x
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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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¨
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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Maryland
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46-0687599
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(State or Other Jurisdiction of Incorporation or Organization)
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(I.R.S. Employer Identification No.)
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53 Forest Avenue, Old Greenwich, Connecticut 06870
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(Address of Principal Executive Office) (Zip Code)
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Title of each class
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Name of each exchange on which registered
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Common Shares of Beneficial Interest, $0.01 par value per share
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New York Stock Exchange
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Large Accelerated Filer
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¨
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Accelerated Filer
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x
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Non-Accelerated Filer
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¨
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Smaller Reporting Company
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¨
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Item No.
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Form 10-K Report Page
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PART I
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1.
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1A.
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1B.
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2.
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3.
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4.
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Part II
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5.
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6.
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7.
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7A.
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8.
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9.
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9A.
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Part III
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10.
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11.
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12.
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13.
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14.
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Part IV
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15.
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16.
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Form 10-K Summary
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•
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utilizing an investment model that focuses on security selection and allocates capital to assets that balance a range of mortgage-related risks;
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•
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constructing and actively managing a hybrid investment portfolio comprised primarily of Agency RMBS and, to a lesser extent, non-Agency RMBS, designed to:
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•
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take advantage of opportunities in the Agency RMBS market by acquiring Agency RMBS on a leveraged basis; and
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•
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take advantage of opportunities in the non-Agency residential mortgage market by purchasing investment grade and non-investment grade non-Agency RMBS, including senior and subordinated securities;
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•
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opportunistically acquiring and managing other mortgage- and real estate-related assets, such as MSRs and residential mortgage loans, that we would hold for appreciation and/or current income; and
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•
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opportunistically mitigating our interest rate and prepayment risk and, to a lesser extent, credit risk, by using a variety of hedging instruments.
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Asset Class
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Principal Assets
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Agency RMBS
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Agency RMBS collateralized by fixed rate mortgage loans, adjustable rate mortgage loans, or "ARMs," or hybrid mortgage loans, reverse mortgages, or derivatives thereof, including:
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whole and partial pool mortgage pass-through certificates;
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Agency collateralized mortgage obligations, or "CMOs," including interest only securities, or "IOs," principal only securities, or "POs," inverse interest only securities, or "IIOs," and inverse floaters; and
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To-Be-Announced mortgage pass-through certificates, or "TBAs."
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Non-Agency RMBS
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RMBS backed by prime jumbo, Alt-A, manufactured housing, and subprime mortgages;
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RMBS backed by fixed rate mortgages, ARMs, Option-ARMs, and residential mortgage loans that have interest rates that are fixed for a specified period of time (typically three, five, seven, or ten years) and, thereafter, adjust to an increment over a specified interest rate index, or "hybrid ARMs";
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RMBS backed by first lien and second lien mortgages;
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Investment grade and non-investment grade securities;
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Senior and subordinated securities; and
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Non-Agency CMOs, including IOs, POs, IIOs, and inverse floaters.
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Other
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Residential mortgage loans;
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MSRs; and
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Other mortgage- and real estate-related assets, including asset-backed securities and certain hedging transactions.
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•
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interest rate swaps (including floating-to-fixed, fixed-to-floating, or more complex swaps such as floating-to-inverse floating, callable or non-callable);
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•
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TBAs;
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•
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CMOs;
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•
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U.S. Treasury securities;
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•
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futures and forward contracts; and
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•
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other derivatives on interest rates, including swaptions and other options on any of the foregoing.
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•
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the selection, purchase, and sale of our portfolio investments;
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•
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our financing and risk management activities;
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•
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providing us with advisory services; and
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•
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providing us with a management team, inclusive of a dedicated or partially dedicated Chief Financial Officer and appropriate support personnel as necessary.
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•
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Cross Transactions—
defined as transactions between us or one of our subsidiaries, on the one hand, and an account (other than us or one of our subsidiaries) managed by Ellington or our Manager, on the other hand. It is Ellington's policy to engage in a cross transaction only when the transaction is in the best interests of, and is consistent with the objectives and policies of, both accounts involved in the transaction. Pursuant to the terms of the management agreement, our Manager may enter into cross transactions where it acts on our behalf and where Ellington or our Manager acts on behalf of the other party to the transaction; provided, however, that our Manager will not enter into any cross transactions on our behalf unless the cross transaction involves a "level one" asset for U.S. GAAP accounting purposes which is being crossed at market prices, or the cross transaction has received approval of a majority of our independent trustees. Although we believe such restrictions on our Manager's ability to engage in cross transactions on our behalf mitigate many risks, cross transactions, even at market prices, may potentially create a conflict of interest between our Manager's and our officers' duties to and interests in us and their duties to and interests in the other party. Subject to our Board of Trustees authorizing such action and upon written notice to our Manager, we may at any time revoke our consent to our Manager's executing cross transactions. Additionally, unless approved in advance by a majority of our independent trustees or pursuant to and in accordance with a policy that has been approved by a majority of our independent trustees, all cross transactions must be effected at the then-prevailing market prices. Pursuant to our Manager's current policies and procedures, assets for which there are no readily observable market prices may be purchased or sold in cross transactions (i) at prices based upon third-party bids received through auction, (ii) at the average of the highest bid and lowest offer quoted by third-party dealers, or (iii) according to another pricing methodology approved by our Manager's Chief Compliance Officer.
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•
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Principal Transactions—
defined as transactions between Ellington or our Manager (or any related party of Ellington or our Manager, which includes employees of Ellington and our Manager and their families), on the one hand, and us or one of our subsidiaries, on the other hand. Certain cross transactions may also be considered principal transactions whenever our Manager or Ellington (or any related party of Ellington or our Manager, which includes employees of Ellington and our Manager and their families) have a substantial ownership interest in one of the transacting parties. Our Manager is only authorized to execute principal transactions with the prior approval of a majority of our independent trustees and in accordance with applicable law. Such prior approval includes approval of the pricing methodology to be used, including with respect to assets for which there are no readily observable market prices.
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•
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Investment in Other Ellington Accounts—
pursuant to our management agreement, if we invest in any other investment fund or other investment for which Ellington or one of its affiliates receives management, origination, or structuring fees, the management fee payable by us to our Manager will be reduced by an amount equal to the applicable portion (as described in the management agreement) of any such management, origination, or structuring fees.
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•
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Split Price Executions—
pursuant to our management agreement, our Manager is authorized to combine purchase or sale orders on our behalf together with orders for other accounts managed by Ellington, our Manager or their affiliates and allocate the securities or other assets so purchased or sold, on an average price basis or other fair and consistent basis, among such accounts.
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•
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it is, or holds itself out as being, engaged primarily, or proposes to engage primarily, in the business of investing, reinvesting, or trading in securities (Section 3(a)(1)(A)); or
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•
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it is engaged or proposes to engage in the business of investing, reinvesting, owning, holding, or trading in securities and does own or proposes to acquire "investment securities" having a value exceeding 40% of the value of its total assets (excluding U.S. government securities and cash) on an unconsolidated basis, or "the 40% Test" (Section 3(a)(1)(C)). "Investment securities" excludes U.S. government securities and securities of majority-owned subsidiaries that are not themselves investment companies and are not relying on the exception from the definition of investment company for private funds under Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act.
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•
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continued declines in the value of real estate;
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•
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acts of God, including earthquakes, floods, and other natural disasters, which may result in uninsured losses;
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•
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acts of war or terrorism, including the consequences of terrorist attacks, such as those that occurred on September 11, 2001;
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•
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adverse changes in national and local economic and market conditions;
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•
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changes in governmental laws and regulations, fiscal policies and zoning ordinances and the related costs of compliance with laws and regulations, fiscal policies and zoning ordinances;
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•
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costs of remediation and liabilities associated with environmental conditions such as indoor mold;
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•
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potential liabilities for other legal actions related to property ownership including tort claims; and
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•
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the potential for uninsured or under-insured property losses.
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•
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collateral cash flows and/or liability structures may be incorrectly modeled in all or only certain scenarios, or may be modeled based on simplifying assumptions that lead to errors;
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•
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information about assets or the underlying collateral may be incorrect, incomplete, or misleading;
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•
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asset, collateral or RMBS historical performance (such as historical prepayments, defaults, cash flows, etc.) may be incorrectly reported, or subject to interpretation (e.g., different RMBS issuers may report delinquency statistics based on different definitions of what constitutes a delinquent loan); and
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•
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asset, collateral or RMBS information may be outdated, in which case the models may contain incorrect assumptions as to what has occurred since the date information was last updated.
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•
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interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates;
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•
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available interest rate hedges may not correspond directly with the interest rate risk for which protection is sought;
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•
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the duration of the hedge may not match the duration of the related assets or liabilities being hedged;
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•
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most hedges are structured as over-the-counter contracts with private counterparties, raising the possibility that the hedging counterparty may default on their obligations;
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•
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to the extent that the creditworthiness of a hedging counterparty deteriorates, it may be difficult or impossible to terminate or assign any hedging transactions with such counterparty to another counterparty;
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•
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to the extent hedging transactions do not satisfy certain provisions of the Code and are not made through a TRS, the amount of income that a REIT may earn from hedging transactions to offset interest rate losses is limited by U.S. federal tax provisions governing REITs;
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•
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the value of derivatives used for hedging may be adjusted from time to time in accordance with accounting rules to reflect changes in fair value. Downward adjustments, or "mark-to-market losses," would reduce our earnings and our shareholders' equity;
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•
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we may fail to correctly assess the degree of correlation between the performance of the instruments used in the hedging strategy and the performance of the assets in the portfolio being hedged;
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•
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our Manager may fail to recalculate, re-adjust, and execute hedges in an efficient and timely manner; and
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•
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the hedging transactions may actually result in poorer overall performance for us than if we had not engaged in the hedging transactions.
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•
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whether the market price of our shares will reflect our actual financial performance;
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•
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the liquidity of our common shares;
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•
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the ability of any holder to sell common shares; or
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•
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the prices that may be obtained for our common shares.
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•
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actual or anticipated variations in our quarterly operating results or dividends;
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•
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changes in our earnings estimates, failure to meet earnings or operating results expectations of public market analysts and investors, or publication of research reports about us or the real estate specialty finance industry;
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•
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increases in market interest rates that lead purchasers of our common shares to demand a higher yield;
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passage of legislation, changes in applicable law, court rulings, enforcement actions or other regulatory developments that adversely affect us or our industry;
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changes in government policies or changes in timing of implementation of government policies, including with respect to Fannie Mae, Freddie Mac, and Ginnie Mae;
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•
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changes in market valuations of similar companies;
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adverse market reaction to any increased indebtedness we incur in the future;
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additions or departures of key management personnel;
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actions by shareholders;
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•
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speculation in the press or investment community;
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general market and economic conditions;
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•
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our operating performance and the performance of other similar companies;
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•
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changes in accounting principles; and
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•
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the disposition by the Blackstone Funds of all or any portion of our common shares held by them in accordance with and subject to applicable securities laws.
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•
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our inability to realize positive or attractive returns on our portfolio, whether because of defaults in our portfolio, decreases in the value of our portfolio, or otherwise;
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•
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margin calls or other expenditures that reduce our cash flow and impact our liquidity; and
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increases in actual or estimated operating expenses.
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•
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actual receipt of an improper benefit or profit in money, property or services;
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•
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or active and deliberate dishonesty by the trustee or officer that was established by a final judgment and is material to the cause of action.
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•
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85% of our REIT ordinary income for that year;
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•
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95% of our REIT capital gain net income for that year; and
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•
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any undistributed taxable income from prior years.
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Common Stock Sales Price
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||||||
2016:
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High
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Low
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First Quarter
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$
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12.90
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|
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$
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9.57
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Second Quarter
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$
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13.30
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$
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11.72
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Third Quarter
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$
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14.43
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$
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12.84
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Fourth Quarter
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$
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13.92
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|
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$
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12.21
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2015:
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|
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First Quarter
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$
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16.99
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$
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15.81
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Second Quarter
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$
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16.70
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$
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14.23
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Third Quarter
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$
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14.71
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|
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$
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11.63
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Fourth Quarter
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$
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13.44
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$
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11.36
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Dividend
Per Share
|
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Record Date
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Payment Date
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For the year ended December 31, 2016:
|
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First Quarter
|
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$0.45
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March 31, 2016
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April 25, 2016
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Second Quarter
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$0.40
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June 30, 2016
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July 27, 2016
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Third Quarter
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$0.40
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September 30, 2016
|
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October 25, 2016
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Fourth Quarter
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$0.40
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December 30, 2016
|
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January 25, 2017
|
For the year ended December 31, 2015:
|
|
|
|
|
|
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First Quarter
|
|
$0.55
|
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March 31, 2015
|
|
April 27, 2015
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Second Quarter
|
|
$0.55
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June 30, 2015
|
|
July 27, 2015
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Third Quarter
|
|
$0.45
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September 30, 2015
|
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October 26, 2015
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Fourth Quarter
|
|
$0.45
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December 31, 2015
|
|
January 25, 2016
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Plan Category
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Number of securities to be issued upon exercise of outstanding options, warrants and rights (a)
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Weighted-average exercise price of our outstanding options, warrants and rights (b)
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Number of securities remaining available for future issuance under equity compensation plans (excluding securities reflected in column (a)) (c)
|
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Equity compensation plans approved by security holders
|
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16,395
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(1)
|
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N/A
|
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229,001
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(2)
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(1)
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There are 16,395 restricted Common Shares outstanding pursuant to our 2013 Equity Incentive Plan.
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(2)
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The number of Common Shares that may be issued under the 2013 Equity Incentive Plan will be increased in an amount that results from multiplying 3% and the total number of Common Shares sold in any future public or private offering of our Common Shares, subject to a maximum of 1,500,000 shares.
