,900
|
|
||
Secured debt
|
49,221
|
|
|
—
|
|
||
Payable for securities purchased
|
76,006
|
|
|
—
|
|
||
Derivative liabilities, at fair value
|
23,414
|
|
|
58,850
|
|
||
Dividend payable
|
19,436
|
|
|
20,167
|
|
||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
|
166,327
|
|
|
266,001
|
|
||
Accounts payable and other accrued liabilities
|
19,129
|
|
|
38,657
|
|
||
Total liabilities
|
3,912,175
|
|
|
4,491,290
|
|
||
Equity:
|
|
|
|
||||
Preferred stock, $0.01 par value; 50,000 shares authorized:
|
|
|
|
||||
8.125% Series A Cumulative Redeemable Preferred Stock; 2,200 shares issued and outstanding (aggregate liquidation preference of $55,000)
|
53,039
|
|
|
53,039
|
|
||
Common stock, $0.01 par value; 300,000 shares authorized, 45,798 and 47,626 shares issued and outstanding, respectively
|
458
|
|
|
476
|
|
||
Additional paid-in capital
|
1,122,459
|
|
|
1,146,797
|
|
||
Retained deficit
|
(179,640
|
)
|
|
(209,200
|
)
|
||
Total stockholders’ equity
|
996,316
|
|
|
991,112
|
|
||
Noncontrolling interests
|
322
|
|
|
—
|
|
||
Total equity
|
996,638
|
|
|
991,112
|
|
||
Total liabilities and equity
|
$
|
4,908,813
|
|
|
$
|
5,482,402
|
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Interest income:
|
|
|
|
|
|
|
|
|
||||||||
Agency securities
|
|
$
|
19,028
|
|
|
$
|
19,988
|
|
|
$
|
54,704
|
|
|
$
|
75,455
|
|
Non-agency securities
|
|
16,410
|
|
|
19,760
|
|
|
53,130
|
|
|
54,414
|
|
||||
Other
|
|
153
|
|
|
67
|
|
|
483
|
|
|
197
|
|
||||
Interest expense
|
|
(10,082
|
)
|
|
(7,586
|
)
|
|
(29,438
|
)
|
|
(22,601
|
)
|
||||
Net interest income
|
|
25,509
|
|
|
32,229
|
|
|
78,879
|
|
|
107,465
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Servicing:
|
|
|
|
|
|
|
|
|
||||||||
Servicing income
|
|
3,904
|
|
|
11,576
|
|
|
17,719
|
|
|
34,768
|
|
||||
Servicing expense
|
|
(6,394
|
)
|
|
(15,580
|
)
|
|
(34,248
|
)
|
|
(47,149
|
)
|
||||
Net servicing loss
|
|
(2,490
|
)
|
|
(4,004
|
)
|
|
(16,529
|
)
|
|
(12,381
|
)
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Healthcare:
|
|
|
|
|
|
|
|
|
||||||||
Healthcare real estate income
|
|
2,424
|
|
|
—
|
|
|
3,338
|
|
|
—
|
|
||||
Healthcare real estate expense
|
|
(2,074
|
)
|
|
—
|
|
|
(3,177
|
)
|
|
—
|
|
||||
Net healthcare income
|
|
350
|
|
|
—
|
|
|
161
|
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Other gains (losses):
|
|
|
|
|
|
|
|
|
||||||||
Realized gain (loss) on agency securities, net
|
|
5,913
|
|
|
175
|
|
|
9,001
|
|
|
(5,552
|
)
|
||||
Realized gain on non-agency securities, net
|
|
756
|
|
|
8
|
|
|
2,765
|
|
|
6,405
|
|
||||
Realized loss on periodic settlements of interest rate swaps, net
|
|
(2,041
|
)
|
|
(3,793
|
)
|
|
(8,402
|
)
|
|
(12,537
|
)
|
||||
Realized loss on other derivatives and securities, net
|
|
(40,483
|
)
|
|
(27,724
|
)
|
|
(86,779
|
)
|
|
(43,023
|
)
|
||||
Unrealized gain (loss) on agency securities, net
|
|
(5,228
|
)
|
|
32,583
|
|
|
69,750
|
|
|
12,877
|
|
||||
Unrealized gain (loss) on non-agency securities, net
|
|
33,462
|
|
|
(13,104
|
)
|
|
37,992
|
|
|
(27,033
|
)
|
||||
Unrealized gain (loss) on other derivatives and securities, net
|
|
58,563
|
|
|
(18,654
|
)
|
|
32,993
|
|
|
(26,388
|
)
|
||||
Unrealized gain (loss) on mortgage servicing rights
|
|
62
|
|
|
(5,260
|
)
|
|
(12,753
|
)
|
|
(3,591
|
)
|
||||
Impairment of intangible asset
|
|
—
|
|
|
(10,000
|
)
|
|
—
|
|
|
(10,000
|
)
|
||||
Total other gains (losses), net
|
|
51,004
|
|
|
(45,769
|
)
|
|
44,567
|
|
|
(108,842
|
)
|
||||
Expenses:
|
|
|
|
|
|
|
|
|
||||||||
Management fees
|
|
3,525
|
|
|
4,250
|
|
|
10,999
|
|
|
13,183
|
|
||||
General and administrative expenses
|
|
1,794
|
|
|
1,845
|
|
|
7,607
|
|
|
5,923
|
|
||||
Total expenses
|
|
5,319
|
|
|
6,095
|
|
|
18,606
|
|
|
19,106
|
|
||||
Income (loss) before provision for income tax
|
|
69,054
|
|
|
(23,639
|
)
|
|
88,472
|
|
|
(32,864
|
)
|
||||
Provision for excise and income tax
|
|
(31
|
)
|
|
(373
|
)
|
|
(620
|
)
|
|
(42
|
)
|
||||
Net income (loss)
|
|
69,023
|
|
|
(24,012
|
)
|
|
87,852
|
|
|
(32,906
|
)
|
||||
Dividend on preferred stock
|
|
(1,117
|
)
|
|
(1,117
|
)
|
|
(3,351
|
)
|
|
(3,351
|
)
|
||||
Noncontrolling interest in net (income) loss
|
|
(5
|
)
|
|
—
|
|
|
1
|
|
|
—
|
|
||||
Net income (loss) available to common stockholders
|
|
$
|
67,901
|
|
|
$
|
(25,129
|
)
|
|
$
|
84,502
|
|
|
$
|
(36,257
|
)
|
|
|
|
|
|
|
|
|
|
||||||||
Net income (loss) per common share — basic
|
|
$
|
1.48
|
|
|
$
|
(0.49
|
)
|
|
$
|
1.83
|
|
|
$
|
(0.71
|
)
|
Net income (loss) per common share — diluted
|
|
$
|
1.48
|
|
|
$
|
(0.49
|
)
|
|
$
|
1.83
|
|
|
$
|
(0.71
|
)
|
|
|
|
|
|
|
|
|
|
||||||||
Weighted average number of common shares outstanding — basic
|
|
45,798
|
|
|
50,815
|
|
|
46,074
|
|
|
51,052
|
|
||||
Weighted average number of common shares outstanding — diluted
|
|
45,801
|
|
|
50,828
|
|
|
46,077
|
|
|
51,064
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Dividend declared per common share
|
|
$
|
0.40
|
|
|
$
|
0.40
|
|
|
$
|
1.20
|
|
|
$
|
1.40
|
|
|
Preferred Stock
|
|
Common Stock
|
|
Additional
Paid-in
Capital
|
|
Retained
Earnings (Deficit)
|
|
Noncontrolling Interests
|
|
Total Equity
|
||||||||||||||||||
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
|||||||||||||||||||||
Balance, December 31, 2014
|
2,200
|
|
|
$
|
53,039
|
|
|
51,165
|
|
|
$
|
512
|
|
|
$
|
1,198,560
|
|
|
$
|
(76,142
|
)
|
|
$
|
—
|
|
|
$
|
1,175,969
|
|
Net loss
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(32,906
|
)
|
|
—
|
|
|
(32,906
|
)
|
||||||
Repurchase of common stock
|
—
|
|
|
—
|
|
|
(1,182
|
)
|
|
(12
|
)
|
|
(18,062
|
)
|
|
—
|
|
|
—
|
|
|
(18,074
|
)
|
||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
27
|
|
|
—
|
|
|
1,136
|
|
|
—
|
|
|
—
|
|
|
1,136
|
|
||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3,351
|
)
|
|
—
|
|
|
(3,351
|
)
|
||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(71,182
|
)
|
|
—
|
|
|
(71,182
|
)
|
||||||
Balance, September 30, 2015
|
2,200
|
|
|
$
|
53,039
|
|
|
50,010
|
|
|
$
|
500
|
|
|
$
|
1,181,634
|
|
|
$
|
(183,581
|
)
|
|
$
|
—
|
|
|
$
|
1,051,592
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Balance, December 31, 2015
|
2,200
|
|
|
$
|
53,039
|
|
|
47,626
|
|
|
$
|
476
|
|
|
$
|
1,146,797
|
|
|
$
|
(209,200
|
)
|
|
$
|
—
|
|
|
$
|
991,112
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
87,853
|
|
|
(1
|
)
|
|
87,852
|
|
||||||
Issuance of noncontrolling interests
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
328
|
|
|
328
|
|
||||||
Distribution to noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
|
(5
|
)
|
||||||
Repurchase of common stock
|
—
|
|
|
—
|
|
|
(2,003
|
)
|
|
(20
|
)
|
|
(26,432
|
)
|
|
—
|
|
|
—
|
|
|
(26,452
|
)
|
||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
175
|
|
|
2
|
|
|
2,094
|
|
|
—
|
|
|
—
|
|
|
2,096
|
|
||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3,351
|
)
|
|
—
|
|
|
(3,351
|
)
|
||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(54,942
|
)
|
|
—
|
|
|
(54,942
|
)
|
||||||
Balance, September 30, 2016
|
2,200
|
|
|
$
|
53,039
|
|
|
45,798
|
|
|
$
|
458
|
|
|
$
|
1,122,459
|
|
|
$
|
(179,640
|
)
|
|
$
|
322
|
|
|
$
|
996,638
|
|
|
For the Nine Months Ended September 30,
|
||||||
|
2016
|
|
2015
|
||||
CASH FLOWS FROM OPERATING ACTIVITIES:
|
|
|
|
||||
Net income (loss)
|
$
|
87,852
|
|
|
$
|
(32,906
|
)
|
Adjustments to reconcile net income to net cash flows from operating activities:
|
|
|
|
||||
Amortization of net premium on agency securities
|
24,251
|
|
|
22,719
|
|
||
Accretion of net discount on non-agency securities
|
(21,311
|
)
|
|
(27,102
|
)
|
||
Depreciation
|
704
|
|
|
—
|
|
||
Realization of cash flows from MSR
|
7,569
|
|
|
7,875
|
|
||
Unrealized loss (gain) on securities, MSR and derivatives, net
|
(127,982
|
)
|
|
44,135
|
|
||
Realized loss (gain) on agency securities, net
|
(9,001
|
)
|
|
5,552
|
|
||
Realized gain on non-agency securities, net
|
(2,765
|
)
|
|
(6,405
|
)
|
||
Realized loss on other derivatives and securities, net
|
95,823
|
|
|
55,560
|
|
||
Impairment of intangible asset
|
—
|
|
|
10,000
|
|
||
Stock-based compensation
|
2,096
|
|
|
1,136
|
|
||
Decrease in interest receivable
|
1,623
|
|
|
3,663
|
|
||
Decrease in other assets
|
11,861
|
|
|
6,977
|
|
||
Increase (decrease) in operating accounts payable and other accrued liabilities
|
(5,645
|
)
|
|
3,022
|
|
||
Net cash flows from operating activities
|
65,075
|
|
|
94,226
|
|
||
CASH FLOWS FROM INVESTING ACTIVITIES:
|
|
|
|
||||
Purchases of agency securities
|
(1,096,019
|
)
|
|
(1,186,729
|
)
|
||
Purchases of non-agency securities
|
(388,289
|
)
|
|
(870,777
|
)
|
||
Purchases of MSR, net of purchase price adjustments
|
—
|
|
|
(4,177
|
)
|
||
Proceeds from sale of agency securities
|
1,003,698
|
|
|
1,772,536
|
|
||
Proceeds from sale of non-agency securities
|
571,210
|
|
|
385,480
|
|
||
Principal collections on agency securities
|
329,082
|
|
|
401,626
|
|
||
Principal collections on non-agency securities
|
154,239
|
|
|
181,543
|
|
||
Purchases of healthcare real estate investments
|
(70,419
|
)
|
|
—
|
|
||
Net proceeds (payments) on reverse repurchase agreements
|
115,076
|
|
|
(477,373
|
)
|
||
Purchases of U.S. Treasury securities
|
(1,235,607
|
)
|
|
(4,224,798
|
)
|
||
Proceeds from sale of U.S. Treasury securities
|
1,121,285
|
|
|
5,198,095
|
|
||
Payments for the termination of interest rate swaps
|
(80,696
|
)
|
|
—
|
|
||
Decrease in restricted cash and cash equivalents
|
51,028
|
|
|
5,276
|
|
||
Other investing cash flows, net
|
(6,349
|
)
|
|
(51,887
|
)
|
||
Net cash flows from investing activities
|
468,239
|
|
|
1,128,815
|
|
||
CASH FLOWS USED IN FINANCING ACTIVITIES:
|
|
|
|
||||
Dividends paid
|
(59,024
|
)
|
|
(87,786
|
)
|
||
Net payments for repurchase of common shares
|
(26,452
|
)
|
|
(18,074
|
)
|
||
Issuance of noncontrolling interest
|
328
|
|
|
—
|
|
||
Distributions to noncontrolling interest
|
(5
|
)
|
|
—
|
|
||
Proceeds from repurchase agreements and Federal Home Loan Bank advances
|
21,017,418
|
|
|
38,330,944
|
|
||
Repayments on repurchase agreements and Federal Home Loan Bank advances
|
(21,561,247
|
)
|
|
(39,480,811
|
)
|
||
Proceeds from note payable, net of financing costs
|
49,341
|
|
|
—
|
|
||
Repayments of note payable
|
(120
|
)
|
|
—
|
|
||
Net cash used in financing activities
|
(579,761
|
)
|
|
(1,255,727
|
)
|
||
Net decrease in cash and cash equivalents
|
(46,447
|
)
|
|
(32,686
|
)
|
||
Cash and cash equivalents at beginning of the period
|
169,319
|
|
|
203,431
|
|
||
Cash and cash equivalents at end of period
|
$
|
122,872
|
|
|
$
|
170,745
|
|
|
September 30, 2016
|
||||||||||
|
Fannie Mae
|
|
Freddie Mac
|
|
Total
|
||||||
Agency RMBS:
|
|
|
|
|
|
||||||
Par value
|
$
|
1,975,625
|
|
|
$
|
779,290
|
|
|
$
|
2,754,915
|
|
Unamortized premium
|
101,452
|
|
|
45,421
|
|
|
146,873
|
|
|||
Amortized cost
|
2,077,077
|
|
|
824,711
|
|
|
2,901,788
|
|
|||
Gross unrealized gains
|
39,238
|
|
|
12,760
|
|
|
51,998
|
|
|||
Gross unrealized losses
|
(562
|
)
|
|
(373
|
)
|
|
(935
|
)
|
|||
Agency RMBS, at fair value
|
$
|
2,115,753
|
|
|
$
|
837,098
|
|
|
$
|
2,952,851
|
|
|
|
|
|
|
|
||||||
Weighted average coupon as of September 30, 2016
|
3.54
|
%
|
|
3.60
|
%
|
|
3.56
|
%
|
|||
Weighted average yield as of September 30, 2016
|
2.61
|
%
|
|
2.62
|
%
|
|
2.61
|
%
|
|||
Weighted average yield for the three months ended September 30, 2016
|
2.49
|
%
|
|
2.52
|
%
|
|
2.50
|
%
|
|||
Weighted average yield for the nine months ended September 30, 2016
|
2.36
|
%
|
|
2.36
|
%
|
|
2.36
|
%
|
|
|
September 30, 2016
|
||||||||||||||
|
|
Amortized Cost
|
|
Gross Unrealized Gain
|
|
Gross Unrealized Loss
|
|
Fair Value
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
||||||||
Fixed rate
|
|
$
|
2,808,421
|
|
|
$
|
47,576
|
|
|
$
|
(935
|
)
|
|
$
|
2,855,062
|
|
Adjustable rate
|
|
93,367
|
|
|
4,422
|
|
|
—
|
|
|
97,789
|
|
||||
Total Agency RMBS
|
|
$
|
2,901,788
|
|
|
$
|
51,998
|
|
|
$
|
(935
|
)
|
|
$
|
2,952,851
|
|
|
December 31, 2015
|
||||||||||
|
Fannie Mae
|
|
Freddie Mac
|
|
Total
|
||||||
Agency RMBS:
|
|
|
|
|
|
||||||
Par value
|
$
|
2,421,576
|
|
|
$
|
651,622
|
|
|
$
|
3,073,198
|
|
Unamortized premium
|
127,871
|
|
|
34,869
|
|
|
162,740
|
|
|||
Amortized cost
|
2,549,447
|
|
|
686,491
|
|
|
3,235,938
|
|
|||
Gross unrealized gains
|
9,745
|
|
|
3,378
|
|
|
13,123
|
|
|||
Gross unrealized losses
|
(23,194
|
)
|
|
(8,615
|
)
|
|
(31,809
|
)
|
|||
Agency RMBS, at fair value
|
$
|
2,535,998
|
|
|
$
|
681,254
|
|
|
$
|
3,217,252
|
|
|
|
|
|
|
|
|
|||||
Weighted average coupon as of December 31, 2015
|
3.58
|
%
|
|
3.58
|
%
|
|
3.58
|
%
|
|||
Weighted average yield as of December 31, 2015
|
2.68
|
%
|
|
2.71
|
%
|
|
2.68
|
%
|
|||
Weighted average yield for the year ended December 31, 2015
|
2.58
|
%
|
|
2.64
|
%
|
|
2.59
|
%
|
|
|
December 31, 2015
|
||||||||||||||
|
|
Amortized Cost
|
|
Gross Unrealized Gain
|
|
Gross Unrealized Loss
|
|
Fair Value
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
||||||||
Fixed rate
|
|
$
|
3,131,136
|
|
|
$
|
10,086
|
|
|
$
|
(31,809
|
)
|
|
$
|
3,109,413
|
|
Adjustable rate
|
|
104,802
|
|
|
3,037
|
|
|
—
|
|
|
107,839
|
|
||||
Total Agency RMBS
|
|
$
|
3,235,938
|
|
|
$
|
13,123
|
|
|
$
|
