ý
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Quarterly 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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Delaware
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27-0298092
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(State or other jurisdiction of
incorporation or organization)
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(IRS Employer
Identification Number)
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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
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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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Title of Each Class
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Trading Symbol(s)
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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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WMC
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New York Stock Exchange
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Page
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March 31,
2019 |
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December 31, 2018
|
||||
Assets:
|
|
|
|
|
|
||
Cash and cash equivalents
|
$
|
19,558
|
|
|
$
|
21,987
|
|
Restricted cash
|
71,178
|
|
|
55,808
|
|
||
Agency mortgage-backed securities, at fair value ($1,341,763 and $1,505,979 pledged as collateral, at fair value, respectively)
|
1,366,165
|
|
|
1,505,979
|
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||
Non-Agency mortgage-backed securities, at fair value ($192,079 and $237,107 pledged as collateral, at fair value, respectively)
|
221,116
|
|
|
250,856
|
|
||
Other securities, at fair value ($58,653 and $59,780 pledged as collateral, at fair value, respectively)
|
58,779
|
|
|
59,906
|
|
||
Residential Whole Loans, at fair value ($1,267,163 and $1,041,885 pledged as collateral, at fair value, respectively)
|
1,267,163
|
|
|
1,041,885
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|
||
Residential Bridge Loans ($144,170 and $211,999 at fair value and $151,228 and $221,486 pledged as collateral, respectively)
|
152,205
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|
|
221,719
|
|
||
Securitized commercial loans, at fair value
|
929,474
|
|
|
1,013,511
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|
||
Commercial Loans, at fair value ($317,744 and $196,123 pledged as collateral, at fair value, respectively)
|
337,578
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|
|
216,123
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||
Investment related receivable
|
32,559
|
|
|
42,945
|
|
||
Interest receivable
|
20,664
|
|
|
21,959
|
|
||
Due from counterparties
|
38,021
|
|
|
39,623
|
|
||
Derivative assets, at fair value
|
5,826
|
|
|
2,606
|
|
||
Other assets
|
1,269
|
|
|
2,488
|
|
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Total Assets
(1)
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$
|
4,521,555
|
|
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$
|
4,497,395
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|
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|
||||
Liabilities and Stockholders’ Equity:
|
|
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Liabilities:
|
|
|
|
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Repurchase agreements, net
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$
|
2,916,601
|
|
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$
|
2,818,837
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Convertible senior unsecured notes, net
|
110,389
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|
|
110,060
|
|
||
Securitized debt, at fair value (includes $94,638 and $246,802 held by affiliates, respectively)
|
850,448
|
|
|
949,626
|
|
||
Interest payable (includes $128 and $816 on securitized debt held by affiliates, respectively)
|
10,320
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|
|
8,532
|
|
||
Due to counterparties
|
21,357
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|
|
17,781
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|
||
Derivative liability, at fair value
|
1,996
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|
10,130
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|
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Accounts payable and accrued expenses
|
4,040
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3,858
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Payable to affiliate
|
4,214
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4,615
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Dividend payable
|
14,950
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14,916
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Other liabilities
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71,234
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56,031
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|
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Total Liabilities
(2)
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4,005,549
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|
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3,994,386
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||
|
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|
||||
Commitments and contingencies
|
|
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||
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|
||||
Stockholders’ Equity:
|
|
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|
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|
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Common stock: $0.01 par value, 500,000,000 shares authorized, 48,224,379 and 48,116,379 outstanding, respectively
|
482
|
|
|
481
|
|
||
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding
|
—
|
|
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—
|
|
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Additional paid-in capital
|
833,915
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|
|
833,810
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|
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Retained earnings (accumulated deficit)
|
(318,391
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)
|
|
(331,282
|
)
|
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Total Stockholders’ Equity
|
516,006
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|
503,009
|
|
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Total Liabilities and Stockholders’ Equity
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$
|
4,521,555
|
|
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$
|
4,497,395
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March 31,
2019 |
|
December 31, 2018
|
||||
(1)
Assets of consolidated VIEs included in the total assets above:
|
|
|
|
|
|
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Cash and cash equivalents
|
$
|
3,509
|
|
|
$
|
674
|
|
Restricted cash
|
71,178
|
|
|
55,808
|
|
||
Residential Whole Loans, at fair value ($1,267,163 and $1,041,885 pledged as collateral, at fair value, respectively)
|
1,267,163
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|
|
1,041,885
|
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Residential Bridge Loans ($143,352 and $211,766 at fair value and $151,228 and $221,486 pledged as collateral, respectively)
|
151,228
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|
|
221,486
|
|
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Securitized commercial loans, at fair value
|
929,474
|
|
|
1,013,511
|
|
||
Commercial Loans, at fair value ($317,744 and $196,123 pledged as collateral, at fair value, respectively)
|
211,744
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|
|
196,123
|
|
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Investment related receivable
|
32,441
|
|
|
42,945
|
|
||
Interest receivable
|
14,292
|
|
|
15,540
|
|
||
Other assets
|
155
|
|
|
178
|
|
||
Total assets of consolidated VIEs
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$
|
2,681,184
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$
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2,588,150
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|
|
|
|
|
||||
(2)
Liabilities of consolidated VIEs included in the total liabilities above:
|
|
|
|
|
|
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Securitized debt, at fair value (includes $94,638 and $246,802 held by affiliates, respectively)
|
$
|
850,448
|
|
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$
|
949,626
|
|
Interest payable (includes $128 and $816 on securitized debt held by affiliates, respectively)
|
378
|
|
|
2,419
|
|
||
Accounts payable and accrued expenses
|
633
|
|
|
708
|
|
||
Other liabilities
|
71,234
|
|
|
56,033
|
|
||
Total liabilities of consolidated VIEs
|
$
|
922,693
|
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$
|
1,008,786
|
|
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For the three months ended March 31, 2019
|
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For the three months ended March 31, 2018
|
||||
Net Interest Income
|
|
|
|
|
|
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Interest income
|
$
|
52,033
|
|
|
$
|
39,727
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Interest expense (includes $2,338 and $488 on securitized debt held by affiliates, respectively)
|
36,400
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|
|
20,697
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|
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Net Interest Income
|
15,633
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|
|
19,030
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||
|
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|
||||
Other Income (Loss)
|
|
|
|
|
|
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Realized gain (loss) on investments, net
|
(5,105
|
)
|
|
575
|
|
||
Other than temporary impairment
|
(1,232
|
)
|
|
(2,916
|
)
|
||
Unrealized gain (loss), net
|
50,781
|
|
|
(68,961
|
)
|
||
Gain (loss) on derivative instruments, net
|
(27,148
|
)
|
|
79,582
|
|
||
Other, net
|
236
|
|
|
47
|
|
||
Other Income (Loss)
|
17,532
|
|
|
8,327
|
|
||
|
|
|
|
||||
Expenses
|
|
|
|
|
|
||
Management fee to affiliate
|
1,735
|
|
|
2,180
|
|
||
Other operating expenses
|
1,598
|
|
|
969
|
|
||
General and administrative expenses:
|
|
|
|
|
|
||
Compensation expense
|
544
|
|
|
510
|
|
||
Professional fees
|
1,215
|
|
|
1,295
|
|
||
Other general and administrative expenses
|
185
|
|
|
361
|
|
||
Total general and administrative expenses
|
1,944
|
|
|
2,166
|
|
||
Total Expenses
|
5,277
|
|
|
5,315
|
|
||
|
|
|
|
||||
Income before income taxes
|
27,888
|
|
|
22,042
|
|
||
Income tax provision
|
12
|
|
|
313
|
|
||
Net income
|
$
|
27,876
|
|
|
$
|
21,729
|
|
|
|
|
|
||||
Net income per Common Share — Basic
|
$
|
0.58
|
|
|
$
|
0.52
|
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Net income per Common Share — Diluted
|
$
|
0.58
|
|
|
$
|
0.52
|
|
|
Three Months Ended March 31, 2018
|
|||||||||||||||||||||
|
Common Stock Outstanding
|
|
Additional
Paid-In Capital
|
|
Retained
Earnings
(Accumulated Deficit)
|
|
Treasury Stock
|
|
|
|||||||||||||
|
Shares
|
|
Par
|
|
|
|
|
Total
|
||||||||||||||
Balance at December 31, 2017
|
41,794,079
|
|
|
$
|
419
|
|
|
$
|
768,763
|
|
|
$
|
(301,912
|
)
|
|
$
|
(1,232
|
)
|
|
$
|
466,038
|
|
Vesting of restricted stock
|
—
|
|
|
—
|
|
|
75
|
|
|
—
|
|
|
—
|
|
|
75
|
|
|||||
Treasury stock
|
(114,400
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,107
|
)
|
|
(1,107
|
)
|
|||||
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
21,729
|
|
|
—
|
|
|
21,729
|
|
|||||
Dividends declared on common stock
|
—
|
|
|
—
|
|
|
24
|
|
|
(12,945
|
)
|
|
—
|
|
|
(12,921
|
)
|
|||||
Balance at March 31, 2018
|
41,679,679
|
|
|
$
|
419
|
|
|
$
|
768,862
|
|
|
$
|
(293,128
|
)
|
|
$
|
(2,339
|
)
|
|
$
|
473,814
|
|
|
For the three months ended March 31, 2019
|
|
For the three months ended March 31, 2018
|
||||
Cash flows from operating activities:
|
|
|
|
|
|
||
Net income
|
$
|
27,876
|
|
|
$
|
21,729
|
|
Adjustments to reconcile net income to net cash (used in) provided by operating activities:
|
|
|
|
|
|
||
Premium amortization and (discount accretion), net
|
357
|
|
|
(367
|
)
|
||
Amortization of deferred financing costs
|
192
|
|
|
192
|
|
||
Amortization of discount on convertible senior notes
|
137
|
|
|
137
|
|
||
Restricted stock amortization
|
70
|
|
|
75
|
|
||
Interest payments and basis recovered on MAC interest rate swaps
|
337
|
|
|
64
|
|
||
Premium on purchase of Residential Whole Loans
|
(4,882
|
)
|
|
(1,452
|
)
|
||
Premium on purchase of Residential Bridge Loans
|
—
|
|
|
(610
|
)
|
||
Premium on purchase of securitized commercial loans
|
(3,769
|
)
|
|
(3,019
|
)
|
||
Unrealized (gain) loss, net
|
(50,781
|
)
|
|
68,961
|
|
||
Unrealized (gain) loss on derivative instruments, net
|
(11,313
|
)
|
|
(1,308
|
)
|
||
Other than temporary impairment
|
1,232
|
|
|
2,916
|
|
||
Realized (gain) loss on investments, net
|
5,105
|
|
|
(575
|
)
|
||
(Gain) loss on derivatives, net
|
4,889
|
|
|
(4,183
|
)
|
||
Changes in operating assets and liabilities:
|
|
|
|
|
|
||
Decrease (increase) in interest receivable
|
1,295
|
|
|
(3,012
|
)
|
||
Decrease in other assets
|
1,219
|
|
|
59
|
|
||
Increase in interest payable
|
1,788
|
|
|
1,535
|
|
||
Increase in accounts payable and accrued expenses
|
356
|
|
|
1,657
|
|
||
(Decrease) increase in payable to affiliate
|
(401
|
)
|
|
2,218
|
|
||
Net cash (used in) provided by operating activities
|
(26,293
|
)
|
|
85,017
|
|
||
Cash flows from investing activities:
|
|
|
|
|
|
||
Purchase of securities
|
(24,175
|
)
|
|
(210,368
|
)
|
||
Proceeds from sale of securities
|
215,710
|
|
|
11,771
|
|
||
Principal repayments and basis recovered on securities
|
17,347
|
|
|
34,663
|
|
||
Purchase of Residential Whole Loans
|
(244,317
|
)
|
|
(69,897
|
)
|
||
Principal repayments on Residential Whole Loans
|
28,293
|
|
|
11,023
|
|
||
Purchase of commercial loans
|
(121,188
|
)
|
|
(40,406
|
)
|
||
Principal repayments on commercial loans
|
165
|
|
|
—
|
|
||
Purchase of securitized commercial loans
|
(900,000
|
)
|
|
(1,350,000
|
)
|
||
Principal repayments on securitized commercial loans
|
988,714
|
|
|
100
|
|
||
Purchase of Residential Bridge Loans
|
—
|
|
|
(93,048
|
)
|
||
Principal repayments on Residential Bridge Loans
|
80,006
|
|
|
29,261
|
|
||
Payment of premium for option derivatives
|
—
|
|
|
(467
|
)
|
||
Premium received from option derivatives
|
—
|
|
|
298
|
|
||
Premium for credit default swaps, net
|
(367
|
)
|
|
—
|
|
||
Net settlements of TBAs
|
—
|
|
|
(668
|
)
|
||
(Payments on) Proceeds from termination of futures, net
|
(4,503
|
)
|
|
3,978
|
|
||
Interest payments and basis recovered on MAC interest rate swaps
|
(337
|
)
|
|
(64
|
)
|
||
Net cash provided by (used in) investing activities
|
35,348
|
|
|
(1,673,824
|
)
|
||
|
|
|
|
||||
Cash flows from financing activities:
|
|
|
|
|
|
||
Payment of offering costs
|
(174
|
)
|
|
—
|
|
||
Repurchase of common stock
|
—
|
|
|
(1,107
|
)
|
||
Proceeds from repurchase agreement borrowings
|
5,764,802
|
|
|
4,513,966
|
|
||
Repayments of repurchase agreement borrowings
|
(5,667,038
|
)
|
|
(4,208,732
|
)
|
|
For the three months ended March 31, 2019
|
|
For the three months ended March 31, 2018
|
||||
Proceeds from securitized debt
|
838,469
|
|
|
1,285,219
|
|
||
Repayments of securitized debt
|
(937,805
|
)
|
|
(45
|
)
|
||
Due from counterparties, net
|
1,602
|
|
|
(9,540
|
)
|
||
Due to counterparties, net
|
3,576
|
|
|
(1,190
|
)
|
||
Increase in other liabilities
|
15,369
|
|
|
37,034
|
|
||
Dividends paid on common stock
|
(14,915
|
)
|
|
(12,960
|
)
|
||
Net cash provided by financing activities
|
3,886
|
|
|
1,602,645
|
|
||
|
|
|
|
||||
Net increase in cash, cash equivalents and restricted cash
|
12,941
|
|
|
13,838
|
|
||
Cash, cash equivalents and restricted cash, beginning of period
|
77,795
|
|
|
48,024
|
|
||
Cash, cash equivalents and restricted cash, end of period
|
$
|
90,736
|
|
|
$
|
61,862
|
|
|
|
|
|
||||
Supplemental disclosure of operating cash flow information:
|
|
|
|
|
|
||
Interest paid
|
$
|
35,519
|
|
|
$
|
18,833
|
|
Supplemental disclosure of non-cash financing/investing activities:
|
|
|
|
|
|
||
Securities purchased, not settled
|
$
|
—
|
|
|
$
|
(19,674
|
)
|
Net unsettled TBAs
|
$
|
—
|
|
|
$
|
1
|
|
Dividends and distributions declared, not paid
|
$
|
14,950
|
|
|
$
|
12,921
|
|
Principal payments of Residential Whole Loans, not settled
|
$
|
10,546
|
|
|
$
|
2,307
|
|
Principal payments of Residential Bridge Loans, not settled
|
$
|
22,014
|
|
|
$
|
16,518
|
|
Description
|
|
Adoption Date
|
|
Effect on Financial Statements
|
|
|
|
|
|
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 adoption of this standard did not have a material impact on 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 adoption of this standard did not have a material impact on 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 adoption of this standard did not have a material impact on its 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 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.
