ý
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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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o
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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WESTERN ASSET MORTGAGE CAPITAL CORPORATION
(Exact name of registrant as specified in its charter)
|
Delaware
(State or other jurisdiction of
incorporation or organization)
|
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27-0298092
(I.R.S. Employer
Identification No.)
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|
Title of Each Class
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Name of Each Exchange on Which Registered
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Common Stock, $0.01 par value
|
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New York Stock Exchange
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Large accelerated filer
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o
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Accelerated filer
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x
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Non-accelerated filer
|
o
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Smaller reporting company
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o
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Emerging growth company
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o
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Page
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PART I
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PART II
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PART III
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PART IV
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|
|
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|
Minimum
|
|
Maximum (excluding IOs and IIOs)
|
|
Maximum (including IOs and IIOs)
|
Agency RMBS IOs and IIOs
|
|
20.0%
|
|
n/a
|
|
30.0%
|
Agency CMBS
|
|
5.0%
|
|
5.0%
|
|
15.0%
|
Non-Agency RMBS
|
|
15.0%
|
|
50.0%
|
|
n/a
|
Non-Agency CMBS
|
|
15.0%
|
|
35.0%
|
|
n/a
|
Other securities
|
|
25.0%
|
|
50.0%
|
|
n/a
|
Residential Whole Loans
(1)
|
|
5.0%
|
|
20.0%
|
|
n/a
|
Commercial Loans
(2)
|
|
35.0%
|
|
45.0%
|
|
n/a
|
|
•
|
tenant mix;
|
•
|
success of tenant businesses;
|
•
|
property management decisions;
|
•
|
property location and condition;
|
•
|
competition from comparable types of properties;
|
•
|
changes in laws that increase operating expenses or limit rents that may be charged;
|
•
|
any need to address environmental contamination at the property or the occurrence of any uninsured casualty at the property;
|
•
|
changes in national, regional or local economic conditions and/or specific industry segments;
|
•
|
declines in regional or local real estate values;
|
•
|
declines in regional or local rental or occupancy rates;
|
•
|
increases in interest rates;
|
•
|
real estate tax rates and other operating expenses;
|
•
|
changes in governmental rules, regulations and fiscal policies, including environmental legislation; and
|
•
|
acts of God, terrorist attacks, social unrest and civil disturbances.
|
•
|
short-term interest rates increase;
|
•
|
the market value of our securities decreases;
|
•
|
interest rate volatility increases; or
|
•
|
the availability of financing in the market decreases.
|
•
|
our lenders do not make repurchase agreement financing available to us at acceptable rates;
|
•
|
certain of our lenders exit the repurchase market;
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•
|
our lenders require that we pledge additional collateral to cover our borrowings, which we may be unable to do; or
|
•
|
we determine that the leverage would expose us to excessive risk.
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•
|
interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates;
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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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•
|
due to a credit loss, the duration of the hedge may not match the duration of the related liability;
|
•
|
the amount of income that a REIT may earn from hedging transactions (other than hedging transactions that satisfy certain requirements of the Code or that are done through a taxable REIT subsidiary (a "TRS") to offset interest rate losses is limited by U.S. federal tax provisions governing REITs;
|
•
|
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 stockholders' equity;
|
•
|
the credit quality of the hedging counterparty owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
|
•
|
the hedging counterparty owing money in the hedging transaction may default on its obligation to pay.
|
•
|
actual or anticipated variations in our quarterly operating results;
|
•
|
changes in our earnings estimates or publication of research reports about us or the real estate industry;
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•
|
changes in market valuations of similar companies;
|
•
|
adverse market reaction to any increased indebtedness we incur in the future;
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•
|
additions to or departures of our Manager's key personnel;
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•
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actions by our stockholders;
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•
|
changes in our dividend policy or payments; and
|
•
|
speculation in the press or investment community.
|
•
|
the profitability of our existing investments and the investment of net proceeds of any subsequent offering;
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•
|
our ability to make profitable investments;
|
•
|
margin calls or other expenses that reduce our cash flow;
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•
|
decreases in the value of our portfolio or defaults in our asset portfolio; and
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•
|
the fact that anticipated operating expense levels may not prove accurate, as actual results may vary from estimates.
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Common Stock Dividend
|
2018
|
|
|
|
|
|
|
December 19, 2018
|
|
December 31, 2018
|
|
January 25, 2019
|
|
$0.31
|
September 17, 2018
|
|
September 27, 2018
|
|
October 26, 2018
|
|
$0.31
|
June 21, 2018
|
|
July 2, 2018
|
|
July 26, 2018
|
|
$0.31
|
March 22, 2018
|
|
April 2, 2018
|
|
April 26, 2018
|
|
$0.31
|
2017
|
|
|
|
|
|
|
December 21, 2017
|
|
January 2, 2018
|
|
January 26, 2018
|
|
$0.31
|
September 21, 2017
|
|
October 2, 2017
|
|
October 26, 2017
|
|
$0.31
|
June 20, 2017
|
|
June 30, 2017
|
|
July 26, 2017
|
|
$0.31
|
March 23, 2017
|
|
April 3, 2017
|
|
April 26, 2017
|
|
$0.31
|
Award
|
Number of securities to be
issued upon exercise of
outstanding options,
warrants and rights
|
|
Weighted-average exercise
price of outstanding
options, warrants and
rights
|
|
Number of securities
remaining available for
future issuance under
equity compensation
plans
|
|||
Restricted common stock
|
N/A
|
|
|
N/A
|
|
|
669,636
|
|
Total
|
—
|
|
|
—
|
|
|
669,636
|
|
|
|
|||||||||||
Index
|
12/31/13
|
|
12/31/14
|
|
12/31/15
|
|
12/31/16
|
|
12/31/17
|
|
12/31/18
|
|
Western Asset Mortgage Capital Corp
|
100.00
|
|
118.56
|
|
99.56
|
|
112.32
|
|
125.12
|
|
119.05
|
|
S&P 500
|
100.00
|
|
113.69
|
|
115.26
|
|
129.05
|
|
157.22
|
|
150.33
|
|
Russell 2000
|
100.00
|
|
104.89
|
|
100.26
|
|
121.63
|
|
139.44
|
|
124.09
|
|
FTSE NAREIT Mortgage REIT
|
100.00
|
|
117.88
|
|
107.42
|
|
131.96
|
|
158.08
|
|
154.09
|
|
Month
|
|
Total Number of Shares Purchased (Re-issued)
|
|
Average Price Paid Per Share
(1)
|
|
Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs
|
|
Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs at the end of period
(1)(2)
|
|||||
March 1 - 31, 2018
|
|
114,400
|
|
|
$
|
9.68
|
|
|
114,400
|
|
|
1,859,878
|
|
April 1 - 30, 2018
|
|
63,300
|
|
|
$
|
9.88
|
|
|
63,300
|
|
|
1,796,578
|
|
Total
|
|
177,700
|
|
|
|
|
177,700
|
|
|
|
|
in thousands—except share and per share data
|
Year ended December 31, 2018
|
|
Year ended December 31, 2017
|
|
Year ended December 31, 2016
|
|
Year ended December 31, 2015
|
|
Year ended December 31, 2014
|
||||||||||
Operating Data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net Interest Income
|
71,122
|
|
|
75,918
|
|
|
91,326
|
|
|
125,099
|
|
|
126,847
|
|
|||||
Other Income (Loss)
|
(21,328
|
)
|
|
30,444
|
|
|
(91,939
|
)
|
|
(112,100
|
)
|
|
(7,374
|
)
|
|||||
Operating expenses
|
14,749
|
|
|
10,519
|
|
|
11,493
|
|
|
12,888
|
|
|
10,394
|
|
|||||
General and administrative expenses
|
7,927
|
|
|
7,259
|
|
|
9,753
|
|
|
9,595
|
|
|
8,366
|
|
|||||
Income (loss) before income taxes
|
27,118
|
|
|
88,584
|
|
|
(21,859
|
)
|
|
(9,484
|
)
|
|
100,713
|
|
|||||
Income tax provision (benefit)
|
709
|
|
|
3,487
|
|
|
3,156
|
|
|
—
|
|
|
—
|
|
|||||
Net Income (loss)
|
$
|
26,409
|
|
|
$
|
85,097
|
|
|
$
|
(25,015
|
)
|
|
$
|
(9,484
|
)
|
|
$
|
100,713
|
|
Net income (loss) per Common Share—Basic
|
$
|
0.61
|
|
|
$
|
2.03
|
|
|
$
|
(0.61
|
)
|
|
$
|
(0.25
|
)
|
|
$
|
2.67
|
|
Net income (loss) per Common Share—Diluted
|
$
|
0.61
|
|
|
$
|
2.03
|
|
|
$
|
(0.61
|
)
|
|
$
|
(0.25
|
)
|
|
$
|
2.67
|
|
Dividends Declared per Share of Common Stock
|
$
|
1.24
|
|
|
$
|
1.24
|
|
|
$
|
1.38
|
|
|
$
|
2.49
|
|
|
$
|
2.74
|
|
Balance Sheet Data (at period end):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total assets
|
$
|
4,497,395
|
|
|
$
|
3,886,906
|
|
|
$
|
3,156,016
|
|
|
$
|
3,414,429
|
|
|
$
|
4,909,277
|
|
Total liabilities
|
$
|
3,994,386
|
|
|
$
|
3,420,868
|
|
|
$
|
2,725,534
|
|
|
$
|
2,902,781
|
|
|
$
|
4,286,065
|
|
Total stockholders' equity
|
$
|
503,009
|
|
|
$
|
466,038
|
|
|
$
|
430,482
|
|
|
$
|
511,648
|
|
|
$
|
623,212
|
|
Other Data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Cash flow provided by (used in):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Operating activities
|
$
|
107,052
|
|
|
$
|
59,382
|
|
|
$
|
11,546
|
|
|
$
|
133,898
|
|
|
$
|
107,374
|
|
Investing activities
|
$
|
(716,875
|
)
|
|
$
|
(1,202,572
|
)
|
|
$
|
504,631
|
|
|
$
|
1,359,855
|
|
|
$
|
(1,311,678
|
)
|
Financing activities
|
$
|
639,594
|
|
|
$
|
1,145,043
|
|
|
$
|
(494,799
|
)
|
|
$
|
(1,516,439
|
)
|
|
$
|
1,203,001
|
|
|
Investment Type
|
|
Balance at December 31, 2017
|
|
Purchases
|
|
Principal Payments and Basis Recovery
|
|
Proceeds from
Sales
|
|
Realized Gain/(Loss)
|
|
Unrealized Gain/(loss)
|
|
Premium and discount amortization, net
|
|
OTTI
|
|
Balance at December 31, 2018
|
||||||||||||||||||
Agency RMBS and Agency RMBS IOs
|
|
$
|
698,033
|
|
|
$
|
2,092
|
|
|
$
|
(61,143
|
)
|
|
$
|
(589,853
|
)
|
|
$
|
(23,978
|
)
|
|
$
|
(2,670
|
)
|
|
$
|
(1,767
|
)
|
|
$
|
(877
|
)
|
|
$
|
19,837
|
|
Non-Agency RMBS
|
|
99,554
|
|
|
55,023
|
|
|
(6,680
|
)
|
|
(99,842
|
)
|
|
6,530
|
|
|
(3,960
|
)
|
|
926
|
|
|
(996
|
)
|
|
50,555
|
|
|||||||||
Agency CMBS and Agency CMBS IOs
|
|
2,160,567
|
|
|
944,150
|
|
|
(6,670
|
)
|
|
(1,534,967
|
)
|
|
(51,045
|
)
|
|
(25,015
|
)
|
|
(646
|
)
|
|
(232
|
)
|
|
1,486,142
|
|
|||||||||
Non-Agency CMBS
|
|
278,604
|
|
|
100,231
|
|
|
(48,638
|
)
|
|
(140,293
|
)
|
|
(3,116
|
)
|
|
15,805
|
|
|
6,367
|
|
|
(8,659
|
)
|
|
200,301
|
|
|||||||||
Other securities
(1)
|
|
122,065
|
|
|
9,686
|
|
|
(706
|
)
|
|
(65,099
|
)
|
|
8,400
|
|
|
(7,352
|
)
|
|
(6,371
|
)
|
|
(717
|
)
|
|
59,906
|
|
|||||||||
Total MBS and other securities
|
|
3,358,823
|
|
|
1,111,182
|
|
|
(123,837
|
)
|
|
(2,430,054
|
)
|
|
(63,209
|
)
|
|
(23,192
|
)
|
|
(1,491
|
)
|
|
(11,481
|
)
|
|
1,816,741
|
|
|||||||||
Residential Whole Loans
|
|
237,423
|
|
|
889,761
|
|
|
(83,886
|
)
|
|
—
|
|
|
—
|
|
|
(444
|
)
|
|
(969
|
)
|
|
—
|
|
|
1,041,885
|
|
|||||||||
Residential Bridge Loans
|
|
106,673
|
|
|
422,842
|
|
|
(303,442
|
)
|
|
—
|
|
|
(48
|
)
|
|
(1,896
|
)
|
|
(2,410
|
)
|
|
—
|
|
|
221,719
|
|
|||||||||
Commercial Loans
|
|
—
|
|
|
235,856
|
|
|
(20,638
|
)
|
|
—
|
|
|
—
|
|
|
631
|
|
|
274
|
|
|
—
|
|
|
216,123
|
|
|||||||||
Securitized commercial loan
|
|
24,876
|
|
|
1,353,020
|
|
|
(361,782
|
)
|
|
—
|
|
|
—
|
|
|
(16
|
)
|
|
(2,587
|
)
|
|
—
|
|
|
1,013,511
|
|
|||||||||
Total Investments
|
|
$
|
3,727,795
|
|
|
$
|
4,012,661
|
|
|
$
|
(893,585
|
)
|
|
$
|
(2,430,054
|
)
|
|
$
|
(63,257
|
)
|
|
$
|
(24,917
|
)
|
|
$
|
(7,183
|
)
|
|
$
|
(11,481
|
)
|
|
$
|
4,309,979
|
|
|
|
Principal Balance
|
|
Amortized Cost
|
|
Fair Value
|
|
Net Weighted Average Coupon
|
|||||||
Agency RMBS IOs and IIOs
(1)
|
N/A
|
|
|
11,480
|
|
|
12,135
|
|
|
2.2
|
%
|
|||
Agency RMBS IOs and IIOs accounted for as derivatives
(1)
|
N/A
|
|
|
N/A
|
|
|
7,702
|
|
|
2.9
|
%
|
|||
Total Agency RMBS
|
—
|
|
|
11,480
|
|
|
19,837
|
|
|
2.5
|
%
|
|||
|
|
|
|
|
|
|
|
|||||||
Agency CMBS
|
1,493,675
|
|
|
1,499,495
|
|
|
1,481,984
|
|
|
3.3
|
%
|
|||
Agency CMBS IOs and IIOs accounted for as derivatives
(1)
|
N/A
|
|
|
N/A
|
|
|
4,158
|
|
|
0.4
|
%
|
|||
Total: Agency CMBS
|
1,493,675
|
|
|
1,499,495
|
|
|
1,486,142
|
|
|
3.0
|
%
|
|||
Total
|
$
|
1,493,675
|
|
|
$
|
1,510,975
|
|
|
$
|
1,505,979
|
|
|
2.9
|
%
|
|
(1)
|
IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on the interest-only class of securities.
|
Credit Securities
|
|
Pre 2006
|
|
2006
|
|
2007
|
|
2011
|
|
2012
|
|
2013
|
|
2014
|
|
2015
|
|
2016
|
|
2017
|
|
2018
|
|
Total
|
||||||||||||
Non-Agency RMBS
|
|
—
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
1.0
|
%
|
|
0.3
|
%
|
|
1.4
|
%
|
Non-Agency RMBS IOs
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.3
|
%
|
|
0.2
|
%
|
|
0.5
|
%
|
Non-Agency CMBS
|
|
—
|
%
|
|
0.7
|
%
|
|
1.9
|
%
|
|
1.4
|
%
|
|
0.3
|
%
|
|
—
|
%
|
|
0.3
|
%
|
|
0.8
|
%
|
|
—
|
%
|
|
—
|
%
|
|
1.8
|
%
|
|
7.2
|
%
|
Other securities
|
|
0.3
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.2
|
%
|
|
0.4
|
%
|
|
0.7
|
%
|
|
0.2
|
%
|
|
0.3
|
%
|
|
2.1
|
%
|
Residential Whole Loans
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.2
|
%
|
|
0.2
|
%
|
|
2.2
|
%
|
|
1.1
|
%
|
|
0.1
|
%
|
|
1.4
|
%
|
|
6.7
|
%
|
|
25.1
|
%
|
|
37.0
|
%
|
Residential Bridge Loans
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.2
|
%
|
|
1.4
|
%
|
|
6.3
|
%
|
|
7.9
|
%
|
Securitized commercial loans
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.9
|
%
|
|
—
|
%
|
|
—
|
%
|
|
35.3
|
%
|
|
36.2
|
%
|
Commercial Loans
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
7.7
|
%
|
|
7.7
|
%
|
Total
|
|
0.3
|
%
|
|
0.8
|
%
|
|
1.9
|
%
|
|
1.6
|
%
|
|
0.5
|
%
|
|
2.2
|
%
|
|
1.6
|
%
|
|
2.2
|
%
|
|
2.3
|
%
|
|
9.6
|
%
|
|
77.0
|
%
|
|
100.0
|
%
|
|
(1)
|
Based on carrying amount of the investments.
|
|
|
|
|
Weighted Average
|
|||||||||||||||||||
Category
|
|
Fair Value
|
|
Purchase
Price
|
|
Life (Years)
|
|
Original LTV
|
|
Original
FICO
|
|
60+ Day
Delinquent
|
|
6-Month
CPR
|
|||||||||
Prime
|
|
$
|
12,850
|
|
|
$
|
51.33
|
|
|
13.5
|
|
|
68.9
|
%
|
|
769
|
|
|
—
|
%
|
|
9.0
|
%
|
Alt-A
|
|
37,705
|
|
|
63.44
|
|
|
11.5
|
|
|
80.9
|
%
|
|
663
|
|
|
6.4
|
%
|
|
9.1
|
%
|
||
Total
|
|
$
|
50,555
|
|
|
$
|
60.36
|
|
|
12.0
|
|
|
77.8
|
%
|
|
690
|
|
|
4.7
|
%
|
|
9.1
|
%
|
|
|
|
|
Principal
|
|
|
|
Weighted Average
|
||||||||
Type
|
|
Vintage
|
|
Balance
|
|
Fair Value
|
|
Life (Years)
|
|
Original LTV
|
||||||
Conduit:
|
|
|
|
|
|
|
|
|
|
|
|
|
0
|
|
||
|
|
2006-2009
|
|
$
|
87,037
|
|
|
$
|
72,239
|
|
|
2.0
|
|
|
72.9
|
%
|
|
|
2010-2018
|
|
77,298
|
|
|
55,310
|
|
|
3.1
|
|
|
61.0
|
%
|
||
|
|
|
|
164,335
|
|
|
127,549
|
|
|
2.5
|
|
|
67.7
|
%
|
||
Single Asset:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
2010-2018
|
|
76,096
|
|
|
72,752
|
|
|
3.1
|
|
|
66.8
|
%
|
||
Total
|
|
|
|
$
|
240,431
|
|
|
$
|
200,301
|
|
|
2.7
|
|
|
67.4
|
%
|
|
|
|
|
|
|
Weighted Average
|
|||||||||||||
Current Coupon Rate
|
|
Number of Loans
|
|
Principal
Balance
|
|
Original LTV
|
|
Original
FICO Score
(1)
|
|
Expected
Life (years)
|
|
Contractual
Maturity
(years)
|
|
Coupon
Rate
|
|||||
3.01 - 4.00%
|
|
66
|
|
$
|
22,046
|
|
|
61.6
|
%
|
|
738
|
|
|
6.5
|
|
29.0
|
|
3.9
|
%
|
4.01 - 5.00%
|
|
1,395
|
|
490,073
|
|
|
62.3
|
%
|
|
739
|
|
|
3.0
|
|
29.0
|
|
4.8
|
%
|
|
5.01 - 6.00%
|
|
1,283
|
|
496,722
|
|
|
62.7
|
%
|
|
727
|
|
|
2.5
|
|
28.5
|
|
5.4
|
%
|
|
6.01 - 7.00%
|
|
37
|
|
14,589
|
|
|
59.5
|
%
|
|
731
|
|
|
1.5
|
|
24.8
|
|
6.2
|
%
|
|
7.01 - 8.00%
|
|
1
|
|
94
|
|
|
70.0
|
%
|
|
689
|
|
|
1.8
|
|
29.1
|
|
8.0
|
%
|
|
Total
|
|
2,782
|
|
$
|
1,023,524
|
|
|
62.4
|
%
|
|
733
|
|
|
2.8
|
|
28.7
|
|
5.1
|
%
|
|
(1)
|
The original FICO score is not available for
274
loans with a principal balance of approximately
$93.2 million
at
December 31, 2018
. We have excluded these loans from the weighted average computations.
|
|
|
|
|
|
|
Weighted Average
|
|||||||||
Current Coupon Rate
|
|
Number of Loans
|
|
Principal
Balance
|
|
Original LTV
|
|
|
Contractual
Maturity
(months)
|
|
Coupon
Rate
|
||||
6.01 - 7.00%
|
|
8
|
|
3,169
|
|
|
60.4
|
%
|
|
|
1.1
|
|
6.7
|
%
|
|
7.01 – 8.00%
|
|
95
|
|
53,911
|
|
|
73.1
|
%
|
|
|
6.3
|
|
7.8
|
%
|
|
8.01 – 9.00%
|
|
180
|
|
86,764
|
|
|
72.3
|
%
|
|
|
5.6
|
|
8.7
|
%
|
|
9.01 – 10.00%
|
|
143
|
|
53,804
|
|
|
74.0
|
%
|
|
|
4.5
|
|
9.7
|
%
|
|
10.01 – 11.00%
|
|
43
|
|
10,150
|
|
|
72.7
|
%
|
|
|
4.0
|
|
10.7
|
%
|
|
11.01 - 12.00%
|
|
28
|
|
8,274
|
|
|
69.8
|
%
|
|
|
4.5
|
|
11.4
|
%
|
|
12.01 - 13.00%
|
|
11
|
|
2,743
|
|
|
75.8
|
%
|
|
|
5.2
|
|
12.8
|
%
|
|
13.01 - 14.00%
|
|
1
|
|
88
|
|
|
65.0
|
%
|
|
|
4.0
|
|
14.0
|
%
|
|
17.01 – 18.00%
|
|
11
|
|
3,354
|
|
|
73.7
|
%
|
|
|
2.3
|
|
18.0
|
%
|
|
Total
|
|
520
|
|
$
|
222,257
|
|
|
72.7
|
%
|
|
|
5.3
|
|
9.1
|
%
|
|
Non-Agency RMBS
|
|
|
Non-Agency CMBS
|
||||||||||
|
Concentration
|
|
Fair Value
|
|
|
Concentration
|
|
Fair Value
|
||||||
California
|
27.7
|
%
|
|
$
|
13,986
|
|
|
California
|
13.6
|
%
|
|
$
|
27,223
|
|
Florida
|
9.3
|
%
|
|
4,700
|
|
|
Illinois
|
9.1
|
%
|
|
18,263
|
|
||
New York
|
6.7
|
%
|
|
3,371
|
|
|
Missouri
|
8.2
|
%
|
|
16,523
|
|
||
Georgia
|
5.0
|
%
|
|
2,516
|
|
|
Florida
|
7.8
|
%
|
|
15,661
|
|
||
Maryland
|
4.3
|
%
|
|
2,150
|
|
|
Bahamas
|
7.5
|
%
|
|
15,005
|
|
|
Residential Whole Loans
|
|
|
Residential Bridge Loans
|
||||||||||
|
Concentration
|
|
Principal Balance
|
|
|
Concentration
|
|
Principal Balance
|
||||||
California
|
67.1
|
%
|
|
$
|
686,275
|
|
|
California
|
53.9
|
%
|
|
$
|
119,761
|
|
New York
|
17.1
|
%
|
|
175,390
|
|
|
New York
|
9.5
|
%
|
|
21,160
|
|
||
Georgia
|
2.6
|
%
|
|
26,918
|
|
|
Washington
|
6.6
|
%
|
|
14,711
|
|
||
Massachusetts
|
2.1
|
%
|
|
21,197
|
|
|
Florida
|
5.7
|
%
|
|
12,672
|
|
||
Florida
|
1.9
|
%
|
|
19,942
|
|
|
New Jersey
|
4.7
|
%
|
|
10,419
|
|
||
Other
|
9.2
|
%
|
|
93,802
|
|
|
Other
|
19.6
|
%
|
|
43,534
|
|
||
Total
|
100.0
|
%
|
|
$
|
1,023,524
|
|
|
Total
|
100.0
|
%
|
|
$
|
222,257
|
|
Collateral
|
|
Balance at December 31, 2017
|
|
Proceeds
|
|
Repayments
|
|
Balance at December 31, 2018
|
||||||||
Agency RMBS
|
|
$
|
665,919
|
|
|
$
|
1,943,511
|
|
|
$
|
(2,594,780
|
)
|
|
$
|
14,650
|
|
Agency CMBS
|
|
2,035,222
|
|
|
10,256,038
|
|
|
(10,898,611
|
)
|
|
1,392,649
|
|
||||
Non-Agency RMBS
|
|
46,530
|
|
|
434,811
|
|
|
(450,419
|
)
|
|
30,922
|
|
||||
Non-Agency CMBS
|
|
154,325
|
|
|
888,648
|
|
|
(908,159
|
)
|
|
134,814
|
|
||||
Residential Whole Loans
(1)
|
|
189,270
|
|
|
5,300,683
|
|
|
(4,626,597
|
)
|
|
863,356
|
|
||||
Residential Bridge Loans
(1)
|
|
100,183
|
|
|
1,728,548
|
|
|
(1,623,977
|
)
|
|
204,754
|
|
||||
Commercial Loans
(1)
|
|
—
|
|
|
468,985
|
|
|
(337,197
|
)
|
|
131,788
|
|
||||
Securitized commercial loans
(1)
|
|
—
|
|
|
76,061
|
|
|
(68,518
|
)
|
|
7,543
|
|
||||
Other securities
|
|
60,237
|
|
|
375,678
|
|
|
(397,554
|
)
|
|
38,361
|
|
||||
Borrowings under repurchase agreements
|
|
$
|
3,251,686
|
|
|
$
|
21,472,963
|
|
|
$
|
(21,905,812
|
)
|
|
$
|
2,818,837
|
|
|
(1)
|
The borrowings and collateral pledged attributed to loans owned through trust certificates. The trust certificates are eliminated upon consolidation.