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May 1,
2013
|
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December 31, 2013
|
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December 31, 2014
|
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December 31, 2015
|
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December 31, 2016
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||||||||||
Ellington Residential Mortgage REIT
|
$
|
100.00
|
|
|
$
|
85.95
|
|
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$
|
103.55
|
|
|
$
|
90.63
|
|
|
$
|
108.46
|
|
S&P 500
|
$
|
100.00
|
|
|
$
|
118.52
|
|
|
$
|
134.73
|
|
|
$
|
136.58
|
|
|
$
|
152.91
|
|
FTSE NAREIT MREIT
|
$
|
100.00
|
|
|
$
|
83.44
|
|
|
$
|
98.34
|
|
|
$
|
89.69
|
|
|
$
|
110.17
|
|
(In thousands except for per share amounts)
|
|
Year Ended
December 31, 2016 |
|
Year Ended
December 31, 2015 |
|
Year Ended
December 31, 2014
|
|
Year Ended
December 31, 2013
|
|
September 25, 2012 (commencement of operations) to
December 31, 2012
|
||||||||||
Net Interest Income
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net interest income
|
|
$
|
24,224
|
|
|
$
|
34,515
|
|
|
$
|
42,313
|
|
|
$
|
24,810
|
|
|
$
|
239
|
|
Expenses
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Management fees
|
|
2,129
|
|
|
2,304
|
|
|
2,285
|
|
|
2,066
|
|
|
124
|
|
|||||
Professional fees
|
|
668
|
|
|
574
|
|
|
986
|
|
|
624
|
|
|
125
|
|
|||||
Compensation expense
|
|
599
|
|
|
621
|
|
|
678
|
|
|
401
|
|
|
—
|
|
|||||
Organizational expenses
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
568
|
|
|||||
Other operating expenses
|
|
1,613
|
|
|
1,646
|
|
|
1,803
|
|
|
1,235
|
|
|
45
|
|
|||||
Total Expenses
|
|
5,009
|
|
|
5,145
|
|
|
5,752
|
|
|
4,326
|
|
|
862
|
|
|||||
Other Income (Loss)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net realized and change in net unrealized gains (losses) on securities
|
|
(1,676
|
)
|
|
(9,327
|
)
|
|
51,007
|
|
|
(63,602
|
)
|
|
87
|
|
|||||
Net realized and change in net unrealized gains (losses) on financial derivatives
|
|
(5,633
|
)
|
|
(20,013
|
)
|
|
(71,400
|
)
|
|
41,204
|
|
|
—
|
|
|||||
Total Other Income (Loss)
|
|
(7,309
|
)
|
|
(29,340
|
)
|
|
(20,393
|
)
|
|
(22,398
|
)
|
|
87
|
|
|||||
Net Income (Loss)
|
|
$
|
11,906
|
|
|
$
|
30
|
|
|
$
|
16,168
|
|
|
$
|
(1,914
|
)
|
|
$
|
(536
|
)
|
Net Income (Loss) Per Common Share
|
|
$
|
1.31
|
|
|
$
|
—
|
|
|
$
|
1.77
|
|
|
$
|
(0.29
|
)
|
|
$
|
(0.33
|
)
|
Cash Dividends Declared Per Common Share
|
|
$
|
1.65
|
|
|
$
|
2.00
|
|
|
$
|
2.20
|
|
|
$
|
1.14
|
|
|
$
|
—
|
|
|
|
As of December 31,
|
||||||||||||||||||
(In thousands except for share amounts)
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Cash and cash equivalents
|
|
$
|
33,504
|
|
|
$
|
40,166
|
|
|
$
|
45,237
|
|
|
$
|
50,112
|
|
|
$
|
18,161
|
|
Mortgage-backed securities, at fair value
|
|
1,226,994
|
|
|
1,242,266
|
|
|
1,393,303
|
|
|
1,326,036
|
|
|
13,596
|
|
|||||
Due from brokers
|
|
49,518
|
|
|
33,297
|
|
|
18,531
|
|
|
18,347
|
|
|
—
|
|
|||||
Financial derivatives–assets, at fair value
|
|
6,008
|
|
|
2,183
|
|
|
3,072
|
|
|
34,963
|
|
|
—
|
|
|||||
Reverse repurchase agreements
|
|
75,012
|
|
|
78,632
|
|
|
13,987
|
|
|
—
|
|
|
—
|
|
|||||
Receivable for securities sold
|
|
33,199
|
|
|
155,526
|
|
|
41,834
|
|
|
76,692
|
|
|
—
|
|
|||||
Other assets
|
|
4,899
|
|
|
4,614
|
|
|
5,110
|
|
|
4,940
|
|
|
399
|
|
|||||
Total Assets
|
|
$
|
1,429,134
|
|
|
$
|
1,556,684
|
|
|
$
|
1,521,074
|
|
|
$
|
1,511,090
|
|
|
$
|
32,156
|
|
Liabilities and Shareholders' Equity
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase agreements
|
|
$
|
1,197,973
|
|
|
$
|
1,222,719
|
|
|
$
|
1,323,080
|
|
|
$
|
1,310,347
|
|
|
$
|
—
|
|
Payable for securities purchased
|
|
5,516
|
|
|
98,949
|
|
|
4,227
|
|
|
2,776
|
|
|
—
|
|
|||||
Due to brokers
|
|
1,055
|
|
|
439
|
|
|
583
|
|
|
22,788
|
|
|
—
|
|
|||||
Financial derivatives–liabilities, at fair value
|
|
1,975
|
|
|
4,725
|
|
|
8,700
|
|
|
1,069
|
|
|
—
|
|
|||||
U.S. Treasury securities sold short, at fair value
|
|
74,194
|
|
|
78,447
|
|
|
13,959
|
|
|
—
|
|
|
—
|
|
|||||
Dividend payable
|
|
3,652
|
|
|
4,111
|
|
|
5,032
|
|
|
4,570
|
|
|
—
|
|
|||||
Other liabilities
|
|
3,092
|
|
|
2,439
|
|
|
2,128
|
|
|
2,360
|
|
|
1,192
|
|
|||||
Total Liabilities
|
|
1,287,457
|
|
|
1,411,829
|
|
|
1,357,709
|
|
|
1,343,910
|
|
|
1,192
|
|
|||||
Shareholders' Equity
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Preferred shares, par value $0.01 per share, 100,000,000 shares authorized; (0 shares issued and outstanding, respectively)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Common shares, par value $0.01 per share, 500,000,000 shares authorized; (9,130,897, 9,135,103, 9,149,274, 9,139,842 and 1,633,378 shares issued and outstanding, respectively)
|
|
92
|
|
|
92
|
|
|
91
|
|
|
91
|
|
|
16
|
|
|||||
Additional paid-in-capital
|
|
180,996
|
|
|
181,027
|
|
|
181,282
|
|
|
181,147
|
|
|
32,674
|
|
|||||
Accumulated deficit
|
|
(39,411
|
)
|
|
(36,264
|
)
|
|
(18,008
|
)
|
|
(14,058
|
)
|
|
(1,726
|
)
|
|||||
Total Shareholders' Equity
|
|
141,677
|
|
|
144,855
|
|
|
163,365
|
|
|
167,180
|
|
|
30,964
|
|
|||||
Total Liabilities and Shareholders' Equity
|
|
$
|
1,429,134
|
|
|
$
|
1,556,684
|
|
|
$
|
1,521,074
|
|
|
$
|
1,511,090
|
|
|
$
|
32,156
|
|
•
|
U.S. Federal Reserve and U.S. Monetary Policy—
In December 2016, the Federal Reserve raised its target range for the federal funds rate by 0.25%, but maintained its existing policy of reinvesting principal payments from its U.S. Treasury security and Agency RMBS holdings;
|
•
|
Housing and Mortgage Market Statistics—
Data released by S&P Dow Jones Indices for its S&P CoreLogic Case-Shiller Indices for November showed a continuation of mid-single-digit home price appreciation nationally; meanwhile, the Freddie Mac survey 30-year mortgage rate ended the fourth quarter of 2016 at 4.32%, rising from 3.42% at the end of the third quarter of 2016;
|
•
|
Prepayment Rate Trends—
Following the post-election surge in interest rates, prepayment rates fell at the end of 2016, and have continued to fall in the beginning of 2017;
|
•
|
GSE and Government Agency Developments
—The FHFA and the GSEs continued to announce program and policy changes and clarifications intended to increase mortgage credit availability;
|
•
|
Portfolio Overview and Outlook
—Accommodative monetary policies of global central banks pushed yields on sovereign bonds lower during the first three quarters of 2016, forcing investors to seek relatively higher yields from other liquid sectors, including Agency RMBS. The fourth quarter of 2016 was characterized by sharply higher interest rates and high market volatility, especially in the aftermath of the U.S. elections. During the fourth quarter, Agency RMBS prices declined in line with the movements in interest rates and volatility, and for the full year, our portfolio performed well despite the challenges presented by heightened interest rate volatility. Non-Agency RMBS performed well over the course of the year, as securities continued to appreciate in price as a result of constrained supply and continued demand.
|
|
|
As of
|
||||
Number of Units
(In thousands)
|
|
December 2016
|
|
September 2016
|
||
Seriously Delinquent Mortgages
(1)
|
|
1,027
|
|
|
1,039
|
|
Foreclosure Inventory
|
|
329
|
|
|
341
|
|
(1)
|
Seriously Delinquent Mortgages are ninety days and over in delinquency and include foreclosures and real estate owned, or "REO," property.
|
|
|
As of
|
||||
Number of Units
(In thousands)
|
|
December 2016
|
|
September 2016
|
||
Single-family
|
|
834
|
|
|
758
|
|
Multi-family
|
|
406
|
|
|
374
|
|
|
|
Three Month Period Ended
|
|||||||||||||
|
|
December 31, 2016
|
|
September 30, 2016
|
|
June 30,
2016
|
|
March 31,
2016
|
|
December 31, 2015
|
|||||
Three Month Constant Prepayment Rates
(1)
|
|
15.6
|
%
|
|
14.1
|
%
|
|
10.1
|
%
|
|
7.1
|
%
|
|
6.5
|
%
|
(1)
|
Excludes Agency fixed rate RMBS without any prepayment history.
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
|||||||||||||||||||
|
Coupon
|
|
Current Principal
|
|
Fair Value
|
|
Weighted
Average Loan Age (Months) |
|
Current Principal
|
|
Fair Value
|
|
Weighted
Average Loan
Age (Months)
|
|||||||||||
|
|
|
(In thousands)
|
|
|
|
(In thousands)
|
|
|
|||||||||||||||
Fixed rate Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
15-year fixed rate mortgages:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
3.00
|
|
|
$
|
35,199
|
|
|
$
|
36,201
|
|
|
20
|
|
|
$
|
49,894
|
|
|
$
|
51,566
|
|
|
24
|
|
|
3.50
|
|
|
97,018
|
|
|
101,868
|
|
|
21
|
|
|
102,118
|
|
|
107,442
|
|
|
13
|
|
||||
|
4.00
|
|
|
9,612
|
|
|
10,294
|
|
|
30
|
|
|
10,534
|
|
|
11,253
|
|
|
21
|
|
||||
Total 15-year fixed rate mortgages
|
|
|
141,829
|
|
|
148,363
|
|
|
22
|
|
|
162,546
|
|
|
170,261
|
|
|
17
|
|
|||||
20-year fixed rate mortgages
|
4.00
|
|
|
10,488
|
|
|
11,185
|
|
|
18
|
|
|
18,477
|
|
|
19,830
|
|
|
13
|
|
||||
30-year fixed rate mortgages:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
2.50
|
|
|
1,607
|
|
|
1,562
|
|
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
3.00
|
|
|
16,000
|
|
|
15,970
|
|
|
29
|
|
|
29,515
|
|
|
29,571
|
|
|
36
|
|
||||
|
3.50
|
|
|
255,122
|
|
|
263,743
|
|
|
18
|
|
|
137,826
|
|
|
142,821
|
|
|
22
|
|
||||
|
4.00
|
|
|
391,677
|
|
|
415,251
|
|
|
17
|
|
|
343,776
|
|
|
365,952
|
|
|
15
|
|
||||
|
4.50
|
|
|
173,689
|
|
|
188,083
|
|
|
22
|
|
|
266,547
|
|
|
290,517
|
|
|
14
|
|
||||
|
5.00
|
|
|
48,324
|
|
|
52,981
|
|
|
35
|
|
|
61,541
|
|
|
68,208
|
|
|
23
|
|
||||
|
5.50
|
|
|
1,670
|
|
|
1,854
|
|
|
119
|
|
|
2,261
|
|
|
2,524
|
|
|
107
|
|
||||
|
6.00
|
|
|
887
|
|
|
1,013
|
|
|
123
|
|
|
1,058
|
|
|
1,201
|
|
|
111
|
|
||||
Total 30-year fixed rate mortgages
|
|
|
888,976
|
|
|
940,457
|
|
|
20
|
|
|
842,524
|
|
|
900,794
|
|
|
18
|
|
|||||
Total fixed rate Agency RMBS
|
|
|
$
|
1,041,293
|
|
|
$
|
1,100,005
|
|
|
20
|
|
|
$
|
1,023,547
|
|
|
$
|
1,090,885
|
|
|
18
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||||||||||||||
(In thousands)
|
Current Principal
|
|
Fair Value
|
|
Average Price
(1)
|
|
Cost
|
|
Average Cost
(1)
|
|
Current Principal
|
|
Fair Value
|
|
Average Price
(1)
|
|
Cost
|
|
Average Cost
(1)
|
||||||||||||||||||||
Agency RMBS
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
15-year fixed rate mortgages
|
$
|
141,829
|
|
|
$
|
148,363
|
|
|
$
|
104.61
|
|
|
$
|
148,873
|
|
|
$
|
104.97
|
|
|
$
|
162,546
|
|
|
$
|
170,261
|
|
|
$
|
104.75
|
|
|
$
|
170,385
|
|
|
$
|
104.82
|
|
20-year fixed rate mortgages
|
10,488
|
|
|
11,185
|
|
|
106.65
|
|
|
11,275
|
|
|
107.50
|
|
|
18,477
|
|
|
19,830
|
|
|
107.32
|
|
|
19,754
|
|
|
106.91
|
|
||||||||||
30-year fixed rate mortgages
|
888,976
|
|
|
940,457
|
|
|
105.79
|
|
|
948,157
|
|
|
106.66
|
|
|
842,524
|
|
|
900,794
|
|
|
106.92
|
|
|
896,356
|
|
|
106.39
|
|
||||||||||
ARMs
|
31,656
|
|
|
33,138
|
|
|
104.68
|
|
|
33,226
|
|
|
104.96
|
|
|
36,433
|
|
|
38,530
|
|
|
105.76
|
|
|
38,629
|
|
|
106.03
|
|
||||||||||
Reverse mortgages
|
57,411
|
|
|
62,058
|
|
|
108.09
|
|
|
63,114
|
|
|
109.93
|
|
|
68,690
|
|
|
73,692
|
|
|
107.28
|
|
|
75,205
|
|
|
109.48
|
|
||||||||||
Total Agency RMBS
|
1,130,360
|
|
|
1,195,201
|
|
|
105.74
|
|
|
1,204,645
|
|
|
106.57
|
|
|
1,128,670
|
|
|
1,203,107
|
|
|
106.60
|
|
|
1,200,329
|
|
|
106.35
|
|
||||||||||
Non-Agency RMBS
|
27,794
|
|
|
19,446
|
|
|
69.96
|
|
|
18,268
|
|
|
65.73
|
|
|
48,408
|
|
|
31,401
|
|
|
64.87
|
|
|
30,395
|
|
|
62.79
|
|
||||||||||
Total RMBS
(2)
|
1,158,154
|
|
|
1,214,647
|
|
|
104.88
|
|
|
1,222,913
|
|
|
105.59
|
|
|
1,177,078
|
|
|
1,234,508
|
|
|
104.88
|
|
|
1,230,724
|
|
|
104.56
|
|
||||||||||
Agency IOs
|
n/a
|
|
12,347
|
|
|
n/a
|
|
11,841
|
|
|
n/a
|
|
n/a
|
|
7,758
|
|
|
n/a
|
|
8,491
|
|
|
n/a
|
||||||||||||||||
Total mortgage-backed securities
|
|
|
1,226,994
|
|
|
|
|
1,234,754
|
|
|
|
|
|
|
1,242,266
|
|
|
|
|
1,239,215
|
|
|
|
||||||||||||||||
U.S. Treasury securities sold short
|
(78,589)
|
|
(74,194
|
)
|
|
94.41
|
|
|
(75,465
|
)
|
|
96.02
|
|
|
(79,550)
|
|
(78,447
|
)
|
|
98.61
|
|
|
(79,003
|
)
|
|
99.31
|
|
||||||||||||
Reverse repurchase agreements
|
75,012
|
|
75,012
|
|
|
100.00
|
|
|
75,012
|
|
|
100.00
|
|
|
78,632
|
|
78,632
|
|
|
100.00
|
|
|
78,632
|
|
|
100.00
|
|
||||||||||||
Total
|
|
|
$
|
1,227,812
|
|
|
|
|
$
|
1,234,301
|
|
|
|
|
|
|
$
|
1,242,451
|
|
|
|
|
$
|
1,238,844
|
|
|
|
(1)
|
Represents the dollar amount (not shown in thousands) per $100 of current principal of the price or cost for the security.
|
(2)
|
Excludes Agency IOs.