|
|
|
|
|
|
|
March 31, 2019
|
||||||||||||||
|
Fair Value
|
||||||||||||||
|
Level I
|
|
Level II
|
|
Level III
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency RMBS Interest-Only Strips
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
11,811
|
|
|
$
|
11,811
|
|
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
|
—
|
|
|
—
|
|
|
7,297
|
|
|
7,297
|
|
||||
Agency CMBS
|
—
|
|
|
1,343,149
|
|
|
—
|
|
|
1,343,149
|
|
||||
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
|
—
|
|
|
3,908
|
|
|
—
|
|
|
3,908
|
|
||||
Subtotal Agency MBS
|
—
|
|
|
1,347,057
|
|
|
19,108
|
|
|
1,366,165
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Non-Agency RMBS
|
—
|
|
|
—
|
|
|
38,179
|
|
|
38,179
|
|
||||
Non-Agency RMBS Interest-Only Strips
|
—
|
|
|
—
|
|
|
10,213
|
|
|
10,213
|
|
||||
Non-Agency CMBS
|
—
|
|
|
172,724
|
|
|
—
|
|
|
172,724
|
|
||||
Subtotal Non-Agency MBS
|
—
|
|
|
172,724
|
|
|
48,392
|
|
|
221,116
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Other securities
|
—
|
|
|
41,399
|
|
|
17,380
|
|
|
58,779
|
|
||||
Total mortgage-backed securities and other securities
|
—
|
|
|
1,561,180
|
|
|
84,880
|
|
|
1,646,060
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Residential Whole Loans
|
—
|
|
|
—
|
|
|
1,267,163
|
|
|
1,267,163
|
|
||||
Residential Bridge Loans
|
—
|
|
|
—
|
|
|
144,170
|
|
|
144,170
|
|
||||
Securitized commercial loans
|
—
|
|
|
—
|
|
|
929,474
|
|
|
929,474
|
|
||||
Commercial Loans
|
—
|
|
|
—
|
|
|
337,578
|
|
|
337,578
|
|
||||
Derivative assets
|
—
|
|
|
5,826
|
|
|
—
|
|
|
5,826
|
|
||||
Total Assets
|
$
|
—
|
|
|
$
|
1,567,006
|
|
|
$
|
2,763,265
|
|
|
$
|
4,330,271
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||
Derivative liabilities
|
$
|
—
|
|
|
$
|
1,996
|
|
|
$
|
—
|
|
|
$
|
1,996
|
|
Securitized debt
|
—
|
|
|
846,679
|
|
|
3,769
|
|
|
850,448
|
|
||||
Total Liabilities
|
$
|
—
|
|
|
$
|
848,675
|
|
|
$
|
3,769
|
|
|
$
|
852,444
|
|
|
December 31, 2018
|
||||||||||||||
|
Fair Value
|
||||||||||||||
|
Level I
|
|
Level II
|
|
Level III
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||
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
|
|
||||
Securitized commercial loan
|
—
|
|
|
—
|
|
|
1,013,511
|
|
|
1,013,511
|
|
||||
Commercial Loans
|
—
|
|
|
—
|
|
|
216,123
|
|
|
216,123
|
|
||||
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
|
|
|
|
Fair Value at
|
|
|
|
|
|
Range
|
|
|
||||||
|
|
March 31, 2019
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Minimum
|
|
Maximum
|
|
Weighted Average
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Residential Whole-Loans
|
|
1,267,163
|
|
|
Discounted Cash Flow
|
|
Yield
|
|
1.8
|
%
|
|
8.1
|
%
|
|
5.3
|
%
|
|
|
|
|
|
|
Weighted Average Life
|
|
0.9
|
|
|
10.2
|
|
|
2.3
|
|
|
Residential Bridge Loans
|
|
144,170
|
|
|
Discounted Cash Flow
|
|
Yield
|
|
5.4
|
%
|
|
341.4
|
%
|
(1)
|
16.5
|
%
|
|
|
|
|
|
|
Weighted Average Life
|
|
0.8
|
|
|
1.4
|
|
|
0.4
|
|
|
Commercial Loans
|
|
337,578
|
|
|
Discounted Cash Flow
|
|
Yield
|
|
6.2
|
%
|
|
9.2
|
%
|
|
7.6
|
%
|
|
|
|
|
|
|
Weighted Average Life
|
|
0.7
|
|
|
2.7
|
|
|
1.9
|
|
|
|
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
|
%
|
(1)
|
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 Life
|
|
0.9
|
|
|
2.7
|
|
|
2.1
|
|
|
Three months ended March 31, 2019
|
||||||||||||||||||||||||||||||
$ in thousands
|
Agency MBS
|
|
Non-Agency MBS
|
|
Other Securities
|
|
Residential
Whole Loans
|
|
Residential
Bridge Loans
|
|
Commercial Loans
|
|
Securitized
commercial
loans
|
|
Securitized debt
|
||||||||||||||||
Beginning balance
|
$
|
19,837
|
|
|
$
|
50,555
|
|
|
$
|
8,951
|
|
|
$
|
1,041,885
|
|
|
$
|
211,999
|
|
|
$
|
216,123
|
|
|
$
|
1,013,511
|
|
|
$
|
2,286
|
|
Transfers into Level III from Level II
|
—
|
|
|
—
|
|
|
8,386
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Transfers from Level III into Level II
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Purchases
|
—
|
|
|
—
|
|
|
—
|
|
|
248,105
|
|
|
—
|
|
|
121,189
|
|
|
903,770
|
|
|
—
|
|
||||||||
Sales and settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,769
|
|
||||||||
Principal repayments
|
—
|
|
|
(252
|
)
|
|
—
|
|
|
(28,532
|
)
|
|
(66,612
|
)
|
|
(165
|
)
|
|
(988,714
|
)
|
|
—
|
|
||||||||
Total net gains / losses included in net income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Realized gains/(losses), net on assets
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(87
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Other than temporary impairment
|
(25
|
)
|
|
(241
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Unrealized gains/(losses), net on assets
(1)
|
387
|
|
|
(1,193
|
)
|
|
121
|
|
|
5,886
|
|
|
(780
|
)
|
|
223
|
|
|
1,349
|
|
|
—
|
|
||||||||
Unrealized (gains)/losses, net on liabilities
(2)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,970
|
)
|
||||||||
Premium and discount amortization, net
|
(1,091
|
)
|
|
(477
|
)
|
|
(78
|
)
|
|
(181
|
)
|
|
(350
|
)
|
|
208
|
|
|
(442
|
)
|
|
(316
|
)
|
||||||||
Ending balance
|
$
|
19,108
|
|
|
$
|
48,392
|
|
|
$
|
17,380
|
|
|
$
|
1,267,163
|
|
|
$
|
144,170
|
|
|
$
|
337,578
|
|
|
$
|
929,474
|
|
|
$
|
3,769
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Unrealized gains/(losses), net on assets held at the end of the period
(1)
|
$
|
387
|
|
|
$
|
(1,193
|
)
|
|
$
|
121
|
|
|
$
|
6,108
|
|
|
$
|
(780
|
)
|
|
$
|
223
|
|
|
$
|
1,377
|
|
|
$
|
—
|
|
Unrealized gains/(losses), net on liabilities held at the end of the period
(2)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(28
|
)
|
|
Three months ended March 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
|
22,794
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Transfers from Level III into Level II
|
(16,805
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10,899
|
)
|
||||||||
Purchases
|
21,767
|
|
|
8,602
|
|
|
—
|
|
|
68,997
|
|
|
83,755
|
|
|
40,406
|
|
|
1,353,019
|
|
|
—
|
|
||||||||
Sales and settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12
|
|
||||||||
Principal repayments
|
(53
|
)
|
|
—
|
|
|
(141
|
)
|
|
(8,757
|
)
|
|
(18,717
|
)
|
|
|
|
|
(100
|
)
|
|
(44
|
)
|
||||||||
Total net gains / losses included in net income
|
|
|
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Realized (gains)/losses, net on liabilities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Other than temporary impairment
|
—
|
|
|
(29
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Unrealized gains/(losses), net on assets
(1)
|
(101
|
)
|
|
(2
|
)
|
|
(29
|
)
|
|
(798
|
)
|
|
(56
|
)
|
|
41
|
|
|
5,249
|
|
|
—
|
|
||||||||
Unrealized (gains)/losses, net on liabilities
(2)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
||||||||
Premium and discount amortization, net
|
(17
|
)
|
|
(306
|
)
|
|
44
|
|
|
(146
|
)
|
|
(39
|
)
|
|
8
|
|
|
—
|
|
|
—
|
|
||||||||
Ending balance
|
$
|
44,802
|
|
|
$
|
17,000
|
|
|
$
|
9,113
|
|
|
$
|
296,719
|
|
|
$
|
129,469
|
|
|
$
|
40,455
|
|
|
$
|
1,383,044
|
|
|
$
|
12
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Unrealized gains/(losses), net on assets held at the end of the period
(1)
|
$
|
257
|
|
|
$
|
(2
|
)
|
|
$
|
(29
|
)
|
|
$
|
(652
|
)
|
|
$
|
77
|
|
|
$
|
41
|
|
|
$
|
5,249
|
|
|
$
|
—
|
|
Unrealized gains/(losses), net on liabilities held at the end of the period
(2)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
(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.
|
|
March 31, 2019
|
|
December 31, 2018
|
||||||||||||
|
Carrying Value
|
|
Estimated Fair Value
|
|
Carrying Value
|
|
Estimated Fair Value
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Residential Bridge Loans
|
$
|
7,877
|
|
|
$
|
7,667
|
|
|
$
|
9,720
|
|
|
$
|
9,603
|
|
Total
|
$
|
7,877
|
|
|
$
|
7,667
|
|
|
$
|
9,720
|
|
|
$
|
9,603
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
||||||||
Borrowings under repurchase agreements
|
$
|
2,916,601
|
|
|
$
|
2,928,615
|
|
|
$
|
2,818,837
|
|
|
$
|
2,823,615
|
|
Convertible senior unsecured notes
|
110,389
|
|
|
110,090
|
|
|
110,060
|
|
|
108,531
|
|
||||
Total
|
$
|
3,026,990
|
|
|
$
|
3,038,705
|
|
|
$
|
2,928,897
|
|
|
$
|
2,932,146
|
|
|
March 31, 2019
|
|
|||||||||||||||||||||||||||||
|
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
(2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
$
|
10,801
|
|
|
$
|
1,394
|
|
|
$
|
(384
|
)
|
|
$
|
11,811
|
|
|
2.3
|
%
|
(1)
|
|||
Agency RMBS Interest-Only Strips, accounted for as derivatives
(1) (2)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
7,297
|
|
|
2.8
|
%
|
(1)
|
|||||||
Subtotal Agency RMBS
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
10,801
|
|
|
1,394
|
|
|
(384
|
)
|
|
19,108
|
|
|
2.5
|
%
|
|
|||||||
Agency CMBS
|
1,306,099
|
|
|
5,759
|
|
|
—
|
|
|
1,311,858
|
|
|
35,506
|
|
|
(4,215
|
)
|
|
1,343,149
|
|
|
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
|
|
|
3,908
|
|
|
0.4
|
%
|
(1)
|
|||||||
Subtotal Agency CMBS
|
1,306,099
|
|
|
5,759
|
|
|
—
|
|
|
1,311,858
|
|
|
35,506
|
|
|
(4,215
|
)
|
|
1,347,057
|
|
|
3.0
|
%
|
|
|||||||
Total Agency MBS
|
1,306,099
|
|
|
5,759
|
|
|
—
|
|
|
1,322,659
|
|
|
36,900
|
|
|
(4,599
|
)
|
|
1,366,165
|
|
|
2.9
|
%
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Non-Agency RMBS
|
54,465
|
|
|
6,584
|
|
|
(23,223
|
)
|
|
37,826
|
|
|
878
|
|
|
(525
|
)
|
|
38,179
|
|
|
4.8
|
%
|
|
|||||||
Non-Agency RMBS Interest- Only Strips
(1)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
10,423
|
|
|
7
|
|
|
(217
|
)
|
|
10,213
|
|
|
0.6
|
%
|
(1)
|
|||||||
Subtotal Non-Agency RMBS
|
54,465
|
|
|
6,584
|
|
|
(23,223
|
)
|
|
48,249
|
|
|
885
|
|
|
(742
|
)
|
|
48,392
|
|
|
1.0
|
%
|
|
|||||||
Non-Agency CMBS
|
211,344
|
|
|
(17,891
|
)
|
|
(19,679
|
)
|
|
173,774
|
|
|
3,214
|
|
|
(4,264
|
)
|
|
172,724
|
|
|
6.0
|
%
|
|
|||||||
Total Non-Agency MBS
|
265,809
|
|
|
(11,307
|
)
|
|
(42,902
|
)
|
|
222,023
|
|
|
4,099
|
|
|
(5,006
|
)
|
|
221,116
|
|
|
2.4
|
%
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Other securities
(3)
|
46,800
|
|
|
(1,664
|
)
|
|
(7,185
|
)
|
|
53,475
|
|
|
5,304
|
|
|
—
|
|
|
58,779
|
|
|
8.1
|
%
|
|
|||||||
Total
|
$
|
1,618,708
|
|
|
$
|
(7,212
|
)
|
|
$
|
(50,087
|
)
|
|
$
|
1,598,157
|
|
|
$
|
46,303
|
|
|
$
|
(9,605
|
)
|
|
$
|
1,646,060
|
|
|
2.8
|
%
|
|
|
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
|
%
|
(1)
|
|||
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
|
%
|
(1)
|
|||||||
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
(1)
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—%
|
|
(1)
|
|||||||
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
|
%
|
(1)
|
|||||||
Subtotal Agency CMBS
|
1,493,675
|
|
|
5,820
|
|
|
—
|
|
|
1,499,495
|
|
|
12,083
|
|
|
(29,594
|
)
|
|
1,486,142
|
|
|
3.0
|
%
|
|
|||||||
Total 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
|
%
|
(1)
|
|||||||
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
|
%
|
|
|||||||
Total 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
|
%
|
|
|
(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
March 31, 2019
, 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
$151.3 million
,
$508.2 million
,
$84.2 million
and
$171.3 million
, respectively. 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.
|
(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
$15.5 million
and
$17.0 million
, as of
March 31, 2019
and
December 31, 2018
, respectively.