|
(dollars in thousands)
Repurchase Agreement Counterparties
|
|
Amount Outstanding
|
|
Percent of Total Amount Outstanding
|
|
Company Investments Held as Collateral
|
|
Counterparty Rating
(1)
|
|||||
Citigroup Global Markets Inc.
|
|
$
|
652,710
|
|
|
23.3
|
%
|
|
$
|
699,567
|
|
|
A+
|
Credit Suisse AG, Cayman Islands Branch
|
|
618,727
|
|
|
21.9
|
%
|
|
785,655
|
|
|
A
|
||
Royal Bank of Canada
|
|
362,911
|
|
|
12.9
|
%
|
|
391,669
|
|
|
AA-
|
||
Nomura Securities International, Inc.
|
|
330,764
|
|
|
11.7
|
%
|
|
408,627
|
|
|
Unrated(2)
|
||
JP Morgan Chase Bank
|
|
250,407
|
|
|
8.9
|
%
|
|
265,212
|
|
|
A-
|
||
UBS AG, London Branch
|
|
145,577
|
|
|
5.2
|
%
|
|
155,692
|
|
|
A+
|
||
Mizuho Securities USA Inc.
|
|
143,934
|
|
|
5.1
|
%
|
|
161,655
|
|
|
A
|
||
Jefferies & Company, Inc.
|
|
135,763
|
|
|
4.8
|
%
|
|
145,363
|
|
|
BBB-
|
||
UBS Securities LLC
|
|
61,092
|
|
|
2.2
|
%
|
|
90,387
|
|
|
A+
|
||
Credit Suisse Securities (USA) LLC
|
|
40,376
|
|
|
1.4
|
%
|
|
74,593
|
|
|
A
|
||
RBC (Barbados) Trading Bank Corporation
|
|
37,584
|
|
|
1.3
|
%
|
|
47,342
|
|
|
P-1
|
||
JP Morgan Securities LLC
|
|
26,367
|
|
|
0.9
|
%
|
|
32,602
|
|
|
A+
|
||
All other counterparties
(3)
|
|
12,625
|
|
|
0.4
|
%
|
|
17,684
|
|
|
|
||
Total
|
|
$
|
2,818,837
|
|
|
100.0
|
%
|
|
$
|
3,276,048
|
|
|
|
|
(1)
|
The counterparty ratings presented above are the long-term issuer credit ratings as rated at
December 31, 2018
by S&P, except for RBC (Barbados) Trading Bank Corporation which is the short-term issuer credit rating by Moody’s at
December 31, 2018
.
|
(2)
|
Nomura Holdings, Inc., the parent company of Nomura Securities International, Inc., is rated A- by S&P at
December 31, 2018
.
|
(3)
|
Represents amount outstanding with
three
counterparties
, which
each holds
collateral valued less than 5% of our stockholders’ equity as security for our obligations under the applicable repurchase agreements as of
December 31, 2018
.
|
Classes
|
Principal Balance
|
Coupon
|
Fair Value
|
Contractual Maturity
|
||||
Class A
|
$
|
369,109
|
|
3.6%
|
$
|
368,366
|
|
2/15/2021
|
Class B
|
119,400
|
|
4.2%
|
119,196
|
|
2/15/2021
|
||
Class C
|
103,425
|
|
4.5%
|
103,281
|
|
2/15/2021
|
||
Class D
|
91,425
|
|
5.2%
|
91,297
|
|
2/15/2021
|
||
Class E
|
124,125
|
|
7.0%
|
123,900
|
|
2/15/2021
|
||
Class F
|
120,225
|
|
8.5%
|
120,093
|
|
2/15/2021
|
||
Class G
|
10,050
|
|
10.0%
|
9,985
|
|
2/15/2021
|
||
Class X-CP
(1)
|
N/A
|
|
2.6%
|
468
|
|
3/11/2019
|
||
Class X-EXT
(1)
|
N/A
|
|
—%
|
2,286
|
|
2/15/2021
|
||
|
$
|
937,759
|
|
|
$
|
938,872
|
|
|
|
Collateral
|
|
Year ended December 31, 2018
|
|
Year ended December 31, 2017
|
||||
Agency RMBS
|
|
$
|
424,525
|
|
|
$
|
875,600
|
|
Agency CMBS
|
|
1,845,679
|
|
|
1,289,755
|
|
||
Non-Agency RMBS
|
|
62,971
|
|
|
65,765
|
|
||
Non-Agency CMBS
|
|
207,293
|
|
|
207,423
|
|
||
Residential Whole Loans
|
|
411,265
|
|
|
168,776
|
|
||
Residential Bridge Loans
|
|
205,989
|
|
|
46,135
|
|
||
Commercial Loans
|
|
37,975
|
|
|
—
|
|
||
Securitized commercial loan
|
|
5,836
|
|
|
5,425
|
|
||
Other securities
|
|
65,568
|
|
|
54,320
|
|
||
Total
|
|
$
|
3,267,101
|
|
|
$
|
2,713,199
|
|
Maximum borrowings during the period
(1)
|
|
$
|
3,573,043
|
|
|
$
|
3,336,256
|
|
|
(1)
|
Amount represents the maximum borrowings at month-end during each of the respective periods.
|
Derivative Instrument
|
Notional Amount at December 31, 2017
|
|
Acquisitions
|
|
Settlements, Terminations or Expirations
|
|
Notional Amount at December 31, 2018
|
|
||||||||
Fixed pay interest swaps
|
$
|
3,252,200
|
|
|
$
|
2,077,800
|
|
|
$
|
(2,202,200
|
)
|
|
$
|
3,127,800
|
|
|
Variable pay interest rate swaps
|
—
|
|
|
1,672,500
|
|
|
(944,100
|
)
|
|
728,400
|
|
|
||||
Options - long positions
|
320,000
|
|
|
1,227,300
|
|
|
(1,547,300
|
)
|
|
—
|
|
|
||||
Options - short positions
|
320,000
|
|
|
1,117,600
|
|
|
(1,437,600
|
)
|
|
—
|
|
|
||||
Futures contracts - long positions
|
—
|
|
|
372,300
|
|
|
(372,300
|
)
|
|
—
|
|
|
||||
Futures contracts - short positions
|
480,000
|
|
|
2,271,900
|
|
|
(2,451,500
|
)
|
|
300,400
|
|
|
||||
Credit default swaps
|
14,815
|
|
|
50,000
|
|
|
(14,815
|
)
|
|
50,000
|
|
|
||||
TBA securities - long positions
|
125,000
|
|
|
7,725,000
|
|
|
(7,850,000
|
)
|
|
—
|
|
|
||||
TBA securities - short positions
|
—
|
|
|
7,850,000
|
|
|
(7,850,000
|
)
|
|
—
|
|
|
||||
Total derivative instruments
|
$
|
4,512,015
|
|
|
$
|
24,364,400
|
|
|
$
|
(24,669,815
|
)
|
|
$
|
4,206,600
|
|
|
Derivative Instrument
|
Fair Value at December 31, 2017
|
|
Acquisitions
|
|
Settlements, Terminations or Expirations
|
|
Realized Gains / Losses
|
|
Mark-to-market
|
|
Fair Value at December 31, 2018
|
|
||||||||||||
Fixed pay interest swaps
|
$
|
(4,191
|
)
|
|
$
|
19,443
|
|
|
$
|
(35,989
|
)
|
|
$
|
20,963
|
|
|
$
|
(5,696
|
)
|
|
$
|
(5,470
|
)
|
|
Variable pay interest rate swaps
|
—
|
|
|
(36,294
|
)
|
|
(18,380
|
)
|
|
56,179
|
|
|
549
|
|
|
2,054
|
|
|
||||||
Options - long positions
|
100
|
|
|
1,678
|
|
|
(710
|
)
|
|
(1,668
|
)
|
|
600
|
|
|
—
|
|
|
||||||
Options - short positions
|
(50
|
)
|
|
(526
|
)
|
|
79
|
|
|
797
|
|
|
(300
|
)
|
|
—
|
|
|
||||||
Futures contracts - long positions
|
—
|
|
|
—
|
|
|
1,477
|
|
|
(1,477
|
)
|
|
—
|
|
|
—
|
|
|
||||||
Futures contracts - short positions
|
628
|
|
|
—
|
|
|
(7,589
|
)
|
|
7,589
|
|
|
(5,285
|
)
|
|
(4,657
|
)
|
|
||||||
Credit default swaps
|
(95
|
)
|
|
174
|
|
|
123
|
|
|
(49
|
)
|
|
396
|
|
|
549
|
|
|
||||||
TBA securities
|
(10
|
)
|
|
—
|
|
|
800
|
|
|
(800
|
)
|
|
10
|
|
|
—
|
|
|
||||||
Total derivative instruments
|
$
|
(3,618
|
)
|
|
$
|
(15,525
|
)
|
|
$
|
(60,189
|
)
|
|
$
|
81,534
|
|
|
$
|
(9,726
|
)
|
|
$
|
(7,524
|
)
|
|
|
December 31, 2018
|
||||||||||
Fixed Pay Interest Rate Swaps Remaining Term
|
Notional
Amount
|
|
Average Fixed Pay Rate
|
|
Average Floating Receive Rate
|
|
Average Maturity (Years)
|
||||
1 year or less
|
$
|
400,000
|
|
|
1.5
|
%
|
|
2.8
|
%
|
|
0.5
|
Greater than 1 year and less than 3 years
|
200,000
|
|
|
1.8
|
%
|
|
2.6
|
%
|
|
1.4
|
|
Greater than 3 years and less than 5 years
|
1,104,700
|
|
|
2.3
|
%
|
|
2.5
|
%
|
|
3.8
|
|
Greater than 5 years
|
1,423,100
|
|
|
2.5
|
%
|
|
2.5
|
%
|
|
9.9
|
|
Total
|
$
|
3,127,800
|
|
|
2.3
|
%
|
|
2.6
|
%
|
|
6.0
|
|
December 31, 2018
|
||||||||||
Variable Pay Interest Rate Swap Remaining Term
|
Notional Amount
|
|
Average
Variable Pay Rate
|
|
Average Fixed Receive Rate
|
|
Average Maturity (Years)
|
||||
Greater than 5 years
|
728,400
|
|
|
2.5
|
%
|
|
2.4
|
%
|
|
8.3
|
|
Total
|
$
|
728,400
|
|
|
2.5
|
%
|
|
2.4
|
%
|
|
8.3
|
Year ended December 31, 2018
|
|
Average Amortized
Cost of Assets |
|
Total Interest Income
|
|
Yield on Average Assets
|
|||||
|
|
|
|
|
|
|
|||||
Investments
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
442,145
|
|
|
$
|
14,415
|
|
|
3.26
|
%
|
Agency CMBS
|
|
1,976,291
|
|
|
59,502
|
|
|
3.01
|
%
|
||
Non-Agency RMBS
|
|
92,789
|
|
|
6,047
|
|
|
6.52
|
%
|
||
Non-Agency CMBS
|
|
294,811
|
|
|
26,424
|
|
|
8.96
|
%
|
||
Residential Whole Loans
|
|
494,438
|
|
|
23,331
|
|
|
4.72
|
%
|
||
Residential Bridge Loans
|
|
223,015
|
|
|
15,889
|
|
|
7.12
|
%
|
||
Commercial Loans
|
|
88,091
|
|
|
6,898
|
|
|
7.83
|
%
|
||
Securitized commercial loans
|
|
931,090
|
|
|
48,422
|
|
|
5.20
|
%
|
||
Other securities
|
|
96,810
|
|
|
8,434
|
|
|
8.71
|
%
|
||
Total investments
|
|
$
|
4,639,480
|
|
|
$
|
209,362
|
|
|
4.51
|
%
|
|
|
|
|
|
|
|
|||||
|
|
Average Carrying Value
|
|
Total Interest Expense
|
|
Average Cost of Funds
(1)
|
|||||
Borrowings
|
|
|
|
|
|
|
|
|
|
||
Repurchase agreements
|
|
$
|
3,267,101
|
|
|
$
|
86,742
|
|
|
2.66
|
%
|
Convertible senior unsecured notes, net
|
|
109,456
|
|
|
9,058
|
|
|
8.28
|
%
|
||
Securitized debt
|
|
957,816
|
|
|
42,440
|
|
|
4.43
|
%
|
||
Total borrowings
|
|
$
|
4,334,373
|
|
|
$
|
138,240
|
|
|
3.19
|
%
|
|
|
|
|
|
|
|
|||||
Net interest income and net interest margin
(3)
|
|
|
|
$
|
71,122
|
|
|
1.53
|
%
|
Year ended December 31, 2017
|
|
Average Amortized
Cost of Assets |
|
Total Interest Income
|
|
Yield on Average Assets
|
|||||
|
|
|
|
|
|
|
|||||
Investments
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
898,883
|
|
|
$
|
25,050
|
|
|
2.79
|
%
|
Agency CMBS
|
|
1,354,720
|
|
|
40,571
|
|
|
2.99
|
%
|
||
Non-Agency RMBS
|
|
88,566
|
|
|
6,127
|
|
|
6.92
|
%
|
||
Non-Agency CMBS
|
|
323,769
|
|
|
27,455
|
|
|
8.48
|
%
|
||
Residential Whole Loans
|
|
207,786
|
|
|
8,515
|
|
|
4.10
|
%
|
||
Residential Bridge Loans
|
|
52,696
|
|
|
4,487
|
|
|
8.51
|
%
|
||
Securitized commercial loan
|
|
24,964
|
|
|
2,247
|
|
|
9.00
|
%
|
||
Other securities
|
|
116,683
|
|
|
9,839
|
|
|
8.43
|
%
|
||
Total investments
|
|
$
|
3,068,067
|
|
|
$
|
124,291
|
|
|
4.05
|
%
|
|
|
|
|
|
|
|
|||||
|
|
Average Carrying Value
|
|
Total Interest Expense
|
|
Average Cost of Funds
(1)
|
|||||
Borrowings
|
|
|
|
|
|
|
|||||
Repurchase agreements
|
|
$
|
2,713,199
|
|
|
$
|
45,128
|
|
|
1.66
|
%
|
Convertible senior unsecured notes, net
(2)
|
|
108,743
|
|
|
2,264
|
|
|
8.34
|
%
|
||
Securitized debt
|
|
10,984
|
|
|
981
|
|
|
8.93
|
%
|
||
Total borrowings
|
|
$
|
2,832,926
|
|
|
$
|
48,373
|
|
|
1.76
|
%
|
|
|
|
|
|
|
|
|||||
Net interest income and net interest margin
(3)
|
|
|
|
$
|
75,918
|
|
|
2.47
|
%
|
|
(1)
|
Average cost of funds does not include the interest expense related to our derivatives. In accordance with GAAP, such costs are included in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.
|
(2)
|
The convertible senior unsecured notes, net are reflected at the balance as of December 31, 2017. The average cost of financing is calculated based on annualized interest expense divided by the average carrying value for the period outstanding.
|
|
Year ended December 31, 2018
|
|
Year ended December 31, 2017
|
||||||||||||||||||||||||||||
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
||||||||||||||||
Agency RMBS
(1)
|
$
|
589,854
|
|
|
$
|
18
|
|
|
$
|
(23,997
|
)
|
|
$
|
(23,979
|
)
|
|
$
|
1,251,985
|
|
|
$
|
5,020
|
|
|
$
|
(7,936
|
)
|
|
$
|
(2,916
|
)
|
Agency CMBS
|
1,534,967
|
|
|
—
|
|
|
(51,045
|
)
|
|
(51,045
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Non-Agency RMBS
(1)
|
99,842
|
|
|
7,008
|
|
|
(478
|
)
|
|
6,530
|
|
|
243,838
|
|
|
24,356
|
|
|
(2,241
|
)
|
|
22,115
|
|
||||||||
Non-Agency CMBS
|
140,292
|
|
|
3,086
|
|
|
(6,201
|
)
|
|
(3,115
|
)
|
|
54,875
|
|
|
2,543
|
|
|
(1,803
|
)
|
|
740
|
|
||||||||
Other securities
|
65,099
|
|
|
8,400
|
|
|
—
|
|
|
8,400
|
|
|
38,447
|
|
|
713
|
|
|
(54
|
)
|
|
659
|
|
||||||||
Total
|
$
|
2,430,054
|
|
|
$
|
18,512
|
|
|
$
|
(81,721
|
)
|
|
$
|
(63,209
|
)
|
|
$
|
1,589,145
|
|
|
$
|
32,632
|
|
|
$
|
(12,034
|
)
|
|
$
|
20,598
|
|
|
(1)
|
Excludes Interest-Only Strips, accounted for as derivatives.
|
|
Year ended December 31, 2018
|
|
Year ended December 31, 2017
|
||||
Agency RMBS
(1)
|
$
|
807
|
|
|
$
|
5,774
|
|
Non-Agency RMBS
|
996
|
|
|
—
|
|
||
Non-Agency CMBS
|
8,660
|
|
|
15,117
|
|
||
Other securities
|
717
|
|
|
1,982
|
|
||
Total
|
$
|
11,180
|
|
|
$
|
22,873
|
|
|
|
Year ended December 31, 2018
|
|
Year ended December 31, 2017
|
||||
Agency RMBS
|
$
|
(2,289
|
)
|
|
$
|
7,207
|
|
Agency CMBS
|
(25,040
|
)
|
|
5,747
|
|
||
Non-Agency RMBS
|
(3,960
|
)
|
|
(12,040
|
)
|
||
Non-Agency CMBS
|
15,805
|
|
|
13,453
|
|
||
Residential Whole Loans
|
(444
|
)
|
|
723
|
|
||
Residential Bridge Loans
|
(1,896
|
)
|
|
558
|
|
||
Commercial Loans
|
631
|
|
|
—
|
|
||
Securitized commercial loans
|
(16
|
)
|
|
805
|
|
||
Other securities
|
(7,352
|
)
|
|
12,297
|
|
||
Securitized debt
|
116
|
|
|
(354
|
)
|
||
Other liabilities
|
(226
|
)
|
|
—
|
|
||
Total
|
$
|
(24,671
|
)
|
|
$
|
28,396
|
|
|
|
Realized Gain (Loss), net
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Description
|
|
Other Settlements / Expirations
|
|
Variation Margin Settlement
|
|
Mark-to-market
|
|
Return
(Recovery) of Basis |
|
Contractual interest
income(expense), net (1) |
|
Total
|
|
||||||||||||
Year ended December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Interest rate swaps
|
|
$
|
163
|
|
|
$
|
76,979
|
|
|
$
|
(5,147
|
)
|
|
$
|
2,465
|
|
|
$
|
3,693
|
|
|
$
|
78,153
|
|
|
IOs and IIOs accounted for as derivatives
|
|
—
|
|
|
—
|
|
|
(655
|
)
|
|
(3,661
|
)
|
|
4,511
|
|
|
195
|
|
|
||||||
Options
|
|
(871
|
)
|
|
—
|
|
|
300
|
|
|
—
|
|
|
—
|
|
|
(571
|
)
|
|
||||||
Futures contracts
|
|
6,112
|
|
|
—
|
|
|
(5,285
|
)
|
|
—
|
|
|
—
|
|
|
827
|
|
|
||||||
Credit default swaps
|
|
(241
|
)
|
|
—
|
|
|
396
|
|
|
—
|
|
|
—
|
|
|
155
|
|
|
||||||
TBAs
|
|
(800
|
)
|
|
—
|
|
|
10
|
|
|
—
|
|
|
—
|
|
|
(790
|
)
|
|
||||||
Total
|
|
$
|
4,363
|
|
|
$
|
76,979
|
|
|
$
|
(10,381
|
)
|
|
$
|
(1,196
|
)
|
|
$
|
8,204
|
|
|
$
|
77,969
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Year ended December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Interest rate swaps
(2)
|
|
$
|
(150,607
|
)
|
|
$
|
20,258
|
|
|
$
|
148,947
|
|
|
$
|
524
|
|
|
$
|
(14,606
|
)
|
|
$
|
4,516
|
|
|
Interest rate swaptions
|
|
(115
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(115
|
)
|
|
||||||
IOs and IIOs accounted for as derivatives
|
|
526
|
|
|
—
|
|
|
(902
|
)
|
|
(5,995
|
)
|
|
7,438
|
|
|
1,067
|
|
|
||||||
Options
|
|
(1,453
|
)
|
|
—
|
|
|
(300
|
)
|
|
—
|
|
|
—
|
|
|
(1,753
|
)
|
|
||||||
Futures contracts
|
|
(9,130
|
)
|
|
—
|
|
|
3,044
|
|
|
—
|
|
|
—
|
|
|
(6,086
|
)
|
|
||||||
Foreign currency forwards
|
|
32
|
|
|
—
|
|
|
35
|
|
|
—
|
|
|
—
|
|
|
67
|
|
|
||||||
Total return swaps
|
|
(552
|
)
|
|
—
|
|
|
1,673
|
|
|
—
|
|
|
469
|
|
|
1,590
|
|
|
||||||
Credit default swaps
|
|
(11
|
)
|
|
—
|
|
|
(22
|
)
|
|
—
|
|
|
—
|
|
|
(33
|
)
|
|
||||||
TBAs
|
|
4,049
|
|
|
—
|
|
|
(10
|
)
|
|
—
|
|
|
—
|
|
|
4,039
|
|
|
||||||
Total
|
|
$
|
(157,261
|
)
|
|
$
|
20,258
|
|
|
$
|
152,465
|
|
|
$
|
(5,471
|
)
|
|
$
|
(6,699
|
)
|
|
$
|
3,292
|
|
|
|
(1)
|
Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received.
|
(2)
|
"Other Settlements /Expirations" and "Market to Market" include the effects of the April 2017 restructuring of our interest rate swaps.
|
Year ended December 31, 2017
|
|
Average Amortized Cost of Assets
|
|
Total Interest Income
|
|
Yield on Average Assets
|
|||||
|
|
|
|
|
|
|
|||||
Investments
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
898,883
|
|
|
$
|
25,050
|
|
|
2.79
|
%
|
Agency CMBS
|
|
1,354,720
|
|
|
40,571
|
|
|
2.99
|
%
|
||
Non-Agency RMBS
|
|
88,566
|
|
|
6,127
|
|
|
6.92
|
%
|
||
Non-Agency CMBS
|
|
323,769
|
|
|
27,455
|
|
|
8.48
|
%
|
||
Residential Whole Loans
|
|
207,786
|
|
|
8,515
|
|
|
4.10
|
%
|
||
Residential Bridge Loans
|
|
52,696
|
|
|
4,487
|
|
|
8.51
|
%
|
||
Securitized commercial loan
|
|
24,964
|
|
|
2,247
|
|
|
9.00
|
%
|
||
Other Securities
|
|
116,683
|
|
|
9,839
|
|
|
8.43
|
%
|
||
Total
|
|
$
|
3,068,067
|
|
|
$
|
124,291
|
|
|
4.05
|
%
|
|
|
|
|
|
|
|
|||||
|
|
Average Carrying Value
|
|
Total Interest Expense
|
|
Average Cost of Funds
(1)
|
|||||
Borrowings
|
|
|
|
|
|
|
|||||
Repurchase agreements
|
|
$
|
2,713,199
|
|
|
$
|
45,128
|
|
|
1.66
|
%
|
Convertible senior unsecured notes, net
(2)
|
|
108,743
|
|
|
2,264
|
|
|
8.34
|
%
|
||
Securitized debt
|
|
10,984
|
|
|
981
|
|
|
8.93
|
%
|
||
Total borrowings
|
|
$
|
2,832,926
|
|
|
$
|
48,373
|
|
|
1.76
|
%
|
|
|
|
|
|
|
|
|||||
Net interest income and net interest margin
|
|
|
|
$
|
75,918
|
|
|
2.47
|
%
|
Year ended December 31, 2016
|
|
Average Amortized Cost of Assets
|
|
Total Interest Income
|
|
Yield on Average Assets
|
|||||
|
|
|
|
|
|
|
|||||
Investments
|
|
|
|
|
|
|
|
|
|
||
Agency RMBS
|
|
$
|
1,700,801
|
|
|
$
|
45,633
|
|
|
2.68
|
%
|
Agency CMBS
|
|
16,445
|
|
|
917
|
|
|
5.58
|
%
|
||
Non-Agency RMBS
|
|
394,880
|
|
|
29,978
|
|
|
7.59
|
%
|
||
Non-Agency CMBS
|
|
411,505
|
|
|
32,324
|
|
|
7.86
|
%
|
||
Residential Whole Loans
|
|
193,810
|
|
|
7,102
|
|
|
3.66
|
%
|
||
Securitized commercial loan
|
|
25,000
|
|
|
2,288
|
|
|
9.15
|
%
|
||
Other Securities
|
|
66,211
|
|
|
5,514
|
|
|
8.33
|
%
|
||
Total
|
|
$
|
2,808,652
|
|
|
$
|
123,756
|
|
|
4.41
|
%
|
|
|
|
|
|
|
|
|||||
|
|
Average Carrying Value
|
|
Total Interest Expense
|
|
Average Cost of Funds
(1)
|
|||||
Borrowings
|
|
|
|
|
|
|
|||||
Repurchase agreements
|
|
$
|
2,475,490
|
|
|
$
|
31,432
|
|
|
1.27
|
%
|
Securitized debt
|
|
11,000
|
|
|
998
|
|
|
9.07
|
%
|
||
Total borrowings
|
|
$
|
2,486,490
|
|
|
$
|
32,430
|
|
|
1.30
|
%
|
|
|
|
|
|
|
|
|||||
Net interest income and net interest margin
|
|
|
|
$
|
91,326
|
|
|
3.25
|
%
|
|
|
Year ended December 31, 2017
|
|
Year ended December 31, 2016
|
||||||||||||||||||||||||||||
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
||||||||||||||||
Agency RMBS
(1)
|
$
|
1,251,985
|
|
|
$
|
5,020
|
|
|
$
|
(7,936
|
)
|
|
$
|
(2,916
|
)
|
|
$
|
1,239,350
|
|
|
$
|
6,214
|
|
|
$
|
(25,818
|
)
|
|
$
|
(19,604
|
)
|
Agency CMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
22,939
|
|
|
54
|
|
|
(66
|
)
|
|
(12
|
)
|
||||||||
Non-Agency RMBS
(1)
|
243,838
|
|
|
24,356
|
|
|
(2,241
|
)
|
|
22,115
|
|
|
177,996
|
|
|
6,470
|
|
|
(4,560
|
)
|
|
1,910
|
|
||||||||
Non-Agency CMBS
|
54,875
|
|
|
2,543
|
|
|
(1,803
|
)
|
|
740
|
|
|
50,418
|
|
|
137
|
|
|
(5,810
|
)
|
|
(5,673
|
)
|
||||||||
Other securities
|
38,447
|
|
|
713
|
|
|
(54
|
)
|
|
659
|
|
|
764,711
|
|
|
3,496
|
|
|
(2,108
|
)
|
|
1,388
|
|
||||||||
Total
|
$
|
1,589,145
|
|
|
$
|
32,632
|
|
|
$
|
(12,034
|
)
|
|
$
|
20,598
|
|
|
$
|
2,255,414
|
|
|
$
|
16,371
|
|
|
$
|
(38,362
|
)
|
|
$
|
(21,991
|
)
|
|
(1)
|
Excludes Interest-Only Strips, accounted for as derivatives.