|
(In thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Financial derivatives–assets, at fair value:
|
|
|
|
|
||||
TBA securities purchase contracts
|
|
$
|
96
|
|
|
$
|
115
|
|
TBA securities sale contracts
|
|
949
|
|
|
302
|
|
||
Fixed payer interest rate swaps
|
|
4,198
|
|
|
891
|
|
||
Fixed receiver interest rate swaps
|
|
693
|
|
|
857
|
|
||
Futures
|
|
72
|
|
|
18
|
|
||
Total financial derivatives–assets, at fair value
|
|
6,008
|
|
|
2,183
|
|
||
Financial derivatives–liabilities, at fair value:
|
|
|
|
|
||||
TBA securities purchase contracts
|
|
—
|
|
|
(49
|
)
|
||
TBA securities sale contracts
|
|
(554
|
)
|
|
(315
|
)
|
||
Fixed payer interest rate swaps
|
|
(1,421
|
)
|
|
(4,361
|
)
|
||
Total financial derivatives–liabilities, at fair value
|
|
(1,975
|
)
|
|
(4,725
|
)
|
||
Total
|
|
$
|
4,033
|
|
|
$
|
(2,542
|
)
|
|
|
December 31, 2016
|
|
December 31, 2015
|
|||||||||||||||
|
|
|
|
Weighted Average
|
|
|
|
Weighted Average
|
|||||||||||
Remaining Days to Maturity
|
|
Borrowings Outstanding
|
|
Interest Rate
|
|
Remaining Days to Maturity
|
|
Borrowings Outstanding
|
|
Interest Rate
|
|
Remaining Days to Maturity
|
|||||||
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
|||||||
30 days or less
|
|
$
|
545,817
|
|
|
0.80
|
%
|
|
19
|
|
$
|
666,124
|
|
|
0.52
|
%
|
|
14
|
|
31-60 days
|
|
304,398
|
|
|
0.91
|
|
|
45
|
|
336,350
|
|
|
0.53
|
|
|
45
|
|
||
61-90 days
|
|
299,081
|
|
|
0.98
|
|
|
74
|
|
89,142
|
|
|
0.70
|
|
|
74
|
|
||
91-120 days
|
|
1,050
|
|
|
0.88
|
|
|
109
|
|
131,103
|
|
|
0.53
|
|
|
106
|
|
||
121-150 days
|
|
12,428
|
|
|
0.97
|
|
|
135
|
|
—
|
|
|
—
|
|
|
—
|
|
||
151-180 days
|
|
35,199
|
|
|
1.05
|
|
|
164
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Total
|
|
$
|
1,197,973
|
|
|
0.88
|
%
|
|
45
|
|
$
|
1,222,719
|
|
|
0.54
|
%
|
|
37
|
|
(In thousands except for per share amounts)
|
|
Year Ended
December 31, 2016 |
|
Year Ended
December 31, 2015 |
|
Year Ended
December 31, 2014 |
||||||
Net Interest Income
|
|
|
|
|
|
|
||||||
Net interest income
|
|
$
|
24,224
|
|
|
$
|
34,515
|
|
|
$
|
42,313
|
|
Expenses
|
|
|
|
|
|
|
||||||
Management fees
|
|
2,129
|
|
|
2,304
|
|
|
2,285
|
|
|||
Other operating expenses
|
|
2,880
|
|
|
2,841
|
|
|
3,467
|
|
|||
Total expenses
|
|
5,009
|
|
|
5,145
|
|
|
5,752
|
|
|||
Other Income (Loss)
|
|
|
|
|
|
|
||||||
Net realized and change in net unrealized gains (losses) on securities
|
|
(1,676
|
)
|
|
(9,327
|
)
|
|
51,007
|
|
|||
Net realized and change in net unrealized gains (losses) on financial derivatives
|
|
(5,633
|
)
|
|
(20,013
|
)
|
|
(71,400
|
)
|
|||
Total Other Income (Loss)
|
|
(7,309
|
)
|
|
(29,340
|
)
|
|
(20,393
|
)
|
|||
Net Income
|
|
$
|
11,906
|
|
|
$
|
30
|
|
|
$
|
16,168
|
|
Net Income Per Common Share
|
|
$
|
1.31
|
|
|
$
|
—
|
|
|
$
|
1.77
|
|
(In thousands except for share amounts)
|
|
Year Ended
December 31, 2016 |
|
Year Ended
December 31, 2015 |
|
Year Ended
December 31, 2014 |
||||||
Net Income
|
|
$
|
11,906
|
|
|
$
|
30
|
|
|
$
|
16,168
|
|
Less:
|
|
|
|
|
|
|
||||||
Net realized gains (losses) on securities
|
|
8,420
|
|
|
9,577
|
|
|
2,457
|
|
|||
Net realized losses on financial derivatives, excluding periodic payments
(1)
|
|
(7,782
|
)
|
|
(16,405
|
)
|
|
(22,661
|
)
|
|||
Change in net unrealized gains (losses) on securities
|
|
(10,096
|
)
|
|
(18,904
|
)
|
|
48,550
|
|
|||
Change in net unrealized gains (losses) on financial derivatives, excluding accrued periodic payments
(2)
|
|
5,724
|
|
|
3,769
|
|
|
(39,932
|
)
|
|||
Subtotal
|
|
(3,734
|
)
|
|
(21,963
|
)
|
|
(11,586
|
)
|
|||
Core Earnings
|
|
$
|
15,640
|
|
|
$
|
21,993
|
|
|
$
|
27,754
|
|
Catch-up Premium Amortization Adjustment
|
|
(2,051
|
)
|
|
(1,076
|
)
|
|
595
|
|
|||
Core Earnings excluding Catch-up Premium Amortization Adjustment
|
|
17,691
|
|
|
23,069
|
|
|
27,159
|
|
|||
Weighted Average Shares Outstanding
|
|
9,121,344
|
|
|
9,143,508
|
|
|
9,142,736
|
|
|||
Core Earnings Per Share
|
|
$
|
1.71
|
|
|
$
|
2.41
|
|
|
$
|
3.04
|
|
Core Earnings Per Share excluding Catch-up Premium Amortization Adjustment
|
|
$
|
1.94
|
|
|
$
|
2.52
|
|
|
$
|
2.97
|
|
(1)
|
For the year ended
December 31, 2016
, represents Net realized gains (losses) on financial derivatives of
$(12,120)
less Net realized gains (losses) on periodic settlements of interest rate swaps of
$(4,338)
. For the year ended
December 31, 2015
, represents Net realized gains (losses) on financial derivatives of
$(23,432)
less Net realized gains (losses) on periodic settlements of interest rate swaps of
$(7,027)
. For the year ended December 31, 2014, represents Net realized gains (losses) on financial derivatives of $(31,878) less Net realized gains (losses) on periodic settlements of interest rate swaps of $(9,217).
|
(2)
|
For the year ended
December 31, 2016
, represents Change in net unrealized gains (losses) on financial derivatives of
$6,487
less Change in net unrealized gains (losses) on accrued periodic settlements of interest rate swaps of
$763
. For the year ended
December 31, 2015
, represents Change in net unrealized gains (losses) on financial derivatives of
$3,419
less Change in net unrealized gains (losses) on accrued periodic settlements of interest rate swaps of
$(350)
. For the year ended December 31, 2014, represents Change in net unrealized gains (losses) on financial derivatives of $(39,522) less Change in net unrealized gains (losses) on accrued periodic settlements of interest rate swaps of $410.
|
|
Non-Agency
(1)
|
|
Agency
(1)
|
|
Total
(1)
|
|||||||||||||||||||||||||||
(In thousands)
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|||||||||||||||
Year ended December 31, 2016
|
$
|
2,188
|
|
|
$
|
22,792
|
|
|
9.60
|
%
|
|
$
|
31,001
|
|
|
$
|
1,201,860
|
|
|
2.58
|
%
|
|
$
|
33,189
|
|
|
$
|
1,224,652
|
|
|
2.71
|
%
|
Year ended December 31, 2015
|
$
|
3,158
|
|
|
$
|
28,808
|
|
|
10.96
|
%
|
|
$
|
37,546
|
|
|
$
|
1,293,950
|
|
|
2.90
|
%
|
|
$
|
40,704
|
|
|
$
|
1,322,758
|
|
|
3.08
|
%
|
(1)
|
Amounts exclude interest income on cash and cash equivalents (including when posted as margin) and long U.S. Treasury securities.
|
($ in thousands)
|
|
Average Borrowed Funds
|
|
Interest Expense
|
|
Average Cost of Funds
|
|
Average One-Month LIBOR
|
|
Average Six-Month LIBOR
|
|||||||
Year Ended December 31, 2016
|
|
$
|
1,145,850
|
|
|
$
|
8,148
|
|
|
0.71
|
%
|
|
0.50
|
%
|
|
1.06
|
%
|
Year Ended December 31, 2015
|
|
$
|
1,239,580
|
|
|
$
|
5,208
|
|
|
0.42
|
%
|
|
0.20
|
%
|
|
0.49
|
%
|
|
Non-Agency
(1)
|
|
Agency
(1)
|
|
Total
(1)
|
|||||||||||||||||||||||||||
(In thousands)
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|||||||||||||||
Year ended
December 31, 2015 |
$
|
3,158
|
|
|
$
|
28,808
|
|
|
10.96
|
%
|
|
$
|
37,546
|
|
|
$
|
1,293,950
|
|
|
2.90
|
%
|
|
$
|
40,704
|
|
|
$
|
1,322,758
|
|
|
3.08
|
%
|
Year ended
December 31, 2014 |
$
|
3,167
|
|
|
$
|
29,851
|
|
|
10.61
|
%
|
|
$
|
43,643
|
|
|
$
|
1,333,054
|
|
|
3.27
|
%
|
|
$
|
46,810
|
|
|
$
|
1,362,905
|
|
|
3.43
|
%
|
(1)
|
Amounts exclude interest income on cash and cash equivalents (including when posted as margin) and long U.S. Treasury securities.
|
($ in thousands)
|
|
Average Borrowed Funds
|
|
Interest Expense
|
|
Average Cost of Funds
|
|
Average One-Month LIBOR
|
|
Average Six-Month LIBOR
|
|||||||
Year Ended December 31, 2015
|
|
$
|
1,239,580
|
|
|
$
|
5,208
|
|
|
0.42
|
%
|
|
0.20
|
%
|
|
0.49
|
%
|
Year Ended December 31, 2014
|
|
$
|
1,256,771
|
|
|
$
|
4,385
|
|
|
0.35
|
%
|
|
0.16
|
%
|
|
0.33
|
%
|
Counterparty
|
|
Amount at Risk
(1)
|
|
Weighted Average Remaining Days to Maturity
|
|
Percentage of Shareholders' Equity
|
|||
|
|
(In thousands)
|
|
|
|
|
|||
J.P. Morgan Securities Inc.
|
|
$
|
15,077
|
|
|
58
|
|
10.6
|
%
|
Deutsche Bank Securities
|
|
$
|
11,778
|
|
|
36
|
|
8.3
|
%
|
Wells Fargo Bank, N.A.
|
|
$
|
11,533
|
|
|
38
|
|
8.1
|
%
|
RBC Capital Markets LLC
|
|
$
|
11,506
|
|
|
34
|
|
8.1
|
%
|
(1)
|
Amounts at risk exclude, in aggregate, $1.6 million of net accrued interest, defined as accrued interest on securities held as collateral less interest payable on cash borrowed.
|
Counterparty
|
|
Amount at Risk
(1)
|
|
Weighted Average Remaining Days to Maturity
|
|
Percentage of Shareholders' Equity
|
|||
|
|
(In thousands)
|
|
|
|
|
|||
Deutsche Bank Securities
|
|
$
|
12,950
|
|
|
24
|
|
8.9
|
%
|
J.P. Morgan Securities Inc.
|
|
$
|
12,377
|
|
|
29
|
|
8.5
|
%
|
RBC Capital Markets LLC
|
|
$
|
9,630
|
|
|
64
|
|
6.6
|
%
|
(1)
|
Amounts at risk exclude, in aggregate, $1.5 million of net accrued interest, defined as accrued interest on securities held as collateral less interest payable on cash borrowed.
|
Quarter Ended
|
|
Borrowings
Outstanding at
Quarter End
|
|
Average
Borrowings Outstanding
|
|
Maximum Borrowings Outstanding at Any Month End
|
||||||
|
|
(In thousands)
|
||||||||||
December 31, 2016
|
|
$
|
1,197,973
|
|
|
$
|
1,170,091
|
|
|
$
|
1,197,973
|
|
September 30, 2016
|
|
1,158,962
|
|
|
1,138,439
|
|
|
1,158,962
|
|
|||
June 30, 2016
|
|
1,205,987
|
|
|
1,132,184
|
|
|
1,205,987
|
|
|||
March 31, 2016
|
|
1,133,841
|
|
|
1,142,501
|
|
|
1,175,531
|
|
|||
December 31, 2015
|
|
1,222,719
|
|
|
1,228,964
|
|
|
1,286,274
|
|
|||
September 30, 2015
|
|
1,225,905
|
|
|
1,242,650
|
|
|
1,248,604
|
|
|||
June 30, 2015
|
|
1,264,479
|
|
|
1,247,617
|
|
|
1,269,551
|
|
|||
March 31, 2015
|
|
1,211,110
|
|
|
1,239,167
|
|
|
1,255,568
|
|
|||
December 31, 2014
|
|
1,323,080
|
|
|
1,275,874
|
|
|
1,323,080
|
|
|||
September 30, 2014
|
|
1,233,333
|
|
|
1,251,296
|
|
|
1,275,122
|
|
|||
June 30, 2014
|
|
1,285,593
|
|
|
1,239,899
|
|
|
1,285,593
|
|
|||
March 31, 2014
|
|
1,281,470
|
|
|
1,259,901
|
|
|
1,281,470
|
|
|
Dividend
Per Share
|
|
Dividend Amount
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
||||
|
|
|
(In thousands)
|
|
|
|
|
|
|
||||
First Quarter
|
$
|
0.45
|
|
|
$
|
4,103
|
|
|
March 8, 2016
|
|
March 31, 2016
|
|
April 25, 2016
|
Second Quarter
|
$
|
0.40
|
|
|
$
|
3,647
|
|
|
June 14, 2016
|
|
June 30, 2016
|
|
July 27, 2016
|
Third Quarter
|
$
|
0.40
|
|
|
$
|
3,651
|
|
|
September 13, 2016
|
|
September 30, 2016
|
|
October 25, 2016
|
Fourth Quarter
|
$
|
0.40
|
|
|
$
|
3,652
|
|
|
December 13, 2016
|
|
December 30, 2016
|
|
January 25, 2017
|
|
Dividend
Per Share
|
|
Dividend Amount
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
||||
|
|
|
(In thousands)
|
|
|
|
|
|
|
||||
First Quarter
|
$
|
0.55
|
|
|
$
|
5,032
|
|
|
March 11, 2015
|
|
March 31, 2015
|
|
April 27, 2015
|
Second Quarter
|
$
|
0.55
|
|
|
$
|
5,032
|
|
|
June 16, 2015
|
|
June 30, 2015
|
|
July 27, 2015
|
Third Quarter
|
$
|
0.45
|
|
|
$
|
4,111
|
|
|
September 15, 2015
|
|
September 30, 2015
|
|
October 26, 2015
|
Fourth Quarter
|
$
|
0.45
|
|
|
$
|
4,111
|
|
|
December 15, 2015
|
|
December 31, 2015
|
|
January 25, 2016
|
(In thousands)
|
|
Less than One Year
|
|
1-3 Years
|
|
3-5 Years
|
|
More than
Five Years
|
|
Total
|
|||||
Repurchase agreements
|
|
1,197,973
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,197,973
|
|
Interest expense on repurchase agreements, based on rates at December 31, 2016
(1)
|
|
2,989
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,989
|
|
Payable for securities purchased
|
|
5,516
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,516
|
|
Total
|
|
1,206,478
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,206,478
|
|
(1)
|
Includes accrued interest expense on repurchase agreements at December 31, 2016 of $1.6 million which is included in Interest payable on the Consolidated Balance Sheet.