(31,809
|
)
|
|
$
|
3,217,252
|
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||
|
|
|
|
|
|
Weighted Average
|
|
|
|
|
|
Weighted Average
|
||||||||||||||||
Weighted Average Life
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Yield
|
|
Coupon
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Yield
|
|
Coupon
|
||||||||||||
Less than three years
|
|
$
|
24,407
|
|
|
$
|
24,151
|
|
|
1.99
|
%
|
|
3.64
|
%
|
|
$
|
—
|
|
|
$
|
—
|
|
|
N/A
|
|
|
N/A
|
|
Greater than three years and less than or equal to five years
|
|
765,182
|
|
|
746,465
|
|
|
2.38
|
%
|
|
3.29
|
%
|
|
742,523
|
|
|
740,513
|
|
|
2.25
|
%
|
|
3.29
|
%
|
||||
Greater than five years and less than or equal to 10 years
|
|
2,163,262
|
|
|
2,131,172
|
|
|
2.70
|
%
|
|
3.66
|
%
|
|
2,466,730
|
|
|
2,487,369
|
|
|
2.81
|
%
|
|
3.67
|
%
|
||||
Greater than 10 years
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
N/A
|
|
|
7,999
|
|
|
8,056
|
|
|
3.03
|
%
|
|
3.50
|
%
|
||||
Total
|
|
$
|
2,952,851
|
|
|
$
|
2,901,788
|
|
|
2.61
|
%
|
|
3.56
|
%
|
|
$
|
3,217,252
|
|
|
$
|
3,235,938
|
|
|
2.68
|
%
|
|
3.58
|
%
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Proceeds from agency RMBS sold
|
|
$
|
418,485
|
|
|
$
|
536,661
|
|
|
$
|
1,003,698
|
|
|
$
|
1,772,536
|
|
Increase (decrease) in receivable for agency RMBS sold
|
|
158,024
|
|
|
(141,887
|
)
|
|
158,024
|
|
|
67,055
|
|
||||
Less agency RMBS sold, at cost
|
|
(570,596
|
)
|
|
(394,599
|
)
|
|
(1,152,721
|
)
|
|
(1,845,143
|
)
|
||||
Realized gain (loss) on agency securities, net
|
|
$
|
5,913
|
|
|
$
|
175
|
|
|
$
|
9,001
|
|
|
$
|
(5,552
|
)
|
|
|
|
|
|
|
|
|
|
||||||||
Gross realized gains on sale of agency RMBS
|
|
$
|
5,919
|
|
|
$
|
2,226
|
|
|
$
|
9,291
|
|
|
$
|
6,190
|
|
Gross realized losses on sale of agency RMBS
|
|
(6
|
)
|
|
(2,051
|
)
|
|
(290
|
)
|
|
(11,742
|
)
|
||||
Realized gain (loss) on agency securities, net
|
|
$
|
5,913
|
|
|
$
|
175
|
|
|
$
|
9,001
|
|
|
$
|
(5,552
|
)
|
|
|
September 30, 2016
|
||||||||||
Agency RMBS Pledged:
|
|
Fannie Mae
|
|
Freddie Mac
|
|
Total
|
||||||
Under Repurchase Agreements
|
|
|
|
|
|
|
||||||
Fair value
|
|
$
|
1,783,007
|
|
|
$
|
685,506
|
|
|
$
|
2,468,513
|
|
Accrued interest on pledged agency RMBS
|
|
4,933
|
|
|
1,913
|
|
|
6,846
|
|
|||
Under Derivative Agreements
|
|
|
|
|
|
|
||||||
Fair value
|
|
6,855
|
|
|
2,919
|
|
|
9,774
|
|
|||
Accrued interest on pledged agency RMBS
|
|
19
|
|
|
8
|
|
|
27
|
|
|||
Under FHLB Advances
|
|
|
|
|
|
|
||||||
Fair value
|
|
206,164
|
|
|
75,926
|
|
|
282,090
|
|
|||
Accrued interest on pledged agency RMBS
|
|
570
|
|
|
211
|
|
|
781
|
|
|||
Total Fair Value of Agency RMBS Pledged and Accrued Interest
|
|
$
|
2,001,548
|
|
|
$
|
766,483
|
|
|
$
|
2,768,031
|
|
|
|
December 31, 2015
|
||||||||||
Agency RMBS Pledged:
|
|
Fannie Mae
|
|
Freddie Mac
|
|
Total
|
||||||
Under Repurchase Agreements
|
|
|
|
|
|
|
||||||
Fair value
|
|
$
|
2,261,124
|
|
|
$
|
639,460
|
|
|
$
|
2,900,584
|
|
Accrued interest on pledged agency RMBS
|
|
6,428
|
|
|
1,826
|
|
|
8,254
|
|
|||
Under Derivative Agreements
|
|
|
|
|
|
|
||||||
Fair value
|
|
1,708
|
|
|
1,866
|
|
|
3,574
|
|
|||
Accrued interest on pledged agency RMBS
|
|
5
|
|
|
5
|
|
|
10
|
|
|||
Under FHLB Advances
|
|
|
|
|
|
|
||||||
Fair value
|
|
249,590
|
|
|
20,927
|
|
|
270,517
|
|
|||
Accrued interest on pledged agency RMBS
|
|
741
|
|
|
62
|
|
|
803
|
|
|||
Total Fair Value of Agency RMBS Pledged and Accrued Interest
|
|
$
|
2,519,596
|
|
|
$
|
664,146
|
|
|
$
|
3,183,742
|
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
Remaining Maturity
|
|
Fair Value
|
|
Amortized
Cost
|
|
Accrued Interest
|
|
Fair Value
|
|
Amortized
Cost
|
|
Accrued Interest
|
||||||||||||
30 days or less
|
|
$
|
1,372,853
|
|
|
$
|
1,348,706
|
|
|
$
|
3,747
|
|
|
$
|
1,637,388
|
|
|
$
|
1,647,007
|
|
|
$
|
4,718
|
|
31 - 59 days
|
|
258,440
|
|
|
254,563
|
|
|
697
|
|
|
340,855
|
|
|
340,852
|
|
|
940
|
|
||||||
60 - 90 days
|
|
281,326
|
|
|
270,191
|
|
|
735
|
|
|
329,397
|
|
|
330,832
|
|
|
932
|
|
||||||
Greater than 90 days
|
|
995,816
|
|
|
983,866
|
|
|
2,720
|
|
|
863,461
|
|
|
870,764
|
|
|
2,467
|
|
||||||
Total
|
|
$
|
2,908,435
|
|
|
$
|
2,857,326
|
|
|
$
|
7,899
|
|
|
$
|
3,171,101
|
|
|
$
|
3,189,455
|
|
|
$
|
9,057
|
|
September 30, 2016
|
||||||||||||||||||||||||||||||
|
|
Fair
Value
|
|
Gross Unrealized
|
|
Amortized Cost
|
|
Premium (Discount)
|
|
Par/ Current Face
|
|
Weighted Average
|
||||||||||||||||||
Category
|
|
|
Gains
|
|
Losses
|
|
|
|
|
Coupon
(1)
|
|
Yield
|
||||||||||||||||||
Prime
|
|
$
|
206,263
|
|
|
$
|
7,592
|
|
|
$
|
(3,316
|
)
|
|
$
|
201,987
|
|
|
$
|
(19,794
|
)
|
|
$
|
221,781
|
|
|
3.08
|
%
|
|
5.13
|
%
|
CRT
|
|
328,072
|
|
|
16,102
|
|
|
(934
|
)
|
|
312,904
|
|
|
1,819
|
|
|
311,085
|
|
|
4.92
|
%
|
|
5.35
|
%
|
||||||
Alt-A
|
|
379,524
|
|
|
32,828
|
|
|
(4,635
|
)
|
|
351,331
|
|
|
(136,550
|
)
|
|
487,881
|
|
|
1.93
|
%
|
|
6.82
|
%
|
||||||
Option-ARM
|
|
194,897
|
|
|
8,252
|
|
|
(4,451
|
)
|
|
191,096
|
|
|
(43,044
|
)
|
|
234,140
|
|
|
0.78
|
%
|
|
4.82
|
%
|
||||||
Subprime
|
|
176,510
|
|
|
1,522
|
|
|
(410
|
)
|
|
175,398
|
|
|
(747
|
)
|
|
176,145
|
|
|
3.95
|
%
|
|
4.13
|
%
|
||||||
Total
|
|
$
|
1,285,266
|
|
|
$
|
66,296
|
|
|
$
|
(13,746
|
)
|
|
$
|
1,232,716
|
|
|
$
|
(198,316
|
)
|
|
$
|
1,431,032
|
|
|
2.82
|
%
|
|
5.48
|
%
|
(1)
|
Coupon rates are floating, except for
$28.8 million
,
$17.5 million
and
$115.8 million
fair value of fixed-rate prime, Alt-A and subprime non-agency securities, respectively, as of
September 30, 2016
.
|
December 31, 2015
|
||||||||||||||||||||||||||||||
|
|
Fair
Value
|
|
Gross Unrealized
|
|
Amortized Cost
|
|
Premium (Discount)
|
|
Par/ Current Face
|
|
Weighted Average
|
||||||||||||||||||
Category
|
|
|
Gains
|
|
Losses
|
|
|
|
|
Coupon
(1)
|
|
Yield
|
||||||||||||||||||
Prime
|
|
$
|
411,780
|
|
|
$
|
6,797
|
|
|
$
|
(3,681
|
)
|
|
$
|
408,664
|
|
|
$
|
(22,387
|
)
|
|
$
|
431,051
|
|
|
3.24
|
%
|
|
4.49
|
%
|
CRT
|
|
361,028
|
|
|
605
|
|
|
(11,910
|
)
|
|
372,333
|
|
|
3,999
|
|
|
368,334
|
|
|
4.65
|
%
|
|
5.93
|
%
|
||||||
Alt-A
|
|
430,679
|
|
|
28,560
|
|
|
(8,001
|
)
|
|
410,120
|
|
|
(150,257
|
)
|
|
560,377
|
|
|
1.76
|
%
|
|
6.65
|
%
|
||||||
Option-ARM
|
|
150,014
|
|
|
6,802
|
|
|
(5,742
|
)
|
|
148,954
|
|
|
(34,454
|
)
|
|
183,408
|
|
|
0.68
|
%
|
|
5.43
|
%
|
||||||
Subprime
|
|
204,170
|
|
|
2,355
|
|
|
(1,227
|
)
|
|
203,042
|
|
|
(13,270
|
)
|
|
216,312
|
|
|
3.57
|
%
|
|
4.56
|
%
|
||||||
Total
|
|
$
|
1,557,671
|
|
|
$
|
45,119
|
|
|
$
|
(30,561
|
)
|
|
$
|
1,543,113
|
|
|
$
|
(216,369
|
)
|
|
$
|
1,759,482
|
|
|
2.84
|
%
|
|
5.51
|
%
|
(1)
|
Coupon rates are floating, except for
$226.9 million
,
$25.9 million
and
$171.4 million
fair value of fixed-rate prime, Alt-A and subprime non-agency securities, respectively, as of
December 31, 2015
.
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||
|
|
|
|
|
|
Weighted Average
|
|
|
|
|
|
Weighted Average
|
||||||||||||||||
Weighted Average Life
|
|
Fair Value
|
|
Amortized
Cost
|
|
Coupon
|
|
Yield
|
|
Fair Value
|
|
Amortized
Cost
|
|
Coupon
|
|
Yield
|
||||||||||||
≤ 5 years
|
|
$
|
537,531
|
|
|
$
|
520,994
|
|
|
3.44
|
%
|
|
5.19
|
%
|
|
$
|
369,907
|
|
|
$
|
363,087
|
|
|
3.15
|
%
|
|
5.22
|
%
|
> 5 to ≤ 7 years
|
|
592,341
|
|
|
558,607
|
|
|
2.41
|
%
|
|
5.98
|
%
|
|
635,840
|
|
|
620,734
|
|
|
2.12
|
%
|
|
5.68
|
%
|
||||
> 7 years
|
|
155,394
|
|
|
153,115
|
|
|
2.41
|
%
|
|
4.66
|
%
|
|
551,924
|
|
|
559,292
|
|
|
3.53
|
%
|
|
5.51
|
%
|
||||
Total
|
|
$
|
1,285,266
|
|
|
$
|
1,232,716
|
|
|
2.82
|
%
|
|
5.48
|
%
|
|
$
|
1,557,671
|
|
|
$
|
1,543,113
|
|
|
2.84
|
%
|
|
5.51
|
%
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Proceeds from non-agency securities sold
|
|
$
|
23,680
|
|
|
$
|
166,502
|
|
|
$
|
571,210
|
|
|
$
|
385,480
|
|
Decrease in receivable for non-agency securities sold
|
|
—
|
|
|
—
|
|
|
(2,565
|
)
|
|
—
|
|
||||
Less: non-agency securities sold, at cost
|
|
(22,924
|
)
|
|
(166,494
|
)
|
|
(565,880
|
)
|
|
(379,075
|
)
|
||||
Realized gain on non-agency securities, net
|
|
$
|
756
|
|
|
$
|
8
|
|
|
$
|
2,765
|
|
|
$
|
6,405
|
|
|
|
|
|
|
|
|
|
|
||||||||
Gross realized gain on sale of non-agency securities
|
|
$
|
756
|
|
|
$
|
1,769
|
|
|
$
|
8,521
|
|
|
$
|
8,662
|
|
Gross realized loss on sale of non-agency securities
|
|
—
|
|
|
(1,761
|
)
|
|
(5,756
|
)
|
|
(2,257
|
)
|
||||
Realized gain on non-agency securities, net
|
|
$
|
756
|
|
|
$
|
8
|
|
|
$
|
2,765
|
|
|
$
|
6,405
|
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
Remaining Maturity
|
|
Fair Value
|
|
Amortized
Cost |
|
Accrued Interest
|
|
Fair Value
|
|
Amortized
Cost |
|
Accrued Interest
|
||||||||||||
30 days or less
|
|
$
|
1,039,857
|
|
|
$
|
997,859
|
|
|
$
|
1,386
|
|
|
$
|
1,067,283
|
|
|
$
|
1,056,492
|
|
|
$
|
1,669
|
|
31 - 59 days
|
|
102,839
|
|
|
97,525
|
|
|
70
|
|
|
200,120
|
|
|
196,500
|
|
|
217
|
|
||||||
60 - 90 days
|
|
6,613
|
|
|
6,575
|
|
|
16
|
|
|
168,528
|
|
|
166,695
|
|
|
361
|
|
||||||
Greater than 90 days
|
|
20,729
|
|
|
19,821
|
|
|
34
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Total
|
|
$
|
1,170,038
|
|
|
$
|
1,121,780
|
|
|
$
|
1,506
|
|
|
$
|
1,435,931
|
|
|
$
|
1,419,687
|
|
|
$
|
2,247
|
|
|
|
September 30, 2016
|
||
Buildings and improvements
|
|
$
|
55,795
|
|
Land
|
|
4,383
|
|
|
Furniture, fixtures and equipment
|
|
3,697
|
|
|
Goodwill
|
|
5,840
|
|
|
Total real estate assets
|
|
$
|
69,715
|
|
|
|
For the Nine Months Ended September 30, 2016
|
||
Beginning balance
|
|
$
|
—
|
|
Debt issued
|
|
50,250
|
|
|
Deferred financing costs, net of amortization
|
|
(909
|
)
|
|
Principal repayments
|
|
(120
|
)
|
|
Ending balance
|
|
$
|
49,221
|
|
|
|
For the Three Months Ended September 30, 2016
|
|
For the Nine Months Ended September 30, 2016
|
||||
Lease income
|
|
$
|
1,326
|
|
|
$
|
1,992
|
|
Rental income
|
|
1,098
|
|
|
1,346
|
|
||
Healthcare real estate income
|
|
2,424
|
|
|
3,338
|
|
||
|
|
|
|
|
||||
Interest expense
|
|
708
|
|
|
1,002
|
|
||
Depreciation
|
|
493
|
|
|
704
|
|
||
Acquisition costs
|
|
223
|
|
|
761
|
|
||
Tenant expenses
|
|
650
|
|
|
710
|
|
||
Healthcare real estate expense
|
|
2,074
|
|
|
3,177
|
|
||
Net healthcare income
|
|
$
|
350
|
|
|
$
|
161
|
|
|
|
September 30, 2016
|
||
2016
|
|
$
|
1,125
|
|
2017
|
|
4,601
|
|
|
2018
|
|
4,705
|
|
|
2019
|
|
4,811
|
|
|
2020
|
|
4,919
|
|
|
Thereafter
|
|
55,705
|
|
|
Total
|
|
$
|
75,866
|
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||
|
|
|
|
Weighted Average
|
|
|
|
Weighted Average
|
||||||||||
Collateral Type
|
|
Borrowings
Outstanding |
|
Interest Rate
|
|
Days
to Maturity |
|
Borrowings
Outstanding |
|
Interest Rate
|
|
Days
to Maturity |
||||||
Agency securities
|
|
$
|
2,409,536
|
|
|
0.82
|
%
|
|
186
|
|
$
|
2,728,065
|
|
|
0.60
|
%
|
|
243
|
Non-agency securities
|
|
870,430
|
|
|
2.06
|
%
|
|
21
|
|
936,650
|
|
|
1.86
|
%
|
|
27
|
||
U.S. Treasury securities
|
|
4,976
|
|
|
0.85
|
%
|
|
3
|
|
—
|
|
|
N/A
|
|
|
N/A
|
||
Total repurchase agreements
|
|
$
|
3,284,942
|
|
|
1.15
|
%
|
|
142
|
|
$
|
3,664,715
|
|
|
0.92
|
%
|
|
188
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||
|
|
|
|
Weighted Average
|
|
|
|
Weighted Average
|
||||||||||
|
|
Borrowings
Outstanding
|
|
Interest Rate
|
|
Days
to Maturity |
|
Borrowings
Outstanding
|
|
Interest Rate
|
|
Days
to Maturity |
||||||
Agency and non-agency
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
≤ 1 month
|
|
$
|
2,101,008
|
|
|
1.20
|
%
|
|
14
|
|
$
|
2,045,776
|
|
|
0.97
|
%
|
|
15
|
> 1 to ≤ 2 months
|
|
324,091
|
|
|
1.06
|
%
|
|
42
|
|
504,348
|
|
|
1.01
|
%
|
|
42
|
||
> 2 to ≤ 3 months
|
|
281,849
|
|
|
0.92
|
%
|
|
82
|
|
363,365
|
|
|
0.90
|
%
|
|
78
|
||
> 3 to ≤ 6 months
|
|
58,018
|
|
|
1.19
|
%
|
|
103
|
|
—
|
|
|
N/A
|
|
|
N/A
|
||
> 6 to ≤ 9 months
|
|
—
|
|
|
N/A
|
|
|
N/A
|
|
100,000
|
|
|
0.78
|
%
|
|
259
|
||
> 9 to ≤ 12 months
|
|
—
|
|
|
N/A
|
|
|
N/A
|
|
136,226
|
|
|
0.77
|
%
|
|
334
|
||
> 12 months
|
|
515,000
|
|
|
1.12
|
%
|
|
766
|
|
515,000
|
|
|
0.72
|
%
|
|
1040
|
||
Total
|
|
3,279,966
|
|
|
1.15
|
%
|
|
142
|
|
3,664,715
|
|
|
0.92
|
%
|
|
188
|
||
U.S. Treasury
|
|
4,976
|
|
|
0.85
|
%
|
|
3
|
|
—
|
|
|
N/A
|
|
|
N/A
|
||
Total repurchase agreements
|
|
$
|
3,284,942
|
|
|
1.15
|
%
|
|
142
|
|
$
|
3,664,715
|
|
|
0.92
|
%
|
|
188
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
Interest rate swaps
|
|
$
|
1,153
|
|
|
$
|
3,152
|
|
Interest rate swaptions
|
|
509
|
|
|
1,961
|
|
||
TBA securities
|
|
4,648
|
|
|
1,958
|
|
||
Interest only swaps
|
|
273
|
|
|
—
|
|
||
U.S. Treasury futures
|
|
—
|
|
|
1,080
|
|
||
Derivative assets, at fair value
|
|
$
|
6,583
|
|
|
$
|
8,151
|
|
|
|
|
|
|
||||
Interest rate swaps
|
|
$
|
19,210
|
|
|
$
|
55,651
|
|
TBA securities
|
|
192
|
|
|
1,151
|
|
||
Credit default swaps
|
|
3,743
|
|
|
1,972
|
|
||
Interest only swaps
|
|
—
|
|
|
76
|
|
||
U.S. Treasury futures
|
|
269
|
|
|
—
|
|
||
Derivative liabilities, at fair value
|
|
$
|
23,414
|
|
|
$
|
58,850
|
|
|
|
For the Three Months Ended September 30,
|
||||||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||||||
|
|
Realized Loss on Periodic Settlements of Interest Rate Swaps, net
|
Realized Loss on Other Derivatives and Securities, net