|
|
Three months ended March 31, 2019
|
|
Three months ended March 31, 2018
|
||||||||||||||||||||
|
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)
|
||||||||||||
Balance at beginning of period
|
$
|
(53,523
|
)
|
|
$
|
(29,465
|
)
|
|
$
|
14,928
|
|
|
$
|
(72,915
|
)
|
|
$
|
(68,438
|
)
|
|
$
|
20,872
|
|
Accretion of discount
|
—
|
|
|
1,277
|
|
|
—
|
|
|
—
|
|
|
2,383
|
|
|
—
|
|
||||||
Amortization of premium
|
—
|
|
|
—
|
|
|
(481
|
)
|
|
—
|
|
|
—
|
|
|
(141
|
)
|
||||||
Realized credit losses
|
3,001
|
|
|
—
|
|
|
—
|
|
|
126
|
|
|
—
|
|
|
—
|
|
||||||
Purchases
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,182
|
)
|
|
(6,473
|
)
|
|
435
|
|
||||||
Sales
|
2,694
|
|
|
—
|
|
|
(523
|
)
|
|
2,574
|
|
|
787
|
|
|
(130
|
)
|
||||||
Net impairment losses recognized in earnings
|
(966
|
)
|
|
—
|
|
|
—
|
|
|
(2,746
|
)
|
|
—
|
|
|
—
|
|
||||||
Transfers/release of credit reserve
(2)
|
(1,293
|
)
|
|
556
|
|
|
737
|
|
|
669
|
|
|
(1,127
|
)
|
|
458
|
|
||||||
Balance at end of period
|
$
|
(50,087
|
)
|
|
$
|
(27,632
|
)
|
|
$
|
14,661
|
|
|
$
|
(79,474
|
)
|
|
$
|
(72,868
|
)
|
|
$
|
21,494
|
|
|
(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.
|
|
March 31, 2019
|
|||||||||||||||||||||||||||||||
|
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
|
$
|
1,285
|
|
|
$
|
(58
|
)
|
|
4
|
|
|
$
|
4,868
|
|
|
$
|
(326
|
)
|
|
11
|
|
|
$
|
6,153
|
|
|
$
|
(384
|
)
|
|
15
|
|
Agency CMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
368,064
|
|
|
(4,215
|
)
|
|
30
|
|
|
368,064
|
|
|
(4,215
|
)
|
|
30
|
|
||||||
Subtotal Agency
|
1,285
|
|
|
(58
|
)
|
|
4
|
|
|
372,932
|
|
|
(4,541
|
)
|
|
41
|
|
|
374,217
|
|
|
(4,599
|
)
|
|
45
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Non-Agency RMBS
|
13,084
|
|
|
(525
|
)
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
13,084
|
|
|
(525
|
)
|
|
1
|
|
||||||
Non-Agency RMBS Interest-Only Strips
|
4,286
|
|
|
(217
|
)
|
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,286
|
|
|
(217
|
)
|
|
3
|
|
||||||
Non-Agency CMBS
|
36,738
|
|
|
(387
|
)
|
|
12
|
|
|
47,263
|
|
|
(3,877
|
)
|
|
6
|
|
|
84,001
|
|
|
(4,264
|
)
|
|
18
|
|
||||||
Subtotal Non-Agency
|
54,108
|
|
|
(1,129
|
)
|
|
16
|
|
|
47,263
|
|
|
(3,877
|
)
|
|
6
|
|
|
101,371
|
|
|
(5,006
|
)
|
|
22
|
|
||||||
Total
|
$
|
55,393
|
|
|
$
|
(1,187
|
)
|
|
20
|
|
|
$
|
420,195
|
|
|
$
|
(8,418
|
)
|
|
47
|
|
|
$
|
475,588
|
|
|
$
|
(9,605
|
)
|
|
67
|
|
|
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
|
|
|
Three months ended March 31, 2019
|
|
Three months ended March 31, 2018
|
||||
Agency RMBS
|
$
|
25
|
|
|
$
|
142
|
|
Non-Agency RMBS
|
241
|
|
|
91
|
|
||
Non-Agency CMBS
|
966
|
|
|
2,683
|
|
||
Total
|
$
|
1,232
|
|
|
$
|
2,916
|
|
|
For the three months ended March 31, 2019
|
|
For the three months ended March 31, 2018
|
||||||||||||||||||||
|
Coupon
Interest
|
|
Net (Premium Amortization/Amortization Basis) Discount Amortization
|
|
Interest
Income
|
|
Coupon
Interest
|
|
Net (Premium Amortization/Amortization Basis) Discount Amortization
|
|
Interest
Income
|
||||||||||||
Agency RMBS
|
$
|
871
|
|
|
$
|
(655
|
)
|
|
$
|
216
|
|
|
$
|
7,124
|
|
|
$
|
(1,269
|
)
|
|
$
|
5,855
|
|
Agency CMBS
|
10,989
|
|
|
(56
|
)
|
|
10,933
|
|
|
15,998
|
|
|
120
|
|
|
16,118
|
|
||||||
Non-Agency RMBS
|
1,207
|
|
|
(477
|
)
|
|
730
|
|
|
1,420
|
|
|
132
|
|
|
1,552
|
|
||||||
Non-Agency CMBS
|
3,111
|
|
|
924
|
|
|
4,035
|
|
|
4,813
|
|
|
1,896
|
|
|
6,709
|
|
||||||
Other securities
|
2,889
|
|
|
(1,591
|
)
|
|
1,298
|
|
|
3,756
|
|
|
(1,362
|
)
|
|
2,394
|
|
||||||
Total
|
$
|
19,067
|
|
|
$
|
(1,855
|
)
|
|
$
|
17,212
|
|
|
$
|
33,111
|
|
|
$
|
(483
|
)
|
|
$
|
32,628
|
|
|
|
For the three months ended March 31, 2019
|
|
For the three months ended March 31, 2018
|
||||||||||||||||||||||||||||
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
||||||||||||||||
Agency RMBS
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,250
|
|
|
$
|
18
|
|
|
$
|
—
|
|
|
$
|
18
|
|
Agency CMBS
|
206,710
|
|
|
—
|
|
|
(4,189
|
)
|
|
(4,189
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Non-Agency RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,200
|
|
|
894
|
|
|
—
|
|
|
894
|
|
||||||||
Non-Agency CMBS
|
9,000
|
|
|
—
|
|
|
(829
|
)
|
|
(829
|
)
|
|
6,321
|
|
|
61
|
|
|
(398
|
)
|
|
(337
|
)
|
||||||||
Total
|
$
|
215,710
|
|
|
$
|
—
|
|
|
$
|
(5,018
|
)
|
|
$
|
(5,018
|
)
|
|
$
|
11,771
|
|
|
$
|
973
|
|
|
$
|
(398
|
)
|
|
$
|
575
|
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Cash and cash equivalents
|
$
|
3,089
|
|
|
$
|
674
|
|
Residential Whole Loans, at fair value ($1,267,163 and $1,041,885 pledged as collateral, at fair value, respectively)
|
1,267,163
|
|
|
1,041,885
|
|
||
Residential Bridge Loans ($143,352 and $211,766 at fair value and $151,228 and $221,486 pledged as collateral, respectively)
|
151,228
|
|
|
221,486
|
|
||
Commercial loan, at fair value
|
—
|
|
|
30,000
|
|
||
Investment related receivable
|
32,441
|
|
|
42,945
|
|
||
Interest receivable
|
12,560
|
|
|
11,807
|
|
||
Other assets
|
155
|
|
|
178
|
|
||
Total assets
|
$
|
1,466,636
|
|
|
$
|
1,348,975
|
|
Accounts payable and accrued expenses
|
$
|
601
|
|
|
$
|
677
|
|
Other liabilities
|
56
|
|
|
225
|
|
||
Total liabilities
|
$
|
657
|
|
|
$
|
902
|
|
|
Residential Whole Loans, at Fair Value
|
|
Residential Bridge Loans, at Fair Value
(1)
|
|
Residential Bridge Loans, at Amortized Cost
(1)
|
||||||||||||||||||
|
March 31, 2019
|
|
December 31, 2018
|
|
March 31, 2019
|
|
December 31, 2018
|
|
March 31, 2019
|
|
December 31, 2018
|
||||||||||||
Principal balance
|
$
|
1,238,461
|
|
|
$
|
1,023,524
|
|
|
$
|
145,806
|
|
|
$
|
212,491
|
|
|
$
|
8,061
|
|
|
$
|
9,766
|
|
Unamortized premium
|
22,308
|
|
|
17,629
|
|
|
512
|
|
|
1,164
|
|
|
11
|
|
|
16
|
|
||||||
Unamortized discount
|
(3,371
|
)
|
|
(3,145
|
)
|
|
(118
|
)
|
|
(316
|
)
|
|
(37
|
)
|
|
(62
|
)
|
||||||
Amortized cost
|
1,257,398
|
|
|
1,038,008
|
|
|
146,200
|
|
|
213,339
|
|
|
8,035
|
|
|
9,720
|
|
||||||
Gross unrealized gains
|
12,822
|
|
|
7,573
|
|
|
151
|
|
|
212
|
|
|
N/A
|
|
|
N/A
|
|
||||||
Gross unrealized losses
|
(3,057
|
)
|
|
(3,696
|
)
|
|
(2,181
|
)
|
|
(1,552
|
)
|
|
N/A
|
|
|
N/A
|
|
||||||
Fair value
|
$
|
1,267,163
|
|
|
$
|
1,041,885
|
|
|
$
|
144,170
|
|
|
$
|
211,999
|
|
|
N/A
|
|
|
N/A
|
|
|
March 31, 2019
|
|||||||||||||||||||
|
|
|
|
|
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%
|
64
|
|
|
$
|
21,434
|
|
|
61.6
|
%
|
|
738
|
|
|
5.3
|
|
28.8
|
|
3.9
|
%
|
4.01– 5.00%
|
1,335
|
|
|
464,936
|
|
|
62.4
|
%
|
|
739
|
|
|
2.7
|
|
28.8
|
|
4.8
|
%
|
|
5.01 – 6.00%
|
1,748
|
|
|
722,993
|
|
|
63.2
|
%
|
|
733
|
|
|
2.1
|
|
28.6
|
|
5.5
|
%
|
|
6.01 – 7.00%
|
72
|
|
|
28,650
|
|
|
60.5
|
%
|
|
730
|
|
|
1.7
|
|
26.6
|
|
6.1
|
%
|
|
7.01 - 8.00%
|
1
|
|
|
355
|
|
|
70.0
|
%
|
|
777
|
|
|
1.6
|
|
28.8
|
|
7.2
|
%
|
|
8.01 - 9.00%
|
1
|
|
|
93
|
|
|
70.0
|
%
|
|
689
|
|
|
1.6
|
|
28.8
|
|
8.4
|
%
|
|
Total
|
3,221
|
|
|
$
|
1,238,461
|
|
|
62.8
|
%
|
|
735
|
|
|
2.4
|
|
28.6
|
|
5.2
|
%
|
|
(1)
|
The original FICO score is not available for
288
loans with a principal balance of approximately
$97.9 million
at
March 31, 2019
. The Company has excluded these loans from the weighted average computations.
|
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.
