þ
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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
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¨
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
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Maryland
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45-0907772
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(State or other jurisdiction of
incorporation or organization)
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(I.R.S. Employer
Identification No.)
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Title of each class
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Name of each exchange
on which registered
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Common Stock, $0.01 par value per share
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The NASDAQ Global Select Market
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8.125% Series A Cumulative Redeemable Preferred Stock
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The NASDAQ Global Select Market
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Large accelerated filer
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þ
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Accelerated filer
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o
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Non-accelerated filer
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o
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(Do not check if a smaller reporting company)
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Smaller Reporting Company
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o
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PART I.
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Item 1.
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Business
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Item 1A.
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Risk Factors
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Item 1B.
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Unresolved Staff Comments
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Item 2.
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Properties
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Item 3.
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Legal Proceedings
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Item 4.
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Mine Safety Disclosures
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PART II.
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Item 5.
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Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities
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Item 6.
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Selected Financial Data
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Item 7.
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Management's Discussion and Analysis of Financial Condition and Results of Operations
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Item 7A.
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Quantitative and Qualitative Disclosures about Market Risk
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Item 8.
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Financial Statements and Supplementary Data
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Item 9.
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Changes in and Disagreements with Accountants on Accounting and Financial Disclosure
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Item 9A.
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Controls and Procedures
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Item 9B.
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Other Information
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PART III.
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Item 10.
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Directors, Executive Officers and Corporate Governance
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Item 11.
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Executive Compensation
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Item 12.
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Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters
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Item 13.
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Certain Relationships and Related Transactions, and Director Independence
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Item 14.
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Principal Accountant Fees and Services
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PART IV.
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Item 15.
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Exhibits and Financial Statement Schedules
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Signatures
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manage an investment portfolio of real estate-related investments;
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capitalize on discrepancies in relative market valuations for real estate-related investments;
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manage financing, interest rate, prepayment, extension and credit risks;
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provide regular quarterly distributions to our stockholders;
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continue to qualify as a REIT;
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remain exempt from the requirements of the Investment Company Act of 1940 (the “Investment Company Act”);
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generate attractive risk-adjusted returns; and
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manage our net asset value risk within reasonable bands.
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Agency RMBS.
Our primary agency securities investments consist of agency pass-through certificates representing interests in “pools” of mortgage loans secured by residential real property. Monthly payments of principal and interest made by the individual borrowers on the mortgage loans underlying the securities, which are guaranteed by a GSE to holders of the securities, are in effect “passed through,” net of fees paid to the issuer/guarantor and servicers of the securities, to the holders of the securities. In general, mortgage pass-through certificates distribute cash flows from the underlying collateral on a pro rata basis among the holders of the securities. Holders of the securities also receive guarantor advances of principal and interest on delinquent loans in the mortgage pools. We also invest in agency CMOs, which are structured instruments representing interests in agency residential pass-through certificates, and interest-only, inverse interest-only and principal-only securities, which represent the right to receive a specified proportion of the contractual interest or principal flows of specific agency CMO securities.
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To-Be-Announced Forward Contracts (
“
TBA
”
).
TBAs are forward contracts to purchase or sell agency RMBS. TBA contracts specify the coupon rate, issuer, term, and face value of the bonds to be delivered, with the actual bonds to be delivered only identified shortly before the TBA settlement date.
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Non-agency RMBS.
Non-agency RMBS are securities issued by a private institution such as a commercial bank and backed by residential mortgages, for which the payment of principal and interest is not guaranteed by a GSE or government agency. As such, non-agency RMBS can carry a significantly higher level of credit exposure relative to the credit exposure of agency RMBS. Non-agency RMBS are often referred to as private label RMBS. Non-agency RMBS may benefit from credit enhancement derived from structural elements, such as subordination, overcollateralization or insurance. We may purchase highly-rated instruments that benefit from credit enhancement or non-investment grade instruments that absorb credit risk. We focus primarily on non-agency RMBS where the underlying mortgages are secured by residential properties within the United States. Non-agency RMBS are backed by residential mortgages that can be comprised of prime mortgage or non-prime mortgage loans.
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CRT.
CRT securities are risk sharing instruments that transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors, such as us. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or other third party; rather, “credit risk transfer” is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on the related pool of loans exceed certain thresholds. By reducing the amount that issuers are obligated to repay to holders of CRT securities, they are able to offset credit losses on the related pool of loans.
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CMBS.
CMBS are securities that are structured utilizing collateral pools comprised of commercial mortgage loans. CMBS can be structured as pass-through securities, where the cash flows generated by the collateral pool are passed on pro rata to investors after netting servicer or other fees, or where cash flows are distributed to numerous classes of securities following a predetermined waterfall, which may give priority to selected classes while subordinating other classes. We may invest across the capital structure of these securities and intend to focus on CMBS where underlying collateral is secured by commercial properties located within the United States.
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Mortgage servicing rights.
MSR represent the right to service mortgage loans, which involves activities such as collecting mortgage payments, escrowing and paying taxes and insurance premiums, and forwarding principal and interest payments to the mortgage lender. In return for providing these services, the holder of an MSR is entitled to receive a servicing fee, typically specified as a percentage (expressed in basis points) of the serviced loan's unpaid principal balance. We may invest in MSR associated with either agency or non-agency mortgage loans.
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Mortgage-related derivatives.
As part of our investment and risk management strategy, we may enter into derivative transactions as a method of enhancing our risk/return profile and/or hedging existing or emerging risks within our investment portfolio. These transactions may include, but are not limited to, buying or selling forward positions and credit default swaps. Our Manager's implementation of this strategy is based upon overall market conditions, the level of volatility in the mortgage market, size of our investment portfolio and our qualification as a REIT.
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Other mortgage-related investments may also include mortgage REIT equity securities, residential and commercial mortgage loans, excess interest-only instruments and other investments that may arise as the mortgage market evolves.
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Skilled Nursing Facilities.
Skilled nursing facilities (“SNF”) are licensed healthcare facilities that provide restorative, rehabilitative and nursing care for people not requiring the more extensive and sophisticated treatment available at acute care hospitals. Treatment programs include physical, occupational, speech, respiratory and other therapies, including sub-acute clinical protocols such as wound care and intravenous drug treatment. Charges for these services are generally paid by a combination of government reimbursement and private sources.
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Assisted Living Facilities
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Assisted living facilities (“ALF”) are licensed healthcare facilities that provide personal care services, support and housing for those who need help with activities of daily living, such as bathing, eating and dressing, yet require limited medical care. The programs and services may include transportation, social activities, exercise and fitness programs, beauty or barber shop access, hobby and craft activities, community excursions, meals in a dining room setting and other activities sought by residents. These facilities are often in apartment-like buildings with private residences ranging from single rooms to large apartments. Certain ALFs may offer higher levels of personal assistance for residents requiring memory care as a result of Alzheimer’s disease or other forms of dementia. Levels of personal assistance are based in part on local regulations.
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Independent Living Facilities
. Independent living facilities (“ILF”), also known as retirement communities or senior apartments, are not healthcare facilities. The facilities typically consist of entirely self-contained apartments, complete with their own kitchens, baths and individual living spaces, as well as parking for tenant vehicles. They are most often rented unfurnished, and generally can be personalized by the tenants, typically an individual or a couple over the age of 55. These facilities offer various services and amenities such as laundry, housekeeping, dining options/meal plans, exercise and wellness programs, transportation, social, cultural and recreational activities, on-site security and emergency response programs.
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Interest Rate Risk.
We hedge some of our exposure to interest rate mismatches between the interest we earn on our longer term investments and the interest we pay on our shorter term borrowings. Because a majority of our funding costs fluctuate based on short-term interest rate indices, such as the London Interbank Offered Rate, or LIBOR and the vast majority of our investments are assets that have fixed rates of interest and could mature in up to 40 years, the interest we earn on these assets generally does not move in tandem with the interest rates that we pay on our funding agreements. We may experience reduced income, losses, or a significant reduction in our net asset value due to adverse interest rate movements. In order to attempt to mitigate a portion of such risk, we utilize certain hedging techniques to attempt to lock in a portion of the net spread between the interest we earn on our assets and the interest we pay on our financing.
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Prepayment Risk.
Because residential borrowers have the option to prepay their mortgage loans at par at any time, we face the risk that we will experience a return of principal on our investments faster than anticipated. Prepayment risk generally increases when interest rates decline. In this scenario, our financial results may be adversely affected as we may have to invest that principal at potentially lower yields.
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Extension Risk.
Because residential borrowers have the option to make only scheduled payments on their mortgage loans, rather than prepay their mortgage loans, we face the risk that a return of capital on our investment will occur slower than anticipated. Extension risk generally increases when interest rates rise. In this scenario, our financial results may be adversely affected as we may have to finance our investments at potentially higher costs without the ability to reinvest principal into higher yielding securities because the rate at which borrowers refinance their mortgages, sell the property collateralizing the mortgage, or otherwise pay incremental principal payments occurs at a slower pace than was originally expected.
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Credit Risk.
We accept mortgage credit exposure at levels our Manager deems prudent within the context of our diversified investment strategy. Therefore, we may retain all or a portion of the credit risk on the loans underlying our non-agency RMBS, as well as any future investments in CMBS and individual residential and commercial mortgages. We seek to manage this risk through prudent asset selection, pre-acquisition due diligence, post-acquisition performance monitoring, and sale of assets where we identify negative credit trends. We may also manage credit risk with credit default swaps or other financial derivatives that our Manager believes are appropriate.
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Spread Risk.
When the market spread between the yield on our investments and benchmark interest rates widens, our net asset value could decline if the value of our investments falls by more than the offsetting fair value increases on our hedging instruments, creating what we refer to as “spread risk” or “basis risk.” The spread risk associated with our agency and non-agency securities and the resulting fluctuations in the fair value of these securities can occur independent of changes in benchmark interest rates and may relate to other factors impacting the mortgage and fixed income markets, such as actual or anticipated monetary policy actions by the Federal Reserve (“the Fed”), market liquidity, or changes in required rates of return on different assets.
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Risks Related to Other Real Estate Investments.
Our healthcare and independent living real estate investments are exposed to counterparty risk, including, for our equity investments, the ongoing ability of our tenant (the facility operator) to satisfy its lease obligations, or for our debt investments, the ongoing ability of the borrower (the facility owner) to make principal and interest payments. As such, our healthcare-related investments are heavily dependent upon the successful operation of the facilities by our counterparties. These operators and borrowers may be impacted by factors specific to the healthcare sector, including, but not limited to, regulatory changes, government reimbursement reductions and revisions to licensure or certification requirements. Additionally, healthcare real estate investments are relatively illiquid, generally cannot be sold quickly and may be subject to impairment charges based on factors such as market conditions and operator performance. We seek to manage these risks through detailed pre-transaction due diligence of target properties and associated operators, prudent asset selection, and active post-acquisition monitoring.
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1.
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At least 75% of our gross income for each taxable year generally must be derived from investments in real property or mortgages on real property.
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2.
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At least 95% of our gross income in each taxable year generally must be derived from some combination of income that qualifies under the 75% gross income test described above, as well as other dividends, interest, and gains from the sale or disposition of stock or securities, which need not have any relation to real property.
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1.
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At least 75% of the value of our total assets must be represented by some combination of “real estate assets,” cash, cash items, U.S. Government securities, and, under some circumstances, stock or debt instruments purchased with new capital. For this purpose, mortgage-backed securities and mortgage loans are generally treated as “real estate assets.” Assets that do not qualify for purposes of the 75% asset test are subject to the additional asset tests described below.
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2.
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The value of any one issuer's securities that we own may not exceed 5% of the value of our total assets.
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3.
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We may not own more than 10% of any one issuer's outstanding securities, as measured by either voting power or value. The 5% and 10% asset tests do not apply to securities of a TRS or QRS and the 10% asset test does not apply to “straight debt” having specified characteristics and to certain other securities described below.
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4.
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The aggregate value of all securities of all TRSs that we hold may not exceed 25% of the value of our total assets. For tax years beginning after December 31, 2017, the limit is reduced to 20% of the value of total assets.
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our lenders do not make repurchase or other financing agreements available to us at acceptable rates;
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lenders with whom we enter into repurchase or other financing agreements subsequently exit the market;
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our lenders require additional collateral to cover our borrowings, which we may be unable to do; or
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we determine that the leverage would expose us to excessive risk.
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interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates;
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available interest rate hedges may not correspond directly with the interest rate risk for which protection is sought;
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the duration of the hedge may not match the duration of the related asset or liability;
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the amount of income that a REIT may earn from hedging transactions other than hedging transactions that satisfy certain requirements of the Internal Revenue Code or that are done through a TRS is limited by Federal tax provisions governing REITs;
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the party owing money in the hedging transaction may default on its obligation to pay;
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the credit quality of the party owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
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the value of our interest rate hedges declines due to interest rate fluctuations, lapse of time or other factors, reducing our stockholders' equity.
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The status of Fannie Mae and Freddie Mac approvals is subject to compliance with each of their respective guidelines and other conditions they may impose and failure to meet such guidelines and conditions could result in the unilateral termination of the related approval;
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The owners of the loans we service (including the GSEs) may, under certain circumstances, terminate our MSR and cause us to convey the MSR to a third party, which could be for less than fair market value or no consideration;
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Our MSR are subserviced by a third party, and such third party’s failure to subservice the loans properly, or RCS’ failure to exercise appropriate oversight over the subservicer, could have an adverse impact on RCS’ financial results;
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The mortgage servicing business is heavily regulated, including regulation by the Consumer Financial Protection Bureau and other Federal and state agencies, and subject to significant litigation. Our failure or alleged failure to follow applicable laws and regulations could result in the loss or suspension of our licenses to conduct our business or subject us to substantial costs and liabilities related to regulatory inquiries and investigations, fines or penalties, court proceedings and litigation settlements. Continued growth in legal and regulatory requirements applicable to mortgage servicing companies could drive a dramatic increase in RCS’ compliance costs;
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Changes in minimum servicing amounts for GSE loans could occur at any time and could negatively impact the value of the income derived from MSR;
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GSE reform could have a significant impact on the current servicing economic model, which, in turn, could have a material adverse impact on our investments in MSR;
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Increased capital requirements for mortgage servicers enacted by FHFA and/or the GSEs could restrict our returns on MSR and projected returns on future acquisitions and, in turn, reduce our ability to realize the expected benefit of our investment in the servicing platform;
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Investments in MSR are highly illiquid and subject to numerous transfer restrictions and, as a result, there is risk that we would be unable to locate a willing buyer or get approval to sell MSR in the future should we desire to do so;
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The loss of the services of RCS’ senior executives could materially and adversely impact the operations and prospects for the RCS servicing platform;
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To the extent that we are unable to acquire MSR on favorable terms and scale our servicing platform, we may not realize the expected benefit of our investment in the servicing platform and may need to provide cash to RCS to fund its operations; and
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As the holder of MSR, we will be required to make servicing advances to meet contractual principal and interest remittance requirements, to pay property taxes and insurance premiums, pay legal expenses and fund other protective advances. These advances may be subject to delays in recovery or may not be recoverable under certain circumstances.
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Regular U.S. federal and state corporate income taxes on any undistributed taxable income, including undistributed net capital gains.
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A non-deductible 4% excise tax if the actual amount distributed to our stockholders in a calendar year is less than a minimum amount specified under federal tax laws.
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Corporate income taxes on the earnings of subsidiaries, to the extent that such subsidiaries are subchapter C corporations and are not qualified REIT subsidiaries or other disregarded entity for federal income tax purposes.
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A 100% tax on transactions between us and our TRSs, that do not reflect arm's-length terms.
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If we acquire appreciated assets from a corporation that is not a REIT (i.e., a corporation taxable under subchapter C of the Internal Revenue Code) in a transaction in which the adjusted tax basis of the assets in our hands is determined by reference to the adjusted tax basis of the assets in the hands of the subchapter C corporation, we may be subject to tax on such appreciation at the highest corporate income tax rate then applicable if we subsequently recognize a gain on a disposition of any such assets during the ten-year period following their acquisition from the subchapter C corporation.
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A 100% tax on net income and gains from “prohibited transactions.”
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Penalty taxes and other fines for failure to satisfy one or more requirements for REIT qualification.
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part of the income and gain recognized by certain qualified employee pension trusts with respect to our common stock may be treated as unrelated business taxable income if shares of our common stock are predominantly held by qualified employee pension trusts, and we are required to rely on a special look-through rule for purposes of meeting one of the REIT ownership tests, and we are not operated in a manner to avoid treatment of such income or gain as unrelated business taxable income;
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part of the income and gain recognized by a tax-exempt investor with respect to our common stock would constitute unrelated business taxable income if the investor incurs debt in order to acquire the common stock;
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part or all of the income or gain recognized with respect to our common stock by social clubs, voluntary employee benefit associations, supplemental unemployment benefit trusts and qualified group legal services plans which are exempt from federal income taxation under the Internal Revenue Code may be treated as unrelated business taxable income; and
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to the extent that we are (or a part of us, or a disregarded subsidiary of ours, is) a “taxable mortgage pool,” or if we hold residual interests in a REMIC, a portion of the distributions paid to a tax-exempt stockholder that is allocable to excess inclusion income may be treated as unrelated business taxable income.
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actual or anticipated variations in our quarterly operating results or distributions;
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changes in our earnings estimates or publication of research reports about us or the real estate or specialty finance industry;
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increases in market interest rates that lead purchasers of our shares of common stock to demand a higher yield;
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changes in market valuations of similar companies;
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adverse market reaction to any increased indebtedness we incur in the future;
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issuance of additional equity securities;
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our repurchases of shares of our common stock;
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actions by institutional stockholders;
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additions or departures of key management personnel, or changes in our relationship with our Manager;
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speculation in the press or investment community;
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price and volume fluctuations in the stock market from time to time, which are often unrelated to the operating performance of particular companies;
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changes in regulatory policies, tax laws and financial accounting and reporting standards, particularly with respect to REITs, or applicable exemptions from the Investment Company Act of 1940, as amended;
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actual or anticipated changes in our dividend policy and earnings or variations in operating results;
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any shortfall in revenue or net income or any increase in losses from levels expected by securities analysts;
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decreases in our net asset value per share;
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loss of major repurchase agreement providers; and
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general market and economic conditions.
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Common Stock
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Period
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High
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Low
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2016
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Fourth Quarter
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$
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17.40
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$
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15.40
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Third Quarter
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$
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17.77
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$
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15.45
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Second Quarter
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$
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16.11
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$
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14.31
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First Quarter
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$
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14.79
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$
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12.01
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2015
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Fourth Quarter
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$
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15.22
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$
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13.63
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Third Quarter
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$
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16.89
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$
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14.37
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Second Quarter
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$
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18.29
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$
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15.90
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First Quarter
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$
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19.39
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$
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17.76
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Tax Characterization of Dividends
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Declaration Date
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Record Date
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Payment Date
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Dividend Per Share
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Ordinary Income
Per Share
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Qualified Dividends
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Capital Gains Per Share
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||||||||
December 15, 2016
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December 30, 2016
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January 27, 2017
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$
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0.40
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$
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0.40
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$
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—
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$
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—
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September 15, 2016
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September 30, 2016
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October 27, 2016
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0.40
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0.40
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—
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—
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June 13, 2016
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June 30, 2016
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July 27, 2016
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0.40
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0.40
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—
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—
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March 17, 2016
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March 31, 2016
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April 27, 2016
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0.40
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0.40
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—
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—
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December 18, 2015
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December 31, 2015
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January 27, 2016
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0.40
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0.40
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—
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—
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September 17, 2015
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September 30, 2015
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October 27, 2015
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0.40
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0.40
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—
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—
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June 15, 2015
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June 30, 2015
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July 27, 2015
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0.50
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0.50
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—
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—
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March 19, 2015
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March 31, 2015
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April 27, 2015
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0.50
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0.50
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—
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—
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Plan Category
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Number of Securities to be Issued Upon Exercise of Outstanding Options, Warrants and Rights
(1)
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Weighted-average Exercise Price of Outstanding Options, Warrants and Rights
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Number of Securities Remaining Available for Future Issuance Under Equity Compensation Plans (excluding securities reflected in the first column of this table)
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||||
Equity compensation plans approved by security holders
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10,506
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$
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—
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862,277
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Equity compensation plans not approved by security holders
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—
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—
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—
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Total
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10,506
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$
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—
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|
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862,277
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Date
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MTGE Investment Corp.
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S&P 500
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FTSE NAREIT Mortgage REITS
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Peer Group
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||||||||
12/31/2011
|
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$
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100.00
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|
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$
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100.00
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|
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$
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100.00
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$
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100.00
|
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12/31/2012
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$
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145.34
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$
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116.00
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|
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$
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119.89
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|
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$
|
134.90
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12/31/2013
|
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$
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125.11
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|
|
$
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153.58
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|
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$
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117.54
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$
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141.09
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12/31/2014
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$
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154.13
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$
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174.60
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$
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138.56
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$
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171.61
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12/31/2015
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|
$
|
127.82
|
|
|
$
|
177.01
|
|
|
$
|
126.26
|
|
|
$
|
157.42
|
|
12/31/2016
|
|
$
|
151.50
|
|
|
$
|
198.18
|
|
|
$
|
155.11
|
|
|
$
|
206.53
|
|
|
|
|
|
December 31,
|
||||||||||||||||
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
Balance sheet data:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment portfolio, at fair value
(1)
|
|
$
|
4,980,995
|
|
|
$
|
4,903,558
|
|
|
$
|
5,918,230
|
|
|
$
|
5,932,474
|
|
|
$
|
7,048,445
|
|
Total assets
|
|
$
|
4,797,155
|
|
|
$
|
5,482,402
|
|
|
$
|
7,031,252
|
|
|
$
|
8,397,865
|
|
|
$
|
7,696,140
|
|
Financing arrangements
|
|
$
|
3,311,043
|
|
|
$
|
4,107,615
|
|
|
$
|
5,423,630
|
|
|
$
|
7,158,192
|
|
|
$
|
6,245,791
|
|
Total liabilities
|
|
$
|
3,864,110
|
|
|
$
|
4,491,290
|
|
|
$
|
5,855,283
|
|
|
$
|
7,295,145
|
|
|
$
|
6,770,578
|
|
Total stockholders' equity
|
|
$
|
932,730
|
|
|
$
|
991,112
|
|
|
$
|
1,175,969
|
|
|
$
|
1,102,720
|
|
|
$
|
925,562
|
|
Net asset value per common share
|
|
$
|
19.17
|
|
|
$
|
19.66
|
|
|
$
|
21.91
|
|
|
$
|
21.47
|
|
|
$
|
25.74
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
For the Year Ended December 31,
|
||||||||||||||||||
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
Statement of operations data:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest income
|
|
$
|
147,770
|
|
|
$
|
174,118
|
|
|
$
|
183,358
|
|
|
$
|
255,699
|
|
|
$
|
145,420
|
|
Interest expense
|
|
(39,582
|
)
|
|
(30,800
|
)
|
|
(28,631
|
)
|
|
(38,754
|
)
|
|
(22,067
|
)
|
|||||
Net interest income
|
|
108,188
|
|
|
143,318
|
|
|
154,727
|
|
|
216,945
|
|
|
123,353
|
|
|||||
Net servicing loss
|
|
(17,690
|
)
|
|
(17,367
|
)
|
|
(15,213
|
)
|
|
(4,139
|
)
|
|
—
|
|
|||||
Net healthcare real estate income
|
|
659
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Other gains (losses)
|
|
(23,844
|
)
|
|
(139,062
|
)
|
|
45,265
|
|
|
(270,676
|
)
|
|
142,665
|
|
|||||
Expenses
|
|
(23,767
|
)
|
|
(25,205
|
)
|
|
(25,362
|
)
|
|
(25,921
|
)
|
|
(14,656
|
)
|
|||||
Benefit from (provision for) income tax, net
|
|
125
|
|
|
(42
|
)
|
|
(238
|
)
|
|
(679
|
)
|
|
(1,182
|
)
|
|||||
Net income (loss)
|
|
43,671
|
|
|
(38,358
|
)
|
|
159,179
|
|
|
(84,470
|
)
|
|
250,180
|
|
|||||
Dividend on preferred stock
|
|
(4,468
|
)
|
|
(4,468
|
)
|
|
(2,718
|
)
|
|
—
|
|
|
—
|
|
|||||
Noncontrolling interest in net income
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Net income (loss) to common shareholders
|
|
$
|
39,201
|
|
|
$
|
(42,826
|
)
|
|
$
|
156,461
|
|
|
$
|
(84,470
|
)
|
|
$
|
250,180
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net income (loss) per common share - basic and diluted
|
|
$
|
0.85
|
|
|
$
|
(0.85
|
)
|
|
$
|
3.06
|
|
|
$
|
(1.59
|
)
|
|
$
|
8.90
|
|
Weighted average number of common shares outstanding - basic
|
|
46,005
|
|
|
50,506
|
|
|
51,176
|
|
|
53,015
|
|
|
28,100
|
|
|||||
Weighted average number of common shares outstanding - diluted
|
|
46,008
|
|
|
50,519
|
|
|
51,192
|
|
|
53,015
|
|
|
28,100
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Dividends declared per common share
|
|
$
|
1.60
|
|
|
$
|
1.80
|
|
|
$
|
2.60
|
|
|
$
|
3.05
|
|
|
$
|
3.60
|
|
(1)
|
Investment portfolio as of
December 31, 2016
includes
$900.3 million
of net long TBA market value.