|
|
Year ended December 31, 2017
|
|
Year ended December 31, 2016
|
||||
Agency RMBS
(1)
|
$
|
5,774
|
|
|
$
|
6,090
|
|
Non-Agency RMBS
|
—
|
|
|
9,511
|
|
||
Non-Agency CMBS
|
15,117
|
|
|
13,025
|
|
||
Other securities
|
1,982
|
|
|
3,660
|
|
||
Total
|
$
|
22,873
|
|
|
$
|
32,286
|
|
|
|
Year ended December 31, 2017
|
|
Year ended December 31, 2016
|
||||
Agency RMBS
|
$
|
7,207
|
|
|
$
|
(10,432
|
)
|
Agency CMBS
|
5,747
|
|
|
1,344
|
|
||
Non-Agency RMBS
|
(12,040
|
)
|
|
849
|
|
||
Non-Agency CMBS
|
13,453
|
|
|
(9,748
|
)
|
||
Residential Whole Loans
|
723
|
|
|
(42
|
)
|
||
Residential Bridge Loans
|
558
|
|
|
—
|
|
||
Securitized commercial loan
|
805
|
|
|
(775
|
)
|
||
Other securities
|
12,297
|
|
|
1,356
|
|
||
Securitized debt
|
(354
|
)
|
|
341
|
|
||
Total
|
$
|
28,396
|
|
|
$
|
(17,107
|
)
|
|
|
Realized Gain (Loss), net
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Description
|
|
Other Settlements / Expirations
|
|
Variation Margin Settlement
|
|
Mark-to-market
|
|
Return
(Recovery) of Basis |
|
Contractual interest
income(expense), net (1) |
|
Total
|
|
||||||||||||
Year ended December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Interest rate swaps
|
|
$
|
(150,607
|
)
|
|
$
|
20,258
|
|
|
$
|
148,947
|
|
|
$
|
524
|
|
|
$
|
(14,606
|
)
|
|
$
|
4,516
|
|
|
Interest rate swaptions
|
|
(115
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(115
|
)
|
|
||||||
IOs and IIOs accounted for as derivatives
|
|
526
|
|
|
—
|
|
|
(902
|
)
|
|
(5,995
|
)
|
|
7,438
|
|
|
1,067
|
|
|
||||||
Options
|
|
(1,453
|
)
|
|
—
|
|
|
(300
|
)
|
|
—
|
|
|
—
|
|
|
(1,753
|
)
|
|
||||||
Futures contracts
|
|
(9,130
|
)
|
|
—
|
|
|
3,044
|
|
|
—
|
|
|
—
|
|
|
(6,086
|
)
|
|
||||||
Foreign currency forwards
|
|
32
|
|
|
—
|
|
|
35
|
|
|
—
|
|
|
—
|
|
|
67
|
|
|
||||||
Total return swaps
|
|
(552
|
)
|
|
—
|
|
|
1,673
|
|
|
—
|
|
|
469
|
|
|
1,590
|
|
|
||||||
Credit default swaps
|
|
(11
|
)
|
|
—
|
|
|
(22
|
)
|
|
—
|
|
|
—
|
|
|
(33
|
)
|
|
||||||
TBAs
|
|
4,049
|
|
|
—
|
|
|
(10
|
)
|
|
—
|
|
|
—
|
|
|
4,039
|
|
|
||||||
Total
|
|
$
|
(157,261
|
)
|
|
$
|
20,258
|
|
|
$
|
152,465
|
|
|
$
|
(5,471
|
)
|
|
$
|
(6,699
|
)
|
|
$
|
3,292
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Year ended December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Interest rate swaps
|
|
$
|
(33,999
|
)
|
|
$
|
—
|
|
|
$
|
11,013
|
|
|
$
|
672
|
|
|
$
|
(27,903
|
)
|
|
$
|
(50,217
|
)
|
|
Interest rate swaptions
|
|
(1,035
|
)
|
|
—
|
|
|
1,631
|
|
|
—
|
|
|
—
|
|
|
596
|
|
|
||||||
IOs and IIOs accounted for as derivatives
|
|
1,317
|
|
|
—
|
|
|
(4,726
|
)
|
|
(11,438
|
)
|
|
14,148
|
|
|
(699
|
)
|
|
||||||
Options
|
|
4,756
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,756
|
|
|
||||||
Futures contracts
|
|
23,609
|
|
|
—
|
|
|
(1,781
|
)
|
|
—
|
|
|
—
|
|
|
21,828
|
|
|
||||||
Foreign currency forwards
|
|
(66
|
)
|
|
—
|
|
|
(56
|
)
|
|
—
|
|
|
—
|
|
|
(122
|
)
|
|
||||||
Foreign currency swaps
|
|
6,771
|
|
|
—
|
|
|
(7,168
|
)
|
|
—
|
|
|
283
|
|
|
(114
|
)
|
|
||||||
Total return swaps
|
|
38
|
|
|
—
|
|
|
(1,673
|
)
|
|
—
|
|
|
1,121
|
|
|
(514
|
)
|
|
||||||
TBAs
|
|
6,126
|
|
|
—
|
|
|
(2,375
|
)
|
|
—
|
|
|
—
|
|
|
3,751
|
|
|
||||||
Total
|
|
$
|
7,517
|
|
|
$
|
—
|
|
|
$
|
(5,135
|
)
|
|
$
|
(10,766
|
)
|
|
$
|
(12,351
|
)
|
|
$
|
(20,735
|
)
|
|
|
(1)
|
Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received.
|
(dollars in thousands)
|
|
Year ended December 31, 2018
|
|
Year ended December 31, 2017
|
|
Year ended December 31, 2016
|
||||||
Net Income (loss)
|
|
$
|
26,409
|
|
|
$
|
85,097
|
|
|
$
|
(25,015
|
)
|
Income tax provision
|
|
709
|
|
|
3,487
|
|
|
3,156
|
|
|||
Net Income (loss) before income tax
|
|
27,118
|
|
|
88,584
|
|
|
(21,859
|
)
|
|||
|
|
|
|
|
|
|
||||||
Adjustments:
|
|
|
|
|
|
|
|
|
|
|||
Investments:
|
|
|
|
|
|
|
|
|
|
|||
Unrealized (gain) loss on investments, securitized debt and other liabilities
|
|
24,671
|
|
|
(28,396
|
)
|
|
17,107
|
|
|||
Other than temporary impairment
|
|
11,180
|
|
|
22,873
|
|
|
32,286
|
|
|||
Realized (gain) loss on sale of investments
|
|
63,257
|
|
|
(20,598
|
)
|
|
21,991
|
|
|||
Realized (gain) loss on foreign currency transactions
|
|
—
|
|
|
1
|
|
|
99
|
|
|||
Unrealized (gain) loss on foreign currency transactions
|
|
—
|
|
|
—
|
|
|
659
|
|
|||
One-time transaction costs
|
|
812
|
|
|
146
|
|
|
—
|
|
|||
|
|
|
|
|
|
|
||||||
Derivative Instruments:
|
|
|
|
|
|
|
|
|
|
|||
Net realized (gain) loss on derivatives
|
|
(81,534
|
)
|
|
136,992
|
|
|
(7,517
|
)
|
|||
Net unrealized (gain) loss on derivatives
|
|
10,381
|
|
|
(152,465
|
)
|
|
5,135
|
|
|||
|
|
|
|
|
|
|
||||||
Amortization of discount on convertible senior unsecured notes
|
|
550
|
|
|
137
|
|
|
—
|
|
|||
Non-cash stock-based compensation expense
|
|
265
|
|
|
981
|
|
|
1,699
|
|
|||
Total adjustments
|
|
29,582
|
|
|
(40,329
|
)
|
|
71,459
|
|
|||
Core Earnings
|
|
$
|
56,700
|
|
|
$
|
48,255
|
|
|
$
|
49,600
|
|
(dollars in thousands)
|
Year ended December 31, 2018
|
|
Year ended December 31, 2017
|
|
Year ended December 31, 2016
|
||||||
Adjusted net interest income
|
$
|
78,130
|
|
|
$
|
63,748
|
|
|
$
|
68,209
|
|
Total expenses
|
(22,676
|
)
|
|
(17,778
|
)
|
|
(21,246
|
)
|
|||
Non-cash stock-based compensation
|
265
|
|
|
981
|
|
|
1,699
|
|
|||
One-time transaction costs
|
812
|
|
|
146
|
|
|
—
|
|
|||
Amortization of discount on convertible unsecured senior notes
|
550
|
|
|
137
|
|
|
—
|
|
|||
Interest income on cash balances and other income (loss), net
|
(381
|
)
|
|
1,021
|
|
|
938
|
|
|||
Core Earnings
|
$
|
56,700
|
|
|
$
|
48,255
|
|
|
$
|
49,600
|
|
Year ended December 31, 2018
|
|
Average Amortized
Cost of Assets
(1)
|
|
Total Interest Income
(2)
|
|
Yield on Average Assets
|
|
|||||
|
|
|
|
|
|
|
|
|||||
Investments
|
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
450,998
|
|
|
$
|
15,069
|
|
|
3.34
|
%
|
|
Agency CMBS
|
|
1,982,164
|
|
|
59,698
|
|
|
3.01
|
%
|
|
||
Non-Agency RMBS
|
|
92,789
|
|
|
6,047
|
|
|
6.52
|
%
|
|
||
Non-Agency CMBS
|
|
294,811
|
|
|
26,424
|
|
|
8.96
|
%
|
|
||
Residential Whole Loans
|
|
494,438
|
|
|
23,331
|
|
|
4.72
|
%
|
|
||
Residential Bridge Loans
|
|
223,015
|
|
|
15,889
|
|
|
7.12
|
%
|
|
||
Commercial Loans
|
|
88,091
|
|
|
6,898
|
|
|
7.83
|
%
|
|
||
Securitized commercial loans
|
|
931,090
|
|
|
48,422
|
|
|
5.20
|
%
|
|
||
Other securities
|
|
96,810
|
|
|
8,434
|
|
|
8.71
|
%
|
|
||
Total investments
|
|
$
|
4,654,206
|
|
|
$
|
210,212
|
|
|
4.52
|
%
|
|
Adjustments:
|
|
|
|
|
|
|
|
|||||
Securitized commercial loans from consolidated VIE
|
|
(931,090
|
)
|
|
(48,422
|
)
|
|
5.20
|
%
|
|
||
Investments in consolidated VIEs eliminated in consolidation
|
|
60,006
|
|
|
6,675
|
|
|
11.12
|
%
|
|
||
Adjusted total investments
|
|
$
|
3,783,122
|
|
|
$
|
168,465
|
|
|
4.45
|
%
|
|
|
|
|
|
|
|
|
|
|||||
|
|
Average Carrying Value
|
|
Total Interest Expense
(3)
|
|
Average Effective Cost of Funds
|
|
|||||
Borrowings
|
|
|
|
|
|
|
|
|
|
|
||
Repurchase agreements
|
|
$
|
3,267,101
|
|
|
$
|
86,742
|
|
|
2.66
|
%
|
|
Convertible senior unsecured notes, net
|
|
109,456
|
|
|
9,058
|
|
|
8.28
|
%
|
|
||
Securitized debt
|
|
957,816
|
|
|
42,440
|
|
|
4.43
|
%
|
|
||
Interest rate swaps
|
|
n/a
|
|
|
(6,158
|
)
|
|
(0.14
|
)%
|
|
||
Total borrowings
|
|
$
|
4,334,373
|
|
|
$
|
132,082
|
|
|
3.05
|
%
|
|
Adjustments:
|
|
|
|
|
|
|
|
|||||
Securitized debt from consolidated VIEs
|
|
$
|
(957,816
|
)
|
|
$
|
(42,440
|
)
|
|
4.43
|
%
|
|
Adjusted total borrowings
|
|
$
|
3,376,557
|
|
|
$
|
89,642
|
|
|
2.65
|
%
|
|
|
|
|
|
|
|
|
|
|||||
Adjusted net interest income and net interest margin
|
|
|
|
$
|
78,823
|
|
|
2.08
|
%
|
|
Year ended December 31, 2017
|
|
Average Amortized
Cost of Assets
(1)
|
|
Total Interest Income
(2)
|
|
Yield on Average Assets
|
|
|||||
|
|
|
|
|
|
|
|
|||||
Investments
|
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
912,211
|
|
|
$
|
26,197
|
|
|
2.87
|
%
|
|
Agency CMBS
|
|
1,363,269
|
|
|
40,827
|
|
|
2.99
|
%
|
|
||
Non-Agency RMBS
|
|
88,835
|
|
|
6,167
|
|
|
6.94
|
%
|
|
||
Non-Agency CMBS
|
|
323,769
|
|
|
27,455
|
|
|
8.48
|
%
|
|
||
Residential Whole Loans
|
|
207,786
|
|
|
8,515
|
|
|
4.10
|
%
|
|
||
Residential Bridge Loans
|
|
52,696
|
|
|
4,487
|
|
|
8.51
|
%
|
|
||
Securitized commercial loan
|
|
24,964
|
|
|
2,247
|
|
|
9.00
|
%
|
|
||
Other securities
|
|
116,683
|
|
|
9,839
|
|
|
8.43
|
%
|
|
||
Total return swaps
|
|
3,629
|
|
|
469
|
|
|
12.92
|
%
|
|
||
Total investments
|
|
$
|
3,093,842
|
|
|
$
|
126,203
|
|
|
4.08
|
%
|
|
Adjustments:
|
|
|
|
|
|
|
|
|||||
Securitized commercial loan from consolidated VIE
|
|
(24,964
|
)
|
|
(2,247
|
)
|
|
9.00
|
%
|
|
||
Investment in consolidated VIE eliminated in consolidation
|
|
13,980
|
|
|
1,265
|
|
|
9.05
|
%
|
|
||
Adjusted total investments
|
|
$
|
3,082,858
|
|
|
$
|
125,221
|
|
|
4.06
|
%
|
|
|
|
|
|
|
|
|
|
|||||
|
|
Average Carrying Value
|
|
Total Interest Expense
(3)
|
|
Average Effective Cost of Funds
|
|
|||||
Borrowings
|
|
|
|
|
|
|
|
|
|
|
||
Repurchase agreements
|
|
$
|
2,713,199
|
|
|
$
|
45,128
|
|
|
1.66
|
%
|
|
Convertible senior unsecured notes, net
(4)
|
|
108,743
|
|
|
2,264
|
|
|
8.34
|
%
|
|
||
Securitized debt
|
|
10,984
|
|
|
981
|
|
|
8.93
|
%
|
|
||
Interest rate swaps
|
|
n/a
|
|
|
14,082
|
|
|
0.51
|
%
|
|
||
Total borrowings
|
|
$
|
2,832,926
|
|
|
$
|
62,455
|
|
|
2.27
|
%
|
|
Adjustments:
|
|
|
|
|
|
|
|
|||||
Securitized debt from consolidated VIEs
|
|
$
|
(10,984
|
)
|
|
$
|
(981
|
)
|
|
8.93
|
%
|
|
Adjusted total borrowings
|
|
$
|
2,821,942
|
|
|
$
|
61,474
|
|
|
2.18
|
%
|
|
|
|
|
|
|
|
|
|
|||||
Adjusted net interest income and net interest margin
|
|
|
|
$
|
63,747
|
|
|
2.07
|
%
|
|
Year ended December 31, 2016
|
|
Average Amortized
Cost of Assets
(1)
|
|
Total Interest Income
(2)
|
|
Yield on Average Assets
|
|
|||||
|
|
|
|
|
|
|
|
|||||
Investments
|
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
1,736,758
|
|
|
$
|
47,461
|
|
|
2.73
|
%
|
|
Agency CMBS
|
|
27,219
|
|
|
1,279
|
|
|
4.70
|
%
|
|
||
Non-Agency RMBS
|
|
397,633
|
|
|
30,498
|
|
|
7.67
|
%
|
|
||
Non-Agency CMBS
|
|
411,505
|
|
|
32,607
|
|
|
7.92
|
%
|
|
||
Residential Whole Loans
|
|
193,810
|
|
|
7,102
|
|
|
3.66
|
%
|
|
||
Securitized commercial loan
|
|
25,000
|
|
|
2,288
|
|
|
9.15
|
%
|
|
||
Other securities
|
|
66,211
|
|
|
5,514
|
|
|
8.33
|
%
|
|
||
Total return swaps
|
|
$
|
8,840
|
|
|
$
|
1,121
|
|
|
12.68
|
%
|
|
Total investments
|
|
$
|
2,866,976
|
|
|
$
|
127,870
|
|
|
4.46
|
%
|
|
Adjustments:
|
|
|
|
|
|
|
|
|||||
Securitized commercial loan from consolidated VIE
|
|
(25,000
|
)
|
|
(2,288
|
)
|
|
(9.15
|
)%
|
|
||
Investment in consolidated VIE eliminated in consolidation
|
|
14,000
|
|
|
1,271
|
|
|
9.08
|
%
|
|
||
Adjusted total investments
|
|
$
|
2,855,976
|
|
|
$
|
126,853
|
|
|
4.44
|
%
|
|
|
|
|
|
|
|
|
|
|||||
|
|
Average Carrying Value
|
|
Total Interest Expense
(3)
|
|
Average Effective Cost of Funds
|
|
|||||
Borrowings
|
|
|
|
|
|
|
|
|
|
|
||
Repurchase agreements
|
|
$
|
2,475,490
|
|
|
$
|
31,432
|
|
|
1.27
|
%
|
|
Securitized debt
|
|
11,000
|
|
|
998
|
|
|
9.07
|
%
|
|
||
Interest rate swaps
|
|
n/a
|
|
|
27,231
|
|
|
1.10
|
%
|
|
||
Total borrowings
|
|
$
|
2,486,490
|
|
|
$
|
59,661
|
|
|
2.40
|
%
|
|
Adjustments:
|
|
|
|
|
|
|
|
|||||
Securitized debt from consolidated VIEs
|
|
$
|
(11,000
|
)
|
|
$
|
(998
|
)
|
|
9.07
|
%
|
|
Adjusted total borrowings
|
|
$
|
2,475,490
|
|
|
$
|
58,663
|
|
|
2.37
|
%
|
|
|
|
|
|
|
|
|
|
|||||
Adjusted net interest income and net interest margin
|
|
|
|
$
|
68,190
|
|
|
2.21
|
%
|
|
|
(1)
|
Includes Agency and Non-Agency Interest-Only Strips accounted for as derivatives.
|
(2)
|
Refer to below table for components of interest income.
|
(3)
|
Includes the net amount paid, including accrued amounts and premium amortization for MAC interest rate swaps during the periods included in gain/loss on derivative instruments for GAAP.
|
(4)
|
The convertible senior unsecured notes, net are reflected at the balance as of December 31, 2017. The average cost of financing is calculated based on annualized interest expense divided by the average carrying value for the period outstanding.
|
(dollars in thousands)
|
Year ended December 31, 2018
|
|
Year ended December 31, 2017
|
|
Year ended December 31, 2016
|
||||||
Coupon interest income:
|
|
|
|
|
|
||||||
Agency RMBS
|
$
|
19,507
|
|
|
$
|
38,108
|
|
|
$
|
70,467
|
|
Agency CMBS
|
60,148
|
|
|
40,064
|
|
|
2,619
|
|
|||
Non-Agency RMBS
|
7,120
|
|
|
5,602
|
|
|
35,221
|
|
|||
Non-Agency CMBS
|
20,058
|
|
|
19,179
|
|
|
24,893
|
|
|||
Residential Whole Loans
|
24,300
|
|
|
9,609
|
|
|
9,147
|
|
|||
Residential Bridge Loans
|
18,299
|
|
|
4,863
|
|
|
—
|
|
|||
Commercial Loans
|
6,624
|
|
|
—
|
|
|
—
|
|
|||
Securitized commercial loans
|
51,009
|
|
|
2,247
|
|
|
2,288
|
|
|||
Other Securities
|
14,805
|
|
|
8,280
|
|
|
2,537
|
|
|||
Subtotal coupon interest
|
$
|
221,870
|
|
|
$
|
127,952
|
|
|
$
|
147,172
|
|
Premium accretion, discount amortization and amortization of basis, net:
|
|
|
|
|
|
||||||
Agency RMBS
|
$
|
(5,092
|
)
|
|
$
|
(13,058
|
)
|
|
$
|
(24,836
|
)
|
Agency CMBS
|
(646
|
)
|
|
507
|
|
|
(1,701
|
)
|
|||
Non-Agency RMBS
|
(1,073
|
)
|
|
525
|
|
|
(5,243
|
)
|
|||
Non-Agency CMBS
|
6,366
|
|
|
8,276
|
|
|
7,431
|
|
|||
Residential Whole Loans
|
(969
|
)
|
|
(1,094
|
)
|
|
(2,044
|
)
|
|||
Residential Bridge Loans
|
(2,410
|
)
|
|
(376
|
)
|
|
—
|
|
|||
Commercial Loans
|
274
|
|
|
—
|
|
|
—
|
|
|||
Securitized commercial loans
|
(2,587
|
)
|
|
—
|
|
|
—
|
|
|||
Other Securities
|
(6,371
|
)
|
|
1,559
|
|
|
2,977
|
|
|||
Subtotal accretion and amortization
|
$
|
(12,508
|
)
|
|
$
|
(3,661
|
)
|
|
$
|
(23,416
|
)
|
Interest income
|
$
|
209,362
|
|
|
$
|
124,291
|
|
|
$
|
123,756
|
|
Contractual interest income, net of amortization of basis on Agency and Non-Agency Interest-Only Strips, classified as derivatives
(1)
:
|
|
|
|
|
|
|
|
||||
Coupon interest income
|
$
|
4,511
|
|
|
$
|
7,438
|
|
|
$
|
14,148
|
|
Amortization of basis
|
(3,661
|
)
|
|
(5,995
|
)
|
|
(11,438
|
)
|
|||
Contractual interest income, net on Foreign currency swaps
(1)
|
—
|
|
|
—
|
|
|
283
|
|
|||
Total Return swaps
|
—
|
|
|
469
|
|
|
1,121
|
|
|||
Subtotal
|
$
|
850
|
|
|
$
|
1,912
|
|
|
$
|
4,114
|
|
Total adjusted interest income
|
$
|
210,212
|
|
|
$
|
126,203
|
|
|
$
|
127,870
|
|
|
(1)
|
Reported in "Gain (loss) on derivative instruments, net" in our Consolidated Statements of Operations.
|
|
Year ended December 31, 2018
|
|
Year ended December 31, 2017
|
|
Year ended December 31, 2016
|
|||||||||||||||
(dollars in thousands)
|
Reconciliation
|
|
Cost of
Funds/Effective
Borrowing
Costs
|
|
Reconciliation
|
|
Cost of
Funds/Effective
Borrowing
Costs
|
|
Reconciliation
|
|
Cost of
Funds/Effective
Borrowing
Costs
|
|||||||||
Interest expense
|
$
|
138,240
|
|
|
3.19
|
%
|
|
$
|
48,373
|
|
|
1.94
|
%
|
|
$
|
32,430
|
|
|
1.30
|
%
|
Adjustments:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Interest expense on Securitized debt from consolidated VIEs
|
(42,440
|
)
|
|
(4.43
|
)%
|
|
(981
|
)
|
|
(8.93
|
)%
|
|
(998
|
)
|
|
(9.07
|
)%
|
|||
Net interest paid (received)—interest rate swaps
|
(6,158
|
)
|
|
(0.14
|
)%
|
|
14,082
|
|
|
0.51
|
%
|
|
27,231
|
|
|
1.10
|
%
|
|||
Effective Borrowing Costs
|
$
|
89,642
|
|
|
2.65
|
%
|
|
$
|
61,474
|
|
|
2.18
|
%
|
|
$
|
58,663
|
|
|
2.37
|
%
|
Weighted average borrowings
|
$
|
3,376,557
|
|
|
|
|
|
$
|
2,821,942
|
|
|
|
|
|
$
|
2,475,490
|
|
|
|
|
Collateral
|
Borrowings Outstanding
|
|
Value of Collateral Pledged
(1)
|
|
Weighted
Average
Interest Rate
end of
period
|
|
Weighted Average Cost of Funds
|
|
Weighted Average Effective Cost of Funds
(Non-GAAP)
(2)
|
|
Weighted
Average
Haircut
end of
period
|
||||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Agency RMBS, at fair value
|
$
|
14,650
|
|
|
$
|
19,837
|
|
|
3.09
|
%
|
|
2.00
|
%
|
|
2.00
|
%
|
|
21.66
|
%
|
Agency CMBS, at fair value
|
1,392,649
|
|
|
1,486,142
|
|
|
2.71
|
%
|
|
2.06
|
%
|
|
2.06
|
%
|
|
5.03
|
%
|
||
Non-Agency RMBS, at fair value
|
30,922
|
|
|
50,555
|
|
|
4.06
|
%
|
|
3.57
|
%
|
|
3.57
|
%
|
|
35.21
|
%
|
||
Non-Agency CMBS, at fair value
|
134,814
|
|
|
186,552
|
|
|
4.05
|
%
|
|
3.69
|
%
|
|
3.69
|
%
|
|
25.59
|
%
|
||
Residential Whole Loans, at fair value
(3)
|
863,356
|
|
|
1,041,885
|
|
|
4.08
|
%
|
|
4.01
|
%
|
|
4.01
|
%
|
|
15.94
|
%
|
||
Residential Bridge Loans
(3)
|
204,754
|
|
|
221,486
|
|
|
4.50
|
%
|
|
4.50
|
%
|
|
4.50
|
%
|
|
20.00
|
%
|
||
Commercial Loans, at fair value
(3)
|
131,788
|
|
|
196,123
|
|
|
4.55
|
%
|
|
4.65
|
%
|
|
4.65
|
%
|
|
35.00
|
%
|
||
Securitized commercial loan, at fair value
(3)
|
7,543
|
|
|
13,688
|
|
|
4.30
|
%
|
|
4.01
|
%
|
|
4.01
|
%
|
|
45.00
|
%
|
||
Other securities, at fair value
|
38,361
|
|
|
59,780
|
|
|
4.18
|
%
|
|
3.81
|
%
|
|
3.81
|
%
|
|
35.83
|
%
|
||
Interest rate swaps
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
(0.19
|
)%
|
|
n/a
|
|
||
Total
|
$
|
2,818,837
|
|
|
$
|
3,276,048
|
|
|
3.45
|
%
|
|
2.66
|
%
|
|
2.47
|
%
|
|
12.63
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Agency RMBS, at fair value
|
$
|
665,919
|
|
|
$
|
690,255
|
|
|
1.62
|
%
|
|
1.21
|
%
|
|
1.21
|
%
|
|
4.36
|
%
|
Agency CMBS, at fair value
|
2,035,222
|
|
|
2,143,340
|
|
|
1.53
|
%
|
|
1.32
|
%
|
|
1.32
|
%
|
|
5.02
|
%
|
||
Non-Agency RMBS, at fair value
|
46,530
|
|
|
58,127
|
|
|
2.76
|
%
|
|
2.70
|
%
|
|
2.70
|
%
|
|
23.64
|
%
|
||
Non-Agency CMBS, at fair value
|
154,325
|
|
|
208,062
|
|
|
2.98
|
%
|
|
2.83
|
%
|
|
2.83
|
%
|
|
27.99
|
%
|
||
Residential Whole Loans, at fair value(3)
|
189,270
|
|
|
237,423
|
|
|
3.66
|
%
|
|
3.48
|
%
|
|
3.48
|
%
|
|
20.00
|
%
|
||
Residential Bridge Loans(3)
|
100,183
|
|
|
106,673
|
|
|
4.05
|
%
|
|
4.47
|
%
|
|
4.47
|
%
|
|
20.00
|
%
|
||
Securitized commercial loan, at fair value(3)
|
—
|
|
|
—
|
|
|
—
|
%
|
|
3.28
|
%
|
|
3.28
|
%
|
|
—
|
%
|
||
Other securities, at fair value
|
60,237
|
|
|
89,823
|
|
|
2.94
|
%
|
|
3.28
|
%
|
|
3.28
|
%
|
|
27.96
|
%
|
||
Interest rate swaps
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
0.51
|
%
|
|
n/a
|
|
||
Total
|
$
|
3,251,686
|
|
|
$
|
3,533,703
|
|
|
1.86
|
%
|
|
1.66
|
%
|
|
2.18
|
%
|
|
8.00
|
%
|
|
(1)
|
For the years ended
December 31, 2018
and
2017
, excludes approximately
$1.2 million
and
$23.6 million
of cash collateral posted.