|
March 31, 2019
|
|
December 31, 2018
|
||||||||||||
State
|
State Concentration
|
|
Principal Balance
|
|
State
|
State Concentration
|
|
Principal Balance
|
||||||
California
|
71.2
|
%
|
|
$
|
881,928
|
|
|
California
|
67.1
|
%
|
|
$
|
686,275
|
|
New York
|
14.0
|
%
|
|
172,913
|
|
|
New York
|
17.1
|
%
|
|
175,390
|
|
||
Georgia
|
2.3
|
%
|
|
28,738
|
|
|
Georgia
|
2.6
|
%
|
|
26,918
|
|
||
Florida
|
2.3
|
%
|
|
28,109
|
|
|
Massachusetts
|
2.1
|
%
|
|
21,197
|
|
||
New Jersey
|
1.8
|
%
|
|
22,135
|
|
|
Florida
|
1.9
|
%
|
|
19,942
|
|
||
Other
|
8.4
|
%
|
|
104,638
|
|
|
Other
|
9.2
|
%
|
|
93,802
|
|
||
Total
|
100.0
|
%
|
|
$
|
1,238,461
|
|
|
Total
|
100.0
|
%
|
|
$
|
1,023,524
|
|
March 31, 2019
|
||||||||||||||
|
|
|
|
|
|
Weighted Average
|
||||||||
Current Coupon Rate
|
|
Number of Loans
|
|
Principal
Balance
|
|
Original LTV
|
|
Contractual
Maturity
(months)
|
|
Coupon
Rate
|
||||
6.01 – 7.00%
|
|
5
|
|
$
|
1,773
|
|
|
51.4
|
%
|
|
1.4
|
|
7.0
|
%
|
7.01 – 8.00%
|
|
55
|
|
35,312
|
|
|
70.9
|
%
|
|
4.9
|
|
7.7
|
%
|
|
8.01 – 9.00%
|
|
119
|
|
60,054
|
|
|
72.9
|
%
|
|
4.7
|
|
8.7
|
%
|
|
9.01 – 10.00%
|
|
101
|
|
39,780
|
|
|
73.8
|
%
|
|
3.4
|
|
9.8
|
%
|
|
10.01 – 11.00%
|
|
29
|
|
7,034
|
|
|
73.7
|
%
|
|
2.2
|
|
10.7
|
%
|
|
11.01 – 12.00%
|
|
19
|
|
4,730
|
|
|
62.8
|
%
|
|
2.0
|
|
11.3
|
%
|
|
12.01 – 13.00%
|
|
8
|
|
2,271
|
|
|
77.0
|
%
|
|
3.0
|
|
12.9
|
%
|
|
17.01 – 18.00%
|
|
9
|
|
2,913
|
|
|
73.6
|
%
|
|
3.2
|
|
18.0
|
%
|
|
Total
|
|
345
|
|
$
|
153,867
|
|
|
72.2
|
%
|
|
4.2
|
|
9.1
|
%
|
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
|
%
|
March 31, 2019
|
|
December 31, 2018
|
||||||||||||
State
|
Concentration
|
|
Principal Balance
|
|
State
|
Concentration
|
|
Principal Balance
|
||||||
California
|
50.6
|
%
|
|
$
|
77,901
|
|
|
California
|
53.9
|
%
|
|
$
|
119,761
|
|
New York
|
11.2
|
%
|
|
17,190
|
|
|
New York
|
9.5
|
%
|
|
21,160
|
|
||
Washington
|
8.4
|
%
|
|
12,866
|
|
|
Washington
|
6.6
|
%
|
|
14,711
|
|
||
Florida
|
5.2
|
%
|
|
7,961
|
|
|
Florida
|
5.7
|
%
|
|
12,672
|
|
||
New Jersey
|
4.9
|
%
|
|
7,589
|
|
|
New Jersey
|
4.7
|
%
|
|
10,419
|
|
||
Other
|
19.7
|
%
|
|
30,360
|
|
|
Other
|
19.6
|
%
|
|
43,534
|
|
||
Total
|
100.0
|
%
|
|
$
|
153,867
|
|
|
Total
|
100.0
|
%
|
|
$
|
222,257
|
|
Loan
|
Acquisition Date
|
Loan Type
|
Principal Balance
|
Fair Value
|
LTV
|
Interest Rate
|
Maturity Date
|
Extension Option
|
Collateral
|
||||
CRE 1
|
March 2018
|
Interest-Only Mezzanine loan
|
$
|
20,000
|
|
$
|
20,000
|
|
71%
|
1-Month LIBOR plus 6.5%
|
12/9/2019
|
Three One-Year Extensions
|
Hotel
|
CRE 2
|
June 2018
|
Interest-Only First Mortgage
|
30,000
|
|
30,000
|
|
65%
|
1-Month LIBOR plus 4.5%
|
6/9/2020
|
One-Year Extension
|
Hotel
|
||
CRE 3
|
February 2019
|
Principal & Interest First Mortgage
|
75,834
|
|
75,834
|
|
63%
|
1-Month LIBOR plus 7.0%
|
1/9/2021
|
One-Year Extension
|
Health Care and Rehabilitation Centers
|
||
|
|
|
$
|
125,834
|
|
$
|
125,834
|
|
|
|
|
|
|
|
Acquisition Date
|
Loan Type
|
Principal Balance
|
Fair Value
|
LTV
|
Interest Rate
|
Maturity Date
|
Extension Option
|
Collateral
|
||||
SBC 1
|
July 2018
|
Interest-Only First Mortgage
|
$
|
45,187
|
|
$
|
45,187
|
|
74%
|
One-Month LIBOR plus 4.25%
(1)
|
7/6/2020
|
Two One-Year Extensions
|
Nursing Facilities
|
SBC 2
|
September and October 2018
(4)
|
Interest-Only First Mortgage
|
115,500
|
|
115,212
|
|
78%
|
One-Month LIBOR plus 5.3%
(2)
|
9/6/2021
|
One-Year Extension
|
Assisted Care Living Facilities
|
||
SBC 3
|
November 2018
|
Interest-Only First Mortgage
|
5,745
|
|
5,745
|
|
59%
|
One-Month LIBOR plus 5.25%
|
12/1/2020
|
One-Year Extension
|
Nursing Facilities
|
||
SBC 4
|
January 2019
|
Interest-Only First Mortgage
|
13,600
|
|
13,600
|
|
84%
|
One-Month LIBOR plus 4.0%
(3)
|
12/1/2021
|
One-Year Extension
|
Apartment Complex
|
||
SBC 5
|
January 2019
|
Interest-Only First Mortgage
|
32,000
|
|
32,000
|
|
49%
|
One-Month LIBOR plus 4.1%
|
7/6/2021
|
None
|
Nursing Facilities
|
||
|
|
|
$
|
212,032
|
|
$
|
211,744
|
|
|
|
|
|
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Cash
|
$
|
420
|
|
|
$
|
—
|
|
Restricted cash
|
71,178
|
|
|
55,808
|
|
||
Securitized commercial loans, at fair value
|
929,474
|
|
|
1,013,511
|
|
||
Commercial Loans, at fair value
|
211,744
|
|
|
166,123
|
|
||
Interest receivable
|
1,732
|
|
|
3,733
|
|
||
Total assets
|
$
|
1,214,548
|
|
|
$
|
1,239,175
|
|
Securitized debt, at fair value
|
$
|
850,448
|
|
|
$
|
949,626
|
|
Interest payable
|
378
|
|
|
2,419
|
|
||
Accounts payable and accrued expenses
|
32
|
|
|
31
|
|
||
Other liabilities
|
71,178
|
|
|
55,808
|
|
||
Total liabilities
|
$
|
922,036
|
|
|
$
|
1,007,884
|
|
|
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
|
||||||||||||||||||||||||
|
March 31, 2019
|
|
December 31, 2018
|
|
March 31, 2019
|
|
December 31, 2018
|
|
March 31, 2019
|
|
December 31, 2018
|
|
March 31, 2019
|
|
December 31, 2018
|
||||||||||||||||
Principal balance
|
$
|
24,352
|
|
|
$
|
24,456
|
|
|
$
|
900,000
|
|
|
$
|
988,609
|
|
|
$
|
212,032
|
|
|
$
|
166,432
|
|
|
$
|
125,834
|
|
|
$
|
50,000
|
|
Unamortized premium
|
—
|
|
|
—
|
|
|
3,758
|
|
|
431
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Unamortized discount
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(799
|
)
|
|
(736
|
)
|
|
(343
|
)
|
|
(205
|
)
|
||||||||
Amortized cost
|
24,352
|
|
|
24,456
|
|
|
903,758
|
|
|
989,040
|
|
|
211,233
|
|
|
165,696
|
|
|
125,491
|
|
|
49,795
|
|
||||||||
Gross unrealized gains
|
65
|
|
|
—
|
|
|
1,299
|
|
|
29
|
|
|
511
|
|
|
427
|
|
|
343
|
|
|
205
|
|
||||||||
Gross unrealized losses
|
—
|
|
|
(14
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Fair value
|
$
|
24,417
|
|
|
$
|
24,442
|
|
|
$
|
905,057
|
|
|
$
|
989,069
|
|
|
$
|
211,744
|
|
|
$
|
166,123
|
|
|
$
|
125,834
|
|
|
$
|
50,000
|
|
|
|
March 31, 2019
|
|
December 31, 2018
|
|||||||||||||||
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)
|
|||||||
Short Term Borrowings:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Agency RMBS
|
|
$
|
14,008
|
|
|
3.21
|
%
|
|
26
|
|
$
|
14,650
|
|
|
3.09
|
%
|
|
21
|
|
Agency CMBS
|
|
1,230,053
|
|
|
2.70
|
%
|
|
48
|
|
1,392,649
|
|
|
2.71
|
%
|
|
40
|
|
||
Non-Agency RMBS
|
|
30,954
|
|
|
4.12
|
%
|
|
16
|
|
30,922
|
|
|
4.06
|
%
|
|
18
|
|
||
Non-Agency CMBS
|
|
108,417
|
|
|
4.11
|
%
|
|
44
|
|
134,814
|
|
|
4.05
|
%
|
|
48
|
|
||
Residential Whole Loans
(1)
|
|
435,653
|
|
|
3.90
|
%
|
|
113
|
|
863,356
|
|
|
4.08
|
%
|
|
93
|
|
||
Residential Bridge Loans
(1)
|
|
139,992
|
|
|
4.77
|
%
|
|
26
|
|
204,754
|
|
|
4.50
|
%
|
|
25
|
|
||
Commercial loans
(1)
|
|
137,822
|
|
|
4.84
|
%
|
|
33
|
|
131,788
|
|
|
4.55
|
%
|
|
26
|
|
||
Securitized commercial loans
(1)
|
|
24,513
|
|
|
3.68
|
%
|
|
21
|
|
7,543
|
|
|
4.30
|
%
|
|
15
|
|
||
Other securities
|
|
37,127
|
|
|
4.31
|
%
|
|
26
|
|
38,361
|
|
|
4.18
|
%
|
|
26
|
|
||
Subtotal
|
|
2,158,539
|
|
|
3.35
|
%
|
|
57
|
|
2,818,837
|
|
|
3.45
|
%
|
|
54
|
|
||
Long Term Borrowings:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Residential Whole Loans
(1) (2)
|
|
692,963
|
|
|
4.24
|
%
|
|
785
|
|
—
|
|
|
—
|
%
|
|
—
|
|
||
Commercial loans
(2)
|
|
65,099
|
|
|
5.02
|
%
|
|
500
|
|
—
|
|
|
—
|
%
|
|
—
|
|
||
Subtotal
|
|
$
|
758,062
|
|
|
4.31
|
%
|
|
761
|
|
$
|
—
|
|
|
—
|
%
|
|
—
|
|
Total
|
|
$
|
2,916,601
|
|
|
3.60
|
%
|
|
240
|
|
$
|
2,818,837
|
|
|
3.45
|
%
|
|
54
|
|
|
(1)
|
Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation.
|
(2)
|
Certain Residential Whole Loans and Commercial Loans were financed under two new longer term repurchase agreements. The Company entered into a
$700.0 million
residential and
$150.0 million
commercial facility. These facilities automatically roll until such time as they are terminated or until certain conditions of default. The weighted average remaining maturity days was calculated using expected weighted life of the underlying collateral.
|
(dollars in thousands)
|
March 31, 2019
|
|
December 31, 2018
|
||||
Overnight
|
$
|
—
|
|
|
$
|
—
|
|
1 to 29 days
|
931,323
|
|
|
1,867,957
|
|
||
30 to 59 days
|
413,822
|
|
|
144,778
|
|
||
60 to 89 days
|
569,887
|
|
|
555,695
|
|
||
90 to 119 days
|
—
|
|
|
—
|
|
||
Greater than or equal to 120 days
|
1,001,569
|
|
|
250,407
|
|
||
Total
|
$
|
2,916,601
|
|
|
$
|
2,818,837
|
|
|
|
March 31, 2019
|
|||||||
Counterparty
|
|
Amount of Collateral at Risk, at fair value
|
|
Weighted Average Remaining Maturity (days)
|
|
Percentage of Stockholders’ Equity
|
|||
Credit Suisse AG, Cayman Islands Branch
(1)
|
|
$
|
134,708
|
|
|
760
|
|
26.1
|
%
|
Nomura Securities International, Inc.
|
|
125,273
|
|
|
40
|
|
24.3
|
%
|
|
|
March 31, 2019
|
|
December 31, 2018
|
||||||||||||||||||||
|
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
|
$
|
19,107
|
|
|
$
|
437
|
|
|
$
|
19,544
|
|
|
$
|
19,837
|
|
|
$
|
453
|
|
|
$
|
20,290
|
|
Agency CMBS, at fair value
|
1,322,656
|
|
|
3,707
|
|
|
1,326,363
|
|
|
1,486,142
|
|
|
4,262
|
|
|
1,490,404
|
|
||||||
Non-Agency RMBS, at fair value
|
48,392
|
|
|
478
|
|
|
48,870
|
|
|
50,555
|
|
|
479
|
|
|
51,034
|
|
||||||
Non-Agency CMBS, at fair value
|
143,687
|
|
|
721
|
|
|
144,408
|
|
|
186,552
|
|
|
915
|
|
|
187,467
|
|
||||||
Residential Whole Loans, at fair value
(1)
|
1,267,163
|
|
|
9,962
|
|
|
1,277,125
|
|
|
1,041,885
|
|
|
8,145
|
|
|
1,050,030
|
|
||||||
Residential Bridge Loans
(1)
|
151,228
|
|
|
2,599
|
|
|
153,827
|
|
|
221,486
|
|
|
3,528
|
|
|
225,014
|
|
||||||
Commercial Loans, at fair value
(1)
|
317,744
|
|
|
1,811
|
|
|
319,555
|
|
|
196,123
|
|
|
1,067
|
|
|
197,190
|
|
||||||
Securitized commercial loans, at fair value
(1)
|
33,725
|
|
|
96
|
|
|
33,821
|
|
|
13,688
|
|
|
88
|
|
|
13,776
|
|
||||||
Other securities, at fair value
|
58,653
|
|
|
116
|
|
|
58,769
|
|
|
59,780
|
|
|
147
|
|
|
59,927
|
|
||||||
Cash
(2)
|
7,656
|
|
|
—
|
|
|
7,656
|
|
|
1,226
|
|
|
—
|
|
|
1,226
|
|
||||||
Total
|
$
|
3,370,011
|
|
|
$
|
19,927
|
|
|
$
|
3,389,938
|
|
|
$
|
3,277,274
|
|
|
$
|
19,084
|
|
|
$
|
3,296,358
|
|
|
(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
|
$
|
445,100
|
|
3.6%
|
$
|
445,378
|
|
3/15/2021
|
Class B
|
101,200
|
|
4.0%
|
101,421
|
|
3/15/2021
|
||
Class C
|
308,400
|
|
4.6%
|
309,188
|
|
3/15/2021
|
||
Class HRR
|
45,300
|
|
11.0%
|
45,301
|
|
3/15/2021
|
||
Class X-CP
(1)
|
N/A
|
|
1.2%
|
3,738
|
|
4/15/2020
|
||
Class X-EXT
(1)
|
N/A
|
|
—%
|
31
|
|
3/15/2021
|
||
|
$
|
900,000
|
|
|
$
|
905,057
|
|
|
|
|
|
|
|
|
|
March 31, 2019
|
|
December 31, 2018
|
|||||||||||||
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
|
|
$
|
2,945,600
|
|
|
$
|
5,826
|
|
|
$
|
1,128,400
|
|
|
$
|
2,057
|
|
|
Credit default swaps, asset
|
|
Non-Hedge
|
|
Derivative assets, at fair value
|
|
—
|
|
|
—
|
|
|
50,000
|
|
|
549
|
|
|
||||
Total derivative instruments, assets
|
|
|
|
|
|
|
|
|
5,826
|
|
|
|
|
2,606
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps, liability
|
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
728,400
|
|
|
(1,996
|
)
|
|
2,727,800
|
|
|
(5,473
|
)
|
|
||||
Futures contracts, liability
|
|
Non-Hedge
|
|
Derivative liability, at fair value
|
|
—
|
|
|
—
|
|
|
300,400
|
|
|
(4,657
|
)
|
|
||||
Total derivative instruments, liabilities
|
|
|
|
|
|
|
|
|
(1,996
|
)
|
|
|
|
(10,130
|
)
|
|
|||||
Total derivative instruments, net
|
|
|
|
|
|
|
|
|
$
|
3,830
|
|
|
|
|
$
|
(7,524
|
)
|
|
|
|
Realized Gain (Loss), net
|
|
|
|
|
|
|
|
|
||||||||||||||
Description
|
|
Other Settlements / Expirations
|
|
Variation Margin Settlement
|
|
Return (Recovery) of Basis
|
|
Mark-to-Market
|
|
Contractual interest income (expense), net
(1)
|
|
Total
|
||||||||||||
Three months ended March 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
|
|
$
|
(3
|
)
|
|
$
|
(37,838
|
)
|
|
$
|
1,528
|
|
|
$
|
7,090
|
|
|
$
|
2,755
|
|
|
$
|
(26,468
|
)
|
Interest-Only Strips— accounted for as derivatives
|
|
—
|
|
|
—
|
|
|
(595
|
)
|
|
(59
|
)
|
|
784
|
|
|
130
|
|
||||||
Futures contracts
|
|
(4,503
|
)
|
|
—
|
|
|
—
|
|
|
4,657
|
|
|
—
|
|
|
154
|
|
||||||
Credit default swaps
|
|
(589
|
)
|
|
—
|
|
|
—
|
|
|
(375
|
)
|
|
—
|
|
|
(964
|
)
|
||||||
Total
|
|
$
|
(5,095
|
)
|
|
$
|
(37,838
|
)
|
|
$
|
933
|
|
|
$
|
11,313
|
|
|
$
|
3,539
|
|
|
$
|
(27,148
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Three months ended March 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
|
|
$
|
(5
|
)
|
|
$
|
76,230
|
|
|
$
|
81
|
|
|
$
|
68
|
|
|
$
|
(1,137
|
)
|
|
$
|
75,237
|
|
Interest-Only Strips— accounted for as derivatives
|
|
—
|
|
|
—
|
|
|
(1,191
|
)
|
|
66
|
|
|
1,422
|
|
|
297
|
|
||||||
Options
|
|
(418
|
)
|
|
—
|
|
|
—
|
|
|
212
|
|
|
—
|
|
|
(206
|
)
|
||||||
Futures contracts
|
|
3,978
|
|
|
—
|
|
|
—
|
|
|
502
|
|
|
—
|
|
|
4,480
|
|
||||||
Credit default swap
|
|
(19
|
)
|
|
—
|
|
|
—
|
|
|
(15
|
)
|
|
—
|
|
|
(34
|
)
|
||||||
TBAs
|
|
(667
|
)
|
|
—
|
|
|
—
|
|
|
475
|
|
|
—
|
|
|
(192
|
)
|
||||||
Total
|
|
$
|
2,869
|
|
|
$
|
76,230
|
|
|
$
|
(1,110
|
)
|
|
$
|
1,308
|
|
|
$
|
285
|
|
|
$
|
79,582
|
|
|
|
March 31, 2019
|
||||||||||
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
|
%
|
|
2.6
|
%
|
|
0.3
|
Greater than 1 year and less than 3 years
|
|
200,000
|
|
|
1.8
|
%
|
|
2.7
|
%
|
|
1.2
|
|
Greater than 3 years and less than 5 years
|
|
924,700
|
|
|
2.2
|
%
|
|
2.8
|
%
|
|
3.4
|
|
Greater than 5 years
|
|
1,420,900
|
|
|
2.5
|
%
|
|
2.8
|
%
|
|
9.7
|
|
Total
|
|
$
|
2,945,600
|
|
|
2.2
|
%
|
|
2.7
|
%
|
|
5.8
|
|
|
March 31, 2019
|
||||||||||
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
|
|
|
2.8
|
%
|
|
2.4
|
%
|
|
8.1
|
Total
|
|
$
|
728,400
|
|
|
2.8
|
%
|
|
2.4
|
%
|
|
8.1
|
|
|
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
|
|
|
March 31, 2019
|
||||||||||||||||||||||
|
|
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
|
|
Net Amount
|
||||||||||||||
Description
|
|
|
|
|
Financial
Instruments
(1)
|
|
Cash
Collateral
(1)
|
|
||||||||||||||||
Derivative Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
|
|
$
|
11,205
|
|
|
$
|
—
|
|
|
$
|
11,205
|
|
|
$
|
(11,205
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
Interest rate swap asset, at fair value
|
|
5,826
|
|
|
—
|
|
|
5,826
|
|
|
(1,996
|
)
|
|
—
|
|
|
3,830
|
|
||||||
Total derivative assets
|
|
$
|
17,031
|
|
|
$
|
—
|
|
|
$
|
17,031
|
|
|
$
|
(13,201
|
)
|
|
$
|
—
|
|
|
$
|
3,830
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative Liabilities and Repurchase Agreements
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swap liability, at fair value
(2)
|
|
$
|
1,996
|
|
|
$
|
—
|
|
|
$
|
1,996
|
|
|
$
|
(1,996
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
Repurchase Agreements
(3)
|
|
2,916,601
|
|
|
—
|
|
|
2,916,601
|
|
|
(2,916,601
|
)
|
|
—
|
|
|
—
|
|
||||||
Total derivative liability
|
|
$
|
2,918,597
|
|
|
$
|
—
|
|
|
$
|
2,918,597
|
|
|
$
|
(2,918,597
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
(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)
|
Cash collateral pledged against the Company’s derivative counterparties was approximately
$30.4 million
as of
March 31, 2019
.