|
|
|
For the Years Ended December 31,
|
||||||||||||||||||
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
Ending agency securities, at fair value
|
|
$
|
2,803,168
|
|
|
$
|
3,217,252
|
|
|
$
|
4,384,139
|
|
|
$
|
5,641,682
|
|
|
$
|
6,367,042
|
|
Ending agency securities, at cost
|
|
$
|
2,836,564
|
|
|
$
|
3,235,938
|
|
|
$
|
4,374,729
|
|
|
$
|
5,820,194
|
|
|
$
|
6,229,770
|
|
Ending agency securities, at par
|
|
$
|
2,703,884
|
|
|
$
|
3,073,198
|
|
|
$
|
4,190,407
|
|
|
$
|
5,573,593
|
|
|
$
|
5,904,666
|
|
Average agency securities, at cost
|
|
$
|
3,028,307
|
|
|
$
|
3,817,686
|
|
|
$
|
4,759,753
|
|
|
$
|
7,352,882
|
|
|
$
|
4,580,366
|
|
Average agency securities, at par
|
|
$
|
2,879,328
|
|
|
$
|
3,641,760
|
|
|
$
|
4,562,017
|
|
|
$
|
6,996,922
|
|
|
$
|
4,363,888
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Ending non-agency securities, at fair value
|
|
$
|
1,134,469
|
|
|
$
|
1,557,671
|
|
|
$
|
1,168,834
|
|
|
$
|
1,011,217
|
|
|
$
|
681,403
|
|
Ending non-agency securities, at cost
|
|
$
|
1,079,363
|
|
|
$
|
1,543,113
|
|
|
$
|
1,111,123
|
|
|
$
|
927,131
|
|
|
$
|
616,707
|
|
Ending non-agency securities, at par
|
|
$
|
1,265,040
|
|
|
$
|
1,759,482
|
|
|
$
|
1,373,652
|
|
|
$
|
1,526,918
|
|
|
$
|
1,045,891
|
|
Average non-agency securities, at cost
|
|
$
|
1,270,040
|
|
|
$
|
1,361,149
|
|
|
$
|
971,412
|
|
|
$
|
788,260
|
|
|
$
|
341,167
|
|
Average non-agency securities, at par
|
|
$
|
1,469,365
|
|
|
$
|
1,602,128
|
|
|
$
|
1,458,861
|
|
|
$
|
1,334,104
|
|
|
$
|
566,446
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net TBA portfolio - as of period end, at fair value
|
|
$
|
900,316
|
|
|
$
|
44,988
|
|
|
$
|
271,617
|
|
|
$
|
(774,840
|
)
|
|
NM
|
|
|
Net TBA portfolio - as of period end, at cost
|
|
$
|
918,805
|
|
|
$
|
44,181
|
|
|
$
|
259,985
|
|
|
$
|
(775,859
|
)
|
|
NM
|
|
|
Average net TBA portfolio, at cost
|
|
$
|
562,934
|
|
|
$
|
112,907
|
|
|
$
|
685,683
|
|
|
$
|
559,724
|
|
|
NM
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Average total assets, at fair value
|
|
$
|
4,949,469
|
|
|
$
|
6,460,150
|
|
|
$
|
7,231,528
|
|
|
$
|
9,706,830
|
|
|
$
|
5,587,865
|
|
Average agency and non-agency repurchase agreements and advances
|
|
$
|
3,677,854
|
|
|
$
|
4,500,978
|
|
|
$
|
4,989,896
|
|
|
$
|
7,222,101
|
|
|
$
|
4,490,364
|
|
Average stockholders' equity
|
|
$
|
962,440
|
|
|
$
|
1,120,068
|
|
|
$
|
1,165,952
|
|
|
$
|
1,208,812
|
|
|
$
|
660,695
|
|
|
|
For the Years Ended December 31,
|
||||||||||||||||||
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
Average coupon
|
|
3.33
|
%
|
|
3.17
|
%
|
|
2.96
|
%
|
|
3.11
|
%
|
|
3.34
|
%
|
|||||
Average asset yield
|
|
3.42
|
%
|
|
3.36
|
%
|
|
3.19
|
%
|
|
3.14
|
%
|
|
2.97
|
%
|
|||||
Average cost of funds
(1)
|
|
1.35
|
%
|
|
1.05
|
%
|
|
0.98
|
%
|
|
1.10
|
%
|
|
0.91
|
%
|
|||||
Average net interest rate spread
|
|
2.07
|
%
|
|
2.31
|
%
|
|
2.21
|
%
|
|
2.03
|
%
|
|
2.06
|
%
|
|||||
Average net interest rate spread and
TBA dollar roll income
(2)
|
|
2.12
|
%
|
|
2.37
|
%
|
|
2.28
|
%
|
|
2.13
|
%
|
|
NM
|
|
|||||
Average net interest rate spread and TBA dollar roll income, excluding estimated “catch-up” premium amortization
|
|
2.16
|
%
|
|
2.35
|
%
|
|
2.34
|
%
|
|
1.91
|
%
|
|
NM
|
|
|||||
Average coupon as of period end
|
|
3.35
|
%
|
|
3.31
|
%
|
|
3.06
|
%
|
|
2.94
|
%
|
|
3.17
|
%
|
|||||
Average asset yield as of period end
|
|
3.70
|
%
|
|
3.60
|
%
|
|
3.24
|
%
|
|
3.18
|
%
|
|
2.91
|
%
|
|||||
Average cost of funds as of period end
|
|
1.62
|
%
|
|
1.23
|
%
|
|
1.02
|
%
|
|
0.88
|
%
|
|
1.03
|
%
|
|||||
Average net interest rate spread as of period end
|
|
2.08
|
%
|
|
2.37
|
%
|
|
2.22
|
%
|
|
2.30
|
%
|
|
1.88
|
%
|
|||||
Average actual CPR for agency securities held during the period
|
|
11.4
|
%
|
|
9.4
|
%
|
|
7.6
|
%
|
|
6.5
|
%
|
|
6.1
|
%
|
|||||
Average projected life CPR for agency securities as of period end
|
|
8.1
|
%
|
|
8.5
|
%
|
|
8.2
|
%
|
|
7.3
|
%
|
|
9.0
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Leverage - average during the period
(3)
|
|
4.1x
|
|
|
4.3x
|
|
|
4.7x
|
|
|
6.0x
|
|
|
6.8x
|
|
|||||
Leverage - average during the period, including net TBA position
|
|
4.7x
|
|
|
4.4x
|
|
|
5.3x
|
|
|
6.3x
|
|
|
NM
|
|
|||||
Leverage - as of period end
(4)
|
|
3.7x
|
|
|
4.4x
|
|
|
4.4x
|
|
|
5.9x
|
|
|
6.7x
|
|
|||||
Leverage - as of period end, including net TBA position
|
|
4.8x
|
|
|
4.5x
|
|
|
4.6x
|
|
|
5.1x
|
|
|
NM
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Expenses % of average total assets - annualized
|
|
0.5
|
%
|
|
0.4
|
%
|
|
0.4
|
%
|
|
0.3
|
%
|
|
0.3
|
%
|
|||||
Expenses % of average stockholders' equity - annualized
|
|
2.5
|
%
|
|
2.3
|
%
|
|
2.2
|
%
|
|
2.1
|
%
|
|
2.2
|
%
|
|||||
Net asset value per common share as of period end
|
|
$
|
19.17
|
|
|
$
|
19.66
|
|
|
$
|
21.91
|
|
|
$
|
21.47
|
|
|
$
|
25.74
|
|
Dividends declared per common share
|
|
$
|
1.60
|
|
|
$
|
1.80
|
|
|
$
|
2.60
|
|
|
$
|
3.05
|
|
|
$
|
3.60
|
|
Economic return on common equity - annualized
|
|
5.6
|
%
|
|
(2.1
|
)%
|
|
13.7
|
%
|
|
(7.0
|
)%
|
|
37.9
|
%
|
(1)
|
Average cost of funds includes periodic settlements of interest rate swaps and excludes U.S. Treasury repurchase agreements.
|
(2)
|
Estimated dollar roll income excludes the impact of other supplemental hedges and is recognized in gain (loss) on other derivatives and securities, net.
|
(3)
|
Leverage during the period was calculated by dividing the Company's daily weighted average agency and non-agency financing agreements for the period by the Company's average month-ended stockholders' equity for the period less investments in RCS, agency mortgage REIT equity securities and healthcare real estate investments. Leverage excludes U.S. Treasury repurchase agreements.
|
(4)
|
Leverage at period end was calculated by dividing the sum of the amount outstanding under the Company's agency and non-agency financing agreements, and the net receivable/payable for unsettled securities at period end by the Company's stockholders' equity at period end less investments in RCS, agency mortgage REIT equity securities and healthcare real estate investments. Leverage excludes U.S. Treasury repurchase agreements.
|
•
|
Financial Condition
|
•
|
Results of Operations
|
•
|
Liquidity and Capital Resources
|
•
|
Off-Balance Sheet Arrangements
|
•
|
Aggregate Contractual Obligations
|
•
|
Forward-Looking Statements
|
Interest Rate / Security
(1)
|
|
December 31, 2016
|
|
September 30, 2016
|
|
June 30, 2016
|
|
March 31, 2016
|
|
December 31, 2015
|
||||||||||
LIBOR:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
1-Month
|
|
0.77
|
%
|
|
0.53
|
%
|
|
0.47
|
%
|
|
0.44
|
%
|
|
0.43
|
%
|
|||||
3-Month
|
|
1.00
|
%
|
|
0.85
|
%
|
|
0.65
|
%
|
|
0.63
|
%
|
|
0.61
|
%
|
|||||
U.S. Treasury Securities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
2-Year U.S. Treasury
|
|
1.20
|
%
|
|
0.76
|
%
|
|
0.59
|
%
|
|
0.73
|
%
|
|
1.06
|
%
|
|||||
5-Year U.S. Treasury
|
|
1.92
|
%
|
|
1.15
|
%
|
|
1.01
|
%
|
|
1.22
|
%
|
|
1.77
|
%
|
|||||
10-Year U.S. Treasury
|
|
2.43
|
%
|
|
1.61
|
%
|
|
1.49
|
%
|
|
1.78
|
%
|
|
2.27
|
%
|
|||||
Interest Rate Swap Rates:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
2-Year Swap Rate
|
|
1.46
|
%
|
|
1.01
|
%
|
|
0.74
|
%
|
|
0.85
|
%
|
|
1.17
|
%
|
|||||
5-Year Swap Rate
|
|
1.96
|
%
|
|
1.18
|
%
|
|
0.99
|
%
|
|
1.18
|
%
|
|
1.73
|
%
|
|||||
10-Year Swap Rate
|
|
2.32
|
%
|
|
1.46
|
%
|
|
1.38
|
%
|
|
1.64
|
%
|
|
2.19
|
%
|
|||||
30-Year Fixed Rate Agency Price:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
3.5%
|
|
$
|
102.50
|
|
|
$
|
105.53
|
|
|
$
|
105.50
|
|
|
$
|
104.86
|
|
|
$
|
103.18
|
|
4.0%
|
|
$
|
105.13
|
|
|
$
|
107.41
|
|
|
$
|
107.23
|
|
|
$
|
106.86
|
|
|
$
|
105.83
|
|
4.5%
|
|
$
|
107.51
|
|
|
$
|
109.52
|
|
|
$
|
109.17
|
|
|
$
|
108.82
|
|
|
$
|
108.00
|
|
15-Year Fixed Rate Agency Price:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
2.5%
|
|
$
|
100.20
|
|
|
$
|
103.56
|
|
|
$
|
103.48
|
|
|
$
|
102.66
|
|
|
$
|
100.80
|
|
3.0%
|
|
$
|
102.62
|
|
|
$
|
104.99
|
|
|
$
|
104.84
|
|
|
$
|
104.47
|
|
|
$
|
103.02
|
|
3.5%
|
|
$
|
104.17
|
|
|
$
|
105.41
|
|
|
$
|
105.97
|
|
|
$
|
105.59
|
|
|
$
|
104.72
|
|
(1)
|
Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information can vary by source. Prices in the table above were obtained from a combination of Bloomberg and dealer indications. Interest rates were obtained from Bloomberg.
|
Specified Mortgage Pool Pay-ups over Generic TBA Price
(1)(2)
|
|
December 31, 2016
|
|
September 30, 2016
|
|
June
30, 2016
|
|
March
31, 2016
|
|
December 31, 2015
|
||||||||||
30-Year Lower Loan Balance
(3)
:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
3.0%
|
|
$
|
0.23
|
|
|
$
|
0.72
|
|
|
$
|
0.84
|
|
|
$
|
0.25
|
|
|
$
|
0.17
|
|
3.5%
|
|
$
|
0.72
|
|
|
$
|
1.91
|
|
|
$
|
1.72
|
|
|
$
|
1.00
|
|
|
$
|
0.47
|
|
4.0%
|
|
$
|
1.08
|
|
|
$
|
2.78
|
|
|
$
|
2.63
|
|
|
$
|
1.75
|
|
|
$
|
0.98
|
|
30-Year HARP
(4)
:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
3.5%
|
|
$
|
0.16
|
|
|
$
|
0.56
|
|
|
$
|
0.47
|
|
|
$
|
0.25
|
|
|
$
|
0.04
|
|
4.0%
|
|
$
|
0.44
|
|
|
$
|
1.19
|
|
|
$
|
1.06
|
|
|
$
|
0.63
|
|
|
$
|
0.42
|
|
(1)
|
Source: Bloomberg and dealer indications.
|
(2)
|
“Pay-ups” represent the value of the price premium of specified securities over generic TBA pools. The table above includes pay-ups for newly originated specified pools. Price information is provided for information only and is not meant to be reflective of our specific portfolio holdings. Prices can vary materially depending on the source.
|
(3)
|
Lower loan balance pay-ups for pools with original loan balances from $85,000 to $110,000.
|
(4)
|
HARP pay-ups for pools backed by 100% refinance loans with original loan-to-value ratios between 95% and 100%.
|
|
|
December 31, 2016
|
||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis
|
|
Par Value
|
|
Weighted Average
|
||||||||||
Coupon
|
|
Yield
(1)
|
||||||||||||||||
Fannie Mae
|
|
$
|
2,177,517
|
|
|
$
|
2,201,824
|
|
|
$
|
2,103,244
|
|
|
3.49
|
%
|
|
2.71
|
%
|
Freddie Mac
|
|
625,651
|
|
|
634,740
|
|
|
600,640
|
|
|
3.60
|
%
|
|
2.69
|
%
|
|||
Agency RMBS total
|
|
2,803,168
|
|
|
2,836,564
|
|
|
2,703,884
|
|
|
3.52
|
%
|
|
2.71
|
%
|
|||
Non-agency securities
|
|
1,134,469
|
|
|
1,079,363
|
|
|
1,265,040
|
|
|
3.00
|
%
|
|
6.31
|
%
|
|||
Total
|
|
$
|
3,937,637
|
|
|
$
|
3,915,927
|
|
|
$
|
3,968,924
|
|
|
3.35
|
%
|
|
3.70
|
%
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
December 31, 2015
|
||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis
|
|
Par Value
|
|
Weighted Average
|
||||||||||
|
|
Coupon
|
|
Yield
(1)
|
||||||||||||||
Fannie Mae
|
|
$
|
2,535,998
|
|
|
$
|
2,549,447
|
|
|
$
|
2,421,576
|
|
|
3.58
|
%
|
|
2.68
|
%
|
Freddie Mac
|
|
681,254
|
|
|
686,491
|
|
|
651,622
|
|
|
3.58
|
%
|
|
2.71
|
%
|
|||
Agency RMBS total
|
|
3,217,252
|
|
|
3,235,938
|
|
|
3,073,198
|
|
|
3.58
|
%
|
|
2.68
|
%
|
|||
Non-agency securities
|
|
1,557,671
|
|
|
1,543,113
|
|
|
1,759,482
|
|
|
2.84
|
%
|
|
5.51
|
%
|
|||
Total
|
|
$
|
4,774,923
|
|
|
$
|
4,779,051
|
|
|
$
|
4,832,680
|
|
|
3.31
|
%
|
|
3.60
|
%
|
(1)
|
The weighted average agency security yield incorporates an average future CPR assumption of
8.1%
and
8.5%
as of
December 31, 2016 and 2015
, respectively, based on forward rates. For non-agency securities, the weighted average yield is based on estimated cash flows that incorporate expected credit losses.
|
|
|
December 31, 2016
|
||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis
|
|
Par Value
|
|
Weighted Average
|
||||||||||
|
|
Yield
|
|
Projected CPR
|
||||||||||||||
Fixed rate
|
|
|
|
|
|
|
|
|
|
|
||||||||
≤ 15-year
|
|
|
|
|
|
|
|
|
|
|
||||||||
2.5%
|
|
$
|
38,679
|
|
|
$
|
38,453
|
|
|
$
|
38,430
|
|
|
2.44
|
%
|
|
8.5
|
%
|
3.0%
|
|
170,483
|
|
|
170,760
|
|
|
165,600
|
|
|
2.13
|
%
|
|
9.3
|
%
|
|||
3.5%
|
|
145,474
|
|
|
145,449
|
|
|
138,882
|
|
|
2.27
|
%
|
|
9.8
|
%
|
|||
4.0%
|
|
121,946
|
|
|
121,772
|
|
|
114,950
|
|
|
2.18
|
%
|
|
11.0
|
%
|
|||
4.5%
|
|
10,182
|
|
|
10,176
|
|
|
9,584
|
|
|
2.60
|
%
|
|
10.6
|
%
|
|||
≤ 15-year total
|
|
486,764
|
|
|
486,610
|
|
|
467,446
|
|
|
2.22
|
%
|
|
9.8
|
%
|
|||
20-year
|
|
|
|
|
|
|
|
|
|
|
||||||||
3.0%
|
|
63,143
|
|
|
64,046
|
|
|
62,174
|
|
|
2.34
|
%
|
|
9.9
|
%
|
|||
3.5%
|
|
82,399
|
|
|
81,492
|
|
|
79,101
|
|
|
2.84
|
%
|
|
9.6
|
%
|
|||
5.0%
|
|
1,532
|
|
|
1,544
|
|
|
1,409
|
|
|
2.23
|
%
|
|
16.7
|
%
|
|||
20-year total
|
|
147,074
|
|
|
147,082
|
|
|
142,684
|
|
|
2.62
|
%
|
|
9.8
|
%
|
|||
30-year
|
|
|
|
|
|
|
|
|
|
|
||||||||
3.0%
|
|
198,782
|
|
|
197,946
|
|
|
199,809
|
|
|
3.11
|
%
|
|
5.1
|
%
|
|||
3.5%
|
|
1,228,590
|
|
|
1,256,364
|
|
|
1,191,142
|
|
|
2.72
|
%
|
|
7.2
|
%
|
|||
4.0%
|
|
579,557
|
|
|
587,998
|
|
|
547,289
|
|
|
2.92
|
%
|
|
7.6
|
%
|
|||
4.5%
|
|
53,590
|
|
|
53,938
|
|
|
49,339
|
|
|
3.12
|
%
|
|
7.6
|
%
|
|||
30-year total
|
|
2,060,519
|
|
|
2,096,246
|
|
|
1,987,579
|
|
|
2.82
|
%
|
|
7.1
|
%
|
|||
Pass through agency RMBS
|
|
2,694,357
|
|
|
2,729,938
|
|
|
2,597,709
|
|
|
2.70
|
%
|
|
7.8
|
%
|
|||
Agency CMO
|
|
17,178
|
|
|
17,227
|
|
|
15,569
|
|
|
2.82
|
%
|
|
6.9
|
%
|
|||
Total fixed-rate agency RMBS
|
|
2,711,535
|
|
|
2,747,165
|
|
|
2,613,278
|
|
|
2.70
|
%
|
|
7.8
|
%
|
|||
Adjustable rate agency RMBS
|
|
91,633
|
|
|
89,399
|
|
|
90,606
|
|
|
2.85
|
%
|
|
17.4
|
%
|
|||
Total agency RMBS
|
|
$
|
2,803,168
|
|
|
$
|
2,836,564
|
|
|
$
|
2,703,884
|
|
|
2.71
|
%
|
|
8.1
|
%
|
|
|
December 31, 2015
|
||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis
|
|
Par Value
|
|
Weighted Average
|
||||||||||
|
|
Yield
|
|
Projected CPR
|
||||||||||||||
Fixed rate
|
|
|
|
|
|
|
|
|
|
|
||||||||
≤ 15-year
|
|
|
|
|
|
|
|
|
|
|
||||||||
2.5%
|
|
$
|
94,970
|
|
|
$
|
94,829
|
|
|
$
|
93,817
|
|
|
2.20
|
%
|
|
8.4
|
%
|
3.0%
|
|
272,738
|
|
|
272,178
|
|
|
263,894
|
|
|
2.20
|
%
|
|
8.7
|
%
|
|||
3.5%
|
|
254,204
|
|
|
254,246
|
|
|
241,720
|
|
|
2.28
|
%
|
|
9.3
|
%
|
|||
4.0%
|
|
156,392
|
|
|
155,880
|
|
|
146,564
|
|
|
2.20
|
%
|
|
10.7
|
%
|
|||
4.5%
|
|
12,933
|
|
|
13,107
|
|
|
12,303
|
|
|
2.63
|
%
|
|
10.6
|
%
|
|||
≤ 15-year total
|
|
791,237
|
|
|
790,240
|
|
|
758,298
|
|
|
2.23
|
%
|
|
9.3
|
%
|
|||
20-year
|
|
|
|
|
|
|
|
|
|
|
||||||||
3.0%
|
|
72,322
|
|
|
72,931
|
|
|
70,663
|
|
|
2.34
|
%
|
|
9.5
|
%
|
|||
3.5%
|
|
98,186
|
|
|
96,997
|
|
|
94,053
|
|
|
2.88
|
%
|
|
8.4
|
%
|
|||
4.0%
|
|
4,187
|
|
|
4,131
|
|
|
3,918
|
|
|
2.72
|
%
|
|
11.1
|
%
|
|||
5.0%
|
|
2,174
|
|
|
2,168
|
|
|
1,981
|
|
|
2.28
|
%
|
|
17.4
|
%
|
|||
20-year total
|
|
176,869
|
|
|
176,227
|
|
|
170,615
|
|
|
2.64
|
%
|
|
9.0
|
%
|
|||
30-year
|
|
|
|
|
|
|
|
|
|
|
||||||||
3.5%
|
|
1,055,931
|
|
|
1,073,504
|
|
|
1,019,232
|
|
|
2.74
|
%
|
|
7.2
|
%
|
|||
4.0%
|
|
998,053
|
|
|
1,004,945
|
|
|
939,460
|
|
|
2.93
|
%
|
|
8.7
|
%
|
|||
4.5%
|
|
66,761
|
|
|
66,009
|
|
|
61,066
|
|
|
3.25
|
%
|
|
8.0
|
%
|
|||
30-year total
|
|
2,120,745
|
|
|
2,144,458
|
|
|
2,019,758
|
|
|
2.85
|
%
|
|
7.9
|
%
|
|||
Pass through agency RMBS
|
|
3,088,851
|
|
|
3,110,925
|
|
|
2,948,671
|
|
|
2.68
|
%
|
|
8.3
|
%
|
|||
Agency CMO
|
|
20,562
|
|
|
20,211
|
|
|
18,143
|
|
|
2.90
|
%
|
|
6.9
|
%
|
|||
Total fixed-rate agency RMBS
|
|
3,109,413
|
|
|
3,131,136
|
|
|
2,966,814
|
|
|
2.68
|
%
|
|
8.3
|
%
|
|||
Adjustable rate agency RMBS
|
|
107,839
|
|
|
104,802
|
|
|
106,384
|
|
|
2.82
|
%
|
|
14.2
|
%
|
|||
Total agency RMBS
|
|
$
|
3,217,252
|
|
|
$
|
3,235,938
|
|
|
$
|
3,073,198
|
|
|
2.68
|
%
|
|
8.5
|
%
|
|
|
December 31, 2016
|
|||||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis
|
|
Par Value
|
|
Weighted Average
|
|||||||||||||
Coupon
|
|
Yield
|
|
Projected CPR
|
|||||||||||||||||
HARP
(1)
|
|
$
|
683,762
|
|
|
$
|
691,910
|
|
|
$
|
660,534
|
|
|
3.56
|
%
|
|
2.84
|
%
|
|
7.3
|
%
|
Lower loan balance
(2)
|
|
1,614,136
|
|
|
1,639,217
|
|
|
1,546,329
|
|
|
3.61
|
%
|
|
2.59
|
%
|
|
8.2
|
%
|
|||
Other
|
|
396,459
|
|
|
398,811
|
|
|
390,846
|
|
|
3.30
|
%
|
|
2.93
|
%
|
|
6.9
|
%
|
|||
Pass through agency RMBS
|
|
2,694,357
|
|
|
2,729,938
|
|
|
2,597,709
|
|
|
3.55
|
%
|
|
2.70
|
%
|
|
7.8
|
%
|
|||
Agency CMO
|
|
17,178
|
|
|
17,227
|
|
|
15,569
|
|
|
3.06
|
%
|
|
2.82
|
%
|
|
6.9
|
%
|
|||
Total fixed-rate agency RMBS
|
|
2,711,535
|
|
|
2,747,165
|
|
|
2,613,278
|
|
|
3.55
|
%
|
|
2.70
|
%
|
|
7.8
|
%
|
|||
Adjustable rate agency RMBS
|
|
91,633
|
|
|
89,399
|
|
|
90,606
|
|
|
2.56
|
%
|
|
2.85
|
%
|
|
17.4
|
%
|
|||
Total agency RMBS
|
|
$
|
2,803,168
|
|
|
$
|
2,836,564
|
|
|
$
|
2,703,884
|
|
|
3.52
|
%
|
|
2.71
|
%
|
|
8.1
|
%
|
(1)
|
HARP securities are defined as pools backed by 100% refinance loans with LTVs greater than or equal to 80%. Our HARP securities had a weighted average LTV of 123% and 127% for 15-year and 30-year securities, respectively, as of
December 31, 2016
. Includes $409.6 million of >105% LTV pools which are not deliverable into TBA securities.
|
(2)
|
Lower loan balance securities represent pools with maximum original loan balances less than or equal to $150,000. Our lower loan balance securities had a weighted average original loan balance of $98,966 and $95,296 for 15-year and 30-year securities, respectively, as of
December 31, 2016
.