|
(2)
|
The effective cost of funds for the period presented is calculated on an annualized basis and includes interest expense for the period and net periodic interest payments on interest rate swaps, net of premium amortization on MAC swaps, of approximately
$6.2 million
received and
$14.1 million
paid for the years ended
December 31, 2018
and
2017
, respectively. While interest rate swaps are not accounted for using hedge accounting, such instruments are viewed by us as an economic hedge against increases in interest rates on our liabilities and are treated as hedges for purposes of satisfying the REIT requirements. See "Non-GAAP Financial Measures".
|
(3)
|
Repurchase agreement borrowings collateralized by Whole Loans, Bridge Loans and securitized commercial loans owned through trust certificates. The trust certificates are eliminated upon consolidation.
|
|
Less than
1 year
|
|
1 to 3
years
|
|
3 to 5
years
|
|
More than
5 years
|
|
Total
|
||||||||||
Borrowings under repurchase agreements
|
$
|
2,818,837
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,818,837
|
|
Contractual interest on repurchase agreements
|
18,805
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
18,805
|
|
|||||
Convertible senior unsecured notes
|
—
|
|
|
—
|
|
|
115,000
|
|
|
—
|
|
|
115,000
|
|
|||||
Contractual interest on convertible senior unsecured notes
|
7,763
|
|
|
15,525
|
|
|
7,763
|
|
|
—
|
|
|
31,051
|
|
|||||
Securitized debt
(2)
|
—
|
|
|
948,520
|
|
|
—
|
|
|
—
|
|
|
948,520
|
|
|||||
Contractual interest on securitized debt
(3)
|
49,132
|
|
|
56,884
|
|
|
—
|
|
|
—
|
|
|
106,016
|
|
|||||
Total
|
$
|
2,894,537
|
|
|
$
|
1,020,929
|
|
|
$
|
122,763
|
|
|
$
|
—
|
|
|
$
|
4,038,229
|
|
|
(1)
|
The table above does not include amounts due under the Management Agreement (as defined herein) with our Manager, as those obligations do not have fixed and determinable payments.
|
(2)
|
The securitized debt is non-recourse to us and can only be settled with the assets held in the securitization. Assumes entire outstanding principal balance at
December 31, 2018
is paid at maturity.
|
(3)
|
For variable rate debt, the one month LIBOR rate as of
December 31, 2018
of
2.5%
was used to calculate the contractual interest.
|
Change in Interest Rates
|
|
Percentage Change in Projected
Net Interest Income
|
|
Percentage Change in Projected
Portfolio Value
|
||
+1.00%
|
|
1.28
|
%
|
|
(0.74
|
)%
|
+0.50%
|
|
0.36
|
%
|
|
(0.37
|
)%
|
-0.50%
|
|
(1.54
|
)%
|
|
0.37
|
%
|
-1.00%
|
|
(3.65
|
)%
|
|
0.75
|
%
|
|
|
Consolidated Balance Sheets as of December 31, 2018 and 2017
|
|
Consolidated Statement of Operations for the years ended December 31, 2018, December 31, 2017 and December 31, 2016
|
|
Consolidated Statement of Changes in Stockholders' Equity for the years ended December 31, 2018, December 31, 2017 and December 31, 2016
|
|
Consolidated Statement of Cash Flow for the years ended December 31, 2018, December 31, 2017 and December 31, 2016
|
|
|
|
Index to Financial Statement Schedules
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Assets:
|
|
|
|
|
|
||
Cash and cash equivalents
|
$
|
21,987
|
|
|
$
|
48,024
|
|
Restricted cash
|
55,808
|
|
|
—
|
|
||
Agency mortgage-backed securities, at fair value ($1,505,979 and $2,833,595 pledged as collateral, at fair value, respectively)
|
1,505,979
|
|
|
2,858,600
|
|
||
Non-Agency mortgage-backed securities, at fair value ($237,107 and $266,189 pledged as collateral, at fair value, respectively)
|
250,856
|
|
|
378,158
|
|
||
Other securities, at fair value ($59,780 and $89,823 pledged as collateral, at fair value, respectively)
|
59,906
|
|
|
122,065
|
|
||
Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively)
|
1,041,885
|
|
|
237,423
|
|
||
Residential Bridge Loans ($211,999 and $64,526 at fair value and $221,486 and $106,673 pledged as collateral, respectively)
|
221,719
|
|
|
106,673
|
|
||
Securitized commercial loans, at fair value
|
1,013,511
|
|
|
24,876
|
|
||
Commercial Loans, at fair value ($196,123 and $0 pledged as collateral, at fair value, respectively)
|
216,123
|
|
|
—
|
|
||
Investment related receivable
|
42,945
|
|
|
7,665
|
|
||
Interest receivable
|
21,959
|
|
|
13,603
|
|
||
Due from counterparties
|
39,623
|
|
|
86,930
|
|
||
Derivative assets, at fair value
|
2,606
|
|
|
728
|
|
||
Other assets
|
2,488
|
|
|
2,161
|
|
||
Total Assets
(1)
|
$
|
4,497,395
|
|
|
$
|
3,886,906
|
|
Liabilities and Stockholders' Equity:
|
|
|
|
|
|
||
Liabilities:
|
|
|
|
|
|
||
Repurchase agreements, net
|
$
|
2,818,837
|
|
|
$
|
3,251,686
|
|
Convertible senior unsecured notes, net
|
110,060
|
|
|
108,743
|
|
||
Securitized debt, at fair value (includes $246,802 and $10,945 held by affiliates, respectively)
|
949,626
|
|
|
10,945
|
|
||
Interest payable (includes $816 and $70 on securitized debt held by affiliates, respectively)
|
8,532
|
|
|
8,322
|
|
||
Investment related payables
|
—
|
|
|
17,217
|
|
||
Due to counterparties
|
17,781
|
|
|
1,490
|
|
||
Derivative liability, at fair value
|
10,130
|
|
|
4,346
|
|
||
Accounts payable and accrued expenses
|
3,858
|
|
|
3,118
|
|
||
Payable to affiliate
|
4,615
|
|
|
2,041
|
|
||
Dividend payable
|
14,916
|
|
|
12,960
|
|
||
Other liabilities
|
56,031
|
|
|
—
|
|
||
Total Liabilities
(2)
|
3,994,386
|
|
|
3,420,868
|
|
||
Commitments and contingencies
|
|
|
|
|
|
||
Stockholders' Equity:
|
|
|
|
|
|
||
Common stock, $0.01 par value, 500,000,000 shares authorized, and 48,116,379 and 41,794,079 outstanding, respectively
|
481
|
|
|
419
|
|
||
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding
|
—
|
|
|
—
|
|
||
Treasury stock, at cost 0 and 125,722 shares held, respectively
|
—
|
|
|
(1,232
|
)
|
||
Additional paid-in capital
|
833,810
|
|
|
768,763
|
|
||
Retained earnings (accumulated deficit)
|
(331,282
|
)
|
|
(301,912
|
)
|
||
Total Stockholders' Equity
|
503,009
|
|
|
466,038
|
|
||
Total Liabilities and Stockholders' Equity
|
$
|
4,497,395
|
|
|
$
|
3,886,906
|
|
(1)
|
Assets of consolidated VIEs included in the total assets above:
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Cash and cash equivalents
|
$
|
674
|
|
|
$
|
—
|
|
Restricted cash
|
55,808
|
|
|
—
|
|
||
Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively)
|
1,041,885
|
|
|
237,423
|
|
||
Residential Bridge Loans ($211,766 and $64,526 at fair value and $221,486 and $106,673 pledged as collateral, respectively)
|
221,486
|
|
|
106,673
|
|
||
Securitized commercial loan, at fair value
|
1,013,511
|
|
|
24,876
|
|
||
Commercial Loans, at fair value ($196,123 and $0 pledged as collateral, at fair value, respectively)
|
196,123
|
|
|
—
|
|
||
Investment related receivable
|
42,945
|
|
|
7,665
|
|
||
Interest receivable
|
15,540
|
|
|
3,358
|
|
||
Other assets
|
178
|
|
|
—
|
|
||
Total assets of consolidated VIEs
|
$
|
2,588,150
|
|
|
$
|
379,995
|
|
(2)
|
Liabilities of consolidated VIEs included in the total liabilities above:
|
Securitized debt, at fair value (includes $246,802 and $10,945 held by affiliates, respectively)
|
$
|
949,626
|
|
|
$
|
10,945
|
|
Interest payable (includes $816 and $70 on securitized debt held by affiliates, respectively)
|
2,419
|
|
|
70
|
|
||
Accounts payable and accrued expenses
|
708
|
|
|
189
|
|
||
Other liabilities
|
56,033
|
|
|
—
|
|
||
Total liabilities of consolidated VIEs
|
$
|
1,008,786
|
|
|
$
|
11,204
|
|
|
For the years ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Net Interest Income
|
|
|
|
|
|
|
|
|
|||
Interest income
|
$
|
209,362
|
|
|
$
|
124,291
|
|
|
$
|
123,756
|
|
Interest expense (includes $13,739, $981 and $998 on securitized debt held by affiliates, respectively)
|
138,240
|
|
|
48,373
|
|
|
32,430
|
|
|||
Net Interest Income
|
71,122
|
|
|
75,918
|
|
|
91,326
|
|
|||
|
|
|
|
|
|
||||||
Other Income (Loss)
|
|
|
|
|
|
|
|
|
|||
Realized gain (loss) on sale of investments, net
|
(63,257
|
)
|
|
20,598
|
|
|
(21,991
|
)
|
|||
Other than temporary impairment
|
(11,180
|
)
|
|
(22,873
|
)
|
|
(32,286
|
)
|
|||
Unrealized gain (loss), net
|
(24,671
|
)
|
|
28,396
|
|
|
(17,107
|
)
|
|||
Gain (loss) on derivative instruments, net
|
77,969
|
|
|
3,292
|
|
|
(20,735
|
)
|
|||
Other, net
|
(189
|
)
|
|
1,031
|
|
|
180
|
|
|||
Other Income (Loss)
|
(21,328
|
)
|
|
30,444
|
|
|
(91,939
|
)
|
|||
|
|
|
|
|
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|||
Management fee to affiliate
|
8,673
|
|
|
8,100
|
|
|
10,448
|
|
|||
Other operating expenses
|
6,076
|
|
|
2,419
|
|
|
1,045
|
|
|||
General and administrative expenses:
|
|
|
|
|
|
||||||
Compensation expense
|
2,186
|
|
|
2,692
|
|
|
3,022
|
|
|||
Professional fees
|
4,299
|
|
|
3,242
|
|
|
4,814
|
|
|||
Other general and administrative expenses
|
1,442
|
|
|
1,325
|
|
|
1,917
|
|
|||
Total general and administrative expenses
|
7,927
|
|
|
7,259
|
|
|
9,753
|
|
|||
Total Expenses
|
22,676
|
|
|
17,778
|
|
|
21,246
|
|
|||
|
|
|
|
|
|
||||||
Income (loss) before income taxes
|
27,118
|
|
|
88,584
|
|
|
(21,859
|
)
|
|||
Income tax provision (benefit)
|
709
|
|
|
3,487
|
|
|
3,156
|
|
|||
Net income (loss)
|
$
|
26,409
|
|
|
$
|
85,097
|
|
|
$
|
(25,015
|
)
|
|
|
|
|
|
|
||||||
Net income (loss) per Common Share—Basic
|
$
|
0.61
|
|
|
$
|
2.03
|
|
|
$
|
(0.61
|
)
|
Net income (loss) per Common Share—Diluted
|
$
|
0.61
|
|
|
$
|
2.03
|
|
|
$
|
(0.61
|
)
|
|
Common Stock Outstanding
|
|
Additional
Paid-In Capital
|
|
Retained
Earnings
(Accumulated)
Deficit
|
|
Treasury Stock
|
|
Total
|
|||||||||||||
|
Shares
|
|
Par
|
|
|
|
|
|||||||||||||||
Balance at December 31, 2015
|
41,919,801
|
|
|
$
|
419
|
|
|
$
|
763,283
|
|
|
$
|
(252,054
|
)
|
|
$
|
—
|
|
|
$
|
511,648
|
|
Vesting of restricted stock
|
—
|
|
|
—
|
|
|
1,699
|
|
|
—
|
|
|
—
|
|
|
1,699
|
|
|||||
Net income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
(25,015
|
)
|
|
—
|
|
|
(25,015
|
)
|
|||||
Dividends on common stock
|
—
|
|
|
—
|
|
|
60
|
|
|
(57,910
|
)
|
|
—
|
|
|
(57,850
|
)
|
|||||
Balance at December 31, 2016
|
41,919,801
|
|
|
419
|
|
|
765,042
|
|
|
(334,979
|
)
|
|
—
|
|
|
430,482
|
|
|||||
Vesting of restricted stock
|
—
|
|
|
—
|
|
|
981
|
|
|
—
|
|
|
—
|
|
|
981
|
|
|||||
Equity component of convertible senior unsecured notes
|
—
|
|
|
—
|
|
|
2,656
|
|
|
—
|
|
|
—
|
|
|
2,656
|
|
|||||
Treasury Stock
|
(125,722
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,232
|
)
|
|
(1,232
|
)
|
|||||
Net income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
85,097
|
|
|
—
|
|
|
85,097
|
|
|||||
Dividends on common stock
|
—
|
|
|
—
|
|
|
84
|
|
|
(52,030
|
)
|
|
—
|
|
|
(51,946
|
)
|
|||||
Balance at December 31, 2017
|
41,794,079
|
|
|
419
|
|
|
768,763
|
|
|
(301,912
|
)
|
|
(1,232
|
)
|
|
466,038
|
|
|||||
Proceeds from public offerings of common stock
|
6,196,578
|
|
|
62
|
|
|
64,818
|
|
|
—
|
|
|
—
|
|
|
64,880
|
|
|||||
Offering costs, public offerings of common stock
|
—
|
|
|
—
|
|
|
(373
|
)
|
|
—
|
|
|
—
|
|
|
(373
|
)
|
|||||
Vesting of restricted stock
|
—
|
|
|
—
|
|
|
265
|
|
|
—
|
|
|
—
|
|
|
265
|
|
|||||
Treasury Stock
|
125,722
|
|
|
—
|
|
|
213
|
|
|
—
|
|
|
1,232
|
|
|
1,445
|
|
|||||
Net income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
26,409
|
|
|
—
|
|
|
26,409
|
|
|||||
Dividends on common stock
|
—
|
|
|
—
|
|
|
124
|
|
|
(55,779
|
)
|
|
—
|
|
|
(55,655
|
)
|
|||||
Balance at December 31, 2018
|
48,116,379
|
|
|
$
|
481
|
|
|
$
|
833,810
|
|
|
$
|
(331,282
|
)
|
|
$
|
—
|
|
|
$
|
503,009
|
|
|
For the year ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Cash flows from operating activities:
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$
|
26,409
|
|
|
$
|
85,097
|
|
|
$
|
(25,015
|
)
|
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
|
|
|
|
|
|
|
|
|
|||
Premium amortization and (discount accretion), net
|
5,374
|
|
|
(2,070
|
)
|
|
(548
|
)
|
|||
Interest income earned added to principal of securities
|
—
|
|
|
(46
|
)
|
|
(413
|
)
|
|||
Amortization of deferred financing costs
|
767
|
|
|
192
|
|
|
191
|
|
|||
Amortization of discount on convertible senior unsecured notes
|
550
|
|
|
137
|
|
|
—
|
|
|||
Restricted stock amortization
|
265
|
|
|
981
|
|
|
1,699
|
|
|||
Premium amortization for MAC interest rate swaps
|
—
|
|
|
—
|
|
|
(658
|
)
|
|||
Interest payments and basis recovered on MAC interest rate swaps
|
2,465
|
|
|
525
|
|
|
658
|
|
|||
Premium on purchase of Residential Whole Loans
|
(15,850
|
)
|
|
(1,239
|
)
|
|
(574
|
)
|
|||
Premium on purchase of Residential Bridge Loans
|
(3,889
|
)
|
|
(753
|
)
|
|
—
|
|
|||
Premium on purchase of securitized commercial loans
|
(3,019
|
)
|
|
—
|
|
|
—
|
|
|||
Unrealized (gain) loss, net
|
24,671
|
|
|
(28,396
|
)
|
|
17,107
|
|
|||
Unrealized (gain) loss on derivative instruments, net
|
10,381
|
|
|
(148,308
|
)
|
|
5,135
|
|
|||
Other than temporary impairment
|
11,180
|
|
|
22,873
|
|
|
32,286
|
|
|||
Realized (gain) loss on sale of investments, net
|
63,257
|
|
|
(20,598
|
)
|
|
21,991
|
|
|||
(Gain) loss on derivatives, net
|
(10,316
|
)
|
|
156,076
|
|
|
(41,516
|
)
|
|||
Loss on foreign currency transactions, net
|
—
|
|
|
1
|
|
|
758
|
|
|||
Changes in operating assets and liabilities:
|
|
|
|
|
|
|
|||||
(Increase) decrease in interest receivable
|
(8,356
|
)
|
|
5,209
|
|
|
3,809
|
|
|||
Increase in other assets
|
(184
|
)
|
|
(1,763
|
)
|
|
(16
|
)
|
|||
Increase (decrease) in interest payable
|
210
|
|
|
(7,719
|
)
|
|
(4,390
|
)
|
|||
Increase (decrease) in accounts payable and accrued expenses
|
563
|
|
|
(274
|
)
|
|
1,477
|
|
|||
Increase (decrease) in payable to related party
|
2,574
|
|
|
(543
|
)
|
|
(435
|
)
|
|||
Net cash provided by operating activities
|
107,052
|
|
|
59,382
|
|
|
11,546
|
|
|||
Cash flows from investing activities:
|
|
|
|
|
|
|
|
|
|||
Purchase of securities
|
(1,128,399
|
)
|
|
(2,881,276
|
)
|
|
(2,172,623
|
)
|
|||
Proceeds from sale of securities
|
2,430,054
|
|
|
1,593,914
|
|
|
2,273,922
|
|
|||
Principal repayments and basis recovered on securities
|
123,837
|
|
|
240,785
|
|
|
344,937
|
|
|||
Purchase of Residential Whole Loans
|
(873,911
|
)
|
|
(87,640
|
)
|
|
(28,825
|
)
|
|||
Principal repayments on Residential Whole Loans
|
76,942
|
|
|
42,176
|
|
|
52,473
|
|
|||
Purchase of commercial loans
|
(235,857
|
)
|
|
—
|
|
|
—
|
|
|||
Principal repayments on commercial loans
|
20,638
|
|
|
—
|
|
|
—
|
|
|||
Purchase of securitized commercial loan
|
(1,350,000
|
)
|
|
—
|
|
|
—
|
|
|||
Principal repayments on securitized commercial loan
|
361,781
|
|
|
154
|
|
|
—
|
|
|||
Purchase of Residential Bridge Loans
|
(418,953
|
)
|
|
(142,913
|
)
|
|
—
|
|
|||
Principal repayments on Residential Bridge Loans
|
274,964
|
|
|
31,794
|
|
|
—
|
|
|||
Payment of premium for option derivatives
|
(1,757
|
)
|
|
(16,355
|
)
|
|
(17,951
|
)
|
|||
Premium received from option derivatives
|
1,236
|
|
|
14,553
|
|
|
22,707
|
|
|||
Premium for credit default swaps, net
|
(297
|
)
|
|
74
|
|
|
—
|
|
|||
Net settlements of TBAs
|
(800
|
)
|
|
4,035
|
|
|
6,140
|
|
|||
Proceeds from (Payments on) termination of futures, net
|
6,112
|
|
|
(9,130
|
)
|
|
23,609
|
|
|
For the year ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Proceeds from sale of interest rate swaptions
|
—
|
|
|
—
|
|
|
2,075
|
|
|||
Premium for MAC interest rate swaps, net
|
—
|
|
|
—
|
|
|
465
|
|
|||
Due from counterparties
|
—
|
|
|
8,449
|
|
|
(8,449
|
)
|
|||
Proceeds from termination of foreign currency swaps
|
—
|
|
|
—
|
|
|
6,771
|
|
|||
Payments on total return swaps
|
—
|
|
|
(552
|
)
|
|
38
|
|
|||
Interest payments and basis recovered on MAC interest rate swaps
|
(2,465
|
)
|
|
(525
|
)
|
|
(658
|
)
|
|||
Premium for interest rate swaptions, net
|
—
|
|
|
(115
|
)
|
|
—
|
|
|||
Net cash provided by (used in) investing activities
|
(716,875
|
)
|
|
(1,202,572
|
)
|
|
504,631
|
|
|||
|
|
|
|
|
|
||||||
Cash flows from financing activities:
|
|
|
|
|
|
|
|
|
|||
Proceeds from issuance of common stock
|
64,880
|
|
|
—
|
|
|
—
|
|
|||
Payment of offering costs
|
(195
|
)
|
|
(94
|
)
|
|
—
|
|
|||
Repurchase of common stock
|
(1,733
|
)
|
|
(1,094
|
)
|
|
—
|
|
|||
Proceeds from sale of treasury stock
|
3,177
|
|
|
—
|
|
|
—
|
|
|||
Proceeds from repurchase agreement borrowings
|
21,472,963
|
|
|
18,438,166
|
|
|
15,977,505
|
|
|||
Proceeds from convertible note offering
|
—
|
|
|
115,000
|
|
|
—
|
|
|||
Repayments of repurchase agreement borrowings
|
(21,905,812
|
)
|
|
(17,342,124
|
)
|
|
(16,407,929
|
)
|
|||
Repayment of cash overdraft
|
—
|
|
|
—
|
|
|
(300
|
)
|
|||
Proceeds from securitized debt
|
1,285,219
|
|
|
—
|
|
|
—
|
|
|||
Repayments of securitized debt
|
(344,612
|
)
|
|
(68
|
)
|
|
—
|
|
|||
Proceeds from forward contracts
|
—
|
|
|
8,246
|
|
|
112,574
|
|
|||
Repayments of forward contracts
|
—
|
|
|
(8,214
|
)
|
|
(112,640
|
)
|
|||
Payments made for deferred financing costs
|
—
|
|
|
(3,837
|
)
|
|
(58
|
)
|
|||
Due from counterparties, net
|
47,307
|
|
|
(9,707
|
)
|
|
14,427
|
|
|||
Due to counterparties, net
|
16,291
|
|
|
750
|
|
|
(9,210
|
)
|
|||
Increase in other liabilities
|
55,808
|
|
|
—
|
|
|
—
|
|
|||
Dividends paid on common stock
|
(53,699
|
)
|
|
(51,981
|
)
|
|
(69,168
|
)
|
|||
Net cash provided by (used in) financing activities
|
639,594
|
|
|
1,145,043
|
|
|
(494,799
|
)
|
|||
|
|
|
|
|
|
||||||
Effect of exchange rate changes on cash and cash equivalents
|
—
|
|
|
(1
|
)
|
|
83
|
|
|||
|
|
|
|
|
|
||||||
Net increase in cash and cash equivalents
|
29,771
|
|
|
1,852
|
|
|
21,461
|
|
|||
Cash, cash equivalents and restricted cash beginning of period
|
48,024
|
|
|
46,172
|
|
|
24,711
|
|
|||
Cash, cash equivalents and restricted end of period
|
$
|
77,795
|
|
|
$
|
48,024
|
|
|
$
|
46,172
|
|
|
|
|
|
|
|
||||||
Supplemental disclosure of operating cash flow information:
|
|
|
|
|
|
|
|
|
|||
Interest paid
|
$
|
138,524
|
|
|
$
|
43,032
|
|
|
$
|
32,041
|
|
Income taxes paid
|
$
|
1,635
|
|
|
$
|
4,966
|
|
|
$
|
2,093
|
|
Supplemental disclosure of non-cash financing/investing activities:
|
|
|
|
|
|
|
|
|
|||
Underwriting and offering costs payable
|
$
|
177
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Repurchase of common stock, not settled
|
$
|
—
|
|
|
$
|
(137
|
)
|
|
$
|
—
|
|
Securities purchased, not settled
|
$
|
—
|
|
|
$
|
(17,217
|
)
|
|
$
|
(309,086
|
)
|
|
For the year ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Net unsettled TBAs
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(14
|
)
|
Derivative collateral offset against derivatives
|
$
|
—
|
|
|
$
|
(157,913
|
)
|
|
$
|
—
|
|
Dividends and distributions declared, not paid
|
$
|
14,916
|
|
|
$
|
12,960
|
|
|
$
|
12,995
|
|
Principal payments of Residential Whole Loans, not settled
|
$
|
9,230
|
|
|
$
|
2,286
|
|
|
$
|
1,241
|
|
Principal payments of Residential Bridge Loans, not settled
|
$
|
33,717
|
|
|
$
|
5,381
|
|
|
$
|
—
|
|
Other assets
|
$
|
143
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Description
|
|
Adoption Date
|
|
Effect on Financial Statements
|
|
|
|
|
|
In May 2014, the FASB issued ASU 2014-9, “Revenue from Contracts with Customers (Topic 606).” The guidance changes an entity’s recognition of revenue from contracts with customers. The core principle of the guidance is that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. In addition, the new guidance requires improved disclosures to enable users of financial statements to understand the nature, amount, timing, and uncertainty of revenue and cash flows arising from contracts with customers. In March 2016, the FASB issued implementation guidance which clarifies principal versus agent considerations in reporting revenue gross versus net (ASU 2016-8). In April 2016, the FASB issued implementation guidance which clarifies the identification of performance obligations (ASU 2016-10). In May 2016, the FASB issued amendments that affect only the narrow aspects of Topic 606 (ASU2016-12).
