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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Chimera Investment Corporation New | NYSE:CIM | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.04 | 0.93% | 4.33 | 4.435 | 4.31 | 4.35 | 1,137,115 | 01:00:00 |
MARYLAND
|
|
26-0630461
|
(State or other jurisdiction of incorporation or organization)
|
|
(IRS Employer Identification No.)
|
Class
|
Outstanding at October 31, 2016
|
Common Stock, $.01 par value
|
187,729,838
|
|
|
|
|
|
|
|
|
Consolidated Statements of Financial Condition as of September 30, 2016 (Unaudited) and December 31, 2015 (Derived from the audited consolidated financial statements as of December 31, 2015)
|
|
|
|
Consolidated Statements of Operations and Comprehensive Income (Unaudited) for the quarters and nine months ended September 30, 2016 and 2015
|
|
|
|
Consolidated Statements of Changes In Stockholders’ Equity (Unaudited) for the nine months ended September 30, 2016 and 2015
|
|
|
|
Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2016 and 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
September 30, 2016
|
December 31, 2015
|
||||
Assets:
|
|
|
||||
Cash and cash equivalents
|
$
|
156,608
|
|
$
|
114,062
|
|
Non-Agency RMBS, at fair value
|
3,437,235
|
|
3,675,841
|
|
||
Agency MBS, at fair value
|
4,362,550
|
|
6,514,824
|
|
||
Securitized loans held for investment, at fair value
|
8,909,037
|
|
4,768,416
|
|
||
Accrued interest receivable
|
84,328
|
|
66,247
|
|
||
Other assets
|
216,790
|
|
189,796
|
|
||
Derivatives, at fair value, net
|
2,153
|
|
15,460
|
|
||
Total assets
(1)
|
$
|
17,168,701
|
|
$
|
15,344,646
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements, MBS ($7.3 billion and $8.8 billion pledged as collateral, respectively)
|
$
|
5,817,519
|
|
$
|
7,439,339
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.9 billion and $2.1 billion pledged as collateral, respectively)
|
380,715
|
|
529,415
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($8.9 billion and $4.8 billion pledged as collateral, respectively)
|
7,191,462
|
|
3,720,496
|
|
||
Payable for investments purchased
|
578,499
|
|
560,641
|
|
||
Accrued interest payable
|
49,743
|
|
37,432
|
|
||
Dividends payable
|
90,645
|
|
90,097
|
|
||
Accounts payable and other liabilities
|
15,309
|
|
11,404
|
|
||
Derivatives, at fair value
|
8,009
|
|
9,634
|
|
||
Total liabilities
(1)
|
$
|
14,131,901
|
|
$
|
12,398,458
|
|
|
|
|
|
|
||
Commitments and Contingencies (See Note 15)
|
|
|
|
|
||
|
|
|
|
|
||
Stockholders' Equity:
|
|
|
|
|
||
Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively
|
$
|
—
|
|
$
|
—
|
|
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,729,765 and 187,711,868 shares issued and outstanding, respectively
|
1,877
|
|
1,877
|
|
||
Additional paid-in-capital
|
3,367,943
|
|
3,366,568
|
|
||
Accumulated other comprehensive income
|
897,703
|
|
773,791
|
|
||
Accumulated deficit
|
(1,230,723
|
)
|
(1,196,048
|
)
|
||
Total stockholders' equity
|
$
|
3,036,800
|
|
$
|
2,946,188
|
|
Total liabilities and stockholders' equity
|
$
|
17,168,701
|
|
$
|
15,344,646
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
|
||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||
(Unaudited)
|
||||||||||||
|
For the Quarter Ended
|
For the Nine Months Ended
|
||||||||||
|
September 30, 2016
|
September 30, 2015
|
September 30, 2016
|
September 30, 2015
|
||||||||
Net Interest Income:
|
|
|
|
|
||||||||
Interest income
(1)
|
$
|
250,953
|
|
$
|
211,876
|
|
$
|
673,246
|
|
$
|
670,825
|
|
Interest expense
(2)
|
94,911
|
|
67,910
|
|
241,120
|
|
194,410
|
|
||||
Net interest income
|
156,042
|
|
143,966
|
|
432,126
|
|
476,415
|
|
||||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
(993
|
)
|
(3,129
|
)
|
(8,555
|
)
|
(6,389
|
)
|
||||
Portion of loss recognized in other comprehensive income
|
(10,581
|
)
|
(14,703
|
)
|
(34,652
|
)
|
(46,359
|
)
|
||||
Net other-than-temporary credit impairment losses
|
(11,574
|
)
|
(17,832
|
)
|
(43,207
|
)
|
(52,748
|
)
|
||||
Other investment gains (losses):
|
|
|
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
27,628
|
|
(71,540
|
)
|
(51,382
|
)
|
20,543
|
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
—
|
|
—
|
|
(60,616
|
)
|
(99,703
|
)
|
||||
Net realized gains (losses) on derivatives
|
(14,268
|
)
|
(21,160
|
)
|
(58,934
|
)
|
(80,023
|
)
|
||||
Net gains (losses) on derivatives
|
13,360
|
|
(92,700
|
)
|
(170,932
|
)
|
(159,183
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
32,999
|
|
(40,955
|
)
|
80,217
|
|
(88,640
|
)
|
||||
Net realized gains (losses) on sales of investments
|
3,079
|
|
3,539
|
|
7,035
|
|
42,789
|
|
||||
Gains (losses) on Extinguishment of Debt
|
(45
|
)
|
(19,915
|
)
|
(1,811
|
)
|
(14,836
|
)
|
||||
Total other gains (losses)
|
49,393
|
|
(150,031
|
)
|
(85,491
|
)
|
(219,870
|
)
|
||||
Other income:
|
|
|
|
|
|
|
|
|
||||
Other income
|
—
|
|
—
|
|
95,000
|
|
—
|
|
||||
Total other income
|
—
|
|
—
|
|
95,000
|
|
—
|
|
||||
Other expenses:
|
|
|
|
|
|
|
|
|
||||
Management fees
|
—
|
|
4,088
|
|
—
|
|
24,610
|
|
||||
Expense recoveries from Manager
|
—
|
|
(1,140
|
)
|
—
|
|
(6,905
|
)
|
||||
Net management fees
|
—
|
|
2,948
|
|
—
|
|
17,705
|
|
||||
Compensation and benefits
|
6,911
|
|
3,955
|
|
19,087
|
|
4,482
|
|
||||
General and administrative expenses
|
4,332
|
|
8,534
|
|
13,073
|
|
22,028
|
|
||||
Servicing Fees of consolidated VIEs
|
9,788
|
|
6,499
|
|
23,139
|
|
19,276
|
|
||||
Deal Expenses
|
—
|
|
2,426
|
|
13,022
|
|
5,337
|
|
||||
Total other expenses
|
21,031
|
|
24,362
|
|
68,321
|
|
68,828
|
|
||||
Income (loss) before income taxes
|
172,830
|
|
(48,259
|
)
|
330,107
|
|
134,969
|
|
||||
Income taxes
|
13
|
|
—
|
|
65
|
|
—
|
|
||||
Net income (loss)
|
$
|
172,817
|
|
$
|
(48,259
|
)
|
$
|
330,042
|
|
$
|
134,969
|
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|
|
||||
Basic
|
$
|
0.92
|
|
$
|
(0.24
|
)
|
$
|
1.76
|
|
$
|
0.67
|
|
Diluted
|
$
|
0.92
|
|
$
|
(0.24
|
)
|
$
|
1.76
|
|
$
|
0.66
|
|
|
|
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
||||
Basic
|
187,729,765
|
|
197,787,858
|
|
187,727,667
|
|
202,891,610
|
|
||||
Diluted
|
187,919,792
|
|
197,875,408
|
|
187,917,694
|
|
202,979,160
|
|
||||
|
|
|
|
|
||||||||
Dividends declared per share of common stock
|
$
|
0.48
|
|
$
|
0.48
|
|
$
|
1.94
|
|
$
|
1.44
|
|
|
|
|
|
|
||||||||
Comprehensive income (loss):
|
|
|
|
|
|
|
|
|
||||
Net income (loss)
|
$
|
172,817
|
|
$
|
(48,259
|
)
|
$
|
330,042
|
|
$
|
134,969
|
|
Other comprehensive income:
|
|
|
|
|
|
|
|
|
||||
Unrealized gains (losses) on available-for-sale securities, net
|
(18,364
|
)
|
16,512
|
|
94,059
|
|
(121,142
|
)
|
||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
11,574
|
|
17,832
|
|
43,207
|
|
52,748
|
|
||||
Reclassification adjustment for net realized losses (gains) included in net income
|
(2,680
|
)
|
(3,903
|
)
|
(13,354
|
)
|
(43,038
|
)
|
||||
Other comprehensive income (loss)
|
(9,470
|
)
|
30,441
|
|
123,912
|
|
(111,432
|
)
|
||||
Comprehensive income (loss)
|
$
|
163,347
|
|
$
|
(17,818
|
)
|
$
|
453,954
|
|
$
|
23,537
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||||||||
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
|
|||||||||||||||
(dollars in thousands, except per share data)
|
|||||||||||||||
(Unaudited)
|
|||||||||||||||
|
|
|
|
|
|
||||||||||
|
Common Stock Par Value
|
Additional Paid-in Capital
|
Accumulated Other Comprehensive Income
|
Accumulated Deficit
|
Total
|
||||||||||
Balance, December 31, 2014
|
$
|
2,055
|
|
$
|
3,614,411
|
|
$
|
1,046,680
|
|
$
|
(1,055,456
|
)
|
$
|
3,607,690
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
134,969
|
|
134,969
|
|
|||||
Cumulative effect of accounting change
(1)
|
—
|
|
—
|
|
—
|
|
(12,137
|
)
|
(12,137
|
)
|
|||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
(111,432
|
)
|
—
|
|
(111,432
|
)
|
|||||
Stock based compensation
|
2
|
|
944
|
|
—
|
|
—
|
|
946
|
|
|||||
Repurchase of common stock
|
(114
|
)
|
(212,498
|
)
|
—
|
|
—
|
|
(212,612
|
)
|
|||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
(288,707
|
)
|
(288,707
|
)
|
|||||
Balance, September 30, 2015
|
$
|
1,943
|
|
$
|
3,402,857
|
|
$
|
935,248
|
|
$
|
(1,221,331
|
)
|
$
|
3,118,717
|
|
|
|
|
|
|
|
||||||||||
Balance, December 31, 2015
|
$
|
1,877
|
|
$
|
3,366,568
|
|
$
|
773,791
|
|
$
|
(1,196,048
|
)
|
$
|
2,946,188
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
330,042
|
|
330,042
|
|
|||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
123,912
|
|
—
|
|
123,912
|
|
|||||
Stock based compensation
|
—
|
|
1,375
|
|
—
|
|
—
|
|
1,375
|
|
|||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
(364,717
|
)
|
$
|
(364,717
|
)
|
||||
Balance, September 30, 2016
|
$
|
1,877
|
|
$
|
3,367,943
|
|
$
|
897,703
|
|
$
|
(1,230,723
|
)
|
$
|
3,036,800
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS
|
||||||
(dollars in thousands)
|
||||||
(Unaudited)
|
||||||
|
For the Nine Month Ended
|
|||||
|
September 30, 2016
|
September 30, 2015
|
||||
Cash Flows From Operating Activities:
|
||||||
Net income
|
$
|
330,042