|
(In thousands)
|
|
Estimated Change for a Decrease in Interest Rates by
|
|
Estimated Change for an Increase in Interest Rates by
|
||||||||||||||||||||||||
|
|
50 Basis Points
|
|
100 Basis Points
|
|
50 Basis Points
|
|
100 Basis Points
|
||||||||||||||||||||
Category of Instruments
|
|
Market Value
|
|
% of Total Equity
|
|
Market Value
|
|
% of Total Equity
|
|
Market Value
|
|
% of Total Equity
|
|
Market Value
|
|
% of Total Equity
|
||||||||||||
Agency RMBS, excluding TBAs
|
|
$
|
19,135
|
|
|
13.51
|
%
|
|
$
|
32,501
|
|
|
22.94
|
%
|
|
$
|
(24,903
|
)
|
|
(17.58
|
)%
|
|
$
|
(55,573
|
)
|
|
(39.23
|
)%
|
TBAs
|
|
(7,077
|
)
|
|
(5.00
|
)%
|
|
(11,407
|
)
|
|
(8.05
|
)%
|
|
9,823
|
|
|
6.93
|
%
|
|
22,392
|
|
|
15.81
|
%
|
||||
Non-Agency RMBS
|
|
197
|
|
|
0.14
|
%
|
|
399
|
|
|
0.28
|
%
|
|
(192
|
)
|
|
(0.13
|
)%
|
|
(380
|
)
|
|
(0.27
|
)%
|
||||
U.S. Treasury Securities, Interest Rate Swaps, and Futures
|
|
(12,665
|
)
|
|
(8.94
|
)%
|
|
(25,895
|
)
|
|
(18.28
|
)%
|
|
12,100
|
|
|
8.54
|
%
|
|
23,636
|
|
|
16.68
|
%
|
||||
Repurchase and Reverse Repurchase Agreements
|
|
(739
|
)
|
|
(0.52
|
)%
|
|
(1,374
|
)
|
|
(0.97
|
)%
|
|
736
|
|
|
0.52
|
%
|
|
1,472
|
|
|
1.04
|
%
|
||||
Total
|
|
$
|
(1,149
|
)
|
|
(0.81
|
)%
|
|
$
|
(5,776
|
)
|
|
(4.08
|
)%
|
|
$
|
(2,436
|
)
|
|
(1.72
|
)%
|
|
$
|
(8,453
|
)
|
|
(5.97
|
)%
|
|
|
Page
|
CONSOLIDATED FINANCIAL STATEMENTS AS OF DECEMBER 31, 2016 AND DECEMBER 31, 2015, AND FOR THE YEARS ENDED DECEMBER 31, 2016, DECEMBER 31, 2015, AND DECEMBER 31, 2014:
|
|
|
|
||
|
||
|
||
|
||
|
||
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
(In thousands except for share amounts)
|
|
|
|
||||
ASSETS
|
|
|
|
||||
Cash and cash equivalents
|
$
|
33,504
|
|
|
$
|
40,166
|
|
Mortgage-backed securities, at fair value
|
1,226,994
|
|
|
1,242,266
|
|
||
Due from brokers
|
49,518
|
|
|
33,297
|
|
||
Financial derivatives–assets, at fair value
|
6,008
|
|
|
2,183
|
|
||
Reverse repurchase agreements
|
75,012
|
|
|
78,632
|
|
||
Receivable for securities sold
|
33,199
|
|
|
155,526
|
|
||
Interest receivable
|
4,633
|
|
|
4,325
|
|
||
Other assets
|
266
|
|
|
289
|
|
||
Total Assets
|
$
|
1,429,134
|
|
|
$
|
1,556,684
|
|
LIABILITIES AND SHAREHOLDERS' EQUITY
|
|
|
|
||||
LIABILITIES
|
|
|
|
||||
Repurchase agreements
|
$
|
1,197,973
|
|
|
$
|
1,222,719
|
|
Payable for securities purchased
|
5,516
|
|
|
98,949
|
|
||
Due to brokers
|
1,055
|
|
|
439
|
|
||
Financial derivatives–liabilities, at fair value
|
1,975
|
|
|
4,725
|
|
||
U.S. Treasury securities sold short, at fair value
|
74,194
|
|
|
78,447
|
|
||
Dividend payable
|
3,652
|
|
|
4,111
|
|
||
Accrued expenses
|
647
|
|
|
533
|
|
||
Management fee payable
|
533
|
|
|
545
|
|
||
Interest payable
|
1,912
|
|
|
1,361
|
|
||
Total Liabilities
|
1,287,457
|
|
|
1,411,829
|
|
||
SHAREHOLDERS' EQUITY
|
|
|
|
||||
Preferred shares, par value $0.01 per share, 100,000,000 shares authorized;
(0 shares issued and outstanding, respectively)
|
—
|
|
|
—
|
|
||
Common shares, par value $0.01 per share, 500,000,000 shares authorized;
(9,130,897 and 9,135,103 shares issued and outstanding, respectively)
|
92
|
|
|
92
|
|
||
Additional paid-in-capital
|
180,996
|
|
|
181,027
|
|
||
Accumulated deficit
|
(39,411
|
)
|
|
(36,264
|
)
|
||
Total Shareholders' Equity
|
141,677
|
|
|
144,855
|
|
||
Total Liabilities and Shareholders' Equity
|
$
|
1,429,134
|
|
|
$
|
1,556,684
|
|
|
|
Year Ended
December 31, 2016 |
|
Year Ended
December 31, 2015 |
|
Year Ended
December 31, 2014 |
||||||
(In thousands except for per share amounts)
|
|
|
|
|
|
|
||||||
INTEREST INCOME (EXPENSE)
|
|
|
|
|
|
|
||||||
Interest income
|
|
$
|
33,498
|
|
|
$
|
40,751
|
|
|
$
|
46,824
|
|
Interest expense
|
|
(9,274
|
)
|
|
(6,236
|
)
|
|
(4,511
|
)
|
|||
Total net interest income
|
|
24,224
|
|
|
34,515
|
|
|
42,313
|
|
|||
EXPENSES
|
|
|
|
|
|
|
||||||
Management fees
|
|
2,129
|
|
|
2,304
|
|
|
2,285
|
|
|||
Professional fees
|
|
668
|
|
|
574
|
|
|
986
|
|
|||
Compensation expense
|
|
599
|
|
|
621
|
|
|
678
|
|
|||
Other operating expenses
|
|
1,613
|
|
|
1,646
|
|
|
1,803
|
|
|||
Total expenses
|
|
5,009
|
|
|
5,145
|
|
|
5,752
|
|
|||
OTHER INCOME (LOSS)
|
|
|
|
|
|
|
||||||
Net realized gains (losses) on securities
|
|
8,420
|
|
|
9,577
|
|
|
2,457
|
|
|||
Net realized gains (losses) on financial derivatives
|
|
(12,120
|
)
|
|
(23,432
|
)
|
|
(31,878
|
)
|
|||
Change in net unrealized gains (losses) on securities
|
|
(10,096
|
)
|
|
(18,904
|
)
|
|
48,550
|
|
|||
Change in net unrealized gains (losses) on financial derivatives
|
|
6,487
|
|
|
3,419
|
|
|
(39,522
|
)
|
|||
Total other income (loss)
|
|
(7,309
|
)
|
|
(29,340
|
)
|
|
(20,393
|
)
|
|||
NET INCOME
|
|
$
|
11,906
|
|
|
$
|
30
|
|
|
$
|
16,168
|
|
NET INCOME PER COMMON SHARE:
|
|
|
|
|
|
|
||||||
Basic and Diluted
|
|
$
|
1.31
|
|
|
$
|
—
|
|
|
$
|
1.77
|
|
CASH DIVIDENDS PER COMMON SHARE:
|
|
|
|
|
|
|
||||||
Dividends declared
|
|
$
|
1.65
|
|
|
$
|
2.00
|
|
|
$
|
2.20
|
|
|
Common Shares
|
|
Common
Shares,
par value
|
|
Preferred Shares
|
|
Preferred Shares,
par value
|
|
Additional Paid-in-Capital
|
|
Accumulated (Deficit) Earnings
|
|
Total
|
||||||||||||
(In thousands except for share amounts)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
BALANCE, December 31, 2013
|
9,139,842
|
|
|
91
|
|
|
—
|
|
|
—
|
|
|
181,147
|
|
|
(14,058
|
)
|
|
167,180
|
|
|||||
Share based compensation
|
|
|
|
|
|
|
|
|
135
|
|
|
|
|
135
|
|
||||||||||
Issuance of restricted shares
|
9,432
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
|
—
|
|
||||||
Dividends declared
|
|
|
|
|
|
|
|
|
|
|
(20,118
|
)
|
|
(20,118
|
)
|
||||||||||
Net income
|
|
|
|
|
|
|
|
|
|
|
16,168
|
|
|
16,168
|
|
||||||||||
BALANCE, December 31, 2014
|
9,149,274
|
|
|
$
|
91
|
|
|
—
|
|
|
$
|
—
|
|
|
$
|
181,282
|
|
|
$
|
(18,008
|
)
|
|
$
|
163,365
|
|
Share based compensation
|
|
|
|
|
|
|
|
|
120
|
|
|
|
|
120
|
|
||||||||||
Issuance of restricted shares
|
15,390
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
|
1
|
|
||||||
Repurchase of common shares
|
(29,561
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(375
|
)
|
|
|
|
(375
|
)
|
||||||
Dividends declared
|
|
|
|
|
|
|
|
|
|
|
(18,286
|
)
|
|
(18,286
|
)
|
||||||||||
Net income
|
|
|
|
|
|
|
|
|
|
|
30
|
|
|
30
|
|
||||||||||
BALANCE, December 31, 2015
|
9,135,103
|
|
|
92
|
|
|
—
|
|
|
—
|
|
|
181,027
|
|
|
(36,264
|
)
|
|
144,855
|
|
|||||
Share based compensation
|
|
|
|
|
|
|
|
|
165
|
|
|
|
|
165
|
|
||||||||||
Issuance of restricted shares
|
13,714
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
|
—
|
|
||||||
Repurchase of common shares
|
(17,920
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(196
|
)
|
|
|
|
(196
|
)
|
||||||
Dividends declared
|
|
|
|
|
|
|
|
|
|
|
(15,053
|
)
|
|
(15,053
|
)
|
||||||||||
Net income
|
|
|
|
|
|
|
|
|
|
|
11,906
|
|
|
11,906
|
|
||||||||||
BALANCE, December 31, 2016
|
9,130,897
|
|
|
$
|
92
|
|
|
—
|
|
|
$
|
—
|
|
|
$
|
180,996
|
|
|
$
|
(39,411
|
)
|
|
$
|
141,677
|
|
|
|
Year Ended
December 31, 2016 |
|
Year Ended
December 31, 2015 |
|
Year Ended
December 31, 2014 |
||||||
(In thousands)
|
|
|
|
|
|
|
||||||
Cash flows provided by (used in) operating activities:
|
|
|
|
|
|
|
||||||
Net income
|
|
$
|
11,906
|
|
|
$
|
30
|
|
|
$
|
16,168
|
|
Reconciliation of net income to net cash provided by (used in) operating activities:
|
|
|
|
|
|
|
||||||
Net realized (gains) losses on securities
|
|
(8,420
|
)
|
|
(9,577
|
)
|
|
(2,457
|
)
|
|||
Change in net unrealized (gains) losses on securities
|
|
10,096
|
|
|
18,904
|
|
|
(48,550
|
)
|
|||
Net realized (gains) losses on financial derivatives
|
|
12,120
|
|
|
23,432
|
|
|
31,878
|
|
|||
Change in net unrealized (gains) losses on financial derivatives
|
|
(6,487
|
)
|
|
(3,419
|
)
|
|
39,522
|
|
|||
Amortization of premiums and accretion of discounts (net)
|
|
15,785
|
|
|
9,415
|
|
|
7,174
|
|
|||
Share based compensation
|
|
165
|
|
|
120
|
|
|
135
|
|
|||
(Increase) decrease in assets:
|
|
|
|
|
|
|
||||||
Due from brokers
|
|
(16,221
|
)
|
|
(14,766
|
)
|
|
(184
|
)
|
|||
Interest receivable
|
|
(308
|
)
|
|
468
|
|
|
(27
|
)
|
|||
Other assets
|
|
23
|
|
|
28
|
|
|
(134
|
)
|
|||
Increase (decrease) in liabilities:
|
|
|
|
|
|
|
||||||
Due to brokers
|
|
616
|
|
|
(144
|
)
|
|
(22,205
|
)
|
|||
Accrued expenses
|
|
114
|
|
|
(357
|
)
|
|
66
|
|
|||
Interest payable
|
|
551
|
|
|
674
|
|
|
(77
|
)
|
|||
Management fees payable
|
|
(12
|
)
|
|
(6
|
)
|
|
(49
|
)
|
|||
Net cash provided by (used in) operating activities
|
|
19,928
|
|
|
24,802
|
|
|
21,260
|
|
|||
Cash flows provided by (used in) investing activities:
|
|
|
|
|
|
|
||||||
Purchases of securities
|
|
(2,082,622
|
)
|
|
(2,020,500
|
)
|
|
(2,019,101
|
)
|
|||
Proceeds from sale of securities
|
|
1,965,304
|
|
|
1,996,591
|
|
|
1,934,237
|
|
|||
Principal repayments of mortgage-backed securities
|
|
144,232
|
|
|
136,726
|
|
|
98,144
|
|
|||
Proceeds from investments sold short
|
|
772,022
|
|
|
799,493
|
|
|
211,937
|
|
|||
Repurchase of investments sold short
|
|
(776,483
|
)
|
|
(734,495
|
)
|
|
(198,381
|
)
|
|||
Proceeds from disposition of financial derivatives
|
|
16,319
|
|
|
14,241
|
|
|
9,145
|
|
|||
Purchase of financial derivatives
|
|
(28,528
|
)
|
|
(37,341
|
)
|
|
(41,024
|
)
|
|||
Payments made on reverse repurchase agreements
|
|
(16,623,353
|
)
|
|
(14,584,118
|
)
|
|
(1,094,706
|
)
|
|||
Proceeds from reverse repurchase agreements
|
|
16,626,972
|
|
|
14,519,473
|
|
|
1,080,719
|
|
|||
Net cash provided by (used in) investing activities
|
|
13,863
|
|
|
90,070
|
|
|
(19,030
|
)
|
|||
Cash flows provided by (used in) financing activities:
|
|
|
|
|
|
|
||||||
Offering costs paid
|
|
—
|
|
|
—
|
|
|
(182
|
)
|
|||
Repurchase of common shares
|
|
(196
|
)
|
|
(375
|
)
|
|
—
|
|
|||
Dividends paid
|
|
(15,511
|
)
|
|
(19,207
|
)
|
|
(19,656
|
)
|
|||
Borrowings under repurchase agreements
|
|
1,957,256
|
|
|
2,660,924
|
|
|
5,995,452
|
|
|||
Repayments of repurchase agreements
|
|
(1,982,002
|
)
|
|
(2,761,285
|
)
|
|
(5,982,719
|
)
|
|||
Cash provided by (used in) financing activities
|
|
(40,453
|
)
|
|
(119,943
|
)
|
|
(7,105
|
)
|
|||
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS
|
|
(6,662
|
)
|
|
(5,071
|
)
|
|
(4,875
|
)
|
|||
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD
|
|
40,166
|
|
|
45,237
|
|
|
50,112
|
|
|||
CASH AND CASH EQUIVALENTS, END OF PERIOD
|
|
$
|
33,504
|
|
|
$
|
40,166
|
|
|
$
|
45,237
|
|
Supplemental disclosure of cash flow information:
|
|
|
|
|
|
|
||||||
Interest paid
|
|
$
|
8,723
|
|
|
$
|
5,562
|
|
|
$
|
4,589
|
|
Dividends payable
|
|
$
|
3,652
|
|
|
$
|
4,111
|
|
|
$
|
5,032
|
|
•
|
Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are exchange-traded derivatives;
|
•
|
Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, non-Agency RMBS determined to have sufficiently observable market data, U.S. Treasury securities, actively traded derivatives such as TBAs, interest rate swaps, and swaptions; and
|
•
|
Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. Currently, this category includes RMBS where there is less price transparency.