|
|
|
December 31, 2015
|
|||||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis
|
|
Par Value
|
|
Weighted Average
|
|||||||||||||
Coupon
|
|
Yield
|
|
Projected CPR
|
|||||||||||||||||
HARP
(1)
|
|
$
|
881,496
|
|
|
$
|
888,212
|
|
|
$
|
846,461
|
|
|
3.58
|
%
|
|
2.85
|
%
|
|
7.1
|
%
|
Lower loan balance
(2)
|
|
1,716,329
|
|
|
1,728,917
|
|
|
1,638,365
|
|
|
3.55
|
%
|
|
2.55
|
%
|
|
8.4
|
%
|
|||
Other
|
|
491,026
|
|
|
493,796
|
|
|
463,845
|
|
|
3.96
|
%
|
|
2.84
|
%
|
|
10.2
|
%
|
|||
Pass through agency RMBS
|
|
3,088,851
|
|
|
3,110,925
|
|
|
2,948,671
|
|
|
3.62
|
%
|
|
2.68
|
%
|
|
8.3
|
%
|
|||
Agency CMO
|
|
20,562
|
|
|
20,211
|
|
|
18,143
|
|
|
3.05
|
%
|
|
2.90
|
%
|
|
6.9
|
%
|
|||
Total fixed-rate agency RMBS
|
|
3,109,413
|
|
|
3,131,136
|
|
|
2,966,814
|
|
|
3.62
|
%
|
|
2.68
|
%
|
|
8.3
|
%
|
|||
Adjustable rate agency RMBS
|
|
107,839
|
|
|
104,802
|
|
|
106,384
|
|
|
2.58
|
%
|
|
2.82
|
%
|
|
14.2
|
%
|
|||
Total agency RMBS
|
|
$
|
3,217,252
|
|
|
$
|
3,235,938
|
|
|
$
|
3,073,198
|
|
|
3.58
|
%
|
|
2.68
|
%
|
|
8.5
|
%
|
(1)
|
Our HARP securities had a weighted average LTV of 119% and 124% for 15-year and 30-year securities, respectively, as of
December 31, 2015
. Includes $478.7 million of >105% LTV pools which are not deliverable into TBA securities.
|
(2)
|
Our lower loan balance securities had a weighted average original loan balance of $104,823 and $87,210 for 15-year and 30-year securities, respectively, as of
December 31, 2015
.
|
|
|
December 31, 2016
|
||||||||||||||
|
|
Notional Amount
(1)
|
|
Cost Basis
(2)
|
|
Market
Value (3) |
|
Net Carrying Value
(4)
|
||||||||
|
|
|
||||||||||||||
15- Year
|
|
|
|
|
|
|
|
|
||||||||
2.5%
|
|
$
|
247,977
|
|
|
$
|
250,695
|
|
|
$
|
248,357
|
|
|
$
|
(2,338
|
)
|
3.0%
|
|
31,952
|
|
|
32,953
|
|
|
32,760
|
|
|
(193
|
)
|
||||
Subtotal
|
|
279,929
|
|
|
283,648
|
|
|
281,117
|
|
|
(2,531
|
)
|
||||
30-Year
|
|
|
|
|
|
|
|
|
||||||||
3.0%
|
|
378,200
|
|
|
391,402
|
|
|
375,714
|
|
|
(15,688
|
)
|
||||
3.5%
|
|
(133,828
|
)
|
|
(136,618
|
)
|
|
(137,253
|
)
|
|
(635
|
)
|
||||
4.0%
|
|
340,623
|
|
|
357,640
|
|
|
358,037
|
|
|
397
|
|
||||
4.5%
|
|
21,117
|
|
|
22,733
|
|
|
22,701
|
|
|
(32
|
)
|
||||
Subtotal
|
|
606,112
|
|
|
635,157
|
|
|
619,199
|
|
|
(15,958
|
)
|
||||
Portfolio total
|
|
$
|
886,041
|
|
|
$
|
918,805
|
|
|
$
|
900,316
|
|
|
$
|
(18,489
|
)
|
|
|
December 31, 2015
|
||||||||||||||
|
|
Notional Amount
(1)
|
|
Cost Basis
(2)
|
|
Market
Value (3) |
|
Net Carrying Value
(4)
|
||||||||
|
|
|
||||||||||||||
15- Year
|
|
|
|
|
|
|
|
|
||||||||
2.5%
|
|
$
|
9,827
|
|
|
$
|
9,926
|
|
|
$
|
9,905
|
|
|
$
|
(21
|
)
|
3.0%
|
|
(98,270
|
)
|
|
(101,438
|
)
|
|
(101,233
|
)
|
|
205
|
|
||||
3.5%
|
|
7,422
|
|
|
7,792
|
|
|
7,772
|
|
|
(20
|
)
|
||||
Subtotal
|
|
(81,021
|
)
|
|
(83,720
|
)
|
|
(83,556
|
)
|
|
164
|
|
||||
30-Year
|
|
|
|
|
|
|
|
|
|
|||||||
3.0%
|
|
417,300
|
|
|
416,438
|
|
|
416,934
|
|
|
496
|
|
||||
3.5%
|
|
(157,316
|
)
|
|
(163,145
|
)
|
|
(162,428
|
)
|
|
717
|
|
||||
4.0%
|
|
(121,993
|
)
|
|
(128,534
|
)
|
|
(129,103
|
)
|
|
(569
|
)
|
||||
4.5%
|
|
2,908
|
|
|
3,142
|
|
|
3,141
|
|
|
(1
|
)
|
||||
Subtotal
|
|
140,899
|
|
|
127,901
|
|
|
128,544
|
|
|
643
|
|
||||
Portfolio total
|
|
$
|
59,878
|
|
|
$
|
44,181
|
|
|
$
|
44,988
|
|
|
$
|
807
|
|
(1)
|
Notional amount represents the par value or principal balance of the underlying agency RMBS.
|
(2)
|
Cost basis represents the forward price to be paid for the underlying agency RMBS.
|
(3)
|
Market value represents the current market value of the agency RMBS underlying the TBA contracts as of period end.
|
(4)
|
Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets.
|
December 31, 2016
|
||||||||||||||||||||||||||||||
|
|
Fair
Value
|
|
Gross Unrealized
|
|
Amortized Cost
|
|
Premium (Discount)
|
|
Par/ Current Face
|
|
Weighted Average
|
||||||||||||||||||
Category
|
|
|
Gains
|
|
Losses
|
|
|
|
|
Coupon
(1)
|
|
Yield
|
||||||||||||||||||
Prime
|
|
$
|
181,267
|
|
|
$
|
5,945
|
|
|
$
|
(2,402
|
)
|
|
$
|
177,724
|
|
|
$
|
(17,672
|
)
|
|
$
|
195,396
|
|
|
3.18
|
%
|
|
5.61
|
%
|
CRT
|
|
317,532
|
|
|
18,029
|
|
|
(1,012
|
)
|
|
300,515
|
|
|
2,362
|
|
|
298,153
|
|
|
5.26
|
%
|
|
6.37
|
%
|
||||||
Alt-A
|
|
345,586
|
|
|
33,702
|
|
|
(3,330
|
)
|
|
315,214
|
|
|
(130,714
|
)
|
|
445,928
|
|
|
2.05
|
%
|
|
7.58
|
%
|
||||||
Option-ARM
|
|
180,169
|
|
|
8,075
|
|
|
(4,357
|
)
|
|
176,451
|
|
|
(38,787
|
)
|
|
215,238
|
|
|
1.00
|
%
|
|
5.64
|
%
|
||||||
Subprime
|
|
92,195
|
|
|
781
|
|
|
(252
|
)
|
|
91,666
|
|
|
(659
|
)
|
|
92,325
|
|
|
4.05
|
%
|
|
4.38
|
%
|
||||||
CMBS
|
|
17,720
|
|
|
—
|
|
|
(73
|
)
|
|
17,793
|
|
|
(207
|
)
|
|
18,000
|
|
|
5.65
|
%
|
|
6.02
|
%
|
||||||
Total
|
|
$
|
1,134,469
|
|
|
$
|
66,532
|
|
|
$
|
(11,426
|
)
|
|
$
|
1,079,363
|
|
|
$
|
(185,677
|
)
|
|
$
|
1,265,040
|
|
|
3.00
|
%
|
|
6.31
|
%
|
(1)
|
Coupon rates are floating except for
$11.8 million
,
$22.3 million
and
$57.5 million
fair value of fixed-rate prime, Alt-A, and subprime non-agency securities, respectively, as of
December 31, 2016
.
|
December 31, 2015
|
||||||||||||||||||||||||||||||
|
|
Fair
Value
|
|
Gross Unrealized
|
|
Amortized Cost
|
|
Discount
|
|
Par/ Current Face
|
|
Weighted Average
|
||||||||||||||||||
Category
|
|
|
Gains
|
|
Losses
|
|
|
|
|
Coupon
(1)
|
|
Yield
|
||||||||||||||||||
Prime
|
|
$
|
411,780
|
|
|
$
|
6,797
|
|
|
$
|
(3,681
|
)
|
|
$
|
408,664
|
|
|
$
|
(22,387
|
)
|
|
$
|
431,051
|
|
|
3.24
|
%
|
|
4.49
|
%
|
CRT
|
|
361,028
|
|
|
605
|
|
|
(11,910
|
)
|
|
372,333
|
|
|
3,999
|
|
|
368,334
|
|
|
4.65
|
%
|
|
5.93
|
%
|
||||||
Alt-A
|
|
430,679
|
|
|
28,560
|
|
|
(8,001
|
)
|
|
410,120
|
|
|
(150,257
|
)
|
|
560,377
|
|
|
1.76
|
%
|
|
6.65
|
%
|
||||||
Option-ARM
|
|
150,014
|
|
|
6,802
|
|
|
(5,742
|
)
|
|
148,954
|
|
|
(34,454
|
)
|
|
183,408
|
|
|
0.68
|
%
|
|
5.43
|
%
|
||||||
Subprime
|
|
204,170
|
|
|
2,355
|
|
|
(1,227
|
)
|
|
203,042
|
|
|
(13,270
|
)
|
|
216,312
|
|
|
3.57
|
%
|
|
4.56
|
%
|
||||||
Total
|
|
$
|
1,557,671
|
|
|
$
|
45,119
|
|
|
$
|
(30,561
|
)
|
|
$
|
1,543,113
|
|
|
$
|
(216,369
|
)
|
|
$
|
1,759,482
|
|
|
2.84
|
%
|
|
5.51
|
%
|
(1)
|
Coupon rates are floating, except for
$226.9 million
,
$25.9 million
and
$171.4 million
fair value of fixed-rate prime, Alt-A and subprime non-agency securities, respectively, as of
December 31, 2015
.
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||
|
|
|
|
|
|
Weighted Average
|
|
|
|
|
|
Weighted Average
|
||||||||||||||||
Weighted Average Life
|
|
Fair Value
|
|
Amortized
Cost
|
|
Coupon
|
|
Yield
|
|
Fair Value
|
|
Amortized
Cost
|
|
Coupon
|
|
Yield
|
||||||||||||
≤ 5 years
|
|
$
|
330,507
|
|
|
$
|
322,535
|
|
|
3.20
|
%
|
|
5.75
|
%
|
|
$
|
369,907
|
|
|
$
|
363,087
|
|
|
3.15
|
%
|
|
5.22
|
%
|
> 5 to ≤ 7 years
|
|
487,540
|
|
|
455,263
|
|
|
2.27
|
%
|
|
6.72
|
%
|
|
635,840
|
|
|
620,734
|
|
|
2.12
|
%
|
|
5.68
|
%
|
||||
> 7 years
|
|
316,422
|
|
|
301,565
|
|
|
4.10
|
%
|
|
6.28
|
%
|
|
551,924
|
|
|
559,292
|
|
|
3.53
|
%
|
|
5.51
|
%
|
||||
Total
|
|
$
|
1,134,469
|
|
|
$
|
1,079,363
|
|
|
3.00
|
%
|
|
6.31
|
%
|
|
$
|
1,557,671
|
|
|
$
|
1,543,113
|
|
|
2.84
|
%
|
|
5.51
|
%
|
Credit Rating
(1)
|
December 31, 2016
|
|
December 31, 2015
|
||
AAA
|
—
|
%
|
|
13
|
%
|
AA
|
1
|
%
|
|
—
|
%
|
A
|
1
|
%
|
|
—
|
%
|
BBB
|
2
|
%
|
|
4
|
%
|
BB
|
10
|
%
|
|
4
|
%
|
B
|
18
|
%
|
|
8
|
%
|
Below B
|
35
|
%
|
|
33
|
%
|
Not Rated
|
33
|
%
|
|
38
|
%
|
Total
|
100
|
%
|
|
100
|
%
|
(1)
|
Represents the lowest of Standard and Poor's, Moody's and Fitch credit ratings, stated in terms of the S&P equivalent, as of each respective balance sheet date.
|
December 31, 2016
|
|||||||||||||||||||||
|
|
Fair
Value
|
|
Weighted Average Purchase Price
|
|
Weighted Average
Collateral Attributes
|
|
Weighted Average
Current Performance
|
|||||||||||||
Category
|
|
|
|
Loan Age (months)
|
|
Original LTV
|
|
Original FICO
(1)
|
|
60+ Day Delinquent
(2)
|
|
3-Month CPR
(3)
|
|||||||||
Prime
|
|
$
|
181,267
|
|
|
$
|
86.19
|
|
|
124
|
|
71
|
%
|
|
738
|
|
7
|
%
|
|
23
|
%
|
CRT
|
|
317,532
|
|
|
100.34
|
|
|
27
|
|
75
|
%
|
|
755
|
|
—
|
%
|
|
22
|
%
|
||
Alt-A
|
|
345,586
|
|
|
65.95
|
|
|
134
|
|
76
|
%
|
|
710
|
|
13
|
%
|
|
17
|
%
|
||
Option-ARM
|
|
180,169
|
|
|
76.67
|
|
|
128
|
|
76
|
%
|
|
705
|
|
18
|
%
|
|
9
|
%
|
||
Subprime
|
|
92,195
|
|
|
99.17
|
|
|
122
|
|
100
|
%
|
|
587
|
|
57
|
%
|
|
13
|
%
|
||
CMBS
|
|
17,720
|
|
|
98.84
|
|
|
2
|
|
55
|
%
|
|
NA
|
|
—
|
%
|
|
—
|
%
|
||
Total
|
|
$
|
1,134,469
|
|
|
$
|
81.88
|
|
|
98
|
|
77
|
%
|
|
705
|
|
13
|
%
|
|
18
|
%
|
December 31, 2015
|
|||||||||||||||||||||
|
|
Fair
Value
|
|
Weighted Average Purchase Price
|
|
Weighted Average
Collateral Attributes
|
|
Weighted Average
Current Performance
|
|||||||||||||
Category
|
|
|
|
Loan Age (months)
|
|
Original LTV
|
|
Original FICO
(1)
|
|
60+ Day Delinquent
(2)
|
|
3-Month CPR
(3)
|
|||||||||
Prime
|
|
$
|
411,780
|
|
|
$
|
93.35
|
|
|
65
|
|
71
|
%
|
|
750
|
|
4
|
%
|
|
17
|
%
|
CRT
|
|
361,028
|
|
|
100.69
|
|
|
19
|
|
76
|
%
|
|
754
|
|
—
|
%
|
|
11
|
%
|
||
Alt-A
|
|
430,679
|
|
|
68.09
|
|
|
123
|
|
76
|
%
|
|
712
|
|
15
|
%
|
|
13
|
%
|
||
Option-ARM
|
|
150,014
|
|
|
75.69
|
|
|
118
|
|
75
|
%
|
|
707
|
|
20
|
%
|
|
11
|
%
|
||
Subprime
|
|
204,170
|
|
|
94.56
|
|
|
112
|
|
104
|
%
|
|
582
|
|
58
|
%
|
|
19
|
%
|
||
Total
|
|
$
|
1,557,671
|
|
|
$
|
84.96
|
|
|
82
|
|
78
|
%
|
|
714
|
|
15
|
%
|
|
14
|
%
|
(1)
|
FICO represents a mortgage industry accepted credit score of a borrower based on a scale of 300 to 850 with a score of 850 being the highest quality rating.
|
(2)
|
60+ day delinquent represents the percentage of mortgage loans underlying each category of non-agency securities that were delinquent for at least 60 days.
|
(3)
|
Three-month CPR is reflective of the prepayment and default rate on the underlying securitization; however, it does not necessarily indicate the proceeds received on our non-agency securities. Proceeds received for each security are dependent on the position of the individual security within the structure of each deal.
|
|
|
December 31,
|
||||||
|
|
2016
|
|
2015
|
||||
Unpaid principal balance (in thousands)
|
|
$
|
5,259,088
|
|
|
$
|
6,380,498
|
|
Number of loans
|
|
27,012
|
|
|
31,336
|
|
||
Average Loan Size (in thousands)
|
|
$
|
195
|
|
|
$
|
204
|
|
Average Loan Age (months)
|
|
46
|
|
|
34
|
|
||
Average Coupon
|
|
3.78
|
%
|
|
3.79
|
%
|
||
Average Original Loan-to-Value
|
|
74
|
%
|
|
75
|
%
|
||
Average Original FICO
|
|
760
|
|
|
760
|
|
||
60+ delinquencies
|
|
0.46
|
%
|
|
0.26
|
%
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||
|
|
|
|
Weighted Average
|
|
|
|
Weighted Average
|
||||||||||
Collateral Type
|
|
Borrowings
Outstanding |
|
Interest Rate
|
|
Days
to Maturity |
|
Borrowings
Outstanding |
|
Interest Rate
|
|
Days
to Maturity |
||||||
Agency securities
|
|
$
|
2,215,151
|
|
|
1.00
|
%
|
|
159
|
|
$
|
2,728,065
|
|
|
0.60
|
%
|
|
243
|
Non-agency securities
|
|
755,665
|
|
|
2.23
|
%
|
|
23
|
|
936,650
|
|
|
1.86
|
%
|
|
27
|
||
Total repurchase agreements
|
|
$
|
2,970,816
|
|
|
1.31
|
%
|
|
125
|
|
$
|
3,664,715
|
|
|
0.92
|
%
|
|
188
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||
|
|
|
|
Weighted Average
|
|
|
|
Weighted Average
|
||||||||||
|
|
Borrowings
Outstanding |
|
Interest Rate
|
|
Days to Maturity
|
|
Borrowings
Outstanding
|
|
Interest Rate
|
|
Days to Maturity
|
||||||
Agency and non-agency
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
≤ 1 month
|
|
$
|
1,304,341
|
|
|
1.52
|
%
|
|
15
|
|
$
|
2,045,776
|
|
|
0.97
|
%
|
|
15
|
> 1 to ≤ 2 months
|
|
830,099
|
|
|
1.16
|
%
|
|
41
|
|
504,348
|
|
|
1.01
|
%
|
|
42
|
||
> 2 to ≤ 3 months
|
|
508,047
|
|
|
1.07
|
%
|
|
78
|
|
363,365
|
|
|
0.90
|
%
|
|
78
|
||
> 3 to ≤ 6 months
|
|
63,329
|
|
|
0.93
|
%
|
|
114
|
|
—
|
|
|
N/A
|
|
|
N/A
|
||
> 6 to ≤ 9 months
|
|
—
|
|
|
N/A
|
|
|
N/A
|
|
100,000
|
|
|
0.78
|
%
|
|
259
|
||
> 9 to ≤ 12 months
|
|
—
|
|
|
N/A
|
|
|
N/A
|
|
136,226
|
|
|
0.77
|
%
|
|
334
|
||
> 12 months
|
|
265,000
|
|
|
1.32
|
%
|
|
1023
|
|
515,000
|
|
|
0.72
|
%
|
|
1040
|
||
Total repurchase agreements
|
|
$
|
2,970,816
|
|
|
1.31
|
%
|
|
125
|
|
$
|
3,664,715
|
|
|
0.92
|
%
|
|
188
|
December 31, 2016
|
||||||||||||||||
|
|
Notional
Amount |
|
Fair Value
|
|
Weighted Average
|
||||||||||
Current Maturity Date for Interest Rate Swaps
(1)
|
|
|
|
Fixed
Pay Rate (2) |
|
Receive
Rate (3) |
|
Maturity
(Years) |
||||||||
≤ 3 years
|
|
$
|
1,865,000
|
|
|
$
|
8,366
|
|
|
1.14
|
%
|
|
0.92
|
%
|
|
1.8
|
> 3 to ≤ 5 years
|
|
475,000
|
|
|
3,403
|
|
|
1.78
|
%
|
|
0.93
|
%
|
|
4.8
|
||
> 5 to ≤ 7 years
|
|
510,000
|
|
|
7,883
|
|
|
1.78
|
%
|
|
0.89
|
%
|
|
5.8
|
||
> 7 years
|
|
125,000
|
|
|
2,639
|
|
|
2.08
|
%
|
|
0.91
|
%
|
|
9.7
|
||
Total
|
|
$
|
2,975,000
|
|
|
$
|
22,291
|
|
|
1.39
|
%
|
|
0.92
|
%
|
|
3.3
|
December 31, 2015
|
||||||||||||||||
|
|
Notional
Amount |
|
Fair Value
|
|
Weighted Average
|
||||||||||
Current Maturity Date for Interest Rate Swaps
(4)
|
|
|
|
Fixed
Pay Rate (2) |
|
Receive
Rate (3) |
|
Maturity
(Years) |
||||||||
≤ 3 years
|
|
$
|
865,000
|
|
|
$
|
(268
|
)
|
|
1.09
|
%
|
|
0.41
|
%
|
|
1.8
|
> 3 to ≤ 5 years
|
|
550,000
|
|
|
(5,054
|
)
|
|
1.72
|
%
|
|
0.42
|
%
|
|
3.4
|
||
> 5 to ≤ 7 years
|
|
625,000
|
|
|
(35,866
|
)
|
|
3.16
|
%
|
|
0.46
|
%
|
|
5.9
|
||
> 7 years
|
|
250,000
|
|
|
(11,311
|
)
|
|
2.71
|
%
|
|
0.60
|
%
|
|
7.9
|
||
Total
|
|
$
|
2,290,000
|
|
|
$
|
(52,499
|
)
|
|
1.98
|
%
|
|
0.43
|
%
|
|
4.0
|
(1)
|
Includes swaps with an aggregate notional of
$0.2 billion
with deferred start dates averaging
0.2 years
from
December 31, 2016
.
|
(2)
|
Excluding forward starting swaps, the weighted average pay rate was
1.35%
and
1.36%
as of
December 31, 2016 and 2015
, respectively.
|
(3)
|
Weighted average receive rate excludes impact of forward starting interest rate swaps.
|
(4)
|
Includes swaps with an aggregate notional of
$0.7 billion
with deferred start dates averaging
0.6 years
from
December 31, 2015
.