|
|
$
|
134,969
|
|
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
|
||||||
(Accretion) amortization of investment discounts/premiums, net
|
4,084
|
|
(3,425
|
)
|
||
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net
|
(5,769
|
)
|
11,554
|
|
||
Amortization of swaption premium
|
5,130
|
|
—
|
|
||
Net unrealized losses (gains) on derivatives
|
51,382
|
|
(20,543
|
)
|
||
Proceeds (payments) for derivative sales and settlements
|
—
|
|
(12,327
|
)
|
||
Margin (paid) received on derivatives
|
(41,283
|
)
|
30,911
|
|
||
Net unrealized losses (gains) on financial instruments at fair value
|
(80,217
|
)
|
88,640
|
|
||
Net realized losses (gains) on sales of investments
|
(7,035
|
)
|
(42,789
|
)
|
||
Net other-than-temporary credit impairment losses
|
43,207
|
|
52,748
|
|
||
(Gain) loss on extinguishment of debt
|
1,811
|
|
14,836
|
|
||
Equity-based compensation expense
|
1,375
|
|
946
|
|
||
Changes in operating assets:
|
|
|
|
|
||
Decrease (increase) in accrued interest receivable, net
|
(18,081
|
)
|
1,325
|
|
||
Decrease (increase) in other assets
|
(36,969
|
)
|
(13,540
|
)
|
||
Changes in operating liabilities:
|
|
|
|
|
||
Increase (decrease) in accounts payable and other liabilities
|
3,905
|
|
9,047
|
|
||
Increase (decrease) in investment management fees and expenses payable to affiliate
|
—
|
|
(6,365
|
)
|
||
Increase (decrease) in accrued interest payable, net
|
12,311
|
|
7,954
|
|
||
Net cash provided by (used in) operating activities
|
$
|
263,893
|
|
$
|
253,941
|
|
Cash Flows From Investing Activities:
|
||||||
Agency MBS portfolio:
|
|
|
|
|
||
Purchases
|
$
|
(810,630
|
)
|
$
|
(3,452,119
|
)
|
Sales
|
2,555,228
|
|
4,780,881
|
|
||
Principal payments
|
471,657
|
|
888,591
|
|
||
Non-Agency RMBS portfolio:
|
|
|
|
|
||
Purchases
|
(160,805
|
)
|
(792,408
|
)
|
||
Sales
|
95,399
|
|
109,999
|
|
||
Principal payments
|
402,971
|
|
280,867
|
|
||
Securitized loans held for investment:
|
|
|
|
|
||
Purchases
|
(4,745,083
|
)
|
(281,811
|
)
|
||
Principal payments
|
696,281
|
|
533,628
|
|
||
Acquisition of investments in consolidated VIEs
|
—
|
|
(109,872
|
)
|
||
Net cash provided by (used in) investing activities
|
$
|
(1,494,982
|
)
|
$
|
1,957,756
|
|
Cash Flows From Financing Activities:
|
||||||
Proceeds from repurchase agreements
|
$
|
27,792,856
|
|
$
|
32,627,948
|
|
Payments on repurchase agreements
|
(29,414,676
|
)
|
(33,932,508
|
)
|
||
Proceeds from securitized debt borrowings, collateralized by loans held for investment
|
4,180,227
|
|
1,064,789
|
|
||
Payments on securitized debt borrowings, collateralized by loans held for investment
|
(773,875
|
)
|
(1,456,021
|
)
|
||
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS
|
(146,729
|
)
|
(138,009
|
)
|
||
Payments on repurchase of common stock
|
—
|
|
(212,612
|
)
|
||
Common dividends paid
|
(364,168
|
)
|
(289,807
|
)
|
||
Net cash provided by (used in) financing activities
|
$
|
1,273,635
|
|
$
|
(2,336,220
|
)
|
Net increase (decrease) in cash and cash equivalents
|
42,546
|
|
(124,523
|
)
|
||
Cash and cash equivalents at beginning of period
|
114,062
|
|
164,620
|
|
||
Cash and cash equivalents at end of period
|
$
|
156,608
|
|
$
|
40,097
|
|
|
|
|
||||
Supplemental disclosure of cash flow information:
|
||||||
Interest received
|
$
|
659,249
|
|
$
|
668,725
|
|
Interest paid
|
$
|
234,577
|
|
$
|
198,010
|
|
Management fees and expenses paid
|
$
|
—
|
|
$
|
30,975
|
|
Non-cash investing activities:
|
|
|
|
|
||
Receivable for investments sold
|
$
|
—
|
|
$
|
57,680
|
|
Payable for investments purchased
|
$
|
578,499
|
|
$
|
715,512
|
|
Net change in unrealized gain (loss) on available-for sale securities
|
$
|
123,912
|
|
$
|
(111,432
|
)
|
|
|
|
•
|
Agency MBS
|
•
|
Non-Agency RMBS that meet all of the following conditions at the acquisition date (referred to hereafter as “Non-Agency RMBS of High Credit Quality”):
|
1.
|
There is evidence of deterioration in credit quality of the security from its inception; and
|
2.
|
It is probable that the Company will be unable to collect all contractual cash flows of the security.
|
1.
|
The security is not of high credit quality (defined as rate below AA or is unrated), or
|
2.
|
The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment.
|
|
|
September 30, 2016
|
|
|
|
|
||||||||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|
||||||||||||||||||
|
Principal or Notional Value
|
Total Premium
|
Total Discount
|
Amortized Cost
|
Fair Value
|
Gross Unrealized Gains
|
Gross Unrealized Losses
|
Net Unrealized Gain/(Loss)
|
||||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
||||||||||||||||
Senior
|
$
|
3,308,463
|
|
$
|
237
|
|
$
|
(1,457,711
|
)
|
$
|
1,850,990
|
|
$
|
2,585,386
|
|
$
|
734,998
|
|
$
|
(602
|
)
|
$
|
734,396
|
|
Senior, interest-only
|
5,733,457
|
|
303,539
|
|
—
|
|
303,539
|
|
291,526
|
|
28,598
|
|
(40,611
|
)
|
$
|
(12,013
|
)
|
|||||||
Subordinated
|
668,946
|
|
16,416
|
|
(218,239
|
)
|
467,125
|
|
546,825
|
|
79,895
|
|
(195
|
)
|
$
|
79,700
|
|
|||||||
Subordinated, interest-only
|
269,868
|
|
14,183
|
|
—
|
|
14,183
|
|
13,498
|
|
41
|
|
(726
|
)
|
$
|
(685
|
)
|
|||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
2,672,093
|
|
138,970
|
|
—
|
|
2,811,063
|
|
2,861,468
|
|
51,842
|
|
(1,437
|
)
|
$
|
50,405
|
|
|||||||
Commercial
|
1,273,235
|
|
36,001
|
|
(2,717
|
)
|
1,306,518
|
|
1,343,994
|
|
39,496
|
|
(2,020
|
)
|
$
|
37,476
|
|
|||||||
Interest-only
|
3,474,731
|
|
163,542
|
|
—
|
|
163,542
|
|
157,088
|
|
2,274
|
|
(8,728
|
)
|
$
|
(6,454
|
)
|
|||||||
Total
|
$
|
17,400,793
|
|
$
|
672,888
|
|
$
|
(1,678,667
|
)
|
$
|
6,916,960
|
|
$
|
7,799,785
|
|
$
|
937,144
|
|
$
|
(54,319
|
)
|
$
|
882,825
|
|
|
|
December 31, 2015
|
|
|
|
|
||||||||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|
||||||||||||||||||
|
Principal or Notional Value
|
Total Premium
|
Total Discount
|
Amortized Cost
|
Fair Value
|
Gross Unrealized Gains
|
Gross Unrealized Losses
|
Net Unrealized Gain/(Loss)
|
||||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
||||||||||||||||
Senior
|
$
|
3,651,869
|
|
$
|
309
|
|
$
|
(1,553,317
|
)
|
$
|
2,098,860
|
|
$
|
2,826,121
|
|
$
|
736,040
|
|
$
|
(8,779
|
)
|
$
|
727,261
|
|
Senior, interest-only
|
5,426,029
|
|
268,515
|
|
—
|
|
268,515
|
|
234,171
|
|
18,113
|
|
(52,457
|
)
|
(34,344
|
)
|
||||||||
Subordinated
|
762,466
|
|
23,635
|
|
(258,128
|
)
|
527,975
|
|
604,295
|
|
83,896
|
|
(7,577
|
)
|
76,319
|
|
||||||||
Subordinated, interest-only
|
284,931
|
|
15,226
|
|
—
|
|
15,226
|
|
11,254
|
|
62
|
|
(4,035
|
)
|
(3,973
|
)
|
||||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
5,045,418
|
|
255,837
|
|
—
|
|
5,301,255
|
|
5,267,848
|
|
18,593
|
|
(52,001
|
)
|
(33,408
|
)
|
||||||||
Commercial
|
952,091
|
|
24,815
|
|
(3,170
|
)
|
973,736
|
|
973,787
|
|
8,052
|
|
(8,001
|
)
|
51
|
|
||||||||
Interest-only
|
6,722,472
|
|
280,073
|
|
—
|
|
280,073
|
|
273,189
|
|
2,756
|
|
(9,640
|
)
|
(6,884
|
)
|
||||||||
Total
|
$
|
22,845,276
|
|
$
|
868,410
|
|
$
|
(1,814,615
|
)
|
$
|
9,465,640
|
|
$
|
10,190,665
|
|
$
|
867,512
|
|
$
|
(142,490
|
)
|
$
|
725,022
|
|
|
For the Quarter Ended
|
For the Nine Months Ended
|
||||||||||
|
September 30, 2016
|
September 30, 2015
|
September 30, 2016
|
September 30, 2015
|
||||||||
|
(dollars in thousands)
|
(dollars in thousands)
|
||||||||||
Balance at beginning of period
|
$
|
1,714,592
|
|
$
|
1,698,323
|
|
$
|
1,742,744
|
|
$
|
1,534,497
|
|
Purchases
|
18,316
|
|
133,227
|
|
60,915
|
|
241,852
|
|
||||
Yield income earned
|
(69,850
|
)
|
(72,557
|
)
|
(141,256
|
)
|
(213,267
|
)
|
||||
Reclassification (to) from non-accretable difference
|
(29,490
|
)
|
19,205
|
|
(2,031
|
)
|
238,012
|
|
||||
Sales and deconsolidation
|
(12,907
|
)
|
(418
|
)
|
(39,711
|
)
|
(23,314
|
)
|
||||
Balance at end of period
|
$
|
1,620,661
|
|
$
|
1,777,780
|
|
$
|
1,620,661
|
|
$
|
1,777,780
|
|
|
For the Quarter Ended
|
For the Year Ended
|
||||
|
September 30, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Outstanding principal balance:
|
|
|||||
Beginning of period
|
$
|
3,343,812
|
|
$
|
3,325,335
|
|
End of period
|
$
|
3,228,137
|
|
$
|
3,550,698
|
|
Amortized cost:
|
|
|
|
|
||
Beginning of period
|
$
|
1,806,344
|
|
$
|
1,741,780
|
|
End of period
|
$
|
1,743,116
|
|
$
|
1,958,726
|
|
|
|
|
September 30, 2016
|
|
|
|
|
|
|
|||||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|
|
|
||||||||||||||||
|
Unrealized Loss Position for Less than 12 Months
|
|
Unrealized Loss Position for 12 Months or More
|
|
Total
|
|||||||||||||||||||
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Senior
|
$
|
2,340
|
|
$
|
(111
|
)
|
1
|
|
|
$
|
60,325
|
|
$
|
(491
|
)
|
2
|
|
$
|
62,665
|
|
$
|
(602
|
)
|
3
|
Senior, interest-only
|
36,729
|
|
(3,867
|
)
|
33
|
|
|
90,295
|
|
(36,744
|
)
|
85
|
|
127,024
|
|
(40,611
|
)
|
118
|
||||||
Subordinated
|
—
|
|
—
|
|
—
|
|
|
1,726
|
|
(195
|
)
|
1
|
|
1,726
|
|
(195
|
)
|
1
|
||||||
Subordinated, interest-only
|
—
|
|
—
|
|
—
|
|
|
12,433
|
|
(726
|
)
|
3
|
|
12,433
|
|
(726
|
)
|
3
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential
|
235,048
|
|
(1,146
|
)
|
10
|
|
|
57,562
|
|
(291
|
)
|
1
|
|
292,610
|
|
(1,437
|
)
|
11
|
||||||
Commercial
|
140,402
|
|
(1,320
|
)
|
32
|
|
|
55,068
|
|
(700
|
)
|
43
|
|
195,470
|
|
(2,020
|
)
|
75
|
||||||
Interest-only
|
68,822
|
|
(1,587
|
)
|
19
|
|
|
36,645
|
|
(7,141
|
)
|
11
|
|
105,467
|
|
(8,728
|
)
|
30
|
||||||
Total
|
$
|
483,341
|
|
$
|
(8,031
|
)
|
95
|
|
|
$
|
314,054
|
|
$
|
(46,288
|
)
|
146
|
|
$
|
797,395
|
|
$
|
(54,319
|
)
|
241
|
|
|
|
December 31, 2015
|
|
|
|
|
|
|
|||||||||||||||
|
|
|
(dollars in thousands)
|
|
|
|
|
|
|
|||||||||||||||
|
Unrealized Loss Position for Less than 12 Months
|
|
Unrealized Loss Position for 12 Months or More
|
|
Total
|
|||||||||||||||||||
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Senior
|
$
|
294,520
|
|
$
|
(8,779
|
)
|
20
|
|
$
|
—
|
|
$
|
—
|
|
—
|
|
|
$
|
294,520
|
|
$
|
(8,779
|
)
|
20
|
Senior, interest-only
|
81,919
|
|
(18,715
|
)
|
83
|
|
64,058
|
|
(33,742
|
)
|
47
|
|
|
145,977
|
|
(52,457
|
)
|
130
|
||||||
Subordinated
|
138,257
|
|
(7,577
|
)
|
22
|
|
—
|
|
—
|
|
—
|
|
|
138,257
|
|
(7,577
|
)
|
22
|
||||||
Subordinated, interest-only
|
6,455
|
|
(1,039
|
)
|
1
|
|
3,635
|
|
(2,996
|
)
|
2
|
|
|
10,090
|
|
(4,035
|
)
|
3
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential
|
4,468,717
|
|
(44,687
|
)
|
116
|
|
290,926
|
|
(7,314
|
)
|
4
|
|
|
4,759,643
|
|
(52,001
|
)
|
120
|
||||||
Commercial
|
393,058
|
|
(7,969
|
)
|
140
|
|
4,986
|
|
(32
|
)
|
4
|
|
|
398,044
|
|
(8,001
|
)
|
144
|
||||||
Interest-only
|
94,969
|
|
(3,457
|
)
|
24
|
|
39,707
|
|
(6,183
|
)
|
7
|
|
|
134,676
|
|
(9,640
|
)
|
31
|
||||||
Total
|
$
|
5,477,895
|
|
$
|
(92,223
|
)
|
406
|
|
$
|
403,312
|
|
$
|
(50,267
|
)
|
64
|
|
|
$
|
5,881,207
|
|
$
|
(142,490
|
)
|
470
|
|
For the Quarter Ended
|
For the Nine Months Ended
|
||||||||||
|
September 30, 2016
|
September 30, 2015
|
September 30, 2016
|
September 30, 2015
|
||||||||
|
(dollars in thousands)
|
|||||||||||
Total other-than-temporary impairment losses
|
$
|
(993
|
)
|
$
|
(3,129
|
)
|
$
|
(8,555
|
)
|
$
|
(6,389
|
)
|
Portion of loss recognized in other comprehensive income (loss)
|
(10,581
|
)
|
(14,703
|
)
|
(34,652
|
)
|
(46,359
|
)
|
||||
Net other-than-temporary credit impairment losses
|
$
|
(11,574
|
)
|
$
|
(17,832
|
)
|
$
|
(43,207
|
)
|
$
|
(52,748
|
)
|
|
For the Quarter Ended
|
For the Nine Months Ended
|
||||||||||
|
September 30, 2016
|
September 30, 2015
|
September 30, 2016
|
September 30, 2015
|
||||||||
|
(dollars in thousands)
|
|||||||||||
Cumulative credit loss beginning balance
|
$
|
546,187
|
|
$
|
528,548
|
|
$
|
529,112
|
|
$
|
507,548
|
|
Additions:
|
|
|
|
|
|
|
|
|
||||
Other-than-temporary impairments not previously recognized
|
6,184
|
|
7,863
|
|
17,137
|
|
34,133
|
|
||||
Reductions for securities sold or deconsolidated during the period
|
(2,630
|
)
|
(3,963
|
)
|
(6,890
|
)
|
(5,697
|
)
|
||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
5,390
|
|
9,969
|
|
26,069
|
|
18,615
|
|
||||
Reductions for increases in cash flows expected to be collected over the remaining life of the securities
|
(1,494
|
)
|
—
|
|
(11,791
|
)
|
(12,182
|
)
|
||||
Cumulative credit impairment loss ending balance
|
$
|
553,637
|
|
$
|
542,417
|
|
$
|
553,637
|
|
$
|
542,417
|
|
|
|
September 30, 2016
|
|
|
|
|||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|||||||||||||
|
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Gain Included in Accumulated
Deficit
|
Total Gross Unrealized Gain
|
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Loss Included in Accumulated Deficit
|
Total Gross Unrealized Loss
|
||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
||||||||||||
Senior
|
$
|
734,998
|
|
$
|
—
|
|
$
|
734,998
|
|
$
|
(602
|
)
|
$
|
—
|
|
$
|
(602
|
)
|
Senior, interest-only
|
—
|
|
28,598
|
|
28,598
|
|
—
|
|
(40,611
|
)
|
(40,611
|
)
|
||||||
Subordinated
|
75,446
|
|
4,449
|
|
79,895
|
|
—
|
|
(195
|
)
|
(195
|
)
|
||||||
Subordinated, interest-only
|
—
|
|
41
|
|
41
|
|
—
|
|
(726
|
)
|
(726
|
)
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
51,842
|
|
—
|
|
51,842
|
|
(1,437
|
)
|
—
|
|
(1,437
|
)
|
||||||
Commercial
|
39,496
|
|
—
|
|
39,496
|
|
(2,020
|
)
|
—
|
|
(2,020
|
)
|
||||||
Interest-only
|
—
|
|
2,274
|
|
2,274
|
|
—
|
|
(8,728
|
)
|
(8,728
|
)
|
||||||
Total
|
$
|
901,782
|
|
$
|
35,362
|
|
$
|
937,144
|
|
$
|
(4,059
|
)
|
$
|
(50,260
|
)
|
$
|
(54,319
|
)
|
|
|
December 31, 2015
|
|
|
|
|||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|||||||||||||
|
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Gain Included in Accumulated Deficit
|
Total Gross Unrealized Gain
|
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Loss Included in Accumulated Deficit
|
Total Gross Unrealized Loss
|
||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
||||||||||||
Senior
|
$
|
736,040
|
|
$
|
—
|
|
$
|
736,040
|
|
$
|
(8,779
|
)
|
$
|
—
|
|
$
|
(8,779
|
)
|
Senior, interest-only
|
—
|
|
18,113
|
|
18,113
|
|
—
|
|
(52,457
|
)
|
(52,457
|
)
|
||||||
Subordinated
|
81,588
|
|
2,309
|
|
83,896
|
|
(1,971
|
)
|
(5,606
|
)
|
(7,577
|
)
|
||||||
Subordinated, interest-only
|
—
|
|
62
|
|
62
|
|
—
|
|
(4,035
|
)
|
(4,035
|
)
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential
|
18,593
|
|
—
|
|
18,593
|
|
(52,001
|
)
|
—
|
|
(52,001
|
)
|
||||||
Commercial
|
8,052
|
|
—
|
|
8,052
|
|
(8,001
|
)
|
—
|
|
(8,001
|
)
|
||||||
Interest-only
|
—
|
|
2,756
|
|
2,756
|
|
—
|
|
(9,640
|
)
|
(9,640
|
)
|
||||||
Total
|
$
|
844,273
|
|
$
|
23,240
|
|
$
|
867,512
|
|
$
|
(70,752
|
)
|
$
|
(71,738
|
)
|
$
|
(142,490
|
)
|
|
September 30, 2016
|
||||||||||||
|
Principal or Notional Value
at Period-End
(dollars in thousands)
|
Weighted Average Amortized
Cost Basis
|
Weighted Average Fair Value
|
Weighted Average
Coupon
|
Weighted Average Yield at Period-End
(1)
|
||||||||
Non-Agency RMBS
|
|
|
|
|
|||||||||
Senior
|
$
|
3,308,463
|
|
$
|
55.95
|
|
$
|
78.14
|
|
4.0
|
%
|
15.2
|
%
|
Senior, interest-only
|
5,733,457
|
|
5.29
|
|
5.08
|
|
2.0
|
%
|
11.1
|
%
|
|||
Subordinated
|
668,946
|
|
69.83
|
|
81.74
|
|
3.4
|
%
|
10.2
|
%
|
|||
Subordinated, interest-only
|
269,868
|
|
5.26
|
|
5.00
|
|
1.1
|
%
|
11.4
|
%
|
|||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||
Residential pass-through
|
2,672,093
|
|
105.20
|
|
107.09
|
|
3.9
|
%
|
2.7
|
%
|
|||
Commercial pass-through
|
1,273,235
|
|
102.61
|
|
105.56
|
|
3.6
|
%
|
2.9
|
%
|
|||
Interest-only
|
3,474,731
|
|
4.71
|
|
4.52
|
|
0.9
|
%
|
3.7
|
%
|
|
December 31, 2015
|
||||||||||||
|
Principal or Notional Value at Period-End
(dollars in thousands)
|
Weighted Average Amortized
Cost Basis
|
Weighted Average Fair Value
|
Weighted Average
Coupon
|
Weighted Average Yield at Period-End
(1)
|
||||||||
Non-Agency RMBS
|
|
|
|
|
|||||||||
Senior
|
$
|
3,651,869
|
|
$
|
57.47
|
|
$
|
77.39
|
|
3.8
|
%
|
13.7
|
%
|
Senior, interest-only
|
5,426,029
|
|
4.95
|
|
4.32
|
|
1.7
|
%
|
12.9
|
%
|
|||
Subordinated
|
762,466
|
|
69.25
|
|
79.26
|
|
3.2
|
%
|
8.8
|
%
|
|||
Subordinated, interest-only
|
284,931
|
|
5.34
|
|
3.95
|
|
1.2
|
%
|
10.9
|
%
|
|||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||
Residential pass-through
|
5,045,418
|
|
105.07
|
|
104.41
|
|
3.7
|
%
|
2.8
|
%
|
|||
Commercial pass-through
|
952,091
|
|
102.27
|
|
102.28
|
|
3.4
|
%
|
2.9
|
%
|
|||
Interest-only
|
6,722,472
|
|
4.17
|
|
4.06
|
|
0.8
|
%
|
3.4
|
%
|
|
September 30, 2016
|
|
December 31, 2015
|
|
AAA
|
0.4
|
%
|
0.5
|
%
|
AA
|
0.3
|
%
|
0.4
|
%
|
A
|
0.7
|
%
|
0.8
|
%
|
BBB
|
0.3
|
%
|
0.4
|
%
|
BB
|
3.1
|
%
|
5.2
|
%
|
B
|
4.0
|
%
|
3.0
|
%
|
Below B or not rated
|
91.2
|
%
|
89.7
|
%
|
Total
|
100.0
|
%
|
100.0
|
%
|
|
September 30, 2016
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Weighted Average Life
|
||||||||||||||
|
Less than one year
|
Greater than one year and less
than five years
|
Greater than five years and less
than ten years
|
Greater than ten years
|
Total
|
||||||||||
Fair value
|
|
|
|
|
|
||||||||||
Non-Agency RMBS
|
|
|
|
|
|
||||||||||
Senior
|
$
|
22,267
|
|
$
|
477,875
|
|
$
|
1,393,164
|
|
$
|
692,080
|
|
$
|
2,585,386
|
|
Senior interest-only
|
606
|
|
42,519
|
|
136,316
|
|
112,085
|
|
291,526
|
|
|||||
Subordinated
|
1,473
|
|
76,840
|
|
215,695
|
|
252,817
|
|
546,825
|
|
|||||
Subordinated interest-only
|
—
|
|
—
|
|
13,498
|
|
—
|
|
13,498
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
2,451,083
|
|
410,385
|
|
—
|
|
2,861,468
|
|
|||||
Commercial
|
11,384
|
|
16,473
|
|
50,624
|
|
1,265,513
|
|
1,343,994
|
|
|||||
Interest-only
|
—
|
|
85,447
|
|
66,082
|
|
5,559
|
|
157,088
|
|
|||||
Total fair value
|
$
|
35,730
|
|
$
|
3,150,237
|
|
$
|
2,285,764
|
|
$
|
2,328,054
|
|
$
|
7,799,785
|
|
Amortized cost
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
||||||
Senior
|
$
|
18,823
|
|
$
|
374,436
|
|
$
|
987,116
|
|
$
|
470,615
|
|
$
|
1,850,990
|
|
Senior interest-only
|
2,197
|
|
54,411
|
|
138,744
|
|
108,187
|
|
303,539
|
|
|||||
Subordinated
|
1,455
|
|
58,783
|
|
172,437
|
|
234,450
|
|
467,125
|
|
|||||
Subordinated interest-only
|
—
|
|
—
|
|
14,183
|
|
—
|
|
14,183