|
|
First quarter 2018.
|
|
The Company's revenue is mainly derived from interest income on our investments and to a lesser extent gains on sales of investments, which are not impacted by this standard. Therefore, the adoption of this standard did not have a material impact on the Company's consolidated financial statements.
|
|
|
|
|
|
In January 2016, the FASB issued ASU 2016-1, “Financial Instruments - Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities.” The guidance improves certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. In February 2018, the FASB issued a separate Update for technical corrections and improvements related to the ASU 2016-01 to increase stakeholders' awareness of the amendments and to expedite the improvements (ASU 2018-3).
|
|
First quarter 2018.
|
|
The standard does not change the guidance for classifying and measuring investments in debt securities and loans as well nonrecourse liabilities of consolidated collateralized financing entities. Therefore, the adoption of this standard did not have a material impact on the Company's consolidated financial statements.
|
|
|
|
|
|
In August 2016, the FASB issued ASU 2016-15, "Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments (Topic 230)." The guidance is intended to reduce diversity in practice in how certain transactions are classified on the statement of cash flows.
|
|
First quarter 2018 and requires retrospective adoption.
|
|
The adoption of this standard did not have a material impact on its Consolidated Statements of Cash Flows.
|
|
|
|
|
|
In November 2016, the FASB issued ASU 2016-18 "Statement of Cash Flows (Topic 230): Restricted Cash, a consensus of the FASB's Emerging Issues Task Force." The guidance requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents as well as disclose information about the nature of the restrictions on its cash and cash equivalents.
|
|
First quarter 2018 and requires retrospective adoption.
|
|
The adoption of this standard did not have a material impact on its Consolidated Statements of Cash Flows.
|
|
|
|
|
|
In January 2017, the FASB issued ASU 2017-01 "Business Combinations (Topic 805): Clarifying the Definition of a Business." This ASU provides a more robust framework to use in determining when a set of assets and activities constitutes a business.
|
|
First quarter 2018. The guidance should be applied prospectively on or after the effective date.
|
|
The adoption of this standard did not have a material impact on the Company's consolidated financial statements.
|
|
|
|
|
|
In May 2017, the FASB issued ASU 2017-09 "Compensation-Stock Compensation (Topic 718): Scope of Modification Accounting." The amendments in this update provide guidance about which changes to the terms or conditions of a shared-based payment award require an entity to apply modification accounting in Topic 718.
|
|
First quarter 2018.
|
|
There are no changes to the terms and conditions of the Company's share-based compensation. The adoption of this standard did not have a material impact on the Company's consolidated financial statements.
|
Description
|
|
Effective Date
|
|
Effect on Financial Statements
|
In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans.
|
|
First quarter 2020.
|
|
The Company is currently evaluating the impact the standard may have on its consolidated financial statements when adopted.
|
|
|
|
|
|
In July 2017, the FASB issued ASU 2017-11, "Earnings Per Share (Topic 260), Distinguishing Liabilities from Equity (Topic 480), Derivative and Hedges (Topic 815): Part I - Accounting for Certain Financial Instruments with Down Round Features and Part II - Replacement of the Indefinite Deferral for Mandatory Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatory Redeemable Noncontrolling Interest with a Scope Exception". Part I of this update changes the classification analysis of certain financial instruments (such as warrants and convertible instruments) with down round features. Down round features are features of certain equity-linked financial instruments (or embedded features) that result in the strike price being reduced on the basis of the pricing of future equity offerings. When determining whether certain financial instruments should be classified as liabilities or equity instruments, a down round feature no longer precludes equity classification when assessing whether the instrument is indexed to an entity’s own stock. Entities that present earnings per share are required to recognize the effect of the down round feature when it is triggered. The amendments in Part II of this update recharacterize the indefinite deferral of certain provisions of Topic 480 that now are presented as pending content in the Codification, to a scope exception. Those amendments do not have an accounting effect.
|
|
First quarter 2019.
|
|
The Company does not believe the adoption of this standard will have a material impact its consolidated financial statements.
|
|
|
|
|
|
In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees.
|
|
First quarter 2019.
|
|
The Company does not believe the adoption of this standard will have a material impact its consolidated financial statements.
|
|
|
|
|
|
In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting.
|
|
First quarter 2019.
|
|
The Company does not believe the adoption of this standard will have a material impact its consolidated financial statements.
|
|
|
|
|
|
In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement." The amendments in this update modify the disclosure requirements on fair value measurements including the consideration of costs and benefits.
|
|
First quarter 2020.
|
|
The Company is evaluating the impact this standard may have on its consolidated financial statements.
|
|
|
|
|
|
In November 2018, the FASB issued ASU 2018-19, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." This update was issued related to ASU 2016-13 to increase the stakeholders' awareness of the amendments to scope and transition and effective date requirements and to expedite the improvements.
|
|
First quarter 2020.
|
|
The Company is evaluating the impact this standard may have on its consolidated financial statements.
|
|
December 31, 2018
|
||||||||||||||
|
Fair Value
|
||||||||||||||
Assets
|
Level I
|
|
Level II
|
|
Level III
|
|
Total
|
||||||||
Agency RMBS Interest-Only Strips
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
12,135
|
|
|
$
|
12,135
|
|
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
|
—
|
|
|
—
|
|
|
7,702
|
|
|
7,702
|
|
||||
Agency CMBS
|
—
|
|
|
1,481,984
|
|
|
—
|
|
|
1,481,984
|
|
||||
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
|
—
|
|
|
4,158
|
|
|
—
|
|
|
4,158
|
|
||||
Subtotal Agency MBS
|
—
|
|
|
1,486,142
|
|
|
19,837
|
|
|
1,505,979
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Non-Agency RMBS
|
—
|
|
|
—
|
|
|
39,026
|
|
|
39,026
|
|
||||
Non-Agency RMBS Interest-Only Strips
|
—
|
|
|
—
|
|
|
11,529
|
|
|
11,529
|
|
||||
Non-Agency CMBS
|
—
|
|
|
200,301
|
|
|
—
|
|
|
200,301
|
|
||||
Subtotal Non-Agency MBS
|
—
|
|
|
200,301
|
|
|
50,555
|
|
|
250,856
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Other securities
|
—
|
|
|
50,955
|
|
|
8,951
|
|
|
59,906
|
|
||||
Total mortgage-backed securities and other securities
|
—
|
|
|
1,737,398
|
|
|
79,343
|
|
|
1,816,741
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Residential Whole Loans
|
—
|
|
|
—
|
|
|
1,041,885
|
|
|
1,041,885
|
|
||||
Residential Bridge Loans
|
—
|
|
|
—
|
|
|
211,999
|
|
|
211,999
|
|
||||
Commercial Loans
|
—
|
|
|
—
|
|
|
216,123
|
|
|
216,123
|
|
||||
Securitized commercial loans
|
—
|
|
|
—
|
|
|
1,013,511
|
|
|
1,013,511
|
|
||||
Derivative assets
|
—
|
|
|
2,606
|
|
|
—
|
|
|
2,606
|
|
||||
Total Assets
|
$
|
—
|
|
|
$
|
1,740,004
|
|
|
$
|
2,562,861
|
|
|
$
|
4,302,865
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||
Derivative liabilities
|
$
|
4,657
|
|
|
$
|
5,473
|
|
|
$
|
—
|
|
|
$
|
10,130
|
|
Securitized debt
|
—
|
|
|
947,340
|
|
|
2,286
|
|
|
949,626
|
|
||||
Total Liabilities
|
$
|
4,657
|
|
|
$
|
952,813
|
|
|
$
|
2,286
|
|
|
$
|
959,756
|
|
|
December 31, 2017
|
||||||||||||||
|
Fair Value
|
||||||||||||||
Assets
|
Level I
|
|
Level II
|
|
Level III
|
|
Total
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
20-Year mortgage
|
$
|
—
|
|
|
$
|
53,783
|
|
|
$
|
—
|
|
|
$
|
53,783
|
|
30-Year mortgage
|
—
|
|
|
241,642
|
|
|
—
|
|
|
241,642
|
|
||||
40-Year mortgage
|
—
|
|
|
376,752
|
|
|
—
|
|
|
376,752
|
|
||||
Agency RMBS Interest-Only Strips
|
—
|
|
|
15,437
|
|
|
—
|
|
|
15,437
|
|
||||
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
|
—
|
|
|
10,419
|
|
|
—
|
|
|
10,419
|
|
||||
Agency CMBS
|
—
|
|
|
2,137,583
|
|
|
17,217
|
|
|
2,154,800
|
|
||||
Agency CMBS Interest-Only Strips
|
—
|
|
|
10
|
|
|
—
|
|
|
10
|
|
||||
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
|
—
|
|
|
5,757
|
|
|
—
|
|
|
5,757
|
|
||||
Subtotal Agency MBS
|
—
|
|
|
2,841,383
|
|
|
17,217
|
|
|
2,858,600
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Non-Agency RMBS
|
—
|
|
|
90,819
|
|
|
13
|
|
|
90,832
|
|
||||
Non-Agency RMBS Interest-Only Strips
|
—
|
|
|
—
|
|
|
8,722
|
|
|
8,722
|
|
||||
Non-Agency CMBS
|
—
|
|
|
278,604
|
|
|
—
|
|
|
278,604
|
|
||||
Subtotal Non-Agency MBS
|
—
|
|
|
369,423
|
|
|
8,735
|
|
|
378,158
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Other securities
|
—
|
|
|
112,826
|
|
|
9,239
|
|
|
122,065
|
|
||||
Total mortgage-backed securities and other securities
|
—
|
|
|
3,323,632
|
|
|
35,191
|
|
|
3,358,823
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Residential Whole Loans
|
—
|
|
|
—
|
|
|
237,423
|
|
|
237,423
|
|
||||
Residential Bridge Loans
|
|
|
—
|
|
|
64,526
|
|
|
64,526
|
|
|||||
Securitized commercial loan
|
—
|
|
|
—
|
|
|
24,876
|
|
|
24,876
|
|
||||
Derivative assets
|
728
|
|
|
—
|
|
|
—
|
|
|
728
|
|
||||
Total Assets
|
$
|
728
|
|
|
$
|
3,323,632
|
|
|
$
|
362,016
|
|
|
$
|
3,686,376
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
||||||||
Derivative liabilities
|
$
|
50
|
|
|
$
|
4,296
|
|
|
$
|
—
|
|
|
$
|
4,346
|
|
Securitized debt
|
—
|
|
|
—
|
|
|
10,945
|
|
|
10,945
|
|
||||
Total Liabilities
|
$
|
50
|
|
|
$
|
4,296
|
|
|
$
|
10,945
|
|
|
$
|
15,291
|
|
|
|
Fair Value at
|
|
|
|
|
|
Range
|
|
|
||||||
|
|
December 31, 2018
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Minimum
|
|
Maximum
|
|
Weighted Average
|
||||
Residential Whole-Loans
|
|
1,041,885
|
|
|
Discounted Cash Flow
|
|
Yield
|
|
3.5
|
%
|
|
7.9
|
%
|
|
5.5
|
%
|
|
|
|
|
|
|
Weighted Average Life
|
|
0.8
|
|
|
10.3
|
|
|
2.8
|
|
|
Residential Bridge Loans
|
|
211,999
|
|
|
Discounted Cash Flow
|
|
Yield
|
|
5.6
|
%
|
|
145.3
|
%
|
|
11.3
|
%
|
|
|
|
|
|
|
Weighted Average Life
|
|
0.1
|
|
|
1.6
|
|
|
0.5
|
|
|
Commercial Loans
|
|
216,123
|
|
|
Discounted Cash Flow
|
|
Yield
|
|
6.7
|
%
|
|
9.2
|
%
|
|
7.6
|
%
|
|
|
|
|
|
|
Weighted Average Lie
|
|
0.9
|
|
|
2.7
|
|
|
2.1
|
|
|
|
|
|
|
|
|
Spread
|
|
4.1
|
%
|
|
6.5
|
%
|
|
5.1
|
%
|
|
|
Fair Value at
|
|
|
|
|
|
Range
|
|
|
||||||
|
|
December 31, 2017
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Minimum
|
|
Maximum
|
|
Weighted Average
|
||||
Residential Whole-Loans
|
|
237,423
|
|
|
Discounted Cash Flow
|
|
Yield
|
|
3.6
|
%
|
|
6.6
|
%
|
|
5.8
|
%
|
|
|
|
|
|
|
Weighted Average Life
|
|
0.6
|
|
|
6.8
|
|
|
1.5
|
|
|
Residential Bridge Loans
|
|
64,526
|
|
|
Discounted Cash Flow
|
|
Yield
|
|
3.8
|
%
|
|
8.8
|
%
|
|
4.3
|
%
|
|
|
|
|
|
|
Weighted Average Life
|
|
0.4
|
|
|
1.6
|
|
|
0.8
|
|
|
Year ended December 31, 2018
|
||||||||||||||||||||||||||||||
$ in thousands
|
Agency MBS
|
|
Non-Agency MBS
|
|
Other Securities
|
|
Residential
Whole Loans |
|
Residential
Bridge Loans
|
|
Commercial Loans
|
|
Securitized
Commercial Loan
|
|
Securitized
Debt
|
||||||||||||||||
Beginning balance
|
$
|
17,217
|
|
|
$
|
8,735
|
|
|
$
|
9,239
|
|
|
$
|
237,423
|
|
|
$
|
64,526
|
|
|
$
|
—
|
|
|
$
|
24,876
|
|
|
$
|
10,945
|
|
Transfers into Level III from Level II
|
22,795
|
|
|
39,084
|
|
|
9,708
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Transfers from Level III into Level II
|
(16,805
|
)
|
|
—
|
|
|
(8,697
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10,899
|
)
|
||||||||
Purchases
|
2,093
|
|
|
8,602
|
|
|
—
|
|
|
860,576
|
|
|
207,705
|
|
|
215,322
|
|
|
1,353,020
|
|
|
—
|
|
||||||||
Sales and settlements
|
—
|
|
|
(4,180
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12
|
|
||||||||
Principal repayments
|
(53
|
)
|
|
(307
|
)
|
|
(604
|
)
|
|
(55,186
|
)
|
|
(57,528
|
)
|
|
—
|
|
|
(361,782
|
)
|
|
(44
|
)
|
||||||||
Total net gains/losses included in net income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Realized gains/(losses), net on assets
|
—
|
|
|
258
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Realized gains/(losses), net on liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Other than temporary impairment
|
(735
|
)
|
|
(918
|
)
|
|
(161
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Unrealized gains/(losses), net on assets
(1)
|
(630
|
)
|
|
1,183
|
|
|
(532
|
)
|
|
(415
|
)
|
|
(1,806
|
)
|
|
631
|
|
|
(16
|
)
|
|
—
|
|
||||||||
Unrealized (gains)/losses, net on liabilities
(2)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,996
|
|
||||||||
Premium and discount amortization, net
|
(4,045
|
)
|
|
(1,902
|
)
|
|
(2
|
)
|
|
(513
|
)
|
|
(898
|
)
|
|
170
|
|
|
(2,587
|
)
|
|
276
|
|
||||||||
Ending balance
|
$
|
19,837
|
|
|
$
|
50,555
|
|
|
$
|
8,951
|
|
|
$
|
1,041,885
|
|
|
$
|
211,999
|
|
|
$
|
216,123
|
|
|
$
|
1,013,511
|
|
|
$
|
2,286
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Unrealized gains/(losses), net on assets held at the end of the period
(1)
|
$
|
(272
|
)
|
|
$
|
1,184
|
|
|
$
|
(464
|
)
|
|
$
|
351
|
|
|
$
|
(1,370
|
)
|
|
$
|
631
|
|
|
$
|
(16
|
)
|
|
$
|
—
|
|
Unrealized gains/(losses), net on liabilities held at the end of the period
(2)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(1,998
|
)
|
|
Year ended December 31, 2017
|
||||||||||||||||||||||||||||||
$ in thousands
|
Agency MBS
|
|
Non-Agency MBS
|
|
Other Securities
|
|
Residential
Whole Loans |
|
Residential
Bridge Loans
|
|
Securitized
commercial loan
|
|
Securitized
debt
|
|
Derivative liability
|
||||||||||||||||
Beginning balance
|
$
|
73,059
|
|
|
$
|
75,576
|
|
|
$
|
31,356
|
|
|
$
|
192,136
|
|
|
$
|
—
|
|
|
$
|
24,225
|
|
|
$
|
10,659
|
|
|
$
|
1,673
|
|
Transfers into Level III from Level II
|
—
|
|
|
—
|
|
|
9,470
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Transfers from Level III into Level II
|
(73,714
|
)
|
|
(7,433
|
)
|
|
(33,080
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Purchases
|
17,217
|
|
|
8,937
|
|
|
—
|
|
|
86,921
|
|
|
63,969
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Sales and settlements
|
—
|
|
|
(60,132
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
552
|
|
||||||||
Principal repayments
|
—
|
|
|
(378
|
)
|
|
(425
|
)
|
|
(41,312
|
)
|
|
—
|
|
|
(154
|
)
|
|
(68
|
)
|
|
—
|
|
||||||||
Total net gains / (losses) included in net income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Realized gains/(losses), net
|
—
|
|
|
2,623
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(552
|
)
|
||||||||
Other than temporary impairment
|
—
|
|
|
—
|
|
|
(1,823
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Unrealized gains/(losses), net on assets
(1)
|
635
|
|
|
(9,415
|
)
|
|
1,522
|
|
|
724
|
|
|
571
|
|
|
805
|
|
|
—
|
|
|
—
|
|
||||||||
Unrealized (gains)/losses, net on liabilities
(2)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
354
|
|
|
(1,673
|
)
|
||||||||
Premium and discount amortization, net
|
20
|
|
|
(1,043
|
)
|
|
2,219
|
|
|
(1,046
|
)
|
|
(14
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Ending balance
|
$
|
17,217
|
|
|
$
|
8,735
|
|
|
$
|
9,239
|
|
|
$
|
237,423
|
|
|
$
|
64,526
|
|
|
$
|
24,876
|
|
|
$
|
10,945
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Unrealized gains/(losses), net on assets held at the end of the period
(1)
|
$
|
—
|
|
|
$
|
(16
|
)
|
|
$
|
43
|
|
|
$
|
1,368
|
|
|
$
|
571
|
|
|
$
|
805
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Unrealized gains/(losses), net on liabilities held at the end of the period
(2)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(354
|
)
|
|
$
|
—
|
|
|
(1)
|
Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.
|
(2)
|
Gains and losses on securitized debt and derivative liability are included in "Unrealized gain (loss), net" and "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, respectively.
|
|
Year ended December 31, 2018
|
|
December 31, 2017
|
||||||||||||
|
Carrying Value
|
|
Estimated Fair Value
|
|
Carrying Value
|
|
Estimated Fair Value
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Residential Bridge Loans
|
$
|
9,720
|
|
|
$
|
9,603
|
|
|
$
|
42,147
|
|
|
$
|
42,881
|
|
Total
|
$
|
9,720
|
|
|
$
|
9,603
|
|
|
$
|
42,147
|
|
|
$
|
42,881
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
||||||||
Borrowings under repurchase agreements
|
$
|
2,818,837
|
|
|
$
|
2,823,615
|
|
|
$
|
3,251,686
|
|
|
$
|
3,257,956
|
|
Convertible senior unsecured notes
|
110,060
|
|
|
108,531
|
|
|
108,743
|
|
|
114,819
|
|
||||
Total
|
$
|
2,928,897
|
|
|
$
|
2,932,146
|
|
|
$
|
3,360,429
|
|
|
$
|
3,372,775
|
|
|
December 31, 2018
|
|||||||||||||||||||||||||||||
|
Principal
Balance
|
|
Unamortized
Premium
(Discount),
net
|
|
Discount
Designated as
Credit Reserve and
OTTI
|
|
Amortized
Cost
|
|
Unrealized
Gain
|
|
Unrealized Loss
|
|
Estimated
Fair Value
|
|
Net
Weighted
Average
Coupon
|
|||||||||||||||
Agency RMBS Interest-Only Strips
(1)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
11,480
|
|
|
1,062
|
|
|
(407
|
)
|
|
12,135
|
|
|
2.2
|
%
|
|||||||
Agency RMBS Interest-Only Strips, accounted for as derivatives
(1)(2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
7,702
|
|
|
2.9
|
%
|
|||||||
Subtotal Agency RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
11,480
|
|
|
1,062
|
|
|
(407
|
)
|
|
19,837
|
|
|
2.5
|
%
|
|||||||
Agency CMBS
|
1,493,675
|
|
|
5,820
|
|
|
—
|
|
|
1,499,495
|
|
|
12,083
|
|
|
(29,594
|
)
|
|
1,481,984
|
|
|
3.3
|
%
|
|||||||
Agency CMBS Interest-Only Strips, accounted for as derivatives
(1)(2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
4,158
|
|
|
0.4
|
%
|
|||||||
Subtotal Agency CMBS
|
1,493,675
|
|
|
5,820
|
|
|
—
|
|
|
1,499,495
|
|
|
12,083
|
|
|
(29,594
|
)
|
|
1,486,142
|
|
|
3.0
|
%
|
|||||||
Subtotal Agency MBS
|
1,493,675
|
|
|
5,820
|
|
|
—
|
|
|
1,510,975
|
|
|
13,145
|
|
|
(30,001
|
)
|
|
1,505,979
|
|
|
2.9
|
%
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Non-Agency RMBS
|
54,887
|
|
|
6,909
|
|
|
(23,731
|
)
|
|
38,065
|
|
|
961
|
|
|
—
|
|
|
39,026
|
|
|
4.8
|
%
|
|||||||
Non-Agency RMBS Interest- Only Strips
(1)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
11,154
|
|
|
382
|
|
|
(7
|
)
|
|
11,529
|
|
|
0.6
|
%
|
|||||||
Subtotal Non-Agency RMBS
|
54,887
|
|
|
6,909
|
|
|
(23,731
|
)
|
|
49,219
|
|
|
1,343
|
|
|
(7
|
)
|
|
50,555
|
|
|
1.0
|
%
|
|||||||
Non-Agency CMBS
|
240,431
|
|
|
(20,317
|
)
|
|
(22,189
|
)
|
|
197,925
|
|
|
5,021
|
|
|
(2,645
|
)
|
|
200,301
|
|
|
5.9
|
%
|
|||||||
Subtotal Non-Agency MBS
|
295,318
|
|
|
(13,408
|
)
|
|
(45,920
|
)
|
|
247,144
|
|
|
6,364
|
|
|
(2,652
|
)
|
|
250,856
|
|
|
2.4
|
%
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Other securities
(3)
|
47,042
|
|
|
(1,129
|
)
|
|
(7,603
|
)
|
|
55,284
|
|
|
5,012
|
|
|
(390
|
)
|
|
59,906
|
|
|
9.0
|
%
|
|||||||
Total
|
$
|
1,836,035
|
|
|
$
|
(8,717
|
)
|
|
$
|
(53,523
|
)
|
|
$
|
1,813,403
|
|
|
$
|
24,521
|
|
|
$
|
(33,043
|
)
|
|
$
|
1,816,741
|
|
|
2.9
|
%
|
|
December 31, 2017
|
|||||||||||||||||||||||||||||
|
Principal
Balance
|
|
Unamortized
Premium
(Discount),
net
|
|
Discount
Designated as
Credit Reserve and
OTTI
|
|
Amortized
Cost
|
|
Unrealized Gain
|
|
Unrealized
Loss
|
|
Estimated
Fair Value
|
|
Net
Weighted
Average
Coupon
|
|||||||||||||||
Agency RMBS
|
$
|
641,044
|
|
|
$
|
28,876
|
|
|
$
|
—
|
|
|
$
|
669,920
|
|
|
$
|
4,571
|
|
|
$
|
(2,314
|
)
|
|
$
|
672,177
|
|
|
3.9
|
%
|
Agency RMBS Interest-Only Strips
(1)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
14,750
|
|
|
878
|
|
|
(191
|
)
|
|
15,437
|
|
|
2.9
|
%
|
|||||||
Agency RMBS Interest-Only Strips, accounted for as derivatives
(1)(2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
10,419
|
|
|
2.9
|
%
|
|||||||
Subtotal Agency RMBS
|
641,044
|
|
|
28,876
|
|
|
—
|
|
|
684,670
|
|
|
5,449
|
|
|
(2,505
|
)
|
|
698,033
|
|
|
3.6
|
%
|
|||||||
Agency CMBS
|
2,145,139
|
|
|
2,142
|
|
|
—
|
|
|
2,147,281
|
|
|
16,913
|
|
|
(9,394
|
)
|
|
2,154,800
|
|
|
2.9
|
%
|
|||||||
Agency CMBS Interest-Only Strips
(1)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
—
|
|
|
10
|
|
|
—
|
|
|
10
|
|
|
3.2
|
%
|
|||||||
Agency CMBS Interest-Only Strips, accounted for as derivatives
(1)(2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
5,757
|
|
|
0.5
|
%
|
|||||||
Subtotal Agency CMBS
|
2,145,139
|
|
|
2,142
|
|
|
—
|
|
|
2,147,281
|
|
|
16,923
|
|
|
(9,394
|
)
|
|
2,160,567
|
|
|
2.7
|
%
|
|||||||
Subtotal Agency MBS
|
2,786,183
|
|
|
31,018
|
|
|
—
|
|
|
2,831,951
|
|
|
22,372
|
|
|
(11,899
|
)
|
|
2,858,600
|
|
|
3.0
|
%
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Non-Agency RMBS
|
119,748
|
|
|
5,263
|
|
|
(39,491
|
)
|
|
85,520
|
|
|
5,473
|
|
|
(161
|
)
|
|
90,832
|
|
|
3.8
|
%
|
|||||||
Non-Agency RMBS Interest- Only Strips
(1)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
8,738
|
|
|
—
|
|
|
(16
|
)
|
|
8,722
|
|
|
0.9
|
%
|
|||||||
Subtotal Non-Agency RMBS
|
119,748
|
|
|
5,263
|
|
|
(39,491
|
)
|
|
94,258
|
|
|
5,473
|
|
|
(177
|
)
|
|
99,554
|
|
|
1.8
|
%
|
|||||||
Non-Agency CMBS
|
379,183
|
|
|
(59,129
|
)
|
|
(28,020
|
)
|
|
292,034
|
|
|
1,702
|
|
|
(15,132
|
)
|
|
278,604
|
|
|
4.8
|
%
|
|||||||
Subtotal Non-Agency MBS
|
498,931
|
|
|
(53,866
|
)
|
|
(67,511
|
)
|
|
386,292
|
|
|
7,175
|
|
|
(15,309
|
)
|
|
378,158
|
|
|
3.3
|
%
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Other securities
(3)
|
86,305
|
|
|
6,300
|
|
|
(5,404
|
)
|
|
110,091
|
|
|
12,161
|
|
|
(187
|
)
|
|
122,065
|
|
|
7.8
|
%
|
|||||||
Total
|
$
|
3,371,419
|
|
|
$
|
(16,548
|
)
|
|
$
|
(72,915
|
)
|
|
$
|
3,328,334
|
|
|
$
|
41,708
|
|
|
$
|
(27,395
|
)
|
|
$
|
3,358,823
|
|
|
3.1
|
%
|
|
(1)
|
IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At
December 31, 2018
, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, and Agency CMBS IOs and IIOs, accounted for as derivatives was
$158.8 million
,
$519.9 million
,
$89.8 million
and
$172.2 million
, respectively. At
December 31, 2017
, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOS, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was
$165.5 million
,
$278.4 million
,
$122.0 million
,
$192.5 million
and
$3.3 million
, respectively.