|
December 31, 2016
|
|||||||||||||||||||
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||
Current Option Expiration Date
|
|
Cost
|
|
Fair Value
|
|
Weighted Average Years to Expiration
|
|
Notional Amount
|
|
Pay Rate
|
|
Weighted Average Term (Years)
|
|||||||
|
|
|
|
|
|
||||||||||||||
> 3 to ≤ 12 months
|
|
$
|
2,734
|
|
|
$
|
340
|
|
|
0.9
|
|
$
|
100,000
|
|
|
3.21
|
%
|
|
5.0
|
> 12 months
|
|
3,493
|
|
|
1,127
|
|
|
6.7
|
|
50,000
|
|
|
3.00
|
%
|
|
7.0
|
|||
Total / weighted average
|
|
$
|
6,227
|
|
|
$
|
1,467
|
|
|
2.8
|
|
$
|
150,000
|
|
|
3.14
|
%
|
|
5.7
|
December 31, 2015
|
|||||||||||||||||||
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||
Current Option Expiration Date
|
|
Cost
|
|
Fair Value
|
|
Weighted Average Years to Expiration
|
|
Notional Amount
|
|
Pay Rate
|
|
Weighted Average Term (Years)
|
|||||||
|
|
|
|
|
|
||||||||||||||
≤ 3 months
|
|
$
|
3,493
|
|
|
$
|
1,307
|
|
|
0.2
|
|
$
|
50,000
|
|
|
3.00
|
%
|
|
8.0
|
> 3 to ≤ 12 months
|
|
1,308
|
|
|
—
|
|
|
0.3
|
|
100,000
|
|
|
4.13
|
%
|
|
7.0
|
|||
>12 to ≤ 24 months
|
|
2,735
|
|
|
654
|
|
|
1.9
|
|
100,000
|
|
|
3.21
|
%
|
|
5.0
|
|||
Total / weighted average
|
|
$
|
7,536
|
|
|
$
|
1,961
|
|
|
0.9
|
|
$
|
250,000
|
|
|
3.54
|
%
|
|
6.4
|
|
|
For the Years Ended December 31,
|
||||||||||
|
|
2016
|
|
2015
|
|
2014
|
||||||
Interest income:
|
|
|
|
|
|
|
||||||
Agency securities
|
|
$
|
77,798
|
|
|
$
|
99,042
|
|
|
$
|
118,764
|
|
Non-agency securities
|
|
69,391
|
|
|
74,789
|
|
|
64,282
|
|
|||
Other
|
|
581
|
|
|
287
|
|
|
312
|
|
|||
Interest expense
|
|
(39,582
|
)
|
|
(30,800
|
)
|
|
(28,631
|
)
|
|||
Net interest income
|
|
108,188
|
|
|
143,318
|
|
|
154,727
|
|
|||
|
|
|
|
|
|
|
||||||
Servicing:
|
|
|
|
|
|
|
||||||
Servicing income
|
|
21,308
|
|
|
48,638
|
|
|
45,873
|
|
|||
Servicing expense
|
|
(38,998
|
)
|
|
(66,005
|
)
|
|
(61,086
|
)
|
|||
Net servicing loss
|
|
(17,690
|
)
|
|
(17,367
|
)
|
|
(15,213
|
)
|
|||
|
|
|
|
|
|
|
||||||
Healthcare:
|
|
|
|
|
|
|
||||||
Healthcare real estate income
|
|
6,059
|
|
|
—
|
|
|
—
|
|
|||
Healthcare real estate expense
|
|
(5,400
|
)
|
|
—
|
|
|
—
|
|
|||
Net healthcare real estate income
|
|
659
|
|
|
—
|
|
|
—
|
|
|||
|
|
|
|
|
|
|
||||||
Other gains (losses):
|
|
|
|
|
|
|
||||||
Realized gain (loss) on agency securities, net
|
|
3,775
|
|
|
(2,790
|
)
|
|
(8,263
|
)
|
|||
Realized gain on non-agency securities, net
|
|
5,947
|
|
|
5,673
|
|
|
39,080
|
|
|||
Realized loss on periodic settlements of interest rate swaps, net
|
|
(10,337
|
)
|
|
(16,437
|
)
|
|
(20,388
|
)
|
|||
Realized loss on other derivatives and securities, net
|
|
(96,709
|
)
|
|
(45,901
|
)
|
|
(20,445
|
)
|
|||
Unrealized gain (loss) on agency securities, net
|
|
(14,710
|
)
|
|
(28,095
|
)
|
|
187,921
|
|
|||
Unrealized gain (loss) on non-agency securities, net
|
|
40,547
|
|
|
(43,153
|
)
|
|
(26,375
|
)
|
|||
Unrealized gain (loss) on other derivatives and securities, net
|
|
63,389
|
|
|
2,056
|
|
|
(98,654
|
)
|
|||
Unrealized loss on mortgage servicing rights
|
|
(10,746
|
)
|
|
(415
|
)
|
|
(7,611
|
)
|
|||
Impairment of intangible assets
|
|
(5,000
|
)
|
|
(10,000
|
)
|
|
—
|
|
|||
Total other gains (losses), net
|
|
(23,844
|
)
|
|
(139,062
|
)
|
|
45,265
|
|
|||
Expenses:
|
|
|
|
|
|
|
||||||
Management fees
|
|
14,509
|
|
|
17,225
|
|
|
17,641
|
|
|||
General and administrative expenses
|
|
9,258
|
|
|
7,980
|
|
|
7,721
|
|
|||
Total expenses
|
|
23,767
|
|
|
25,205
|
|
|
25,362
|
|
|||
Income (loss) before provision for income tax
|
|
43,546
|
|
|
(38,316
|
)
|
|
159,417
|
|
|||
Benefit from (provision for) excise and income tax
|
|
125
|
|
|
(42
|
)
|
|
(238
|
)
|
|||
Net income (loss)
|
|
43,671
|
|
|
(38,358
|
)
|
|
159,179
|
|
|||
Dividend on preferred stock
|
|
(4,468
|
)
|
|
(4,468
|
)
|
|
(2,718
|
)
|
|||
Noncontrolling interest in net income
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|||
Net income (loss) available to common stockholders
|
|
$
|
39,201
|
|
|
$
|
(42,826
|
)
|
|
$
|
156,461
|
|
|
|
|
|
|
|
|
||||||
Net income (loss) per common share — basic
|
|
$
|
0.85
|
|
|
$
|
(0.85
|
)
|
|
$
|
3.06
|
|
Net income (loss) per common share — diluted
|
|
$
|
0.85
|
|
|
$
|
(0.85
|
)
|
|
$
|
3.06
|
|
|
|
|
|
|
|
|
||||||
Weighted average number of common shares outstanding — basic
|
|
46,005
|
|
|
50,506
|
|
|
51,176
|
|
|||
Weighted average number of common shares outstanding — diluted
|
|
46,008
|
|
|
50,519
|
|
|
51,192
|
|
|
|
For the Years Ended December 31,
|
||||||||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||||||||
|
|
Average Amortized Cost
|
|
Weighted Average Yield
|
|
Interest Income
|
|
Average Amortized Cost
|
|
Weighted Average Yield
|
|
Interest Income
|
||||||||||
Agency RMBS
(1)
|
|
$
|
3,028,307
|
|
|
2.57
|
%
|
|
$
|
77,798
|
|
|
$
|
3,817,686
|
|
|
2.59
|
%
|
|
$
|
99,042
|
|
Non-agency securities
|
|
1,270,040
|
|
|
5.46
|
%
|
|
69,391
|
|
|
1,361,149
|
|
|
5.49
|
%
|
|
74,789
|
|
||||
Total
|
|
$
|
4,298,347
|
|
|
3.42
|
%
|
|
$
|
147,189
|
|
|
$
|
5,178,835
|
|
|
3.36
|
%
|
|
$
|
173,831
|
|
(1)
|
Does not include TBA dollar roll income reported in realized gain (loss) on other derivatives and securities, net in our consolidated statements of operations.
|
|
|
For the Years Ended December 31, 2016 vs. 2015
|
||||||||||
|
|
Increase / (Decrease)
|
|
Due to Change in Average
(1)
|
||||||||
|
|
|
Volume
|
|
Yield
|
|||||||
Agency RMBS
|
|
$
|
(21,244
|
)
|
|
$
|
(20,479
|
)
|
|
$
|
(765
|
)
|
Non-agency securities
|
|
(5,398
|
)
|
|
(4,991
|
)
|
|
(407
|
)
|
|||
Total
|
|
$
|
(26,642
|
)
|
|
$
|
(25,470
|
)
|
|
$
|
(1,172
|
)
|
(1)
|
Variances that are the combined effect of volume and yield, but cannot be separately identified, are allocated to the volume and yield variances based on their respective relative amounts.
|
|
|
Repurchase Agreements and Advances
(1)
|
|
Average
Interest
Rate as of Period End
(1)
|
|
Average Leverage During the Period
(2)
|
|
Leverage as of Period End
(3)
|
|
Adjusted Leverage as of Period End
(4)
|
|||||||||||
Quarter Ended
|
|
Average Daily Amount Outstanding
|
|
Maximum Daily Amount Outstanding
|
|
Ending Amount Outstanding
|
|
||||||||||||||
December 31, 2016
|
|
$
|
3,677,854
|
|
|
$
|
3,554,251
|
|
|
$
|
3,244,516
|
|
|
1.26
|
%
|
|
3.8x
|
|
3.7x
|
|
4.8x
|
September 30, 2016
|
|
$
|
3,682,233
|
|
|
$
|
3,781,117
|
|
|
$
|
3,553,666
|
|
|
1.11
|
%
|
|
4.0x
|
|
3.7x
|
|
5.0x
|
June 30, 2016
|
|
$
|
3,692,354
|
|
|
$
|
4,306,868
|
|
|
$
|
3,555,883
|
|
|
1.04
|
%
|
|
4.2x
|
|
4.5x
|
|
4.9x
|
March 31, 2016
|
|
$
|
3,933,580
|
|
|
$
|
4,291,269
|
|
|
$
|
3,844,759
|
|
|
1.00
|
%
|
|
4.4x
|
|
4.4x
|
|
4.6x
|
December 31, 2015
|
|
$
|
4,239,674
|
|
|
$
|
4,509,693
|
|
|
$
|
4,107,615
|
|
|
0.88
|
%
|
|
4.4x
|
|
4.4x
|
|
4.5x
|
September 30, 2015
|
|
$
|
4,118,008
|
|
|
$
|
4,921,925
|
|
|
$
|
4,067,133
|
|
|
0.74
|
%
|
|
4.1x
|
|
4.2x
|
|
4.7x
|
June 30, 2015
|
|
$
|
4,664,051
|
|
|
$
|
4,994,918
|
|
|
$
|
4,532,751
|
|
|
0.66
|
%
|
|
4.4x
|
|
4.2x
|
|
4.1x
|
March 31, 2015
|
|
$
|
4,994,683
|
|
|
$
|
5,206,437
|
|
|
$
|
4,994,874
|
|
|
0.62
|
%
|
|
4.6x
|
|
4.3x
|
|
4.5x
|
December 31, 2014
|
|
$
|
4,610,643
|
|
|
$
|
4,757,415
|
|
|
$
|
4,717,995
|
|
|
0.61
|
%
|
|
4.3x
|
|
4.4x
|
|
4.6x
|
(1)
|
Excludes repurchase agreements collateralized by U.S. Treasury securities and borrowings related to our healthcare investments, but includes advances from the Federal Home Loan Bank collateralized by agency and non-agency securities.
|
(2)
|
Average leverage during the period was calculated by dividing our daily weighted average agency and non-agency financing balance by our average month-end stockholders’ equity for the period, less investment in RCS and healthcare real estate investments.
|
(3)
|
Leverage as of period end was calculated by dividing the amount outstanding under our agency and non-agency financing agreements and net payables and receivables for unsettled agency and non-agency securities by our total stockholders' equity at period end, less our investment in RCS and healthcare real estate investments.
|
(4)
|
Adjusted leverage as of period end was calculated by dividing the sum of the amounts outstanding under our agency and non-agency financing agreements, the cost basis (or contract price) of our net TBA position, and net payables and receivables for unsettled agency and non-agency securities by our total stockholders’ equity at period end, less our investment in RCS and healthcare real estate investments.
|
|
|
For the Years Ended December 31,
|
||||||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||||||
|
|
Average
Balance / Effective Notional |
|
Rate
|
|
Adjusted Cost of Funds
(1)
|
|
Average
Balance / Effective Notional |
|
Rate
|
|
Adjusted Cost of Funds
(1)
|
||||||||
Repurchase agreements and FHLB advances
|
|
$
|
3,677,854
|
|
|
1.07%
|
|
$
|
39,582
|
|
|
$
|
4,500,978
|
|
|
0.68%
|
|
$
|
30,800
|
|
Interest rate swaps
|
|
1,852,692
|
|
|
0.56%
|
|
10,337
|
|
|
1,609,231
|
|
|
1.02%
|
|
16,437
|
|
||||
Total adjusted cost of funds
|
|
|
|
1.34%
|
|
$
|
49,919
|
|
|
|
|
1.05%
|
|
$
|
47,237
|
|
(1)
|
Our adjusted cost of funds excludes any impacts from other supplemental hedges such as U.S. Treasury securities and swaptions, and the implied financing cost or benefit of our net TBA dollar roll position reported in gain (loss) on other derivatives and securities, net in our consolidated statements of operations.
|
|
|
For the Years Ended December 31, 2016 vs. 2015
|
||||||||||
|
|
Increase / (Decrease)
|
|
Due to Change in Average
(1)
|
||||||||
|
|
|
Volume
|
|
Rate
|
|||||||
Repurchase agreements and FHLB advances
|
|
$
|
8,782
|
|
|
$
|
(4,111
|
)
|
|
$
|
12,893
|
|
Interest rate swaps
|
|
(6,100
|
)
|
|
3,079
|
|
|
(9,179
|
)
|
|||
Total adjusted cost of funds
|
|
$
|
2,682
|
|
|
$
|
(1,032
|
)
|
|
$
|
3,714
|
|
(1)
|
Variances that are the combined effect of volume and yield, but cannot be separately identified, are allocated to the volume and yield variances based on their respective relative amounts.
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2016
|
|
2015
|
||||
Servicing fee income
|
|
$
|
17,836
|
|
|
$
|
32,681
|
|
Incentive, ancillary and other income
|
|
3,472
|
|
|
15,957
|
|
||
Servicing income
|
|
21,308
|
|
|
48,638
|
|
||
|
|
|
|
|
||||
Employee compensation and benefit costs
|
|
16,624
|
|
|
31,039
|
|
||
Facility costs
|
|
2,641
|
|
|
10,194
|
|
||
Realization of cash flows from MSR
|
|
10,335
|
|
|
10,033
|
|
||
Other servicing costs
|
|
9,398
|
|
|
14,739
|
|
||
Servicing expense
|
|
38,998
|
|
|
66,005
|
|
||
|
|
|
|
|
||||
Net servicing loss
|
|
$
|
(17,690
|
)
|
|
$
|
(17,367
|
)
|
|
|
For the Year Ended December 31, 2016
|
||
Lease income
|
|
$
|
3,626
|
|
Rental income
|
|
2,433
|
|
|
Healthcare real estate income
|
|
6,059
|
|
|
|
|
|
||
Interest expense
|
|
1,814
|
|
|
Depreciation
|
|
1,312
|
|
|
Acquisition costs
|
|
890
|
|
|
Tenant expenses
|
|
1,384
|
|
|
Healthcare real estate expense
|
|
5,400
|
|
|
Net healthcare real estate income
|
|
$
|
659
|
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2016
|
|
2015
|
||||
Proceeds from agency securities sold
|
|
$
|
1,374,242
|
|
|
$
|
2,245,959
|
|
Less agency securities sold, at cost
|
|
(1,370,467
|
)
|
|
(2,248,749
|
)
|
||
Realized gain (loss) on agency securities, net
|
|
$
|
3,775
|
|
|
$
|
(2,790
|
)
|
|
|
|
|
|
||||
Gross realized gains on sale of agency securities
|
|
$
|
9,291
|
|
|
$
|
10,867
|
|
Gross realized losses on sale of agency securities
|
|
(5,516
|
)
|
|
(13,657
|
)
|
||
Realized gain (loss) on agency securities, net
|
|
$
|
3,775
|
|
|
$
|
(2,790
|
)
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2016
|
|
2015
|
||||
Proceeds from non-agency securities sold
|
|
$
|
725,311
|
|
|
$
|
440,075
|
|
Increase (decrease) in receivable for securities sold
|
|
(2,565
|
)
|
|
2,565
|
|
||
Less: non-agency securities sold, at cost
|
|
(716,799
|
)
|
|
(436,967
|
)
|
||
Realized gain on non-agency securities, net
|
|
$
|
5,947
|
|
|
$
|
5,673
|
|
|
|
|
|
|
||||
Gross realized gain on sale of non-agency securities
|
|
$
|
12,129
|
|
|
$
|
8,869
|
|
Gross realized loss on sale of non-agency securities
|
|
(6,182
|
)
|
|
(3,196
|
)
|
||
Realized gain on non-agency securities, net
|
|
$
|
5,947
|
|
|
$
|
5,673
|
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2016
|
|
2015
|
||||
Realized loss on periodic settlements of interest rate swaps, net
|
|
$
|
(10,337
|
)
|
|
$
|
(16,437
|
)
|
Realized loss on other derivatives and securities:
|
|
|
|
|
||||
Interest rate swaps
|
|
$
|
(80,762
|
)
|
|
$
|
(53,114
|
)
|
Interest rate swaptions
|
|
(1,307
|
)
|
|
(4,049
|
)
|
||
TBA securities
|
|
(3,422
|
)
|
|
22,727
|
|
||
U.S. Treasury securities
|
|
4,504
|
|
|
8,323
|
|
||
U.S. Treasury futures
|
|
(2,223
|
)
|
|
(4,695
|
)
|
||
Short sales of U.S. Treasury securities
|
|
(14,303
|
)
|
|
(15,544
|
)
|
||
Agency mortgage REIT equity investments
|
|
1,640
|
|
|
—
|
|
||
Interest only swaps
|
|
139
|
|
|
199
|
|
||
Credit default swaps
|
|
(1,461
|
)
|
|
125
|
|
||
Other, net
|
|
486
|
|
|
127
|
|
||
Total realized loss on other derivatives and securities, net
|
|
$
|
(96,709
|
)
|
|
$
|
(45,901
|
)
|
Unrealized gain on other derivatives and securities:
|
|
|
|
|
||||
Interest rate swaps
|
|
$
|
73,646
|
|
|
$
|
9,662
|
|
Interest rate swaptions
|
|
813
|
|
|
156
|
|
||
TBA securities
|
|
(19,295
|
)
|
|
(10,825
|
)
|
||
U.S. Treasury securities
|
|
(7
|
)
|
|
(1,428
|
)
|
||
U.S. Treasury futures
|
|
(1,079
|
)
|
|
2,146
|
|
||
Short sales of U.S. Treasury securities
|
|
11,955
|
|
|
1,757
|
|
||
Interest only swaps
|
|
11
|
|
|
(307
|
)
|
||
Credit default swaps
|
|
(2,655
|
)
|
|
895
|
|
||
Total unrealized gain on other derivatives and securities, net
|
|
$
|
63,389
|
|
|
$
|
2,056
|
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2016
|
|
2015
|
||||
Net income (loss)
|
|
$
|
43,671
|
|
|
$
|
(38,358
|
)
|
Book to tax differences:
|
|
|
|
|
||||
Unrealized (gains) and losses, net
|
|
|
|
|
||||
Agency RMBS
|
|
14,710
|
|
|
28,095
|
|
||
Non-agency securities
|
|
(40,547
|
)
|
|
43,153
|
|
||
Derivatives, MSR and other securities
|
|
(52,643
|
)
|
|
(1,641
|
)
|
||
Amortization / accretion
|
|
(3,873
|
)
|
|
(13,621
|
)
|
||
Capital losses (gains) in excess of capital gains (losses)
(1)
|
|
(8,608
|
)
|
|
(17,942
|
)
|
||
Realized losses, net
(1)
|
|
79,312
|
|
|
63,444
|
|
||
Taxable REIT subsidiary loss and other
|
|
22,352
|
|
|
27,728
|
|
||
Total book to tax difference
|
|
10,703
|
|
|
129,216
|
|
||
Estimated taxable income
|
|
54,374
|
|
|
90,858
|
|
||
Dividend on preferred stock
|
|
(4,468
|
)
|
|
(4,468
|
)
|
||
Estimated taxable income available to common stockholders
|
|
$
|
49,906
|
|
|
$
|
86,390
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding — basic
|
|
46,005
|
|
|
50,506
|
|
||
Weighted average number of common shares outstanding — diluted
|
|
46,008
|
|
|
50,519
|
|
||
|
|
|
|
|
||||
Estimated taxable income per common share - basic and diluted
|
|
$
|
1.08
|
|
|
$
|
1.71
|
|
Estimated cumulative undistributed REIT taxable income per common share
|
|
$
|
(0.48
|
)
|
|
$
|
0.04
|
|
|
|
|
|
|
||||
Beginning cumulative non-deductible capital losses
|
|
$
|
126,955
|
|
|
$
|
144,897
|
|
Current period net capital loss (gain)
|
|
(8,608
|
)
|
|
(17,942
|
)
|
||
Ending cumulative non-deductible capital losses
|
|
$
|
118,347
|
|
|
$
|
126,955
|
|
Ending cumulative non-deductible capital losses per common share
|
|
$
|
2.58
|
|
|
$
|
2.67
|
|
(1)
|
Estimated taxable income excludes estimated net capital gains of
$0.19
per common share for
the year ended December 31, 2016
, respectively, which will reduce our net capital loss carryforwards from prior periods. Estimated taxable income also excludes losses on terminated interest rate swaps of $
(1.75)
per common share, for
the year ended December 31, 2016
, respectively, which are deferred and amortized into future ordinary taxable income over the original swap terms.
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2016
|
|
2015
|
||||
Interest income:
|
|
|
|
|
||||
Agency securities
|
|
$
|
77,798
|
|
|
$
|
99,042
|
|
Non-agency securities and other
|
|
69,972
|
|
|
75,076
|
|
||
Interest expense
|
|
(39,582
|
)
|
|
(30,800
|
)
|
||
Net interest income
|
|
108,188
|
|
|
143,318
|
|
||
Dividend income from investments in agency mortgage REIT equity securities
(1)
|
|
244
|
|
|
—
|
|
||
Realized loss on periodic settlements of interest rate swaps, net
|
|
(10,337
|
)
|
|
(16,437
|
)
|
||
Dollar roll income
|
|
13,112
|
|
|
6,960
|
|
||
Adjusted net interest and dollar roll income
|
|
111,207
|
|
|
133,841
|
|
||
Operating expenses
|
|
(23,767
|
)
|
|
(25,205
|
)
|
||
Less: strategic review costs
|
|
1,745
|
|
|
—
|
|
||
Net spread and dollar roll income
|
|
89,185
|
|
|
108,636
|
|
||
Dividend on preferred stock
|
|
(4,468
|
)
|
|
(4,468
|
)
|
||
Net spread and dollar roll income available to common stockholders
|
|
84,717
|
|
|
104,168
|
|
||
Estimated “catch-up” premium amortization cost due to change in CPR forecast
|
|
1,924
|
|
|
(886
|
)
|
||
Net spread and dollar roll income, excluding “catch-up” premium amortization, available to common stockholders
|
|
$
|
86,641
|
|
|
$
|
103,282
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding - basic
|
|
46,005
|
|
|
50,506
|
|
||
Weighted average number of common shares outstanding - diluted
|
|
46,008
|
|
|
50,519
|
|
||
|
|
|
|
|
||||
Net spread and dollar roll income per common share- basic and diluted
|
|
$
|
1.84
|
|
|
$
|
2.06
|
|
Net spread and dollar roll income, excluding “catch up” amortization per common share - basic and diluted
|
|
$
|
1.88
|
|
|
$
|
2.04
|
|
(1)
|
Dividend income from investments in agency mortgage REIT equity securities is included in realized gain (loss) on other derivatives and securities, net on the consolidated statements of operations.
|
|
|
For the Years Ended December 31,
|
||||||||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||||||||
|
|
Average Amortized Cost
|
|
Weighted Average Yield
|
|
Interest Income
|
|
Average Amortized Cost
|
|
Weighted Average Yield
|
|
Interest Income
|
||||||||||
Agency RMBS
(1)
|
|
$
|
3,817,686
|
|
|
2.59
|
%
|
|
$
|
99,042
|
|
|
$
|
4,759,753
|
|
|
2.50
|
%
|
|
$
|
118,764
|
|
Non-agency securities
|
|
1,361,149
|
|
|
5.49
|
%
|
|
74,789
|
|
|
971,412
|
|
|
6.62
|
%
|
|
64,282
|
|
||||
Total
|
|
$
|
5,178,835
|
|
|
3.36
|
%
|
|
$
|
173,831
|
|
|
$
|
5,731,165
|
|
|
3.19
|
%
|
|
$
|
183,046
|
|
(1)
|
Does not include TBA dollar roll income reported in realized gain (loss) on other derivatives and securities, net in our consolidated statements of operations.
|
|
|
For the Years Ended December 31, 2015 vs 2014
|
||||||||||
|
|
Increase / (Decrease)
|
|
Due to Change in Average
(1)
|
||||||||
|
|
|
Volume
|
|
Yield
|
|||||||
Agency RMBS
|
|
$
|
(19,722
|
)
|
|
$
|
(24,674
|
)
|
|
$
|
4,952
|
|
Non-agency securities
|
|
10,507
|
|
|
18,207
|
|
|
(7,700
|
)
|
|||
Total
|
|
$
|
(9,215
|
)
|
|
$
|
(6,467
|
)
|
|
$
|
(2,748
|
)
|
(1)
|
Variances that are the combined effect of volume and yield, but cannot be separately identified, are allocated to the volume and yield variances based on their respective relative amounts.
|
|
|
Repurchase Agreements and Advances
(1)
|
|
Average
Interest
Rate as of Period End
(1)
|
|
Average Leverage During the Period
(2)
|
|
Leverage as of Period End
(3)
|
|
Adjusted Leverage as of Period End
(4)
|
|||||||||||
Quarter Ended
|
|
Average Daily Amount Outstanding
|
|
Maximum Daily Amount Outstanding
|
|
Ending Amount Outstanding
|
|
||||||||||||||
December 31, 2015
|
|
$
|
4,239,674
|
|
|
$
|
4,509,693
|
|
|
$
|
4,107,615
|
|
|
0.88
|
%
|
|
4.4x
|
|
4.4x
|
|
4.5x
|
September 30, 2015
|
|
$
|
4,118,008
|
|
|
$
|
4,921,925
|
|
|
$
|
4,067,133
|
|
|
0.74
|
%
|
|
4.1x
|
|
4.2x
|
|
4.7x
|
June 30, 2015
|
|
$
|
4,664,051
|
|
|
$
|
4,994,918
|
|
|
$
|
4,532,751
|
|
|
0.66
|
%
|
|
4.4x
|
|
4.2x
|
|
4.1x
|
March 31, 2015
|
|
$
|
4,994,683
|
|
|
$
|
5,206,437
|
|
|
$
|
4,994,874
|
|
|
0.62
|
%
|
|
4.6x
|
|
4.3x
|
|
4.5x
|
December 31, 2014
|
|
$
|
4,610,643
|
|
|
$
|
4,757,415
|
|
|
$
|
4,717,995
|
|
|
0.61
|
%
|
|
4.3x
|
|
4.4x
|
|
4.6x
|
September 30, 2014
|
|
$
|
4,524,189
|
|
|
$
|
4,778,350
|
|
|
$
|
4,461,278
|
|
|
0.58
|
%
|
|
4.2x
|
|
4.1x
|
|
4.9x
|
June 30, 2014
|
|
$
|
5,062,594
|
|
|
$
|
5,188,485
|
|
|
$
|
4,778,350
|
|
|
0.56
|
%
|
|
4.8x
|
|
4.2x
|
|
5.2x
|
March 31, 2014
|
|
$
|
5,762,349
|
|
|
$
|
6,580,860
|
|
|
$
|
5,188,485
|
|
|
0.58
|
%
|
|
5.6x
|
|
5.1x
|
|
5.8x
|
December 31, 2013
|
|
$
|
7,654,594
|
|
|
$
|
8,352,998
|
|
|
$
|
6,582,678
|
|
|
0.56
|
%
|
|
6.8x
|
|
5.9x
|
|
5.1x
|
(1)
|
Excludes repurchase agreements collateralized by U.S. Treasury securities and includes advances from the Federal Home Loan Bank collateralized by non-agency securities.
|
(2)
|
Average leverage for the period was calculated by dividing our daily weighted average agency and non-agency financing balance by our average month-end stockholders’ equity for the period, less investment in RCS.
|
(3)
|
Leverage as of period end was calculated by dividing the amount outstanding under our agency and non-agency financing agreements and net payables and receivables for unsettled agency and non-agency securities by our total stockholders’ equity at period end, less our investment in RCS.
|
(4)
|
Adjusted leverage as of period end was calculated by dividing the sum of the amounts outstanding under our agency and non-agency financing agreements, the cost basis (or contract price) of our net TBA position and net payables and receivables for unsettled agency and non-agency securities by our total stockholders’ equity at period end, less our investment in RCS.
|
|
|
For the Years Ended December 31,
|
||||||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||||||
|
|
Average
Balance / Effective Notional |
|
Rate
|
|
Adjusted Cost of Funds
(1)
|
|
Average
Balance / Effective Notional |
|
Rate
|
|
Adjusted Cost of Funds
(1)
|
||||||||
Repurchase agreements and FHLB advances
|
|
$
|
4,500,978
|
|
|
0.68%
|
|
$
|
30,800
|
|
|
$
|
4,989,896
|
|
|
0.57%
|
|
$
|
28,631
|
|
Interest rate swaps
|
|
1,609,231
|
|
|
1.02%
|
|
16,437
|
|
|
2,053,462
|
|
|
0.99%
|
|
20,388
|
|
||||
Total adjusted cost of funds
|
|
|
|
1.05%
|
|
$
|
47,237
|
|
|
|
|
0.98%
|
|
$
|
49,019
|
|
(1)
|
Our adjusted cost of funds excludes any impacts from other supplemental hedges such as U.S. Treasury securities and swaptions, and the implied financing cost or benefit of our net TBA dollar roll position reported in gain (loss) on other derivatives and securities, net in our consolidated statements of operations.
|
|
|
For the Years Ended December 31, 2015 vs 2014
|
||||||||||
|
|
Increase / (Decrease)
|
|
Due to Change in Average
(1)
|
||||||||
|
|
|
Volume
|
|
Rate
|
|||||||
Repurchase agreements and FHLB advances
|
|
$
|
2,169
|
|
|
$
|
(2,246
|
)
|
|
$
|
4,415
|
|
Interest rate swaps
|
|
(3,951
|
)
|
|
(4,557
|
)
|
|
606
|
|
|||
Total adjusted cost of funds
|
|
$
|
(1,782
|
)
|
|
$
|
(6,803
|
)
|
|
$
|
5,021
|
|
(1)
|
Variances that are the combined effect of volume and yield, but cannot be separately identified, are allocated to the volume and yield variances based on their respective relative amounts.