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
2,420,774
|
|
390,289
|
|
—
|
|
2,811,063
|
|
|||||
Commercial
|
11,198
|
|
16,567
|
|
50,270
|
|
1,228,483
|
|
1,306,518
|
|
|||||
Interest-only
|
—
|
|
86,304
|
|
71,898
|
|
5,340
|
|
163,542
|
|
|||||
Total amortized cost
|
$
|
33,673
|
|
$
|
3,011,275
|
|
$
|
1,824,937
|
|
$
|
2,047,075
|
|
$
|
6,916,960
|
|
|
December 31, 2015
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Weighted Average Life
|
||||||||||||||
|
Less than one year
|
Greater than one year and less
than five years
|
Greater than five years and less
than ten years
|
Greater than ten years
|
Total
|
||||||||||
Fair value
|
|
|
|
|
|
||||||||||
Non-Agency RMBS
|
|
|
|
|
|
||||||||||
Senior
|
$
|
—
|
|
$
|
374,462
|
|
$
|
1,629,564
|
|
$
|
822,095
|
|
$
|
2,826,121
|
|
Senior interest-only
|
1,458
|
|
41,862
|
|
123,538
|
|
67,313
|
|
234,171
|
|
|||||
Subordinated
|
2,229
|
|
108,728
|
|
212,003
|
|
281,335
|
|
604,295
|
|
|||||
Subordinated interest-only
|
—
|
|
—
|
|
11,254
|
|
—
|
|
11,254
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
150,357
|
|
5,117,491
|
|
—
|
|
5,267,848
|
|
|||||
Commercial
|
—
|
|
—
|
|
29,176
|
|
944,611
|
|
973,787
|
|
|||||
Interest-only
|
—
|
|
106,069
|
|
161,413
|
|
5,707
|
|
273,189
|
|
|||||
Total fair value
|
$
|
3,687
|
|
$
|
781,478
|
|
$
|
7,284,439
|
|
$
|
2,121,061
|
|
$
|
10,190,665
|
|
Amortized cost
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
||||||
Senior
|
$
|
—
|
|
$
|
281,255
|
|
$
|
1,235,528
|
|
$
|
582,077
|
|
$
|
2,098,860
|
|
Senior interest-only
|
2,440
|
|
59,823
|
|
135,359
|
|
70,893
|
|
268,515
|
|
|||||
Subordinated
|
2,208
|
|
86,728
|
|
168,403
|
|
270,636
|
|
527,975
|
|
|||||
Subordinated interest-only
|
—
|
|
—
|
|
15,226
|
|
—
|
|
15,226
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
149,111
|
|
5,152,144
|
|
—
|
|
5,301,255
|
|
|||||
Commercial
|
—
|
|
—
|
|
29,156
|
|
944,580
|
|
973,736
|
|
|||||
Interest-only
|
—
|
|
106,708
|
|
167,646
|
|
5,719
|
|
280,073
|
|
|||||
Total amortized cost
|
$
|
4,648
|
|
$
|
683,625
|
|
$
|
6,903,462
|
|
$
|
1,873,905
|
|
$
|
9,465,640
|
|
|
September 30, 2016
|
December 31, 2015
|
||||||
Weighted average maturity (years)
|
|
21.3
|
|
|
22.0
|
|
||
Weighted average amortized loan to value
(1)
|
|
66.8
|
%
|
|
67.9
|
%
|
||
Weighted average FICO
(2)
|
|
675
|
|
|
671
|
|
||
Weighted average loan balance (in thousands)
|
|
$
|
327
|
|
|
$
|
330
|
|
Weighted average percentage owner occupied
|
|
83.1
|
%
|
|
82.7
|
%
|
||
Weighted average percentage single family residence
|
|
65.7
|
%
|
|
65.9
|
%
|
||
Weighted average current credit enhancement
|
|
2.3
|
%
|
|
2.4
|
%
|
||
Weighted average geographic concentration of top four states
|
CA
|
32.6
|
%
|
CA
|
30.4
|
%
|
||
|
FL
|
8.0
|
%
|
FL
|
8.0
|
%
|
||
|
NY
|
7.9
|
%
|
NY
|
8.0
|
%
|
||
|
NJ
|
2.6
|
%
|
NJ
|
2.5
|
%
|
|
For the Quarter Ended
|
For the Nine Months Ended
|
||||||||||
|
September 30, 2016
|
September 30, 2015
|
September 30, 2016
|
September 30, 2015
|
||||||||
|
(dollars in thousands)
|
|||||||||||
Proceeds from sales
|
$
|
58,036
|
|
$
|
196,192
|
|
$
|
2,697,239
|
|
$
|
3,433,527
|
|
Gross realized gains
|
3,622
|
|
4,612
|
|
16,798
|
|
46,007
|
|
||||
Gross realized losses
|
(543
|
)
|
(1,073
|
)
|
(9,763
|
)
|
(3,218
|
)
|
||||
Net realized gain (loss)
|
$
|
3,079
|
|
$
|
3,539
|
|
$
|
7,035
|
|
$
|
42,789
|
|
|
For the Nine Months Ended
|
For the Year Ended
|
||||
|
September 30, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Balance, beginning of period
|
$
|
4,768,416
|
|
$
|
5,306,501
|
|
Purchases
|
4,745,083
|
|
577,036
|
|
||
Principal paydowns
|
(696,281
|
)
|
(707,996
|
)
|
||
Sales and settlements
|
6,001
|
|
(9,638
|
)
|
||
Net periodic accretion (amortization)
|
(27,828
|
)
|
(19,100
|
)
|
||
Change in fair value
|
113,646
|
|
(90,581
|
)
|
||
Transfer due to deconsolidation
|
—
|
|
(287,806
|
)
|
||
Balance, end of period
|
$
|
8,909,037
|
|
$
|
4,768,416
|
|
|
September 30, 2016
|
December 31, 2015
|
||||||
Number of loans
|
|
545
|
|
|
657
|
|
||
Weighted average maturity (years)
|
|
24.8
|
|
|
25.5
|
|
||
Weighted average loan to value
(1)
|
|
70.4
|
%
|
|
70.7
|
%
|
||
Weighted average FICO
(2)
|
|
764
|
|
|
765
|
|
||
Weighted average loan balance (in thousands)
|
|
$
|
670
|
|
|
$
|
682
|
|
Weighted average percentage owner occupied
|
|
95.5
|
%
|
|
94.3
|
%
|
||
Weighted average percentage single family residence
|
|
71.0
|
%
|
|
70.1
|
%
|
||
Weighted average geographic concentration of top five states
|
CA
|
31.4
|
%
|
CA
|
32.4
|
%
|
||
|
NJ
|
7.1
|
%
|
VA
|
6.4
|
%
|
||
|
MD
|
6.8
|
%
|
NJ
|
6.3
|
%
|
||
|
VA
|
6.7
|
%
|
MD
|
6.2
|
%
|
||
|
NY
|
4.8
|
%
|
TX
|
5.1
|
%
|
|
30 Days Delinquent
|
60 Days Delinquent
|
90+ Days Delinquent
|
Bankruptcy
|
Foreclosure
|
REO
|
Total
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
September 30, 2016
|
$
|
532
|
|
$
|
529
|
|
$
|
2,846
|
|
$
|
—
|
|
$
|
2,318
|
|
$
|
—
|
|
$
|
6,225
|
|
December 31, 2015
|
$
|
3,079
|
|
$
|
—
|
|
$
|
2,915
|
|
$
|
—
|
|
$
|
2,875
|
|
$
|
2,312
|
|
$
|
11,181
|
|
|
September 30, 2016
|
December 31, 2015
|
||||||
Number of loans
|
|
96,779
|
|
|
56,870
|
|
||
Weighted average maturity (years)
|
|
19.6
|
|
|
21.5
|
|
||
Weighted average loan to value
(1)
|
|
87.7
|
%
|
|
80.7
|
%
|
||
Weighted average FICO
(1)
|
|
620
|
|
|
625
|
|
||
Weighted average loan balance (in thousands)
|
|
$
|
90
|
|
|
$
|
76
|
|
Weighted average percentage owner occupied
|
|
97.0
|
%
|
|
96.0
|
%
|
||
Weighted average percentage single family residence
|
|
84.7
|
%
|
|
72.5
|
%
|
||
Weighted average geographic concentration of top five states
|
CA
|
8.5
|
%
|
CA
|
8.8
|
%
|
||
|
OH
|
6.8
|
%
|
FL
|
7.2
|
%
|
||
|
FL
|
6.6
|
%
|
NC
|
7.1
|
%
|
||
|
VA
|
5.9
|
%
|
VA
|
6.3
|
%
|
||
|
NC
|
5.4
|
%
|
OH
|
6.1
|
%
|
|
30 Days Delinquent
|
60 Days Delinquent
|
90+ Days Delinquent
|
Bankruptcy
|
Foreclosure
|
REO
|
Total
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
September 30, 2016
|
$
|
329,973
|
|
$
|
98,414
|
|
$
|
127,327
|
|
$
|
209,785
|
|
$
|
201,247
|
|
$
|
38,611
|
|
$
|
1,005,357
|
|
December 31, 2015
|
$
|
189,816
|
|
$
|
66,429
|
|
$
|
125,897
|
|
$
|
117,308
|
|
$
|
218,493
|
|
$
|
36,124
|
|
$
|
754,067
|
|
|
September 30, 2016
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Counterparty and Cash Collateral, netting
|
Total
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-Agency RMBS, at fair value
|
$
|
—
|
|
$
|
—
|
|
$
|
3,437,235
|
|
$
|
—
|
|
$
|
3,437,235
|
|
Agency RMBS, at fair value
|
—
|
|
4,362,550
|
|
—
|
|
—
|
|
4,362,550
|
|
|||||
Securitized loans held for investment, at fair value
|
—
|
|
—
|
|
8,909,037
|
|
—
|
|
8,909,037
|
|
|||||
Derivatives
|
—
|
|
2,255
|
|
—
|
|
(102
|
)
|
2,153
|
|
|||||
|
|
|
|
|
|
||||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
—
|
|
—
|
|
(7,191,462
|
)
|
—
|
|
(7,191,462
|
)
|
|||||
Derivatives
|
(2,852
|
)
|
(92,561
|
)
|
—
|
|
87,404
|
|
(8,009
|
)
|
|||||
Total
|
(2,852
|
)
|
4,272,244
|
|
5,154,810
|
|
87,302
|
|
$
|
9,511,504
|
|
|
December 31, 2015
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Counterparty and Cash Collateral, netting
|
Total
|
||||||||||
Assets:
|
|
|
|
|
|
||||||||||
Non-Agency RMBS, at fair value
|
$
|
—
|
|
$
|
—
|
|
3,675,841
|
|
$
|
—
|
|
$
|
3,675,841
|
|
|
Agency RMBS, at fair value
|
—
|
|
6,514,824
|
|
—
|
|
—
|
|
6,514,824
|
|
|||||
Securitized loans held for investment, at fair value
|
—
|
|
—
|
|
4,768,416
|
|
—
|
|
4,768,416
|
|
|||||
Derivatives
|
1,599
|
|
18,987
|
|
—
|
|
(5,126
|
)
|
15,460
|
|
|||||
|
|
|
|
|
|
||||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
—
|
|
—
|
|
(3,720,496
|
)
|
—
|
|
(3,720,496
|
)
|
|||||
Derivatives
|
(192
|
)
|
(57,042
|
)
|
—
|
|
47,600
|
|
(9,634
|
)
|
|||||
Total
|
$
|
1,407
|
|
$
|
6,476,769
|
|
$
|
4,723,761
|
|
$
|
42,474
|
|
$
|
11,244,411
|
|
Fair Value Reconciliation, Level 3
|
|||||||||||||||
|
For the Nine Months Ended, September 30, 2016
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Non-Agency RMBS
|
Derivatives
|
Securitized Loans
|
Securitized Debt
|
Total
|
||||||||||
Beginning balance Level 3 assets
|
$
|
3,675,841
|
|
$
|
—
|
|
$
|
4,768,416
|
|
$
|
(3,720,496
|
)
|
$
|
4,723,761
|
|
Transfers in to Level 3 assets
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
Transfers out of Level 3 assets
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
Purchases
|
222,756
|
|
—
|
|
4,745,083
|
|
(4,180,227
|
)
|
787,612
|
|
|||||
Principal payments
|
(402,973
|
)
|
—
|
|
(696,281
|
)
|
727,946
|
|
(371,308
|
)
|
|||||
Sales and Settlements
|
(142,637
|
)
|
—
|
|
6,001
|
|
45,929
|
|
(90,707
|
)
|
|||||
Accretion (amortization) of purchase discounts
|
88,886
|
|
—
|
|
(27,828
|
)
|
4,180
|
|
65,238
|
|
|||||
Gains (losses) included in net income
|
|
|
|
|
|
||||||||||
Other than temporary credit impairment losses
|
(43,207
|
)
|
—
|
|
—
|
|
—
|
|
(43,207
|
)
|
|||||
Realized gains (losses) on sales and settlements
|
2,452
|
|
—
|
|
—
|
|
(1,766
|
)
|
686
|
|
|||||
Net unrealized gains (losses) included in income
|
33,170
|
|
—
|
|
113,646
|
|