|
($ in thousands)
|
|
|
|
|
|
|
Gross Unrealized
|
|
|
|
Weighted Average
|
||||||||||||||||||
|
Current Principal
|
|
Unamortized Premium (Discount)
|
|
Amortized
Cost
|
|
Gains
|
|
Losses
|
|
Fair Value
|
|
Coupon
|
|
Yield
|
|
Life
(Years) (1) |
||||||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
15-year fixed rate mortgages
|
$
|
141,829
|
|
|
$
|
7,044
|
|
|
$
|
148,873
|
|
|
$
|
405
|
|
|
$
|
(915
|
)
|
|
$
|
148,363
|
|
|
3.41%
|
|
2.19%
|
|
4.75
|
20-year fixed rate mortgages
|
10,488
|
|
|
787
|
|
|
11,275
|
|
|
25
|
|
|
(115
|
)
|
|
11,185
|
|
|
4.00%
|
|
2.51%
|
|
6.33
|
||||||
30-year fixed rate mortgages
|
888,976
|
|
|
59,181
|
|
|
948,157
|
|
|
3,158
|
|
|
(10,858
|
)
|
|
940,457
|
|
|
3.99%
|
|
2.81%
|
|
8.34
|
||||||
Adjustable rate mortgages
|
31,656
|
|
|
1,570
|
|
|
33,226
|
|
|
121
|
|
|
(209
|
)
|
|
33,138
|
|
|
3.84%
|
|
2.37%
|
|
4.63
|
||||||
Reverse mortgages
|
57,411
|
|
|
5,703
|
|
|
63,114
|
|
|
100
|
|
|
(1,156
|
)
|
|
62,058
|
|
|
4.51%
|
|
2.61%
|
|
6.07
|
||||||
Interest only securities
|
n/a
|
|
n/a
|
|
11,841
|
|
|
1,465
|
|
|
(959
|
)
|
|
12,347
|
|
|
3.97%
|
|
2.75%
|
|
3.11
|
||||||||
Total Agency RMBS
|
1,130,360
|
|
|
74,285
|
|
|
1,216,486
|
|
|
5,274
|
|
|
(14,212
|
)
|
|
1,207,548
|
|
|
3.94%
|
|
2.71%
|
|
7.24
|
||||||
Non-Agency RMBS
|
27,794
|
|
|
(9,526
|
)
|
|
18,268
|
|
|
1,550
|
|
|
(372
|
)
|
|
19,446
|
|
|
2.93%
|
|
7.82%
|
|
7.01
|
||||||
Total RMBS
|
$
|
1,158,154
|
|
|
$
|
64,759
|
|
|
$
|
1,234,754
|
|
|
$
|
6,824
|
|
|
$
|
(14,584
|
)
|
|
$
|
1,226,994
|
|
|
3.92%
|
|
2.78%
|
|
7.24
|
(1)
|
Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
|
($ in thousands)
|
|
|
|
|
|
|
Gross Unrealized
|
|
|
|
Weighted Average
|
||||||||||||||||||
|
Current Principal
|
|
Unamortized Premium (Discount)
|
|
Amortized
Cost
|
|
Gains
|
|
Losses
|
|
Fair Value
|
|
Coupon
|
|
Yield
|
|
Life
(Years)
(1)
|
||||||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
15-year fixed rate mortgages
|
$
|
162,546
|
|
|
$
|
7,839
|
|
|
$
|
170,385
|
|
|
$
|
531
|
|
|
$
|
(655
|
)
|
|
$
|
170,261
|
|
|
3.38%
|
|
2.31%
|
|
4.99
|
20-year fixed rate mortgages
|
18,477
|
|
|
1,277
|
|
|
19,754
|
|
|
153
|
|
|
(77
|
)
|
|
19,830
|
|
|
4.00%
|
|
2.75%
|
|
6.50
|
||||||
30-year fixed rate mortgages
|
842,524
|
|
|
53,832
|
|
|
896,356
|
|
|
8,117
|
|
|
(3,679
|
)
|
|
900,794
|
|
|
4.12%
|
|
3.11%
|
|
8.29
|
||||||
Adjustable rate mortgages
|
36,433
|
|
|
2,196
|
|
|
38,629
|
|
|
81
|
|
|
(180
|
)
|
|
38,530
|
|
|
4.05%
|
|
2.68%
|
|
5.44
|
||||||
Reverse mortgages
|
68,690
|
|
|
6,515
|
|
|
75,205
|
|
|
34
|
|
|
(1,547
|
)
|
|
73,692
|
|
|
4.63%
|
|
2.54%
|
|
5.64
|
||||||
Interest only securities
|
n/a
|
|
n/a
|
|
8,491
|
|
|
248
|
|
|
(981
|
)
|
|
7,758
|
|
|
3.82%
|
|
3.30%
|
|
2.36
|
||||||||
Total Agency RMBS
|
1,128,670
|
|
|
71,659
|
|
|
1,208,820
|
|
|
9,164
|
|
|
(7,119
|
)
|
|
1,210,865
|
|
|
4.03%
|
|
2.94%
|
|
7.16
|
||||||
Non-Agency RMBS
|
48,408
|
|
|
(18,013
|
)
|
|
30,395
|
|
|
2,264
|
|
|
(1,258
|
)
|
|
31,401
|
|
|
2.48%
|
|
20.97%
|
|
4.81
|
||||||
Total RMBS
|
$
|
1,177,078
|
|
|
$
|
53,646
|
|
|
$
|
1,239,215
|
|
|
$
|
11,428
|
|
|
$
|
(8,377
|
)
|
|
$
|
1,242,266
|
|
|
3.97%
|
|
3.39%
|
|
7.07
|
(1)
|
Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
|
($ in thousands)
|
|
Agency RMBS
|
|
Agency Interest Only Securities
|
|
Non-Agency RMBS
|
|||||||||||||||||||||||||||
Estimated Weighted Average Life
(1)
|
|
Fair
Value
|
|
Amortized Cost
|
|
Weighted Average Coupon
|
|
Fair Value
|
|
Amortized Cost
|
|
Weighted Average Coupon
|
|
Fair Value
|
|
Amortized Cost
|
|
Weighted Average Coupon
|
|||||||||||||||
Less than three years
|
|
$
|
15,009
|
|
|
$
|
14,956
|
|
|
4.43
|
%
|
|
$
|
3,748
|
|
|
$
|
4,289
|
|
|
3.56
|
%
|
|
$
|
—
|
|
|
$
|
—
|
|
|
—
|
%
|
Greater than three years and less than seven years
|
|
286,517
|
|
|
286,984
|
|
|
3.87
|
%
|
|
8,599
|
|
|
7,552
|
|
|
4.39
|
%
|
|
11,316
|
|
|
11,314
|
|
|
3.90
|
%
|
||||||
Greater than seven years and less than eleven years
|
|
890,277
|
|
|
899,220
|
|
|
3.96
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
8,130
|
|
|
6,954
|
|
|
1.95
|
%
|
||||||
Greater than eleven years
|
|
3,398
|
|
|
3,485
|
|
|
4.00
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||||
Total
|
|
$
|
1,195,201
|
|
|
$
|
1,204,645
|
|
|
3.94
|
%
|
|
$
|
12,347
|
|
|
$
|
11,841
|
|
|
3.97
|
%
|
|
$
|
19,446
|
|
|
$
|
18,268
|
|
|
2.93
|
%
|
(1)
|
Average lives of RMBS are generally shorter than stated contractual maturities.
|
($ in thousands)
|
|
Agency RMBS
|
|
Agency Interest Only Securities
|
|
Non-Agency RMBS
|
|||||||||||||||||||||||||||
Estimated Weighted Average Life
(1)
|
|
Fair
Value
|
|
Amortized Cost
|
|
Weighted Average Coupon
|
|
Fair Value
|
|
Amortized Cost
|
|
Weighted Average Coupon
|
|
Fair Value
|
|
Amortized Cost
|
|
Weighted Average Coupon
|
|||||||||||||||
Less than three years
|
|
$
|
30,054
|
|
|
$
|
30,227
|
|
|
4.76
|
%
|
|
$
|
4,974
|
|
|
$
|
5,701
|
|
|
3.55
|
%
|
|
$
|
2,558
|
|
|
$
|
1,543
|
|
|
3.21
|
%
|
Greater than three years and less than seven years
|
|
273,477
|
|
|
273,107
|
|
|
3.78
|
%
|
|
2,784
|
|
|
2,790
|
|
|
4.97
|
%
|
|
24,736
|
|
|
25,478
|
|
|
2.66
|
%
|
||||||
Greater than seven years and less than eleven years
|
|
893,730
|
|
|
891,112
|
|
|
4.10
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
4,107
|
|
|
3,374
|
|
|
0.55
|
%
|
||||||
Greater than eleven years
|
|
5,846
|
|
|
5,883
|
|
|
3.81
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||||
Total
|
|
$
|
1,203,107
|
|
|
$
|
1,200,329
|
|
|
4.04
|
%
|
|
$
|
7,758
|
|
|
$
|
8,491
|
|
|
3.82
|
%
|
|
$
|
31,401
|
|
|
$
|
30,395
|
|
|
2.48
|
%
|
(1)
|
Average lives of RMBS are generally shorter than stated contractual maturities.
|
|
|
Year Ended
December 31, 2016
|
|
Year Ended
December 31, 2015 |
|
Year Ended
December 31, 2014
|
||||||||||||||||||||||||||||||
($ in thousands)
|
|
Coupon Interest
|
|
Net Amortization
|
|
Interest
Income
|
|
Coupon Interest
|
|
Net Amortization
|
|
Interest
Income
|
|
Coupon Interest
|
|
Net Amortization
|
|
Interest
Income
|
||||||||||||||||||
Agency RMBS
|
|
$
|
47,850
|
|
|
$
|
(16,849
|
)
|
|
$
|
31,001
|
|
|
$
|
49,028
|
|
|
$
|
(11,482
|
)
|
|
$
|
37,546
|
|
|
$
|
52,755
|
|
|
$
|
(9,112
|
)
|
|
$
|
43,643
|
|
Non-Agency RMBS
|
|
1,091
|
|
|
1,097
|
|
|
2,188
|
|
|
1,153
|
|
|
2,005
|
|
|
3,158
|
|
|
1,237
|
|
|
1,930
|
|
|
3,167
|
|
|||||||||
Total
|
|
$
|
48,941
|
|
|
$
|
(15,752
|
)
|
|
$
|
33,189
|
|
|
$
|
50,181
|
|
|
$
|
(9,477
|
)
|
|
$
|
40,704
|
|
|
$
|
53,992
|
|
|
$
|
(7,182
|
)
|
|
$
|
46,810
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
||||||||
Description
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets:
|
|
|
|
|
|
|
|
|
||||||||
Mortgage-backed securities, at fair value:
|
|
|
|
|
|
|
|
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
||||||||
15-year fixed rate mortgages
|
|
$
|
—
|
|
|
$
|
148,363
|
|
|
$
|
—
|
|
|
$
|
148,363
|
|
20-year fixed rate mortgages
|
|
—
|
|
|
11,185
|
|
|
—
|
|
|
11,185
|
|
||||
30-year fixed rate mortgages
|
|
—
|
|
|
940,457
|
|
|
—
|
|
|
940,457
|
|
||||
Adjustable rate mortgages
|
|
—
|
|
|
33,138
|
|
|
—
|
|
|
33,138
|
|
||||
Reverse mortgages
|
|
—
|
|
|
62,058
|
|
|
—
|
|
|
62,058
|
|
||||
Interest only securities
|
|
—
|
|
|
—
|
|
|
12,347
|
|
|
12,347
|
|
||||
Non-Agency RMBS
|
|
—
|
|
|
12,948
|
|
|
6,498
|
|
|
19,446
|
|
||||
Mortgage-backed securities, at fair value
|
|
—
|
|
|
1,208,149
|
|
|
18,845
|
|
|
1,226,994
|
|
||||
Financial derivatives–assets, at fair value:
|
|
|
|
|
|
|
|
|
||||||||
TBAs
|
|
—
|
|
|
1,045
|
|
|
—
|
|
|
1,045
|
|
||||
Interest rate swaps
|
|
—
|
|
|
4,891
|
|
|
—
|
|
|
4,891
|
|
||||
Futures
|
|
72
|
|
|
—
|
|
|
—
|
|
|
72
|
|
||||
Total financial derivatives–assets, at fair value
|
|
72
|
|
|
5,936
|
|
|
—
|
|
|
6,008
|
|
||||
Total mortgage-backed securities and financial derivatives–assets, at fair value
|
|
$
|
72
|
|
|
$
|
1,214,085
|
|
|
$
|
18,845
|
|
|
$
|
1,233,002
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
U.S. Treasury securities sold short, at fair value
|
|
$
|
—
|
|
|
$
|
(74,194
|
)
|
|
$
|
—
|
|
|
$
|
(74,194
|
)
|
Financial derivatives–liabilities, at fair value:
|
|
|
|
|
|
|
|
|
||||||||
TBAs
|
|
—
|
|
|
(554
|
)
|
|
—
|
|
|
(554
|
)
|
||||
Interest rate swaps
|
|
—
|
|
|
(1,421
|
)
|
|
—
|
|
|
(1,421
|
)
|
||||
Total financial derivatives–liabilities, at fair value
|
|
—
|
|
|
(1,975
|
)
|
|
—
|
|
|
(1,975
|
)
|
||||
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value
|
|
$
|
—
|
|
|
$
|
(76,169
|
)
|
|
$
|
—
|
|
|
$
|
(76,169
|
)
|
(In thousands)
|
|
|
|
|
|
|
|
|
||||||||
Description
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets:
|
|
|
|
|
|
|
|
|
||||||||
Mortgage-backed securities, at fair value:
|
|
|
|
|
|
|
|
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
||||||||
15-year fixed rate mortgages
|
|
$
|
—
|
|
|
$
|
170,261
|
|
|
$
|
—
|
|
|
$
|
170,261
|
|
20-year fixed rate mortgages
|
|
—
|
|
|
19,830
|
|
|
—
|
|
|
19,830
|
|
||||
30-year fixed rate mortgages
|
|
—
|
|
|
900,794
|
|
|
—
|
|
|
900,794
|
|
||||
Adjustable rate mortgages
|
|
—
|
|
|
38,530
|
|
|
—
|
|
|
38,530
|
|
||||
Reverse mortgages
|
|
—
|
|
|
73,692
|
|
|
—
|
|
|
73,692
|
|
||||
Interest only securities
|
|
—
|
|
|
—
|
|
|
7,758
|
|
|
7,758
|
|
||||
Non-Agency RMBS
|
|
—
|
|
|
27,381
|
|
|
4,020
|
|
|
31,401
|
|
||||
Mortgage-backed securities, at fair value
|
|
—
|
|
|
1,230,488
|
|
|
11,778
|
|
|
1,242,266
|
|
||||
Financial derivatives–assets, at fair value:
|
|
|
|
|
|
|
|
|
||||||||
TBAs
|
|
—
|
|
|
417
|
|
|
—
|
|
|
417
|
|
||||
Interest rate swaps
|
|
—
|
|
|
1,748
|
|
|
—
|
|
|
1,748
|
|
||||
Futures
|
|
18
|
|
|
—
|
|
|
—
|
|
|
18
|
|
||||
Total financial derivatives–assets, at fair value
|
|
18
|
|
|
2,165
|
|
|
—
|
|
|
2,183
|
|
||||
Total mortgage-backed securities and financial derivatives–assets, at fair value
|
|
$
|
18
|
|
|
$
|
1,232,653
|
|
|
$
|
11,778
|
|
|
$
|
1,244,449
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
U.S. Treasury securities sold short, at fair value
|
|
$
|
—
|
|
|
$
|
(78,447
|
)
|
|
$
|
—
|
|
|
$
|
(78,447
|
)
|
Financial derivatives–liabilities, at fair value:
|
|
|
|
|
|
|
|
|
||||||||
TBAs
|
|
—
|
|
|
(364
|
)
|
|
—
|
|
|
(364
|
)
|
||||
Interest rate swaps
|
|
—
|
|
|
(4,361
|
)
|
|
—
|
|
|
(4,361
|
)
|
||||
Total financial derivatives–liabilities, at fair value
|
|
—
|
|
|
(4,725
|
)
|
|
—
|
|
|
(4,725
|
)
|
||||
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value
|
|
$
|
—
|
|
|
$
|
(83,172
|
)
|
|
$
|
—
|
|
|
$
|
(83,172
|
)
|
(In thousands)
|
Non-Agency RMBS
|
|
Agency RMBS
|
||||
Beginning balance as of December 31, 2015
|
$
|
4,020
|
|
|
$
|
7,758
|
|
Purchases
|
2,608
|
|
|
7,188
|
|
||
Proceeds from sales