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2015
|
|
2014
|
||||
Servicing fee income
|
|
$
|
32,681
|
|
|
$
|
30,544
|
|
Incentive, ancillary and other income
|
|
15,957
|
|
|
15,329
|
|
||
Servicing income
|
|
48,638
|
|
|
45,873
|
|
||
|
|
|
|
|
||||
Employee compensation and benefit costs
|
|
31,039
|
|
|
31,963
|
|
||
Facility costs
|
|
10,194
|
|
|
12,591
|
|
||
Realization of cash flows from MSR
|
|
10,033
|
|
|
5,128
|
|
||
Other servicing costs
|
|
14,739
|
|
|
11,404
|
|
||
Servicing expense
|
|
66,005
|
|
|
61,086
|
|
||
|
|
|
|
|
||||
Net servicing loss
|
|
$
|
(17,367
|
)
|
|
$
|
(15,213
|
)
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2015
|
|
2014
|
||||
Proceeds from agency securities sold
|
|
$
|
2,245,959
|
|
|
$
|
2,277,424
|
|
Decrease in receivable for agency securities sold
|
|
—
|
|
|
(608,646
|
)
|
||
Less agency securities sold, at cost
|
|
(2,248,749
|
)
|
|
(1,677,041
|
)
|
||
Realized loss on agency securities, net
|
|
$
|
(2,790
|
)
|
|
$
|
(8,263
|
)
|
|
|
|
|
|
||||
Gross realized gains on sale of agency securities
|
|
$
|
10,867
|
|
|
$
|
10,706
|
|
Gross realized losses on sale of agency securities
|
|
(13,657
|
)
|
|
(18,969
|
)
|
||
Realized loss on agency securities, net
|
|
$
|
(2,790
|
)
|
|
$
|
(8,263
|
)
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2015
|
|
2014
|
||||
Proceeds from non-agency securities sold
|
|
$
|
440,075
|
|
|
$
|
583,345
|
|
Increase in receivable for non-agency securities sold
|
|
2,565
|
|
|
—
|
|
||
Less: non-agency securities sold, at cost
|
|
(436,967
|
)
|
|
(544,265
|
)
|
||
Net realized gain on sale of non-agency securities
|
|
$
|
5,673
|
|
|
$
|
39,080
|
|
|
|
|
|
|
||||
Gross realized gain on sale of non-agency securities
|
|
$
|
8,869
|
|
|
$
|
44,571
|
|
Gross realized loss on sale of non-agency securities
|
|
(3,196
|
)
|
|
(5,491
|
)
|
||
Net realized gain on sale of non-agency securities
|
|
$
|
5,673
|
|
|
$
|
39,080
|
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2015
|
|
2014
|
||||
Realized loss on periodic settlements of interest rate swaps, net
|
|
$
|
(16,437
|
)
|
|
$
|
(20,388
|
)
|
Realized loss on other derivatives and securities:
|
|
|
|
|
||||
Interest rate swaps
|
|
$
|
(53,114
|
)
|
|
$
|
(13,952
|
)
|
Interest rate swaptions
|
|
(4,049
|
)
|
|
(17,836
|
)
|
||
TBA securities
|
|
22,727
|
|
|
33,345
|
|
||
U.S. Treasury securities
|
|
8,323
|
|
|
2,008
|
|
||
U.S. Treasury futures
|
|
(4,695
|
)
|
|
(6,645
|
)
|
||
Short sales of U.S. Treasury securities
|
|
(15,544
|
)
|
|
(26,592
|
)
|
||
REIT equity investments
|
|
—
|
|
|
8,675
|
|
||
Mortgage options
|
|
22
|
|
|
257
|
|
||
Interest only swaps
|
|
199
|
|
|
295
|
|
||
Credit default swaps
|
|
125
|
|
|
—
|
|
||
Credit default option
|
|
14
|
|
|
—
|
|
||
FHLB stock
|
|
91
|
|
|
—
|
|
||
Total realized loss on other derivatives and securities, net
|
|
$
|
(45,901
|
)
|
|
$
|
(20,445
|
)
|
Unrealized gain (loss) on other derivatives and securities:
|
|
|
|
|
||||
Interest rate swaps
|
|
$
|
9,662
|
|
|
$
|
(105,529
|
)
|
Interest rate swaptions
|
|
156
|
|
|
(12,018
|
)
|
||
TBA securities
|
|
(10,825
|
)
|
|
10,613
|
|
||
U.S. Treasury securities
|
|
(1,428
|
)
|
|
13,291
|
|
||
U.S. Treasury futures
|
|
2,146
|
|
|
(4,464
|
)
|
||
Short sales of U.S. Treasury securities
|
|
1,757
|
|
|
(1,344
|
)
|
||
REIT equity investments
|
|
—
|
|
|
502
|
|
||
Interest only swaps
|
|
(307
|
)
|
|
295
|
|
||
Credit default swaps
|
|
895
|
|
|
—
|
|
||
Total unrealized gain (loss) on other derivatives and securities, net
|
|
$
|
2,056
|
|
|
$
|
(98,654
|
)
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2015
|
|
2014
|
||||
Net income (loss)
|
|
$
|
(38,358
|
)
|
|
$
|
159,179
|
|
Book to tax differences:
|
|
|
|
|
||||
Unrealized (gains) and losses, net
|
|
|
|
|
||||
Agency RMBS
|
|
28,095
|
|
|
(187,921
|
)
|
||
Non-agency securities
|
|
43,153
|
|
|
26,375
|
|
||
Derivatives, MSR and other securities
|
|
(1,641
|
)
|
|
106,265
|
|
||
Premium amortization, net
|
|
(13,621
|
)
|
|
(9,601
|
)
|
||
Utilization of capital loss carryforwards
(1)
|
|
(17,942
|
)
|
|
(50,171
|
)
|
||
Realized losses, net
(1)
|
|
63,444
|
|
|
42,672
|
|
||
Other
|
|
27,728
|
|
|
15,666
|
|
||
Total book to tax difference
|
|
129,216
|
|
|
(56,715
|
)
|
||
Estimated taxable income
|
|
90,858
|
|
|
102,464
|
|
||
Dividend on preferred stock
|
|
(4,468
|
)
|
|
(2,718
|
)
|
||
Estimated taxable income available to common shareholders
|
|
$
|
86,390
|
|
|
$
|
99,746
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding — basic
|
|
50,506
|
|
|
51,176
|
|
||
Weighted average number of common shares outstanding — diluted
|
|
50,519
|
|
|
51,192
|
|
||
|
|
|
|
|
||||
Estimated taxable income per common share - basic and diluted
|
|
$
|
1.71
|
|
|
$
|
1.95
|
|
Estimated cumulative undistributed REIT taxable income per common share
|
|
$
|
0.04
|
|
|
$
|
0.12
|
|
|
|
|
|
|
||||
Beginning cumulative non-deductible capital losses
|
|
$
|
144,897
|
|
|
$
|
195,068
|
|
Current period net capital gain
|
|
(17,942
|
)
|
|
(50,171
|
)
|
||
Ending cumulative non-deductible capital losses
|
|
$
|
126,955
|
|
|
$
|
144,897
|
|
Ending cumulative non-deductible capital losses per common share
|
|
$
|
2.67
|
|
|
$
|
2.83
|
|
(1)
|
Estimated taxable income excludes estimated net capital gains of $0.36 per common share for the year ended December 31, 2015, respectively, which will be added to our net capital loss carryforwards from prior periods. Estimated taxable income also excludes losses on terminated interest rate swaps of $(1.05) per common share, for the year ended December 31, 2015, respectively, which are deferred and amortized into future ordinary taxable income over the original swap terms.
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2015
|
|
2014
|
||||
Interest income:
|
|
|
|
|
||||
Agency securities
|
|
$
|
99,042
|
|
|
$
|
118,764
|
|
Non-agency securities and other
|
|
75,076
|
|
|
64,594
|
|
||
Interest expense
|
|
(30,800
|
)
|
|
(28,631
|
)
|
||
Net interest income
|
|
143,318
|
|
|
154,727
|
|
||
Dividend income from investments in agency mortgage REIT equity securities
(1)
|
|
—
|
|
|
1,840
|
|
||
Realized loss on periodic settlements of interest rate swaps, net
|
|
(16,437
|
)
|
|
(20,388
|
)
|
||
Dollar roll income
|
|
6,960
|
|
|
26,479
|
|
||
Adjusted net interest and dollar roll income
|
|
133,841
|
|
|
162,658
|
|
||
Operating expenses
|
|
(25,205
|
)
|
|
(25,362
|
)
|
||
Net spread and dollar roll income
|
|
108,636
|
|
|
137,296
|
|
||
Dividend on preferred stock
|
|
(4,468
|
)
|
|
(2,718
|
)
|
||
Net spread and dollar roll income available to common stockholders
|
|
104,168
|
|
|
134,578
|
|
||
Estimated “catch-up” premium amortization cost due to change in CPR forecast
|
|
(886
|
)
|
|
3,119
|
|
||
Net spread and dollar roll income, excluding “catch-up” premium amortization, available to common stockholders
|
|
$
|
103,282
|
|
|
$
|
137,697
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding - basic
|
|
50,506
|
|
|
51,176
|
|
||
Weighted average number of common shares outstanding - diluted
|
|
50,519
|
|
|
51,192
|
|
||
|
|
|
|
|
||||
Net spread and dollar roll income per common share- basic and diluted
|
|
$
|
2.06
|
|
|
$
|
2.63
|
|
Net spread and dollar roll income, excluding “catch up” amortization per common share - basic and diluted
|
|
$
|
2.04
|
|
|
$
|
2.69
|
|
(1)
|
Dividend income from investments in agency mortgage REIT equity securities is included in realized gain (loss) on other derivatives and securities, net on the consolidated statements of operations.
|
|
|
December 31, 2016
|
||
Counterparty Region
|
|
Number of Counterparties
|
|
Percentage of Repurchase Agreement Funding
|
North America
|
|
17
|
|
67%
|
Asia
|
|
5
|
|
13%
|
Europe
|
|
10
|
|
20%
|
Total
|
|
32
|
|
100%
|
|
|
Year of Maturity
|
|
|
||||||||||||
|
|
2017
|
|
2018
|
|
2019
|
|
2026
|
||||||||
Repurchase agreements
|
|
$
|
2,705,816
|
|
|
$
|
—
|
|
|
$
|
265,000
|
|
|
$
|
—
|
|
Federal Home Loan Bank advances
|
|
273,700
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Secured debt
|
|
17,575
|
|
|
33,418
|
|
|
—
|
|
|
16,650
|
|
||||
Accrued interest
|
|
3,398
|
|
|
149
|
|
|
715
|
|
|
66
|
|
||||
Total
|
|
$
|
3,000,489
|
|
|
$
|
33,567
|
|
|
$
|
265,715
|
|
|
$
|
16,716
|
|
Interest Rate Sensitivity
(1)
|
|||||||||
|
|
Percentage Change in Projected
|
|||||||
Change in Interest Rate
|
|
Net Interest Income
(2)
|
|
Portfolio Value
(3) (4)
|
|
Net Asset Value
(3) (5)
|
|||
December 31, 2016
|
|
|
|
|
|
|
|||
+100 basis points
|
|
6.7
|
%
|
|
(1.6
|
)%
|
|
(8.1
|
)%
|
+50 basis points
|
|
3.5
|
%
|
|
(0.7
|
)%
|
|
(3.7
|
)%
|
-50 basis points
|
|
(3.5
|
)%
|
|
0.5
|
%
|
|
2.4
|
%
|
-100 basis points
|
|
(10.2
|
)%
|
|
0.5
|
%
|
|
2.8
|
%
|
December 31, 2015
|
|
|
|
|
|
|
|||
+100 basis points
|
|
(3.1
|
)%
|
|
(1.1
|
)%
|
|
(5.7
|
)%
|
+50 basis points
|
|
(1.2
|
)%
|
|
(0.5
|
)%
|
|
(2.5
|
)%
|
-50 basis points
|
|
0.1
|
%
|
|
0.2
|
%
|
|
1.3
|
%
|
-100 basis points
|
|
(4.5
|
)%
|
|
0.1
|
%
|
|
0.7
|
%
|
(1)
|
Interest rate sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties as well as by our Manager, assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates.
|
(2)
|
Represents the estimated dollar change in net interest income expressed as a percentage of net interest income based on asset yields and cost of funds as of such date. It includes the effect of periodic interest costs on our interest rate swaps, but excludes TBA dollar roll income and costs associated with other supplemental hedges, such as swaptions and U.S. Treasury securities or TBA positions. Estimated dollar change in net interest income does not include the one time impact of retroactive “catch-up” premium amortization benefit/cost due to an increase/decrease in the projected CPR.
|
(5)
|
Estimated change in net asset value expressed as a percentage of stockholders' equity.
|
(1)
|
Spread sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties as well as by our Manager, and assumes there are no changes in interest rates and a static portfolio. Actual results could differ materially from these estimates.
|
(4)
|
Estimated dollar change in net asset value expressed as a percentage of stockholders' equity as of such date.
|
|
December 31,
|
||||||
|
2016
|
|
2015
|
||||
Assets:
|
|
|
|
||||
Agency securities, at fair value (including pledged securities of $2,713,274 and $3,174,675, respectively)
|
$
|
2,803,168
|
|
|
$
|
3,217,252
|
|
Non-agency securities, at fair value (including pledged securities of $1,019,834 and $1,435,931, respectively)
|
1,134,469
|
|
|
1,557,671
|
|
||
U.S. Treasury securities, at fair value (including pledged securities of $20,209 and $0, respectively)
|
20,209
|
|
|
—
|
|
||
Land
|
5,646
|
|
|
—
|
|
||
Buildings, furniture, fixtures and equipment, net of accumulated depreciation
|
81,780
|
|
|
—
|
|
||
Cash and cash equivalents
|
123,640
|
|
|
169,319
|
|
||
Restricted cash and cash equivalents
|
13,005
|
|
|
95,636
|
|
||
Interest receivable
|
9,767
|
|
|
11,629
|
|
||
Derivative assets, at fair value
|
29,048
|
|
|
8,151
|
|
||
Receivable for securities sold
|
—
|
|
|
2,565
|
|
||
Receivable under reverse repurchase agreements
|
487,469
|
|
|
281,618
|
|
||
Mortgage servicing rights, at fair value
|
49,776
|
|
|
83,647
|
|
||
Other assets
|
39,178
|
|
|
54,914
|
|
||
Total assets
|
$
|
4,797,155
|
|
|
$
|
5,482,402
|
|
Liabilities:
|
|
|
|
||||
Repurchase agreements
|
$
|
2,970,816
|
|
|
$
|
3,664,715
|
|
Federal Home Loan Bank advances
|
273,700
|
|
|
442,900
|
|
||
Secured debt, net of deferred financing costs
|
66,527
|
|
|
—
|
|
||
Derivative liabilities, at fair value
|
27,820
|
|
|
58,850
|
|
||
Dividend payable
|
19,436
|
|
|
20,167
|
|
||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
|
474,935
|
|
|
266,001
|
|
||
Accounts payable and other accrued liabilities
|
30,876
|
|
|
38,657
|
|
||
Total liabilities
|
3,864,110
|
|
|
4,491,290
|
|
||
Equity:
|
|
|
|
||||
Preferred stock, $0.01 par value; 50,000 shares authorized:
|
|
|
|
||||
8.125% Series A Cumulative Redeemable Preferred Stock; 2,200 shares issued and outstanding (aggregate liquidation preference of $55,000)
|
53,039
|
|
|
53,039
|
|
||
Common stock, $0.01 par value; 300,000 shares authorized, 45,798 and 47,626 shares issued and outstanding, respectively
|
458
|
|
|
476
|
|
||
Additional paid-in capital
|
1,122,493
|
|
|
1,146,797
|
|
||
Retained deficit
|
(243,260
|
)
|
|
(209,200
|
)
|
||
Total stockholders’ equity
|
932,730
|
|
|
991,112
|
|
||
Noncontrolling interests
|
315
|
|
|
—
|
|
||
Total equity
|
933,045
|
|
|
991,112
|
|
||
Total liabilities and equity
|
$
|
4,797,155
|
|
|
$
|
5,482,402
|
|
|
|
For the Years Ended December 31,
|
||||||||||
|
|
2016
|
|
2015
|
|
2014
|
||||||
Interest income:
|
|
|
|
|
|
|
||||||
Agency securities
|
|
$
|
77,798
|
|
|
$
|
99,042
|
|
|
$
|
118,764
|
|
Non-agency securities
|
|
69,391
|
|
|
74,789
|
|
|
64,282
|
|
|||
Other
|
|
581
|
|
|
287
|
|
|
312
|
|
|||
Interest expense
|
|
(39,582
|
)
|
|
(30,800
|
)
|
|
(28,631
|
)
|
|||
Net interest income
|
|
108,188
|
|
|
143,318
|
|
|
154,727
|
|
|||
|
|
|
|
|
|
|
||||||
Servicing:
|
|
|
|
|
|
|
||||||
Servicing income
|
|
21,308
|
|
|
48,638
|
|
|
45,873
|
|
|||
Servicing expense
|
|
(38,998
|
)
|
|
(66,005
|
)
|
|
(61,086
|
)
|
|||
Net servicing loss
|
|
(17,690
|
)
|
|
(17,367
|
)
|
|
(15,213
|
)
|
|||
|
|
|
|
|
|
|
||||||
Healthcare:
|
|
|
|
|
|
|
||||||
Healthcare real estate income
|
|
6,059
|
|
|
—
|
|
|
—
|
|
|||
Healthcare real estate expense
|
|
(5,400
|
)
|
|
—
|
|
|
—
|
|
|||
Net healthcare real estate income
|
|
659
|
|
|
—
|
|
|
—
|
|
|||
|
|
|
|
|
|
|
||||||
Other gains (losses):
|
|
|
|
|
|
|
||||||
Realized gain (loss) on agency securities, net
|
|
3,775
|
|
|
(2,790
|
)
|
|
(8,263
|
)
|
|||
Realized gain on non-agency securities, net
|
|
5,947
|
|
|
5,673
|
|
|
39,080
|
|
|||
Realized loss on periodic settlements of interest rate swaps, net
|
|
(10,337
|
)
|
|
(16,437
|
)
|
|
(20,388
|
)
|
|||
Realized loss on other derivatives and securities, net
|
|
(96,709
|
)
|
|
(45,901
|
)
|
|
(20,445
|
)
|
|||
Unrealized gain (loss) on agency securities, net
|
|
(14,710
|
)
|
|
(28,095
|
)
|
|
187,921
|
|
|||
Unrealized gain (loss) on non-agency securities, net
|
|
40,547
|
|
|
(43,153
|
)
|
|
(26,375
|
)
|
|||
Unrealized gain (loss) on other derivatives and securities, net
|
|
63,389
|
|
|
2,056
|
|
|
(98,654
|
)
|
|||
Unrealized loss on mortgage servicing rights
|
|
(10,746
|
)
|
|
(415
|
)
|
|
(7,611
|
)
|
|||
Impairment of intangible assets
|
|
(5,000
|
)
|
|
(10,000
|
)
|
|
—
|
|
|||
Total other gains (losses), net
|
|
(23,844
|
)
|
|
(139,062
|
)
|
|
45,265
|
|
|||
Expenses:
|
|
|
|
|
|
|
||||||
Management fees
|
|
14,509
|
|
|
17,225
|
|
|
17,641
|
|
|||
General and administrative expenses
|
|
9,258
|
|
|
7,980
|
|
|
7,721
|
|
|||
Total expenses
|
|
23,767
|
|
|
25,205
|
|
|
25,362
|
|
|||
Income (loss) before provision for income tax
|
|
43,546
|
|
|
(38,316
|
)
|
|
159,417
|
|
|||
Benefit from (provision for) excise and income tax
|
|
125
|
|
|
(42
|
)
|
|
(238
|
)
|
|||
Net income (loss)
|
|
43,671
|
|
|
(38,358
|
)
|
|
159,179
|
|
|||
Dividend on preferred stock
|
|
(4,468
|
)
|
|
(4,468
|
)
|
|
(2,718
|
)
|
|||
Noncontrolling interest in net income
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|||
Net income (loss) available to common stockholders
|
|
$
|
39,201
|
|
|
$
|
(42,826
|
)
|
|
$
|
156,461
|
|
|
|
|
|
|
|
|
||||||
Net income (loss) per common share — basic
|
|
$
|
0.85
|
|
|
$
|
(0.85
|
)
|
|
$
|
3.06
|
|
Net income (loss) per common share — diluted
|
|
$
|
0.85
|
|
|
$
|
(0.85
|
)
|
|
$
|
3.06
|
|
|
|
|
|
|
|
|
||||||
Weighted average number of common shares outstanding — basic
|
|
46,005
|
|
|
50,506
|
|
|
51,176
|
|
|||
Weighted average number of common shares outstanding — diluted
|
|
46,008
|
|
|
50,519
|
|
|
51,192
|
|
|
Preferred Stock
|
|
Common Stock
|
|
Additional
Paid-in
Capital
|
|
Retained
Earnings (Deficit)
|
|
Noncontrolling Interests
|
|
Total Equity
|
||||||||||||||||||
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
|||||||||||||||||||||
Balance, December 31, 2013
|
—
|
|
|
$
|
—
|
|
|
51,356
|
|
|
$
|
514
|
|
|
$
|
1,201,826
|
|
|
$
|
(99,620
|
)
|
|
$
|