(67,028
|
)
|
79,788
|
|
|||||
Gains (losses) included in other comprehensive income
|
|
|
|
|
|
||||||||||
Total unrealized gains (losses) for the period
|
2,947
|
|
—
|
|
—
|
|
—
|
|
2,947
|
|
|||||
Ending balance Level 3 assets
|
$
|
3,437,235
|
|
$
|
—
|
|
$
|
8,909,037
|
|
$
|
(7,191,462
|
)
|
$
|
5,154,810
|
|
Fair Value Reconciliation, Level 3
|
|||||||||||||||
|
For the Year Ended, December 31, 2015
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Non-Agency RMBS
|
Derivatives
|
Securitized Loans
(1)
|
Securitized Debt
|
Total
|
||||||||||
Beginning balance Level 3 assets
|
$
|
3,404,149
|
|
$
|
(71
|
)
|
$
|
5,306,501
|
|
$
|
(4,383,217
|
)
|
$
|
4,327,362
|
|
Transfers in to Level 3 assets
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
Transfers out of Level 3 assets
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
Transfer due to consolidation/deconsolidation
|
(59,646
|
)
|
—
|
|
(287,806
|
)
|
243,732
|
|
(103,720
|
)
|
|||||
Purchases
|
1,045,534
|
|
—
|
|
577,036
|
|
(1,668,654
|
)
|
(46,084
|
)
|
|||||
Principal payments
|
(385,822
|
)
|
—
|
|
(707,996
|
)
|
743,329
|
|
(350,489
|
)
|
|||||
Sales and Settlements
|
(252,532
|
)
|
(597
|
)
|
(9,638
|
)
|
1,395,292
|
|
1,132,526
|
|
|||||
Accretion (amortization) of purchase discounts
|
117,836
|
|
—
|
|
(19,100
|
)
|
(6,344
|
)
|
92,392
|
|
|||||
Gains (losses) included in net income
|
|
|
|
|
|
|
|
|
|
||||||
Other than temporary credit impairment losses
|
(67,444
|
)
|
—
|
|
—
|
|
—
|
|
(67,444
|
)
|
|||||
Realized gains (losses) on sales and settlements
|
28,724
|
|
443
|
|
—
|
|
(5,930
|
)
|
23,236
|
|
|||||
Net unrealized gains (losses) included in income
|
(18,874
|
)
|
225
|
|
(90,581
|
)
|
(38,704
|
)
|
(147,934
|
)
|
|||||
Gains (losses) included in other comprehensive income
|
|
|
|
|
|
|
|
|
|
|
|||||
Total unrealized gains (losses) for the period
|
(136,084
|
)
|
—
|
|
—
|
|
—
|
|
(136,084
|
)
|
|||||
Ending balance Level 3 assets
|
$
|
3,675,841
|
|
$
|
—
|
|
$
|
4,768,416
|
|
$
|
(3,720,496
|
)
|
$
|
4,723,761
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||
|
Significant Inputs
|
|
Significant Inputs
|
||||||
|
Weighted Average Discount Rate
|
CPR
|
CDR
|
Loss Severity
|
|
Weighted Average Discount Rate
|
CPR
|
CDR
|
Loss Severity
|
|
Range
|
|
Range
|
||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
Senior
|
5.3%
|
1% -35%
|
0% -20%
|
35% -95%
|
|
5.5%
|
1% - 17%
|
0% - 22%
|
35% - 95%
|
Senior interest-only
|
11.9%
|
3% -35%
|
0% -23%
|
35% -95%
|
|
13.1%
|
3% - 25%
|
0% - 23%
|
1% - 95%
|
Subordinated
|
6.2%
|
1% -22%
|
0% -20%
|
0% -84%
|
|
6.6%
|
1% - 22%
|
0% - 20%
|
5% - 91%
|
Subordinated interest-only
|
12.3%
|
6% -15%
|
0% -11%
|
35% -72%
|
|
17.4%
|
6% - 13%
|
0% - 10%
|
1% - 64%
|
|
September 30, 2016
|
December 31, 2015
|
||||
|
Significant Inputs
|
Significant Inputs
|
||||
|
CPR Range
|
CDR Range
|
Loss Severity Range
|
CPR Range
|
CDR Range
|
Loss Severity Range
|
Securitized debt at fair value, collateralized by loans held for investment
|
4% - 30%
|
0% - 3%
|
35% - 60%
|
4% - 32%
|
0% - 6%
|
35% - 65%
|
|
|
|
|
September 30, 2016
|
December 31, 2015
|
Factor:
|
|
|
Coupon
|
|
|
Base Rate
|
5.4%
|
4.8%
|
Actual
|
7.3%
|
6.8%
|
|
|
|
FICO
|
|
|
Base Rate
|
631
|
620
|
Actual
|
620
|
625
|
|
|
|
Loan-to-value (LTV)
|
|
|
Base Rate
|
87%
|
90%
|
Actual
|
88%
|
81%
|
|
|
|
Loan Characteristics:
|
|
|
Occupancy
|
|
|
Owner Occupied
|
97%
|
96%
|
Investor
|
2%
|
4%
|
Secondary
|
1%
|
—%
|
Property Type
|
|
|
Single family
|
85%
|
77%
|
Manufactured housing
|
7%
|
11%
|
Multi-family/mixed use/other
|
8%
|
12%
|
|
September 30, 2016
|
||||
|
(dollars in thousands)
|
||||
|
Level in Fair Value Hierarchy
|
Carrying Amount
|
Fair Value
|
||
Repurchase agreements
|
2
|
5,817,519
|
|
5,831,019
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
3
|
380,715
|
|
373,090
|
|
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
||||
|
Level in Fair Value Hierarchy
|
Carrying Amount
|
Fair Value
|
||
Repurchase agreements
|
2
|
7,439,339
|
|
7,466,409
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
3
|
529,415
|
|
518,941
|
|
|
September 30, 2016
|
December 31, 2015
|
||||
Repurchase agreements outstanding secured by:
|
|
|
||||
Agency MBS (in thousands)
|
$
|
3,378,579
|
|
$
|
5,324,729
|
|
Non-agency MBS (in thousands)
|
2,438,940
|
|
2,114,610
|
|
||
Total:
|
$
|
5,817,519
|
|
$
|
7,439,339
|
|
|
|
|
||||
Average daily balance of Repurchase agreements secured by:
|
|
|
|
|
||
Agency MBS (in thousands)
|
$
|
4,479,616
|
|
$
|
5,776,980
|
|
Non-agency MBS (in thousands)
|
2,263,806
|
|
1,627,909
|
|
||
Total:
|
$
|
6,743,422
|
|
$
|
7,404,889
|
|
|
|
|
||||
Weighted average borrowing rate of Repurchase agreements secured by:
|
|
|
|
|
||
Agency MBS
|
0.81
|
%
|
0.64
|
%
|
||
Non-agency MBS
|
2.76
|
%
|
2.44
|
%
|
||
|
|
|
||||
Weighted average maturity of Repurchase agreements secured by:
|
|
|
|
|
||
Agency MBS
|
49 Days
|
|
53 Days
|
|
||
Non-agency MBS
|
104 Days
|
|
137 Days
|
|
||
|
|
|
||||
MBS pledged as collateral at fair value on Repurchase agreements:
|
|
|
|
|
||
Agency MBS (in thousands)
|
$
|
3,612,975
|
|
$
|
5,655,410
|
|
Non-agency MBS (in thousands)
|
3,682,220
|
|
3,117,875
|
|
||
Total:
|
$
|
7,295,195
|
|
$
|
8,773,285
|
|
|
September 30, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
—
|
|
$
|
—
|
|
1 to 29 days
|
2,856,171
|
|
3,312,902
|
|
||
30 to 59 days
|
432,336
|
|
2,501,513
|
|
||
60 to 89 days
|
920,977
|
|
246,970
|
|
||
90 to 119 days
|
842,876
|
|
430,026
|
|
||
Greater than or equal to 120 days
|
765,159
|
|
947,928
|
|
||
Total
|
$
|
5,817,519
|
|
$
|
7,439,339
|
|
|
September 30, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Within One Year
|
$
|
118,371
|
|
$
|
137,642
|
|
One to Three Years
|
98,894
|
|
178,191
|
|
||
Three to Five Years
|
30,361
|
|
60,872
|
|
||
Greater Than Five Years
|
32,158
|
|
52,280
|
|
||
Total
|
$
|
279,784
|
|
$
|
428,985
|
|
|
September 30, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Within One Year
|
$
|
1,174,427
|
|
$
|
591,171
|
|
One to Three Years
|
1,917,720
|
|
941,704
|
|
||
Three to Five Years
|
1,497,626
|
|
734,291
|
|
||
Greater Than Five Years
|
2,646,354
|
|
1,502,663
|
|
||
Total
|
$
|
7,236,127
|
|
$
|
3,769,829
|
|
|
Consolidated Trusts
|
||
|
(dollars in thousands)
|
||
Assets :
|
|
||
Securitized loans held for investment, at fair value
|
$
|
4,789,782
|
|
Other Assets
|
39,318
|
|
|
|
|
||
Liabilities :
|
|
||
Securitized debt at fair value
(1)
|
$
|
4,097,712
|
|
|
September 30, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Assets:
|
|
|
||||
Non-Agency RMBS, at fair value
|
$
|
1,907,696
|
|
$
|
2,140,494
|
|
Securitized loans held for investment, at fair value
|
8,909,037
|
|
4,768,416
|
|
||
Accrued interest receivable
|
61,081
|
|
35,916
|
|
||
Other Assets
|
118,504
|
|
86,452
|
|
||
Liabilities:
|
|
|
|
|
||
Securitized debt, collateralized by Non-Agency RMBS
|
$
|
380,715
|
|
$
|
529,415
|
|
Securitized debt at fair value, collateralized by loans held for investment
|
7,191,462
|
|
3,720,496
|
|
||
Accrued interest payable
|
27,262
|
|
12,106
|
|
|
For the Quarter Ended
|
|||||
|
September 30, 2016
|
September 30, 2015
|
||||
|
(dollars in thousands)
|
|||||
Interest income, Assets of consolidated VIEs
|
$
|
195,488
|
|
$
|
142,053
|
|
Interest expense, Non-recourse liabilities of VIEs
|
70,715
|
|
50,837
|
|
||
Net interest income
|
$
|
124,773
|
|
$
|
91,216
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
$
|
(21
|
)
|
$
|
(301
|
)
|
Portion of loss recognized in other comprehensive income (loss)
|
(4,599
|
)
|
(15,838
|
)
|
||
Net other-than-temporary credit impairment losses
|
$
|
(4,620
|
)
|
$
|
(16,139
|
)
|
|
For the Nine Months Ended
|
|||||
|
September 30, 2016
|
September 30, 2015
|
||||
|
(dollars in thousands)
|
|||||
Interest income, Assets of consolidated VIEs
|
$
|
488,353
|
|
$
|
439,571
|
|
Interest expense, Non-recourse liabilities of VIEs
|
168,738
|
|
148,017
|
|
||
Net interest income
|
$
|
319,615
|
|
$
|
291,554
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
$
|
(866
|
)
|
$
|
(1,738
|
)
|
Portion of loss recognized in other comprehensive income (loss)
|
(31,925
|
)
|
(43,217
|
)
|
||
Net other-than-temporary credit impairment losses
|
$
|
(32,791
|
)
|
$
|
(44,955
|
)
|
|
|
|
|
September 30, 2016
|
||||||||||
|
|
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||
Derivative Instruments
|
|
Notional Amount Outstanding
|
|
Location on Consolidated Statements of Financial
Condition
|
Net Estimated Fair Value/Carrying Value
|
|
Location on Consolidated Statements of Financial
Condition
|
Net Estimated Fair Value/Carrying Value
|
||||||
|
|
|
|
(dollars in thousands)
|
|
|
|
|||||||
Interest Rate Swaps
|
|
$
|
1,380,900
|
|
|
Derivatives, at fair value, net
|
$
|
—
|
|
|
Derivatives, at fair value, net
|
$
|
—
|
|
Swaptions
|
|
699,000
|
|
|
Derivatives, at fair value, net
|
2,153
|
|
|
Derivatives, at fair value, net
|
(8,009
|
)
|
|||
Treasury Futures
|
|
619,700
|
|
|
Derivatives, at fair value, net
|
—
|
|
|
Derivatives, at fair value, net
|
—
|
|
|||
Total