|
Unrealized Gain (Loss) on Other Derivatives and Securities, net
|
|
Realized Loss on Periodic Settlements of Interest Rate Swaps, net
|
Realized Loss on Other Derivatives and Securities, net
|
Unrealized Gain (Loss) on Other Derivatives and Securities, net
|
||||||||||||
Interest rate swaps
|
|
$
|
(2,041
|
)
|
$
|
(42,346
|
)
|
$
|
55,127
|
|
|
$
|
(3,793
|
)
|
$
|
(23,540
|
)
|
$
|
(20,279
|
)
|
Interest rate swaptions
|
|
—
|
|
—
|
|
(79
|
)
|
|
—
|
|
(1,273
|
)
|
(1,085
|
)
|
||||||
TBA securities
|
|
—
|
|
8,694
|
|
(3,362
|
)
|
|
—
|
|
(251
|
)
|
15,242
|
|
||||||
U.S. Treasury securities
|
|
—
|
|
149
|
|
(424
|
)
|
|
—
|
|
1,899
|
|
72
|
|
||||||
U.S. Treasury futures
|
|
—
|
|
(6,058
|
)
|
8,354
|
|
|
—
|
|
(2,156
|
)
|
(2,519
|
)
|
||||||
Short sales of U.S. Treasuries
|
|
—
|
|
(811
|
)
|
(53
|
)
|
|
—
|
|
(3,389
|
)
|
(11,729
|
)
|
||||||
Interest only swaps
|
|
—
|
|
276
|
|
(200
|
)
|
|
—
|
|
513
|
|
439
|
|
||||||
Credit default swaps
|
|
—
|
|
(484
|
)
|
(800
|
)
|
|
—
|
|
459
|
|
1,545
|
|
||||||
Credit default option
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
14
|
|
(340
|
)
|
||||||
FHLB stock
|
|
—
|
|
97
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
||||||
Total
|
|
$
|
(2,041
|
)
|
$
|
(40,483
|
)
|
$
|
58,563
|
|
|
$
|
(3,793
|
)
|
$
|
(27,724
|
)
|
$
|
(18,654
|
)
|
|
|
For the Nine Months Ended September 30,
|
||||||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||||||
|
|
Realized Loss on Periodic Settlements of Interest Rate Swaps, net
|
Realized Loss on Other Derivatives and Securities, net
|
Unrealized Gain (Loss) on Other Derivatives and Securities, net
|
|
Realized Loss on Periodic Settlements of Interest Rate Swaps, net
|
Realized Loss on Other Derivatives and Securities, net
|
Unrealized Gain (Loss) on Other Derivatives and Securities, net
|
||||||||||||
Interest rate swaps
|
|
$
|
(8,402
|
)
|
$
|
(80,696
|
)
|
$
|
34,486
|
|
|
$
|
(12,537
|
)
|
$
|
(53,114
|
)
|
$
|
(13,103
|
)
|
Interest rate swaptions
|
|
—
|
|
(1,307
|
)
|
(145
|
)
|
|
—
|
|
(1,793
|
)
|
(1,419
|
)
|
||||||
TBA securities
|
|
—
|
|
16,943
|
|
3,649
|
|
|
—
|
|
13,249
|
|
(1,231
|
)
|
||||||
U.S. Treasury securities
|
|
—
|
|
4,601
|
|
11
|
|
|
—
|
|
10,993
|
|
(666
|
)
|
||||||
U.S. Treasury futures
|
|
—
|
|
(15,781
|
)
|
(1,350
|
)
|
|
—
|
|
(4,934
|
)
|
(773
|
)
|
||||||
Short sales of U.S. Treasuries
|
|
—
|
|
(13,284
|
)
|
(1,782
|
)
|
|
—
|
|
(8,473
|
)
|
(10,795
|
)
|
||||||
Agency mortgage REIT equity investments
|
|
—
|
|
1,640
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
||||||
Mortgage options
|
|
—
|
|
(10
|
)
|
—
|
|
|
—
|
|
22
|
|
—
|
|
||||||
Interest only swaps
|
|
—
|
|
1,696
|
|
343
|
|
|
—
|
|
229
|
|
128
|
|
||||||
Credit default swaps
|
|
—
|
|
(979
|
)
|
(2,219
|
)
|
|
—
|
|
784
|
|
1,471
|
|
||||||
Credit default option
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
14
|
|
—
|
|
||||||
FHLB stock
|
|
—
|
|
398
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
||||||
Total
|
|
$
|
(8,402
|
)
|
$
|
(86,779
|
)
|
$
|
32,993
|
|
|
$
|
(12,537
|
)
|
$
|
(43,023
|
)
|
$
|
(26,388
|
)
|
|
December 31, 2015
Notional Amount |
|
Additions/ Long Positions
|
|
Expirations/
Terminations/ Short Positions
|
|
September 30, 2016
Notional Amount |
||||||
Interest rate swaps
|
$
|
2,290,000
|
|
|
960,000
|
|
|
(1,150,000
|
)
|
|
$
|
2,100,000
|
|
Interest rate swaptions
|
$
|
250,000
|
|
|
—
|
|
|
(100,000
|
)
|
|
$
|
150,000
|
|
TBA securities
|
$
|
59,878
|
|
|
13,519,642
|
|
|
(12,416,268
|
)
|
|
$
|
1,163,252
|
|
U.S. Treasuries
|
$
|
—
|
|
|
295,000
|
|
|
(290,000
|
)
|
|
$
|
5,000
|
|
U.S. Treasury futures
|
$
|
(350,000
|
)
|
|
1,000,000
|
|
|
(950,000
|
)
|
|
$
|
(300,000
|
)
|
Short sales of U.S. Treasuries
|
$
|
(269,000
|
)
|
|
929,000
|
|
|
(826,000
|
)
|
|
$
|
(166,000
|
)
|
Mortgage options
|
$
|
—
|
|
|
50,000
|
|
|
(50,000
|
)
|
|
$
|
—
|
|
Interest only swaps
|
$
|
40,128
|
|
|
—
|
|
|
(5,710
|
)
|
|
$
|
34,418
|
|
Credit default swaps
|
$
|
49,500
|
|
|
—
|
|
|
(500
|
)
|
|
$
|
49,000
|
|
|
December 31, 2014
Notional Amount |
|
Additions/ Long Positions
|
|
Expirations/
Terminations/ Short Positions
|
|
September 30, 2015
Notional Amount |
||||||
Interest rate swaps
|
$
|
4,015,000
|
|
|
275,000
|
|
|
(2,000,000
|
)
|
|
$
|
2,290,000
|
|
Interest rate swaptions
|
$
|
550,000
|
|
|
—
|
|
|
(150,000
|
)
|
|
$
|
400,000
|
|
TBA securities
|
$
|
296,172
|
|
|
24,366,983
|
|
|
(24,132,682
|
)
|
|
$
|
530,473
|
|
U.S. Treasuries
|
$
|
756,500
|
|
|
3,150,750
|
|
|
(3,759,750
|
)
|
|
$
|
147,500
|
|
U.S. Treasury futures
|
$
|
(150,000
|
)
|
|
450,000
|
|
|
(450,000
|
)
|
|
$
|
(150,000
|
)
|
Short sales of U.S. Treasuries
|
$
|
(228,500
|
)
|
|
1,143,200
|
|
|
(1,514,700
|
)
|
|
$
|
(600,000
|
)
|
Mortgage options
|
$
|
—
|
|
|
50,000
|
|
|
(50,000
|
)
|
|
$
|
—
|
|
Interest only swaps
|
$
|
48,739
|
|
|
—
|
|
|
(6,988
|
)
|
|
$
|
41,751
|
|
Credit default swaps
|
$
|
—
|
|
|
99,500
|
|
|
(50,000
|
)
|
|
$
|
49,500
|
|
Credit default options
|
$
|
—
|
|
|
50,000
|
|
|
(50,000
|
)
|
|
$
|
—
|
|
|
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||
Interest Rate Swaps
|
|
Balance Sheet Location
|
|
Notional Amount
|
|
Fair Value
|
|
Notional Amount
|
|
Fair Value
|
||||||||
Interest rate swap assets
|
|
Derivative assets, at fair value
|
|
$
|
300,000
|
|
|
$
|
1,153
|
|
|
$
|
725,000
|
|
|
$
|
3,152
|
|
Interest rate swap liabilities
|
|
Derivative liabilities, at fair value
|
|
1,800,000
|
|
|
(19,210
|
)
|
|
1,565,000
|
|
|
(55,651
|
)
|
||||
|
|
|
|
$
|
2,100,000
|
|
|
$
|
(18,057
|
)
|
|
$
|
2,290,000
|
|
|
$
|
(52,499
|
)
|
September 30, 2016
|
||||||||||||||||
|
|
Notional
Amount |
|
Fair Value
|
|
Weighted Average
|
||||||||||
Current Maturity Date for Interest Rate Swaps
(1)
|
|
|
|
Fixed
Pay Rate (2) |
|
Receive
Rate
(3)
|
|
Maturity
(Years)
|
||||||||
≤ 3 years
|
|
$
|
1,565,000
|
|
|
$
|
(4,681
|
)
|
|
1.07
|
%
|
|
0.81
|
%
|
|
1.9
|
> 3 to ≤ 5 years
|
|
75,000
|
|
|
(790
|
)
|
|
1.31
|
%
|
|
0.76
|
%
|
|
4.6
|
||
> 5 to ≤ 7 years
|
|
460,000
|
|
|
(12,586
|
)
|
|
1.74
|
%
|
|
0.72
|
%
|
|
5.9
|
||
Total
|
|
$
|
2,100,000
|
|
|
$
|
(18,057
|
)
|
|
1.22
|
%
|
|
0.79
|
%
|
|
2.9
|
December 31, 2015
|
||||||||||||||||
|
|
Notional
Amount |
|
Fair Value
|
|
Weighted Average
|
||||||||||
Current Maturity Date for Interest Rate Swaps
(4)
|
|
|
|
Fixed
Pay Rate (2) |
|
Receive
Rate (3) |
|
Maturity
(Years) |
||||||||
≤ 3 years
|
|
$
|
865,000
|
|
|
$
|
(268
|
)
|
|
1.09
|
%
|
|
0.41
|
%
|
|
1.8
|
> 3 to ≤ 5 years
|
|
550,000
|
|
|
(5,054
|
)
|
|
1.72
|
%
|
|
0.42
|
%
|
|
3.4
|
||
> 5 to ≤ 7 years
|
|
625,000
|
|
|
(35,866
|
)
|
|
3.16
|
%
|
|
0.46
|
%
|
|
5.9
|
||
> 7 years
|
|
250,000
|
|
|
(11,311
|
)
|
|
2.71
|
%
|
|
0.60
|
%
|
|
7.9
|
||
Total
|
|
$
|
2,290,000
|
|
|
$
|
(52,499
|
)
|
|
1.98
|
%
|
|
0.43
|
%
|
|
4.0
|
(1)
|
Includes swaps with an aggregate notional of
$0.2 billion
with deferred start dates averaging
0.5 years
from
September 30, 2016
.
|
(2)
|
Excluding forward starting swaps, the weighted average pay rate was
1.15%
and
1.36%
as of
September 30, 2016 and December 31, 2015
, respectively.
|
(3)
|
Weighted average receive rate excludes impact of forward starting interest rate swaps.
|
(4)
|
Includes swaps with an aggregate notional of
$0.7 billion
with deferred start dates averaging
0.6 years
from
December 31, 2015
.
|
September 30, 2016
|
|||||||||||||||||||
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||
Current Option Expiration Date
|
|
Cost
|
|
Fair Value
|
|
Weighted Average Years to Expiration
|
|
Notional Amount
|
|
Pay Rate
|
|
Weighted Average Term (Years)
|
|||||||
|
|
|
|
|
|
||||||||||||||
> 3 to ≤ 12 months
|
|
$
|
3,493
|
|
|
$
|
476
|
|
|
0.4
|
|
$
|
50,000
|
|
|
3.00
|
%
|
|
7.0
|
>12 to ≤ 24 months
|
|
2,735
|
|
|
33
|
|
|
1.1
|
|
100,000
|
|
|
3.21
|
%
|
|
5.0
|
|||
Total / weighted average
|
|
$
|
6,228
|
|
|
$
|
509
|
|
|
0.9
|
|
$
|
150,000
|
|
|
3.14
|
%
|
|
5.7
|
December 31, 2015
|
|||||||||||||||||||
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||
Current Option Expiration Date
|
|
Cost
|
|
Fair Value
|
|
Weighted Average Years to Expiration
|
|
Notional Amount
|
|
Pay Rate
|
|
Weighted Average Term (Years)
|
|||||||
|
|
|
|
|
|
||||||||||||||
≤ 3 months
|
|
$
|
3,493
|
|
|
$
|
1,307
|
|
|
0.2
|
|
$
|
50,000
|
|
|
3.00
|
%
|
|
8.0
|
> 3 to ≤ 12 months
|
|
1,308
|
|
|
—
|
|
|
0.3
|
|
100,000
|
|
|
4.13
|
%
|
|
7.0
|
|||
>12 to ≤ 24 months
|
|
2,735
|
|
|
654
|
|
|
1.9
|
|
100,000
|
|
|
3.21
|
%
|
|
5.0
|
|||
Total / weighted average
|
|
$
|
7,536
|
|
|
$
|
1,961
|
|
|
0.9
|
|
$
|
250,000
|
|
|
3.54
|
%
|
|
6.4
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||
Purchase and Sale Contracts for TBA Securities
|
|
Notional
Amount
(1)
|
|
Fair
Value
(2)
|
|
Notional
Amount
(1)
|
|
Fair
Value
(2)
|
||||||||
TBA assets
|
|
|
|
|
|
|
|
|
||||||||
Purchase of TBA securities
(3)
|
|
$
|
845,551
|
|
|
$
|
3,587
|
|
|
$
|
267,300
|
|
|
$
|
1,321
|
|
Sale of TBA securities
|
|
(57,023
|
)
|
|
1,061
|
|
|
(305,586
|
)
|
|
637
|
|
||||
Total TBA assets
|
|
788,528
|
|
|
4,648
|
|
|
(38,286
|
)
|
|
1,958
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
TBA liabilities
|
|
|
|
|
|
|
|
|
||||||||
Purchase of TBA securities
|
|
469,852
|
|
|
(98
|
)
|
|
220,157
|
|
|
(581
|
)
|
||||
Sale of TBA securities
|
|
(95,128
|
)
|
|
(94
|
)
|
|
(121,993
|
)
|
|
(570
|
)
|
||||
Total TBA liabilities
|
|
374,724
|
|
|
(192
|
)
|
|
98,164
|
|
|
(1,151
|
)
|
||||
Total net TBA
|
|
$
|
1,163,252
|
|
|
$
|
4,456
|
|
|
$
|
59,878
|
|
|
$
|
807
|
|
(1)
|
Notional amount represents the par value or principal balance of the underlying agency security.
|
(2)
|
Fair value represents the current market value of the agency RMBS underlying the TBA contract as of period end, less the forward price to be paid for the underlying agency RMBS.
|
(3)
|
Includes
$0.2 billion
of forward purchases of agency MBS specified pools as of
September 30, 2016
|
|
|
Gross Amounts of Recognized Assets
|
|
Gross Amounts Offset in the Consolidated Balance Sheets
|
|
Net Amounts Presented
in the Consolidated Balance Sheets
|
|
Gross Amounts Not Offset in the Consolidated Balance Sheets
|
|
|
||||||||||||||
|
|
|
|
|
Financial Instruments
|
|
Collateral Received
(1)
|
|
Net Amount
|
|||||||||||||||
September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps and swaptions
(2)(3)
|
|
$
|
1,662
|
|
|
$
|
—
|
|
|
$
|
1,662
|
|
|
$
|
(1,630
|
)
|
|
$
|
(32
|
)
|
|
$
|
—
|
|
Receivable under reverse repurchase agreements
|
|
166,542
|
|
|
—
|
|
|
166,542
|
|
|
(156,465
|
)
|
|
(10,077
|
)
|
|
—
|
|
||||||
Total
|
|
$
|
168,204
|
|
|
$
|
—
|
|
|
$
|
168,204
|
|
|
$
|
(158,095
|
)
|
|
$
|
(10,109
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps and swaptions
(2)
|
|
$
|
5,113
|
|
|
$
|
—
|
|
|
$
|
5,113
|
|
|
$
|
(2,789
|
)
|
|
$
|
(959
|
)
|
|
$
|
1,365
|
|
Receivable under reverse repurchase agreements
|
|
281,618
|
|
|
—
|
|
|
281,618
|
|
|
(258,597
|
)
|
|
(23,021
|
)
|
|
—
|
|
||||||
Total
|
|
$
|
286,731
|
|
|
$
|
—
|
|
|
$
|
286,731
|
|
|
$
|
(261,386
|
)
|
|
$
|
(23,980
|
)
|
|
$
|
1,365
|
|
|
|
Gross Amounts of Recognized Liabilities
|
|
Gross Amounts Offset in the Consolidated Balance Sheets
|
|
Net Amounts Presented
in the Consolidated Balance Sheets
|
|
Gross Amounts Not Offset in the Consolidated Balance Sheets
|
|
|
||||||||||||||
|
|
|
|
|
Financial Instruments
|
|
Collateral Pledged
(1)
|
|
Net Amount
|
|||||||||||||||
September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
(2)(3)
|
|
$
|
19,210
|
|
|
$
|
—
|
|
|
$
|
19,210
|
|
|
$
|
(1,630
|
)
|
|
$
|
(17,580
|
)
|
|
$
|
—
|
|
Repurchase agreements
|
|
3,284,942
|
|
|
—
|
|
|
3,284,942
|
|
|
(156,465
|
)
|
|
(3,128,477
|
)
|
|
—
|
|
||||||
FHLB advances
|
|
273,700
|
|
|
—
|
|
|
273,700
|
|
|
—
|
|
|
(273,700
|
)
|
|
—
|
|
||||||
Total
|
|
$
|
3,577,852
|
|
|
$
|
—
|
|
|
$
|
3,577,852
|
|
|
$
|
(158,095
|
)
|
|
$
|
(3,419,757
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
(2)
|
|
$
|
55,651
|
|
|
$
|
—
|
|
|
$
|
55,651
|
|
|
$
|
(2,789
|
)
|
|
$
|
(52,862
|
)
|
|
$
|
—
|
|
Repurchase agreements
|
|
3,664,715
|
|
|
—
|
|
|
3,664,715
|
|
|
(258,597
|
)
|
|
(3,406,118
|
)
|
|
—
|
|
||||||
FHLB advances
|
|
442,900
|
|
|
—
|
|
|
442,900
|
|
|
—
|
|
|
(442,900
|
)
|
|
—
|
|
||||||
Total
|
|
$
|
4,163,266
|
|
|
$
|
—
|
|
|
$
|
4,163,266
|
|
|
$
|
(261,386
|
)
|
|
$
|
(3,901,880
|
)
|
|
$
|
—
|
|
(1)
|
Includes cash and securities received / pledged as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero on a counterparty by counterparty basis, as applicable. Refer to Notes 4 and 5 for additional information regarding assets pledged.
|
(2)
|
Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 8 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components.
|
(3)
|
Interest rate swaps and swaptions are subject to master netting arrangements which could reduce our maximum amount of loss due to credit risk by
$1.6 million
as of
September 30, 2016
.
|
•
|
Level 1 Inputs - Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date.
|
•
|
Level 2 Inputs - Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
|
•
|
Level 3 Inputs - Significant unobservable market inputs that are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities.