|
(3)
|
The carrying value of investments pledged against the Company’s repurchase agreements was approximately
$3.4 billion
as of
March 31, 2019
.
|
|
|
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
|
|
Net Amount
|
||||||||||||||
|
|
|
|
|
Financial
Instruments
(1)
|
|
Cash
Collateral
(1)
|
|
||||||||||||||||
Derivative Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Agency and Non-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 Pledged column of the tables above represents amounts pledged 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
.
|
|
Shares of
Restricted Stock
|
|
Weighted Average
Grant Date Fair
Value
(1)
|
|||
Outstanding at beginning of period
|
753,973
|
|
|
$
|
16.77
|
|
Granted
(2)
|
108,888
|
|
|
10.50
|
|
|
Cancelled/forfeited
|
—
|
|
|
—
|
|
|
Outstanding at end of period
|
862,861
|
|
|
$
|
15.98
|
|
Unvested at end of period
|
136,364
|
|
|
$
|
10.56
|
|
|
(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
888
shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan.
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Amount per Share
|
|
Tax Characterization
|
||
2019
|
|
|
|
|
|
|
|
|
|
|
March 21, 2019
|
|
April 1, 2019
|
|
April 26, 2019
|
|
$
|
0.31
|
|
|
Not yet determined
|
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
|
|
For the three months ended March 31, 2019
|
|
For the three months ended March 31, 2018
|
||||
Numerator
:
|
|
|
|
|
|
||
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share
|
$
|
27,876
|
|
|
$
|
21,729
|
|
Less:
|
|
|
|
|
|
||
Dividends and undistributed earnings allocated to participating securities
|
70
|
|
|
63
|
|
||
Net income allocable to common stockholders — basic and diluted
|
$
|
27,806
|
|
|
$
|
21,666
|
|
|
|
|
|
||||
Denominator
:
|
|
|
|
|
|
||
Weighted average common shares outstanding for basic earnings per share
|
48,116,379
|
|
|
41,723,937
|
|
||
Weighted average common shares outstanding for diluted earnings per share
|
48,116,379
|
|
|
41,723,937
|
|
||
Basic earnings per common share
|
$
|
0.58
|
|
|
$
|
0.52
|
|
Diluted earnings per common share
|
$
|
0.58
|
|
|
$
|
0.52
|
|
Collateral
|
|
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)
|
|
15.0%
|
|
45.0%
|
|
n/a
|
|
|
|
Balance at
|
|
|
|
Principal Payments and Basis Recovery
|
|
Proceeds from
Sales
|
|
Realized Gain/(Loss)
|
|
Unrealized Gain/(loss)
|
|
Premium and discount amortization, net
|
|
|
|
Balance at
|
||||||||||||||||||
Investment Type
|
|
December 31, 2018
|
|
Purchases
|
|
|
|
|
|
|
OTTI
|
|
March 31, 2019
|
|||||||||||||||||||||||
Agency RMBS and Agency RMBS IOs
|
|
$
|
19,837
|
|
|
$
|
—
|
|
|
$
|
(1,091
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
387
|
|
|
$
|
—
|
|
|
$
|
(25
|
)
|
|
$
|
19,108
|
|
Non-Agency RMBS
|
|
50,555
|
|
|
—
|
|
|
(742
|
)
|
|
—
|
|
|
—
|
|
|
(1,193
|
)
|
|
13
|
|
|
(241
|
)
|
|
48,392
|
|
|||||||||
Agency CMBS and Agency CMBS IOs
|
|
1,486,142
|
|
|
24,175
|
|
|
(1,016
|
)
|
|
(206,710
|
)
|
|
(4,189
|
)
|
|
48,779
|
|
|
(57
|
)
|
|
(67
|
)
|
|
1,347,057
|
|
|||||||||
Non-Agency CMBS
|
|
200,301
|
|
|
—
|
|
|
(14,280
|
)
|
|
(9,000
|
)
|
|
(829
|
)
|
|
(3,427
|
)
|
|
925
|
|
|
(966
|
)
|
|
172,724
|
|
|||||||||
Other securities
(1)
|
|
59,906
|
|
|
—
|
|
|
(218
|
)
|
|
—
|
|
|
—
|
|
|
682
|
|
|
(1,591
|
)
|
|
—
|
|
|
58,779
|
|
|||||||||
Total MBS and other securities
|
|
1,816,741
|
|
|
24,175
|
|
|
(17,347
|
)
|
|
(215,710
|
)
|
|
(5,018
|
)
|
|
45,228
|
|
|
(710
|
)
|
|
(1,299
|
)
|
|
1,646,060
|
|
|||||||||
Residential Whole Loans
|
|
1,041,885
|
|
|
249,197
|
|
|
(29,609
|
)
|
|
—
|
|
|
—
|
|
|
5,887
|
|
|
(197
|
)
|
|
—
|
|
|
1,267,163
|
|
|||||||||
Residential Bridge Loans
|
|
221,719
|
|
|
—
|
|
|
(68,303
|
)
|
|
—
|
|
|
(87
|
)
|
|
(672
|
)
|
|
(452
|
)
|
|
—
|
|
|
152,205
|
|
|||||||||
Commercial Loans
|
|
216,123
|
|
|
121,189
|
|
|
(165
|
)
|
|
—
|
|
|
—
|
|
|
223
|
|
|
208
|
|
|
—
|
|
|
337,578
|
|
|||||||||
Securitized commercial loan
|
|
1,013,511
|
|
|
903,770
|
|
|
(988,714
|
)
|
|
—
|
|
|
—
|
|
|
1,349
|
|
|
(442
|
)
|
|
—
|
|
|
929,474
|
|
|||||||||
Total Investments
|
|
$
|
4,309,979
|
|
|
$
|
1,298,331
|
|
|
$
|
(1,104,138
|
)
|
|
$
|
(215,710
|
)
|
|
$
|
(5,105
|
)
|
|
$
|
52,015
|
|
|
$
|
(1,593
|
)
|
|
$
|
(1,299
|
)
|
|
$
|
4,332,480
|
|
|
|
Principal Balance
|
|
Amortized Cost
|
|
Fair Value
|
|
Net Weighted
Average Coupon
|
|||||||
Agency RMBS IOs and IIOs
(1)
|
N/A
|
|
|
$
|
10,801
|
|
|
$
|
11,811
|
|
|
2.3
|
%
|
|
Agency RMBS IOs and IIOs accounted for as derivatives
(1)
|
N/A
|
|
|
N/A
|
|
|
7,297
|
|
|
2.8
|
%
|
|||
Total Agency RMBS
|
N/A
|
|
|
10,801
|
|
|
19,108
|
|
|
2.5
|
%
|
|||
|
|
|
|
|
|
|
|
|||||||
Agency CMBS
|
1,306,099
|
|
|
1,311,858
|
|
|
1,343,149
|
|
|
3.3
|
%
|
|||
Agency CMBS IOs and IIOs accounted for as derivatives
(1)
|
N/A
|
|
|
N/A
|
|
|
3,908
|
|
|
0.4
|
%
|
|||
Total Agency CMBS
|
1,306,099
|
|
|
1,311,858
|
|
|
1,347,057
|
|
|
3.0
|
%
|
|||
Total
|
$
|
1,306,099
|
|
|
$
|
1,322,659
|
|
|
$
|
1,366,165
|
|
|
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 Sensitive Securities
|
Pre 2006
|
|
2006
|
|
2007
|
|
2011
|
|
2012
|
|
2013
|
|
2014
|
|
2015
|
|
2016
|
|
2017
|
|
2018
|
|
2019
|
|
Total
|
|||||||||||||
Non-Agency RMBS
|
—
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.9
|
%
|
|
0.3
|
%
|
|
—
|
%
|
|
1.3
|
%
|
Non-Agency RMBS IOs
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.2
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
0.3
|
%
|
Non-Agency CMBS
|
—
|
%
|
|
0.6
|
%
|
|
0.9
|
%
|
|
1.3
|
%
|
|
0.2
|
%
|
|
—
|
%
|
|
0.3
|
%
|
|
0.8
|
%
|
|
—
|
%
|
|
—
|
%
|
|
1.7
|
%
|
|
—
|
%
|
|
5.8
|
%
|
Other securities
|
0.3
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.2
|
%
|
|
0.3
|
%
|
|
0.7
|
%
|
|
0.2
|
%
|
|
0.3
|
%
|
|
—
|
%
|
|
2.0
|
%
|
Residential Whole Loans
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.2
|
%
|
|
0.2
|
%
|
|
2.0
|
%
|
|
1.0
|
%
|
|
0.1
|
%
|
|
1.3
|
%
|
|
6.1
|
%
|
|
31.4
|
%
|
|
0.4
|
%
|
|
42.7
|
%
|
Residential Bridge Loans
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
|
0.9
|
%
|
|
4.2
|
%
|
|
—
|
%
|
|
5.2
|
%
|
Securitized commercial loans
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.8
|
%
|
|
—
|
%
|
|
—
|
%
|
|
30.5
|
%
|
|
—
|
%
|
|
31.3
|
%
|
Commercial Loans
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
7.3
|
%
|
|
4.1
|
%
|
|
11.4
|
%
|
Total
|
0.3
|
%
|
|
0.7
|
%
|
|
0.9
|
%
|
|
1.5
|
%
|
|
0.4
|
%
|
|
2.0
|
%
|
|
1.5
|
%
|
|
2.0
|
%
|
|
2.1
|
%
|
|
8.3
|
%
|
|
75.8
|
%
|
|
4.5
|
%
|
|
100
|
%
|
|
|
|
|
|
Weighted Average
|
|||||||||||||||||||
Category
|
|
Fair Value
|
|
Purchase
Price
|
|
Life (Years)
|
|
Original LTV
|
|
Original
FICO
|
|
60+ Day
Delinquent
|
|
6-Month
CPR
|
|||||||||
Prime
|
|
$
|
12,264
|
|
|
$
|
54.31
|
|
|
13.8
|
|
|
68.9
|
%
|
|
769
|
|
|
0.1
|
%
|
|
6.0
|
%
|
Alt-A
|
|
36,128
|
|
|
64.14
|
|
|
12.1
|
|
|
80.9
|
%
|
|
663
|
|
|
7.1
|
%
|
|
9.8
|
%
|
||
Total
|
|
$
|
48,392
|
|
|
$
|
61.65
|
|
|
12.5
|
|
|
77.8
|
%
|
|
690
|
|
|
5.3
|
%
|
|
8.0
|
%
|
|
|
|
|
Principal
|
|
|
|
Weighted Average
|
||||||||
Type
|
|
Vintage
|
|
Balance
|
|
Fair Value
|
|
Life (Years)
|
|
Original LTV
|
||||||
Conduit:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
2006-2009
|
|
$
|
58,394
|
|
|
$
|
44,841
|
|
|
1.4
|
|
|
72.9
|
%
|
|
|
2010-2018
|
|
67,298
|
|
|
46,308
|
|
|
2.8
|
|
|
61.0
|
%
|
||
|
|
|
|
125,692
|
|
|
91,149
|
|
|
2.1
|
|
|
66.8
|
%
|
||
Single Asset:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
2010-2018
|
|
85,652
|
|
|
81,575
|
|
|
2.5
|
|
|
66.0
|
%
|
||
Total
|
|
|
|
$
|
211,344
|
|
|
$
|
172,724
|
|
|
2.3
|
|
|
66.5
|
%
|
|
|
|
|
|
|
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%
|
|
64
|
|
$
|
21,434
|
|
|
61.6
|
%
|
|
738
|
|
|
5.3
|
|
28.8
|
|
3.9
|
%
|
4.01– 5.00%
|
|
1,335
|
|
464,936
|
|
|
62.4
|
%
|
|
739
|
|
|
2.7
|
|
28.8
|
|
4.8
|
%
|
|
5.01 – 6.00%
|
|
1,748
|
|
722,993
|
|
|
63.2
|
%
|
|
733
|
|
|
2.1
|
|
28.6
|
|
5.5
|
%
|
|
6.01 – 7.00%
|
|
72
|
|
28,650
|
|
|
60.5
|
%
|
|
730
|
|
|
1.7
|
|
26.6
|
|
6.1
|
%
|
|
7.01 - 8.00%
|
|
1
|
|
355
|
|
|
70.0
|
%
|
|
777
|
|
|
1.6
|
|
28.8
|
|
7.2
|
%
|
|
8.01 - 9.00%
|
|
1
|
|
93
|
|
|
70.0
|
%
|
|
689
|
|
|
1.6
|
|
28.8
|
|
8.4
|
%
|
|
Total
|
|
3,221
|
|
$
|
1,238,461
|
|
|
62.8
|
%
|
|
735
|
|
|
2.4
|
|
28.6
|
|
5.2
|
%
|
|
(1)
|
The original FICO score is not available for
288
loans with a principal balance of approximately
$97.9 million
at
March 31, 2019
. We have excluded those loans from the weighted average computation.