|
(2)
|
Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.
|
(3)
|
Other securities include residual interests in asset-backed securities which have
no
principal balance and an amortized cost of approximately
$17.0 million
and
$22.9 million
, as of
December 31, 2018
and
December 31, 2017
, respectively.
|
|
Year ended December 31, 2018
|
|
Year ended December 31, 2017
|
|
Year ended December 31, 2016
|
||||||||||||||||||||||||||||||
|
Discount Designated as
Credit Reserve and OTTI
|
|
Accretable Discount
(1)
|
|
Amortizable Premium
(1)
|
|
Discount Designated as
Credit Reserve and OTTI |
|
Accretable Discount
(1)
|
|
Amortizable Premium
(1)
|
|
Discount Designated as
Credit Reserve and
OTTI
|
|
Accretable Discount
(1)
|
|
Amortizable Premium
(1)
|
||||||||||||||||||
Beginning balance
|
$
|
(72,915
|
)
|
|
$
|
(68,438
|
)
|
|
$
|
20,872
|
|
|
$
|
(130,484
|
)
|
|
$
|
(109,822
|
)
|
|
$
|
44,527
|
|
|
$
|
(152,750
|
)
|
|
$
|
(145,532
|
)
|
|
$
|
56,163
|
|
Accretion of discount
|
—
|
|
|
7,137
|
|
|
—
|
|
|
—
|
|
|
10,715
|
|
|
—
|
|
|
—
|
|
|
17,431
|
|
|
—
|
|
|||||||||
Amortization of premium
|
—
|
|
|
—
|
|
|
(675
|
)
|
|
—
|
|
|
—
|
|
|
(843
|
)
|
|
—
|
|
|
—
|
|
|
(5,470
|
)
|
|||||||||
Realized credit losses
|
5,863
|
|
|
—
|
|
|
—
|
|
|
2,391
|
|
|
—
|
|
|
—
|
|
|
7,697
|
|
|
—
|
|
|
—
|
|
|||||||||
Purchases
|
(7,182
|
)
|
|
(6,473
|
)
|
|
435
|
|
|
(19,385
|
)
|
|
(1,205
|
)
|
|
7,259
|
|
|
(15,792
|
)
|
|
(2,945
|
)
|
|
5,266
|
|
|||||||||
Sales
|
32,301
|
|
|
40,338
|
|
|
(9,590
|
)
|
|
89,628
|
|
|
33,166
|
|
|
(31,118
|
)
|
|
39,117
|
|
|
35,605
|
|
|
(12,156
|
)
|
|||||||||
Net impairment losses recognized in earnings
|
(9,733
|
)
|
|
—
|
|
|
—
|
|
|
(15,310
|
)
|
|
—
|
|
|
—
|
|
|
(22,413
|
)
|
|
—
|
|
|
—
|
|
|||||||||
Transfers/release of credit reserve
(2)
|
(1,857
|
)
|
|
(2,029
|
)
|
|
3,886
|
|
|
245
|
|
|
(1,292
|
)
|
|
1,047
|
|
|
13,657
|
|
|
(14,381
|
)
|
|
724
|
|
|||||||||
Ending balance
|
$
|
(53,523
|
)
|
|
$
|
(29,465
|
)
|
|
$
|
14,928
|
|
|
$
|
(72,915
|
)
|
|
$
|
(68,438
|
)
|
|
$
|
20,872
|
|
|
$
|
(130,484
|
)
|
|
$
|
(109,822
|
)
|
|
$
|
44,527
|
|
|
(1)
|
Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security.
|
(2)
|
Subsequent reductions of a security's non-accretable discount results in a corresponding reduction in its amortizable premium.
|
|
December 31, 2018
|
|||||||||||||||||||||||||||||||
|
Less than 12 Months
|
|
12 Months or More
|
|
Total
|
|||||||||||||||||||||||||||
|
Fair Value
|
|
Unrealized
Losses
|
|
Number
of
Securities
|
|
Fair Value
|
|
Unrealized
Losses
|
|
Number
of
Securities
|
|
Fair Value
|
|
Unrealized
Losses
|
|
Number
of
Securities
|
|||||||||||||||
Agency RMBS Interest-Only Strips
|
$
|
3,277
|
|
|
$
|
(124
|
)
|
|
7
|
|
|
$
|
3,917
|
|
|
$
|
(283
|
)
|
|
9
|
|
|
$
|
7,194
|
|
|
$
|
(407
|
)
|
|
16
|
|
Agency CMBS
|
29,413
|
|
|
(307
|
)
|
|
3
|
|
|
879,549
|
|
|
(29,287
|
)
|
|
72
|
|
|
908,962
|
|
|
(29,594
|
)
|
|
75
|
|
||||||
Subtotal Agency
|
32,690
|
|
|
(431
|
)
|
|
10
|
|
|
883,466
|
|
|
(29,570
|
)
|
|
81
|
|
|
916,156
|
|
|
(30,001
|
)
|
|
91
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Non-Agency RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
500
|
|
|
—
|
|
|
1
|
|
|
500
|
|
|
—
|
|
|
1
|
|
||||||
Non-Agency RMBS Interest-Only Strips
|
957
|
|
|
(7
|
)
|
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
957
|
|
|
(7
|
)
|
|
2
|
|
||||||
Non-Agency CMBS
|
65,339
|
|
|
(712
|
)
|
|
7
|
|
|
19,323
|
|
|
(1,933
|
)
|
|
3
|
|
|
84,662
|
|
|
(2,645
|
)
|
|
10
|
|
||||||
Subtotal Non-Agency
|
66,296
|
|
|
(719
|
)
|
|
9
|
|
|
19,823
|
|
|
(1,933
|
)
|
|
4
|
|
|
86,119
|
|
|
(2,652
|
)
|
|
13
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Other securities
|
15,208
|
|
|
(390
|
)
|
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15,208
|
|
|
(390
|
)
|
|
2
|
|
||||||
Total
|
$
|
114,194
|
|
|
$
|
(1,540
|
)
|
|
21
|
|
|
$
|
903,289
|
|
|
$
|
(31,503
|
)
|
|
85
|
|
|
$
|
1,017,483
|
|
|
$
|
(33,043
|
)
|
|
106
|
|
|
December 31, 2017
|
|||||||||||||||||||||||||||||||
|
Less than 12 Months
|
|
12 Months or More
|
|
Total
|
|||||||||||||||||||||||||||
|
Fair Value
|
|
Unrealized
Losses
|
|
Number
of
Securities
|
|
Fair Value
|
|
Unrealized
Losses
|
|
Number
of
Securities
|
|
Fair Value
|
|
Unrealized
Losses
|
|
Number
of
Securities
|
|||||||||||||||
Agency RMBS
|
$
|
330,259
|
|
|
$
|
(2,179
|
)
|
|
11
|
|
|
$
|
1,632
|
|
|
$
|
(135
|
)
|
|
5
|
|
|
$
|
331,891
|
|
|
$
|
(2,314
|
)
|
|
16
|
|
Agency RMBS Interest-Only Strips
|
3,095
|
|
|
(142
|
)
|
|
6
|
|
|
1,703
|
|
|
(49
|
)
|
|
3
|
|
|
4,798
|
|
|
(191
|
)
|
|
9
|
|
||||||
Agency CMBS
|
955,559
|
|
|
(9,394
|
)
|
|
57
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
955,559
|
|
|
(9,394
|
)
|
|
57
|
|
||||||
Subtotal Agency
|
1,288,913
|
|
|
(11,715
|
)
|
|
74
|
|
|
3,335
|
|
|
(184
|
)
|
|
8
|
|
|
1,292,248
|
|
|
(11,899
|
)
|
|
82
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Non-Agency RMBS
|
28,508
|
|
|
(161
|
)
|
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
28,508
|
|
|
(161
|
)
|
|
3
|
|
||||||
Non-Agency RMBS Interest-Only Strips
|
8,722
|
|
|
(16
|
)
|
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8,722
|
|
|
(16
|
)
|
|
3
|
|
||||||
Non-Agency CMBS
|
69,661
|
|
|
(1,753
|
)
|
|
15
|
|
|
119,729
|
|
|
(13,379
|
)
|
|
35
|
|
|
189,390
|
|
|
(15,132
|
)
|
|
50
|
|
||||||
Subtotal Non-Agency
|
106,891
|
|
|
(1,930
|
)
|
|
21
|
|
|
119,729
|
|
|
(13,379
|
)
|
|
35
|
|
|
226,620
|
|
|
(15,309
|
)
|
|
56
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Other securities
|
23,800
|
|
|
(187
|
)
|
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
23,800
|
|
|
(187
|
)
|
|
3
|
|
||||||
Total
|
$
|
1,419,604
|
|
|
$
|
(13,832
|
)
|
|
98
|
|
|
$
|
123,064
|
|
|
$
|
(13,563
|
)
|
|
43
|
|
|
$
|
1,542,668
|
|
|
$
|
(27,395
|
)
|
|
141
|
|
|
For the year ended December 31, 2018
|
|
For the year ended December 31, 2017
|
|
For the year ended December 31, 2016
|
||||||
Agency RMBS
|
$
|
807
|
|
|
$
|
5,774
|
|
|
$
|
6,090
|
|
Non-Agency RMBS
|
996
|
|
|
—
|
|
|
9,511
|
|
|||
Non-Agency CMBS
|
8,660
|
|
|
15,117
|
|
|
13,025
|
|
|||
Other securities
|
717
|
|
|
1,982
|
|
|
3,660
|
|
|||
Total
|
$
|
11,180
|
|
|
$
|
22,873
|
|
|
$
|
32,286
|
|
|
(1)
|
Normally, unrealized losses on Agency securities (excluding Agency IO's) with the explicit guarantee of principal and interest by the governmental sponsored entity are not credit losses but rather due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided the Company did not intend to sell the security. For the three years ended
December 31, 2018
,
December 31, 2017
and
December 31, 2016
,
$0
,
$4.7 million
and
$4.4 million
, respectively, of OTTI related to Agency RMBS securities the Company intended to sell.
|
|
For the year ended December 31, 2018
|
|
For the year ended December 31, 2017
|
|
For the year ended December 31, 2016
|
||||||||||||||||||||||||||||||
|
Coupon
Interest
|
|
Net (Premium
Amortization/
Amortization
Basis)
Discount
Amortization
|
|
Interest
Income
|
|
Coupon
Interest
|
|
Net (Premium
Amortization/
Amortization
Basis)
Discount
Amortization
|
|
Interest
Income
|
|
Coupon
Interest
|
|
Net (Premium
Amortization/
Amortization
Basis)
Discount
Amortization
|
|
Interest
Income
|
||||||||||||||||||
Agency RMBS
|
$
|
19,507
|
|
|
$
|
(5,092
|
)
|
|
$
|
14,415
|
|
|
$
|
38,108
|
|
|
$
|
(13,058
|
)
|
|
$
|
25,050
|
|
|
$
|
70,467
|
|
|
$
|
(24,836
|
)
|
|
$
|
45,631
|
|
Agency CMBS
|
60,148
|
|
|
(646
|
)
|
|
59,502
|
|
|
40,064
|
|
|
507
|
|
|
40,571
|
|
|
2,619
|
|
|
(1,701
|
)
|
|
918
|
|
|||||||||
Non-Agency RMBS
|
7,120
|
|
|
(1,073
|
)
|
|
6,047
|
|
|
5,602
|
|
|
525
|
|
|
6,127
|
|
|
35,221
|
|
|
(5,243
|
)
|
|
29,978
|
|
|||||||||
Non-Agency CMBS
|
20,058
|
|
|
6,366
|
|
|
26,424
|
|
|
19,179
|
|
|
8,276
|
|
|
27,455
|
|
|
24,893
|
|
|
7,431
|
|
|
32,324
|
|
|||||||||
Other securities
|
14,805
|
|
|
(6,371
|
)
|
|
8,434
|
|
|
8,280
|
|
|
1,559
|
|
|
9,839
|
|
|
2,537
|
|
|
2,977
|
|
|
5,514
|
|
|||||||||
Total
|
$
|
121,638
|
|
|
$
|
(6,816
|
)
|
|
$
|
114,822
|
|
|
$
|
111,233
|
|
|
$
|
(2,191
|
)
|
|
$
|
109,042
|
|
|
$
|
135,737
|
|
|
$
|
(21,372
|
)
|
|
$
|
114,365
|
|
|
For the year ended December 31, 2018
|
||||||||||||||
|
Proceeds
|
|
Gross
Gains
|
|
Gross
Losses
|
|
Net
Gain (Loss)
|
||||||||
Agency RMBS
|
$
|
589,854
|
|
|
$
|
18
|
|
|
$
|
(23,997
|
)
|
|
$
|
(23,979
|
)
|
Agency CMBS
|
1,534,967
|
|
|
—
|
|
|
(51,045
|
)
|
|
(51,045
|
)
|
||||
Non-Agency RMBS
|
99,842
|
|
|
7,008
|
|
|
(478
|
)
|
|
6,530
|
|
||||
Non-Agency CMBS
|
140,292
|
|
|
3,086
|
|
|
(6,201
|
)
|
|
(3,115
|
)
|
||||
Other securities
|
65,099
|
|
|
8,400
|
|
|
—
|
|
|
8,400
|
|
||||
Total
|
$
|
2,430,054
|
|
|
$
|
18,512
|
|
|
$
|
(81,721
|
)
|
|
$
|
(63,209
|
)
|
|
For the year ended December 31, 2017
|
||||||||||||||
|
Proceeds
|
|
Gross
Gains
|
|
Gross
Losses
|
|
Net
Gain (Loss)
|
||||||||
Agency RMBS
(1)
|
$
|
1,251,985
|
|
|
$
|
5,020
|
|
|
$
|
(7,936
|
)
|
|
$
|
(2,916
|
)
|
Non-Agency RMBS
(2)
|
243,838
|
|
|
24,356
|
|
|
(2,241
|
)
|
|
22,115
|
|
||||
Non-Agency CMBS
|
54,875
|
|
|
2,543
|
|
|
(1,803
|
)
|
|
740
|
|
||||
Other securities
|
38,447
|
|
|
713
|
|
|
(54
|
)
|
|
659
|
|
||||
Total
|
$
|
1,589,145
|
|
|
$
|
32,632
|
|
|
$
|
(12,034
|
)
|
|
$
|
20,598
|
|
|
(1)
|
Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately
$2.6 million
and gross realized gains of approximately
$432 thousand
.
|
(2)
|
Excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately
$2.2 million
, gross realized gains of
$274 thousand
and gross realized losses of
$180 thousand
.
|
|
For the year ended December 31, 2016
|
||||||||||||||
|
Proceeds
|
|
Gross
Gains
|
|
Gross
Losses
|
|
Net
Gain (Loss)
|
||||||||
Agency RMBS
(1)
|
$
|
1,239,350
|
|
|
$
|
6,214
|
|
|
$
|
(25,818
|
)
|
|
$
|
(19,604
|
)
|
Agency CMBS
|
22,939
|
|
|
54
|
|
|
(66
|
)
|
|
(12
|
)
|
||||
Non-Agency RMBS
|
177,996
|
|
|
6,470
|
|
|
(4,560
|
)
|
|
1,910
|
|
||||
Non-Agency CMBS
|
50,418
|
|
|
137
|
|
|
(5,810
|
)
|
|
(5,673
|
)
|
||||
Other securities
|
764,711
|
|
|
3,496
|
|
|
(2,108
|
)
|
|
1,388
|
|
||||
Total
|
$
|
2,255,414
|
|
|
$
|
16,371
|
|
|
$
|
(38,362
|
)
|
|
$
|
(21,991
|
)
|
|
(1)
|
Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately
$18.5 million
, gross realized gains of
$1.9 million
and gross realized losses of
$595 thousand
.
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Cash and cash equivalents
|
$
|
674
|
|
|
$
|
—
|
|
Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively)
|
1,041,885
|
|
|
237,423
|
|
||
Residential Bridge Loans ($211,766 and $64,526 at fair value and $221,486 and $106,673 pledged as collateral, respectively)
|
221,486
|
|
|
106,673
|
|
||
Commercial Loan, at fair value
|
30,000
|
|
|
—
|
|
||
Investment related receivable
|
42,945
|
|
|
7,665
|
|
||
Accrued interest receivable
|
11,807
|
|
|
3,197
|
|
||
Other assets
|
178
|
|
|
—
|
|
||
Total assets
|
$
|
1,348,975
|
|
|
$
|
354,958
|
|
Accounts payable and accrued expenses
|
677
|
|
|
188
|
|
||
Other liabilities
|
225
|
|
|
—
|
|
||
Total liabilities
|
$
|
902
|
|
|
$
|
188
|
|
|
Residential Whole Loans, at Fair Value
|
|
Residential Bridge Loans, at Fair Value
(1)
|
|
Residential Bridge Loans, at Amortized Cost
(1)
|
||||||||||||||||||
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||
Principal balance
|
$
|
1,023,524
|
|
|
$
|
232,270
|
|
|
$
|
212,491
|
|
|
$
|
63,802
|
|
|
$
|
9,766
|
|
|
$
|
42,066
|
|
Unamortized premium
|
17,629
|
|
|
2,021
|
|
|
1,164
|
|
|
293
|
|
|
16
|
|
|
122
|
|
||||||
Unamortized discount
|
(3,145
|
)
|
|
(1,190
|
)
|
|
(316
|
)
|
|
(128
|
)
|
|
(62
|
)
|
|
(41
|
)
|
||||||
Amortized cost
|
1,038,008
|
|
|
233,101
|
|
|
213,339
|
|
|
63,967
|
|
|
9,720
|
|
|
42,147
|
|
||||||
Gross unrealized gains
|
7,573
|
|
|
4,463
|
|
|
212
|
|
|
655
|
|
|
N/A
|
|
|
N/A
|
|
||||||
Gross unrealized losses
|
(3,696
|
)
|
|
(141
|
)
|
|
(1,552
|
)
|
|
(96
|
)
|
|
N/A
|
|
|
N/A
|
|
||||||
Fair value
|
$
|
1,041,885
|
|
|
$
|
237,423
|
|
|
$
|
211,999
|
|
|
$
|
64,526
|
|
|
N/A
|
|
|
N/A
|
|
|
December 31, 2018
|
|||||||||||||||||||
|
|
|
|
|
Weighted Average
|
||||||||||||||
Current Coupon Rate
|
Number of
Loans
|
|
Principal
Balance
|
|
Original
LTV
|
|
Original
FICO
Score
(1)
|
|
Expected
Life (years)
|
|
Contractual
Maturity
(years)
|
|
Coupon
Rate
|
||||||
3.01 - 4.00%
|
66
|
|
|
$
|
22,046
|
|
|
61.6
|
%
|
|
738
|
|
|
6.5
|
|
29.0
|
|
3.9
|
%
|
4.01 - 5.00%
|
1,395
|
|
|
490,073
|
|
|
62.3
|
%
|
|
739
|
|
|
3.0
|
|
29.0
|
|
4.8
|
%
|
|
5.01 - 6.00%
|
1,283
|
|
|
496,722
|
|
|
62.7
|
%
|
|
727
|
|
|
2.5
|
|
28.5
|
|
5.4
|
%
|
|
6.01 - 7.00%
|
37
|
|
|
14,589
|
|
|
59.5
|
%
|
|
731
|
|
|
1.5
|
|
24.8
|
|
6.2
|
%
|
|
7.01 - 8.00%
|
1
|
|
|
94
|
|
|
70.0
|
%
|
|
689
|
|
|
1.8
|
|
29.1
|
|
8.0
|
%
|
|
Total
|
2,782
|
|
|
$
|
1,023,524
|
|
|
62.4
|
%
|
|
733
|
|
|
2.8
|
|
28.7
|
|
5.1
|
%
|
|
(1)
|
The original FICO score is not available for
274
loans with a principal balance of approximately
$93.2 million
at
December 31, 2018
. The Company has excluded these loans from the weighted average computations.
|
December 31, 2017
|
|||||||||||||||||||
|
|
|
|
|
Weighted Average
|
||||||||||||||
Current Coupon Rate
|
Number of
Loans
|
|
Principal
Balance
|
|
Original
LTV
|
|
Original
FICO
Score
(1)
|
|
Expected
Life (years)
|
|
Contractual
Maturity
(years)
|
|
Coupon
Rate
|
||||||
3.01 - 4.00%
|
142
|
|
|
$
|
55,593
|
|
|
55.5
|
%
|
|
751
|
|
|
1.7
|
|
29.1
|
|
3.9
|
%
|
4.01 - 5.00%
|
338
|
|
|
125,860
|
|
|
56.9
|
%
|
|
725
|
|
|
1.4
|
|
26.5
|
|
4.5
|
%
|
|
5.01 - 6.00%
|
132
|
|
|
48,553
|
|
|
58.2
|
%
|
|
728
|
|
|
1.6
|
|
27.0
|
|
5.2
|
%
|
|
6.01 - 7.00%
|
4
|
|
|
2,264
|
|
|
71.1
|
%
|
|
758
|
|
|
1.3
|
|
20.5
|
|
6.3
|
%
|
|
Total
|
616
|
|
|
$
|
232,270
|
|
|
57.0
|
%
|
|
734
|
|
|
1.5
|
|
27.1
|
|
4.5
|
%
|
|
(1)
|
The original FICO score is not available for
141
loans with a principal balance of approximately
$56.5 million
at
December 31, 2017
. The Company has excluded these loans from the weighted average computations.