—
|
|
|
$
|
1,102,720
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
159,179
|
|
|
—
|
|
|
159,179
|
|
||||||
Issuance of preferred stock
|
2,200
|
|
|
53,039
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
53,039
|
|
||||||
Repurchase of common stock
|
—
|
|
|
—
|
|
|
(214
|
)
|
|
(3
|
)
|
|
(4,205
|
)
|
|
—
|
|
|
—
|
|
|
(4,208
|
)
|
||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
23
|
|
|
1
|
|
|
939
|
|
|
—
|
|
|
—
|
|
|
940
|
|
||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,718
|
)
|
|
—
|
|
|
(2,718
|
)
|
||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(132,983
|
)
|
|
—
|
|
|
(132,983
|
)
|
||||||
Balance, December 31, 2014
|
2,200
|
|
|
$
|
53,039
|
|
|
51,165
|
|
|
$
|
512
|
|
|
$
|
1,198,560
|
|
|
$
|
(76,142
|
)
|
|
$
|
—
|
|
|
$
|
1,175,969
|
|
Net loss
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(38,358
|
)
|
|
—
|
|
|
(38,358
|
)
|
||||||
Repurchase of common stock
|
—
|
|
|
—
|
|
|
(3,592
|
)
|
|
(36
|
)
|
|
(53,321
|
)
|
|
—
|
|
|
—
|
|
|
(53,357
|
)
|
||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
53
|
|
|
—
|
|
|
1,558
|
|
|
—
|
|
|
—
|
|
|
1,558
|
|
||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4,468
|
)
|
|
—
|
|
|
(4,468
|
)
|
||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(90,232
|
)
|
|
—
|
|
|
(90,232
|
)
|
||||||
Balance, December 31, 2015
|
2,200
|
|
|
$
|
53,039
|
|
|
47,626
|
|
|
$
|
476
|
|
|
$
|
1,146,797
|
|
|
$
|
(209,200
|
)
|
|
$
|
—
|
|
|
$
|
991,112
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
43,669
|
|
|
2
|
|
|
43,671
|
|
||||||
Issuance of noncontrolling interests
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
328
|
|
|
328
|
|
||||||
Distribution to noncontrolling interest
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(15
|
)
|
|
(15
|
)
|
||||||
Repurchase of common stock
|
—
|
|
|
—
|
|
|
(2,003
|
)
|
|
(20
|
)
|
|
(26,432
|
)
|
|
—
|
|
|
—
|
|
|
(26,452
|
)
|
||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
175
|
|
|
2
|
|
|
2,128
|
|
|
—
|
|
|
—
|
|
|
2,130
|
|
||||||
Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4,468
|
)
|
|
—
|
|
|
(4,468
|
)
|
||||||
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(73,261
|
)
|
|
—
|
|
|
(73,261
|
)
|
||||||
Balance, December 31, 2016
|
2,200
|
|
|
$
|
53,039
|
|
|
45,798
|
|
|
$
|
458
|
|
|
$
|
1,122,493
|
|
|
$
|
(243,260
|
)
|
|
$
|
315
|
|
|
$
|
933,045
|
|
|
For the Years Ended December 31,
|
||||||||||
|
2016
|
|
2015
|
|
2014
|
||||||
CASH FLOWS FROM OPERATING ACTIVITIES:
|
|
|
|
|
|
||||||
Net income (loss)
|
$
|
43,671
|
|
|
$
|
(38,358
|
)
|
|
$
|
159,179
|
|
Adjustments to reconcile net income to net cash flows from operating activities:
|
|
|
|
|
|
||||||
Amortization of net premium on agency securities
|
25,360
|
|
|
27,903
|
|
|
35,570
|
|
|||
Accretion of net discount on non-agency securities
|
(27,563
|
)
|
|
(35,643
|
)
|
|
(40,613
|
)
|
|||
Depreciation of buildings, furnitures, fixtures and equipment
|
1,295
|
|
|
—
|
|
|
—
|
|
|||
Realization of cash flows from MSR
|
10,335
|
|
|
10,033
|
|
|
5,128
|
|
|||
Unrealized loss (gain) on securities, MSR and derivatives, net
|
(78,480
|
)
|
|
69,607
|
|
|
(55,281
|
)
|
|||
Realized loss (gain) on agency securities, net
|
(3,775
|
)
|
|
2,790
|
|
|
8,263
|
|
|||
Realized gain on non-agency securities, net
|
(5,947
|
)
|
|
(5,673
|
)
|
|
(39,080
|
)
|
|||
Realized loss on other derivatives and securities, net
|
107,791
|
|
|
62,429
|
|
|
42,673
|
|
|||
Impairment of intangible assets
|
5,000
|
|
|
10,000
|
|
|
—
|
|
|||
Stock-based compensation
|
2,130
|
|
|
1,558
|
|
|
940
|
|
|||
Decrease in interest receivable
|
1,862
|
|
|
3,620
|
|
|
5,371
|
|
|||
Decrease in other assets
|
10,339
|
|
|
8,278
|
|
|
10,290
|
|
|||
Increase (decrease) in operating accounts payable and other accrued liabilities
|
(4,672
|
)
|
|
1,045
|
|
|
(733
|
)
|
|||
Net cash flows from operating activities
|
87,346
|
|
|
117,589
|
|
|
131,707
|
|
|||
CASH FLOWS FROM INVESTING ACTIVITIES:
|
|
|
|
|
|
||||||
Purchases of agency securities
|
(1,441,596
|
)
|
|
(1,694,529
|
)
|
|
(761,638
|
)
|
|||
Purchases of non-agency securities
|
(429,534
|
)
|
|
(1,069,186
|
)
|
|
(825,487
|
)
|
|||
Purchases of healthcare real estate investments
|
(94,561
|
)
|
|
—
|
|
|
—
|
|
|||
Purchases of MSR, net of purchase price adjustments
|
—
|
|
|
(4,291
|
)
|
|
(89,696
|
)
|
|||
Proceeds from sale of agency securities
|
1,374,242
|
|
|
2,245,959
|
|
|
2,277,424
|
|
|||
Proceeds from sale of non-agency securities
|
725,311
|
|
|
440,075
|
|
|
583,345
|
|
|||
Principal collections on agency securities
|
445,143
|
|
|
506,914
|
|
|
544,246
|
|
|||
Principal collections on non-agency securities
|
204,047
|
|
|
235,872
|
|
|
137,843
|
|
|||
Net payments on reverse repurchase agreements
|
(205,851
|
)
|
|
(67,219
|
)
|
|
(191,663
|
)
|
|||
Purchases of U.S. Treasury securities
|
(1,313,702
|
)
|
|
(5,470,830
|
)
|
|
(5,070,401
|
)
|
|||
Proceeds from sale of U.S. Treasury securities
|
1,506,212
|
|
|
6,282,497
|
|
|
5,123,755
|
|
|||
Payments for the termination of interest rate swaps
|
(80,762
|
)
|
|
(53,114
|
)
|
|
(13,952
|
)
|
|||
Decrease (increase) in restricted cash and cash equivalents
|
82,631
|
|
|
(13,492
|
)
|
|
(61,139
|
)
|
|||
Other investing cash flows, net
|
(19,352
|
)
|
|
5,648
|
|
|
33,300
|
|
|||
Net cash flows from investing activities
|
752,228
|
|
|
1,344,304
|
|
|
1,685,937
|
|
|||
CASH FLOWS USED IN FINANCING ACTIVITIES:
|
|
|
|
|
|
||||||
Dividends paid
|
(78,460
|
)
|
|
(108,907
|
)
|
|
(134,881
|
)
|
|||
Proceeds from preferred stock offerings, net of offering costs
|
—
|
|
|
—
|
|
|
53,039
|
|
|||
Net payments for repurchase of common shares
|
(26,452
|
)
|
|
(53,357
|
)
|
|
(4,208
|
)
|
|||
Issuance of noncontrolling interest
|
328
|
|
|
—
|
|
|
—
|
|
|||
Distributions to noncontrolling interest
|
(15
|
)
|
|
—
|
|
|
—
|
|
|||
Proceeds from repurchase agreements and Federal Home Loan Bank advances
|
27,829,137
|
|
|
47,270,579
|
|
|
41,501,632
|
|
|||
Repayments on repurchase agreements and Federal Home Loan Bank advances
|
(28,676,318
|
)
|
|
(48,604,320
|
)
|
|
(43,236,193
|
)
|
|||
Proceeds from note payable, net of deferred financing costs
|
66,709
|
|
|
—
|
|
|
—
|
|
|||
Repayments of note payable
|
(182
|
)
|
|
—
|
|
|
—
|
|
|||
Net cash used in financing activities
|
(885,253
|
)
|
|
(1,496,005
|
)
|
|
(1,820,611
|
)
|
|||
Net decrease in cash and cash equivalents
|
(45,679
|
)
|
|
(34,112
|
)
|
|
(2,967
|
)
|
|||
Cash and cash equivalents at beginning of the period
|
169,319
|
|
|
203,431
|
|
|
206,398
|
|
|||
Cash and cash equivalents at end of period
|
$
|
123,640
|
|
|
$
|
169,319
|
|
|
$
|
203,431
|
|
Supplemental disclosure to cash flow information:
|
|
|
|
|
|
||||||
Interest paid
|
$
|
40,691
|
|
|
$
|
29,968
|
|
|
$
|
29,447
|
|
Taxes paid
|
$
|
731
|
|
|
$
|
125
|
|
|
$
|
580
|
|
|
December 31, 2016
|
||||||||||
|
Fannie Mae
|
|
Freddie Mac
|
|
Total
|
||||||
Agency RMBS:
|
|
|
|
|
|
||||||
Par value
|
$
|
2,103,244
|
|
|
$
|
600,640
|
|
|
$
|
2,703,884
|
|
Unamortized premium
|
98,580
|
|
|
34,100
|
|
|
132,680
|
|
|||
Amortized cost
|
2,201,824
|
|
|
634,740
|
|
|
2,836,564
|
|
|||
Gross unrealized gains
|
6,350
|
|
|
1,887
|
|
|
8,237
|
|
|||
Gross unrealized losses
|
(30,657
|
)
|
|
(10,976
|
)
|
|
(41,633
|
)
|
|||
Agency RMBS, at fair value
|
$
|
2,177,517
|
|
|
$
|
625,651
|
|
|
$
|
2,803,168
|
|
|
|
|
|
|
|
||||||
Weighted average coupon as of December 31, 2016
|
3.49
|
%
|
|
3.60
|
%
|
|
3.52
|
%
|
|||
Weighted average yield as of December 31, 2016
|
2.71
|
%
|
|
2.69
|
%
|
|
2.71
|
%
|
|||
Weighted average yield for the year ended December 31, 2016
|
2.56
|
%
|
|
2.60
|
%
|
|
2.57
|
%
|
|
|
December 31, 2016
|
||||||||||||||
|
|
Amortized Cost
|
|
Gross Unrealized Gain
|
|
Gross Unrealized Loss
|
|
Fair Value
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
||||||||
Fixed rate
|
|
$
|
2,747,165
|
|
|
$
|
6,003
|
|
|
$
|
(41,633
|
)
|
|
$
|
2,711,535
|
|
Adjustable rate
|
|
89,399
|
|
|
2,234
|
|
|
—
|
|
|
91,633
|
|
||||
Total Agency RMBS
|
|
$
|
2,836,564
|
|
|
$
|
8,237
|
|
|
$
|
(41,633
|
)
|
|
$
|
2,803,168
|
|
|
December 31, 2015
|
||||||||||
|
Fannie Mae
|
|
Freddie Mac
|
|
Total
|
||||||
Agency RMBS:
|
|
|
|
|
|
||||||
Par value
|
$
|
2,421,576
|
|
|
$
|
651,622
|
|
|
$
|
3,073,198
|
|
Unamortized premium
|
127,871
|
|
|
34,869
|
|
|
162,740
|
|
|||
Amortized cost
|
2,549,447
|
|
|
686,491
|
|
|
3,235,938
|
|
|||
Gross unrealized gains
|
9,745
|
|
|
3,378
|
|
|
13,123
|
|
|||
Gross unrealized losses
|
(23,194
|
)
|
|
(8,615
|
)
|
|
(31,809
|
)
|
|||
Agency RMBS, at fair value
|
$
|
2,535,998
|
|
|
$
|
681,254
|
|
|
$
|
3,217,252
|
|
|
|
|
|
|
|
|
|||||
Weighted average coupon as of December 31, 2015
|
3.58
|
%
|
|
3.58
|
%
|
|
3.58
|
%
|
|||
Weighted average yield as of December 31, 2015
|
2.68
|
%
|
|
2.71
|
%
|
|
2.68
|
%
|
|||
Weighted average yield for the year ended December 31, 2015
|
2.58
|
%
|
|
2.64
|
%
|
|
2.59
|
%
|
|
|
December 31, 2015
|
||||||||||||||
|
|
Amortized Cost
|
|
Gross Unrealized Gain
|
|
Gross Unrealized Loss
|
|
Fair Value
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
||||||||
Fixed rate
|
|
$
|
3,131,136
|
|
|
$
|
10,086
|
|
|
$
|
(31,809
|
)
|
|
$
|
3,109,413
|
|
Adjustable rate
|
|
104,802
|
|
|
3,037
|
|
|
—
|
|
|
107,839
|
|
||||
Total Agency RMBS
|
|
$
|
3,235,938
|
|
|
$
|
13,123
|
|
|
$
|
(31,809
|
)
|
|
$
|
3,217,252
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||
|
|
|
|
|
|
Weighted Average
|
|
|
|
|
|
Weighted Average
|
||||||||||||||||
Weighted Average Life
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Yield
|
|
Coupon
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Yield
|
|
Coupon
|
||||||||||||
Less than three years
|
|
$
|
10,061
|
|
|
$
|
10,101
|
|
|
1.97
|
%
|
|
4.07
|
%
|
|
$
|
—
|
|
|
$
|
—
|
|
|
N/A
|
|
|
N/A
|
|
Greater than three years and less than or equal to five years
|
|
602,705
|
|
|
600,979
|
|
|
2.32
|
%
|
|
3.24
|
%
|
|
742,523
|
|
|
740,513
|
|
|
2.25
|
%
|
|
3.29
|
%
|
||||
Greater than five years and less than or equal to 10 years
|
|
1,985,654
|
|
|
2,021,474
|
|
|
2.78
|
%
|
|
3.65
|
%
|
|
2,466,730
|
|
|
2,487,369
|
|
|
2.81
|
%
|
|
3.67
|
%
|
||||
Greater than 10 years
|
|
204,748
|
|
|
204,010
|
|
|
3.10
|
%
|
|
3.01
|
%
|
|
7,999
|
|
|
8,056
|
|
|
3.03
|
%
|
|
3.50
|
%
|
||||
Total
|
|
$
|
2,803,168
|
|
|
$
|
2,836,564
|
|
|
2.71
|
%
|
|
3.52
|
%
|
|
$
|
3,217,252
|
|
|
$
|
3,235,938
|
|
|
2.68
|
%
|
|
3.58
|
%
|
|
|
For the Years Ended December 31,
|
||||||||||
|
|
2016
|
|
2015
|
|
2014
|
||||||
Proceeds from agency securities sold
|
|
$
|
1,374,242
|
|
|
$
|
2,245,959
|
|
|
$
|
2,277,424
|
|
Decrease in receivable for securities sold
|
|
—
|
|
|
—
|
|
|
(608,646
|
)
|
|||
Less agency securities sold, at cost
|
|
(1,370,467
|
)
|
|
(2,248,749
|
)
|
|
(1,677,041
|
)
|
|||
Realized gain (loss) on agency securities, net
|
|
$
|
3,775
|
|
|
$
|
(2,790
|
)
|
|
$
|
(8,263
|
)
|
|
|
|
|
|
|
|
||||||
Gross realized gains on sale of agency securities
|
|
$
|
9,291
|
|
|
$
|
10,867
|
|
|
$
|
10,706
|
|
Gross realized losses on sale of agency securities
|
|
(5,516
|
)
|
|
(13,657
|
)
|
|
(18,969
|
)
|
|||
Realized gain (loss) on agency securities, net
|
|
$
|
3,775
|
|
|
$
|
(2,790
|
)
|
|
$
|
(8,263
|
)
|
|
|
December 31, 2016
|
||||||||||
Agency RMBS Pledged:
|
|
Fannie Mae
|
|
Freddie Mac
|
|
Total
|
||||||
Under Repurchase Agreements
|
|
|
|
|
|
|
||||||
Fair value
|
|
$
|
1,911,218
|
|
|
$
|
514,082
|
|
|
$
|
2,425,300
|
|
Accrued interest on pledged agency RMBS
|
|
5,375
|
|
|
1,483
|
|
|
6,858
|
|
|||
Under Derivative Agreements
|
|
|
|
|
|
|
||||||
Fair value
|
|
605
|
|
|
671
|
|
|
1,276
|
|
|||
Accrued interest on pledged agency RMBS
|
|
1
|
|
|
2
|
|
|
3
|
|
|||
Under FHLB Advances
|
|
|
|
|
|
|
||||||
Fair value
|
|
184,488
|
|
|
102,210
|
|
|
286,698
|
|
|||
Accrued interest on pledged agency RMBS
|
|
516
|
|
|
290
|
|
|
806
|
|
|||
Total Fair Value of Agency RMBS Pledged and Accrued Interest
|
|
$
|
2,102,203
|
|
|
$
|
618,738
|
|
|
$
|
2,720,941
|
|
|
|
December 31, 2015
|
||||||||||
Agency RMBS Pledged:
|
|
Fannie Mae
|
|
Freddie Mac
|
|
Total
|
||||||
Under Repurchase Agreements
|
|
|
|
|
|
|
||||||
Fair value
|
|
$
|
2,261,124
|
|
|
$
|
639,460
|
|
|
$
|
2,900,584
|
|
Accrued interest on pledged agency RMBS
|
|
6,428
|
|
|
1,826
|
|
|
8,254
|
|
|||
Under Derivative Agreements
|
|
|
|
|
|
|
||||||
Fair value
|
|
1,708
|
|
|
1,866
|
|
|
3,574
|
|
|||
Accrued interest on pledged agency RMBS
|
|
5
|
|
|
5
|
|
|
10
|
|
|||
Under FHLB Advances
|
|
|
|
|
|
|
||||||
Fair value
|
|
249,590
|
|
|
20,927
|
|
|
270,517
|
|
|||
Accrued interest on pledged agency RMBS
|
|
741
|
|
|
62
|
|
|
803
|
|
|||
Total Fair Value of Agency RMBS Pledged and Accrued Interest
|
|
$
|
2,519,596
|
|
|
$
|
664,146
|
|
|
$
|
3,183,742
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
Remaining Maturity
|
|
Fair Value
|
|
Amortized
Cost
|
|
Accrued Interest
|
|
Fair Value
|
|
Amortized
Cost
|
|
Accrued Interest
|
||||||||||||
30 days or less
|
|
$
|
672,749
|
|
|
$
|
681,287
|
|
|
$
|
1,887
|
|
|
$
|
1,637,388
|
|
|
$
|
1,647,007
|
|
|
$
|
4,718
|
|
31 - 59 days
|
|
1,061,202
|
|
|
1,074,283
|
|
|
3,030
|
|
|
340,855
|
|
|
340,852
|
|
|
940
|
|
||||||
60 - 90 days
|
|
496,562
|
|
|
500,517
|
|
|
1,363
|
|
|
329,397
|
|
|
330,832
|
|
|
932
|
|
||||||
Greater than 90 days
|
|
481,485
|
|
|
488,344
|
|
|
1,384
|
|
|
863,461
|
|
|
870,764
|
|
|
2,467
|
|
||||||
Total
|
|
$
|
2,711,998
|
|
|
$
|
2,744,431
|
|
|
$
|
7,664
|
|
|
$
|
3,171,101
|
|
|
$
|
3,189,455
|
|
|
$
|
9,057
|
|
December 31, 2016
|
||||||||||||||||||||||||||||||
|
|
Fair
Value
|
|
Gross Unrealized
|
|
Amortized Cost
|
|
Premium (Discount)
|
|
Par/ Current Face
|
|
Weighted Average
|
||||||||||||||||||
Category
|
|
|
Gains
|
|
Losses
|
|
|
|
|
Coupon
(1)
|
|
Yield
|
||||||||||||||||||
Prime
|
|
$
|
181,267
|
|
|
$
|
5,945
|
|
|
$
|
(2,402
|
)
|
|
$
|
177,724
|
|
|
$
|
(17,672
|
)
|
|
$
|
195,396
|
|
|
3.18
|
%
|
|
5.61
|
%
|
CRT
|
|
317,532
|
|
|
18,029
|
|
|
(1,012
|
)
|
|
300,515
|
|
|
2,362
|
|
|
298,153
|
|
|
5.26
|
%
|
|
6.37
|
%
|
||||||
Alt-A
|
|
345,586
|
|
|
33,702
|
|
|
(3,330
|
)
|
|
315,214
|
|
|
(130,714
|
)
|
|
445,928
|
|
|
2.05
|
%
|
|
7.58
|
%
|
||||||
Option-ARM
|
|
180,169
|
|
|
8,075
|
|
|
(4,357
|
)
|
|
176,451
|
|
|
(38,787
|
)
|
|
215,238
|
|
|
1.00
|
%
|
|
5.64
|
%
|
||||||
Subprime
|
|
92,195
|
|
|
781
|
|
|
(252
|
)
|
|
91,666
|
|
|
(659
|
)
|
|
92,325
|
|
|
4.05
|
%
|
|
4.38
|
%
|
||||||
CMBS
|
|
17,720
|
|
|
—
|
|
|
(73
|
)
|
|
17,793
|
|
|
(207
|
)
|
|
18,000
|
|
|
5.65
|
%
|
|
6.02
|
%
|
||||||
Total
|
|
$
|
1,134,469
|
|
|
$
|
66,532
|
|
|
$
|
(11,426
|
)
|
|
$
|
1,079,363
|
|
|
$
|
(185,677
|
)
|
|
$
|
1,265,040
|
|
|
3.00
|
%
|
|
6.31
|
%
|
(1)
|
Coupon rates are floating, except for
$11.8 million
,
$22.3 million
and
$57.5 million
fair value of fixed-rate prime, Alt-A and subprime non-agency securities, respectively, as of
December 31, 2016
.
|
December 31, 2015
|
||||||||||||||||||||||||||||||
|
|
Fair
Value
|
|
Gross Unrealized
|
|
Amortized Cost
|
|
Premium (Discount)
|
|
Par/ Current Face
|
|
Weighted Average
|
||||||||||||||||||
Category
|
|
|
Gains
|
|
Losses
|
|
|
|
|
Coupon
(1)
|
|
Yield
|
||||||||||||||||||
Prime
|
|
$
|
411,780
|
|
|
$
|
6,797
|
|
|
$
|
(3,681
|
)
|
|
$
|
408,664
|
|
|
$
|
(22,387
|
)
|
|
$
|
431,051
|
|
|
3.24
|
%
|
|
4.49
|
%
|
CRT
|
|
361,028
|
|
|
605
|
|
|
(11,910
|
)
|
|
372,333
|
|
|
3,999
|
|
|
368,334
|
|
|
4.65
|
%
|
|
5.93
|
%
|
||||||
Alt-A
|
|
430,679
|
|
|
28,560
|
|
|
(8,001
|
)
|
|
410,120
|
|
|
(150,257
|
)
|
|
560,377
|
|
|
1.76
|
%
|
|
6.65
|
%
|
||||||
Option-ARM
|
|
150,014
|
|
|
6,802
|
|
|
(5,742
|
)
|
|
148,954
|
|
|
(34,454
|
)
|
|
183,408
|
|
|
0.68
|
%
|
|
5.43
|
%
|
||||||
Subprime
|
|
204,170
|
|
|
2,355
|
|
|
(1,227
|
)
|
|
203,042
|
|
|
(13,270
|
)
|
|
216,312
|
|
|
3.57
|
%
|
|
4.56
|
%
|
||||||
Total
|
|
$
|
1,557,671
|
|
|
$
|
45,119
|
|
|
$
|
(30,561
|
)
|
|
$
|
1,543,113
|
|
|
$
|
(216,369
|
)
|
|
$
|
1,759,482
|
|
|
2.84
|
%
|
|
5.51
|
%
|
(1)
|
Coupon rates are floating, except for
$226.9 million
,
$25.9 million
and
$171.4 million
fair value of fixed-rate prime, Alt-A and subprime non-agency securities, respectively, as of
December 31, 2015
.