|
|
|
|
|
|
|
Weighted Average
|
||||||||
Current Coupon Rate
|
|
Number of Loans
|
|
Principal
Balance
|
|
Original LTV
|
|
Contractual
Maturity
(months)
|
|
Coupon
Rate
|
||||
6.01 – 7.00%
|
|
5
|
|
$
|
1,773
|
|
|
51.4
|
%
|
|
1.4
|
|
7.0
|
%
|
7.01 – 8.00%
|
|
55
|
|
35,312
|
|
|
70.9
|
%
|
|
4.9
|
|
7.7
|
%
|
|
8.01 – 9.00%
|
|
119
|
|
60,054
|
|
|
72.9
|
%
|
|
4.7
|
|
8.7
|
%
|
|
9.01 – 10.00%
|
|
101
|
|
39,780
|
|
|
73.8
|
%
|
|
3.4
|
|
9.8
|
%
|
|
10.01 – 11.00%
|
|
29
|
|
7,034
|
|
|
73.7
|
%
|
|
2.2
|
|
10.7
|
%
|
|
11.01 – 12.00%
|
|
19
|
|
4,730
|
|
|
62.8
|
%
|
|
2.0
|
|
11.3
|
%
|
|
12.01 – 13.00%
|
|
8
|
|
2,271
|
|
|
77.0
|
%
|
|
3.0
|
|
12.9
|
%
|
|
17.01 – 18.00%
|
|
9
|
|
2,913
|
|
|
73.6
|
%
|
|
3.2
|
|
18.0
|
%
|
|
Total
|
|
345
|
|
$
|
153,867
|
|
|
72.2
|
%
|
|
4.2
|
|
9.1
|
%
|
|
Non-Agency RMBS
|
|
|
Non-Agency CMBS
|
||||||||||
|
Concentration
|
|
Fair Value
|
|
|
Concentration
|
|
Fair Value
|
||||||
California
|
27.8
|
%
|
|
$
|
13,434
|
|
|
California
|
15.6
|
%
|
|
$
|
27,026
|
|
Florida
|
9.3
|
%
|
|
4,485
|
|
|
Florida
|
8.9
|
%
|
|
15,428
|
|
||
New York
|
6.7
|
%
|
|
3,258
|
|
|
Bahamas
|
8.7
|
%
|
|
15,008
|
|
||
Georgia
|
5.0
|
%
|
|
2,426
|
|
|
Virginia
|
6.9
|
%
|
|
11,997
|
|
||
Maryland
|
4.3
|
%
|
|
2,098
|
|
|
Illinois
|
5.3
|
%
|
|
9,143
|
|
|
Residential Whole Loans
|
|
|
Residential Bridge Loans
|
||||||||||
|
State
Concentration
|
|
Principal
Balance
|
|
|
State
Concentration
|
|
Principal
Balance
|
||||||
California
|
71.2
|
%
|
|
$
|
881,928
|
|
|
California
|
50.6
|
%
|
|
$
|
77,901
|
|
New York
|
14.0
|
%
|
|
172,913
|
|
|
New York
|
11.2
|
%
|
|
17,190
|
|
||
Georgia
|
2.3
|
%
|
|
28,738
|
|
|
Washington
|
8.4
|
%
|
|
12,866
|
|
||
Florida
|
2.3
|
%
|
|
28,109
|
|
|
Florida
|
5.2
|
%
|
|
7,961
|
|
||
New Jersey
|
1.8
|
%
|
|
22,135
|
|
|
New Jersey
|
4.9
|
%
|
|
7,589
|
|
||
Other
|
8.4
|
%
|
|
104,638
|
|
|
Other
|
19.7
|
%
|
|
30,360
|
|
||
Total
|
100.0
|
%
|
|
$
|
1,238,461
|
|
|
Total
|
100.0
|
%
|
|
$
|
153,867
|
|
|
|
Balance at
|
|
|
|
|
|
Balance at
|
||||||||
Collateral
|
|
December 31, 2018
|
|
Proceeds
|
|
Repayments
|
|
March 31, 2019
|
||||||||
Agency RMBS
|
|
$
|
14,650
|
|
|
$
|
26,290
|
|
|
$
|
(26,932
|
)
|
|
$
|
14,008
|
|
Agency CMBS
|
|
1,392,649
|
|
|
1,833,404
|
|
|
(1,996,000
|
)
|
|
1,230,053
|
|
||||
Non-Agency RMBS
|
|
30,922
|
|
|
69,229
|
|
|
(69,197
|
)
|
|
30,954
|
|
||||
Non-Agency CMBS
|
|
134,814
|
|
|
126,851
|
|
|
(153,248
|
)
|
|
108,417
|
|
||||
Residential Whole Loans
(1)
|
|
863,356
|
|
|
2,549,604
|
|
|
(2,284,344
|
)
|
|
1,128,616
|
|
||||
Residential Bridge Loans
(1)
|
|
204,754
|
|
|
483,017
|
|
|
(547,779
|
)
|
|
139,992
|
|
||||
Commercial loans
(1)
|
|
131,788
|
|
|
573,011
|
|
|
(501,878
|
)
|
|
202,921
|
|
||||
Securitized commercial loan
(1)
|
|
7,543
|
|
|
39,569
|
|
|
(22,599
|
)
|
|
24,513
|
|
||||
Other securities
|
|
38,361
|
|
|
63,827
|
|
|
(65,061
|
)
|
|
37,127
|
|
||||
Borrowings under repurchase agreements
|
|
$
|
2,818,837
|
|
|
$
|
5,764,802
|
|
|
$
|
(5,667,038
|
)
|
|
$
|
2,916,601
|
|
|
(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)
|
|||||
Credit Suisse AG, Cayman Islands Branch
(2)
|
|
$
|
758,063
|
|
|
26.1
|
%
|
|
$
|
886,979
|
|
|
A
|
Citigroup Global Markets Inc.
|
|
597,149
|
|
|
20.5
|
%
|
|
646,780
|
|
|
A+
|
||
Nomura Securities International, Inc.
|
|
469,960
|
|
|
16.1
|
%
|
|
589,855
|
|
|
Unrated
(3)
|
||
Royal Bank of Canada
|
|
429,011
|
|
|
14.7
|
%
|
|
464,759
|
|
|
AA-
|
||
JPMorgan Chase Bank, National Association
|
|
243,506
|
|
|
8.3
|
%
|
|
259,300
|
|
|
A-
|
||
UBS Securities LLC
|
|
133,668
|
|
|
4.6
|
%
|
|
144,426
|
|
|
A+
|
||
UBS AG, London Branch
|
|
60,795
|
|
|
2.1
|
%
|
|
90,563
|
|
|
A+
|
||
Mizuho Securities USA Inc.
|
|
56,538
|
|
|
1.9
|
%
|
|
66,427
|
|
|
A
|
||
JP Morgan Securities LLC
|
|
43,961
|
|
|
1.5
|
%
|
|
51,890
|
|
|
A+
|
||
Credit Suisse Securities (USA) LLC
|
|
38,991
|
|
|
1.3
|
%
|
|
72,167
|
|
|
A
|
||
Jefferies & Company, Inc.
|
|
31,712
|
|
|
1.1
|
%
|
|
33,734
|
|
|
BBB-
|
||
All other counterparties
(4)
|
|
53,247
|
|
|
1.8
|
%
|
|
55,475
|
|
|
|
||
Total
|
|
$
|
2,916,601
|
|
|
100.0
|
%
|
|
$
|
3,362,355
|
|
|
|
|
(1)
|
The counterparty ratings presented above are the long-term issuer credit ratings as rated at
March 31, 2019
by S&P.
|
(2)
|
Includes master repurchase agreements in which the buyer includes Alpine Securitization LTD., a Credit Suisse sponsored asset-backed commercial paper conduit.
|
Classes
|
Principal Balance
|
Coupon
|
Fair Value
|
Contractual Maturity
|
|||||
Class A
|
$
|
445,100
|
|
3.6
|
%
|
$
|
445,378
|
|
3/15/2021
|
Class B
|
101,200
|
|
4.0
|
%
|
101,421
|
|
3/15/2021
|
||
Class C
|
288,400
|
|
4.6
|
%
|
289,136
|
|
3/15/2021
|
||
Class X-CP
(1)
|
N/A
|
|
1.2
|
%
|
3,738
|
|
4/15/2020
|
||
Class X-EXT
(1)
|
N/A
|
|
—
|
%
|
31
|
|
3/15/2021
|
||
|
$
|
834,700
|
|
|
$
|
839,704
|
|
|
|
Collateral
|
|
Three Months Ended March 31, 2019
|
||
Agency RMBS
|
|
$
|
14,278
|
|
Agency CMBS
|
|
1,258,886
|
|
|
Non-Agency RMBS
|
|
31,071
|
|
|
Non-Agency CMBS
|
|
128,149
|
|
|
Residential Whole Loans
|
|
949,710
|
|
|
Commercial loans
|
|
150,189
|
|
|
Securitized commercial loans
|
|
8,094
|
|
|
Residential Bridge Loans
|
|
180,084
|
|
|
Other securities
|
|
37,587
|
|
|
Total
|
|
$
|
2,758,048
|
|
Maximum borrowings during the period
(1)
|
|
$
|
2,916,601
|
|
|
(1)
|
Amount represents the maximum borrowings at month-end during each of the respective periods.