|
|
December 31, 2018
|
|
|
December 31, 2017
|
||||||||||
|
State
Concentration
|
|
Principal
Balance
|
|
|
State
Concentration |
|
Principal
Balance |
||||||
California
|
67.1
|
%
|
|
$
|
686,275
|
|
|
California
|
62.2
|
%
|
|
$
|
144,321
|
|
New York
|
17.1
|
%
|
|
175,390
|
|
|
New York
|
24.4
|
%
|
|
56,631
|
|
||
Georgia
|
2.6
|
%
|
|
26,918
|
|
|
Georgia
|
4.3
|
%
|
|
10,061
|
|
||
Massachusetts
|
2.1
|
%
|
|
21,197
|
|
|
Washington
|
4.0
|
%
|
|
9,244
|
|
||
Florida
|
1.9
|
%
|
|
19,942
|
|
|
Massachusetts
|
3.9
|
%
|
|
9,114
|
|
||
Other
|
9.2
|
%
|
|
93,802
|
|
|
Other
|
1.2
|
%
|
|
2,899
|
|
||
Total
|
100.0
|
%
|
|
$
|
1,023,524
|
|
|
Total
|
100.0
|
%
|
|
$
|
232,270
|
|
December 31, 2018
|
||||||||||||||
|
|
|
|
|
|
Weighted Average
|
||||||||
Current Coupon Rate
|
|
Number of Loans
|
|
Principal
Balance |
|
Original LTV
|
|
Contractual
Maturity (months) |
|
Coupon
Rate |
||||
6.01 - 7.00%
|
|
8
|
|
3,169
|
|
|
60.4
|
%
|
|
1.1
|
|
6.7
|
%
|
|
7.01 – 8.00%
|
|
95
|
|
53,911
|
|
|
73.1
|
%
|
|
6.3
|
|
7.8
|
%
|
|
8.01 – 9.00%
|
|
180
|
|
86,764
|
|
|
72.3
|
%
|
|
5.6
|
|
8.7
|
%
|
|
9.01 – 10.00%
|
|
143
|
|
53,804
|
|
|
74.0
|
%
|
|
4.5
|
|
9.7
|
%
|
|
10.01 – 11.00%
|
|
43
|
|
10,150
|
|
|
72.7
|
%
|
|
4.0
|
|
10.7
|
%
|
|
11.01 - 12.00%
|
|
28
|
|
8,274
|
|
|
69.8
|
%
|
|
4.5
|
|
11.4
|
%
|
|
12.01 - 13.00%
|
|
11
|
|
2,743
|
|
|
75.8
|
%
|
|
5.2
|
|
12.8
|
%
|
|
13.01 - 14.00%
|
|
1
|
|
88
|
|
|
65.0
|
%
|
|
4.0
|
|
14.0
|
%
|
|
17.01 – 18.00%
|
|
11
|
|
3,354
|
|
|
73.7
|
%
|
|
2.3
|
|
18.0
|
%
|
|
Total
|
|
520
|
|
$
|
222,257
|
|
|
72.7
|
%
|
|
5.3
|
|
9.1
|
%
|
December 31, 2017
|
||||||||||||||
|
|
|
|
|
|
Weighted Average
|
||||||||
Current Coupon Rate
|
|
Number of Loans
|
|
Principal
Balance |
|
Original LTV
|
|
Contractual
Maturity (months) |
|
Coupon
Rate |
||||
5.01 - 6.00%
|
|
9
|
|
$
|
4,016
|
|
|
64.5
|
%
|
|
10.8
|
|
5.9
|
%
|
6.01 - 7.00%
|
|
64
|
|
18,420
|
|
|
67.8
|
%
|
|
10.6
|
|
6.7
|
%
|
|
7.01 – 8.00%
|
|
98
|
|
25,608
|
|
|
66.4
|
%
|
|
9.5
|
|
7.6
|
%
|
|
8.01 – 9.00%
|
|
56
|
|
19,728
|
|
|
70.3
|
%
|
|
11.9
|
|
8.9
|
%
|
|
9.01 – 10.00%
|
|
67
|
|
25,001
|
|
|
73.3
|
%
|
|
6.8
|
|
9.7
|
%
|
|
10.01 – 11.00%
|
|
36
|
|
10,656
|
|
|
75.4
|
%
|
|
5.0
|
|
10.8
|
%
|
|
11.01 - 12.00%
|
|
2
|
|
919
|
|
|
89.8
|
%
|
|
8.2
|
|
11.4
|
%
|
|
17.01 – 18.00%
|
|
8
|
|
1,520
|
|
|
73.8
|
%
|
|
5.9
|
|
18.0
|
%
|
|
Total
|
|
340
|
|
$
|
105,868
|
|
|
70.1
|
%
|
|
9.0
|
|
8.6
|
%
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||
State
|
Concentration
|
|
Principal Balance
|
|
State
|
Concentration
|
|
Principal Balance
|
||||||
California
|
53.9
|
%
|
|
$
|
119,761
|
|
|
California
|
48.2
|
%
|
|
$
|
51,080
|
|
New York
|
9.5
|
%
|
|
21,160
|
|
|
Florida
|
13.4
|
%
|
|
14,199
|
|
||
Washington
|
6.6
|
%
|
|
14,711
|
|
|
Washington
|
6.3
|
%
|
|
6,645
|
|
||
Florida
|
5.7
|
%
|
|
12,672
|
|
|
New York
|
4.4
|
%
|
|
4,703
|
|
||
New Jersey
|
4.7
|
%
|
|
10,419
|
|
|
Texas
|
4.4
|
%
|
|
4,660
|
|
||
Other
|
19.6
|
%
|
|
43,534
|
|
|
Other
|
23.3
|
%
|
|
24,581
|
|
||
Total
|
100.0
|
%
|
|
$
|
222,257
|
|
|
Total
|
100.0
|
%
|
|
$
|
105,868
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Restricted cash
|
$
|
55,808
|
|
|
$
|
—
|
|
Securitized commercial loans, at fair value
|
1,013,511
|
|
|
24,876
|
|
||
Commercial Loans, at fair value
|
166,123
|
|
|
—
|
|
||
Interest receivable
|
3,733
|
|
|
161
|
|
||
Total assets
|
$
|
1,239,175
|
|
|
$
|
25,037
|
|
Securitized debt, at fair value
|
$
|
949,626
|
|
|
$
|
10,945
|
|
Interest payable
|
2,419
|
|
|
70
|
|
||
Accounts payable and accrued expenses
|
31
|
|
|
1
|
|
||
Other liabilities
|
55,808
|
|
|
—
|
|
||
Total liabilities
|
$
|
1,007,884
|
|
|
$
|
11,016
|
|
|
CMSC Trust Securitized Commercial Loan,
at Fair Value
|
|
RETL Trust Securitized Commercial Loan, at Fair Value
|
|
RSBC Trust Commercial Loans, at Fair Value
|
|
Commercial Loans, at Fair Value
|
||||||||||||||||||||||||
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2018
|
|
December 31, 2017
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||||||
Principal balance
|
$
|
24,456
|
|
|
$
|
24,846
|
|
|
$
|
988,609
|
|
|
$
|
—
|
|
|
$
|
166,432
|
|
|
$
|
—
|
|
|
$
|
50,000
|
|
|
$
|
—
|
|
Unamortized premium
|
—
|
|
|
—
|
|
|
431
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Unamortized discount
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(736
|
)
|
|
—
|
|
|
(205
|
)
|
|
—
|
|
||||||||
Amortized cost
|
24,456
|
|
|
24,846
|
|
|
989,040
|
|
|
—
|
|
|
165,696
|
|
|
—
|
|
|
49,795
|
|
|
—
|
|
||||||||
Gross unrealized gains
|
—
|
|
|
30
|
|
|
29
|
|
|
—
|
|
|
427
|
|
|
—
|
|
|
205
|
|
|
—
|
|
||||||||
Gross unrealized losses
|
(14
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Fair value
|
$
|
24,442
|
|
|
$
|
24,876
|
|
|
$
|
989,069
|
|
|
$
|
—
|
|
|
$
|
166,123
|
|
|
$
|
—
|
|
|
$
|
50,000
|
|
|
$
|
—
|
|
|
December 31, 2018
|
|
December 31, 2017
|
|||||||||||||||
Securities Pledged
|
Repurchase
Agreement
Borrowings
|
|
Weighted Average
Interest Rate on
Borrowings
Outstanding at end
of period
|
|
Weighted Average
Remaining Maturity
(days)
|
|
Repurchase
Agreement
Borrowings
|
|
Weighted Average
Interest Rate on
Borrowings
Outstanding at end
of period
|
|
Weighted Average
Remaining Maturity
(days)
|
|||||||
Agency RMBS
|
$
|
14,650
|
|
|
3.09
|
%
|
|
21
|
|
$
|
665,919
|
|
|
1.62
|
%
|
|
61
|
|
Agency CMBS
|
1,392,649
|
|
|
2.71
|
%
|
|
40
|
|
2,035,222
|
|
|
1.53
|
%
|
|
53
|
|
||
Non-Agency RMBS
|
30,922
|
|
|
4.06
|
%
|
|
18
|
|
46,530
|
|
|
2.76
|
%
|
|
41
|
|
||
Non-Agency CMBS
|
134,814
|
|
|
4.05
|
%
|
|
48
|
|
154,325
|
|
|
2.98
|
%
|
|
40
|
|
||
Residential Whole Loans
(1)
|
863,356
|
|
|
4.08
|
%
|
|
93
|
|
189,270
|
|
|
3.66
|
%
|
|
8
|
|
||
Residential Bridge Loans
(1)
|
204,754
|
|
|
4.50
|
%
|
|
25
|
|
100,183
|
|
|
4.05
|
%
|
|
59
|
|
||
Commercial Loans
(1)
|
131,788
|
|
|
4.55
|
%
|
|
26
|
|
—
|
|
|
—
|
%
|
|
—
|
|
||
Securitized commercial loans
(1)
|
7,543
|
|
|
4.30
|
%
|
|
15
|
|
—
|
|
|
—
|
%
|
|
—
|
|
||
Other securities
|
38,361
|
|
|
4.18
|
%
|
|
26
|
|
60,237
|
|
|
2.94
|
%
|
|
23
|
|
||
Repurchase agreements borrowings
|
$
|
2,818,837
|
|
|
3.45
|
%
|
|
54
|
|
$
|
3,251,686
|
|
|
1.86
|
%
|
|
51
|
|
|
(1)
|
Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation.
|
(dollars in thousands)
|
December 31, 2018
|
|
December 31, 2017
|
||||
Overnight
|
$
|
—
|
|
|
$
|
—
|
|
1 to 29 days
|
1,867,957
|
|
|
1,387,599
|
|
||
30 to 59 days
|
144,778
|
|
|
665,656
|
|
||
60 to 89 days
|
555,695
|
|
|
871,819
|
|
||
90 to 119 days
|
—
|
|
|
—
|
|
||
Greater than or equal to 120 days
|
250,407
|
|
|
326,612
|
|
||
Total
|
$
|
2,818,837
|
|
|
$
|
3,251,686
|
|
|
December 31, 2018
|
|||||||
Counterparty
|
Amount of Collateral
at Risk, at fair
value
|
|
Weighted Average
Remaining
Maturity (days)
|
|
Percentage of
Stockholders'
Equity
|
|||
Credit Suisse AG, Cayman Islands Branch
|
$
|
172,786
|
|
|
28
|
|
34.4
|
%
|
Nomura Securities International, Inc.
|
81,882
|
|
|
28
|
|
16.3
|
%
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||||||||||
|
Assets
Pledged
|
|
Accrued
Interest
|
|
Assets Pledged
and Accrued
Interest
|
|
Assets
Pledged
|
|
Accrued
Interest
|
|
Assets Pledged
and Accrued
Interest
|
||||||||||||
Assets pledged for borrowings under repurchase agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Agency RMBS, at fair value
|
$
|
19,837
|
|
|
$
|
453
|
|
|
$
|
20,290
|
|
|
$
|
690,255
|
|
|
$
|
2,601
|
|
|
$
|
692,856
|
|
Agency CMBS, at fair value
|
1,486,142
|
|
|
4,262
|
|
|
1,490,404
|
|
|
2,143,340
|
|
|
5,454
|
|
|
2,148,794
|
|
||||||
Non-Agency RMBS, at fair value
|
50,555
|
|
|
479
|
|
|
51,034
|
|
|
58,127
|
|
|
160
|
|
|
58,287
|
|
||||||
Non-Agency CMBS, at fair value
|
186,552
|
|
|
915
|
|
|
187,467
|
|
|
208,062
|
|
|
1,100
|
|
|
209,162
|
|
||||||
Residential Whole Loans, at fair value (1)(2)
|
1,041,885
|
|
|
8,145
|
|
|
1,050,030
|
|
|
237,423
|
|
|
1,754
|
|
|
239,177
|
|
||||||
Residential Bridge Loans
(1)
|
221,486
|
|
|
3,528
|
|
|
225,014
|
|
|
106,673
|
|
|
1,443
|
|
|
108,116
|
|
||||||
Commercial Loans, at fair value
(1)
|
196,123
|
|
|
1,067
|
|
|
197,190
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Securitized commercial loans, at fair value
(1)
|
13,688
|
|
|
88
|
|
|
13,776
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Other securities, at fair value
|
59,780
|
|
|
147
|
|
|
59,927
|
|
|
89,823
|
|
|
105
|
|
|
89,928
|
|
||||||
Cash
(2)
|
1,226
|
|
|
—
|
|
|
1,226
|
|
|
23,591
|
|
|
—
|
|
|
23,591
|
|
||||||
Total
|
$
|
3,277,274
|
|
|
$
|
19,084
|
|
|
$
|
3,296,358
|
|
|
$
|
3,557,294
|
|
|
$
|
12,617
|
|
|
$
|
3,569,911
|
|
|
(1)
|
Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation.
|
(2)
|
Cash posted as collateral is included in "Due from counterparties" in the Company's Consolidated Balance Sheets.
|
Classes
|
Principal Balance
|
Coupon
|
Fair Value
|
Contractual Maturity
|
||||
Class A
|
$
|
369,109
|
|
3.6%
|
$
|
368,366
|
|
2/15/2021
|
Class B
|
119,400
|
|
4.2%
|
119,196
|
|
2/15/2021
|
||
Class C
|
103,425
|
|
4.5%
|
103,281
|
|
2/15/2021
|
||
Class D
|
91,425
|
|
5.2%
|
91,297
|
|
2/15/2021
|
||
Class E
|
124,125
|
|
7.0%
|
123,900
|
|
2/15/2021
|
||
Class F
|
120,225
|
|
8.5%
|
120,093
|
|
2/15/2021
|
||
Class G
|
10,050
|
|
10.0%
|
9,985
|
|
2/15/2021
|
||
Class HRR
|
50,850
|
|
12.0%
|
50,198
|
|
2/15/2021
|
||
Class X-CP
(1)
|
N/A
|
|
2.6%
|
468
|
|
3/11/2019
|
||
Class X-EXT
(1)
|
N/A
|
|
—%
|
2,286
|
|
2/15/2021
|
||
|
$
|
988,609
|
|
|
$
|
989,070
|
|
|
|
|
|
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||
Derivative Instrument
|
Accounting Designation
|
|
Consolidated Balance Sheets Location
|
|
Notional
Amount
|
|
Fair
Value
|
|
Notional
Amount
|
|
Fair
Value
|
||||||||
Interest rate swaps, asset
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
$
|
1,128,400
|
|
|
$
|
2,057
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Options, asset
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
—
|
|
|
—
|
|
|
320,000
|
|
|
100
|
|
||||
Futures contracts, asset
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
—
|
|
|
—
|
|
|
480,000
|
|
|
628
|
|
||||
Credit default swaps, asset
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
50,000
|
|
|
549
|
|
|
—
|
|
|
—
|
|
||||
Total derivative instruments, assets
|
|
|
|
|
|
|
|
2,606
|
|
|
|
|
|
728
|
|
||||
Interest rate swaps, liability
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
2,727,800
|
|
|
(5,473
|
)
|
|
3,252,200
|
|
|
(4,191
|
)
|
||||
Options, liability
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
—
|
|
|
—
|
|
|
320,000
|
|
|
(50
|
)
|
||||
Futures contracts, liability
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
300,400
|
|
|
(4,657
|
)
|
|
—
|
|
|
—
|
|
||||
Credit default swaps, liability
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
—
|
|
|
—
|
|
|
14,815
|
|
|
(95
|
)
|
||||
TBA securities, liability
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
—
|
|
|
—
|
|
|
125,000
|
|
|
(10
|
)
|
||||
Total derivative instruments, liabilities
|
|
|
|
|
|
|
|
(10,130
|
)
|
|
|
|
|
(4,346
|
)
|
||||
Total derivative instruments, net
|
|
|
|
|
|
|
|
$
|
(7,524
|
)
|
|
|
|
$
|
(3,618
|
)
|
|
Realized Gain (Loss), net
|
|
|
|
|
|
|
|
|
||||||||||||||
Description
|
Other Settlements / Expirations
|
|
Variation Margin Settlement
|
|
Return
(Recovery) of
Basis
|
|
Mark-to-Market
|
|
Contractual interest
income (expense),
net
|
|
Total
|
||||||||||||
Year ended December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
|
$
|
163
|
|
|
$
|
76,979
|
|
|
$
|
2,465
|
|
|
$
|
(5,147
|
)
|
|
$
|
3,693
|
|
|
$
|
78,153
|
|
Interest-Only Strips—accounted for as derivatives
|
—
|
|
|
—
|
|
|
(3,661
|
)
|
|
(655
|
)
|
|
4,511
|
|
|
195
|
|
||||||
Options
|
(871
|
)
|
|
—
|
|
|
—
|
|
|
300
|
|
|
—
|
|
|
(571
|
)
|
||||||
Futures contracts
|
6,112
|
|
|
—
|
|
|
—
|
|
|
(5,285
|
)
|
|
—
|
|
|
827
|
|
||||||
Credit default swaps
|
(241
|
)
|
|
—
|
|
|
—
|
|
|
396
|
|
|
—
|
|
|
155
|
|
||||||
TBAs
|
(800
|
)
|
|
—
|
|
|
—
|
|
|
10
|
|
|
—
|
|
|
(790
|
)
|
||||||
Total
|
$
|
4,363
|
|
|
$
|
76,979
|
|
|
$
|
(1,196
|
)
|
|
$
|
(10,381
|
)
|
|
$
|
8,204
|
|
|
$
|
77,969
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Year ended December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
|
$
|
(150,607
|
)
|
|
$
|
20,258
|
|
|
$
|
524
|
|
|
$
|
148,947
|
|
|
$
|
(14,606
|
)
|
|
$
|
4,516
|
|
Interest rate swaptions
|
(115
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(115
|
)
|
||||||
Interest-Only Strips—accounted for as derivatives
|
526
|
|
|
—
|
|
|
(5,995
|
)
|
|
(902
|
)
|
|
7,438
|
|
|
1,067
|
|
||||||
Options
|
(1,453
|
)
|
|
—
|
|
|
—
|
|
|
(300
|
)
|
|
—
|
|
|
(1,753
|
)
|
||||||
Futures contracts
|
(9,130
|
)
|
|
—
|
|
|
—
|
|
|
3,044
|
|
|
—
|
|
|
(6,086
|
)
|
||||||
Foreign currency forwards
|
32
|
|
|
—
|
|
|
—
|
|
|
35
|
|
|
—
|
|
|
67
|
|
||||||
Total return swap
|
(552
|
)
|
|
—
|
|
|
—
|
|
|
1,673
|
|
|
469
|
|
|
1,590
|
|
||||||
Credit default swaps
|
(11
|
)
|
|
—
|
|
|
—
|
|
|
(22
|
)
|
|
—
|
|
|
(33
|
)
|
||||||
TBAs
|
4,049
|
|
|
—
|
|
|
—
|
|
|
(10
|
)
|
|
—
|
|
|
4,039
|
|
||||||
Total
|
$
|
(157,261
|
)
|
|
$
|
20,258
|
|
|
$
|
(5,471
|
)
|
|
$
|
152,465
|
|
|
$
|
(6,699
|
)
|
|
$
|
3,292
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Year ended December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
|
$
|
(33,999
|
)
|
|
$
|
—
|
|
|
$
|
672
|
|
|
$
|
11,013
|
|
|
$
|
(27,903
|
)
|
|
$
|
(50,217
|
)
|
Interest rate swaptions
|
(1,035
|
)
|
|
—
|
|
|
—
|
|
|
1,631
|
|
|
—
|
|
|
596
|
|
||||||
Interest-Only Strips—accounted for as derivatives
|
1,317
|
|
|
—
|
|
|
(11,438
|
)
|
|
(4,726
|
)
|
|
14,148
|
|
|
(699
|
)
|
||||||
Options
|
4,756
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,756
|
|
||||||
Futures contracts
|
23,609
|
|
|
—
|
|
|
—
|
|
|
(1,781
|
)
|
|
—
|
|
|
21,828
|
|
||||||
Foreign currency forwards
|
(66
|
)
|
|
—
|
|
|
—
|
|
|
(56
|
)
|
|
—
|
|
|
(122
|
)
|
||||||
Foreign currency swaps
|
6,771
|
|
|
—
|
|
|
—
|
|
|
(7,168
|
)
|
|
283
|
|
|
(114
|
)
|
||||||
Total return swap
|
38
|
|
|
—
|
|
|
—
|
|
|
(1,673
|
)
|
|
1,121
|
|
|
(514
|
)
|
||||||
TBAs
|
6,126
|
|
|
—
|
|
|
—
|
|
|
(2,375
|
)
|
|
—
|
|
|
3,751
|
|
||||||
Total
|
$
|
7,517
|
|
|
$
|
—
|
|
|
$
|
(10,766
|
)
|
|
$
|
(5,135
|
)
|
|
$
|
(12,351
|
)
|
|
$
|
(20,735
|
)
|
|
December 31, 2018
|
||||||||||
Fixed Pay Interest Rate Swap Remaining Term
|
Notional
Amount
|
|
Average Fixed Pay
Rate
|
|
Average Floating Receive
Rate
|
|
Average
Maturity (Years)
|
||||
1 year or less
|
$
|
400,000
|
|
|
1.5
|
%
|
|
2.8
|
%
|
|
0.5
|
Greater than 1 year and less than 3 years
|
$
|
200,000
|
|
|
1.8
|
%
|
|
2.6
|
%
|
|
1.4
|
Greater than 3 years and less than 5 years
|
1,104,700
|
|
|
2.3
|
%
|
|
2.5
|
%
|
|
3.8
|
|
Greater than 5 years
|
1,423,100
|
|
|
2.5
|
%
|
|
2.5
|
%
|
|
9.9
|
|
Total
|
$
|
3,127,800
|
|
|
2.3
|
%
|
|
2.6
|
%
|
|
6.0
|
|
December 31, 2018
|
||||||||||
Variable Pay Interest Rate Swap Remaining Term
|
Notional Amount
|
|
Average
Variable Pay Rate
|
|
Average Fixed Receive Rate
|
|
Average Maturity (Years)
|
||||
Greater than 5 years
|
728,400
|
|
|
2.5
|
%
|
|
2.4
|
%
|
|
8.3
|
|
Total
|
$
|
728,400
|
|
|
2.5
|
%
|
|
2.4
|
%
|
|
8.3
|
|
December 31, 2017
|
|||||||||||||
Fixed Pay Interest Rate Swap Remaining Term
|
Notional
Amount
|
|
Average Fixed Pay
Rate
|
|
Average Floating Receive
Rate
|
|
Average
Maturity
(Years)
|
|
Forward
Starting
(1)
|
|||||
Greater than 1 year and less than 3 years
|
600,000
|
|
|
1.6
|
%
|
|
1.5
|
%
|
|
1.8
|
|
—
|
%
|
|
Greater than 3 years and less than 5 years
|
960,000
|
|
|
2.0
|
%
|
|
1.4
|
%
|
|
4.3
|
|
—
|
%
|
|
Greater than 5 years
|
1,692,200
|
|
|
2.5
|
%
|
|
1.4
|
%
|
|
10.5
|
|
90.2
|
%
|
|
Total
|
$
|
3,252,200
|
|
|
2.2
|
%
|
|
1.4
|
%
|
|
7.1
|
|
46.9
|
%
|
|
|
December 31, 2017
|
||||||
|
Notional
Amount
|
|
Fair
Value
|
||||
Purchase contracts, liability
|
$
|
125,000
|
|
|
$
|
(10
|
)
|
|
Notional Amount
|
|
|
|
Settlement, Termination,
|
|
Notional Amount
|
||||||||
|
December 31, 2017
|
|
Additions
|
|
Expiration or Exercise
|
|
December 31, 2018
|
||||||||
Purchase of TBAs
|
$
|
125,000
|
|
|
$
|
7,725,000
|
|
|
$
|
(7,850,000
|
)
|
|
$
|
—
|
|
Sale of TBAs
|
$
|
—
|
|
|
$
|
7,850,000
|
|
|
$
|
(7,850,000
|
)
|
|
$
|
—
|
|
|
Notional Amount
|
|
|
|
Settlement, Termination,
|
|
Notional Amount
|
||||||||
|
December 31, 2016
|
|
Additions
|
|
Expiration or Exercise
|
|
December 31, 2017
|
||||||||
Purchase of TBAs
|
$
|
—
|
|
|
$
|
5,843,200
|
|
|
$
|
(5,718,200
|
)
|
|
$
|
125,000
|
|
Sale of TBAs
|
$
|
—
|
|
|
$
|
5,718,200
|
|
|
$
|
(5,718,200
|
)
|
|
$
|
—
|
|
|
|
December 31, 2018
|
||||||||||||||||||||||
|
|
Gross
Amounts
|
|
Gross
Amounts
Offset in the
Consolidated
Balance
Sheets
|
|
Net Amounts
of Assets
presented in the
Consolidated
Balance Sheets
|
|
Gross Amounts Not Offset
in the Consolidated Balance
Sheets
|
|
|
||||||||||||||
Description
|
|
|
|
|
Financial
Instruments
(1)
|
|
Cash
Collateral
(1)
|
|
Net
Amount
|
|||||||||||||||
Derivative Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Agency Interest-Only Strips, accounted for as derivatives included in MBS
|
|
$
|
11,860
|
|
|
$
|
—
|
|
|
$
|
11,860
|
|
|
$
|
(11,860
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
Derivative asset, at fair value
(2)
|
|
2,606
|
|
|
—
|
|
|
2,606
|
|
|
(2,057
|
)
|
|
—
|
|
|
549
|
|
||||||
Total derivative assets
|
|
$
|
14,466
|
|
|
$
|
—
|
|
|
$
|
14,466
|
|
|
$
|
(13,917
|
)
|
|
$
|
—
|
|
|
$
|
549
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative Liabilities and Repurchase Agreements
|
|
|
|
|
|
|
|
|
||||||||||||||||
Derivative liability, at fair value
(2)(3)
|
|
$
|
10,130
|
|
|
$
|
—
|
|
|
$
|
10,130
|
|
|
$
|
(2,057
|
)
|
|
$
|
(8,073
|
)
|
|
$
|
—
|
|
Repurchase Agreements
(4)
|
|
2,818,837
|
|
|
—
|
|
|
2,818,837
|
|
|
(2,818,837
|
)
|
|
—
|
|
|
—
|
|
||||||
Total derivative liability
|
|
$
|
2,828,967
|
|
|
$
|
—
|
|
|
$
|
2,828,967
|
|
|
$
|
(2,820,894
|
)
|
|
$
|
(8,073
|
)
|
|
$
|
—
|
|
(1)
|
Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions.
|
(2)
|
Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts.
|
(3)
|
Cash collateral pledged against the Company's derivative counterparties was approximately
$38.0 million
as of
December 31, 2018
.
|
(4)
|
The carrying value of investments pledged against the Company's repurchase agreements was approximately
$3.3 billion
as of
December 31, 2018
.
|
|
|
December 31, 2017
|
||||||||||||||||||||||
|
|
Gross
Amounts
|
|
Gross
Amounts
Offset in the
Consolidated
Balance
Sheets
|
|
Net Amounts
of Assets
presented in the
Consolidated
Balance Sheets
|
|
Gross Amounts Not Offset
in the Consolidated Balance
Sheets
|
|
|
||||||||||||||
Description
|
|
|
|
|
Financial
Instruments
(1)
|
|
Cash Collateral
(1)
|
|
Net
Amount
|
|||||||||||||||
Derivative Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Agency Interest-Only Strips, accounted for as derivatives included in MBS
|
|
$
|
16,176
|
|
|
$
|
—
|
|
|
$
|
16,176
|
|
|
$
|
(11,633
|
)
|
|
$
|
—
|
|
|
$
|
4,543
|
|
Derivative asset, at fair value
(2)
|
|
728
|
|
|
—
|
|
|
728
|
|
|
(50
|
)
|
|
—
|
|
|
678
|
|
||||||
Total derivative assets
|
|
$
|
16,904
|
|
|
$
|
—
|
|
|
$
|
16,904
|
|
|
$
|
(11,683
|
)
|
|
$
|
—
|
|
|
$
|
5,221
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative Liabilities and Repurchase Agreements
|
|
|
|
|
|
|
|
|
||||||||||||||||
Derivative liability, at fair value
(2)(3)
|
|
$
|
4,346
|
|
|
$
|
—
|
|
|
$
|
4,346
|
|
|
$
|
(50
|
)
|
|
$
|
(4,270
|
)
|
|
$
|
26
|
|
Repurchase Agreements
(4)
|
|
3,251,686
|
|
|
—
|
|
|
3,251,686
|
|
|
(3,251,686
|
)
|
|
—
|
|
|
—
|
|
||||||
Total derivative liability
|
|
$
|
3,256,032
|
|
|
$
|
—
|
|
|
$
|
3,256,032
|
|
|
$
|
(3,251,736
|
)
|
|
$
|
(4,270
|
)
|
|
$
|
26
|
|
|
(1)
|
Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions.
|
(1)
|
Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, mortgage put options, currency forwards, credit default swaps, futures contracts and TBAs.
|
(2)
|
Cash collateral pledged against the Company's derivative counterparties was approximately
$63.3 million
as of
December 31, 2017
.
|
(3)
|
The fair value of investments pledged against the Company's repurchase agreements was approximately
$3.5 billion
as of
December 31, 2017
.
|
|
December 31, 2018
|
|
December 31, 2017
|
||
Vesting Date
|
Shares Vesting
|
|
Shares Vesting
|
||
March 2018
|
—
|
|
|
66,667
|
|
June 2018
|
—
|
|
|
16,488
|
|
June 2019
|
27,476
|
|
|
—
|
|
|
27,476
|
|
|
83,155
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||
|
Shares of
Restricted Stock
|
|
Weighted Average
Grant Date Fair
Value
(1)
|
|
Shares of
Restricted Stock
|
|
Weighted Average
Grant Date Fair
Value
(1)
|
||||||
Outstanding at beginning of period
|
725,449
|
|
|
$
|
17.00
|
|
|
707,861
|
|
|
$
|
17.17
|
|
Granted
(2)
|
28,524
|
|
|
10.75
|
|
|
17,588
|
|
|
10.30
|
|
||
Outstanding at end of period
|
753,973
|
|
|
$
|
16.77
|
|
|
725,449
|
|
|
$
|
17.00
|
|
Unvested at end of period
|
27,476
|
|
|
$
|
10.78
|
|
|
83,155
|
|
|
$
|
14.07
|
|
|
(1)
|
The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date.
|
(2)
|
Includes
2,620
shares and
2,052
shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the years ended
December 31, 2018
and
December 31, 2017
, respectively.