|
(1,270
|
)
|
|
—
|
|
||
Principal repayments
|
(1,256
|
)
|
|
—
|
|
||
(Amortization)/accretion, net
|
344
|
|
|
(3,535
|
)
|
||
Net realized gains (losses)
|
1,079
|
|
|
(303
|
)
|
||
Change in net unrealized gains (losses)
|
(571
|
)
|
|
1,239
|
|
||
Transfers:
|
|
|
|
||||
Transfers into level 3
|
3,120
|
|
|
—
|
|
||
Transfers out of level 3
|
(1,576
|
)
|
|
—
|
|
||
Ending balance as of December 31, 2016
|
$
|
6,498
|
|
|
$
|
12,347
|
|
(In thousands)
|
Non-Agency RMBS
|
|
Agency RMBS
|
||||
Beginning balance as of December 31, 2014
|
$
|
10,082
|
|
|
$
|
11,244
|
|
Purchases
|
—
|
|
|
4,360
|
|
||
Proceeds from sales
|
(2,861
|
)
|
|
(4,538
|
)
|
||
Principal repayments
|
(1,765
|
)
|
|
—
|
|
||
(Amortization)/accretion, net
|
1,371
|
|
|
(2,714
|
)
|
||
Net realized gains (losses)
|
791
|
|
|
602
|
|
||
Change in net unrealized gains (losses)
|
(496
|
)
|
|
(1,196
|
)
|
||
Transfers:
|
|
|
|
||||
Transfers into level 3
|
1,681
|
|
|
—
|
|
||
Transfers out of level 3
|
(4,783
|
)
|
|
—
|
|
||
Ending balance as of December 31, 2015
|
$
|
4,020
|
|
|
$
|
7,758
|
|
(In thousands)
|
Non-Agency RMBS
|
|
Agency RMBS
|
||||
Beginning balance as of December 31, 2013
|
$
|
30,681
|
|
|
$
|
13,527
|
|
Purchases
|
14,712
|
|
|
4,853
|
|
||
Proceeds from sales
|
(11,104
|
)
|
|
(2,330
|
)
|
||
Principal repayments
|
(5,443
|
)
|
|
—
|
|
||
(Amortization)/accretion, net
|
1,930
|
|
|
(3,136
|
)
|
||
Net realized gains (losses)
|
1,518
|
|
|
676
|
|
||
Change in net unrealized gains (losses)
|
207
|
|
|
(2,346
|
)
|
||
Transfers:
|
|
|
|
||||
Transfers into level 3
|
—
|
|
|
—
|
|
||
Transfers out of level 3
|
(22,419
|
)
|
|
—
|
|
||
Ending balance as of December 31, 2014
|
$
|
10,082
|
|
|
$
|
11,244
|
|
|
|
Range
|
|
|
||||||||||||||||
Description
|
|
Fair Value
|
|
Valuation Technique
|
|
Significant
Unobservable Input
|
|
Min
|
|
Max
|
|
Weighted Average
(1)
|
||||||||
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
Non-Agency RMBS
|
|
$
|
652
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
30.6
|
%
|
|
30.6
|
%
|
|
30.6
|
%
|
|||
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
49.0
|
%
|
|
49.0
|
%
|
|
49.0
|
%
|
|||||
|
|
|
|
|
|
Projected Collateral Losses
|
|
1.0
|
%
|
|
1.0
|
%
|
|
1.0
|
%
|
|||||
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
3.3
|
%
|
|
3.3
|
%
|
|
3.3
|
%
|
|||||
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
46.7
|
%
|
|
46.7
|
%
|
|
46.7
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
Non-Agency RMBS
|
|
5,846
|
|
|
Market quotes
|
|
Non-Binding Third-Party Valuation
|
|
$
|
46.40
|
|
|
$
|
63.29
|
|
|
$
|
56.49
|
|
|
Agency RMBS–Interest Only Securities
|
|
8,784
|
|
|
Market quotes
|
|
Non-Binding Third-Party Valuation
|
|
$
|
3.94
|
|
|
$
|
21.56
|
|
|
$
|
13.96
|
|
|
Agency RMBS–Interest Only Securities
|
|
3,563
|
|
|
Option Adjusted Spread ("OAS")
|
|
LIBOR OAS
(2)
|
|
103
|
|
|
1,147
|
|
|
468
|
|
||||
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
51.1
|
%
|
|
85.4
|
%
|
|
70.9
|
%
|
|||||
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
14.6
|
%
|
|
48.9
|
%
|
|
29.1
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
(1)
|
Averages are weighted based on the fair value of the related instrument.
|
(2)
|
Shown in basis points.
|
|
|
Range
|
|
|
||||||||||||||||
Description
|
|
Fair Value
|
|
Valuation Technique
|
|
Significant
Unobservable Input
|
|
Min
|
|
Max
|
|
Weighted Average
(1)
|
||||||||
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
Non-Agency RMBS
|
|
$
|
4,020
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
8.8
|
%
|
|
25.7
|
%
|
|
13.4
|
%
|
|||
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
32.5
|
%
|
|
68.7
|
%
|
|
60.5
|
%
|
|||||
|
|
|
|
|
|
Projected Collateral Losses
|
|
1.3
|
%
|
|
9.0
|
%
|
|
5.3
|
%
|
|||||
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
3.4
|
%
|
|
9.2
|
%
|
|
6.4
|
%
|
|||||
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
13.1
|
%
|
|
60.1
|
%
|
|
27.8
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
Agency RMBS–Interest Only Securities
|
|
5,645
|
|
|
Market quotes
|
|
Non-Binding Third-Party Valuation
|
|
$
|
4.39
|
|
|
$
|
21.63
|
|
|
$
|
11.88
|
|
|
Agency RMBS–Interest Only Securities
|
|
2,113
|
|
|
Option Adjusted Spread ("OAS")
|
|
LIBOR OAS
(2)
|
|
221
|
|
|
984
|
|
|
576
|
|
||||
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
52.7
|
%
|
|
88.0
|
%
|
|
74.1
|
%
|
|||||
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
12.0
|
%
|
|
47.3
|
%
|
|
25.9
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
(1)
|
Averages are weighted based on the fair value of the related instrument.
|
(2)
|
Shown in basis points.
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||
(In thousands)
|
|
Fair Value
|
|
Carrying Value
|
|
Fair Value
|
|
Carrying Value
|
||||||||
Other financial instruments
|
|
|
|
|
|
|
|
|
||||||||
Assets:
|
|
|
|
|
|
|
|
|
||||||||
Cash and cash equivalents
|
|
$
|
33,504
|
|
|
$
|
33,504
|
|
|
$
|
40,166
|
|
|
$
|
40,166
|
|
Due from brokers
|
|
49,518
|
|
|
49,518
|
|
|
33,297
|
|
|
33,297
|
|
||||
Reverse repurchase agreements
|
|
75,012
|
|
|
75,012
|
|
|
78,632
|
|
|
78,632
|
|
||||
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements
|
|
1,197,973
|
|
|
1,197,973
|
|
|
1,222,719
|
|
|
1,222,719
|
|
||||
Due to brokers
|
|
1,055
|
|
|
1,055
|
|
|
439
|
|
|
439
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
|
|
(In thousands)
|
||||||
Financial derivatives–assets, at fair value:
|
|
|
|
|
||||
TBA securities purchase contracts
|
|
$
|
96
|
|
|
$
|
115
|
|
TBA securities sale contracts
|
|
949
|
|
|
302
|
|
||
Fixed payer interest rate swaps
|
|
4,198
|
|
|
891
|
|
||
Fixed receiver interest rate swaps
|
|
693
|
|
|
857
|
|
||
Futures
|
|
72
|
|
|
18
|
|
||
Total financial derivatives–assets, at fair value
|
|
6,008
|
|
|
2,183
|
|
||
Financial derivatives–liabilities, at fair value:
|
|
|
|
|
||||
TBA securities purchase contracts
|
|
—
|
|
|
(49
|
)
|
||
TBA securities sale contracts
|
|
(554
|
)
|
|
(315
|
)
|
||
Fixed payer interest rate swaps
|
|
(1,421
|
)
|
|
(4,361
|
)
|
||
Total financial derivatives–liabilities, at fair value
|
|
(1,975
|
)
|
|
(4,725
|
)
|
||
Total
|
|
$
|
4,033
|
|
|
$
|
(2,542
|
)
|
|
|
|
|
|
|
Weighted Average
|
||||||||||
Maturity
|
|
Notional Amount
|
|
Fair Value
|
|
Pay Rate
|
|
Receive Rate
|
|
Remaining Years to Maturity
|
||||||
|
|
(In thousands)
|
|
|
|
|
|
|
||||||||
2017
|
|
$
|
74,750
|
|
|
$
|
(258
|
)
|
|
1.21
|
%
|
|
0.92
|
%
|
|
0.59
|
2018
|
|
65,990
|
|
|
193
|
|
|
0.97
|
|
|
0.89
|
|
|
1.43
|
||
2019
|
|
4,200
|
|
|
57
|
|
|
0.96
|
|
|
0.88
|
|
|
2.60
|
||
2020
|
|
79,500
|
|
|
554
|
|
|
1.48
|
|
|
0.89
|
|
|
3.32
|
||
2021
|
|
19,300
|
|
|
99
|
|
|
1.83
|
|
|
0.93
|
|
|
4.92
|
||
2022
|
|
13,044
|
|
|
172
|
|
|
1.75
|
|
|
0.89
|
|
|
5.68
|
||
2023
|
|
54,200
|
|
|
514
|
|
|
1.93
|
|
|
0.89
|
|
|
6.47
|
||
2024
|
|
8,900
|
|
|
87
|
|
|
1.99
|
|
|
0.85
|
|
|
7.26
|
||
2025
|
|
15,322
|
|
|
123
|
|
|
2.04
|
|
|
0.89
|
|
|
8.13
|
||
2026
|
|
46,435
|
|
|
2,306
|
|
|
1.72
|
|
|
0.91
|
|
|
9.74
|
||
2043
|
|
12,380
|
|
|
(1,070
|
)
|
|
2.99
|
|
|
0.89
|
|
|
26.38
|
||
Total
|
|
$
|
394,021
|
|
|
$
|
2,777
|
|
|
1.53
|
%
|
|
0.90
|
%
|
|
4.82
|
|
|
|
|
|
|
Weighted Average
|
||||||||||
Maturity
|
|
Notional Amount
|
|
Fair Value
|
|
Pay Rate
|
|
Receive Rate
|
|
Remaining Years to Maturity
|
||||||
|
|
(In thousands)
|
|
|
|
|
|
|
||||||||
2016
|
|
$
|
48,000
|
|
|
$
|
(83
|
)
|
|
0.80
|
%
|
|
0.39
|
%
|
|
0.77
|
2017
|
|
74,750
|
|
|
(445
|
)
|
|
1.21
|
|
|
0.41
|
|
|
1.59
|
||
2018
|
|
71,529
|
|
|
80
|
|
|
1.11
|
|
|
0.34
|
|
|
2.28
|
||
2020
|
|
119,893
|
|
|
220
|
|
|
1.51
|
|
|
0.33
|
|
|
4.36
|
||
2022
|
|
19,444
|
|
|
86
|
|
|
1.76
|
|
|
0.34
|
|
|
6.51
|
||
2023
|
|
131,400
|
|
|
(1,367
|
)
|
|
2.10
|
|
|
0.38
|
|
|
7.39
|
||
2024
|
|
9,200
|
|
|
11
|
|
|
1.99
|
|
|
0.32
|
|
|
8.26
|
||
2025
|
|
58,560
|
|
|
(5
|
)
|
|
2.06
|
|
|
0.33
|
|
|
9.32
|
||
2043
|
|
21,067
|
|
|
(1,967
|
)
|
|
3.03
|
|
|
0.36
|
|
|
27.39
|
||
Total
|
|
$
|
553,843
|
|
|
$
|
(3,470
|
)
|
|
1.63
|
%
|
|
0.36
|
%
|
|
5.67
|
|
|
|
|
|
|
Weighted Average
|
||||||||||
Maturity
|
|
Notional Amount
|
|
Fair Value
|
|
Pay Rate
|
|
Receive Rate
|
|
Remaining Years to Maturity
|
||||||
|
|
(In thousands)
|
|
|
|
|
|
|
||||||||
2025
|
|
$
|
9,700
|
|
|
$
|
693
|
|
|
0.88
|
%
|
|
3.00
|
%
|
|
8.54
|
Total
|
|
$
|
9,700
|
|
|
$
|
693
|
|
|
0.88
|
%
|
|
3.00
|
%
|
|
8.54
|
|
|
|
|
|
|
Weighted Average
|
||||||||||
Maturity
|
|
Notional Amount
|
|
Fair Value
|
|
Pay Rate
|
|
Receive Rate
|
|
Remaining Years to Maturity
|
||||||
|
|
(In thousands)
|
|
|
|
|
|
|
||||||||
2025
|
|
$
|
9,700
|
|
|
$
|
857
|
|
|
0.32
|
%
|
|
3.00
|
%
|
|
9.55
|
Total
|
|
$
|
9,700
|
|
|
$
|
857
|
|
|
0.32
|
%
|
|
3.00
|
%
|
|
9.55
|
Description
|
|
Notional Amount
|
|
Fair Value
|
|
Remaining Months to Expiration
|
||||
($ in thousands)
|
|
|
|
|
|
|
||||
U.S. Treasury Futures
|
|
$
|
(26,700
|
)
|
|
$
|
71
|
|
|
2.70
|
Eurodollar Futures
|
|
(9,000
|
)
|
|
1
|
|
|
5.59
|
Description
|
|
Notional Amount
|
|
Fair Value
|
|
Remaining Months to Expiration
|
||||
($ in thousands)
|
|
|
|
|
|
|
||||
Eurodollar Futures
|
|
$
|
(21,000
|
)
|
|
$
|
18
|
|
|
11.70
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||||||
TBA Securities
|
|
Notional Amount
(1)
|
|
Cost
Basis
(2)
|
|
Market Value
(3)
|
|
Net Carrying Value
(4)
|
|
Notional Amount
(1)
|
|
Cost
Basis
(2)
|
|
Market Value
(3)
|
|
Net Carrying Value
(4)
|
||||||||||||||||
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Purchase contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Assets
|
|
$
|
49,138
|
|
|
$
|
49,774
|
|
|
$
|
49,870
|
|
|
$
|
96
|
|
|
$
|
60,291
|
|
|
$
|
61,638
|
|
|
$
|
61,753
|
|
|
$
|
115
|
|
Liabilities
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
23,418
|
|
|
24,208
|
|
|
24,159
|
|
|
(49
|
)
|
||||||||
|
|
49,138
|
|
|
49,774
|
|
|
49,870
|
|
|
96
|
|
|
83,709
|
|
|
85,846
|
|
|
85,912
|
|
|
66
|
|
||||||||
Sale contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Assets
|
|
(281,655
|
)
|
|
(298,807
|
)
|
|
(297,858
|
)
|
|
949
|
|
|
(170,800
|
)
|
|
(181,476
|
)
|
|
(181,174
|
)
|
|
302
|
|
||||||||
Liabilities
|
|
(183,381
|
)
|
|
(189,694
|
)
|
|
(190,248
|
)
|
|
(554
|
)
|
|
(252,746
|
)
|
|
(268,973
|
)
|
|
(269,288
|
)
|
|
(315
|
)
|
||||||||
|
|
(465,036
|
)
|
|
(488,501
|
)
|
|
(488,106
|
)
|
|
395
|
|
|
(423,546
|
)
|
|
(450,449
|
)
|
|
(450,462
|
)
|
|
(13
|
)
|
||||||||
Total TBA securities, net
|
|
$
|
(415,898
|
)
|
|
$
|
(438,727
|
)
|
|
$
|
(438,236
|
)
|
|
$
|
491
|
|
|
$
|
(339,837
|
)
|
|
$
|
(364,603
|
)
|
|
$
|
(364,550
|
)
|
|
$
|
53
|
|
(1)
|
Notional amount represents the principal balance of the underlying Agency RMBS.