|
|
$
|
2,699,600
|
|
|
|
$
|
2,153
|
|
|
|
$
|
(8,009
|
)
|
|
|
|
|
December 31, 2015
|
||||||||||
|
|
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||
Derivative Instruments
|
|
Notional Amount Outstanding
|
|
Location on Consolidated Statements of Financial
Condition
|
Net Estimated Fair Value/Carrying Value
|
|
Location on Consolidated Statements of Financial
Condition
|
Net Estimated Fair Value/Carrying Value
|
||||||
|
|
|
|
(dollars in thousands)
|
|
|
|
|||||||
Interest Rate Swaps
|
|
$
|
4,555,400
|
|
|
Derivatives, at fair value, net
|
$
|
1,232
|
|
|
Derivatives, at fair value, net
|
$
|
(6,369
|
)
|
Swaptions
|
|
779,000
|
|
|
Derivatives, at fair value, net
|
12,821
|
|
|
Derivatives, at fair value, net
|
(3,265
|
)
|
|||
Treasury Futures
|
|
752,200
|
|
|
Derivatives, at fair value, net
|
1,407
|
|
|
Derivatives, at fair value, net
|
—
|
|
|||
Total
|
|
$
|
6,086,600
|
|
|
|
$
|
15,460
|
|
|
|
$
|
(9,634
|
)
|
|
|
Net gains (losses) on derivatives
For the Quarter Ended
|
|||||
Derivative Instruments
|
Location on Consolidated Statements of
Operations and Comprehensive Income
|
September 30, 2016
|
September 30, 2015
|
||||
|
|
(dollars in thousands)
|
|||||
Interest Rate Swaps
|
Net unrealized gains (losses) on derivatives
|
$
|
13,395
|
|
$
|
(55,087
|
)
|
Interest Rate Swaps
|
Net realized gains (losses) on derivatives
|
(4,595
|
)
|
(11,355
|
)
|
||
Treasury Futures
|
Net unrealized gains (losses) on derivatives
|
12,149
|
|
(6,886
|
)
|
||
Treasury Futures
|
Net realized gains (losses) on derivatives
|
(7,823
|
)
|
(9,309
|
)
|
||
Swaptions
|
Net unrealized gains (losses) on derivatives
|
2,084
|
|
(9,567
|
)
|
||
Swaptions
|
Net realized gains (losses) on derivatives
|
(1,850
|
)
|
(496
|
)
|
||
Total
|
|
$
|
13,360
|
|
$
|
(92,700
|
)
|
|
For the Quarter Ended
|
|||||
|
September 30, 2016
|
September 30, 2015
|
||||
|
(dollars in thousands)
|
|||||
Numerator:
|
|
|
||||
Net income
|
$
|
172,817
|
|
$
|
(48,259
|
)
|
Effect of dilutive securities:
|
—
|
|
—
|
|
||
Dilutive net income available to stockholders
|
$
|
172,817
|
|
$
|
(48,259
|
)
|
|
|
|
||||
Denominator:
|
|
|
|
|
||
Weighted average basic shares
|
187,729,765
|
|
197,787,858
|
|
||
Effect of dilutive securities
|
190,027
|
|
87,550
|
|
||
Weighted average dilutive shares
|
187,919,792
|
|
197,875,408
|
|
||
|
|
|
||||
Net income per average share attributable to common stockholders - Basic
|
$
|
0.92
|
|
$
|
(0.24
|
)
|
Net income per average share attributable to common stockholders - Diluted
|
$
|
0.92
|
|
$
|
(0.24
|
)
|
|
For the Nine Months Ended
|
|||||
|
September 30, 2016
|
September 30, 2015
|
||||
|
(dollars in thousands)
|
|||||
Numerator:
|
|
|
||||
Net income
|
$
|
330,042
|
|
$
|
134,969
|
|
Effect of dilutive securities:
|
—
|
|
—
|
|
||
Dilutive net income available to stockholders
|
$
|
330,042
|
|
$
|
134,969
|
|
|
|
|
||||
Denominator:
|
|
|
|
|
||
Weighted average basic shares
|
187,727,667
|
|
202,891,610
|
|
||
Effect of dilutive securities
|
190,027
|
|
87,550
|
|
||
Weighted average dilutive shares
|
187,917,694
|
|
202,979,160
|
|
||
|
|
|
||||
Net income per average share attributable to common stockholders - Basic
|
$
|
1.76
|
|
$
|
0.67
|
|
Net income per average share attributable to common stockholders - Diluted
|
$
|
1.76
|
|
$
|
0.66
|
|
|
September 30, 2016
|
|||||
|
(dollars in thousands)
|
|||||
|
Unrealized gains (losses) on available-for-sale securities, net
|
Total Accumulated OCI Balance
|
||||
Balance as of December 31, 2015
|
$
|
773,791
|
|
$
|
773,791
|
|
OCI before reclassifications
|
94,059
|
|
94,059
|
|
||
Amounts reclassified from AOCI
|
29,853
|
|
29,853
|
|
||
Net current period OCI
|
123,912
|
|
123,912
|
|
||
Balance as of September 30, 2016
|
$
|
897,703
|
|
$
|
897,703
|
|
|
September 30, 2015
|
|||||
|
(dollars in thousands)
|
|||||
|
Unrealized gains (losses) on available-for-sale securities, net
|
Total Accumulated OCI Balance
|
||||
Balance as of December 31, 2014
|
$
|
1,046,680
|
|
$
|
1,046,680
|
|
OCI before reclassifications
|
(121,142
|
)
|
(121,142
|
)
|
||
Amounts reclassified from AOCI
|
9,710
|
|
9,710
|
|
||
Net current period OCI
|
(111,432
|
)
|
(111,432
|
)
|
||
Balance as of September 30, 2015
|
$
|
935,248
|
|
$
|
935,248
|
|
|
September 30, 2016
|
September 30, 2015
|
|
||||
Details about Accumulated OCI Components
|
Amounts Reclassified
from Accumulated OCI
|
Amounts Reclassified
from Accumulated OCI
|
Affected Line on the Consolidated Statements Of Operations And Comprehensive Income
|
||||
Unrealized gains and losses on available-for-sale securities
|
|
|
|
||||
|
$
|
13,354
|
|
$
|
43,038
|
|
Net realized gains (losses) on sales of investments
|
|
(43,207
|
)
|
(52,748
|
)
|
Net other-than-temporary credit impairment losses
|
||
|
$
|
(29,853
|
)
|
$
|
(9,710
|
)
|
Income before income taxes
|
|
—
|
|
—
|
|
Income taxes
|
||
|
$
|
(29,853
|
)
|
$
|
(9,710
|
)
|
Net of tax
|
|
September 30, 2016
|
|||||||||||||||||
|
(dollars in thousands)
|
|||||||||||||||||
|
Gross Amounts of Recognized Assets (Liabilities)
|
Gross Amounts Offset in the Consolidated Statements of Financial Position
|
Net Amounts Offset in the Consolidated Statements of Financial Position
|
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position
|
|
|||||||||||||
|
Financial
Instruments
|
Cash Collateral (Received) Pledged
(1)
|
Net Amount
|
|||||||||||||||
Repurchase Agreements
|
$
|
(5,817,519
|
)
|
$
|
—
|
|
$
|
(5,817,519
|
)
|
$
|
7,295,378
|
|
$
|
11,454
|
|
$
|
1,489,313
|
|
Interest Rate Swaps - Gross Assets
|
102
|
|
(102
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Interest Rate Swaps - Gross Liabilities
|
(84,552
|
)
|
84,552
|
|
—
|
|
—
|
|
46,792
|
|
46,792
|
|
||||||
Treasury Futures - Gross Liabilities
|
(2,852
|
)
|
2,852
|
|
—
|
|
—
|
|
7,506
|
|
7,506
|
|
||||||
Swaptions - Gross Assets
|
2,153
|
|
—
|
|
2,153
|
|
—
|
|
—
|
|
2,153
|
|
||||||
Swaptions - Gross Liabilities
|
(8,009
|
)
|
—
|
|
(8,009
|
)
|
11,509
|
|
—
|
|
3,500
|
|
||||||
Other Derivative Assets
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Total Liabilities
|
$
|
(5,910,677
|
)
|
$
|
87,302
|
|
$
|
(5,823,375
|
)
|
$
|
7,306,887
|
|
$
|
65,752
|
|
$
|
1,549,264
|
|
|
December 31, 2015
|
|||||||||||||||||
|
(dollars in thousands)
|
|||||||||||||||||
|
Gross Amounts of Recognized Assets (Liabilities)
|
Gross Amounts Offset in the Consolidated Statements of Financial Position
|
Net Amounts Offset in the Consolidated Statements of Financial Position
|
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position
|
|
|||||||||||||
|
Financial
Instruments
|
Cash Collateral (Received) Pledged
(1)
|
Net Amount
|
|||||||||||||||
Repurchase Agreements
|
$
|
(7,439,339
|
)
|
$
|
—
|
|
$
|
(7,439,339
|
)
|
$
|
8,773,285
|
|
$
|
37,296
|
|
$
|
1,371,242
|
|
Interest Rate Swaps - Gross Assets
|
6,166
|
|
(4,934
|
)
|
1,232
|
|
—
|
|
—
|
|
1,232
|
|
||||||
Interest Rate Swaps - Gross Liabilities
|
(53,777
|
)
|
47,408
|
|
(6,369
|
)
|
8,589
|
|
51,424
|
|
53,644
|
|
||||||
Treasury Futures
|
1,599
|
|
(192
|
)
|
1,407
|
|
—
|
|
6,420
|
|
7,827
|
|
||||||
Swaptions - Gross Assets
|
12,821
|
|
—
|
|
12,821
|
|
—
|
|
—
|
|
12,821
|
|
||||||
Swaptions - Gross Liabilities
|
(3,265
|
)
|
—
|
|
(3,265
|
)
|
—
|
|
—
|
|
(3,265
|
)
|
||||||
Total Liabilities
|
$
|
(7,475,795
|
)
|
$
|
42,282
|
|
$
|
(7,433,513
|
)
|
$
|
8,781,874
|
|
$
|
95,140
|
|
$
|
1,443,501
|
|
•
|
our business and investment strategy;
|
•
|
our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements;
|
•
|
general volatility of the securities markets in which we invest;
|
•
|
the impact of and changes to various government programs;
|
•
|
our expected investments;
|
•
|
changes in the value of our investments;
|
•
|
interest rate mismatches between our investments and our borrowings used to finance such purchases;
|
•
|
changes in interest rates and mortgage prepayment rates;
|
•
|
effects of interest rate caps on our adjustable-rate investments;
|
•
|
rates of default, delinquencies or decreased recovery rates on our investments;
|
•
|
prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS;
|
•
|
the degree to which our hedging strategies may or may not protect us from interest rate volatility;
|
•
|
impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters;
|
•
|
availability of investment opportunities in real estate-related and other securities;
|
•
|
availability of qualified personnel;
|
•
|
estimates relating to our ability to make distributions to our stockholders in the future;
|
•
|
our understanding of our competition;
|
•
|
market trends in our industry, interest rates, the debt securities markets or the general economy;
|
•
|
our transition from an externally-managed real estate investment trust, or REIT, to an internally-managed REIT;
|
•
|
our ability to maintain our classification as a REIT for federal income tax purposes;
|
•
|
our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act;
|
•
|
our expectations regarding materiality or significance; and
|
•
|
the effectiveness of our disclosure controls and procedures.