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||
|
|
|
|
|
|
Weighted Average
|
|
|
|
|
|
Weighted Average
|
||||||||||||||||
Weighted Average Life
|
|
Fair Value
|
|
Amortized
Cost
|
|
Coupon
|
|
Yield
|
|
Fair Value
|
|
Amortized
Cost
|
|
Coupon
|
|
Yield
|
||||||||||||
≤ 5 years
|
|
$
|
330,507
|
|
|
$
|
322,535
|
|
|
3.20
|
%
|
|
5.75
|
%
|
|
$
|
369,907
|
|
|
$
|
363,087
|
|
|
3.15
|
%
|
|
5.22
|
%
|
> 5 to ≤ 7 years
|
|
487,540
|
|
|
455,263
|
|
|
2.27
|
%
|
|
6.72
|
%
|
|
635,840
|
|
|
620,734
|
|
|
2.12
|
%
|
|
5.68
|
%
|
||||
> 7 years
|
|
316,422
|
|
|
301,565
|
|
|
4.10
|
%
|
|
6.28
|
%
|
|
551,924
|
|
|
559,292
|
|
|
3.53
|
%
|
|
5.51
|
%
|
||||
Total
|
|
$
|
1,134,469
|
|
|
$
|
1,079,363
|
|
|
3.00
|
%
|
|
6.31
|
%
|
|
$
|
1,557,671
|
|
|
$
|
1,543,113
|
|
|
2.84
|
%
|
|
5.51
|
%
|
|
|
For the Years Ended December 31,
|
||||||||||
|
|
2016
|
|
2015
|
|
2014
|
||||||
Proceeds from non-agency securities sold
|
|
$
|
725,311
|
|
|
$
|
440,075
|
|
|
$
|
583,345
|
|
Increase (decrease) in receivable for securities sold
|
|
(2,565
|
)
|
|
2,565
|
|
|
—
|
|
|||
Less: non-agency securities sold, at cost
|
|
(716,799
|
)
|
|
(436,967
|
)
|
|
(544,265
|
)
|
|||
Realized gain on non-agency securities, net
|
|
$
|
5,947
|
|
|
$
|
5,673
|
|
|
$
|
39,080
|
|
|
|
|
|
|
|
|
||||||
Gross realized gain on sale of non-agency securities
|
|
$
|
12,129
|
|
|
$
|
8,869
|
|
|
$
|
44,571
|
|
Gross realized loss on sale of non-agency securities
|
|
(6,182
|
)
|
|
(3,196
|
)
|
|
(5,491
|
)
|
|||
Realized gain on non-agency securities, net
|
|
$
|
5,947
|
|
|
$
|
5,673
|
|
|
$
|
39,080
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
Remaining Maturity
|
|
Fair Value
|
|
Amortized
Cost |
|
Accrued Interest
|
|
Fair Value
|
|
Amortized
Cost |
|
Accrued Interest
|
||||||||||||
30 days or less
|
|
$
|
859,046
|
|
|
$
|
814,457
|
|
|
$
|
1,142
|
|
|
$
|
1,067,283
|
|
|
$
|
1,056,492
|
|
|
$
|
1,669
|
|
31 - 59 days
|
|
109,057
|
|
|
103,483
|
|
|
83
|
|
|
200,120
|
|
|
196,500
|
|
|
217
|
|
||||||
60 - 90 days
|
|
51,731
|
|
|
49,043
|
|
|
136
|
|
|
168,528
|
|
|
166,695
|
|
|
361
|
|
||||||
Total
|
|
$
|
1,019,834
|
|
|
$
|
966,983
|
|
|
$
|
1,361
|
|
|
$
|
1,435,931
|
|
|
$
|
1,419,687
|
|
|
$
|
2,247
|
|
|
|
December 31, 2016
|
||
Buildings and improvements
|
|
$
|
77,438
|
|
Land
|
|
5,646
|
|
|
Furniture, fixtures and equipment
|
|
4,342
|
|
|
Goodwill
|
|
5,840
|
|
|
Total real estate assets
|
|
$
|
93,266
|
|
|
|
For the Year Ended December 31, 2016
|
||
Beginning balance
|
|
$
|
—
|
|
Debt issued
|
|
67,825
|
|
|
Deferred financing costs, net of amortization
|
|
(1,116
|
)
|
|
Principal repayments
|
|
(182
|
)
|
|
Ending balance
|
|
$
|
66,527
|
|
|
|
For the Year Ended December 31, 2016
|
||
Lease income
|
|
$
|
3,626
|
|
Rental income
|
|
2,433
|
|
|
Healthcare real estate income
|
|
6,059
|
|
|
|
|
|
||
Interest expense
|
|
1,814
|
|
|
Depreciation
|
|
1,312
|
|
|
Acquisition costs
|
|
890
|
|
|
Tenant expenses
|
|
1,384
|
|
|
Healthcare real estate expense
|
|
5,400
|
|
|
Net healthcare real estate income
|
|
$
|
659
|
|
|
|
December 31, 2016
|
||
2017
|
|
$
|
6,713
|
|
2018
|
|
6,858
|
|
|
2019
|
|
7,007
|
|
|
2020
|
|
7,159
|
|
|
2021
|
|
7,315
|
|
|
Thereafter
|
|
62,450
|
|
|
Total
|
|
$
|
97,502
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||
|
|
|
|
Weighted Average
|
|
|
|
Weighted Average
|
||||||||||
Collateral Type
|
|
Borrowings
Outstanding |
|
Interest Rate
|
|
Days
to Maturity |
|
Borrowings
Outstanding |
|
Interest Rate
|
|
Days
to Maturity |
||||||
Agency securities
|
|
$
|
2,215,151
|
|
|
1.00
|
%
|
|
159
|
|
$
|
2,728,065
|
|
|
0.60
|
%
|
|
243
|
Non-agency securities
|
|
755,665
|
|
|
2.23
|
%
|
|
23
|
|
936,650
|
|
|
1.86
|
%
|
|
27
|
||
Total repurchase agreements
|
|
$
|
2,970,816
|
|
|
1.31
|
%
|
|
125
|
|
$
|
3,664,715
|
|
|
0.92
|
%
|
|
188
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||
|
|
|
|
Weighted Average
|
|
|
|
Weighted Average
|
||||||||||
|
|
Borrowings
Outstanding
|
|
Interest Rate
|
|
Days
to Maturity |
|
Borrowings
Outstanding
|
|
Interest Rate
|
|
Days
to Maturity |
||||||
Agency and non-agency
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
≤ 1 month
|
|
$
|
1,304,341
|
|
|
1.52
|
%
|
|
15
|
|
$
|
2,045,776
|
|
|
0.97
|
%
|
|
15
|
> 1 to ≤ 2 months
|
|
830,099
|
|
|
1.16
|
%
|
|
41
|
|
504,348
|
|
|
1.01
|
%
|
|
42
|
||
> 2 to ≤ 3 months
|
|
508,047
|
|
|
1.07
|
%
|
|
78
|
|
363,365
|
|
|
0.90
|
%
|
|
78
|
||
> 3 to ≤ 6 months
|
|
63,329
|
|
|
0.93
|
%
|
|
114
|
|
—
|
|
|
N/A
|
|
|
N/A
|
||
> 6 to ≤ 9 months
|
|
—
|
|
|
N/A
|
|
|
N/A
|
|
100,000
|
|
|
0.78
|
%
|
|
259
|
||
> 9 to ≤ 12 months
|
|
—
|
|
|
N/A
|
|
|
N/A
|
|
136,226
|
|
|
0.77
|
%
|
|
334
|
||
> 12 months
|
|
265,000
|
|
|
1.32
|
%
|
|
1023
|
|
515,000
|
|
|
0.72
|
%
|
|
1040
|
||
Total repurchase agreements
|
|
$
|
2,970,816
|
|
|
1.31
|
%
|
|
125
|
|
$
|
3,664,715
|
|
|
0.92
|
%
|
|
188
|
|
|
December 31,
|
||||||
|
|
2016
|
|
2015
|
||||
Derivative assets
|
|
|
|
|
||||
Interest rate swaps
|
|
$
|
26,766
|
|
|
$
|
3,152
|
|
Interest rate swaptions
|
|
1,467
|
|
|
1,961
|
|
||
TBA securities
|
|
815
|
|
|
1,958
|
|
||
U.S. Treasury futures
|
|
—
|
|
|
1,080
|
|
||
Derivative assets, at fair value
|
|
$
|
29,048
|
|
|
$
|
8,151
|
|
|
|
|
|
|
||||
Derivative liabilities
|
|
|
|
|
||||
Interest rate swaps
|
|
$
|
4,475
|
|
|
$
|
55,651
|
|
TBA securities
|
|
19,304
|
|
|
1,151
|
|
||
Credit default swaps
|
|
4,041
|
|
|
1,972
|
|
||
Interest only swaps
|
|
—
|
|
|
76
|
|
||
Derivative liabilities, at fair value
|
|
$
|
27,820
|
|
|
$
|
58,850
|
|
|
For the Years Ended December 31,
|
||||||||||||||||||||||||||||
|
2016
|
|
2015
|
|
2014
|
||||||||||||||||||||||||
|
Realized Loss on Periodic Settlements of Interest Rate Swaps, net
|
Realized Loss on Other Derivatives and Securities, net
|
Unrealized Gain (Loss) on Other Derivatives and Securities, net
|
|
Realized Loss on Periodic Settlements of Interest Rate Swaps, net
|
Realized Loss on Other Derivatives and Securities, net
|
Unrealized Gain (Loss) on Other Derivatives and Securities, net
|
|
Realized Loss on Periodic Settlements of Interest Rate Swaps, net
|
Realized Loss on Other Derivatives and Securities, net
|
Unrealized Gain (Loss) on Other Derivatives and Securities, net
|
||||||||||||||||||
Interest rate swaps
|
$
|
(10,337
|
)
|
$
|
(80,762
|
)
|
$
|
73,646
|
|
|
$
|
(16,437
|
)
|
$
|
(53,114
|
)
|
$
|
9,662
|
|
|
$
|
(20,388
|
)
|
$
|
(13,952
|
)
|
$
|
(105,529
|
)
|
Interest rate swaptions
|
—
|
|
(1,307
|
)
|
813
|
|
|
—
|
|
(4,049
|
)
|
156
|
|
|
—
|
|
(17,836
|
)
|
(12,018
|
)
|
|||||||||
TBA securities
|
—
|
|
(3,422
|
)
|
(19,295
|
)
|
|
—
|
|
22,727
|
|
(10,825
|
)
|
|
—
|
|
33,345
|
|
10,613
|
|
|||||||||
U.S. Treasury securities
|
—
|
|
4,504
|
|
(7
|
)
|
|
—
|
|
8,323
|
|
(1,428
|
)
|
|
—
|
|
2,008
|
|
13,291
|
|
|||||||||
U.S. Treasury futures
|
—
|
|
(2,223
|
)
|
(1,079
|
)
|
|
—
|
|
(4,695
|
)
|
2,146
|
|
|
—
|
|
(6,645
|
)
|
(4,464
|
)
|
|||||||||
Short sales of U.S. Treasuries
|
—
|
|
(14,303
|
)
|
11,955
|
|
|
—
|
|
(15,544
|
)
|
1,757
|
|
|
—
|
|
(26,592
|
)
|
(1,344
|
)
|
|||||||||
Agency mortgage REIT equity investments
|
—
|
|
1,640
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
8,675
|
|
502
|
|
|||||||||
Mortgage options
|
—
|
|
(10
|
)
|
—
|
|
|
—
|
|
22
|
|
—
|
|
|
—
|
|
257
|
|
—
|
|
|||||||||
Interest only swaps
|
—
|
|
139
|
|
11
|
|
|
—
|
|
199
|
|
(307
|
)
|
|
—
|
|
295
|
|
295
|
|
|||||||||
Credit default swaps
|
—
|
|
(1,461
|
)
|
(2,655
|
)
|
|
—
|
|
125
|
|
895
|
|
|
—
|
|
—
|
|
—
|
|
|||||||||
Credit default option
|
—
|
|
—
|
|
—
|
|
|
—
|
|
14
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
|||||||||
FHLB stock
|
—
|
|
496
|
|
—
|
|
|
—
|
|
91
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
|||||||||
Total
|
$
|
(10,337
|
)
|
$
|
(96,709
|
)
|
$
|
63,389
|
|
|
$
|
(16,437
|
)
|
$
|
(45,901
|
)
|
$
|
2,056
|
|
|
$
|
(20,388
|
)
|
$
|
(20,445
|
)
|
$
|
(98,654
|
)
|
|
December 31, 2015
Notional Amount |
|
Additions/ Long Positions
|
|
Expirations/
Terminations/ Short Positions
|
|
December 31, 2016
Notional Amount |
||||||
Interest rate swaps
|
$
|
2,290,000
|
|
|
1,835,000
|
|
|
(1,150,000
|
)
|
|
$
|
2,975,000
|
|
Interest rate swaptions
|
$
|
250,000
|
|
|
—
|
|
|
(100,000
|
)
|
|
$
|
150,000
|
|
TBA securities
|
$
|
59,878
|
|
|
16,995,682
|
|
|
(16,169,518
|
)
|
|
$
|
886,042
|
|
U.S. Treasuries
|
$
|
—
|
|
|
344,500
|
|
|
(323,500
|
)
|
|
$
|
21,000
|
|
U.S. Treasury futures
|
$
|
(350,000
|
)
|
|
1,600,000
|
|
|
(1,250,000
|
)
|
|
$
|
—
|
|
Short sales of U.S. Treasuries
|
$
|
(269,000
|
)
|
|
959,500
|
|
|
(1,201,500
|
)
|
|
$
|
(511,000
|
)
|
Mortgage options
|
$
|
—
|
|
|
50,000
|
|
|
(50,000
|
)
|
|
$
|
—
|
|
Interest only swaps
|
$
|
40,128
|
|
|
—
|
|
|
(40,128
|
)
|
|
$
|
—
|
|
Credit default swaps
|
$
|
49,500
|
|
|
—
|
|
|
(500
|
)
|
|
$
|
49,000
|
|
|
December 31, 2014
Notional Amount |
|
Additions/ Long Positions
|
|
Expirations/
Terminations/ Short Positions
|
|
December 31, 2015
Notional Amount |
||||||
Interest rate swaps
|
$
|
4,015,000
|
|
|
275,000
|
|
|
(2,000,000
|
)
|
|
$
|
2,290,000
|
|
Interest rate swaptions
|
$
|
550,000
|
|
|
100,000
|
|
|
(400,000
|
)
|
|
$
|
250,000
|
|
TBA securities
|
$
|
296,172
|
|
|
28,149,744
|
|
|
(28,386,038
|
)
|
|
$
|
59,878
|
|
U.S. Treasuries
|
$
|
756,500
|
|
|
3,772,750
|
|
|
(4,529,250
|
)
|
|
$
|
—
|
|
U.S. Treasury futures
|
$
|
(150,000
|
)
|
|
800,000
|
|
|
(1,000,000
|
)
|
|
$
|
(350,000
|
)
|
Short sales of U.S. Treasuries
|
$
|
(228,500
|
)
|
|
1,698,200
|
|
|
(1,738,700
|
)
|
|
$
|
(269,000
|
)
|
Mortgage options
|
$
|
—
|
|
|
50,000
|
|
|
(50,000
|
)
|
|
$
|
—
|
|
Interest only swaps
|
$
|
48,739
|
|
|
—
|
|
|
(8,611
|
)
|
|
$
|
40,128
|
|
Credit default swaps
|
$
|
—
|
|
|
99,500
|
|
|
(50,000
|
)
|
|
$
|
49,500
|
|
Credit default options
|
$
|
—
|
|
|
50,000
|
|
|
(50,000
|
)
|
|
$
|
—
|
|
|
December 31, 2013
Notional Amount |
|
Additions/ Long Positions
|
|
Expirations/
Terminations/ Short Positions |
|
December 31, 2014
Notional Amount |
||||||
Interest rate swaps
|
$
|
3,240,000
|
|
|
1,275,000
|
|
|
(500,000
|
)
|
|
$
|
4,015,000
|
|
Interest rate swaptions
|
$
|
2,100,000
|
|
|
425,000
|
|
|
(1,975,000
|
)
|
|
$
|
550,000
|
|
TBA securities
|
$
|
(773,816
|
)
|
|
26,657,236
|
|
|
(25,587,248
|
)
|
|
$
|
296,172
|
|
U.S. Treasuries
|
$
|
656,000
|
|
|
2,857,070
|
|
|
(2,756,570
|
)
|
|
$
|
756,500
|
|
U.S. Treasury futures
|
$
|
(150,000
|
)
|
|
600,000
|
|
|
(600,000
|
)
|
|
$
|
(150,000
|
)
|
Short sales of U.S. Treasuries
|
$
|
(23,000
|
)
|
|
2,193,500
|
|
|
(2,399,000
|
)
|
|
$
|
(228,500
|
)
|
Mortgage options
|
$
|
—
|
|
|
300,000
|
|
|
(300,000
|
)
|
|
$
|
—
|
|
Interest only swaps
|
$
|
—
|
|
|
49,910
|
|
|
(1,171
|
)
|
|
$
|
48,739
|
|
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||
Interest Rate Swaps
|
|
Balance Sheet Location
|
|
Notional Amount
|
|
Fair Value
|
|
Notional Amount
|
|
Fair Value
|
||||||||
Interest rate swap assets
|
|
Derivative assets, at fair value
|
|
$
|
2,485,000
|
|
|
$
|
26,766
|
|
|
$
|
725,000
|
|
|
$
|
3,152
|
|
Interest rate swap liabilities
|
|
Derivative liabilities, at fair value
|
|
490,000
|
|
|
(4,475
|
)
|
|
1,565,000
|
|
|
(55,651
|
)
|
||||
|
|
|
|
$
|
2,975,000
|
|
|
$
|
22,291
|
|
|
$
|
2,290,000
|
|
|
$
|
(52,499
|
)
|
December 31, 2016
|
||||||||||||||||
|
|
Notional
Amount |
|
Fair Value
|
|
Weighted Average
|
||||||||||
Current Maturity Date for Interest Rate Swaps
(1)
|
|
|
|
Fixed
Pay Rate (2) |
|
Receive
Rate
(3)
|
|
Maturity
(Years)
|
||||||||
≤ 3 years
|
|
$
|
1,865,000
|
|
|
$
|
8,366
|
|
|
1.14
|
%
|
|
0.92
|
%
|
|
1.8
|
> 3 to ≤ 5 years
|
|
475,000
|
|
|
3,403
|
|
|
1.78
|
%
|
|
0.93
|
%
|
|
4.8
|
||
> 5 to ≤ 7 years
|
|
510,000
|
|
|
7,883
|
|
|
1.78
|
%
|
|
0.89
|
%
|
|
5.8
|
||
> 7 years
|
|
125,000
|
|
|
2,639
|
|
|
2.08
|
%
|
|
0.91
|
%
|
|
9.7
|
||
Total
|
|
$
|
2,975,000
|
|
|
$
|
22,291
|
|
|
1.39
|
%
|
|
0.92
|
%
|
|
3.3
|
December 31, 2015
|
||||||||||||||||
|
|
Notional
Amount |
|
Fair Value
|
|
Weighted Average
|
||||||||||
Current Maturity Date for Interest Rate Swaps
(4)
|
|
|
|
Fixed
Pay Rate (2) |
|
Receive
Rate (3) |
|
Maturity
(Years) |
||||||||
≤ 3 years
|
|
$
|
865,000
|
|
|
$
|
(268
|
)
|
|
1.09
|
%
|
|
0.41
|
%
|
|
1.8
|
> 3 to ≤ 5 years
|
|
550,000
|
|
|
(5,054
|
)
|
|
1.72
|
%
|
|
0.42
|
%
|
|
3.4
|
||
> 5 to ≤ 7 years
|
|
625,000
|
|
|
(35,866
|
)
|
|
3.16
|
%
|
|
0.46
|
%
|
|
5.9
|
||
> 7 years
|
|
250,000
|
|
|
(11,311
|
)
|
|
2.71
|
%
|
|
0.60
|
%
|
|
7.9
|
||
Total
|
|
$
|
2,290,000
|
|
|
$
|
(52,499
|
)
|
|
1.98
|
%
|
|
0.43
|
%
|
|
4.0
|
(1)
|
Includes swaps with an aggregate notional of
$0.2 billion
with deferred start dates averaging
0.2 years
from
December 31, 2016
.
|
(2)
|
Excluding forward starting swaps, the weighted average pay rate was
1.35%
and
1.36%
as of
December 31, 2016 and 2015
, respectively.
|
(3)
|
Weighted average receive rate excludes impact of forward starting interest rate swaps.
|
(4)
|
Includes swaps with an aggregate notional of
$0.7 billion
with deferred start dates averaging
0.6 years
from
December 31, 2015
.
|
December 31, 2016
|
|||||||||||||||||||
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||
Current Option Expiration Date
|
|
Cost
|
|
Fair Value
|
|
Weighted Average Years to Expiration
|
|
Notional Amount
|
|
Pay Rate
|
|
Weighted Average Term (Years)
|
|||||||
|
|
|
|
|
|
||||||||||||||
> 3 to ≤ 12 months
|
|
$
|
2,734
|
|
|
$
|
340
|
|
|
0.9
|
|
$
|
100,000
|
|
|
3.21
|
%
|
|
5.0
|
> 12 months
|
|
3,493
|
|
|
1,127
|
|
|
6.7
|
|
50,000
|
|
|
3.00
|
%
|
|
7.0
|
|||
Total / weighted average
|
|
$
|
6,227
|
|
|
$
|
1,467
|
|
|
2.8
|
|
$
|
150,000
|
|
|
3.14
|
%
|
|
5.7
|
December 31, 2015
|
|||||||||||||||||||
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||
Current Option Expiration Date
|
|
Cost
|
|
Fair Value
|
|
Weighted Average Years to Expiration
|
|
Notional Amount
|
|
Pay Rate
|
|
Weighted Average Term (Years)
|
|||||||
|
|
|
|
|
|
||||||||||||||
≤ 3 months
|
|
$
|
3,493
|
|
|
$
|
1,307
|
|
|
0.2
|
|
$
|
50,000
|
|
|
3.00
|
%
|
|
8.0
|
> 3 to ≤ 12 months
|
|
1,308
|
|
|
—
|
|
|
0.3
|
|
100,000
|
|
|
4.13
|
%
|
|
7.0
|
|||
>12 to ≤ 24 months
|
|
2,735
|
|
|
654
|
|
|
1.9
|
|
100,000
|
|
|
3.21
|
%
|
|
5.0
|
|||
Total / weighted average
|
|
$
|
7,536
|
|
|
$
|
1,961
|
|
|
0.9
|
|
$
|
250,000
|
|
|
3.54
|
%
|
|
6.4
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||
Purchase and Sale Contracts for TBA Securities
|
|
Notional
Amount
(1)
|
|
Fair
Value
(2)
|
|
Notional
Amount
(1)
|
|
Fair
Value
(2)
|
||||||||
TBA assets
|
|
|
|
|
|
|
|
|
||||||||
Purchase of TBA securities
|
|
$
|
410,300
|
|
|
$
|
815
|
|
|
$
|
267,300
|
|
|
$
|
1,321
|
|
Sale of TBA securities
|
|
(1,000
|
)
|
|
—
|
|
|
(305,586
|
)
|
|
637
|
|
||||
Total TBA assets
|
|
409,300
|
|
|
815
|
|
|
(38,286
|
)
|
|
1,958
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
TBA liabilities
|
|
|
|
|
|
|
|
|
||||||||
Purchase of TBA securities
|
|
678,542
|
|
|
(18,636
|
)
|
|
220,157
|
|
|
(581
|
)
|
||||
Sale of TBA securities
|
|
(201,800
|
)
|
|
(668
|
)
|
|
(121,993
|
)
|
|
(570
|
)
|
||||
Total TBA liabilities
|
|
476,742
|
|
|
(19,304
|
)
|
|
98,164
|
|
|
(1,151
|
)
|
||||
Total net TBA
|
|
$
|
886,042
|
|
|
$
|
(18,489
|
)
|
|
$
|
59,878
|
|
|
$
|
807
|
|
(1)
|
Notional amount represents the par value or principal balance of the underlying agency security.
|
(2)
|
Fair value represents the current market value of the agency RMBS underlying the TBA contract as of period end, less the forward price to be paid for the underlying agency RMBS.
|
|
|
Gross Amounts of Recognized Assets
|
|
Gross Amounts Offset in the Consolidated Balance Sheets
|
|
Net Amounts Presented
in the Consolidated Balance Sheets
|
|
Gross Amounts Not Offset in the Consolidated Balance Sheets
|
|
|
||||||||||||||
|
|
|
|
|
Financial Instruments
|
|
Collateral Received
(1)
|
|
Net Amount
|
|||||||||||||||
December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps and swaptions
(2)
|
|
$
|
28,233
|
|
|
$
|
—
|
|
|
$
|
28,233
|
|
|
$
|
(4,475
|
)
|
|
$
|
(9,165
|
)
|
|
$
|
14,593
|
|
TBA
|
|
815
|
|
|
—
|
|
|
815
|
|
|
(815
|
)
|
|
—
|
|
|
—
|
|
||||||
Receivable under reverse repurchase agreements
|
|
487,469
|
|
|
—
|
|
|
487,469
|
|
|
(366,950
|
)
|
|
(120,519
|
)
|
|
—
|
|
||||||
Total
|
|
$
|
516,517
|
|
|
$
|
—
|
|
|
$
|
516,517
|
|
|
$
|
(372,240
|
)
|
|
$
|
(129,684
|
)
|
|
$
|
14,593
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps and swaptions
(2)
|
|
$
|
5,113
|
|
|
$
|
—
|
|
|
$
|
5,113
|
|
|
$
|
(2,789
|
)
|
|
$
|
(959
|
)
|
|
$
|
1,365
|
|
TBA
|
|
1,958
|
|
|
—
|
|
|
1,958
|
|
|
(1,151
|
)
|
|
—
|
|
|
807
|
|
||||||
Receivable under reverse repurchase agreements
|
|
281,618
|
|
|
—
|
|
|
281,618
|
|
|
(258,597
|
)
|
|
(23,021
|
)
|
|
—
|
|
||||||
Total
|
|
$
|
288,689
|
|
|
$
|
—
|
|
|
$
|
288,689
|
|
|
$
|
(262,537
|
)
|
|
$
|
(23,980
|
)
|
|
$
|
2,172
|
|
|
|
Gross Amounts of Recognized Liabilities
|
|
Gross Amounts Offset in the Consolidated Balance Sheets
|
|
Net Amounts Presented
in the Consolidated Balance Sheets
|
|
Gross Amounts Not Offset in the Consolidated Balance Sheets
|
|
|
||||||||||||||
|
|
|
|
|
Financial Instruments
|
|
Collateral Pledged
(1)
|
|
Net Amount
|
|||||||||||||||
December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
(2)
|
|
$
|
4,475
|
|
|
$
|
—
|
|
|
$
|
4,475
|
|
|
$
|
(4,475
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
TBA
|
|
19,304
|
|
|
—
|
|
|
19,304
|
|
|
(815
|
)
|
|
(18,489
|
)
|
|
—
|
|
||||||
Repurchase agreements
|
|
2,970,816
|
|
|
—
|
|
|
2,970,816
|
|
|
(366,950
|
)
|
|
(2,603,866
|
)
|
|
—
|
|
||||||
FHLB advances
|
|
273,700
|
|
|
—
|
|
|
273,700
|
|
|
—
|
|
|
(273,700
|
)
|
|
—
|
|
||||||
Total
|
|
$
|
3,268,295
|
|
|
$
|
—
|
|
|
$
|
3,268,295
|
|
|
$
|
(372,240
|
)
|
|
$
|
(2,896,055
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
(2)
|
|
$
|
55,651
|
|
|
$
|
—
|
|
|
$
|
55,651
|
|
|
$
|
(2,789
|
)
|
|
$
|
(52,862
|
)
|
|
$
|
—
|
|
TBA
|
|
1,151
|
|
|
—
|
|
|
1,151
|
|
|
(1,151
|
)
|
|
—
|
|
|
—
|
|
||||||
Repurchase agreements
|
|
3,664,715
|
|
|
—
|
|
|
3,664,715
|
|
|
(258,597
|
)
|
|
(3,406,118
|
)
|
|
—
|
|
||||||
FHLB advances
|
|
442,900
|
|
|
—
|
|
|
442,900
|
|
|
—
|
|
|
(442,900
|
)
|
|
—
|
|
||||||
Total
|
|
$
|
4,164,417
|
|
|
$
|
—
|
|
|
$
|
4,164,417
|
|
|
$
|
(262,537
|
)
|
|
$
|
(3,901,880
|
)
|
|
$
|
—
|
|
(1)
|
Includes cash and securities received / pledged as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero on a counterparty by counterparty basis, as applicable. Refer to Notes 3 and 4 for additional information regarding assets pledged.
|
(2)
|
Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 7 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components.
|
•
|
Level 1 Inputs - Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date.
|
•
|
Level 2 Inputs - Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
|
•
|
Level 3 Inputs - Significant unobservable market inputs that are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities.