|
|
|
September 30, 2016
|
||||||||||||||
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Agency securities
|
|
$
|
—
|
|
|
$
|
2,952,851
|
|
|
$
|
—
|
|
|
$
|
2,952,851
|
|
Non-agency securities
|
|
—
|
|
|
1,285,266
|
|
|
—
|
|
|
1,285,266
|
|
||||
U.S. Treasury securities
|
|
4,995
|
|
|
—
|
|
|
—
|
|
|
4,995
|
|
||||
Derivative assets
|
|
—
|
|
|
6,583
|
|
|
—
|
|
|
6,583
|
|
||||
MSR assets
|
|
—
|
|
|
—
|
|
|
50,535
|
|
|
50,535
|
|
||||
Total
|
|
$
|
4,995
|
|
|
$
|
4,244,700
|
|
|
$
|
50,535
|
|
|
$
|
4,300,230
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Derivative liabilities
|
|
$
|
—
|
|
|
$
|
23,414
|
|
|
$
|
—
|
|
|
$
|
23,414
|
|
Obligation to return securities borrowed under reverse repurchase agreements
|
|
166,327
|
|
|
—
|
|
|
—
|
|
|
166,327
|
|
||||
Total
|
|
$
|
166,327
|
|
|
$
|
23,414
|
|
|
$
|
—
|
|
|
$
|
189,741
|
|
|
|
December 31, 2015
|
||||||||||||||
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Agency securities
|
|
$
|
—
|
|
|
$
|
3,217,252
|
|
|
$
|
—
|
|
|
$
|
3,217,252
|
|
Non-agency securities
|
|
—
|
|
|
1,557,671
|
|
|
—
|
|
|
1,557,671
|
|
||||
Derivative assets
|
|
—
|
|
|
8,151
|
|
|
—
|
|
|
8,151
|
|
||||
MSR assets
|
|
—
|
|
|
—
|
|
|
83,647
|
|
|
83,647
|
|
||||
Total
|
|
$
|
—
|
|
|
$
|
4,783,074
|
|
|
$
|
83,647
|
|
|
$
|
4,866,721
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Derivative liabilities
|
|
$
|
—
|
|
|
$
|
58,850
|
|
|
$
|
—
|
|
|
$
|
58,850
|
|
Obligation to return securities borrowed under reverse repurchase agreements
|
|
266,001
|
|
|
—
|
|
|
—
|
|
|
266,001
|
|
||||
MSR financing liabilities
|
|
—
|
|
|
—
|
|
|
12,790
|
|
|
12,790
|
|
||||
Total
|
|
$
|
266,001
|
|
|
$
|
58,850
|
|
|
$
|
12,790
|
|
|
$
|
337,641
|
|
|
|
For the Nine Months Ended September 30, 2016
|
||||||||||
|
|
MSR Under Secured Financing
|
|
Purchased MSR
(2)
|
|
Total MSR
|
||||||
Balance as of December 31, 2015
|
|
$
|
12,790
|
|
|
$
|
70,857
|
|
|
$
|
83,647
|
|
Losses included in net income:
|
|
|
|
|
|
|
||||||
Realized losses
|
|
—
|
|
|
(7,569
|
)
|
|
(7,569
|
)
|
|||
Unrealized losses
|
|
—
|
|
|
(12,753
|
)
|
|
(12,753
|
)
|
|||
Total net losses included in net income
|
|
—
|
|
|
(20,322
|
)
|
|
(20,322
|
)
|
|||
Dispositions
|
|
(12,790
|
)
|
|
—
|
|
|
(12,790
|
)
|
|||
Balance as of September 30, 2016
|
|
$
|
—
|
|
|
$
|
50,535
|
|
|
$
|
50,535
|
|
|
|
For the Nine Months Ended September 30, 2015
|
||||||||||
|
|
MSR Under Secured Financing
(1)
|
|
Purchased MSR
(2)
|
|
Total MSR
|
||||||
Balance as of December 31, 2014
|
|
$
|
14,003
|
|
|
$
|
79,637
|
|
|
$
|
93,640
|
|
Losses included in net income:
|
|
|
|
|
|
|
||||||
Realized losses
|
|
(1,632
|
)
|
|
(7,875
|
)
|
|
(9,507
|
)
|
|||
Unrealized gains (losses)
|
|
1,285
|
|
|
(3,591
|
)
|
|
(2,306
|
)
|
|||
Total net losses included in net income
|
|
(347
|
)
|
|
(11,466
|
)
|
|
(11,813
|
)
|
|||
Purchases, net of purchase price adjustments
|
|
—
|
|
|
1,668
|
|
|
1,668
|
|
|||
Balance as of September 30, 2015
|
|
$
|
13,656
|
|
|
$
|
69,839
|
|
|
$
|
83,495
|
|
(1)
|
Losses related to MSR under secured financing are offset in their entirety by gains associated with related MSR financing liabilities.
|
(2)
|
Realized losses are comprised of realization of cash flows and are included in servicing expense on the consolidated statements of operations. Unrealized gains (losses) are included in unrealized gain (loss) on mortgage servicing rights on the consolidated statements of operations.
|
|
|
September 30, 2016
|
||||||||
Unobservable Level 3 Input
|
|
Fair Value
|
|
Minimum
|
|
Weighted
Average
|
|
Maximum
|
||
Purchased MSR:
|
|
$
|
50,535
|
|
|
|
|
|
|
|
Constant prepayment rate
|
|
|
|
11.1%
|
|
11.3%
|
|
11.5%
|
||
Constant default rate
|
|
|
|
0.2%
|
|
0.3%
|
|
0.4%
|
||
Discount rate
|
|
|
|
8.3%
|
|
8.8%
|
|
9.3%
|
|
|
For the Nine Months Ended September 30,
|
||||||
|
|
2016
|
|
2015
|
||||
Beginning balance
|
|
$
|
70,857
|
|
|
$
|
79,637
|
|
Additions from purchases of MSR
|
|
—
|
|
|
1,668
|
|
||
Changes in fair value due to:
|
|
|
|
|
||||
Changes in valuation inputs or assumptions used in valuation model
|
|
(12,753
|
)
|
|
(3,591
|
)
|
||
Other changes in fair value
(1)
|
|
(7,569
|
)
|
|
(7,875
|
)
|
||
Ending balance
|
|
$
|
50,535
|
|
|
$
|
69,839
|
|
(1)
|
Other changes in fair value primarily represents changes due to the realization of cash flows.
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Servicing fee income
|
|
$
|
3,799
|
|
|
$
|
8,312
|
|
|
$
|
14,252
|
|
|
$
|
24,046
|
|
Incentive, ancillary and other income
|
|
105
|
|
|
3,264
|
|
|
3,467
|
|
|
10,722
|
|
||||
Servicing income
|
|
3,904
|
|
|
11,576
|
|
|
17,719
|
|
|
34,768
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Employee compensation and benefit costs
|
|
1,365
|
|
|
7,907
|
|
|
15,532
|
|
|
22,926
|
|
||||
Facility costs
|
|
348
|
|
|
2,450
|
|
|
2,474
|
|
|
7,870
|
|
||||
Realization of cash flows from MSR
|
|
2,848
|
|
|
2,642
|
|
|
7,569
|
|
|
7,875
|
|
||||
Other servicing costs
|
|
1,833
|
|
|
2,581
|
|
|
8,673
|
|
|
8,478
|
|
||||
Servicing expense
|
|
6,394
|
|
|
15,580
|
|
|
34,248
|
|
|
47,149
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Net servicing loss
|
|
$
|
(2,490
|
)
|
|
$
|
(4,004
|
)
|
|
$
|
(16,529
|
)
|
|
$
|
(12,381
|
)
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
Servicing advances
|
|
$
|
8,818
|
|
|
$
|
21,619
|
|
FHLB membership stock
|
|
11,489
|
|
|
17,726
|
|
||
Prepaid expenses
|
|
1,272
|
|
|
2,272
|
|
||
Accounts receivable
|
|
5,122
|
|
|
4,606
|
|
||
Intangible assets
(1)
|
|
10,840
|
|
|
5,000
|
|
||
Other
|
|
5,115
|
|
|
3,691
|
|
||
Total other assets
|
|
$
|
42,656
|
|
|
$
|
54,914
|
|
(1)
|
Includes
$5.8 million
of goodwill related to healthcare real estate investments as of
September 30, 2016
.
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
Cash collateral held
|
|
$
|
33
|
|
|
$
|
1,126
|
|
Due to manager
|
|
1,583
|
|
|
1,674
|
|
||
Accrued interest
|
|
4,849
|
|
|
4,523
|
|
||
MSR financing liability, at fair value
(1)
|
|
—
|
|
|
12,790
|
|
||
Other accounts payable and accrued expenses
|
|
12,664
|
|
|
18,544
|
|
||
Total accounts payable and other accrued liabilities
|
|
$
|
19,129
|
|
|
$
|
38,657
|
|
(1)
|
MSR financing liability represented obligations associated with MSR accounted for as financing arrangements, with estimated fair value changes reported in net income. RCS had no MSR accounted for as financing arrangements as of
September 30, 2016
.
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Weighted average common shares calculation:
|
|
|
|
|
|
|
|
|
||||||||
Basic weighted average common shares outstanding
|
|
45,798
|
|
|
50,815
|
|
|
46,074
|
|
|
51,052
|
|
||||
Effect of stock based compensation
|
|
3
|
|
|
13
|
|
|
3
|
|
|
12
|
|
||||
Diluted weighted average common shares outstanding
|
|
45,801
|
|
|
50,828
|
|
|
46,077
|
|
|
51,064
|
|
||||
Net income (loss) available to common stockholders
|
|
$
|
67,901
|
|
|
$
|
(25,129
|
)
|
|
$
|
84,502
|
|
|
$
|
(36,257
|
)
|
Net income (loss) per common share — basic
|
|
$
|
1.48
|
|
|
$
|
(0.49
|
)
|
|
$
|
1.83
|
|
|
$
|
(0.71
|
)
|
Net income (loss) per common share — diluted
|
|
$
|
1.48
|
|
|
$
|
(0.49
|
)
|
|
$
|
1.83
|
|
|
$
|
(0.71
|
)
|
•
|
Financial Condition
|
•
|
Results of Operations
|
•
|
Liquidity and Capital Resources
|
•
|
Off-Balance Sheet Arrangements
|
•
|
Forward-Looking Statements
|
•
|
manage a leveraged investment portfolio of mortgage-related and other real estate investments with the objective of generating attractive risk-adjusted returns;
|
•
|
capitalize on discrepancies in the relative valuations and return potential in the mortgage-related investments market;
|
•
|
manage a wide range of risks, including financing, interest rate, prepayment rate and credit risks;
|
•
|
preserve our net book value;
|
•
|
provide regular quarterly distributions to our stockholders;
|
•
|
qualify as a REIT; and
|
•
|
remain exempt from the requirements of the Investment Company Act of 1940, as amended (the "Investment Company Act").
|
Interest Rate / Security
(1)
|
|
September 30, 2016
|
|
June 30, 2016
|
|
March 31, 2016
|
|
December 31, 2015
|
|
September 30, 2015
|
||||||||||
LIBOR:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
1-Month
|
|
0.53
|
%
|
|
0.47
|
%
|
|
0.44
|
%
|
|
0.43
|
%
|
|
0.19
|
%
|
|||||
3-Month
|
|
0.85
|
%
|
|
0.65
|
%
|
|
0.63
|
%
|
|
0.61
|
%
|
|
0.33
|
%
|
|||||
U.S. Treasury Securities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
2-Year U.S. Treasury
|
|
0.76
|
%
|
|
0.59
|
%
|
|
0.73
|
%
|
|
1.06
|
%
|
|
0.64
|
%
|
|||||
5-Year U.S. Treasury
|
|
1.15
|
%
|
|
1.01
|
%
|
|
1.22
|
%
|
|
1.77
|
%
|
|
1.37
|
%
|
|||||
10-Year U.S. Treasury
|
|
1.61
|
%
|
|
1.49
|
%
|
|
1.78
|
%
|
|
2.27
|
%
|
|
2.06
|
%
|
|||||
Interest Rate Swap Rates:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
2-Year Swap Rate
|
|
1.01
|
%
|
|
0.74
|
%
|
|
0.85
|
%
|
|
1.17
|
%
|
|
0.76
|
%
|
|||||
5-Year Swap Rate
|
|
1.18
|
%
|
|
0.99
|
%
|
|
1.18
|
%
|
|
1.73
|
%
|
|
1.40
|
%
|
|||||
10-Year Swap Rate
|
|
1.46
|
%
|
|
1.38
|
%
|
|
1.64
|
%
|
|
2.19
|
%
|
|
2.01
|
%
|
|||||
30-Year Fixed Rate Agency Price:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
3.5%
|
|
$
|
105.53
|
|
|
$
|
105.50
|
|
|
$
|
104.86
|
|
|
$
|
103.18
|
|
|
$
|
104.31
|
|
4.0%
|
|
$
|
107.41
|
|
|
$
|
107.23
|
|
|
$
|
106.86
|
|
|
$
|
105.83
|
|
|
$
|
106.67
|
|
4.5%
|
|
$
|
109.52
|
|
|
$
|
109.17
|
|
|
$
|
108.82
|
|
|
$
|
108.00
|
|
|
$
|
108.41
|
|
15-Year Fixed Rate Agency Price:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
2.5%
|
|
$
|
103.56
|
|
|
$
|
103.48
|
|
|
$
|
102.66
|
|
|
$
|
100.80
|
|
|
$
|
101.94
|
|
3.0%
|
|
$
|
104.99
|
|
|
$
|
104.84
|
|
|
$
|
104.47
|
|
|
$
|
103.02
|
|
|
$
|
104.11
|
|
3.5%
|
|
$
|
105.41
|
|
|
$
|
105.97
|
|
|
$
|
105.59
|
|
|
$
|
104.72
|
|
|
$
|
105.61
|
|
(1)
|
Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information can vary by source. Prices in the table above were obtained from a combination of Bloomberg and dealer indications. Interest rates were obtained from Bloomberg.
|
Specified Mortgage Pool Pay-ups over Generic TBA Price
(1)(2)
|
|
September 30, 2016
|
|
June
30, 2016
|
|
March
31, 2016
|
|
December
31, 2015
|
|
September 30, 2015
|
||||||||||
30-Year Lower Loan Balance
(3)
:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
3.0%
|
|
$
|
0.72
|
|
|
$
|
0.84
|
|
|
$
|
0.25
|
|
|
$
|
0.17
|
|
|
$
|
0.23
|
|
3.5%
|
|
$
|
1.91
|
|
|
$
|
1.72
|
|
|
$
|
1.00
|
|
|
$
|
0.47
|
|
|
$
|
0.75
|
|
4.0%
|
|
$
|
2.78
|
|
|
$
|
2.63
|
|
|
$
|
1.75
|
|
|
$
|
0.98
|
|
|
$
|
1.52
|
|
30-Year HARP
(4)
:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
3.5%
|
|
$
|
0.56
|
|
|
$
|
0.47
|
|
|
$
|
0.25
|
|
|
$
|
0.04
|
|
|
$
|
0.09
|
|
4.0%
|
|
$
|
1.19
|
|
|
$
|
1.06
|
|
|
$
|
0.63
|
|
|
$
|
0.42
|
|
|
$
|
0.59
|
|
(1)
|
Source: Bloomberg and dealer indications.
|
(2)
|
“Pay-ups” represent the value of the price premium of specified securities over generic TBA pools. The table above includes pay-ups for newly originated specified pools. Price information is provided for information only and is not meant to be reflective of our specific portfolio holdings. Prices can vary materially depending on the source.
|
(3)
|
Lower loan balance pay-ups for pools with original loan balances from $85,000 to $110,000.
|
(4)
|
HARP pay-ups for pools backed by 100% refinance loans with original loan-to-value ratios between 95% and 100%.
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
Balance Sheet Data:
|
|
|
|
|
||||
Total agency and non-agency securities
|
|
$
|
4,238,117
|
|
|
$
|
4,774,923
|
|
Total assets
|
|
$
|
4,908,813
|
|
|
$
|
5,482,402
|
|
Total repurchase agreements and Federal Home Loan Bank advances
|
|
$
|
3,558,642
|
|
|
$
|
4,107,615
|
|
Total liabilities
|
|
$
|
3,912,175
|
|
|
$
|
4,491,290
|
|
Total stockholders’ equity
|
|
$
|
996,316
|
|
|
$
|
991,112
|
|
Net book value per common share
|
|
$
|
20.55
|
|
|
$
|
19.66
|
|
|
|
September 30, 2016
|
||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis
|
|
Par Value
|
|
Weighted Average
|
||||||||||
Coupon
|
|
Yield
(1)
|
||||||||||||||||
Fannie Mae
|
|
$
|
2,115,753
|
|
|
$
|
2,077,077
|
|
|
$
|
1,975,625
|
|
|
3.54
|
%
|
|
2.61
|
%
|
Freddie Mac
|
|
837,098
|
|
|
824,711
|
|
|
779,290
|
|
|
3.60
|
%
|
|
2.62
|
%
|
|||
Agency RMBS total
|
|
2,952,851
|
|
|
2,901,788
|
|
|
2,754,915
|
|
|
3.56
|
%
|
|
2.61
|
%
|
|||
Non-agency securities
|
|
1,285,266
|
|
|
1,232,716
|
|
|
1,431,032
|
|
|
2.82
|
%
|
|
5.48
|
%
|
|||
Total
|
|
$
|
4,238,117
|
|
|
$
|
4,134,504
|
|
|
$
|
4,185,947
|
|
|
3.31
|
%
|
|
3.47
|
%
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
December 31, 2015
|
||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis
|
|
Par Value
|
|
Weighted Average
|
||||||||||
|
|
Coupon
|
|
Yield
(1)
|
||||||||||||||
Fannie Mae
|
|
$
|
2,535,998
|
|
|
$
|
2,549,447
|
|
|
$
|
2,421,576
|
|
|
3.58
|
%
|
|
2.68
|
%
|
Freddie Mac
|
|
681,254
|
|
|
686,491
|
|
|
651,622
|
|
|
3.58
|
%
|
|
2.71
|
%
|
|||
Agency RMBS total
|
|
3,217,252
|
|
|
3,235,938
|
|
|
3,073,198
|
|
|
3.58
|
%
|
|
2.68
|
%
|
|||
Non-agency securities
|
|
1,557,671
|
|
|
1,543,113
|
|
|
1,759,482
|
|
|
2.84
|
%
|
|
5.51
|
%
|
|||
Total
|
|
$
|
4,774,923
|
|
|
$
|
4,779,051
|
|
|
$
|
4,832,680
|
|
|
3.31
|
%
|
|
3.60
|
%
|
(1)
|
The weighted average agency security yield incorporates an average future CPR assumption of
10.1%
and
8.5%
as of
September 30, 2016 and December 31, 2015
, respectively, based on forward rates. For non-agency securities, the weighted average yield is based on estimated cash flows that incorporate expected credit losses.