|
Net Income
|
||||||||||||
(dollars in thousands)
|
||||||||||||
(unaudited)
|
||||||||||||
|
For the Quarter Ended
|
For the Nine Months Ended
|
||||||||||
|
September 30, 2016
|
September 30, 2015
|
September 30, 2016
|
September 30, 2015
|
||||||||
Net Interest Income:
|
|
|
|
|
||||||||
Interest income
(1)
|
$
|
250,953
|
|
$
|
211,876
|
|
$
|
673,246
|
|
$
|
670,825
|
|
Interest expense
(2)
|
94,911
|
|
67,910
|
|
241,120
|
|
194,410
|
|
||||
Net interest income
|
156,042
|
|
143,966
|
|
432,126
|
|
476,415
|
|
||||
|
|
|
|
|
||||||||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
(993
|
)
|
(3,129
|
)
|
(8,555
|
)
|
(6,389
|
)
|
||||
Portion of loss recognized in other comprehensive income
|
(10,581
|
)
|
(14,703
|
)
|
(34,652
|
)
|
(46,359
|
)
|
||||
Net other-than-temporary credit impairment losses
|
(11,574
|
)
|
(17,832
|
)
|
(43,207
|
)
|
(52,748
|
)
|
||||
|
|
|
|
|
||||||||
Other investment gains (losses):
|
|
|
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
27,628
|
|
(71,540
|
)
|
(51,382
|
)
|
20,543
|
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
—
|
|
—
|
|
(60,616
|
)
|
(99,703
|
)
|
||||
Net realized gains (losses) on derivatives
|
(14,268
|
)
|
(21,160
|
)
|
(58,934
|
)
|
(80,023
|
)
|
||||
Net gains (losses) on derivatives
|
13,360
|
|
(92,700
|
)
|
(170,932
|
)
|
(159,183
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
32,999
|
|
(40,955
|
)
|
80,217
|
|
(88,640
|
)
|
||||
Net realized gains (losses) on sales of investments
|
3,079
|
|
3,539
|
|
7,035
|
|
42,789
|
|
||||
Gains (losses) on Extinguishment of Debt
|
(45
|
)
|
(19,915
|
)
|
(1,811
|
)
|
(14,836
|
)
|
||||
Total other gains (losses)
|
49,393
|
|
(150,031
|
)
|
(85,491
|
)
|
(219,870
|
)
|
||||
|
|
|
|
|
||||||||
Other income:
|
|
|
|
|
|
|
|
|
||||
Other income
|
—
|
|
—
|
|
95,000
|
|
—
|
|
||||
Total other income
|
—
|
|
—
|
|
95,000
|
|
—
|
|
||||
|
|
|
|
|
||||||||
Other expenses:
|
|
|
|
|
|
|
|
|
||||
Management fees
|
—
|
|
4,088
|
|
—
|
|
24,610
|
|
||||
Expense recoveries from Manager
|
—
|
|
(1,140
|
)
|
—
|
|
(6,905
|
)
|
||||
Net management fees
|
—
|
|
2,948
|
|
—
|
|
17,705
|
|
||||
Compensation and benefits
|
6,911
|
|
3,955
|
|
19,087
|
|
4,482
|
|
||||
General and administrative expenses
|
4,332
|
|
8,534
|
|
13,073
|
|
22,028
|
|
||||
Servicing Fees of consolidated VIEs
|
9,788
|
|
6,499
|
|
23,139
|
|
19,276
|
|
||||
Deal Expenses
|
—
|
|
2,426
|
|
13,022
|
|
5,337
|
|
||||
Total other expenses
|
21,031
|
|
24,362
|
|
68,321
|
|
68,828
|
|
||||
|
|
|
|
|
||||||||
Income (loss) before income taxes
|
172,830
|
|
(48,259
|
)
|
330,107
|
|
134,969
|
|
||||
Income taxes
|
13
|
|
—
|
|
65
|
|
—
|
|
||||
Net income (loss)
|
$
|
172,817
|
|
$
|
(48,259
|
)
|
$
|
330,042
|
|
$
|
134,969
|
|
|
|
|
|
|
||||||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
||||||
Basic
|
$
|
0.92
|
|
$
|
(0.24
|
)
|
$
|
1.76
|
|
$
|
0.67
|
|
Diluted
|
$
|
0.92
|
|
$
|
(0.24
|
)
|
$
|
1.76
|
|
$
|
0.66
|
|
|
|
|
|
|
||||||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
||||||
Basic
|
187,729,765
|
|
197,787,858
|
|
187,727,667
|
|
202,891,610
|
|
||||
Diluted
|
187,919,792
|
|
197,875,408
|
|
187,917,694
|
|
202,979,160
|
|
|
GAAP
Interest Income |
GAAP
Interest Expense |
Net Realized
Losses on Interest Rate Swaps |
Other
(2)
|
Economic Interest
Expense |
GAAP Net Interest
Income |
Net Realized
Losses on Interest Rate Swaps |
Other
(1) (2)
|
Economic
Net Interest Income |
||||||||||||||||||
For the Quarter Ended September 30, 2016
|
$
|
250,953
|
|
$
|
94,911
|
|
$
|
4,595
|
|
$
|
—
|
|
$
|
99,506
|
|
$
|
156,042
|
|
$
|
(4,595
|
)
|
$
|
(105
|
)
|
$
|
151,342
|
|
For the Quarter Ended June 30, 2016
|
$
|
221,096
|
|
$
|
83,227
|
|
$
|
8,141
|
|
$
|
—
|
|
$
|
91,368
|
|
$
|
137,869
|
|
$
|
(8,141
|
)
|
$
|
(367
|
)
|
$
|
129,361
|
|
For the Quarter Ended March 31, 2016
|
$
|
201,194
|
|
$
|
62,981
|
|
$
|
11,220
|
|
$
|
—
|
|
$
|
74,201
|
|
$
|
138,213
|
|
$
|
(11,220
|
)
|
$
|
(448
|
)
|
$
|
126,545
|
|
For the Quarter Ended December 31, 2015
|
$
|
201,912
|
|
$
|
64,954
|
|
$
|
11,673
|
|
$
|
—
|
|
$
|
76,627
|
|
$
|
136,958
|
|
$
|
(11,673
|
)
|
$
|
(13
|
)
|
$
|
125,272
|
|
For the Quarter Ended September 30, 2015
|
$
|
211,876
|
|
$
|
67,910
|
|
$
|
11,355
|
|
$
|
(2,214
|
)
|
$
|
77,051
|
|
$
|
143,966
|
|
$
|
(11,355
|
)
|
$
|
2,103
|
|
$
|
134,714
|
|
|
For the Quarter Ended
|
||||||||||||||||
|
September 30, 2016
|
|
September 30, 2015
|
||||||||||||||
|
(dollars in thousands)
|
|
(dollars in thousands)
|
||||||||||||||
|
Average
Balance |
Interest
|
Average
Yield/Cost |
|
Average
Balance |
Interest
|
Average
Yield/Cost |
||||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||||
Interest-earning assets
(1)
:
|
|
|
|
|
|
|
|
||||||||||
Agency MBS
|
$
|
3,735,142
|
|
$
|
29,482
|
|
3.2
|
%
|
|
$
|
5,935,743
|
|
$
|
42,132
|
|
2.8
|
%
|
Non-Agency RMBS
|
1,404,995
|
|
25,879
|
|
7.4
|
%
|
|
1,450,827
|
|
27,579
|
|
7.6
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
1,267,633
|
|
61,272
|
|
19.3
|
%
|
|
1,527,415
|
|
65,028
|
|
17.0
|
%
|
||||
Jumbo Prime securitized residential mortgage loans held for investment
|
383,916
|
|
3,025
|
|
3.2
|
%
|
|
510,708
|
|
3,972
|
|
3.1
|
%
|
||||
Seasoned subprime securitized residential mortgage loans held for investment
|
8,590,865
|
|
131,190
|
|
6.1
|
%
|
|
4,665,264
|
|
73,054
|
|
6.3
|
%
|
||||
Total
|
$
|
15,382,551
|
|
$
|
250,848
|
|
6.5
|
%
|
|
$
|
14,089,957
|
|
$
|
211,765
|
|
6.0
|
%
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
||||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
||||||||||
Agency repurchase agreements
(2)
|
$
|
3,407,242
|
|
$
|
11,606
|
|
1.4
|
%
|
|
$
|
5,243,274
|
|
$
|
18,690
|
|
1.4
|
%
|
Non-Agency repurchase agreements
|
2,462,140
|
|
17,185
|
|
2.8
|
%
|
|
1,772,806
|
|
9,739
|
|
2.2
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
402,657
|
|
5,182
|
|
5.1
|
%
|
|
598,562
|
|
9,946
|
|
6.6
|
%
|
||||
Securitized debt, collateralized by jumbo prime residential mortgage loans
|
287,845
|
|
2,288
|
|
3.2
|
%
|
|
402,407
|
|
3,227
|
|
3.2
|
%
|
||||
Securitized debt, collateralized by seasoned subprime residential mortgage loans
|
7,025,781
|
|
63,245
|
|
3.6
|
%
|
|
3,845,970
|
|
35,449
|
|
3.7
|
%
|
||||
Total
|
$
|
13,585,665
|
|
$
|
99,506
|
|
2.9
|
%
|
|
$
|
11,863,019
|
|
$
|
77,051
|
|
2.6
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
151,342
|
|
3.6
|
%
|
|
|
|
$
|
134,714
|
|
3.4
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
1,796,886
|
|
|
|
3.9
|
%
|
|
$
|
2,226,938
|
|
|
|
3.8
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.13
|
|
|
|
|
|
|
1.19
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(2) Interest includes cash paid on swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Nine Months Ended
|
||||||||||||||||
|
September 30, 2016
|
|
September 30, 2015
|
||||||||||||||
|
(dollars in thousands)
|
|
(dollars in thousands)
|
||||||||||||||
|
Average
Balance |
Interest
|
Average
Yield/Cost |
|