|
|
|
December 31, 2016
|
||||||||||||||
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Agency securities
|
|
$
|
—
|
|
|
$
|
2,803,168
|
|
|
$
|
—
|
|
|
$
|
2,803,168
|
|
Non-agency securities
|
|
—
|
|
|
1,134,469
|
|
|
—
|
|
|
1,134,469
|
|
||||
U.S. Treasury securities
|
|
20,209
|
|
|
—
|
|
|
—
|
|
|
20,209
|
|
||||
Derivative assets
|
|
—
|
|
|
29,048
|
|
|
—
|
|
|
29,048
|
|
||||
MSR assets
|
|
—
|
|
|
—
|
|
|
49,776
|
|
|
49,776
|
|
||||
Total
|
|
$
|
20,209
|
|
|
$
|
3,966,685
|
|
|
$
|
49,776
|
|
|
$
|
4,036,670
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Derivative liabilities
|
|
$
|
—
|
|
|
$
|
27,820
|
|
|
$
|
—
|
|
|
$
|
27,820
|
|
Obligation to return securities borrowed under reverse repurchase agreements
|
|
474,935
|
|
|
—
|
|
|
—
|
|
|
474,935
|
|
||||
Total
|
|
$
|
474,935
|
|
|
$
|
27,820
|
|
|
$
|
—
|
|
|
$
|
502,755
|
|
|
|
December 31, 2015
|
||||||||||||||
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Agency securities
|
|
$
|
—
|
|
|
$
|
3,217,252
|
|
|
$
|
—
|
|
|
$
|
3,217,252
|
|
Non-agency securities
|
|
—
|
|
|
1,557,671
|
|
|
—
|
|
|
1,557,671
|
|
||||
Derivative assets
|
|
—
|
|
|
8,151
|
|
|
—
|
|
|
8,151
|
|
||||
MSR assets
|
|
—
|
|
|
—
|
|
|
83,647
|
|
|
83,647
|
|
||||
Total
|
|
$
|
—
|
|
|
$
|
4,783,074
|
|
|
$
|
83,647
|
|
|
$
|
4,866,721
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Derivative liabilities
|
|
$
|
—
|
|
|
$
|
58,850
|
|
|
$
|
—
|
|
|
$
|
58,850
|
|
Obligation to return securities borrowed under reverse repurchase agreements
|
|
266,001
|
|
|
—
|
|
|
—
|
|
|
266,001
|
|
||||
MSR financing liabilities
|
|
—
|
|
|
—
|
|
|
12,790
|
|
|
12,790
|
|
||||
Total
|
|
$
|
266,001
|
|
|
$
|
58,850
|
|
|
$
|
12,790
|
|
|
$
|
337,641
|
|
|
|
For the Year Ended December 31, 2016
|
||||||||||
|
|
MSR Under Secured Financing
|
|
Purchased MSR
(2)
|
|
Total MSR
|
||||||
Balance as of December 31, 2015
|
|
$
|
12,790
|
|
|
$
|
70,857
|
|
|
$
|
83,647
|
|
Losses included in net income:
|
|
|
|
|
|
|
||||||
Realized losses
|
|
—
|
|
|
(10,335
|
)
|
|
(10,335
|
)
|
|||
Unrealized losses
|
|
—
|
|
|
(10,746
|
)
|
|
(10,746
|
)
|
|||
Total net losses included in net income
|
|
—
|
|
|
(21,081
|
)
|
|
(21,081
|
)
|
|||
Dispositions
|
|
(12,790
|
)
|
|
—
|
|
|
(12,790
|
)
|
|||
Balance as of December 31, 2016
|
|
$
|
—
|
|
|
$
|
49,776
|
|
|
$
|
49,776
|
|
|
|
For the Year Ended December 31, 2015
|
||||||||||
|
|
MSR Under Secured Financing
(1)
|
|
Purchased MSR
(2)
|
|
Total MSR
|
||||||
Balance as of December 31, 2014
|
|
$
|
14,003
|
|
|
$
|
79,637
|
|
|
$
|
93,640
|
|
Losses included in net income:
|
|
|
|
|
|
|
||||||
Realized losses
|
|
(2,231
|
)
|
|
(10,033
|
)
|
|
(12,264
|
)
|
|||
Unrealized gains (losses)
|
|
1,018
|
|
|
(415
|
)
|
|
603
|
|
|||
Total net losses included in net income
|
|
(1,213
|
)
|
|
(10,448
|
)
|
|
(11,661
|
)
|
|||
Purchases, net of purchase price adjustments
|
|
—
|
|
|
1,668
|
|
|
1,668
|
|
|||
Balance as of December 31, 2015
|
|
$
|
12,790
|
|
|
$
|
70,857
|
|
|
$
|
83,647
|
|
(1)
|
Losses related to MSR under secured financing are offset in their entirety by gains associated with related MSR financing liabilities.
|
(2)
|
Realized losses are comprised of realization of cash flows and are included in servicing expense on the consolidated statements of operations. Unrealized gains (losses) are included in unrealized gain (loss) on mortgage servicing rights on the consolidated statements of operations.
|
|
|
December 31, 2016
|
||||||||
Unobservable Level 3 Input
|
|
Fair Value
|
|
Minimum
|
|
Weighted
Average
|
|
Maximum
|
||
MSR:
|
|
$
|
49,776
|
|
|
|
|
|
|
|
Constant prepayment rate
|
|
|
|
7.8%
|
|
8.4%
|
|
9.1%
|
||
Constant default rate
|
|
|
|
0.3%
|
|
0.3%
|
|
0.4%
|
||
Discount rate
|
|
|
|
8.3%
|
|
8.8%
|
|
9.3%
|
|
|
For the Years Ended December 31,
|
||||||
|
|
2016
|
|
2015
|
||||
Beginning balance
|
|
$
|
70,857
|
|
|
$
|
79,637
|
|
Additions from purchases of MSR
|
|
—
|
|
|
1,668
|
|
||
Changes in fair value due to:
|
|
|
|
|
||||
Changes in valuation inputs or assumptions used in valuation model
|
|
(10,746
|
)
|
|
(415
|
)
|
||
Other changes in fair value
(1)
|
|
(10,335
|
)
|
|
(10,033
|
)
|
||
Ending balance
|
|
$
|
49,776
|
|
|
$
|
70,857
|
|
(1)
|
Other changes in fair value primarily represents changes due to the realization of cash flows.
|
|
|
For the Years Ended December 31,
|
||||||||||
|
|
2016
|
|
2015
|
|
2014
|
||||||
Servicing fee income
|
|
$
|
17,836
|
|
|
$
|
32,681
|
|
|
$
|
30,544
|
|
Incentive, ancillary and other income
|
|
3,472
|
|
|
15,957
|
|
|
15,329
|
|
|||
Servicing income
|
|
21,308
|
|
|
48,638
|
|
|
45,873
|
|
|||
|
|
|
|
|
|
|
||||||
Employee compensation and benefit costs
|
|
16,624
|
|
|
31,039
|
|
|
31,963
|
|
|||
Facility costs
|
|
2,641
|
|
|
10,194
|
|
|
12,591
|
|
|||
Realization of cash flows from MSR
|
|
10,335
|
|
|
10,033
|
|
|
5,128
|
|
|||
Other servicing costs
|
|
9,398
|
|
|
14,739
|
|
|
11,404
|
|
|||
Servicing expense
|
|
38,998
|
|
|
66,005
|
|
|
61,086
|
|
|||
|
|
|
|
|
|
|
||||||
Net servicing loss
|
|
$
|
(17,690
|
)
|
|
$
|
(17,367
|
)
|
|
$
|
(15,213
|
)
|
|
|
December 31,
|
||||||
|
|
2016
|
|
2015
|
||||
Servicing advances
|
|
$
|
9,151
|
|
|
$
|
21,619
|
|
FHLB membership stock
|
|
11,489
|
|
|
17,726
|
|
||
Prepaid expenses
|
|
1,291
|
|
|
2,272
|
|
||
Accounts receivable
|
|
4,031
|
|
|
4,606
|
|
||
Intangible assets
(1)
|
|
5,840
|
|
|
5,000
|
|
||
Other
|
|
7,376
|
|
|
3,691
|
|
||
Total other assets
|
|
$
|
39,178
|
|
|
$
|
54,914
|
|
(1)
|
Includes
$5.8 million
of goodwill related to healthcare real estate investments as of
December 31, 2016
.
|
|
|
December 31,
|
||||||
|
|
2016
|
|
2015
|
||||
Cash collateral held
|
|
$
|
10,807
|
|
|
$
|
1,126
|
|
Due to manager
|
|
1,747
|
|
|
1,674
|
|
||
Accrued interest
|
|
6,590
|
|
|
4,523
|
|
||
MSR financing liability, at fair value
(1)
|
|
—
|
|
|
12,790
|
|
||
Other accounts payable and accrued expenses
|
|
11,732
|
|
|
18,544
|
|
||
Total accounts payable and other accrued liabilities
|
|
$
|
30,876
|
|
|
$
|
38,657
|
|
(1)
|
MSR financing liability represented obligations associated with MSR accounted for as financing arrangements, with estimated fair value changes reported in net income. RCS had no MSR accounted for as financing arrangements as of
December 31, 2016
.
|
|
|
|
|
|
|
Tax Characterization of Dividends
|
||||||||||||||
Year
|
|
Dividends Declared Per Share
|
|
Dividends Declared
|
|
Ordinary Income
Per Share
|
|
Qualified Dividends
|
|
Capital Gains Per Share
|
||||||||||
8.125% Series A Cumulative Redeemable Preferred Stock Dividends
|
|
|
|
|
|
|
|
|
|
|
||||||||||
2016
(1)
|
|
$
|
2.031250
|
|
|
$
|
4,468
|
|
|
$
|
2.031250
|
|
|
$
|
—
|
|
|
$
|
—
|
|
2015
(2)
|
|
$
|
2.031250
|
|
|
$
|
4,468
|
|
|
$
|
2.031250
|
|
|
—
|
|
|
—
|
|
||
2014
(3)
|
|
$
|
0.806863
|
|
|
$
|
1,601
|
|
|
$
|
0.806863
|
|
|
—
|
|
|
—
|
|
||
Common Stock Dividends
|
|
|
|
|
|
|
|
|
|
|
||||||||||
2016
|
|
$
|
1.600000
|
|
|
$
|
73,261
|
|
|
$
|
1.600000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
2015
|
|
$
|
1.800000
|
|
|
$
|
90,232
|
|
|
$
|
1.800000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
2014
|
|
$
|
2.600000
|
|
|
$
|
132,983
|
|
|
$
|
2.600000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
(1)
|
Excludes Series A Preferred Stock dividend of
$0.5078125
per share declared on December 15, 2016 having a record date of January 1, 2017, which for federal income tax purposes is a 2017 dividend.
|
(2)
|
Excludes Series A Preferred Stock dividend of
$0.5078125
per share declared on December 18, 2015 having a record date of January 1, 2016, which for federal income tax purposes is a 2016 dividend.
|
(3)
|
Excludes Series A Preferred Stock dividend of
$0.5078125
per share declared on December 18, 2014 having a record date of January 1, 2015, which for federal income tax purposes is a 2015 dividend.
|
Vesting Year
|
|
Shares of Restricted Stock- Board of Directors
|
|
Restricted Stock Units- Board of Directors
|
|
Restricted Stock Units-
RCS
|
|
Total Restricted Stock Units
|
|
Weighted Average Grant Date Fair Value
|
|
Weighted Average Vest Date Fair Value
|
||||||||
Unvested balance as of December 31, 2013
|
|
13,500
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
$
|
22.81
|
|
|
$
|
—
|
|
Granted
|
|
—
|
|
|
19,221
|
|
|
272,070
|
|
|
291,291
|
|
|
$
|
19.90
|
|
|
$
|
—
|
|
Accrued RSU dividend equivalents
|
|
—
|
|
|
1,273
|
|
|
1,859
|
|
|
3,132
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Vested
|
|
(6,500
|
)
|
|
—
|
|
|
(22,843
|
)
|
|
(22,843
|
)
|
|
$
|
20.38
|
|
|
$
|
19.98
|
|
Unvested balance as of December 31, 2014
|
|
7,000
|
|
|
20,494
|
|
|
251,086
|
|
|
271,580
|
|
|
$
|
20.00
|
|
|
$
|
—
|
|
Granted
|
|
—
|
|
|
20,730
|
|
|
—
|
|
|
20,730
|
|
|
$
|
18.09
|
|
|
$
|
—
|
|
Accrued RSU dividend equivalents
|
|
—
|
|
|
2,536
|
|
|
3,577
|
|
|
6,113
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Vested
|
|
(4,500
|
)
|
|
(21,786
|
)
|
|
(31,200
|
)
|
|
(52,986
|
)
|
|
$
|
20.02
|
|
|
$
|
16.46
|
|
Unvested balance as of December 31, 2015
|
|
2,500
|
|
|
21,974
|
|
|
223,463
|
|
|
245,437
|
|
|
$
|
21.61
|
|
|
$
|
—
|
|
Granted
|
|
—
|
|
|
25,050
|
|
|
—
|
|
|
25,050
|
|
|
$
|
14.97
|
|
|
$
|
—
|
|
Accrued RSU dividend equivalents
|
|
—
|
|
|
1,796
|
|
|
—
|
|
|
1,796
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Vested
|
|
(2,500
|
)
|
|
(38,314
|
)
|
|
(136,979
|
)
|
|
(175,293
|
)
|
|
$
|
19.36
|
|
|
$
|
14.20
|
|
Forfeited
|
|
—
|
|
|
—
|
|
|
(86,484
|
)
|
|
(86,484
|
)
|
|
$
|
19.93
|
|
|
N/A
|
|
|
Unvested balance as of December 31, 2016
|
|
—
|
|
|
10,506
|
|
|
—
|
|
|
10,506
|
|
|
$
|
19.17
|
|
|
$
|
—
|
|
|
|
For the Years Ended December 31,
|
||||||||||
|
|
2016
|
|
2015
|
|
2014
|
||||||
Weighted average common shares calculation:
|
|
|
|
|
|
|
||||||
Basic weighted average common shares outstanding
|
|
46,005
|
|
|
50,506
|
|
|
51,176
|
|
|||
Effect of stock based compensation
|
|
3
|
|
|
13
|
|
|
16
|
|
|||
Diluted weighted average common shares outstanding
|
|
46,008
|
|
|
50,519
|
|
|
51,192
|
|
|||
Net income (loss) available to common stockholders
|
|
$
|
39,201
|
|
|
$
|
(42,826
|
)
|
|
$
|
156,461
|
|
Net income (loss) per common share — basic
|
|
$
|
0.85
|
|
|
$
|
(0.85
|
)
|
|
$
|
3.06
|
|
Net income (loss) per common share — diluted
|
|
$
|
0.85
|
|
|
$
|
(0.85
|
)
|
|
$
|
3.06
|
|
|
|
For the Three Months Ended
|
||||||||||||||
|
|
December
31, 2016
|
|
September
30, 2016
|
|
June
30, 2016
|
|
March
31, 2016
|
||||||||
Interest income
|
|
$
|
39,453
|
|
|
$
|
35,591
|
|
|
$
|
35,454
|
|
|
$
|
37,272
|
|
Interest expense
|
|
(10,144
|
)
|
|
(10,082
|
)
|
|
(9,576
|
)
|
|
(9,780
|
)
|
||||
Net interest income
|
|
29,309
|
|
|
25,509
|
|
|
25,878
|
|
|
27,492
|
|
||||
Net servicing loss
|
|
(1,161
|
)
|
|
(2,490
|
)
|
|
(5,783
|
)
|
|
(8,256
|
)
|
||||
Net healthcare real estate income (loss)
|
|
498
|
|
|
350
|
|
|
(189
|
)
|
|
—
|
|
||||
Total other gains (losses), net
|
|
(68,411
|
)
|
|
51,004
|
|
|
27,931
|
|
|
(34,368
|
)
|
||||
Total expenses
|
|
(5,161
|
)
|
|
(5,319
|
)
|
|
(7,430
|
)
|
|
(5,857
|
)
|
||||
Income (loss) before excise tax
|
|
(44,926
|
)
|
|
69,054
|
|
|
40,407
|
|
|
(20,989
|
)
|
||||
Benefit from (provision for) income tax, net
|
|
745
|
|
|
(31
|
)
|
|
(281
|
)
|
|
(308
|
)
|
||||
Net income (loss)
|
|
(44,181
|
)
|
|
69,023
|
|
|
40,126
|
|
|
(21,297
|
)
|
||||
Dividend on preferred stock
|
|
(1,117
|
)
|
|
(1,117
|
)
|
|
(1,117
|
)
|
|
(1,117
|
)
|
||||
Noncontrolling interest in net (income) loss
|
|
(3
|
)
|
|
(5
|
)
|
|
6
|
|
|
—
|
|
||||
Net income (loss) available to common shareholders
|
|
$
|
(45,301
|
)
|
|
$
|
67,901
|
|
|
$
|
39,015
|
|
|
$
|
(22,414
|
)
|
|
|
|
|
|
|
|
|
|
||||||||
Net income (loss) per common share — basic
|
|
$
|
(0.99
|
)
|
|
$
|
1.48
|
|
|
$
|
0.85
|
|
|
$
|
(0.48
|
)
|
Net income (loss) per common share — diluted
|
|
$
|
(0.99
|
)
|
|
$
|
1.48
|
|
|
$
|
0.85
|
|
|
$
|
(0.48
|
)
|
|
|
|
|
|
|
|
|
|
||||||||
Weighted average number of common shares outstanding— basic
|
|
45,798
|
|
|
45,798
|
|
|
45,777
|
|
|
46,651
|
|
||||
Weighted average number of common shares outstanding— diluted
|
|
45,803
|
|
|
45,801
|
|
|
45,778
|
|
|
46,666
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Dividends declared per common share
|
|
$
|
0.40
|
|
|
$
|
0.40
|
|
|
$
|
0.40
|
|
|
$
|
0.40
|
|
|
|
For the Three Months Ended
|
||||||||||||||
|
|
December
31, 2015
|
|
September
30, 2015
|
|
June
30, 2015
|
|
March
31, 2015
|
||||||||
Interest income
|
|
$
|
44,052
|
|
|
$
|
39,815
|
|
|
$
|
45,345
|
|
|
$
|
44,906
|
|
Interest expense
|
|
(8,199
|
)
|
|
(7,586
|
)
|
|
(7,561
|
)
|
|
(7,454
|
)
|
||||
Net interest income
|
|
35,853
|
|
|
32,229
|
|
|
37,784
|
|
|
37,452
|
|
||||
Net servicing loss
|
|
(4,986
|
)
|
|
(4,004
|
)
|
|
(4,111
|
)
|
|
(4,266
|
)
|
||||
Total other gains (losses), net
|
|
(30,220
|
)
|
|
(45,769
|
)
|
|
(67,734
|
)
|
|
4,661
|
|
||||
Total expenses
|
|
(6,099
|
)
|
|
(6,095
|
)
|
|
(6,554
|
)
|
|
(6,457
|
)
|
||||
Income (loss) before excise tax
|
|
(5,452
|
)
|
|
(23,639
|
)
|
|
(40,615
|
)
|
|
31,390
|
|
||||
Benefit from (provision for) income tax, net
|
|
—
|
|
|
(373
|
)
|
|
658
|
|
|
(327
|
)
|
||||
Net income (loss)
|
|
(5,452
|
)
|
|
(24,012
|
)
|
|
(39,957
|
)
|
|
31,063
|
|
||||
Dividend on preferred stock
|
|
(1,117
|
)
|
|
(1,117
|
)
|
|
(1,117
|
)
|
|
(1,117
|
)
|
||||
Net income (loss) available to common shareholders
|
|
$
|
(6,569
|
)
|
|
$
|
(25,129
|
)
|
|
$
|
(41,074
|
)
|
|
$
|
29,946
|
|
|
|
|
|
|
|
|
|
|
||||||||
Net income (loss) per common share — basic
|
|
$
|
(0.13
|
)
|
|
$
|
(0.49
|
)
|
|
$
|
(0.80
|
)
|
|
$
|
0.59
|
|
Net income (loss) per common share — diluted
|
|
$
|
(0.13
|
)
|
|
$
|
(0.49
|
)
|
|
$
|
(0.80
|
)
|
|
$
|
0.58
|
|
|
|
|
|
|
|
|
|
|
||||||||
Weighted average number of common shares outstanding— basic
|
|
48,886
|
|
|
50,815
|
|
|
51,179
|
|
|
51,165
|
|
||||
Weighted average number of common shares outstanding— diluted
|
|
48,898
|
|
|
50,828
|
|
|
51,190
|
|
|
51,209
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Dividends declared per common share
|
|
$
|
0.40
|
|
|
$
|
0.40
|
|
|
$
|
0.50
|
|
|
$
|
0.50
|
|
Exhibit No.
|
|
Description
|
*3.1
|
|
MTGE Investment Corp. Articles of Amendment and Restatement, effective September 30, 2016, incorporated herein by reference to Exhibit 3.1 of Form 10-Q (File No. 001-35260), filed November 8, 2016.
|
|
|
|
*3.2
|
|
MTGE Investment Corp. Amended and Restated Bylaws, effective September 30, 2016, incorporated herein by reference to Exhibit 3.2 of Form 10-Q (File No. 001-35260), filed November 8, 2016.
|
|
|
|
*3.3
|
|
Articles Supplementary of 8.125% Series A Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.3 of Form 8-A (File No. 001-35260), filed May 16, 2014.
|
|
|
|
*4.1
|
|
Form of Certificate for Common Stock, incorporated herein by reference to Exhibit 4.1 of Form 10-Q (File No. 001-35260), filed November 8, 2016.
|
|
|
|
*4.2
|
|
Instruments defining the rights of holders of securities: See Article VI of our Articles of Amendment and Restatement, filed herewith.
|
|
|
|
*4.3
|
|
Instruments defining the rights of holders of securities: See Article VII of our Amended and Restated Bylaws, filed herewith.
|
|
|
|
*4.4
|
|
Form of certificate representing the 8.125% Series A Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-35260), filed May 16, 2014.
|
|
|
|
*10.1
|
|
Amended and Restated Management Agreement by and among American Capital Mortgage Investment Corp., American Capital Mortgage Investment TRS, LLC and American Capital MTGE Management, LLC, dated July 1, 2016, incorporated herein by reference to Exhibit 10.1 of Form 8-K (File No. 001-35260), filed July 8, 2016.
|
|
|
|
†*10.2
|
|
American Capital Mortgage Investment Corp. Amended and Restated Equity Incentive Plan, incorporated herein by reference to Appendix 1 to Schedule 14A (File No. 001-35260), filed March 18, 2014.
|
|
|
|
†*10.3
|
|
Form of Restricted Stock Agreement for independent directors, incorporated herein by reference to Exhibit 10.6 to Amendment No. 4 to Form S-11 (Registration Statement No. 333-173238), filed July 29, 2011.
|
|
|
|
†*10.4
|
|
Form of Restricted Stock Unit Agreement for independent directors, incorporated herein by reference to Exhibit 10.2 of Form 10-Q for the quarter ended June 30, 2014 (File No. 001-35260), filed August 7, 2014.
|
|
|
|
12.1
|
|
Calculation of Ratios of Earnings to Fixed Charges and Earnings to Combined Fixed Charges and Preferred Stock Dividends.
|
|
|
|
14
|
|
MTGE Investment Corp. Code of Ethics and Conduct, adopted October 26, 2016 filed herewith.
|
|
|
|
21
|
|
Subsidiaries of the Company and jurisdiction of incorporation:
1) MTGE TRS, LLC, a Delaware limited liability company 2) MTGE 2013 LLC, a Delaware limited liability company 3) Residential Credit Solutions Inc., a Delaware corporation 4) Woodmont Insurance Co. LLC, a Missouri limited liability company 5) Capital Healthcare Investments, LLC, a Delaware limited liability company |
|
|
|
23
|
|
Consent of Ernst and Young LLP.
|
|
|
|
24
|
|
Powers of Attorney of directors and officers.
|
|
|
|
31.1
|
|
Certification of CEO Pursuant to Section 302(a) of the Sarbanes-Oxley Act of 2002.
|
|
|
|
31.2
|
|
Certification of CFO Pursuant to Section 302(a) of the Sarbanes-Oxley Act of 2002.
|
|
|
|
32
|
|
Certification of CEO and CFO Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
101.INS**
|
|
XBRL Instance Document
|
|
|
|
101.SCH**
|
|
XBRL Taxonomy Extension Schema Document
|
|
|
|
101.CAL**
|
|
XBRL Taxonomy Extension Calculation Linkbase Document
|
|
|
|
101.LAB**
|
|
XBRL Taxonomy Extension Labels Linkbase Document
|
|
|
|
101.PRE**
|
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
|
|
|
101.DEF**
|
|
XBRL Taxonomy Extension Definition Linkbase Document
|
MTGE Investment Corp.
|
||
|
|
|
By:
|
|
/s/ GARY KAIN
|
|
|
Gary Kain
|
|
|
Chief Executive Officer, President and
Chief Investment Officer (Principal Executive Officer)
|
Name
|
|
Title
|
|
Date
|
|
|
|
|
|
/s/ GARY KAIN
|
|
Chief Executive Officer, President and
Chief Investment Officer (Principal Executive Officer) |
|
February 27, 2017
|
Gary Kain
|
|
|
|
|
|
|
|
|
|
/s/ PETER FEDERICO
|
|
Director, Chief Financial Officer and Executive Vice President
(Principal Financial Officer)
|
|
February 27, 2017
|
Peter Federico
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/s/ DONALD W. HOLLEY
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Senior Vice President and Chief Accounting Officer
(Principal Accounting Officer)
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February 27, 2017
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Donald W. Holley
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*
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Director
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February 27, 2017
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Robert M. Couch
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*
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Director
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February 27, 2017
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Julia L. Coronado
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*
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Director
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February 27, 2017
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Randy E. Dobbs
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*By:
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/s/ KENNETH L. POLLACK
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Kenneth L. Pollack
Attorney-in-fact
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