|
|
|
September 30, 2016
|
||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis
|
|
Par Value
|
|
Weighted Average
|
||||||||||
|
|
Yield
|
|
Projected CPR
|
||||||||||||||
Fixed rate
|
|
|
|
|
|
|
|
|
|
|
||||||||
≤ 15-year
|
|
|
|
|
|
|
|
|
|
|
||||||||
2.5%
|
|
$
|
42,173
|
|
|
$
|
40,673
|
|
|
$
|
40,646
|
|
|
2.44
|
%
|
|
8.9
|
%
|
3.0%
|
|
184,529
|
|
|
180,407
|
|
|
174,970
|
|
|
2.12
|
%
|
|
10.2
|
%
|
|||
3.5%
|
|
155,746
|
|
|
153,105
|
|
|
146,294
|
|
|
2.23
|
%
|
|
11.4
|
%
|
|||
4.0%
|
|
131,184
|
|
|
129,675
|
|
|
122,537
|
|
|
2.16
|
%
|
|
12.6
|
%
|
|||
4.5%
|
|
11,037
|
|
|
10,891
|
|
|
10,271
|
|
|
2.59
|
%
|
|
12.2
|
%
|
|||
≤ 15-year total
|
|
524,669
|
|
|
514,751
|
|
|
494,718
|
|
|
2.20
|
%
|
|
11.1
|
%
|
|||
20-year
|
|
|
|
|
|
|
|
|
|
|
||||||||
3.0%
|
|
67,960
|
|
|
66,307
|
|
|
64,419
|
|
|
2.32
|
%
|
|
11.4
|
%
|
|||
3.5%
|
|
89,150
|
|
|
85,762
|
|
|
83,349
|
|
|
2.81
|
%
|
|
11.6
|
%
|
|||
5.0%
|
|
1,726
|
|
|
1,683
|
|
|
1,553
|
|
|
2.82
|
%
|
|
21.5
|
%
|
|||
20-year total
|
|
158,836
|
|
|
153,752
|
|
|
149,321
|
|
|
2.59
|
%
|
|
11.6
|
%
|
|||
30-year
|
|
|
|
|
|
|
|
|
|
|
||||||||
3.5%
|
|
1,435,754
|
|
|
1,416,800
|
|
|
1,342,789
|
|
|
2.66
|
%
|
|
8.4
|
%
|
|||
4.0%
|
|
659,403
|
|
|
648,728
|
|
|
605,354
|
|
|
2.75
|
%
|
|
10.8
|
%
|
|||
4.5%
|
|
57,973
|
|
|
56,480
|
|
|
51,991
|
|
|
3.00
|
%
|
|
10.4
|
%
|
|||
30-year total
|
|
2,153,130
|
|
|
2,122,008
|
|
|
2,000,134
|
|
|
2.70
|
%
|
|
9.2
|
%
|
|||
Pass through agency RMBS
|
|
2,836,635
|
|
|
2,790,511
|
|
|
2,644,173
|
|
|
2.60
|
%
|
|
9.7
|
%
|
|||
Agency CMO
|
|
18,427
|
|
|
17,910
|
|
|
16,190
|
|
|
2.78
|
%
|
|
7.8
|
%
|
|||
Total fixed-rate agency RMBS
|
|
2,855,062
|
|
|
2,808,421
|
|
|
2,660,363
|
|
|
2.60
|
%
|
|
9.7
|
%
|
|||
Adjustable rate agency RMBS
|
|
97,789
|
|
|
93,367
|
|
|
94,552
|
|
|
2.88
|
%
|
|
21.1
|
%
|
|||
Total agency RMBS
|
|
$
|
2,952,851
|
|
|
$
|
2,901,788
|
|
|
$
|
2,754,915
|
|
|
2.61
|
%
|
|
10.1
|
%
|
|
|
December 31, 2015
|
||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis
|
|
Par Value
|
|
Weighted Average
|
||||||||||
|
|
Yield
|
|
Projected CPR
|
||||||||||||||
Fixed rate
|
|
|
|
|
|
|
|
|
|
|
||||||||
≤ 15-year
|
|
|
|
|
|
|
|
|
|
|
||||||||
2.5%
|
|
$
|
94,970
|
|
|
$
|
94,829
|
|
|
$
|
93,817
|
|
|
2.20
|
%
|
|
8.4
|
%
|
3.0%
|
|
272,738
|
|
|
272,178
|
|
|
263,894
|
|
|
2.20
|
%
|
|
8.7
|
%
|
|||
3.5%
|
|
254,204
|
|
|
254,246
|
|
|
241,720
|
|
|
2.28
|
%
|
|
9.3
|
%
|
|||
4.0%
|
|
156,392
|
|
|
155,880
|
|
|
146,564
|
|
|
2.20
|
%
|
|
10.7
|
%
|
|||
4.5%
|
|
12,933
|
|
|
13,107
|
|
|
12,303
|
|
|
2.63
|
%
|
|
10.6
|
%
|
|||
≤ 15-year total
|
|
791,237
|
|
|
790,240
|
|
|
758,298
|
|
|
2.23
|
%
|
|
9.3
|
%
|
|||
20-year
|
|
|
|
|
|
|
|
|
|
|
||||||||
3.0%
|
|
72,322
|
|
|
72,931
|
|
|
70,663
|
|
|
2.34
|
%
|
|
9.5
|
%
|
|||
3.5%
|
|
98,186
|
|
|
96,997
|
|
|
94,053
|
|
|
2.88
|
%
|
|
8.4
|
%
|
|||
4.0%
|
|
4,187
|
|
|
4,131
|
|
|
3,918
|
|
|
2.72
|
%
|
|
11.1
|
%
|
|||
5.0%
|
|
2,174
|
|
|
2,168
|
|
|
1,981
|
|
|
2.28
|
%
|
|
17.4
|
%
|
|||
20-year total
|
|
176,869
|
|
|
176,227
|
|
|
170,615
|
|
|
2.64
|
%
|
|
9.0
|
%
|
|||
30-year
|
|
|
|
|
|
|
|
|
|
|
||||||||
3.5%
|
|
1,055,931
|
|
|
1,073,504
|
|
|
1,019,232
|
|
|
2.74
|
%
|
|
7.2
|
%
|
|||
4.0%
|
|
998,053
|
|
|
1,004,945
|
|
|
939,460
|
|
|
2.93
|
%
|
|
8.7
|
%
|
|||
4.5%
|
|
66,761
|
|
|
66,009
|
|
|
61,066
|
|
|
3.25
|
%
|
|
8.0
|
%
|
|||
30-year total
|
|
2,120,745
|
|
|
2,144,458
|
|
|
2,019,758
|
|
|
2.85
|
%
|
|
7.9
|
%
|
|||
Pass through agency RMBS
|
|
3,088,851
|
|
|
3,110,925
|
|
|
2,948,671
|
|
|
2.68
|
%
|
|
8.3
|
%
|
|||
Agency CMO
|
|
20,562
|
|
|
20,211
|
|
|
18,143
|
|
|
2.90
|
%
|
|
6.9
|
%
|
|||
Total fixed-rate agency RMBS
|
|
3,109,413
|
|
|
3,131,136
|
|
|
2,966,814
|
|
|
2.68
|
%
|
|
8.3
|
%
|
|||
Adjustable rate agency RMBS
|
|
107,839
|
|
|
104,802
|
|
|
106,384
|
|
|
2.82
|
%
|
|
14.2
|
%
|
|||
Total agency RMBS
|
|
$
|
3,217,252
|
|
|
$
|
3,235,938
|
|
|
$
|
3,073,198
|
|
|
2.68
|
%
|
|
8.5
|
%
|
|
|
September 30, 2016
|
|||||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis
|
|
Par Value
|
|
Weighted Average
|
|||||||||||||
Coupon
|
|
Yield
|
|
Projected CPR
|
|||||||||||||||||
HARP
(1)
|
|
$
|
738,766
|
|
|
$
|
723,098
|
|
|
$
|
692,707
|
|
|
3.56
|
%
|
|
2.79
|
%
|
|
9.7
|
%
|
Lower loan balance
(2)
|
|
1,902,885
|
|
|
1,874,914
|
|
|
1,767,935
|
|
|
3.61
|
%
|
|
2.53
|
%
|
|
9.3
|
%
|
|||
Other
|
|
194,984
|
|
|
192,499
|
|
|
183,531
|
|
|
3.64
|
%
|
|
2.55
|
%
|
|
13.5
|
%
|
|||
Pass through agency RMBS
|
|
2,836,635
|
|
|
2,790,511
|
|
|
2,644,173
|
|
|
3.60
|
%
|
|
2.60
|
%
|
|
9.7
|
%
|
|||
Agency CMO
|
|
18,427
|
|
|
17,910
|
|
|
16,190
|
|
|
3.05
|
%
|
|
2.78
|
%
|
|
7.8
|
%
|
|||
Total fixed-rate agency RMBS
|
|
2,855,062
|
|
|
2,808,421
|
|
|
2,660,363
|
|
|
3.60
|
%
|
|
2.60
|
%
|
|
9.7
|
%
|
|||
Adjustable rate agency RMBS
|
|
97,789
|
|
|
93,367
|
|
|
94,552
|
|
|
2.57
|
%
|
|
2.88
|
%
|
|
21.1
|
%
|
|||
Total agency RMBS
|
|
$
|
2,952,851
|
|
|
$
|
2,901,788
|
|
|
$
|
2,754,915
|
|
|
3.56
|
%
|
|
2.61
|
%
|
|
10.1
|
%
|
(1)
|
HARP securities are defined as pools backed by 100% refinance loans with LTVs greater than or equal to 80%. Our HARP securities had a weighted average LTV of 123% and 127% for 15-year and 30-year securities, respectively, as of
September 30, 2016
. Includes $441.7 million of >105% LTV pools which are not deliverable into TBA securities.
|
(2)
|
Lower loan balance securities represent pools with maximum original loan balances less than or equal to $150,000. Our lower loan balance securities had a weighted average original loan balance of $99,064 and $97,411 for 15-year and 30-year securities, respectively, as of
September 30, 2016
.
|
|
|
December 31, 2015
|
|||||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis
|
|
Par Value
|
|
Weighted Average
|
|||||||||||||
Coupon
|
|
Yield
|
|
Projected CPR
|
|||||||||||||||||
HARP
(1)
|
|
$
|
881,496
|
|
|
$
|
888,212
|
|
|
$
|
846,461
|
|
|
3.58
|
%
|
|
2.85
|
%
|
|
7.1
|
%
|
Lower loan balance
(2)
|
|
1,716,329
|
|
|
1,728,917
|
|
|
1,638,365
|
|
|
3.55
|
%
|
|
2.55
|
%
|
|
8.4
|
%
|
|||
Other
|
|
491,026
|
|
|
493,796
|
|
|
463,845
|
|
|
3.96
|
%
|
|
2.84
|
%
|
|
10.2
|
%
|
|||
Pass through agency RMBS
|
|
3,088,851
|
|
|
3,110,925
|
|
|
2,948,671
|
|
|
3.62
|
%
|
|
2.68
|
%
|
|
8.3
|
%
|
|||
Agency CMO
|
|
20,562
|
|
|
20,211
|
|
|
18,143
|
|
|
3.05
|
%
|
|
2.90
|
%
|
|
6.9
|
%
|
|||
Total fixed-rate agency RMBS
|
|
3,109,413
|
|
|
3,131,136
|
|
|
2,966,814
|
|
|
3.62
|
%
|
|
2.68
|
%
|
|
8.3
|
%
|
|||
Adjustable rate agency RMBS
|
|
107,839
|
|
|
104,802
|
|
|
106,384
|
|
|
2.58
|
%
|
|
2.82
|
%
|
|
14.2
|
%
|
|||
Total agency RMBS
|
|
$
|
3,217,252
|
|
|
$
|
3,235,938
|
|
|
$
|
3,073,198
|
|
|
3.58
|
%
|
|
2.68
|
%
|
|
8.5
|
%
|
(1)
|
Our HARP securities had a weighted average LTV of 119% and 124% for 15-year and 30-year securities, respectively, as of
December 31, 2015
. Includes $478.7 million of >105% LTV pools which are not deliverable into TBA securities.
|
(2)
|
Our lower loan balance securities had a weighted average original loan balance of $104,823 and $87,210 for 15-year and 30-year securities, respectively, as of
December 31, 2015
.
|
|
|
September 30, 2016
|
||||||||||||||
|
|
Notional Amount
(1)
|
|
Cost Basis
(2)
|
|
Market
Value (3) |
|
Net Carrying Value
(4)
|
||||||||
|
|
|
||||||||||||||
15- Year
|
|
|
|
|
|
|
|
|
||||||||
2.5%
|
|
$
|
247,977
|
|
|
$
|
254,945
|
|
|
$
|
256,163
|
|
|
$
|
1,218
|
|
3.0%
|
|
31,952
|
|
|
33,480
|
|
|
33,503
|
|
|
23
|
|
||||
Subtotal
|
|
279,929
|
|
|
288,425
|
|
|
289,666
|
|
|
1,241
|
|
||||
30-Year
|
|
|
|
|
|
|
|
|
||||||||
3.0%
(5)
|
|
848,200
|
|
|
876,774
|
|
|
879,906
|
|
|
3,132
|
|
||||
3.5%
|
|
(95,128
|
)
|
|
(100,289
|
)
|
|
(100,383
|
)
|
|
(94
|
)
|
||||
4.0%
|
|
109,134
|
|
|
117,056
|
|
|
117,144
|
|
|
88
|
|
||||
4.5%
|
|
21,117
|
|
|
23,037
|
|
|
23,126
|
|
|
89
|
|
||||
Subtotal
|
|
883,323
|
|
|
916,578
|
|
|
919,793
|
|
|
3,215
|
|
||||
Portfolio total
|
|
$
|
1,163,252
|
|
|
$
|
1,205,003
|
|
|
$
|
1,209,459
|
|
|
$
|
4,456
|
|
|
|
December 31, 2015
|
||||||||||||||
|
|
Notional Amount
(1)
|
|
Cost Basis
(2)
|
|
Market
Value (3) |
|
Net Carrying Value
(4)
|
||||||||
|
|
|
||||||||||||||
15- Year
|
|
|
|
|
|
|
|
|
||||||||
2.5%
|
|
$
|
9,827
|
|
|
$
|
9,926
|
|
|
$
|
9,905
|
|
|
$
|
(21
|
)
|
3.0%
|
|
(98,270
|
)
|
|
(101,438
|
)
|
|
(101,233
|
)
|
|
205
|
|
||||
3.5%
|
|
7,422
|
|
|
7,792
|
|
|
7,772
|
|
|
(20
|
)
|
||||
Subtotal
|
|
(81,021
|
)
|
|
(83,720
|
)
|
|
(83,556
|
)
|
|
164
|
|
||||
30-Year
|
|
|
|
|
|
|
|
|
|
|||||||
3.0%
|
|
417,300
|
|
|
416,438
|
|
|
416,934
|
|
|
496
|
|
||||
3.5%
|
|
(157,316
|
)
|
|
(163,145
|
)
|
|
(162,428
|
)
|
|
717
|
|
||||
4.0%
|
|
(121,993
|
)
|
|
(128,534
|
)
|
|
(129,103
|
)
|
|
(569
|
)
|
||||
4.5%
|
|
2,908
|
|
|
3,142
|
|
|
3,141
|
|
|
(1
|
)
|
||||
Subtotal
|
|
140,899
|
|
|
127,901
|
|
|
128,544
|
|
|
643
|
|
||||
Portfolio total
|
|
$
|
59,878
|
|
|
$
|
44,181
|
|
|
$
|
44,988
|
|
|
$
|
807
|
|
(1)
|
Notional amount represents the par value or principal balance of the underlying agency RMBS.
|
(2)
|
Cost basis represents the forward price to be paid for the underlying agency RMBS.
|
(3)
|
Market value represents the current market value of the agency RMBS underlying the TBA contracts as of period end.
|
(4)
|
Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets.
|
(5)
|
Includes $0.2 billion of forward purchases of agency MBS specified pools as of
September 30, 2016
|
September 30, 2016
|
||||||||||||||||||||||||||||||
|
|
Fair
Value
|
|
Gross Unrealized
|
|
Amortized Cost
|
|
Discount
|
|
Par/ Current Face
|
|
Weighted Average
|
||||||||||||||||||
Category
|
|
|
Gains
|
|
Losses
|
|
|
|
|
Coupon
(1)
|
|
Yield
|
||||||||||||||||||
Prime
|
|
$
|
206,263
|
|
|
$
|
7,592
|
|
|
$
|
(3,316
|
)
|
|
$
|
201,987
|
|
|
$
|
(19,794
|
)
|
|
$
|
221,781
|
|
|
3.08
|
%
|
|
5.13
|
%
|
CRT
|
|
328,072
|
|
|
16,102
|
|
|
(934
|
)
|
|
312,904
|
|
|
1,819
|
|
|
311,085
|
|
|
4.92
|
%
|
|
5.35
|
%
|
||||||
Alt-A
|
|
379,524
|
|
|
32,828
|
|
|
(4,635
|
)
|
|
351,331
|
|
|
(136,550
|
)
|
|
487,881
|
|
|
1.93
|
%
|
|
6.82
|
%
|
||||||
Option-ARM
|
|
194,897
|
|
|
8,252
|
|
|
(4,451
|
)
|
|
191,096
|
|
|
(43,044
|
)
|
|
234,140
|
|
|
0.78
|
%
|
|
4.82
|
%
|
||||||
Subprime
|
|
176,510
|
|
|
1,522
|
|
|
(410
|
)
|
|
175,398
|
|
|
(747
|
)
|
|
176,145
|
|
|
3.95
|
%
|
|
4.13
|
%
|
||||||
Total
|
|
$
|
1,285,266
|
|
|
$
|
66,296
|
|
|
$
|
(13,746
|
)
|
|
$
|
1,232,716
|
|
|
$
|
(198,316
|
)
|
|
$
|
1,431,032
|
|
|
2.82
|
%
|
|
5.48
|
%
|
(1)
|
Coupon rates are floating, except for
$28.8 million
,
$17.5 million
and
$115.8 million
fair value of fixed-rate prime, Alt-A, and subprime non-agency securities, respectively, as of
September 30, 2016
.
|
December 31, 2015
|
||||||||||||||||||||||||||||||
|
|
Fair
Value
|
|
Gross Unrealized
|
|
Amortized Cost
|
|
Discount
|
|
Par/ Current Face
|
|
Weighted Average
|
||||||||||||||||||
Category
|
|
|
Gains
|
|
Losses
|
|
|
|
|
Coupon
(1)
|
|
Yield
|
||||||||||||||||||
Prime
|
|
$
|
411,780
|
|
|
$
|
6,797
|
|
|
$
|
(3,681
|
)
|
|
$
|
408,664
|
|
|
$
|
(22,387
|
)
|
|
$
|
431,051
|
|
|
3.24
|
%
|
|
4.49
|
%
|
CRT
|
|
361,028
|
|
|
605
|
|
|
(11,910
|
)
|
|
372,333
|
|
|
3,999
|
|
|
368,334
|
|
|
4.65
|
%
|
|
5.93
|
%
|
||||||
Alt-A
|
|
430,679
|
|
|
28,560
|
|
|
(8,001
|
)
|
|
410,120
|
|
|
(150,257
|
)
|
|
560,377
|
|
|
1.76
|
%
|
|
6.65
|
%
|
||||||
Option-ARM
|
|
150,014
|
|
|
6,802
|
|
|
(5,742
|
)
|
|
148,954
|
|
|
(34,454
|
)
|
|
183,408
|
|
|
0.68
|
%
|
|
5.43
|
%
|
||||||
Subprime
|
|
204,170
|
|
|
2,355
|
|
|
(1,227
|
)
|
|
203,042
|
|
|
(13,270
|
)
|
|
216,312
|
|
|
3.57
|
%
|
|
4.56
|
%
|
||||||
Total
|
|
$
|
1,557,671
|
|
|
$
|
45,119
|
|
|
$
|
(30,561
|
)
|
|
$
|
1,543,113
|
|
|
$
|
(216,369
|
)
|
|
$
|
1,759,482
|
|
|
2.84
|
%
|
|
5.51
|
%
|
(1)
|
Coupon rates are floating, except for
$226.9 million
,
$25.9 million
and
$171.4 million
fair value of fixed-rate prime, Alt-A and subprime non-agency securities, respectively, as of
December 31, 2015
.