|
|
Notional Amount at
|
|
|
|
Settlements, Terminations or Expirations
|
|
Notional Amount at
|
||||||||
Derivative Instrument
|
December 31, 2018
|
|
Acquisitions
|
|
|
March 31, 2019
|
|||||||||
Fixed pay interest rate swaps
|
$
|
3,127,800
|
|
|
$
|
72,800
|
|
|
$
|
(255,000
|
)
|
|
$
|
2,945,600
|
|
Variable pay interest rate swaps
|
728,400
|
|
|
—
|
|
|
—
|
|
|
728,400
|
|
||||
Futures contracts - long positions
|
—
|
|
|
20,400
|
|
|
(20,400
|
)
|
|
—
|
|
||||
Futures contracts - short positions
|
300,400
|
|
|
208,900
|
|
|
(509,300
|
)
|
|
—
|
|
||||
Credit default swaps
|
50,000
|
|
|
—
|
|
|
(50,000
|
)
|
|
—
|
|
||||
Total derivative instruments
|
$
|
4,206,600
|
|
|
$
|
302,100
|
|
|
$
|
(834,700
|
)
|
|
$
|
3,674,000
|
|
|
Fair Value at
|
|
Acquisitions
|
|
Settlements, Terminations or Expirations
|
|
Realized Gains / Losses
|
|
Mark-to-market
|
|
Fair Value at
|
||||||||||||
Derivative Instrument
|
December 31, 2018
|
|
|
|
|
|
March 31, 2019
|
||||||||||||||||
Fixed pay interest rate swaps
|
$
|
(5,470
|
)
|
|
$
|
(239
|
)
|
|
$
|
78,623
|
|
|
$
|
(79,395
|
)
|
|
$
|
12,307
|
|
|
$
|
5,826
|
|
Variable pay interest rate swaps
|
2,054
|
|
|
—
|
|
|
(40,387
|
)
|
|
41,554
|
|
|
(5,217
|
)
|
|
(1,996
|
)
|
||||||
Futures contracts - long positions
|
—
|
|
|
—
|
|
|
(41
|
)
|
|
41
|
|
|
—
|
|
|
—
|
|
||||||
Futures contracts - short positions
|
(4,657
|
)
|
|
—
|
|
|
4,544
|
|
|
(4,544
|
)
|
|
4,657
|
|
|
—
|
|
||||||
Credit default swaps
|
549
|
|
|
—
|
|
|
367
|
|
|
(541
|
)
|
|
(375
|
)
|
|
—
|
|
||||||
Total derivative instruments
|
$
|
(7,524
|
)
|
|
$
|
(239
|
)
|
|
$
|
43,106
|
|
|
$
|
(42,885
|
)
|
|
$
|
11,372
|
|
|
$
|
3,830
|
|
|
|
March 31, 2019
|
||||||||||
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
|
%
|
|
2.6
|
%
|
|
0.3
|
Greater than 1 year and less than 3 years
|
|
200,000
|
|
|
1.8
|
%
|
|
2.7
|
%
|
|
1.2
|
|
Greater than 3 years and less than 5 years
|
|
924,700
|
|
|
2.2
|
%
|
|
2.8
|
%
|
|
3.4
|
|
Greater than 5 years
|
|
1,420,900
|
|
|
2.5
|
%
|
|
2.8
|
%
|
|
9.7
|
|
Total
|
|
$
|
2,945,600
|
|
|
2.2
|
%
|
|
2.7
|
%
|
|
5.8
|
|
|
March 31, 2019
|
||||||||||
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
|
|
|
2.8
|
%
|
|
2.4
|
%
|
|
8.1
|
Total
|
|
$
|
728,400
|
|
|
2.8
|
%
|
|
2.4
|
%
|
|
8.1
|
Three Months Ended March 31, 2019
|
|
Average Amortized
Cost of Assets |
|
Total Interest Income
|
|
Yield on Average Assets
|
|||||
|
|
|
|
|
|
|
|||||
Investments
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
11,473
|
|
|
$
|
216
|
|
|
7.64
|
%
|
Agency CMBS
|
|
1,341,210
|
|
|
10,933
|
|
|
3.31
|
%
|
||
Non-Agency RMBS
|
|
49,046
|
|
|
730
|
|
|
6.04
|
%
|
||
Non-Agency CMBS
|
|
188,760
|
|
|
4,035
|
|
|
8.67
|
%
|
||
Residential Whole Loans
|
|
1,120,285
|
|
|
13,985
|
|
|
5.06
|
%
|
||
Residential Bridge Loans
|
|
200,384
|
|
|
3,656
|
|
|
7.40
|
%
|
||
Commercial loans
|
|
280,583
|
|
|
5,620
|
|
|
8.12
|
%
|
||
Securitized commercial loans
|
|
931,322
|
|
|
11,560
|
|
|
5.03
|
%
|
||
Other securities
|
|
55,217
|
|
|
1,298
|
|
|
9.53
|
%
|
||
Total investments
|
|
$
|
4,178,280
|
|
|
$
|
52,033
|
|
|
5.05
|
%
|
|
|
|
|
|
|
|
|||||
|
|
Average Carrying Value
|
|
Total Interest Expense
|
|
Average Cost of Funds
(1)
|
|||||
Borrowings
|
|
|
|
|
|
|
|
|
|
||
Repurchase agreements
|
|
$
|
2,758,048
|
|
|
$
|
24,973
|
|
|
3.67
|
%
|
Convertible senior unsecured notes, net
|
|
110,279
|
|
|
2,270
|
|
|
8.35
|
%
|
||
Securitized debt
|
|
879,881
|
|
|
9,157
|
|
|
4.22
|
%
|
||
Total borrowings
|
|
$
|
3,748,208
|
|
|
$
|
36,400
|
|
|
3.94
|
%
|
|
|
|
|
|
|
|
|||||
Net interest income and net interest margin
(2)
|
|
|
|
$
|
15,633
|
|
|
1.52
|
%
|
Three Months Ended March 31, 2018
|
|
Average Amortized
Cost of Assets |
|
Total Interest Income
|
|
Yield on Average Assets
|
|||||
|
|
|
|
|
|
|
|||||
Investments
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
669,877
|
|
|
$
|
5,855
|
|
|
3.54
|
%
|
Agency CMBS
|
|
2,186,286
|
|
|
16,118
|
|
|
2.99
|
%
|
||
Non-Agency RMBS
|
|
93,441
|
|
|
1,552
|
|
|
6.74
|
%
|
||
Non-Agency CMBS
|
|
307,871
|
|
|
6,709
|
|
|
8.84
|
%
|
||
Residential Whole Loans
|
|
274,605
|
|
|
3,040
|
|
|
4.49
|
%
|
||
Residential Bridge Loans
|
|
120,768
|
|
|
2,351
|
|
|
7.89
|
%
|
||
Commercial Loans
|
|
11,614
|
|
|
226
|
|
|
7.89
|
%
|
||
Securitized commercial loan
|
|
99,956
|
|
|
1,482
|
|
|
6.01
|
%
|
||
Other securities
|
|
111,955
|
|
|
2,394
|
|
|
8.67
|
%
|
||
Total investments
|
|
$
|
3,876,373
|
|
|
$
|
39,727
|
|
|
4.16
|
%
|
|
|
|
|
|
|
|
|||||
|
|
Average Carrying Value
|
|
Total Interest Expense
|
|
Average Cost of Funds
(1)
|
|||||
Borrowings
|
|
|
|
|
|
|
|||||
Repurchase agreements
|
|
$
|
3,335,209
|
|
|
$
|
17,389
|
|
|
2.11
|
%
|
Convertible senior unsecured notes, net
|
|
108,962
|
|
|
2,248
|
|
|
8.37
|
%
|
||
Securitized debt
|
|
82,140
|
|
|
1,060
|
|
|
5.23
|
%
|
||
Total borrowings
|
|
$
|
3,526,311
|
|
|
$
|
20,697
|
|
|
2.38
|
%
|
|
|
|
|
|
|
|
|||||
Net interest income and net interest margin
(2)
|
|
|
|
$
|
19,030
|
|
|
1.99
|
%
|
|
|
For the three months ended March 31, 2019
|
|
For the three months ended March 31, 2018
|
||||||||||||||||||||||||||||
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
|
Proceeds
|
|
Gross Gains
|
|
Gross Losses
|
|
Net Gain (Loss)
|
||||||||||||||||
Agency RMBS
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,250
|
|
|
$
|
18
|
|
|
$
|
—
|
|
|
$
|
18
|
|
Agency CMBS
|
206,710
|
|
|
—
|
|
|
(4,189
|
)
|
|
(4,189
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Non-Agency RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,200
|
|
|
894
|
|
|
—
|
|
|
894
|
|
||||||||
Non-Agency CMBS
|
9,000
|
|
|
—
|
|
|
(829
|
)
|
|
(829
|
)
|
|
6,321
|
|
|
61
|
|
|
(398
|
)
|
|
(337
|
)
|
||||||||
Residential Bridge Loans
(1)
|
—
|
|
|
—
|
|
|
(87
|
)
|
|
(87
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Total
|
$
|
215,710
|
|
|
$
|
—
|
|
|
$
|
(5,105
|
)
|
|
$
|
(5,105
|
)
|
|
$
|
11,771
|
|
|
$
|
973
|
|
|
$
|
(398
|
)
|
|
$
|
575
|
|
|
(1)
|
Realized losses recognized on the final settlement of the loans.
|
|
Three months ended March 31, 2019
|
|
Three months ended March 31, 2018
|
||||
Agency RMBS
|
$
|
25
|
|
|
$
|
142
|
|
Non-Agency RMBS
|
241
|
|
|
91
|
|
||
Non-Agency CMBS
|
966
|
|
|
2,683
|
|
||
Total
|
$
|
1,232
|
|
|
$
|
2,916
|
|
|
Three months ended March 31, 2019
|
|
Three months ended March 31, 2018
|
||||
Agency RMBS
|
$
|
355
|
|
|
$
|
(16,197
|
)
|
Agency CMBS
|
48,803
|
|
|
(54,302
|
)
|
||
Non-Agency RMBS
|
(1,193
|
)
|
|
(479
|
)
|
||
Non-Agency CMBS
|
(3,426
|
)
|
|
1,973
|
|
||
Residential Whole Loans
|
5,887
|
|
|
(789
|
)
|
||
Residential Bridge Loans
|
(672
|
)
|
|
(153
|
)
|
||
Commercial loans
|
223
|
|
|
42
|
|
||
Securitized commercial loans
|
1,349
|
|
|
5,249
|
|
||
Other securities
|
682
|
|
|
1,355
|
|
||
Securitized debt
|
(1,395
|
)
|
|
(4,930
|
)
|
||
Other liabilities
|
168
|
|
|
(730
|
)
|
||
Total
|
$
|
50,781
|
|
|
$
|
(68,961
|
)
|
|
|
Realized Gain (Loss), net
|
|
|
|
|
|
|
|
|
||||||||||||||
Description
|
|
Other Settlements / Expirations
|
|
Variation Margin Settlement
|
|
Return (Recovery) of Basis
|
|
Mark-to-Market
|
|
Contractual interest income (expense), net
(1)
|
|
Total
|
||||||||||||
Three months ended March 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
|
|
$
|
(3
|
)
|
|
$
|
(37,838
|
)
|
|
$
|
1,528
|
|
|
$
|
7,090
|
|
|
$
|
2,755
|
|
|
$
|
(26,468
|
)
|
Agency and Non-Agency Interest-Only Strips— accounted for as derivatives
|
|
—
|
|
|
—
|
|
|
(595
|
)
|
|
(59
|
)
|
|
784
|
|
|
130
|
|
||||||
Futures contracts
|
|
(4,503
|
)
|
|
—
|
|
|
—
|
|
|
4,657
|
|
|
—
|
|
|
154
|
|
||||||
Credit default swaps
|
|
(589
|
)
|
|
—
|
|
|
—
|
|
|
(375
|
)
|
|
—
|
|
|
(964
|
)
|
||||||
Total
|
|
$
|
(5,095
|
)
|
|
$
|
(37,838
|
)
|
|
$
|
933
|
|
|
$
|
11,313
|
|
|
$
|
3,539
|
|
|
$
|
(27,148
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Three months ended March 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
|
|
$
|
(5
|
)
|
|
$
|
76,230
|
|
|
$
|
81
|
|
|
$
|
68
|
|
|
$
|
(1,137
|
)
|
|
$
|
75,237
|
|
Agency and Non-Agency Interest-Only Strips— accounted for as derivatives
|
|
—
|
|
|
—
|
|
|
(1,191
|
)
|
|
66
|
|
|
1,422
|
|
|
297
|
|
||||||
Options
|
|
(418
|
)
|
|
—
|
|
|
—
|
|
|
212
|
|
|
—
|
|
|
(206
|
)
|
||||||
Futures contracts
|
|
3,978
|
|
|
—
|
|
|
—
|
|
|
502
|
|
|
—
|
|
|
4,480
|
|
||||||
Credit default swaps
|
|
(19
|
)
|
|
—
|
|
|
—
|
|
|
(15
|
)
|
|
—
|
|
|
(34
|
)
|
||||||
TBAs
|
|
(667
|
)
|
|
—
|
|
|
—
|
|
|
475
|
|
|
—
|
|
|
(192
|
)
|
||||||
Total
|
|
$
|
2,869
|
|
|
$
|
76,230
|
|
|
$
|
(1,110
|
)
|
|
$
|
1,308
|
|
|
$
|
285
|
|
|
$
|
79,582
|
|
|
(1)
|
Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received.
|
(dollars in thousands)
|
|
Three months ended March 31, 2019
|
|
Three months ended March 31, 2018
|
||||
Net Income
|
|
$
|
27,876
|
|
|
$
|
21,729
|
|
Income tax provision
|
|
12
|
|
|
313
|
|
||
Net Income before income taxes
|
|
27,888
|
|
|
22,042
|
|
||
|
|
|
|
|
||||
Adjustments:
|
|
|
|
|
||||
Investments:
|
|
|
|
|
||||
Unrealized (gain) loss on investments, securitized debt and other liabilities
|
|
(50,781
|
)
|
|
68,961
|
|
||
Other than temporary impairment
|
|
1,232
|
|
|
2,916
|
|
||
Realized (gain) loss on sale of investments
|
|
5,105
|
|
|
(575
|
)
|
||
One-time transaction costs
|
|
269
|
|
|
41
|
|
||
|
|
|
|
|
||||
Derivative Instruments:
|
|
|
|
|
||||
Net realized (gain) loss on derivatives
|
|
42,885
|
|
|
(79,118
|
)
|
||
Net unrealized (gain) loss on derivatives
|
|
(11,313
|
)
|
|
(1,308
|
)
|
||
|
|
|
|
|
||||
Amortization of discount on convertible senior unsecured notes
|
|
137
|
|
|
137
|
|
||
Non-cash stock-based compensation expense
|
|
70
|
|
|
75
|
|
||
Total adjustments
|
|
(12,396
|
)
|
|
(8,871
|
)
|
||
Core Earnings
|
|
$
|
15,492
|
|
|
$
|
13,171
|
|
(dollars in thousands)
|
|
Three months ended March 31, 2019
|
|
Three months ended March 31, 2018
|
||||
Adjusted net interest income
|
|
$
|
20,105
|
|
|
$
|
18,205
|
|
Total expenses
|
|
(5,277
|
)
|
|
(5,315
|
)
|
||
Non-cash stock-based compensation
|
|
70
|
|
|
75
|
|
||
One-time transaction costs
|
|
269
|
|
|
41
|
|
||
Amortization of discount on convertible unsecured senior notes
|
|
137
|
|
|
137
|
|
||
Interest income on cash balances and other income (loss), net
|
|
188
|
|
|
28
|
|
||
Core Earnings
|
|
$
|
15,492
|
|
|
$
|
13,171
|
|
Three Months Ended March 31, 2019
|
|
Average Amortized
Cost of Assets
(1)
|
|
Total Interest Income
(2)
|
|
Yield on Average Assets
|
|||||
|
|
|
|
|
|
|
|||||
Investments
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
18,011
|
|
|
$
|
374
|
|
|
8.42
|
%
|
Agency CMBS
|
|
1,345,550
|
|
|
10,964
|
|
|
3.30
|
%
|
||
Non-Agency RMBS
|
|
49,046
|
|
|
730
|
|
|
6.04
|
%
|
||
Non-Agency CMBS
|
|
188,760
|
|
|
4,035
|
|
|
8.67
|
%
|
||
Residential Whole Loans
|
|
1,120,285
|
|
|
13,985
|
|
|
5.06
|
%
|
||
Residential Bridge Loans
|
|
200,384
|
|
|
3,656
|
|
|
7.40
|
%
|
||
Commercial loans
|
|
280,583
|
|
|
5,620
|
|
|
8.12
|
%
|
||
Securitized commercial loans
|
|
931,322
|
|
|
11,560
|
|
|
5.03
|
%
|
||
Other securities
|
|
55,217
|
|
|
1,298
|
|
|
9.53
|
%
|
||
Total investments
|
|
$
|
4,189,158
|
|
|
$
|
52,222
|
|
|
5.06
|
%
|
Adjustments:
|
|
|
|
|
|
|
|||||
Securitized commercial loans from consolidated VIEs
|
|
$
|
(931,322
|
)
|
|
$
|
(11,560
|
)
|
|
5.03
|
%
|
Investments in consolidated VIEs eliminated in consolidation
|
|
57,084
|
|
|
1,590
|
|
|
11.30
|
%
|
||
Adjusted total investments
|
|
$
|
3,314,920
|
|
|
$
|
42,252
|
|
|
5.17
|
%
|
|
|
|
|
|
|
|
|||||
|
|
Average Carrying Value
|
|
Total Interest Expense
(3)
|
|
Average Effective Cost of Funds
|
|||||
Borrowings
|
|
|
|
|
|
|
|
|
|
||
Repurchase agreements
|
|
$
|
2,758,048
|
|
|
$
|
24,973
|
|
|
3.67
|
%
|
Convertible senior unsecured notes, net
|
|
110,279
|
|
|
2,270
|
|
|
8.35
|
%
|
||
Securitized debt
|
|
879,881
|
|
|
9,157
|
|
|
4.22
|
%
|
||
Interest rate swaps
|
|
n/a
|
|
|
(4,283
|
)
|
|
(0.46
|
)%
|
||
Total borrowings
|
|
$
|
3,748,208
|
|
|
$
|
32,117
|
|
|
3.48
|
%
|
Adjustments:
|
|
|
|
|
|
|
|||||
Securitized debt from consolidated VIEs
|
|
$
|
(879,881
|
)
|
|
$
|
(9,157
|
)
|
|
4.22
|
%
|
Adjusted total borrowings
|
|
$
|
2,868,327
|
|
|
$
|
22,960
|
|
|
3.25
|
%
|
|
|
|
|
|
|
|
|||||
Adjusted net interest income and net interest margin
|
|
|
|
$
|
19,292
|
|
|
2.36
|
%
|
Three Months Ended March 31, 2018
|
|
Average Amortized
Cost of Assets (1) |
|
Total Interest Income
(2)
|
|
Yield on Average Assets
|
|||||
|
|
|
|
|
|
|
|||||
Investments
|
|
|
|
|
|
|
|||||
Agency RMBS
|
|
$
|
678,748
|
|
|
$
|
6,024
|
|
|
3.60
|
%
|
Agency CMBS
|
|
2,192,247
|
|
|
16,180
|
|
|
2.99
|
%
|
||
Non-Agency RMBS
|
|
93,441
|
|
|
1,552
|
|
|
6.74
|
%
|
||
Non-Agency CMBS
|
|
307,871
|
|
|
6,709
|
|
|
8.84
|
%
|
||
Residential Whole Loans
|
|
274,605
|
|
|
3,040
|
|
|
4.49
|
%
|
||
Residential Bridge Loans
|
|
120,768
|
|
|
2,351
|
|
|
7.89
|
%
|
||
Commercial loans
|
|
11,614
|
|
|
226
|
|
|
7.89
|
%
|
||
Securitized commercial loans
|
|
99,956
|
|
|
1,482
|
|
|
6.01
|
%
|
||
Other securities
|
|
111,955
|
|
|
2,394
|
|
|
8.67
|
%
|
||
Total investments
|
|
$
|
3,891,205
|
|
|
$
|
39,958
|
|
|
4.16
|
%
|
Adjustments:
|
|
|
|
|
|
|
|||||
Securitized commercial loans from consolidated VIEs
|
|
$
|
(99,956
|
)
|
|
$
|
(1,482
|
)
|
|
6.01
|
%
|
Investments in consolidated VIEs eliminated in consolidation
|
|
17,648
|
|
|
416
|
|
|
9.56
|
%
|
||
Adjusted total investments
|
|
$
|
3,808,897
|
|
|
$
|
38,892
|
|
|
4.14
|
%
|
|
|
|
|
|
|
|
|||||
|
|
Average Carrying Value
|
|
Total Interest Expense
(3)
|
|
Average Effective Cost of Funds
|
|||||
Borrowings
|
|
|
|
|
|
|
|
|
|
||
Repurchase agreements
|
|
$
|
3,335,209
|
|
|
$
|
17,389
|
|
|
2.11
|
%
|
Convertible senior unsecured notes, net
|
|
108,962
|
|
|
2,248
|
|
|
8.37
|
%
|
||
Securitized debt
|
|
82,140
|
|
|
1,060
|
|
|
5.23
|
%
|
||
Interest rate swaps
|
|
n/a
|
|
|
1,056
|
|
|
0.12
|
%
|
||
Total borrowings
|
|
$
|
3,526,311
|
|
|
$
|
21,753
|
|
|
2.50
|
%
|
Adjustments:
|
|
|
|
|
|
|
|||||
Securitized debt from consolidated VIEs
|
|
$
|
(82,140
|
)
|
|
$
|
(1,060
|
)
|
|
5.23
|
%
|
Adjusted total borrowings
|
|
$
|
3,444,171
|
|
|
$
|
20,693
|
|
|
2.44
|
%
|
|
|
|
|
|
|
|
|||||
Adjusted net interest income and net interest margin
|
|
|
|
$
|
18,199
|
|
|
1.94
|
%
|
|
(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.