|
(2)
|
Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.
|
(3)
|
Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) 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 Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet.
|
Derivative Type
|
|
Year Ended
December 31, 2016 |
|
Year Ended
December 31, 2015 |
||||
|
|
(In thousands)
|
||||||
Interest rate swaps
|
|
$
|
451,847
|
|
|
$
|
525,037
|
|
TBAs
|
|
488,075
|
|
|
606,665
|
|
||
Interest rate swaptions
|
|
—
|
|
|
5,223
|
|
||
Futures
|
|
22,085
|
|
|
5,308
|
|
|
|
Year Ended December 31, 2016
|
||||||||||||||||||||||
Derivative Type
|
|
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps
|
|
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps
|
|
Net Realized Gains (Losses) on Financial Derivatives
|
|
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps
|
|
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps
|
|
Change in Net Unrealized Gains (Losses) on Financial Derivatives
|
||||||||||||
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
|
|
$
|
(4,338
|
)
|
|
$
|
(10,418
|
)
|
|
$
|
(14,756
|
)
|
|
$
|
763
|
|
|
$
|
5,231
|
|
|
$
|
5,994
|
|
TBAs
|
|
|
|
1,424
|
|
|
1,424
|
|
|
|
|
439
|
|
|
439
|
|
||||||||
Futures
|
|
|
|
1,212
|
|
|
1,212
|
|
|
|
|
54
|
|
|
54
|
|
||||||||
Total
|
|
$
|
(4,338
|
)
|
|
$
|
(7,782
|
)
|
|
$
|
(12,120
|
)
|
|
$
|
763
|
|
|
$
|
5,724
|
|
|
$
|
6,487
|
|
|
|
Year Ended December 31, 2015
|
||||||||||||||||||||||
Derivative Type
|
|
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps
|
|
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps
|
|
Net Realized Gains (Losses) on Financial Derivatives
|
|
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps
|
|
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps
|
|
Change in Net Unrealized Gains (Losses) on Financial Derivatives
|
||||||||||||
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
|
|
$
|
(7,027
|
)
|
|
$
|
(8,850
|
)
|
|
$
|
(15,877
|
)
|
|
$
|
(350
|
)
|
|
$
|
2,578
|
|
|
$
|
2,228
|
|
Swaptions
|
|
|
|
(500
|
)
|
|
(500
|
)
|
|
|
|
(78
|
)
|
|
(78
|
)
|
||||||||
TBAs
|
|
|
|
(7,041
|
)
|
|
(7,041
|
)
|
|
|
|
1,251
|
|
|
1,251
|
|
||||||||
Futures
|
|
|
|
$
|
(14
|
)
|
|
$
|
(14
|
)
|
|
|
|
$
|
18
|
|
|
$
|
18
|
|
||||
Total
|
|
$
|
(7,027
|
)
|
|
$
|
(16,405
|
)
|
|
$
|
(23,432
|
)
|
|
$
|
(350
|
)
|
|
$
|
3,769
|
|
|
$
|
3,419
|
|
|
|
Year Ended December 31, 2014
|
||||||||||||||||||||||
Derivative Type
|
|
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps
|
|
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps
|
|
Net Realized Gains (Losses) on Financial Derivatives
|
|
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps
|
|
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps
|
|
Change in Net Unrealized Gains (Losses) on Financial Derivatives
|
||||||||||||
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
|
|
$
|
(9,217
|
)
|
|
$
|
1,823
|
|
|
$
|
(7,394
|
)
|
|
$
|
410
|
|
|
$
|
(36,662
|
)
|
|
$
|
(36,252
|
)
|
Swaptions
|
|
|
|
(935
|
)
|
|
(935
|
)
|
|
|
|
163
|
|
|
163
|
|
||||||||
TBAs
|
|
|
|
(23,568
|
)
|
|
(23,568
|
)
|
|
|
|
(3,433
|
)
|
|
(3,433
|
)
|
||||||||
Futures
|
|
|
|
19
|
|
|
19
|
|
|
|
|
—
|
|
|
—
|
|
||||||||
Total
|
|
$
|
(9,217
|
)
|
|
$
|
(22,661
|
)
|
|
$
|
(31,878
|
)
|
|
$
|
410
|
|
|
$
|
(39,932
|
)
|
|
$
|
(39,522
|
)
|
|
|
December 31, 2016
|
|
December 31, 2015
|
|||||||||||||||
|
|
|
|
Weighted Average
|
|
|
|
Weighted Average
|
|||||||||||
Remaining Days to Maturity
|
|
Borrowings Outstanding
|
|
Interest Rate
|
|
Remaining Days to Maturity
|
|
Borrowings Outstanding
|
|
Interest Rate
|
|
Remaining Days to Maturity
|
|||||||
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
|||||||
30 days or less
|
|
$
|
545,817
|
|
|
0.80
|
%
|
|
19
|
|
$
|
666,124
|
|
|
0.52
|
%
|
|
14
|
|
31-60 days
|
|
304,398
|
|
|
0.91
|
|
|
45
|
|
336,350
|
|
|
0.53
|
|
|
45
|
|
||
61-90 days
|
|
299,081
|
|
|
0.98
|
|
|
74
|
|
89,142
|
|
|
0.70
|
|
|
74
|
|
||
91-120 days
|
|
1,050
|
|
|
0.88
|
|
|
109
|
|
131,103
|
|
|
0.53
|
|
|
106
|
|
||
121-150 days
|
|
12,428
|
|
|
0.97
|
|
|
135
|
|
—
|
|
|
—
|
|
|
—
|
|
||
151-180 days
|
|
35,199
|
|
|
1.05
|
|
|
164
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Total
|
|
$
|
1,197,973
|
|
|
0.88
|
%
|
|
45
|
|
$
|
1,222,719
|
|
|
0.54
|
%
|
|
37
|
|
Counterparty
|
|
Amount at Risk
(1)
|
|
Weighted Average Remaining Days to Maturity
|
|
Percentage of Shareholders' Equity
|
|||
|
|
(In thousands)
|
|
|
|
|
|||
J.P. Morgan Securities Inc.
|
|
$
|
15,077
|
|
|
58
|
|
10.6
|
%
|
(1)
|
Amounts at risk exclude, in aggregate,
$0.6 million
of net accrued interest, defined as accrued interest on securities held as collateral less interest payable on cash borrowed.
|
Description
|
|
Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet
(1)
|
|
Financial Instruments
Available for Offset
|
|
Financial Instruments Transferred or Pledged as Collateral
(2)(3)
|
|
Cash Collateral (Received) Pledged
(2)(3)
|
|
Net Amount
|
||||||||||
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Financial derivatives–assets
|
|
$
|
6,008
|
|
|
$
|
(1,346
|
)
|
|
$
|
—
|
|
|
$
|
(50
|
)
|
|
$
|
4,612
|
|
Reverse repurchase agreements
|
|
75,012
|
|
|
(75,012
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Financial derivatives–liabilities
|
|
(1,975
|
)
|
|
1,346
|
|
|
—
|
|
|
555
|
|
|
(74
|
)
|
|||||
Repurchase agreements
|
|
(1,197,973
|
)
|
|
75,012
|
|
|
1,080,786
|
|
|
42,175
|
|
|
—
|
|
(1)
|
In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.
|
(2)
|
For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of
December 31, 2016
were
$1.22 billion
. As of
December 31, 2016
total cash collateral on financial derivative assets and liabilities excludes
$4.6 million
and
$0.1 million
, respectively of net excess cash collateral.
|
(3)
|
When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows.
|
Description
|
|
Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet
(1)
|
|
Financial Instruments
Available for Offset
|
|
Financial Instruments Transferred or Pledged as Collateral
(2)(3)
|
|
Cash Collateral (Received) Pledged
(2)(3)
|
|
Net Amount
|
||||||||||
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Financial derivatives–assets
|
|
$
|
2,183
|
|
|
$
|
(1,529
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
654
|
|
Reverse repurchase agreements
|
|
78,632
|
|
|
(78,632
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Financial derivatives–liabilities
|
|
(4,725
|
)
|
|
1,529
|
|
|
—
|
|
|
3,089
|
|
|
(107
|
)
|
|||||
Repurchase agreements
|
|
(1,222,719
|
)
|
|
78,632
|
|
|
1,123,409
|
|
|
20,678
|
|
|
—
|
|
(1)
|
In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.
|
(2)
|
For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2015 were
$1.26 billion
. As of December 31, 2015 total cash collateral on financial derivative assets and liabilities excludes
$6.8 million
and
$2.5 million
, respectively of net excess cash collateral.
|
(3)
|
When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows.
|
(In thousands except for share amounts)
|
|
Year Ended
December 31, 2016 |
|
Year Ended
December 31, 2015 |
|
Year Ended
December 31, 2014 |
||||||
Numerator:
|
|
|
|
|
|
|
||||||
Net income
|
|
$
|
11,906
|
|
|
$
|
30
|
|
|
$
|
16,168
|
|
Denominator:
|
|
|
|
|
|
|
||||||
Basic and diluted weighted average shares outstanding
|
|
9,121,344
|
|
|
9,143,508
|
|
|
9,142,736
|
|
|||
Basic and Diluted Earnings Per Share
|
|
$
|
1.31
|
|
|
$
|
—
|
|
|
$
|
1.77
|
|
|
|
Year Ended
|
|||||||
|
|
December 31, 2016
|
|
December 31, 2015
|
|
December 31, 2014
|
|||
Common Shares Outstanding
(12/31/2015, 12/31/2014, and 12/31/2013, respectively)
|
|
9,135,103
|
|
|
9,149,274
|
|
|
9,139,842
|
|
Share Activity:
|
|
|
|
|
|
|
|||
Restricted shares issued
|
|
13,714
|
|
|
15,390
|
|
|
9,432
|
|
Shares repurchased
|
|
(17,920
|
)
|
|
(29,561
|
)
|
|
—
|
|
Common Shares Outstanding
(12/31/2016, 12/31/2015, and 12/31/2014, respectively)
|
|
9,130,897
|
|
|
9,135,103
|
|
|
9,149,274
|
|
Unvested restricted shares outstanding
(12/31/2016, 12/31/2015, and 12/31/2014, respectively)
|
|
16,395
|
|
|
15,390
|
|
|
6,912
|
|
Grant Recipient
|
|
Number of Restricted Shares Granted
|
|
Grant Date
|
|
Vesting Date
(1)
|
|
Independent trustees:
|
|
|
|
|
|
|
|
|
|
9,856
|
|
|
September 13, 2016
|
|
September 12, 2017
|
Partially dedicated employees:
|
|
|
|
|
|
|
|
|
|
2,302
|
|
|
December 13, 2016
|
|
December 13, 2017
|
|
|
1,556
|
|
|
December 13, 2016
|
|
December 13, 2018
|
|
|
2,359
|
|
|
December 15, 2015
|
|
December 15, 2017
|
|
|
322
|
|
|
December 15, 2015
|
|
December 31, 2017
|
(1)
|
Date at which such restricted shares will vest and become non-forfeitable.
|
(In thousands except for per share amounts)
|
|
Three Month Period Ended March 31, 2016
|
|
Three Month Period Ended June 30, 2016
|
|
Three Month Period Ended September 30, 2016
|
|
Three Month
Period Ended
December 31, 2016
|
||||||||
INTEREST INCOME (EXPENSE)
|
|
|
|
|
|
|
|
|
||||||||
Interest income
|
|
$
|
9,651
|
|
|
$
|
7,538
|
|
|
$
|
7,096
|
|
|
$
|
9,213
|
|
Interest expense
|
|
(2,051
|
)
|
|
(2,260
|
)
|
|
(2,279
|
)
|
|
(2,684
|
)
|
||||
Total net interest income
|
|
7,600
|
|
|
5,278
|
|
|
4,817
|
|
|
6,529
|
|
||||
EXPENSES
|
|
|
|
|
|
|
|
|
||||||||
Management fees
|
|
528
|
|
|
528
|
|
|
539
|
|
|
534
|
|
||||
Professional fees
|
|
218
|
|
|
161
|
|
|
171
|
|
|
118
|
|
||||
Compensation expense
|
|
151
|
|
|
169
|
|
|
142
|
|
|
137
|
|
||||
Other operating expenses
|
|
454
|
|
|
414
|
|
|
402
|
|
|
343
|
|
||||
Total expenses
|
|
1,351
|
|
|
1,272
|
|
|
1,254
|
|
|
1,132
|
|
||||
OTHER INCOME (LOSS)
|
|
|
|
|
|
|
|
|
||||||||
Net realized gains (losses) on securities and financial derivatives
|
|
(986
|
)
|
|
(11,507
|
)
|
|
(28
|
)
|
|
8,821
|
|
||||
Change in net unrealized gains (losses) on securities and financial derivatives
|
|
(5,502
|
)
|
|
11,008
|
|
|
3,091
|
|
|
(12,206
|
)
|
||||
Total other income (loss)
|
|
(6,488
|
)
|
|
(499
|
)
|
|
3,063
|
|
|
(3,385
|
)
|
||||
NET INCOME (LOSS)
|
|
$
|
(239
|
)
|
|
$
|
3,507
|
|
|
$
|
6,626
|
|
|
$
|
2,012
|
|
NET INCOME (LOSS) PER COMMON SHARE:
|
|
|
|
|
|
|
|
|
||||||||
Basic and Diluted
(1)
|
|
$
|
(0.03
|
)
|
|
$
|
0.38
|
|
|
$
|
0.73
|
|
|
$
|
0.22
|
|
CASH DIVIDENDS PER COMMON SHARE:
|
|
|
|
|
|
|
|
|
||||||||
Dividends declared
|
|
$
|
0.45
|
|
|
$
|
0.40
|
|
|
$
|
0.40
|
|
|
$
|
0.40
|
|
(1)
|
For the year ended December 31, 2016 the sum of EPS for the four quarters of the year does not equal EPS as calculated for the entire year (see Note 8) as a result of changes in shares during the year due to restricted share issuances and common share repurchases, as EPS is calculated using average shares outstanding during the period.