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||
|
|
|
|
|
|
Weighted Average
|
|
|
|
|
|
Weighted Average
|
||||||||||||||||
Weighted Average Life
|
|
Fair Value
|
|
Amortized
Cost
|
|
Coupon
|
|
Yield
|
|
Fair Value
|
|
Amortized
Cost
|
|
Coupon
|
|
Yield
|
||||||||||||
≤ 5 years
|
|
$
|
537,531
|
|
|
$
|
520,994
|
|
|
3.44
|
%
|
|
5.19
|
%
|
|
$
|
369,907
|
|
|
$
|
363,087
|
|
|
3.15
|
%
|
|
5.22
|
%
|
> 5 to ≤ 7 years
|
|
592,341
|
|
|
558,607
|
|
|
2.41
|
%
|
|
5.98
|
%
|
|
635,840
|
|
|
620,734
|
|
|
2.12
|
%
|
|
5.68
|
%
|
||||
> 7 years
|
|
155,394
|
|
|
153,115
|
|
|
2.41
|
%
|
|
4.66
|
%
|
|
551,924
|
|
|
559,292
|
|
|
3.53
|
%
|
|
5.51
|
%
|
||||
Total
|
|
$
|
1,285,266
|
|
|
$
|
1,232,716
|
|
|
2.82
|
%
|
|
5.48
|
%
|
|
$
|
1,557,671
|
|
|
$
|
1,543,113
|
|
|
2.84
|
%
|
|
5.51
|
%
|
Credit Rating
(1)
|
September 30, 2016
|
|
December 31, 2015
|
||
AAA
|
—
|
%
|
|
13
|
%
|
AA
|
1
|
%
|
|
—
|
%
|
BBB
|
2
|
%
|
|
4
|
%
|
BB
|
5
|
%
|
|
4
|
%
|
B
|
21
|
%
|
|
8
|
%
|
Below B
|
35
|
%
|
|
33
|
%
|
Not Rated
|
36
|
%
|
|
38
|
%
|
Total
|
100
|
%
|
|
100
|
%
|
(1)
|
Represents the lowest of Standard and Poor's, Moody's and Fitch credit ratings, stated in terms of the S&P equivalent, as of each respective balance sheet date.
|
September 30, 2016
|
|||||||||||||||||||||
|
|
Fair
Value
|
|
Weighted Average Purchase Price
|
|
Weighted Average
Collateral Attributes
|
|
Weighted Average
Current Performance
|
|||||||||||||
Category
|
|
|
|
Loan Age (months)
|
|
Original LTV
|
|
Original FICO
(1)
|
|
60+ Day Delinquent
(2)
|
|
3-Month CPR
(3)
|
|||||||||
Prime
|
|
$
|
206,263
|
|
|
$
|
86.36
|
|
|
116
|
|
71
|
%
|
|
741
|
|
7
|
%
|
|
18
|
%
|
CRT
|
|
328,072
|
|
|
100.06
|
|
|
26
|
|
75
|
%
|
|
756
|
|
—
|
%
|
|
18
|
%
|
||
Alt-A
|
|
379,524
|
|
|
66.87
|
|
|
132
|
|
76
|
%
|
|
711
|
|
14
|
%
|
|
15
|
%
|
||
Option-ARM
|
|
194,897
|
|
|
76.83
|
|
|
125
|
|
75
|
%
|
|
705
|
|
19
|
%
|
|
11
|
%
|
||
Subprime
|
|
176,510
|
|
|
99.49
|
|
|
122
|
|
97
|
%
|
|
588
|
|
61
|
%
|
|
29
|
%
|
||
Total
|
|
$
|
1,285,266
|
|
|
$
|
82.83
|
|
|
100
|
|
78
|
%
|
|
709
|
|
16
|
%
|
|
18
|
%
|
December 31, 2015
|
|||||||||||||||||||||
|
|
Fair
Value
|
|
Weighted Average Purchase Price
|
|
Weighted Average
Collateral Attributes
|
|
Weighted Average
Current Performance
|
|||||||||||||
Category
|
|
|
|
Loan Age (months)
|
|
Original LTV
|
|
Original FICO
(1)
|
|
60+ Day Delinquent
(2)
|
|
3-Month CPR
(3)
|
|||||||||
Prime
|
|
$
|
411,780
|
|
|
$
|
93.35
|
|
|
65
|
|
71
|
%
|
|
750
|
|
4
|
%
|
|
17
|
%
|
CRT
|
|
361,028
|
|
|
100.69
|
|
|
19
|
|
76
|
%
|
|
754
|
|
—
|
%
|
|
11
|
%
|
||
Alt-A
|
|
430,679
|
|
|
68.09
|
|
|
123
|
|
76
|
%
|
|
712
|
|
15
|
%
|
|
13
|
%
|
||
Option-ARM
|
|
150,014
|
|
|
75.69
|
|
|
118
|
|
75
|
%
|
|
707
|
|
20
|
%
|
|
11
|
%
|
||
Subprime
|
|
204,170
|
|
|
94.56
|
|
|
112
|
|
104
|
%
|
|
582
|
|
58
|
%
|
|
19
|
%
|
||
Total
|
|
$
|
1,557,671
|
|
|
$
|
84.96
|
|
|
82
|
|
78
|
%
|
|
714
|
|
18
|
%
|
|
14
|
%
|
(1)
|
FICO represents a mortgage industry accepted credit score of a borrower based on a scale of 300 to 850 with a score of 850 being the highest quality rating.
|
(2)
|
60+ day delinquent represents the percentage of mortgage loans underlying each category of non-agency securities that were delinquent for at least 60 days.
|
(3)
|
Three-month CPR is reflective of the prepayment and default rate on the underlying securitization; however, it does not necessarily indicate the proceeds received on our non-agency securities. Proceeds received for each security are dependent on the position of the individual security within the structure of each deal.
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||
California
|
|
35
|
%
|
|
35
|
%
|
Florida
|
|
8
|
%
|
|
8
|
%
|
New York
|
|
6
|
%
|
|
5
|
%
|
Virginia
|
|
4
|
%
|
|
4
|
%
|
Maryland
|
|
4
|
%
|
|
3
|
%
|
New Jersey
|
|
4
|
%
|
|
4
|
%
|
Total
|
|
61
|
%
|
|
59
|
%
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
Unpaid principal balance (in thousands)
|
|
$
|
5,551,435
|
|
|
$
|
6,380,498
|
|
Number of loans
|
|
28,167
|
|
|
31,336
|
|
||
Average Loan Size (in thousands)
|
|
$
|
197
|
|
|
$
|
204
|
|
Average Loan Age (months)
|
|
43
|
|
|
34
|
|
||
Average Coupon
|
|
3.78
|
%
|
|
3.79
|
%
|
||
Average Original Loan-to-Value
|
|
75
|
%
|
|
75
|
%
|
||
Average Original FICO
|
|
768
|
|
|
760
|
|
||
60+ delinquencies
|
|
0.41
|
%
|
|
0.26
|
%
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||
|
|
|
|
Weighted Average
|
|
|
|
Weighted Average
|
||||||||||
Collateral Type
|
|
Borrowings
Outstanding |
|
Interest Rate
|
|
Days
to Maturity |
|
Borrowings
Outstanding |
|
Interest Rate
|
|
Days
to Maturity |
||||||
Agency securities
|
|
$
|
2,409,536
|
|
|
0.82
|
%
|
|
186
|
|
$
|
2,728,065
|
|
|
0.60
|
%
|
|
243
|
Non-agency securities
|
|
870,430
|
|
|
2.06
|
%
|
|
21
|
|
936,650
|
|
|
1.86
|
%
|
|
27
|
||
U.S. Treasury securities
|
|
4,976
|
|
|
0.85
|
%
|
|
3
|
|
—
|
|
|
N/A
|
|
|
N/A
|
||
Total repurchase agreements
|
|
$
|
3,284,942
|
|
|
1.15
|
%
|
|
142
|
|
$
|
3,664,715
|
|
|
0.92
|
%
|
|
188
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||
|
|
|
|
Weighted Average
|
|
|
|
Weighted Average
|
||||||||||
|
|
Borrowings
Outstanding |
|
Interest Rate
|
|
Days to Maturity
|
|
Borrowings
Outstanding
|
|
Interest Rate
|
|
Days to Maturity
|
||||||
Agency and non-agency
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
≤ 1 month
|
|
$
|
2,101,008
|
|
|
1.20
|
%
|
|
14
|
|
$
|
2,045,776
|
|
|
0.97
|
%
|
|
15
|
> 1 to ≤ 2 months
|
|
324,091
|
|
|
1.06
|
%
|
|
42
|
|
504,348
|
|
|
1.01
|
%
|
|
42
|
||
> 2 to ≤ 3 months
|
|
281,849
|
|
|
0.92
|
%
|
|
82
|
|
363,365
|
|
|
0.90
|
%
|
|
78
|
||
> 3 to ≤ 6 months
|
|
58,018
|
|
|
1.19
|
%
|
|
103
|
|
—
|
|
|
N/A
|
|
|
N/A
|
||
> 6 to ≤ 9 months
|
|
—
|
|
|
N/A
|
|
|
N/A
|
|
100,000
|
|
|
0.78
|
%
|
|
259
|
||
> 9 to ≤ 12 months
|
|
—
|
|
|
N/A
|
|
|
N/A
|
|
136,226
|
|
|
0.77
|
%
|
|
334
|
||
> 12 months
|
|
515,000
|
|
|
1.12
|
%
|
|
766
|
|
515,000
|
|
|
0.72
|
%
|
|
1040
|
||
Total
|
|
3,279,966
|
|
|
1.15
|
%
|
|
142
|
|
3,664,715
|
|
|
0.92
|
%
|
|
188
|
||
U.S. Treasury
|
|
4,976
|
|
|
0.85
|
%
|
|
3
|
|
—
|
|
|
N/A
|
|
|
N/A
|
||
Total repurchase agreements
|
|
$
|
3,284,942
|
|
|
1.15
|
%
|
|
142
|
|
$
|
3,664,715
|
|
|
0.92
|
%
|
|
188
|
September 30, 2016
|
||||||||||||||||
|
|
Notional
Amount |
|
Fair Value
|
|
Weighted Average
|
||||||||||
Current Maturity Date for Interest Rate Swaps
(1)
|
|
|
|
Fixed
Pay Rate (2) |
|
Receive
Rate (3) |
|
Maturity
(Years) |
||||||||
≤ 3 years
|
|
$
|
1,565,000
|
|
|
$
|
(4,681
|
)
|
|
1.07
|
%
|
|
0.81
|
%
|
|
1.9
|
> 3 to ≤ 5 years
|
|
75,000
|
|
|
(790
|
)
|
|
1.31
|
%
|
|
0.76
|
%
|
|
4.6
|
||
> 5 to ≤ 7 years
|
|
460,000
|
|
|
(12,586
|
)
|
|
1.74
|
%
|
|
0.72
|
%
|
|
5.9
|
||
Total
|
|
$
|
2,100,000
|
|
|
$
|
(18,057
|
)
|
|
1.22
|
%
|
|
0.79
|
%
|
|
2.9
|
December 31, 2015
|
||||||||||||||||
|
|
Notional
Amount |
|
Fair Value
|
|
Weighted Average
|
||||||||||
Current Maturity Date for Interest Rate Swaps
(4)
|
|
|
|
Fixed
Pay Rate (2) |
|
Receive
Rate (3) |
|
Maturity
(Years) |
||||||||
≤ 3 years
|
|
$
|
865,000
|
|
|
$
|
(268
|
)
|
|
1.09
|
%
|
|
0.41
|
%
|
|
1.8
|
> 3 to ≤ 5 years
|
|
550,000
|
|
|
(5,054
|
)
|
|
1.72
|
%
|
|
0.42
|
%
|
|
3.4
|
||
> 5 to ≤ 7 years
|
|
625,000
|
|
|
(35,866
|
)
|
|
3.16
|
%
|
|
0.46
|
%
|
|
5.9
|
||
> 7 years
|
|
250,000
|
|
|
(11,311
|
)
|
|
2.71
|
%
|
|
0.60
|
%
|
|
7.9
|
||
Total
|
|
$
|
2,290,000
|
|
|
$
|
(52,499
|
)
|
|
1.98
|
%
|
|
0.43
|
%
|
|
4.0
|
(1)
|
Includes swaps with an aggregate notional of
$0.2 billion
with deferred start dates averaging
0.5 years
from
September 30, 2016
.
|
(2)
|
Excluding forward starting swaps, the weighted average pay rate was
1.15%
and
1.36%
as of
September 30, 2016 and December 31, 2015
, respectively.
|
(3)
|
Weighted average receive rate excludes impact of forward starting interest rate swaps.
|
(4)
|
Includes swaps with an aggregate notional of
$0.7 billion
with deferred start dates averaging
0.6 years
from
December 31, 2015
.
|
September 30, 2016
|
|||||||||||||||||||
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||
Current Option Expiration Date
|
|
Cost
|
|
Fair Value
|
|
Weighted Average Years to Expiration
|
|
Notional Amount
|
|
Pay Rate
|
|
Weighted Average Term (Years)
|
|||||||
|
|
|
|
|
|
||||||||||||||
> 3 to ≤ 12 months
|
|
$
|
3,493
|
|
|
$
|
476
|
|
|
0.4
|
|
$
|
50,000
|
|
|
3.00
|
%
|
|
7.0
|
>12 to ≤ 24 months
|
|
2,735
|
|
|
33
|
|
|
1.1
|
|
100,000
|
|
|
3.21
|
%
|
|
5.0
|
|||
Total / weighted average
|
|
$
|
6,228
|
|
|
$
|
509
|
|
|
0.9
|
|
$
|
150,000
|
|
|
3.14
|
%
|
|
5.7
|
December 31, 2015
|
|||||||||||||||||||
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||
Current Option Expiration Date
|
|
Cost
|
|
Fair Value
|
|
Weighted Average Years to Expiration
|
|
Notional Amount
|
|
Pay Rate
|
|
Weighted Average Term (Years)
|
|||||||
|
|
|
|
|
|
||||||||||||||
≤ 3 months
|
|
$
|
3,493
|
|
|
$
|
1,307
|
|
|
0.2
|
|
$
|
50,000
|
|
|
3.00
|
%
|
|
8.0
|
> 3 to ≤ 12 months
|
|
1,308
|
|
|
—
|
|
|
0.3
|
|
100,000
|
|
|
4.13
|
%
|
|
7.0
|
|||
>12 to ≤ 24 months
|
|
2,735
|
|
|
654
|
|
|
1.9
|
|
100,000
|
|
|
3.21
|
%
|
|
5.0
|
|||
Total / weighted average
|
|
$
|
7,536
|
|
|
$
|
1,961
|
|
|
0.9
|
|
$
|
250,000
|
|
|
3.54
|
%
|
|
6.4
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Interest income:
|
|
|
|
|
|
|
|
|
||||||||
Agency securities
|
|
$
|
19,028
|
|
|
$
|
19,988
|
|
|
$
|
54,704
|
|
|
$
|
75,455
|
|
Non-agency securities
|
|
16,410
|
|
|
19,760
|
|
|
53,130
|
|
|
54,414
|
|
||||
Other
|
|
153
|
|
|
67
|
|
|
483
|
|
|
197
|
|
||||
Interest expense
|
|
(10,082
|
)
|
|
(7,586
|
)
|
|
(29,438
|
)
|
|
(22,601
|
)
|
||||
Net interest income
|
|
25,509
|
|
|
32,229
|
|
|
78,879
|
|
|
107,465
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Servicing:
|
|
|
|
|
|
|
|
|
||||||||
Servicing income
|
|
3,904
|
|
|
11,576
|
|
|
17,719
|
|
|
34,768
|
|
||||
Servicing expense
|
|
(6,394
|
)
|
|
(15,580
|
)
|
|
(34,248
|
)
|
|
(47,149
|
)
|
||||
Net servicing loss
|
|
(2,490
|
)
|
|
(4,004
|
)
|
|
(16,529
|
)
|
|
(12,381
|
)
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Healthcare:
|
|
|
|
|
|
|
|
|
||||||||
Healthcare real estate income
|
|
2,424
|
|
|
—
|
|
|
3,338
|
|
|
—
|
|
||||
Healthcare real estate expense
|
|
(2,074
|
)
|
|
—
|
|
|
(3,177
|
)
|
|
—
|
|
||||
Net healthcare income
|
|
350
|
|
|
—
|
|
|
161
|
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Other gains (losses):
|
|
|
|
|
|
|
|
|
||||||||
Realized gain (loss) on agency securities, net
|
|
5,913
|
|
|
175
|
|
|
9,001
|
|
|
(5,552
|
)
|
||||
Realized gain on non-agency securities, net
|
|
756
|
|
|
8
|
|
|
2,765
|
|
|
6,405
|
|
||||
Realized loss on periodic settlements of interest rate swaps, net
|
|
(2,041
|
)
|
|
(3,793
|
)
|
|
(8,402
|
)
|
|
(12,537
|
)
|
||||
Realized loss on other derivatives and securities, net
|
|
(40,483
|
)
|
|
(27,724
|
)
|
|
(86,779
|
)
|
|
(43,023
|
)
|
||||
Unrealized gain (loss) on agency securities, net
|
|
(5,228
|
)
|
|
32,583
|
|
|
69,750
|
|
|
12,877
|
|
||||
Unrealized gain (loss) on non-agency securities, net
|
|
33,462
|
|
|
(13,104
|
)
|
|
37,992
|
|
|
(27,033
|
)
|
||||
Unrealized gain (loss) on other derivatives and securities, net
|
|
58,563
|
|
|
(18,654
|
)
|
|
32,993
|
|
|
(26,388
|
)
|
||||
Unrealized gain (loss) on mortgage servicing rights
|
|
62
|
|
|
(5,260
|
)
|
|
(12,753
|
)
|
|
(3,591
|
)
|
||||
Impairment of intangible asset
|
|
—
|
|
|
(10,000
|
)
|
|
—
|
|
|
(10,000
|
)
|
||||
Total other gains (losses), net
|
|
51,004
|
|
|
(45,769
|
)
|
|
44,567
|
|
|
(108,842
|
)
|
||||
Expenses:
|
|
|
|
|
|
|
|
|
||||||||
Management fees
|
|
3,525
|
|
|
4,250
|
|
|
10,999
|
|
|
13,183
|
|
||||
General and administrative expenses
|
|
1,794
|
|
|
1,845
|
|
|
7,607
|
|
|
5,923
|
|
||||
Total expenses
|
|
5,319
|
|
|
6,095
|
|
|
18,606
|
|
|
19,106
|
|
||||
Income (loss) before provision for income tax
|
|
69,054
|
|
|
(23,639
|
)
|
|
88,472
|
|
|
(32,864
|
)
|
||||
Provision for excise and income tax
|
|
(31
|
)
|
|
(373
|
)
|
|
(620
|
)
|
|
(42
|
)
|
||||
Net income (loss)
|
|
69,023
|
|
|
(24,012
|
)
|
|
87,852
|
|
|
(32,906
|
)
|
||||
Dividend on preferred stock
|
|
(1,117
|
)
|
|
(1,117
|
)
|
|
(3,351
|
)
|
|
(3,351
|
)
|
||||
Noncontrolling interest in net (income) loss
|
|
(5
|
)
|
|
—
|
|
|
1
|
|
|
—
|
|
||||
Net income (loss) available to common stockholders
|
|
$
|
67,901
|
|
|
$
|
(25,129
|
)
|
|
$
|
84,502
|
|
|
$
|
(36,257
|
)
|
|
|
|
|
|
|
|
|
|
||||||||
Net income (loss) per common share — basic
|
|
$
|
1.48
|
|
|
$
|
(0.49
|
)
|
|
$
|
1.83
|
|
|
$
|
(0.71
|
)
|
Net income (loss) per common share — diluted
|
|
$
|
1.48
|
|
|
$
|
(0.49
|
)
|
|
$
|
1.83
|
|
|
$
|
(0.71
|
)
|
|
|
|
|
|
|
|
|
|
||||||||
Weighted average number of common shares outstanding — basic
|
|
45,798
|
|
|
50,815
|
|
|
46,074
|
|
|
51,052
|
|
||||
Weighted average number of common shares outstanding — diluted
|
|
45,801
|
|
|
50,828
|
|
|
46,077
|
|
|
51,064
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Dividend declared per common share
|
|
$
|
0.40
|
|
|
$
|
0.40
|
|
|
$
|
1.20
|
|
|
$
|
1.40
|
|
|
|
For the Three Months Ended September 30,
|
||||||||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||||||||
|
|
Average Amortized Cost
|
|
Weighted Average Yield
|
|
Interest Income
|
|
Average Amortized Cost
|
|
Weighted Average Yield
|
|
Interest Income
|
||||||||||
Agency RMBS
(1)
|
|
$
|
3,043,411
|
|
|
2.50
|
%
|
|
$
|
19,028
|
|
|
$
|
3,370,767
|
|
|
2.37
|
%
|
|
$
|
19,988
|
|
Non-agency securities
|
|
1,249,631
|
|
|
5.25
|
%
|
|
16,410
|
|
|
1,429,926
|
|
|
5.53
|
%
|
|
19,760
|
|
||||
Total
|
|
$
|
4,293,042
|
|
|
3.30
|
%
|
|
$
|
35,438
|
|
|
$
|
4,800,693
|
|
|
3.31
|
%
|
|
$
|
39,748
|
|
|
|
For the Nine Months Ended September 30,
|
||||||||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||||||||
|
|
Average Amortized Cost
|
|
Weighted Average Yield
|
|
Interest Income
|
|
Average Amortized Cost
|
|
Weighted Average Yield
|
|
Interest Income
|
||||||||||
Agency RMBS
(1)
|
|
$
|
3,085,284
|
|
|
2.36
|
%
|
|
$
|
54,704
|
|
|
$
|
3,965,416
|
|
|
2.54
|
%
|
|
$
|
75,455
|
|
Non-agency securities
|
|
1,298,446
|
|
|
5.46
|
%
|
|
53,130
|
|
|
1,308,900
|
|
|
5.54
|
%
|
|
54,414
|
|
||||
Total
|
|
$
|
4,383,730
|
|
|
3.28
|
%
|
|
$
|
107,834
|
|
|
$
|
5,274,316
|
|
|
3.28
|
%
|
|
$
|
129,869
|
|
(1)
|
Does not include TBA dollar roll income reported in realized gain (loss) on other derivatives and securities, net in our consolidated statements of operations.