|
(dollars in thousands)
|
|
Three months ended March 31, 2019
|
|
Three months ended March 31, 2018
|
||||
Coupon interest income:
|
|
|
|
|
||||
Agency RMBS
|
|
$
|
871
|
|
|
$
|
7,124
|
|
Agency CMBS
|
|
10,989
|
|
|
15,998
|
|
||
Non-Agency RMBS
|
|
1,207
|
|
|
1,420
|
|
||
Non-Agency CMBS
|
|
3,111
|
|
|
4,813
|
|
||
Residential Whole Loans
|
|
14,182
|
|
|
3,260
|
|
||
Residential Bridge Loans
|
|
4,108
|
|
|
2,485
|
|
||
Commercial loans
|
|
5,412
|
|
|
219
|
|
||
Securitized commercial loans
|
|
12,002
|
|
|
1,482
|
|
||
Other Securities
|
|
2,889
|
|
|
3,756
|
|
||
Subtotal coupon interest
|
|
54,771
|
|
|
40,557
|
|
||
Premium accretion, discount amortization and amortization of basis, net:
|
|
|
|
|
||||
Agency RMBS
|
|
(655
|
)
|
|
(1,269
|
)
|
||
Agency CMBS
|
|
(56
|
)
|
|
120
|
|
||
Non-Agency RMBS
|
|
(477
|
)
|
|
132
|
|
||
Non-Agency CMBS
|
|
924
|
|
|
1,896
|
|
||
Residential Whole Loans
|
|
(197
|
)
|
|
(220
|
)
|
||
Residential Bridge Loans
|
|
(452
|
)
|
|
(134
|
)
|
||
Commercial loans
|
|
208
|
|
|
7
|
|
||
Securitized commercial loans
|
|
(442
|
)
|
|
—
|
|
||
Other Securities
|
|
(1,591
|
)
|
|
(1,362
|
)
|
||
Subtotal accretion and amortization
|
|
(2,738
|
)
|
|
(830
|
)
|
||
Interest income
|
|
$
|
52,033
|
|
|
$
|
39,727
|
|
Contractual interest income, net of amortization of basis on Agency and Non-Agency Interest-Only Strips, classified as derivatives
(1)
:
|
|
|
|
|
|
|
||
Coupon interest income
|
|
$
|
784
|
|
|
$
|
1,422
|
|
Amortization of basis
|
|
(595
|
)
|
|
(1,191
|
)
|
||
Subtotal
|
|
189
|
|
|
231
|
|
||
Total adjusted interest income
|
|
$
|
52,222
|
|
|
$
|
39,958
|
|
|
(1)
|
Reported in "Gain (loss) on derivative instruments, net" in our Consolidated Statements of Operations.
|
|
|
Three months ended March 31, 2019
|
|
Three months ended March 31, 2018
|
||||||||||
(dollars in thousands)
|
|
Reconciliation
|
|
Cost of Funds/
Effective Borrowing Costs
|
|
Reconciliation
|
|
Cost of Funds/
Effective Borrowing Costs
|
||||||
Interest expense
|
|
$
|
36,400
|
|
|
3.94
|
%
|
|
$
|
20,697
|
|
|
2.38
|
%
|
Adjustments:
|
|
|
|
|
|
|
|
|
||||||
Interest expense on Securitized debt from consolidated VIEs
|
|
(9,157
|
)
|
|
(4.22
|
)%
|
|
(1,060
|
)
|
|
(5.23
|
)%
|
||
Net interest (received) paid - interest rate swaps
|
|
(4,283
|
)
|
|
(0.46
|
)%
|
|
1,056
|
|
|
0.12
|
%
|
||
Effective Borrowing Costs
|
|
$
|
22,960
|
|
|
3.25
|
%
|
|
$
|
20,693
|
|
|
2.44
|
%
|
Weighted average borrowings
|
|
$
|
2,868,327
|
|
|
|
|
|
$
|
3,444,171
|
|
|
|
|
|
March 31, 2019
|
|
Three months ended March 31, 2019
|
|
|
||||||||||||||
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
|
||||||||
Agency RMBS, at fair value
|
$
|
14,008
|
|
|
$
|
19,107
|
|
|
3.21
|
%
|
|
3.24
|
%
|
|
3.24
|
%
|
|
21.82
|
%
|
Agency CMBS, at fair value
|
1,230,053
|
|
|
1,322,656
|
|
|
2.70
|
%
|
|
2.76
|
%
|
|
2.76
|
%
|
|
5.03
|
%
|
||
Non-Agency RMBS, at fair value
|
30,954
|
|
|
48,392
|
|
|
4.12
|
%
|
|
4.22
|
%
|
|
4.22
|
%
|
|
35.35
|
%
|
||
Non-Agency CMBS, at fair value
|
108,417
|
|
|
143,687
|
|
|
4.11
|
%
|
|
4.16
|
%
|
|
4.16
|
%
|
|
26.61
|
%
|
||
Residential Whole Loans, at fair value
(3)
|
1,128,616
|
|
|
1,267,163
|
|
|
4.12
|
%
|
|
4.30
|
%
|
|
4.30
|
%
|
|
9.76
|
%
|
||
Residential Bridge Loans
(3)
|
139,992
|
|
|
151,228
|
|
|
4.77
|
%
|
|
4.75
|
%
|
|
4.75
|
%
|
|
20.00
|
%
|
||
Commercial loans, at fair value
|
202,921
|
|
|
317,744
|
|
|
4.90
|
%
|
|
5.38
|
%
|
|
5.38
|
%
|
|
36.12
|
%
|
||
Securitized commercial loan, at fair value
(3)
|
24,513
|
|
|
33,725
|
|
|
3.68
|
%
|
|
4.42
|
%
|
|
4.42
|
%
|
|
24.19
|
%
|
||
Other securities, at fair value
|
37,127
|
|
|
58,653
|
|
|
4.31
|
%
|
|
4.35
|
%
|
|
4.35
|
%
|
|
35.20
|
%
|
||
Interest rate swaps
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
(0.63
|
)%
|
|
n/a
|
|
||
Total
|
$
|
2,916,601
|
|
|
$
|
3,362,355
|
|
|
3.60
|
%
|
|
3.67
|
%
|
|
3.04
|
%
|
|
11.50
|
%
|
|
(1)
|
Excludes approximately
$7.7 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
$4.3 million
received for the
three
months ended
March 31, 2019
. 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.
|
|
March 31, 2018
|
|
Three months ended March 31, 2018
|
|
|
||||||||||||||
Collateral
|
Borrowings
Outstanding
|
|
Fair 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
|
||||||||
Agency RMBS
|
$
|
630,980
|
|
|
$
|
656,799
|
|
|
1.92
|
%
|
|
1.72
|
%
|
|
1.72
|
%
|
|
4.48
|
%
|
Agency CMBS
|
2,073,029
|
|
|
2,163,961
|
|
|
1.81
|
%
|
|
1.72
|
%
|
|
1.72
|
%
|
|
5.02
|
%
|
||
Non-Agency RMBS
|
104,580
|
|
|
141,171
|
|
|
3.19
|
%
|
|
3.02
|
%
|
|
3.02
|
%
|
|
24.78
|
%
|
||
Non-Agency CMBS
|
252,121
|
|
|
331,441
|
|
|
3.42
|
%
|
|
3.30
|
%
|
|
3.30
|
%
|
|
24.74
|
%
|
||
Residential Whole Loans
(3)
|
234,675
|
|
|
296,719
|
|
|
4.13
|
%
|
|
4.16
|
%
|
|
4.16
|
%
|
|
20.00
|
%
|
||
Residential Bridge Loans
(3)
|
151,555
|
|
|
159,646
|
|
|
4.40
|
%
|
|
4.81
|
%
|
|
4.81
|
%
|
|
20.00
|
%
|
||
Commercial loans
|
12,321
|
|
|
20,534
|
|
|
4.61
|
%
|
|
4.61
|
%
|
|
4.61
|
%
|
|
40.00
|
%
|
||
Securitized commercial loan
(3)
|
7,631
|
|
|
13,871
|
|
|
3.72
|
%
|
|
3.83
|
%
|
|
3.83
|
%
|
|
45.00
|
%
|
||
Other securities
|
90,028
|
|
|
131,467
|
|
|
3.42
|
%
|
|
3.26
|
%
|
|
3.26
|
%
|
|
31.02
|
%
|
||
Interest rate swaps
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
0.13
|
%
|
|
n/a
|
|
||
Total
|
$
|
3,556,920
|
|
|
$
|
3,915,609
|
|
|
2.31
|
%
|
|
2.11
|
%
|
|
2.24
|
%
|
|
9.40
|
%
|
|
(1)
|
Excludes approximately $36.6 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 $1.1 million for the
three
months ended
March 31, 2018
. 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 loan 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
(4)
|
$
|
2,158,538
|
|
|
$
|
758,063
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,916,601
|
|
Contractual interest on repurchase agreements
|
50,667
|
|
|
35,375
|
|
|
—
|
|
|
—
|
|
|
86,042
|
|
|||||
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)
|
—
|
|
|
845,415
|
|
|
—
|
|
|
—
|
|
|
845,415
|
|
|||||
Contractual interest on securitized debt
(3)
|
33,706
|
|
|
34,267
|
|
|
—
|
|
|
—
|
|
|
67,973
|
|
|||||
Total
|
$
|
2,250,674
|
|
|
$
|
1,688,645
|
|
|
$
|
122,763
|
|
|
$
|
—
|
|
|
$
|
4,062,082
|
|
|
(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 from a consolidated VIEs and can only be settled with the securitized loans with a principal balance of
$845.4 million
held in the securitization. Assumes entire outstanding principal balance at
March 31, 2019
is paid at maturity.
|
(3)
|
For variable rate debt, the one month LIBOR rate as of
March 31, 2019
of
2.5%
was used to calculate the contractual interest.
|
(4)
|
Does not reflect approximately
$97.0 million
of repurchase agreement borrowings, which settled by
April 1, 2019
, with a weighted average interest rate of
2.65%
, a weighted average contractual maturity of
90
days and secured by collateral of approximately
$101.5 million
|
|
|
|
|
|
|
Change in Interest Rates
|
|
Percentage Change in Projected
Net Interest Income
|
|
Percentage Change in Projected
Portfolio Value
|
||
+1.00%
|
|
(0.95
|
)%
|
|
(0.99
|
)%
|
+0.50%
|
|
(0.45
|
)%
|
|
(0.49
|
)%
|
-0.50%
|
|
0.34
|
%
|
|
0.49
|
%
|
-1.00%
|
|
0.41
|
%
|
|
0.98
|
%
|
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*
|
|
|
|
|
|
10.7*
|
|
|
|
|
|
10.8*
|
|
|
|
|
|
10.9*
|
|
|
|
|
|
10.10*
|
|
|
|
|
|
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
|
|
By:
|
/s/ JENNIFER W. MURPHY
|
|
|
|
|
Jennifer W. Murphy
|
|
|
President, Chief Executive Officer and Director (Principal Executive Officer)
|
|
|
|
|
|
May 7, 2019
|
|
|
|
|
|
|
|
|
By:
|
/s/ LISA MEYER
|
|
|
|
|
Lisa Meyer
|
|
|
Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer)
|
|
|
|
|
|
May 7, 2019
|
By:
|
/s/ JENNIFER W. MURPHY
|
|
|
Name: Jennifer W. Murphy
|
|
|
Title: President, Chief Executive Officer and Director
|
|
By:
|
/s/ LISA MEYER
|
|
|
Name: Lisa Meyer
|
|
|
Title: Chief Financial Officer and Treasurer
|
|
Date:
|
May 7, 2019
|
By:
|
/s/ JENNIFER W. MURPHY
|
|
|
|
|
|
|
Name:
|
Jennifer W. Murphy
|
|
|
Title:
|
President, Chief Executive Officer and Director
|
Date:
|
May 7, 2019
|
By:
|
/s/ LISA MEYER
|
|
|
|
|
|
|
Name:
|
Lisa Meyer
|
|
|
Title:
|
Chief Financial Officer and Treasurer
|