|
(In thousands except for per share amounts)
|
|
Three Month Period Ended March 31, 2015
|
|
Three Month Period Ended June 30, 2015
|
|
Three Month Period Ended September 30, 2015
|
|
Three Month
Period Ended
December 31, 2015
|
||||||||
INTEREST INCOME (EXPENSE)
|
|
|
|
|
|
|
|
|
||||||||
Interest income
|
|
$
|
10,280
|
|
|
$
|
9,841
|
|
|
$
|
11,315
|
|
|
$
|
9,315
|
|
Interest expense
|
|
(1,258
|
)
|
|
(1,520
|
)
|
|
(1,642
|
)
|
|
(1,816
|
)
|
||||
Total net interest income
|
|
9,022
|
|
|
8,321
|
|
|
9,673
|
|
|
7,499
|
|
||||
EXPENSES
|
|
|
|
|
|
|
|
|
||||||||
Management fees
|
|
610
|
|
|
592
|
|
|
557
|
|
|
545
|
|
||||
Professional fees
|
|
143
|
|
|
135
|
|
|
144
|
|
|
152
|
|
||||
Compensation expense
|
|
193
|
|
|
173
|
|
|
168
|
|
|
87
|
|
||||
Other operating expenses
|
|
470
|
|
|
365
|
|
|
406
|
|
|
405
|
|
||||
Total expenses
|
|
1,416
|
|
|
1,265
|
|
|
1,275
|
|
|
1,189
|
|
||||
OTHER INCOME (LOSS)
|
|
|
|
|
|
|
|
|
||||||||
Net realized gains (losses) on securities and financial derivatives
|
|
(2,021
|
)
|
|
(2,400
|
)
|
|
(2,656
|
)
|
|
(6,778
|
)
|
||||
Change in net unrealized gains (losses) on securities and financial derivatives
|
|
(1,908
|
)
|
|
(4,466
|
)
|
|
(10,559
|
)
|
|
1,448
|
|
||||
Total other income (loss)
|
|
(3,929
|
)
|
|
(6,866
|
)
|
|
(13,215
|
)
|
|
(5,330
|
)
|
||||
NET INCOME (LOSS)
|
|
$
|
3,677
|
|
|
$
|
190
|
|
|
$
|
(4,817
|
)
|
|
$
|
980
|
|
NET INCOME (LOSS) PER COMMON SHARE:
|
|
|
|
|
|
|
|
|
||||||||
Basic and Diluted
|
|
$
|
0.40
|
|
|
$
|
0.02
|
|
|
$
|
(0.53
|
)
|
|
$
|
0.11
|
|
CASH DIVIDENDS PER COMMON SHARE:
|
|
|
|
|
|
|
|
|
||||||||
Dividends declared
|
|
$
|
0.55
|
|
|
$
|
0.55
|
|
|
$
|
0.45
|
|
|
$
|
0.45
|
|
Exhibit
|
|
Description
|
3.1
|
|
Articles of Amendment and Restatement of Ellington Residential Mortgage REIT filed on May 3, 2013 (incorporated by reference to the Company's quarterly report on Form 10-Q for the quarter ended March 31, 2013).
|
|
|
|
3.2
|
|
Amended and Restated Bylaws of Ellington Residential Mortgage REIT (incorporated by reference to the Company's quarterly report on Form 10-Q for the quarter ended March 31, 2013).
|
|
|
|
4.1
|
|
Specimen Common Share Certificate of Ellington Residential Mortgage REIT (incorporated by reference to the registration statement on Form S-11 (No. 333-187662), filed on April 23, 2013).
|
|
|
|
10.1
|
|
Fourth Amended and Restated Management Agreement between Ellington Residential Mortgage REIT and Ellington Residential Mortgage Management LLC (incorporated by reference to the Quarterly Report on Form 10-Q, filed on November 5, 2015).
|
|
|
|
10.2+
|
|
2013 Equity Incentive Plan (incorporated by reference to the registration statement on Form S-11 (No. 333-187662), filed on April 23, 2013).
|
|
|
|
10.3+
|
|
Form of Share Award Agreement (for trustees) (incorporated by reference to the Company's Current Report on Form 8-K, filed on September 25, 2013).
|
|
|
|
10.4+
|
|
Form of Share Award Agreement (for trustees) (incorporated by reference to the Company's quarterly report on Form 10-Q for the quarter ended September 30, 2014).
|
|
|
|
10.5+
|
|
Form of Share Award Agreement (for Ellington employees) (incorporated by reference to the Company's Current Report on Form 8-K filed on December 18, 2015).
|
|
|
|
10.6
|
|
Form of Share Award Agreement (for Ellington employees)
|
|
|
|
10.7
|
|
Form of Indemnification Agreement (incorporated by reference to the registration statement on Form S-11 (No. 333-187662), filed on April 29, 2013).
|
|
|
|
10.8
|
|
Registration Rights Agreement, dated as of September 24, 2012, by and among Ellington Residential Mortgage REIT, EMG Holdings, L.P. and Blackstone Tactical Opportunities EARN Holdings, L.L.C.(incorporated by reference to the registration statement on Form S-11 (No. 333-187662), filed on April 23, 2013).
|
|
|
|
10.9
|
|
Shareholders Agreement by and among Ellington Residential Mortgage REIT, EMG Holdings, L.P., and Blackstone Tactical Opportunities EARN Holdings, L.L.C. dated May 6, 2013 (incorporated by reference to the Company's quarterly report on Form 10-Q for the quarter ended March 31, 2013).
|
|
|
|
10.10
|
|
Amended and Restated Agreement of Limited Partnership of Ellington Residential Mortgage LP (incorporated by reference to the registration statement on Form S-11 (No. 333-187662), filed on April 23, 2013).
|
|
|
|
12.1
|
|
Statement re: Computation of Ratio of Earnings to Fixed Charges and of Earnings to Combined Fixed Charges and Preferred Stock Dividends
|
|
|
|
21.1
|
|
List of Subsidiaries
|
|
|
|
23.1
|
|
Consent of the Independent Registered Public Accounting Firm
|
|
|
|
24.1
|
|
Power of Attorney (included on signature page)
|
|
|
|
31.1
|
|
Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002
|
|
|
|
31.2
|
|
Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002
|
|
|
|
32.1*
|
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002
|
|
|
|
32.2*
|
|
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002
|
|
|
|
101
|
|
The following financial information from Ellington Residential Mortgage REIT's Annual Report on Form 10-K for the year ended December 31, 2016, formatted in XBRL (Extensible Business Reporting Language): (i) Consolidated Balance Sheet, (ii) Consolidated Statement of Operations, (iii) Consolidated Statement of Shareholders' Equity, (iv) Consolidated Statement of Cash Flows and (v) Notes to Consolidated Financial Statements.
|
*
|
Furnished herewith. These certifications are not deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended.
|
+
|
Compensatory plan or arrangement.
|
|
|
|
ELLINGTON RESIDENTIAL MORTGAGE REIT
|
|
Date:
|
March 13, 2017
|
|
By:
|
/s/ L
AURENCE
P
ENN
|
|
|
|
|
Laurence Penn
Chief Executive Officer
(Principal Executive Officer)
|
Signature
|
|
Title
|
|
Date
|
|
|
|
|
|
/s/ L
AURENCE
P
ENN
|
|
Chief Executive Officer, President and Trustee
(Principal Executive Officer)
|
|
March 13, 2017
|
L
AURENCE
P
ENN
|
|
|
|
|
|
|
|
|
|
/s/ L
ISA
M
UMFORD
|
|
Chief Financial Officer
(Principal Financial and Accounting Officer)
|
|
March 13, 2017
|
LISA MUMFORD
|
|
|
|
|
|
|
|
|
|
/s/ M
ICHAEL
W. V
RANOS
|
|
Trustee
|
|
March 13, 2017
|
M
ICHAEL
W. V
RANOS
|
|
|
|
|
|
|
|
|
|
/s/ T
HOMAS
F. R
OBARDS
|
|
Chairman of the Board
|
|
March 13, 2017
|
THOMAS F. ROBARDS
|
|
|
|
|
|
|
|
|
|
/s/ R
ONALD
I. S
IMON
P
H.
D
|
|
Trustee
|
|
March 13, 2017
|
RONALD I. SIMON P
H
.D
|
|
|
|
|
|
|
|
|
|
/s/ R
OBERT
B. A
LLARDICE
, III
|
|
Trustee
|
|
March 13, 2017
|
ROBERT B. ALLARDICE, III
|
|
|
|
|
|
|
|
|
|
/s/ M
ENES
O. C
HEE
|
|
Trustee
|
|
March 13, 2017
|
MENES O. CHEE
|
|
|
|
|
|
|
|
|
|
/s/ D
AVID
M
ILLER
|
|
Trustee
|
|
March 13, 2017
|
DAVID MILLER
|
|
|
|
|
Exhibit
|
|
Description
|
3.1
|
|
Articles of Amendment and Restatement of Ellington Residential Mortgage REIT filed on May 3, 2013 (incorporated by reference to the Company's quarterly report on Form 10-Q for the quarter ended March 31, 2013).
|
|
|
|
3.2
|
|
Amended and Restated Bylaws of Ellington Residential Mortgage REIT (incorporated by reference to the Company's quarterly report on Form 10-Q for the quarter ended March 31, 2013).
|
|
|
|
4.1
|
|
Specimen Common Share Certificate of Ellington Residential Mortgage REIT (incorporated by reference to the registration statement on Form S-11 (No. 333-187662), filed on April 23, 2013).
|
|
|
|
10.1
|
|
Fourth Amended and Restated Management Agreement between Ellington Residential Mortgage REIT and Ellington Residential Mortgage Management LLC (incorporated by reference to the Quarterly Report on Form 10-Q, filed on November 5, 2015).
|
|
|
|
10.2+
|
|
2013 Equity Incentive Plan (incorporated by reference to the registration statement on Form S-11 (No. 333-187662), filed on April 23, 2013).
|
|
|
|
10.3+
|
|
Form of Share Award Agreement (for trustees) (incorporated by reference to the Company's Current Report on Form 8-K, filed on September 25, 2013).
|
|
|
|
10.4+
|
|
Form of Share Award Agreement (for trustees) (incorporated by reference to the Company's quarterly report on Form 10-Q for the quarter ended September 30, 2014).
|
|
|
|
10.5+
|
|
Form of Share Award Agreement (for Ellington employees) (incorporated by reference to the Company's Current Report on Form 8-K filed on December 18, 2015).
|
|
|
|
10.6
|
|
Form of Share Award Agreement (for Ellington employees)
|
|
|
|
10.7
|
|
Form of Indemnification Agreement (incorporated by reference to the registration statement on Form S-11 (No. 333-187662), filed on April 29, 2013).
|
|
|
|
10.8
|
|
Registration Rights Agreement, dated as of September 24, 2012, by and among Ellington Residential Mortgage REIT, EMG Holdings, L.P. and Blackstone Tactical Opportunities EARN Holdings, L.L.C.(incorporated by reference to the registration statement on Form S-11 (No. 333-187662), filed on April 23, 2013).
|
|
|
|
10.9
|
|
Shareholders Agreement by and among Ellington Residential Mortgage REIT, EMG Holdings, L.P., and Blackstone Tactical Opportunities EARN Holdings, L.L.C. dated May 6, 2013 (incorporated by reference to the Company's quarterly report on Form 10-Q for the quarter ended March 31, 2013).
|
|
|
|
10.10
|
|
Amended and Restated Agreement of Limited Partnership of Ellington Residential Mortgage LP (incorporated by reference to the registration statement on Form S-11 (No. 333-187662), filed on April 23, 2013).
|
|
|
|
12.1
|
|
Statement re: Computation of Ratio of Earnings to Fixed Charges and of Earnings to Combined Fixed Charges and Preferred Stock Dividends
|
|
|
|
21.1
|
|
List of Subsidiaries
|
|
|
|
23.1
|
|
Consent of the Independent Registered Public Accounting Firm
|
|
|
|
24.1
|
|
Power of Attorney (included on signature page)
|
|
|
|
31.1
|
|
Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002
|
|
|
|
31.2
|
|
Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002
|
|
|
|
32.1*
|
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002
|
|
|
|
32.2*
|
|
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002
|
|
|
|
101
|
|
The following financial information from Ellington Residential Mortgage REIT's Annual Report on Form 10-K for the year ended December 31, 2016, formatted in XBRL (Extensible Business Reporting Language): (i) Consolidated Balance Sheet, (ii) Consolidated Statement of Operations, (iii) Consolidated Statement of Shareholders' Equity, (iv) Consolidated Statement of Cash Flows and (v) Notes to Consolidated Financial Statements.
|
*
|
Furnished herewith. These certifications are not deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended.
|
+
|
Compensatory plan or arrangement.
|
|
|
Fiscal Years Ended December 31,
|
|
September 25, 2012 (commencement of operations) to
December 31, 2012
(2)
|
|||||||
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
||
Ratio of Earnings to Fixed Charges
(1)
|
|
2.3x
|
|
1.0x
|
|
4.6x
|
|
0.4x
|
|
—
|
|
Ratio of Earnings to Combined Fixed Charges and Preferred Share Dividends
(1)
|
|
2.3x
|
|
1.0x
|
|
4.6x
|
|
0.4x
|
|
—
|
|
(1)
|
Fixed charges consist of interest expense for the fiscal years ended December 31, 2016, 2015, 2014, and 2013.
|
(2)
|
We incurred no fixed charges during the period.
|
Name
|
|
State of Incorporation or Organization
|
EARN CMO LLC
|
|
Delaware
|
EARN Mortgage LLC
|
|
Delaware
|
EARN Securities LLC
|
|
Delaware
|
Ellington Residential Mortgage LP
|
|
Delaware
|
EARN TRS LLC
|
|
Delaware
|
EARN OP GP LLC
|
|
Delaware
|
(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:
|
March 13, 2017
|
|
|
|
|
|
|
|
/s/ Laurence Penn
|
|
|
|
|
Laurence Penn
|
|
|
|
|
Chief Executive Officer
(Principal Executive Officer)
|
(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:
|
March 13, 2017
|
|
|
|
|
|
|
|
/s/ Lisa Mumford
|
|
|
|
|
Lisa Mumford
|
|
|
|
|
Chief Financial Officer
(Principal Financial and Accounting Officer)
|
Date:
|
March 13, 2017
|
|
|
/s/ Laurence Penn
|
|
|
|
|
Laurence Penn
Chief Executive Officer
(Principal Executive Officer)
|
Date:
|
March 13, 2017
|
|
|
/s/ Lisa Mumford
|
|
|
|
|
Lisa Mumford
Chief Financial Officer
(Principal Financial and Accounting Officer)
|