|
|
|
For the Three Months Ended September 30, 2016 vs 2015
|
|
For the Nine Months Ended September 30, 2016 vs. 2015
|
||||||||||||||||||||
|
|
Increase / (Decrease)
|
|
Due to Change in Average
(1)
|
|
Increase / (Decrease)
|
|
Due to Change in Average
(1)
|
||||||||||||||||
|
|
|
Volume
|
|
Yield
|
|
|
Volume
|
|
Yield
|
||||||||||||||
Agency RMBS
|
|
$
|
(960
|
)
|
|
$
|
(2,162
|
)
|
|
$
|
1,202
|
|
|
$
|
(20,751
|
)
|
|
$
|
(15,873
|
)
|
|
$
|
(4,878
|
)
|
Non-agency securities
|
|
(3,350
|
)
|
|
(2,396
|
)
|
|
(954
|
)
|
|
(1,284
|
)
|
|
(432
|
)
|
|
(852
|
)
|
||||||
Total
|
|
$
|
(4,310
|
)
|
|
$
|
(4,558
|
)
|
|
$
|
248
|
|
|
$
|
(22,035
|
)
|
|
$
|
(16,305
|
)
|
|
$
|
(5,730
|
)
|
(1)
|
Variances that are the combined effect of volume and yield, but cannot be separately identified, are allocated to the volume and yield variances based on their respective relative amounts.
|
|
|
Repurchase Agreements and Advances
(1)
|
|
Average
Interest
Rate as of Period End
(1)
|
|
Average Leverage During the Period
(2)
|
|
Leverage as of Period End
(3)
|
|
Adjusted Leverage as of Period End
(4)
|
|||||||||||
Quarter Ended
|
|
Average Daily Amount Outstanding
|
|
Maximum Daily Amount Outstanding
|
|
Ending Amount Outstanding
|
|
||||||||||||||
September 30, 2016
|
|
$
|
3,682,233
|
|
|
$
|
3,781,117
|
|
|
$
|
3,553,666
|
|
|
1.11
|
%
|
|
4.0x
|
|
3.7x
|
|
5.0x
|
June 30, 2016
|
|
$
|
3,692,354
|
|
|
$
|
4,306,868
|
|
|
$
|
3,555,883
|
|
|
1.04
|
%
|
|
4.2x
|
|
4.5x
|
|
4.9x
|
March 31, 2016
|
|
$
|
3,933,580
|
|
|
$
|
4,291,269
|
|
|
$
|
3,844,759
|
|
|
1.00
|
%
|
|
4.4x
|
|
4.4x
|
|
4.6x
|
December 31, 2015
|
|
$
|
4,239,674
|
|
|
$
|
4,509,693
|
|
|
$
|
4,107,615
|
|
|
0.88
|
%
|
|
4.4x
|
|
4.4x
|
|
4.5x
|
September 30, 2015
|
|
$
|
4,118,008
|
|
|
$
|
4,921,925
|
|
|
$
|
4,067,133
|
|
|
0.74
|
%
|
|
4.1x
|
|
4.2x
|
|
4.7x
|
(1)
|
Excludes repurchase agreements collateralized by U.S. Treasury securities and borrowings related to our healthcare investments, but includes advances from the Federal Home Loan Bank collateralized by agency and non-agency securities.
|
(2)
|
Average leverage during the period was calculated by dividing our daily weighted average agency and non-agency financing balance by our average month-end stockholders’ equity for the period, less investment in RCS, agency mortgage REIT equity securities and healthcare real estate investments.
|
(3)
|
Leverage as of period end was calculated by dividing the amount outstanding under our agency and non-agency financing agreements and net payables and receivables for unsettled agency and non-agency securities by our total stockholders' equity at period end, less our investment in RCS, agency mortgage REIT equity securities and healthcare real estate investments.
|
(4)
|
Adjusted leverage as of period end was calculated by dividing the sum of the amounts outstanding under our agency and non-agency financing agreements, the cost basis (or contract price) of our net TBA position, and net payables and receivables for unsettled agency and non-agency securities by our total stockholders’ equity at period end, less our investment in RCS, agency mortgage REIT equity securities and healthcare real estate investments.
|
|
|
For the Three Months Ended September 30,
|
||||||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||||||
|
|
Average
Balance / Effective Notional |
|
Rate
|
|
Adjusted Cost of Funds
(1)
|
|
Average
Balance / Effective Notional |
|
Rate
|
|
Adjusted Cost of Funds
(1)
|
||||||||
Repurchase agreements and FHLB advances
|
|
$
|
3,682,233
|
|
|
1.09%
|
|
$
|
10,082
|
|
|
$
|
4,118,008
|
|
|
0.73%
|
|
$
|
7,586
|
|
Interest rate swaps
|
|
1,825,000
|
|
|
0.44%
|
|
2,041
|
|
|
1,521,250
|
|
|
0.99%
|
|
3,793
|
|
||||
Total adjusted cost of funds
|
|
|
|
1.30%
|
|
$
|
12,123
|
|
|
|
|
1.09%
|
|
$
|
11,379
|
|
|
|
For the Nine Months Ended September 30,
|
||||||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||||||
|
|
Average
Balance / Effective Notional |
|
Rate
|
|
Adjusted Cost of Funds
(1)
|
|
Average
Balance / Effective Notional |
|
Rate
|
|
Adjusted Cost of Funds
(1)
|
||||||||
Repurchase agreements and FHLB advances
|
|
$
|
3,769,942
|
|
|
1.04%
|
|
$
|
29,438
|
|
|
$
|
4,589,036
|
|
|
0.66%
|
|
$
|
22,601
|
|
Interest rate swaps
|
|
1,678,500
|
|
|
0.67%
|
|
8,402
|
|
|
1,622,500
|
|
|
1.03%
|
|
12,537
|
|
||||
Total adjusted cost of funds
|
|
|
|
1.34%
|
|
$
|
37,840
|
|
|
|
|
1.02%
|
|
$
|
35,138
|
|
(1)
|
Our adjusted cost of funds excludes any impacts from other supplemental hedges such as U.S. Treasury securities and swaptions, and the implied financing cost or benefit of our net TBA dollar roll position reported in gain (loss) on other derivatives and securities, net in our consolidated statements of operations.
|
|
|
For the Three Months Ended September 30, 2016 vs 2015
|
|
For the Nine Months Ended September 30, 2016 vs. 2015
|
||||||||||||||||||||
|
|
Increase / (Decrease)
|
|
Due to Change in Average
(1)
|
|
Increase / (Decrease)
|
|
Due to Change in Average
(1)
|
||||||||||||||||
|
|
|
Volume
|
|
Rate
|
|
|
Volume
|
|
Rate
|
||||||||||||||
Repurchase agreements and FHLB advances
|
|
$
|
2,496
|
|
|
$
|
(694
|
)
|
|
$
|
3,190
|
|
|
$
|
6,837
|
|
|
$
|
(2,998
|
)
|
|
$
|
9,835
|
|
Interest rate swaps
|
|
(1,752
|
)
|
|
994
|
|
|
(2,746
|
)
|
|
(4,135
|
)
|
|
449
|
|
|
(4,584
|
)
|
||||||
Total adjusted cost of funds
|
|
$
|
744
|
|
|
$
|
300
|
|
|
$
|
444
|
|
|
$
|
2,702
|
|
|
$
|
(2,549
|
)
|
|
$
|
5,251
|
|
(1)
|
Variances that are the combined effect of volume and yield, but cannot be separately identified, are allocated to the volume and yield variances based on their respective relative amounts.
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Servicing fee income
|
|
$
|
3,799
|
|
|
$
|
8,312
|
|
|
$
|
14,252
|
|
|
$
|
24,046
|
|
Incentive, ancillary and other income
|
|
105
|
|
|
3,264
|
|
|
3,467
|
|
|
10,722
|
|
||||
Servicing income
|
|
3,904
|
|
|
11,576
|
|
|
17,719
|
|
|
34,768
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Employee compensation and benefit costs
|
|
1,365
|
|
|
7,907
|
|
|
15,532
|
|
|
22,926
|
|
||||
Facility costs
|
|
348
|
|
|
2,450
|
|
|
2,474
|
|
|
7,870
|
|
||||
Realization of cash flows from MSR
|
|
2,848
|
|
|
2,642
|
|
|
7,569
|
|
|
7,875
|
|
||||
Other servicing costs
|
|
1,833
|
|
|
2,581
|
|
|
8,673
|
|
|
8,478
|
|
||||
Servicing expense
|
|
6,394
|
|
|
15,580
|
|
|
34,248
|
|
|
47,149
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Net servicing loss
|
|
$
|
(2,490
|
)
|
|
$
|
(4,004
|
)
|
|
$
|
(16,529
|
)
|
|
$
|
(12,381
|
)
|
|
|
For the Three Months Ended September 30, 2016
|
|
For the Nine Months Ended September 30, 2016
|
||||
Lease income
|
|
$
|
1,326
|
|
|
$
|
1,992
|
|
Rental income
|
|
1,098
|
|
|
1,346
|
|
||
Healthcare real estate income
|
|
2,424
|
|
|
3,338
|
|
||
|
|
|
|
|
||||
Interest expense
|
|
708
|
|
|
1,002
|
|
||
Depreciation
|
|
493
|
|
|
704
|
|
||
Acquisition costs
|
|
223
|
|
|
761
|
|
||
Tenant expenses
|
|
650
|
|
|
710
|
|
||
Healthcare real estate expense
|
|
2,074
|
|
|
3,177
|
|
||
Net healthcare income
|
|
$
|
350
|
|
|
$
|
161
|
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Proceeds from agency RMBS sold
|
|
$
|
418,485
|
|
|
$
|
536,661
|
|
|
$
|
1,003,698
|
|
|
$
|
1,772,536
|
|
Increase (decrease) in receivable for agency RMBS sold
|
|
158,024
|
|
|
(141,887
|
)
|
|
158,024
|
|
|
67,055
|
|
||||
Less agency RMBS sold, at cost
|
|
(570,596
|
)
|
|
(394,599
|
)
|
|
(1,152,721
|
)
|
|
(1,845,143
|
)
|
||||
Realized gain (loss) on agency securities, net
|
|
$
|
5,913
|
|
|
$
|
175
|
|
|
$
|
9,001
|
|
|
$
|
(5,552
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gross realized gains on sale of agency RMBS
|
|
$
|
5,919
|
|
|
$
|
2,226
|
|
|
$
|
9,291
|
|
|
$
|
6,190
|
|
Gross realized losses on sale of agency RMBS
|
|
(6
|
)
|
|
(2,051
|
)
|
|
(290
|
)
|
|
(11,742
|
)
|
||||
Realized gain (loss) on agency securities, net
|
|
$
|
5,913
|
|
|
$
|
175
|
|
|
$
|
9,001
|
|
|
$
|
(5,552
|
)
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Proceeds from non-agency securities sold
|
|
$
|
23,680
|
|
|
$
|
166,502
|
|
|
$
|
571,210
|
|
|
$
|
385,480
|
|
Decrease in receivable for non-agency securities sold
|
|
—
|
|
|
—
|
|
|
(2,565
|
)
|
|
—
|
|
||||
Less: non-agency securities sold, at cost
|
|
(22,924
|
)
|
|
(166,494
|
)
|
|
(565,880
|
)
|
|
(379,075
|
)
|
||||
Realized gain on non-agency securities, net
|
|
$
|
756
|
|
|
$
|
8
|
|
|
$
|
2,765
|
|
|
$
|
6,405
|
|
|
|
|
|
|
|
|
|
|
||||||||
Gross realized gain on sale of non-agency securities
|
|
$
|
756
|
|
|
$
|
1,769
|
|
|
$
|
8,521
|
|
|
$
|
8,662
|
|
Gross realized loss on sale of non-agency securities
|
|
—
|
|
|
(1,761
|
)
|
|
(5,756
|
)
|
|
(2,257
|
)
|
||||
Realized gain on non-agency securities, net
|
|
$
|
756
|
|
|
$
|
8
|
|
|
$
|
2,765
|
|
|
$
|
6,405
|
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Realized loss on periodic settlements of interest rate swaps, net
|
|
$
|
(2,041
|
)
|
|
$
|
(3,793
|
)
|
|
$
|
(8,402
|
)
|
|
$
|
(12,537
|
)
|
Realized loss on other derivatives and securities:
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
$
|
(42,346
|
)
|
|
$
|
(23,540
|
)
|
|
$
|
(80,696
|
)
|
|
$
|
(53,114
|
)
|
Interest rate swaptions
|
|
—
|
|
|
(1,273
|
)
|
|
(1,307
|
)
|
|
(1,793
|
)
|
||||
TBA securities
|
|
8,694
|
|
|
(251
|
)
|
|
16,943
|
|
|
13,249
|
|
||||
U.S. Treasury securities
|
|
149
|
|
|
1,899
|
|
|
4,601
|
|
|
10,993
|
|
||||
U.S. Treasury futures
|
|
(6,058
|
)
|
|
(2,156
|
)
|
|
(15,781
|
)
|
|
(4,934
|
)
|
||||
Short sales of U.S. Treasury securities
|
|
(811
|
)
|
|
(3,389
|
)
|
|
(13,284
|
)
|
|
(8,473
|
)
|
||||
Agency mortgage REIT equity investments
|
|
—
|
|
|
—
|
|
|
1,640
|
|
|
—
|
|
||||
Interest only swaps
|
|
276
|
|
|
513
|
|
|
1,696
|
|
|
229
|
|
||||
Credit default swaps
|
|
(484
|
)
|
|
459
|
|
|
(979
|
)
|
|
784
|
|
||||
Other, net
|
|
97
|
|
|
14
|
|
|
388
|
|
|
36
|
|
||||
Total realized loss on other derivatives and securities, net
|
|
$
|
(40,483
|
)
|
|
$
|
(27,724
|
)
|
|
$
|
(86,779
|
)
|
|
$
|
(43,023
|
)
|
Unrealized gain (loss) on other derivatives and securities:
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
$
|
55,127
|
|
|
$
|
(20,279
|
)
|
|
$
|
34,486
|
|
|
$
|
(13,103
|
)
|
Interest rate swaptions
|
|
(79
|
)
|
|
(1,085
|
)
|
|
(145
|
)
|
|
(1,419
|
)
|
||||
TBA securities
|
|
(3,362
|
)
|
|
15,242
|
|
|
3,649
|
|
|
(1,231
|
)
|
||||
U.S. Treasury securities
|
|
(424
|
)
|
|
72
|
|
|
11
|
|
|
(666
|
)
|
||||
U.S. Treasury futures
|
|
8,354
|
|
|
(2,519
|
)
|
|
(1,350
|
)
|
|
(773
|
)
|
||||
Short sales of U.S. Treasury securities
|
|
(53
|
)
|
|
(11,729
|
)
|
|
(1,782
|
)
|
|
(10,795
|
)
|
||||
Interest only swaps
|
|
(200
|
)
|
|
439
|
|
|
343
|
|
|
128
|
|
||||
Credit default swaps
|
|
(800
|
)
|
|
1,545
|
|
|
(2,219
|
)
|
|
1,471
|
|
||||
Credit default option
|
|
—
|
|
|
(340
|
)
|
|
—
|
|
|
—
|
|
||||
Total unrealized gain (loss) on other derivatives and securities, net
|
|
$
|
58,563
|
|
|
$
|
(18,654
|
)
|
|
$
|
32,993
|
|
|
$
|
(26,388
|
)
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net income (loss)
|
|
$
|
69,023
|
|
|
$
|
(24,012
|
)
|
|
$
|
87,852
|
|
|
$
|
(32,906
|
)
|
Book to tax differences:
|
|
|
|
|
|
|
|
|
||||||||
Unrealized (gains) and losses, net
|
|
|
|
|
|
|
|
|
||||||||
Agency RMBS
|
|
5,228
|
|
|
(32,583
|
)
|
|
(69,750
|
)
|
|
(12,877
|
)
|
||||
Non-agency securities
|
|
(33,462
|
)
|
|
13,104
|
|
|
(37,992
|
)
|
|
27,033
|
|
||||
Derivatives, MSR and other securities
|
|
(58,625
|
)
|
|
23,914
|
|
|
(20,240
|
)
|
|
29,979
|
|
||||
Amortization / accretion
|
|
(173
|
)
|
|
(1,053
|
)
|
|
1,138
|
|
|
(10,100
|
)
|
||||
Capital losses (gains) in excess of capital gains (losses)
(1)
|
|
(8,415
|
)
|
|
1,888
|
|
|
(8,562
|
)
|
|
(12,478
|
)
|
||||
Other realized losses, net
(1)
|
|
37,097
|
|
|
24,694
|
|
|
74,020
|
|
|
59,991
|
|
||||
Taxable REIT subsidiary loss and other
|
|
2,516
|
|
|
14,377
|
|
|
17,151
|
|
|
22,424
|
|
||||
Total book to tax difference
|
|
(55,834
|
)
|
|
44,341
|
|
|
(44,235
|
)
|
|
103,972
|
|
||||
Estimated taxable income
|
|
13,189
|
|
|
20,329
|
|
|
43,617
|
|
|
71,066
|
|
||||
Dividend on preferred stock
|
|
(1,117
|
)
|
|
(1,117
|
)
|
|
(3,351
|
)
|
|
(3,351
|
)
|
||||
Estimated taxable income available to common stockholders
|
|
$
|
12,072
|
|
|
$
|
19,212
|
|
|
$
|
40,266
|
|
|
$
|
67,715
|
|
|
|
|
|
|
|
|
|
|
||||||||
Weighted average number of common shares outstanding — basic
|
|
45,798
|
|
|
50,815
|
|
|
46,074
|
|
|
51,052
|
|
||||
Weighted average number of common shares outstanding — diluted
|
|
45,801
|
|
|
50,828
|
|
|
46,077
|
|
|
51,064
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Estimated taxable income per common share - basic and diluted
|
|
$
|
0.26
|
|
|
$
|
0.38
|
|
|
$
|
0.87
|
|
|
$
|
1.33
|
|
Estimated cumulative undistributed REIT taxable income per common share
|
|
$
|
(0.29
|
)
|
|
$
|
0.05
|
|
|
$
|
(0.29
|
)
|
|
$
|
0.05
|
|
|
|
|
|
|
|
|
|
|
||||||||
Beginning cumulative non-deductible capital losses
|
|
$
|
126,808
|
|
|
$
|
130,531
|
|
|
$
|
126,955
|
|
|
$
|
144,897
|
|
Current period net capital loss (gain)
|
|
(8,415
|
)
|
|
1,888
|
|
|
(8,562
|
)
|
|
(12,478
|
)
|
||||
Ending cumulative non-deductible capital losses
|
|
$
|
118,393
|
|
|
$
|
132,419
|
|
|
$
|
118,393
|
|
|
$
|
132,419
|
|
Ending cumulative non-deductible capital losses per common share
|
|
$
|
2.59
|
|
|
$
|
2.65
|
|
|
$
|
2.59
|
|
|
$
|
2.65
|
|
(1)
|
Estimated taxable income excludes estimated net capital gains of
$0.18
and
$0.19
per common share for
the three and nine months ended September 30, 2016
, respectively, which will reduce our net capital loss carryforwards from prior periods. Estimated taxable income also excludes losses on terminated interest rate swaps of
$(0.92)
and
$(1.75)
per common share, for
the three and nine months ended September 30, 2016
, respectively, which are deferred and amortized into future ordinary taxable income over the original swap terms.