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Amount per Share
|
|
Tax Characterization
|
||
2018
|
|
|
|
|
|
|
|
|
|
|
December 19, 2018
|
|
December 31, 2018
|
|
January 25, 2019
|
|
$
|
0.31
|
|
|
Ordinary income
|
September 17, 2018
|
|
September 27, 2018
|
|
October 26, 2018
|
|
$
|
0.31
|
|
|
Ordinary income
|
June 21, 2018
|
|
July 2, 2018
|
|
July 26, 2018
|
|
$
|
0.31
|
|
|
Ordinary income
|
March 22, 2018
|
|
April 2, 2018
|
|
April 26, 2018
|
|
$
|
0.31
|
|
|
Ordinary income
|
|
|
|
|
|
|
|
|
|
||
2017
|
|
|
|
|
|
|
|
|
|
|
December 21, 2017
|
|
January 2, 2018
|
|
January 26, 2018
|
|
$
|
0.31
|
|
|
Return of capital
|
September 21, 2017
|
|
October 2, 2017
|
|
October 26, 2017
|
|
$
|
0.31
|
|
|
Return of capital
|
June 20, 2017
|
|
June 30, 2017
|
|
July 26, 2017
|
|
$
|
0.31
|
|
|
Return of capital
|
March 23, 2017
|
|
April 3, 2017
|
|
April 26, 2017
|
|
$
|
0.31
|
|
|
Ordinary income
|
|
|
|
|
|
|
|
|
|
||
2016
|
|
|
|
|
|
|
|
|
|
|
December 22, 2016
|
|
January 3, 2017
|
|
January 26, 2017
|
|
$
|
0.31
|
|
|
Ordinary income
|
September 22, 2016
|
|
October 4, 2016
|
|
October 25, 2016
|
|
$
|
0.31
|
|
|
Ordinary income
|
June 23, 2016
|
|
July 5, 2016
|
|
July 26, 2016
|
|
$
|
0.31
|
|
|
Ordinary income
|
March 24, 2016
|
|
April 4, 2016
|
|
April 26, 2016
|
|
$
|
0.45
|
|
|
Ordinary income
|
|
For the year ended December 31, 2018
|
|
For the year ended December 31, 2017
|
|
For the year ended December 31, 2016
|
||||||
Numerator
:
|
|
|
|
|
|
|
|
|
|||
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share
|
$
|
26,409
|
|
|
$
|
85,097
|
|
|
$
|
(25,015
|
)
|
Less:
|
|
|
|
|
|
|
|
|
|||
Dividends and undistributed earnings allocated to participating securities
|
138
|
|
|
312
|
|
|
377
|
|
|||
Net income (loss) allocable to common stockholders—basic and diluted
|
$
|
26,271
|
|
|
$
|
84,785
|
|
|
$
|
(25,392
|
)
|
Denominator
:
|
|
|
|
|
|
|
|
|
|||
Weighted average common shares outstanding for basic earnings per share
|
43,388,810
|
|
|
41,817,455
|
|
|
41,688,950
|
|
|||
Weighted average common shares outstanding for diluted earnings per share
|
43,388,810
|
|
|
41,817,455
|
|
|
41,688,950
|
|
|||
Basic earnings (loss) per common share
|
$
|
0.61
|
|
|
$
|
2.03
|
|
|
$
|
(0.61
|
)
|
Diluted earnings (loss) per common share
|
$
|
0.61
|
|
|
$
|
2.03
|
|
|
$
|
(0.61
|
)
|
|
|
For the year ended December 31, 2018
|
|
For the year ended December 31, 2017
|
|
For the year ended December 31, 2016
|
||||||
Current Tax Provision (Benefit)
|
|
|
|
|
|
|
||||||
Federal
|
|
$
|
709
|
|
|
$
|
4,076
|
|
|
$
|
2,365
|
|
State
|
|
—
|
|
|
(267
|
)
|
|
672
|
|
|||
Interest and Penalties
|
|
—
|
|
|
—
|
|
|
119
|
|
|||
Total Current Provision for Income Taxes, net
|
|
709
|
|
|
3,809
|
|
|
3,156
|
|
|||
Deferred Provision (Benefit) for Income Taxes
|
|
|
|
|
|
|
||||||
Federal
|
|
—
|
|
|
85
|
|
|
—
|
|
|||
State
|
|
—
|
|
|
(407
|
)
|
|
—
|
|
|||
Total Deferred Benefit for Income Taxes, net
|
|
—
|
|
|
(322
|
)
|
|
—
|
|
|||
Total Income Tax Provision, net
|
|
$
|
709
|
|
|
$
|
3,487
|
|
|
$
|
3,156
|
|
Deferred Tax Asset
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Net operating loss available for carry-back and carry-forward
|
|
$
|
6,503
|
|
|
$
|
9,604
|
|
Net capital loss carry-forward
|
|
4,271
|
|
|
4,158
|
|
||
Investments
|
|
1,720
|
|
|
1,948
|
|
||
Deferred tax asset
|
|
12,494
|
|
|
15,710
|
|
||
Allowance
|
|
(12,087
|
)
|
|
(15,303
|
)
|
||
Net deferred tax asset
|
|
$
|
407
|
|
|
$
|
407
|
|
Deferred Tax Liability
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Net operating loss available for carry-back and carry-forward
|
|
$
|
85
|
|
|
$
|
85
|
|
Net deferred tax liability
|
|
$
|
85
|
|
|
$
|
85
|
|
|
|
For the year ended December 31, 2018
|
|
For the year ended December 31, 2017
|
||
Federal statutory rate
|
|
21.0
|
%
|
|
34.3
|
%
|
State statutory rate, net of federal benefit
|
|
1.5
|
%
|
|
(1.3
|
)%
|
Other
|
|
(0.8
|
)%
|
|
(1.0
|
)%
|
Change in valuation allowance
|
|
(1.3
|
)%
|
|
0.8
|
%
|
Effect of statutory rate changes
|
|
—
|
%
|
|
2.9
|
%
|
REIT earnings not subject to corporate taxes
|
|
(17.8
|
)%
|
|
(31.8
|
)%
|
Effective Tax Rate
|
|
2.6
|
%
|
|
3.9
|
%
|
|
Quarter Ended
|
||||||||||||||
|
March 31, 2018
|
|
June 30, 2018
|
|
September 30, 2018
|
|
December 31, 2018
|
||||||||
Net Interest Income
|
|
|
|
|
|
|
|
||||||||
Interest income
|
$
|
39,727
|
|
|
$
|
57,154
|
|
|
$
|
54,461
|
|
|
$
|
58,020
|
|
Interest expense
|
20,697
|
|
|
38,134
|
|
|
38,517
|
|
|
40,892
|
|
||||
Net Interest Income
|
19,030
|
|
|
19,020
|
|
|
15,944
|
|
|
17,128
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Other Income (Loss)
|
|
|
|
|
|
|
|
||||||||
Realized gain (loss) on sale of investments, net
|
575
|
|
|
(5,608
|
)
|
|
(24,229
|
)
|
|
(33,995
|
)
|
||||
Other than temporary impairment
|
(2,916
|
)
|
|
(2,974
|
)
|
|
(2,533
|
)
|
|
(2,757
|
)
|
||||
Unrealized gain (loss), net
|
(68,961
|
)
|
|
(31,693
|
)
|
|
13,128
|
|
|
62,855
|
|
||||
Gain (loss) on derivative instruments, net
|
79,582
|
|
|
28,490
|
|
|
24,625
|
|
|
(54,728
|
)
|
||||
Other, net
|
47
|
|
|
(145
|
)
|
|
(2
|
)
|
|
(89
|
)
|
||||
Other Income (Loss)
|
8,327
|
|
|
(11,930
|
)
|
|
10,989
|
|
|
(28,714
|
)
|
||||
|
|
|
|
|
|
|
|
||||||||
Expenses
|
|
|
|
|
|
|
|
||||||||
Management fee to affiliate
|
2,180
|
|
|
2,259
|
|
|
2,284
|
|
|
1,950
|
|
||||
Other operating expenses
|
969
|
|
|
1,555
|
|
|
1,609
|
|
|
1,943
|
|
||||
General and administrative expenses:
|
|
|
|
|
|
|
|
||||||||
Compensation expense
|
510
|
|
|
572
|
|
|
552
|
|
|
552
|
|
||||
Professional fees
|
1,295
|
|
|
818
|
|
|
1,065
|
|
|
1,121
|
|
||||
Other general and administrative expenses
|
361
|
|
|
397
|
|
|
335
|
|
|
349
|
|
||||
Total general and administrative expenses
|
2,166
|
|
|
1,787
|
|
|
1,952
|
|
|
2,022
|
|
||||
Total Expenses
|
5,315
|
|
|
5,601
|
|
|
5,845
|
|
|
5,915
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Income (loss) before income taxes
|
22,042
|
|
|
1,489
|
|
|
21,088
|
|
|
(17,501
|
)
|
||||
Income tax provision (benefit)
|
313
|
|
|
36
|
|
|
206
|
|
|
154
|
|
||||
Net income (loss)
|
$
|
21,729
|
|
|
$
|
1,453
|
|
|
$
|
20,882
|
|
|
$
|
(17,655
|
)
|
|
|
|
|
|
|
|
|
||||||||
Net income (loss) per Common Share—Basic
|
$
|
0.52
|
|
|
$
|
0.03
|
|
|
$
|
0.50
|
|
|
$
|
(0.37
|
)
|
Net income (loss) per Common Share—Diluted
|
$
|
0.52
|
|
|
$
|
0.03
|
|
|
$
|
0.50
|
|
|
$
|
(0.37
|
)
|
|
Quarter Ended
|
||||||||||||||
|
March 31, 2017
|
|
June 30, 2017
|
|
September 30, 2017
|
|
December 31, 2017
|
||||||||
Net Interest Income:
|
|
|
|
|
|
|
|
||||||||
Interest income
|
$
|
28,430
|
|
|
$
|
30,055
|
|
|
$
|
30,928
|
|
|
$
|
34,878
|
|
Interest expense
|
8,737
|
|
|
10,407
|
|
|
12,363
|
|
|
16,866
|
|
||||
Net Interest Income
|
19,693
|
|
|
19,648
|
|
|
18,565
|
|
|
18,012
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Other Income (Loss):
|
|
|
|
|
|
|
|
||||||||
Realized gain (loss) on sale of investments, net
|
21,258
|
|
|
(2,488
|
)
|
|
1,830
|
|
|
(2
|
)
|
||||
Other than temporary impairment
|
(6,097
|
)
|
|
(6,579
|
)
|
|
(7,225
|
)
|
|
(2,972
|
)
|
||||
Unrealized gain (loss), net
|
(5,140
|
)
|
|
35,017
|
|
|
5,249
|
|
|
(6,730
|
)
|
||||
Gain (loss) on derivative instruments, net
|
(4,697
|
)
|
|
(18,555
|
)
|
|
7,217
|
|
|
19,327
|
|
||||
Other, net
|
403
|
|
|
222
|
|
|
216
|
|
|
190
|
|
||||
Other Income (Loss)
|
5,727
|
|
|
7,617
|
|
|
7,287
|
|
|
9,813
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Expenses:
|
|
|
|
|
|
|
|
||||||||
Management fee to affiliate
|
2,476
|
|
|
1,830
|
|
|
1,853
|
|
|
1,941
|
|
||||
Other operating expenses
|
417
|
|
|
736
|
|
|
702
|
|
|
564
|
|
||||
General and administrative expenses:
|
|
|
|
|
|
|
|
||||||||
Compensation expense
|
740
|
|
|
664
|
|
|
660
|
|
|
628
|
|
||||
Professional fees
|
888
|
|
|
832
|
|
|
781
|
|
|
741
|
|
||||
Other general and administrative expenses
|
345
|
|
|
404
|
|
|
244
|
|
|
332
|
|
||||
Total general and administrative expenses
|
1,973
|
|
|
1,900
|
|
|
1,685
|
|
|
1,701
|
|
||||
Total Expenses
|
4,866
|
|
|
4,466
|
|
|
4,240
|
|
|
4,206
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Income (loss) before income taxes
|
20,554
|
|
|
22,799
|
|
|
21,612
|
|
|
23,619
|
|
||||
Income tax provision (benefit)
|
312
|
|
|
2,115
|
|
|
(1,155
|
)
|
|
2,215
|
|
||||
Net income (loss)
|
$
|
20,242
|
|
|
$
|
20,684
|
|
|
$
|
22,767
|
|
|
$
|
21,404
|
|
|
|
|
|
|
|
|
|
||||||||
Net income (loss) per Common Share—Basic
|
$
|
0.48
|
|
|
$
|
0.49
|
|
|
$
|
0.54
|
|
|
$
|
0.51
|
|
Net income (loss) per Common Share—Diluted
|
$
|
0.48
|
|
|
$
|
0.49
|
|
|
$
|
0.54
|
|
|
$
|
0.51
|
|
$ in thousands
Asset Type
|
|
Description
|
|
Number of
Loans
|
|
Interest
Rate
|
|
Maturity
Date
|
|
Periodic Payment Terms
(1)
|
|
Prior
Liens
|
|
Face
Amount of
Mortgages
|
|
Carrying
Amount of
Mortgages
|
|
Principal
Amount of
Loans Subject to
Delinquent
Principal or
Interest
|
||||||||
Residential Whole-Loans and Bridge Loans
|
||||||||||||||||||||||||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $0 - $249,999
|
|
394
|
|
Hybrid ARM 4.5% to 6.0%
|
|
11/01/2041 to 11/01/2048
|
|
P&I
|
|
$
|
—
|
|
|
$
|
66,916
|
|
|
$
|
68,261
|
|
|
$
|
—
|
|
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $250,000 - $499,999
|
|
765
|
|
Hybrid ARM 4.5% to 6.5%
|
|
01/01/2042 to 11/01/2048
|
|
P&I
|
|
—
|
|
|
263,675
|
|
|
268,907
|
|
|
—
|
|
||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $500,000 - $749,999
|
|
236
|
|
Hybrid ARM 4.5% to 6.5%
|
|
02/01/2042 to 11/01/2048
|
|
P&I
|
|
—
|
|
|
135,510
|
|
|
138,123
|
|
|
—
|
|
||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $750,000 - $999,999
|
|
105
|
|
Hybrid ARM 4.5% to 6.0%
|
|
05/01/2043 to 11/01/2048
|
|
P&I
|
|
—
|
|
|
86,322
|
|
|
88,042
|
|
|
—
|
|
||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $1,000,000 - $1,249,999
|
|
26
|
|
Hybrid ARM 4.0% to 5.9%
|
|
05/01/2043 to 11/01/2048
|
|
P&I
|
|
—
|
|
|
28,689
|
|
|
29,343
|
|
|
—
|
|
||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $1,250,000 - $1,499,999
|
|
6
|
|
Hybrid ARM 4.8% to 5.8%
|
|
12/01/2041 to 10/01/2048
|
|
P&I
|
|
—
|
|
|
7,836
|
|
|
8,028
|
|
|
—
|
|
||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $1,500,000 and above
|
|
21
|
|
Hybrid ARM 4.8% to 5.9%
|
|
02/01/2042 to 11/01/2048
|
|
P&I
|
|
—
|
|
|
41,428
|
|
|
42,512
|
|
|
—
|
|
||||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $0 - $249,999
|
|
6
|
|
Variable 5.4% to 5.8%
|
|
02/01/2044 to 06/01/2044
|
|
P&I
|
|
—
|
|
|
941
|
|
|
965
|
|
|
—
|
|
||||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $250,000 - $499,999
|
|
6
|
|
Variable 4.0% to 6.3%
|
|
04/01/2044 to 11/01/2047
|
|
P&I
|
|
—
|
|
|
2,163
|
|
|
2,230
|
|
|
—
|
|
||||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $500,000 - $749,999
|
|
2
|
|
Variable 5.5% to 6.1%
|
|
04/01/2044 to 05/01/2046
|
|
P&I
|
|
—
|
|
|
1,086
|
|
|
1,120
|
|
|
—
|
|
||||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $1,000,000 - $1,249,999
|
|
1
|
|
Variable 6.5% to 6.5%
|
|
5/1/2046
|
|
P&I
|
|
—
|
|
|
467
|
|
|
485
|
|
|
—
|
|
||||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $1,250,000 - $1,499,999
|
|
2
|
|
Variable 5.4% to 5.7%
|
|
02/01/2044 to 05/01/2044
|
|
P&I
|
|
—
|
|
|
1,369
|
|
|
1,406
|
|
|
—
|
|
||||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts
|
|
Original Loan Balance $0 - $249,999
|
|
460
|
|
Fixed 3.8% to 8.4%
|
|
06/01/2025 to 11/01/2048
|
|
P&I
|
|
—
|
|
|
74,360
|
|
|
75,382
|
|
|
—
|
|
$ in thousands
Asset Type |
|
Description
|
|
Number of
Loans |
|
Interest
Rate |
|
Maturity
Date |
|
Periodic Payment Terms(1)
|
|
Prior
Liens |
|
Face
Amount of Mortgages |
|
Carrying
Amount of Mortgages |
|
Principal
Amount of Loans Subject to Delinquent Principal or Interest |
||||||||
Commercial Loans
|
||||||||||||||||||||||||||
Commercial Loan Held in Securitization Trust
|
|
Original Loan Balance $45,187,500
|
|
1
|
|
LIBOR + 4.25%
|
|
7/6/2020
|
|
Interest Only
(4)
|
|
$
|
—
|
|
|
$
|
45,187
|
|
|
$
|
45,187
|
|
|
$
|
—
|
|
Commercial Loan Held in Securitization Trust
|
|
Original Loan Balance $115,500,000
|
|
1
|
|
LIBOR + 5.30%
|
|
9/6/2021
|
|
Interest Only
(4)
|
|
—
|
|
|
115,500
|
|
|
115,191
|
|
|
—
|
|
||||
Commercial Loan Held in Securitization Trust
|
|
Original Loan Balance $5,744,800
|
|
1
|
|
LIBOR + 5.25%
|
|
12/1/2020
|
|
Interest Only
(4)
|
|
$
|
—
|
|
|
$
|
5,745
|
|
|
$
|
5,745
|
|
|
$
|
—
|
|
Commercial Mezzanine Loan
|
|
Original Loan Balance $20,000,000
|
|
1
|
|
LIBOR + 6.50%
|
|
12/9/2019
|
|
Interest Only
(4)
|
|
—
|
|
|
20,000
|
|
|
20,000
|
|
|
—
|
|
||||
Commercial Loan Held in Securitization Trusts
|
|
Original Loan Balance $30,000,000
|
|
1
|
|
LIBOR + 4.50%
|
|
6/9/2020
|
|
Interest Only
(4)
|
|
—
|
|
|
30,000
|
|
|
30,000
|
|
|
—
|
|
||||
Total Commercial Loans
|
|
$
|
—
|
|
|
$
|
216,432
|
|
|
$
|
216,123
|
|
|
$
|
—
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Securitized Commercial Loans
|
||||||||||||||||||||||||||
Commercial Loan Held in Securitization Trust
|
|
Original Loan Balance $1,350,000,000
|
|
1
|
|
LIBOR + 9.50%
|
|
2/9/2021
|
|
Interest Only
(4)
|
|
—
|
|
|
988,609
|
|
|
989,069
|
|
|
—
|
|
||||
Commercial Mezzanine Loan Held in Securitization Trust
|
|
Original Loan Balance $25,000,000
|
|
1
|
|
Fixed 9.0%
|
|
7/6/2020
|
|
P&I
(2)
|
|
—
|
|
|
24,456
|
|
|
24,442
|
|
|
—
|
|
||||
Total Securitized Commercial Loans
|
|
$
|
—
|
|
|
$
|
1,013,065
|
|
|
$
|
1,013,511
|
|
|
$
|
—
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Total Residential and Commercial Loans
|
|
$
|
—
|
|
|
$
|
2,475,278
|
|
|
$
|
2,493,238
|
|
|
$
|
5,127
|
|
|
|
|
2018
|
|
2017
|
|
2016
|
||||||
Beginning balance
|
|
$
|
368,972
|
|
|
$
|
216,361
|
|
|
$
|
243,538
|
|
Additions during period:
|
|
|
|
|
|
|
|
|
|
|||
New mortgage loans
|
|
2,901,479
|
|
|
232,545
|
|
|
29,399
|
|
|||
Unrealized gains
|
|
631
|
|
|
3,167
|
|
|
1,187
|
|
|||
Deductions during period:
|
|
|
|
|
|
|
|
|
|
|||
Collections of principal
|
|
769,748
|
|
|
80,550
|
|
|
53,714
|
|
|||
Amortization of premium and (discounts)
|
|
5,692
|
|
|
1,470
|
|
|
2,044
|
|
|||
Unrealized losses
|
|
2,356
|
|
|
1,081
|
|
|
2,005
|
|
|||
Realized losses
|
|
48
|
|
|
—
|
|
|
—
|
|
|||
Balance at end of period
|
|
$
|
2,493,238
|
|
|
$
|
368,972
|
|
|
$
|
216,361
|
|
•
|
pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Company;
|
•
|
provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the Company are being made only in accordance with authorizations of management and directors of the Company; and
|
•
|
provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Company's assets that could have a material effect on the financial statements.
|
Consolidated Statements of Operations for the years ended December 31, 201
8, December 31, 2017 and December 31, 2016
|
|
Consolidated Statements of Changes in Stockholders' Equity for the years ended December 31, 201
8, December 31, 2017 and December 31, 2016
|
|
Consolidated Statements of Cash Flow for the years ended December 31, 201
8, December 31, 2017 and December 31, 2016
|
|
Exhibit No.
|
Description
|
|
3.1*
|
|
|
3.2*
|
|
|
3.3*
|
|
|
4.1*
|
|
|
4.2*
|
|
|
4.3*
|
|
|
4.4*
|
|
|
10.1*
|
|
|
10.2*
|
|
|
10.3*
|
|
|
10.4*
|
|
|
10.5*
|
|
|
10.6*
|
|
Exhibit No.
|
Description
|
|
10.7*
|
|
|
10.8*
|
|
|
10.9*
|
|
|
10.10*
|
|
|
23.1
|
|
|
31.1
|
|
|
31.2
|
|
|
32.1
|
|
|
101.INS
|
|
XBRL Instance Document
|
101.SCH
|
|
XBRL Taxonomy Extension Schema Document
|
101.CAL
|
|
XBRL Taxonomy Extension Calculation Linkbase Document
|
101.DEF
|
|
XBRL Taxonomy Extension Definition Linkbase Document
|
101.LAB
|
|
XBRL Taxonomy Extension Label Linkbase Document
|
101.PRE
|
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
|
|
|
|
|
|
|
|
WESTERN ASSET MORTGAGE CAPITAL CORPORATION
|
||
|
|
By:
|
|
/s/ Jennifer W. Murphy
Jennifer W. Murphy
President, Chief Executive Officer and Director
|
|
|
March 6, 2019
|
|
|
|
|
|
|
|
By:
|
|
/s/ Jennifer W. Murphy
Jennifer W. Murphy
President, Chief Executive Officer and Director (Principal Executive Officer)
|
|
|
March 6, 2019
|
||
|
|
By:
|
|
/s/ LISA MEYER
Lisa Meyer
Chief Financial Officer & Treasurer (Principal Financial and Accounting Officer)
|
|
|
March 6, 2019
|
||
|
|
By:
|
|
/s/ JAMES W. HIRSCHMANN III
James W. Hirschmann III
Director
|
|
|
March 6, 2019
|
||
|
|
By:
|
|
/s/ EDWARD D. FOX JR.
Edward D. Fox Jr.
Director
|
|
|
March 6, 2019
|
||
|
|
By:
|
|
/s/ RICHARD ROLL
Richard Roll
Director
|
|
|
March 6, 2019
|
||
|
|
By:
|
|
/s/ M. CHRISTIAN MITCHELL
M. Christian Mitchell
Director
|
|
|
March 6, 2019
|
||
|
|
By:
|
|
/s/ RANJIT M. KRIPALANI
Ranjit M. Kripalani
Director
|
|
|
March 6, 2019
|
(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, if any, 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.
|
By:
|
|
/s/ Jennifer W. Murphy
|
||
|
|
Name:
|
|
Jennifer W. Murphy
|
|
|
Title:
|
|
President, Chief Executive Officer and Director
|
(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, if any, 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.
|
By:
|
|
/s/ LISA MEYER
|
||
|
|
Name:
|
|
Lisa Meyer
|
|
|
Title:
|
|
Chief Financial Officer & Treasurer
|
Date:
|
March 6, 2019
|
|
By:
|
|
/s/ Jennifer W. Murphy
|
||
|
|
|
|
|
Name:
|
|
Jennifer W. Murphy
|
|
|
|
|
|
Title:
|
|
President and Chief Executive Officer
|
Date:
|
March 6, 2019
|
|
By:
|
|
/s/ LISA MEYER
|
||
|
|
|
|
|
Name:
|
|
Lisa Meyer
|
|
|
|
|
|
Title:
|
|
Chief Financial Officer & Treasurer
|