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Series A Preferred Stock
|
|
0.5078125
|
|
|
0.5078125
|
|
|
$
|
1.5234375
|
|
|
$
|
1.5234375
|
|
||
Common stock
|
|
$
|
0.40
|
|
|
$
|
0.40
|
|
|
$
|
1.20
|
|
|
$
|
1.40
|
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Ending agency securities, at fair value
|
|
$
|
2,952,851
|
|
|
$
|
3,356,523
|
|
|
$
|
2,952,851
|
|
|
$
|
3,356,523
|
|
Ending agency securities, at cost
|
|
$
|
2,901,788
|
|
|
$
|
3,334,238
|
|
|
$
|
2,901,788
|
|
|
$
|
3,334,238
|
|
Ending agency securities, at par
|
|
$
|
2,754,915
|
|
|
$
|
3,178,229
|
|
|
$
|
2,754,915
|
|
|
$
|
3,178,229
|
|
Average agency securities, at cost
|
|
$
|
3,043,411
|
|
|
$
|
3,370,767
|
|
|
$
|
3,085,284
|
|
|
$
|
3,965,416
|
|
Average agency securities, at par
|
|
$
|
2,891,174
|
|
|
$
|
3,213,650
|
|
|
$
|
2,935,428
|
|
|
$
|
3,784,513
|
|
|
|
|
|
|
|
|
|
|
||||||||
Ending non-agency securities, at fair value
|
|
$
|
1,285,266
|
|
|
$
|
1,479,586
|
|
|
$
|
1,285,266
|
|
|
$
|
1,479,586
|
|
Ending non-agency securities, at cost
|
|
$
|
1,232,716
|
|
|
$
|
1,448,908
|
|
|
$
|
1,232,716
|
|
|
$
|
1,448,908
|
|
Ending non-agency securities, at par
|
|
$
|
1,431,032
|
|
|
$
|
1,676,165
|
|
|
$
|
1,431,032
|
|
|
$
|
1,676,165
|
|
Average non-agency securities, at cost
|
|
$
|
1,249,631
|
|
|
$
|
1,429,926
|
|
|
$
|
1,298,446
|
|
|
$
|
1,308,900
|
|
Average non-agency securities, at par
|
|
$
|
1,448,546
|
|
|
$
|
1,663,642
|
|
|
$
|
1,501,980
|
|
|
$
|
1,558,331
|
|
|
|
|
|
|
|
|
|
|
||||||||
Net TBA portfolio - as of period end, at fair value
(1)
|
|
$
|
1,209,459
|
|
|
$
|
543,897
|
|
|
$
|
1,209,459
|
|
|
$
|
543,897
|
|
Net TBA portfolio - as of period end, at cost
(1)
|
|
$
|
1,205,003
|
|
|
$
|
533,496
|
|
|
$
|
1,205,003
|
|
|
$
|
533,496
|
|
Average net TBA portfolio, at cost
(1)
|
|
$
|
704,098
|
|
|
$
|
305,462
|
|
|
$
|
381,020
|
|
|
$
|
85,166
|
|
|
|
|
|
|
|
|
|
|
||||||||
Average total assets, at fair value
|
|
$
|
4,924,603
|
|
|
$
|
6,224,595
|
|
|
$
|
4,990,515
|
|
|
$
|
6,632,130
|
|
Average agency and non-agency repurchase agreements and advances
|
|
$
|
3,682,233
|
|
|
$
|
4,118,008
|
|
|
$
|
3,769,942
|
|
|
$
|
4,589,036
|
|
Average stockholders' equity
(2)
|
|
$
|
980,655
|
|
|
$
|
1,099,139
|
|
|
$
|
964,448
|
|
|
$
|
1,149,321
|
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Average coupon
|
|
3.34
|
%
|
|
3.15
|
%
|
|
3.33
|
%
|
|
3.12
|
%
|
||||
Average asset yield
|
|
3.30
|
%
|
|
3.31
|
%
|
|
3.28
|
%
|
|
3.28
|
%
|
||||
Average cost of funds
(3)
|
|
1.30
|
%
|
|
1.09
|
%
|
|
1.34
|
%
|
|
1.02
|
%
|
||||
Average net interest rate spread
|
|
2.00
|
%
|
|
2.22
|
%
|
|
1.94
|
%
|
|
2.26
|
%
|
||||
Average net interest rate spread and
TBA dollar roll income (loss)
(1)(4)
|
|
2.06
|
%
|
|
2.27
|
%
|
|
1.98
|
%
|
|
2.41
|
%
|
||||
Average net interest rate spread and TBA dollar roll income (loss), excluding estimated “catch-up” premium amortization income (expense)
(1)
|
|
2.12
|
%
|
|
2.40
|
%
|
|
2.16
|
%
|
|
2.41
|
%
|
||||
Average coupon as of period end
|
|
3.31
|
%
|
|
3.17
|
%
|
|
3.31
|
%
|
|
3.17
|
%
|
||||
Average asset yield as of period end
|
|
3.47
|
%
|
|
3.45
|
%
|
|
3.47
|
%
|
|
3.45
|
%
|
||||
Average cost of funds as of period end
|
|
1.30
|
%
|
|
1.16
|
%
|
|
1.30
|
%
|
|
1.16
|
%
|
||||
Average net interest rate spread as of period end
|
|
2.17
|
%
|
|
2.29
|
%
|
|
2.17
|
%
|
|
2.29
|
%
|
||||
Average actual CPR for agency securities held during the period
|
|
13.0
|
%
|
|
11.0
|
%
|
|
10.9
|
%
|
|
9.5
|
%
|
||||
Average projected life CPR for agency securities as of period end
|
|
10.1
|
%
|
|
8.6
|
%
|
|
10.1
|
%
|
|
8.6
|
%
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Leverage - average during the period
(5)
|
|
4.0x
|
|
|
4.1x
|
|
|
4.2x
|
|
|
4.4x
|
|
||||
Leverage - average during the period, including net TBA position
(1)
|
|
4.8x
|
|
|
4.4x
|
|
|
4.6x
|
|
|
4.4x
|
|
||||
Leverage - as of period end
(6)
|
|
3.7x
|
|
|
4.2x
|
|
|
3.7x
|
|
|
4.2x
|
|
||||
Leverage - as of period end, including net TBA position
(1)
|
|
5.0x
|
|
|
4.7x
|
|
|
5.0x
|
|
|
4.7x
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Expenses % of average total assets - annualized
|
|
0.4
|
%
|
|
0.4
|
%
|
|
0.5
|
%
|
|
0.4
|
%
|
||||
Expenses % of average stockholders' equity - annualized
|
|
2.2
|
%
|
|
2.2
|
%
|
|
2.6
|
%
|
|
2.2
|
%
|
||||
Net book value per common share as of period end
|
|
$
|
20.55
|
|
|
$
|
19.93
|
|
|
$
|
20.55
|
|
|
$
|
19.93
|
|
Dividends declared per common share
|
|
$
|
0.40
|
|
|
$
|
0.40
|
|
|
$
|
1.20
|
|
|
$
|
1.40
|
|
Economic return on common equity - annualized
|
|
30.4
|
%
|
|
(7.1
|
)%
|
|
14.2
|
%
|
|
(3.6
|
)%
|
(1)
|
Includes the impact of $200.0 million notional amount of forward settling specified pools as of
September 30, 2016
.
|
(2)
|
Excluding the Company's investments in RCS and healthcare real estate investments, the average stockholder's equity for the
third
quarter was
$916.2 million
.
|
(3)
|
Average cost of funds includes periodic settlements of interest rate swaps and excludes U.S. Treasury repurchase agreements.
|
(4)
|
Estimated dollar roll income excludes the impact of other supplemental hedges and is recognized in gain (loss) on other derivatives and securities, net.
|
(5)
|
Leverage during the period was calculated by dividing the Company's daily weighted average agency and non-agency financing agreements for the period by the Company's average month-ended stockholders' equity for the period less investments in RCS, agency mortgage REIT equity securities and healthcare real estate investments. Leverage excludes U.S. Treasury repurchase agreements.
|
(6)
|
Leverage at period end was calculated by dividing the sum of the amount outstanding under the Company's agency and non-agency financing agreements, and the net receivable/payable for unsettled securities at period end by the Company's stockholders' equity at period end less investments in RCS, agency mortgage REIT equity securities and healthcare real estate investments. Leverage excludes U.S. Treasury repurchase agreements.
|
|
|
For the Three Months Ended September 30,
|
|
For the Nine Months Ended September 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Interest income:
|
|
|
|
|
|
|
|
|
||||||||
Agency securities
|
|
$
|
19,028
|
|
|
$
|
19,988
|
|
|
$
|
54,704
|
|
|
$
|
75,455
|
|
Non-agency securities and other
|
|
16,563
|
|
|
19,827
|
|
|
53,613
|
|
|
54,611
|
|
||||
Interest expense
|
|
(10,082
|
)
|
|
(7,586
|
)
|
|
(29,438
|
)
|
|
(22,601
|
)
|
||||
Net interest income
|
|
25,509
|
|
|
32,229
|
|
|
78,879
|
|
|
107,465
|
|
||||
Dividend income from investments in agency mortgage REIT equity securities
(1)
|
|
—
|
|
|
—
|
|
|
244
|
|
|
—
|
|
||||
Realized loss on periodic settlements of interest rate swaps, net
|
|
(2,041
|
)
|
|
(3,793
|
)
|
|
(8,402
|
)
|
|
(12,537
|
)
|
||||
Dollar roll income
|
|
4,231
|
|
|
3,201
|
|
|
6,927
|
|
|
5,252
|
|
||||
Adjusted net interest and dollar roll income
|
|
27,699
|
|
|
31,637
|
|
|
77,648
|
|
|
100,180
|
|
||||
Operating expenses
|
|
(5,319
|
)
|
|
(6,095
|
)
|
|
(18,606
|
)
|
|
(19,106
|
)
|
||||
Less: strategic review costs
|
|
—
|
|
|
—
|
|
|
1,745
|
|
|
—
|
|
||||
Net spread and dollar roll income
|
|
22,380
|
|
|
25,542
|
|
|
60,787
|
|
|
81,074
|
|
||||
Dividend on preferred stock
|
|
(1,117
|
)
|
|
(1,117
|
)
|
|
(3,351
|
)
|
|
(3,351
|
)
|
||||
Net spread and dollar roll income available to common stockholders
|
|
21,263
|
|
|
24,425
|
|
|
57,436
|
|
|
77,723
|
|
||||
Estimated “catch-up” premium amortization cost due to change in CPR forecast
|
|
674
|
|
|
1,610
|
|
|
6,273
|
|
|
126
|
|
||||
Net spread and dollar roll income, excluding “catch-up” premium amortization, available to common stockholders
|
|
$
|
21,937
|
|
|
$
|
26,035
|
|
|
$
|
63,709
|
|
|
$
|
77,849
|
|
|
|
|
|
|
|
|
|
|
||||||||
Weighted average number of common shares outstanding - basic
|
|
45,798
|
|
|
50,815
|
|
|
46,074
|
|
|
51,052
|
|
||||
Weighted average number of common shares outstanding - diluted
|
|
45,801
|
|
|
50,828
|
|
|
46,077
|
|
|
51,064
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Net spread and dollar roll income per common share- basic and diluted
|
|
$
|
0.46
|
|
|
$
|
0.48
|
|
|
$
|
1.25
|
|
|
$
|
1.52
|
|
Net spread and dollar roll income, excluding “catch up” amortization per common share - basic and diluted
|
|
$
|
0.48
|
|
|
$
|
0.51
|
|
|
$
|
1.38
|
|
|
$
|
1.52
|
|
(1)
|
Dividend income from investments in agency mortgage REIT equity securities is included in realized gain (loss) on other derivatives and securities, net on the consolidated statements of operations.
|
|
|
September 30, 2016
|
||
Counterparty Region
|
|
Number of Counterparties
|
|
Percentage of Repurchase Agreement Funding
|
North America
|
|
17
|
|
67%
|
Asia
|
|
5
|
|
15%
|
Europe
|
|
10
|
|
18%
|
Total
|
|
32
|
|
100%
|
Interest Rate Sensitivity
(1)
|
|||||||||
|
|
Percentage Change in Projected
|
|||||||
Change in Interest Rate
|
|
Net Interest Income
(2)
|
|
Portfolio Value
(3) (4)
|
|
Net Asset Value
(3) (5)
|
|||
September 30, 2016
|
|
|
|
|
|
|
|||
+100 basis points
|
|
3.1
|
%
|
|
(1.4
|
)%
|
|
(8.1
|
)%
|
+50 basis points
|
|
1.3
|
%
|
|
(0.5
|
)%
|
|
(2.9
|
)%
|
-50 basis points
|
|
(3.1
|
)%
|
|
0.1
|
%
|
|
0.4
|
%
|
-100 basis points
|
|
(10.4
|
)%
|
|
(0.2
|
)%
|
|
(1.3
|
)%
|
December 31, 2015
|
|
|
|
|
|
|
|||
+100 basis points
|
|
(3.1
|
)%
|
|
(1.1
|
)%
|
|
(5.7
|
)%
|
+50 basis points
|
|
(1.2
|
)%
|
|
(0.5
|
)%
|
|
(2.5
|
)%
|
-50 basis points
|
|
0.1
|
%
|
|
0.2
|
%
|
|
1.3
|
%
|
-100 basis points
|
|
(4.5
|
)%
|
|
0.1
|
%
|
|
0.7
|
%
|
(1)
|
Interest rate sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties as well as by our Manager, assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates.
|
(2)
|
Represents the estimated dollar change in net interest income expressed as a percentage of net interest income based on asset yields and cost of funds as of such date. It includes the effect of periodic interest costs on our interest rate swaps, but excludes TBA dollar roll income and costs associated with other supplemental hedges, such as swaptions and U.S. Treasury securities or TBA positions. Estimated dollar change in net interest income does not include the one time impact of retroactive “catch-up” premium amortization benefit/cost due to an increase/decrease in the projected CPR.
|
(5)
|
Estimated change in net asset value expressed as a percentage of stockholders' equity.
|
RMBS Spread Sensitivity
(1)
|
||||||
|
|
Percentage Change in Projected
|
||||
Change in RMBS Spread: Agency / Non-Agency
|
|
Portfolio Market Value
(2) (3)
|
|
Net Asset
Value
(2) (4)
|
||
September 30, 2016
|
|
|
|
|
||
-25 / -50 basis points
|
|
1.4
|
%
|
|
8.1
|
%
|
-10 / -25 basis points
|
|
0.6
|
%
|
|
3.5
|
%
|
+10 / +25 basis points
|
|
(0.6
|
)%
|
|
(3.5
|
)%
|
+25 / +50 basis points
|
|
(1.4
|
)%
|
|
(8.1
|
)%
|
December 31, 2015
|
|
|
|
|
||
-25 / -50 basis points
|
|
1.7
|
%
|
|
8.8
|
%
|
-10 / -25 basis points
|
|
0.8
|
%
|
|
3.9
|
%
|
+10 / +25 basis points
|
|
(0.8
|
)%
|
|
(3.9
|
)%
|
+25 / +50 basis points
|
|
(1.7
|
)%
|
|
(8.8
|
)%
|
(1)
|
Spread sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties as well as by our Manager, and assumes there are no changes in interest rates and a static portfolio. Actual results could differ materially from these estimates.
|
(4)
|
Estimated dollar change in net asset value expressed as a percentage of stockholders' equity as of such date.
|
Exhibit No.
|
|
Description
|
3.1
|
|
MTGE Investment Corp. Articles of Amendment and Restatement, effective September 30, 2016, filed herewith
|
|
|
|
3.2
|
|
MTGE Investment Corp. Amended and Restated Bylaws, effective September 30, 2016, filed herewith
|
|
|
|
*3.3
|
|
Articles Supplementary of 8.125% Series A Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.3 of Form 8-A (File No. 001-35260), filed May 16, 2014.
|
|
|
|
4.1
|
|
Form of Certificate for Common Stock, filed herewith
|
|
|
|
4.2
|
|
Instruments defining the rights of holders of securities: See Article VI of our Articles of Amendment and Restatement, filed herewith
|
|
|
|
4.3
|
|
Instruments defining the rights of holders of securities: See Article VII of our Amended and Restated Bylaws, filed herewith
|
|
|
|
*4.4
|
|
Form of certificate representing the 8.125% Series A Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-35260), filed May 16, 2014.
|
|
|
|
*10.1
|
|
Amended and Restated Management Agreement by and among American Capital Mortgage Investment Corp., American Capital Mortgage Investment TRS, LLC and American Capital MTGE Management, LLC, dated July 1, 2016, incorporated herein by reference to Exhibit 10.1 of Form 8-K (File No. 001-35260), filed July 8, 2016.
|
|
|
|
31.1
|
|
Certification of CEO Pursuant to Section 302(a) of the Sarbanes-Oxley Act of 2002.
|
|
|
|
31.2
|
|
Certification of CFO Pursuant to Section 302(a) of the Sarbanes-Oxley Act of 2002.
|
|
|
|
32
|
|
Certification of CEO and CFO Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
101.INS**
|
|
XBRL Instance Document
|
|
|
|
101.SCH**
|
|
XBRL Taxonomy Extension Schema Document
|
|
|
|
101.CAL**
|
|
XBRL Taxonomy Extension Calculation Linkbase Document
|
|
|
|
101.LAB**
|
|
XBRL Taxonomy Extension Labels Linkbase Document
|
|
|
|
101.PRE**
|
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
|
|
|
101.DEF**
|
|
XBRL Taxonomy Extension Definition Linkbase Document
|
MTGE Investment Corp.
|
||
|
|
|
By:
|
|
/s/ GARY KAIN
|
|
|
Gary Kain
|
|
|
Chief Executive Officer, President and
Chief Investment Officer (Principal Executive Officer)
|
By:
|
|
/s/ PETER FEDERICO
|
|
|
Peter Federico
|
|
|
Chief Financial Officer and
Executive Vice President (Principal Financial Officer)
|
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
|
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:
|
November 8, 2016
|
|
By:
|
/s/ GARY KAIN
|
|
|
|
|
Gary Kain
Chief Executive Officer,
President and Chief Investment Officer
|
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
|
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:
|
November 8, 2016
|
|
By:
|
/s/ PETER J. FEDERICO
|
|
|
|
|
Peter J. Federico
Chief Financial Officer and
Executive Vice President
|
1.
|
The Quarterly Report on Form 10-Q of the Company for the quarterly period ended
September 30, 2016
(the “Report”) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934 (15 U.S.C. 78m); and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
Date:
|
November 8, 2016
|
|
By:
|
/s/ GARY KAIN
|
|
|
|
|
Gary Kain
Chief Executive Officer, President and Chief Investment Officer |
|
|
|
|
|
Date:
|
November 8, 2016
|
|
By:
|
/s/ PETER J. FEDERICO
|
|
|
|
|
Peter J. Federico
Chief Financial Officer and Executive Vice President |