Average
Balance |
Interest
|
Average
Yield/Cost |
||||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||||
Interest-earning assets
(1)
:
|
|
|
|
|
|
|
|
||||||||||
Agency MBS
|
$
|
4,869,331
|
|
$
|
96,517
|
|
2.6
|
%
|
|
$
|
6,713,571
|
|
$
|
154,739
|
|
3.1
|
%
|
Non-Agency RMBS
|
1,433,403
|
|
87,454
|
|
8.1
|
%
|
|
1,224,947
|
|
75,530
|
|
8.2
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
1,343,038
|
|
188,393
|
|
18.7
|
%
|
|
1,583,689
|
|
202,096
|
|
17.0
|
%
|
||||
Jumbo Prime securitized residential mortgage loans held for investment
|
413,273
|
|
10,348
|
|
3.3
|
%
|
|
560,421
|
|
18,225
|
|
4.3
|
%
|
||||
Seasoned subprime securitized residential mortgage loans held for investment
|
6,387,502
|
|
289,612
|
|
6.0
|
%
|
|
4,582,768
|
|
219,250
|
|
6.4
|
%
|
||||
Total
|
$
|
14,446,547
|
|
$
|
672,324
|
|
6.2
|
%
|
|
$
|
14,665,396
|
|
$
|
669,840
|
|
6.1
|
%
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Agency repurchase agreements
(2)
|
$
|
4,479,616
|
|
$
|
48,681
|
|
1.4
|
%
|
|
$
|
5,945,916
|
|
$
|
57,930
|
|
1.3
|
%
|
Non-Agency repurchase agreements
|
2,263,806
|
|
47,657
|
|
2.8
|
%
|
|
1,466,067
|
|
24,017
|
|
2.2
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
456,709
|
|
15,101
|
|
4.4
|
%
|
|
645,086
|
|
27,111
|
|
5.6
|
%
|
||||
Securitized debt, collateralized by jumbo prime residential mortgage loans
|
314,811
|
|
7,298
|
|
3.1
|
%
|
|
450,741
|
|
13,725
|
|
4.1
|
%
|
||||
Securitized debt, collateralized by seasoned subprime residential mortgage loans
|
5,162,346
|
|
146,339
|
|
3.8
|
%
|
|
3,817,215
|
|
104,965
|
|
3.7
|
%
|
||||
Total
|
$
|
12,677,288
|
|
$
|
265,076
|
|
2.8
|
%
|
|
$
|
12,325,025
|
|
$
|
227,748
|
|
2.5
|
%
|
|
|
|
|
|
|
|
|
||||||||||
Economic net interest income/net interest rate spread
|
|
|
$
|
407,248
|
|
3.4
|
%
|
|
|
|
$
|
442,092
|
|
3.6
|
%
|
||
|
|
|
|
|
|
|
|
||||||||||
Net interest-earning assets/net interest margin
|
$
|
1,769,259
|
|
|
|
3.8
|
%
|
|
$
|
2,340,371
|
|
|
|
4.0
|
%
|
||
|
|
|
|
|
|
|
|
||||||||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.14
|
|
|
|
|
|
|
1.19
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
||||||||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
||||||||||
(2) Interest includes cash paid on swaps
|
|
|
|
|
|
|
|
|
Average Debt Balance
|
Economic Interest Expense
(1)
|
Average Cost of Funds
|
Average One-Month LIBOR
|
Average Six-Month LIBOR
|
Average One-Month LIBOR Relative to Average Six-Month LIBOR
|
||||||||
|
(Ratios have been annualized, dollars in thousands)
|
|||||||||||||
For The Quarter Ended September 30, 2016
|
$
|
13,585,665
|
|
$
|
99,506
|
|
2.93
|
%
|
0.51
|
%
|
1.15
|
%
|
(0.64
|
)%
|
For The Quarter Ended June 30, 2016
|
$
|
12,986,780
|
|
$
|
91,368
|
|
2.81
|
%
|
0.40
|
%
|
0.90
|
%
|
(0.50
|
)%
|
For The Quarter Ended March 31, 2016
|
$
|
11,678,852
|
|
$
|
74,201
|
|
2.54
|
%
|
0.43
|
%
|
0.88
|
%
|
(0.45
|
)%
|
For The Quarter Ended December 31, 2015
|
$
|
11,913,613
|
|
$
|
76,627
|
|
2.57
|
%
|
0.25
|
%
|
0.63
|
%
|
(0.38
|
)%
|
For The Quarter Ended September 30, 2015
|
$
|
11,859,833
|
|
$
|
77,051
|
|
2.60
|
%
|
0.20
|
%
|
0.51
|
%
|
(0.31
|
)%
|
|
For the Quarter Ended
|
Nine Months Ended
|
||||||||||
|
September 30, 2016
|
September 30, 2015
|
September 30, 2016
|
September 30, 2015
|
||||||||
|
(dollars in thousands)
|
|||||||||||
Periodic interest cost of interest rate swaps, net
|
$
|
(4,595
|
)
|
$
|
(11,355
|
)
|
$
|
(23,955
|
)
|
$
|
(35,551
|
)
|
Realized gain (loss) on derivative instruments, net:
|
|
|
|
|
|
|
|
|
||||
Mortgage Options
|
—
|
|
—
|
|
—
|
|
443
|
|
||||
Treasury Futures
|
(7,823
|
)
|
(9,309
|
)
|
(28,797
|
)
|
(44,541
|
)
|
||||
Swaptions
|
(1,850
|
)
|
(496
|
)
|
(5,615
|
)
|
(353
|
)
|
||||
Other Derivative Assets
|
—
|
|
—
|
|
(567
|
)
|
(21
|
)
|
||||
Swaps - Terminations
|
—
|
|
—
|
|
(60,616
|
)
|
(99,703
|
)
|
||||
Total realized gain (loss) on derivative instruments, net
|
(9,673
|
)
|
(9,805
|
)
|
(95,595
|
)
|
(144,175
|
)
|
||||
Unrealized gain on derivative instruments, net:
|
|
|
|
|
|
|
|
|
||||
Interest Rate Swaps
|
13,395
|
|
(55,087
|
)
|
(36,840
|
)
|
25,143
|
|
||||
Mortgage Options
|
—
|
|
—
|
|
—
|
|
225
|
|
||||
Treasury Futures
|
12,149
|
|
(6,886
|
)
|
(4,259
|
)
|
1,909
|
|
||||
Swaptions
|
2,084
|
|
(9,567
|
)
|
(10,283
|
)
|
(6,734
|
)
|
||||
Total unrealized gain (loss) on derivative instruments, net:
|
27,628
|
|
(71,540
|
)
|
(51,382
|
)
|
20,543
|
|
||||
Total gain (loss) on derivative instruments, net
|
$
|
13,360
|
|
$
|
(92,700
|
)
|
$
|
(170,932
|
)
|
$
|
(159,183
|
)
|
|
As of
|
|
As of
|
||||||||||
|
September 30, 2016
|
|
September 30, 2015
|
||||||||||
|
(dollars in thousands)
|
||||||||||||
|
Unpaid
Principal/
Notional
|
Fair Value
|
|
Unpaid
Principal/
Notional
|
Fair Value
|
||||||||
Assets:
|
|
|
|
|
|
||||||||
IO RMBS securities
|
$
|
9,478,056
|
|
$
|
462,113
|
|
|
$
|
12,564,520
|
|
$
|
535,392
|
|
Non-Agency RMBS securities
|
N/A
|
|
$
|
20,671
|
|
|
N/A
|
|
23,908
|
|
|||
Securitized loans held for investment, at fair value
|
9,030,908
|
|
8,909,037
|
|
|
5,353,694
|
|
5,281,652
|
|
||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||
Securitized debt at fair value, collateralized by loans held for investment
|
7,334,475
|
|
7,191,462
|
|
|
4,364,174
|
|
4,221,295
|
|
||||
Total
|
$
|
25,843,439
|
|
$
|
16,583,283
|
|
|
$
|
22,282,388
|
|
$
|
10,062,247
|
|
|
For the Quarter Ended
|
|
For the Nine Months Ended
|
||||||||||
|
September 30, 2016
|
September 30, 2015
|
|
September 30, 2016
|
September 30, 2015
|
||||||||
|
(dollars in thousands)
|
||||||||||||
|
Gain/(Loss) on Change in Fair Value
|
Gain/(Loss) on Change in Fair Value
|
|
Gain/(Loss) on Change in Fair Value
|
Gain/(Loss) on Change in Fair Value
|
||||||||
Assets:
|
|
|
|
|
|
||||||||
IO RMBS securities
|
$
|
3,157
|
|
$
|
(8,431
|
)
|
|
$
|
26,049
|
|
$
|
(5,445
|
)
|
Non-Agency RMBS securities
|
$
|
8,257
|
|
$
|
2,546
|
|
|
$
|
7,551
|
|
$
|
(749
|
)
|
Securitized loans held for investment, at fair value
|
68,508
|
|
(37,575
|
)
|
|
113,646
|
|
(55,664
|
)
|
||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||
Securitized debt at fair value, collateralized by loans held for investment
|
(46,923
|
)
|
2,505
|
|
|
(67,029
|
)
|
(26,782
|
)
|
||||
Total
|
$
|
32,999
|
|
$
|
(40,955
|
)
|
|
$
|
80,217
|
|
$
|
(88,640
|
)
|
|
Total Net Management Fee, Compensation and Other Expenses
|
Total Net Management Fee, Compensation and Other Expenses/Average Assets
|
Total Net Management Fee, Compensation and Other Expenses/Average Equity
|
||||
|
(Ratios have been annualized, dollars in thousands)
|
||||||
For The Quarter Ended September 30, 2016
|
$
|
11,243
|
|
0.26
|
%
|
1.50
|
%
|
For The Quarter Ended June 30, 2016
|
$
|
24,214
|
|
0.59
|
%
|
3.30
|
%
|
For The Quarter Ended March 31, 2016
|
$
|
9,725
|
|
0.25
|
%
|
1.33
|
%
|
For The Quarter Ended December 31, 2015
|
$
|
18,600
|
|
0.48
|
%
|
2.45
|
%
|
For The Quarter Ended September 30, 2015
|
$
|
17,863
|
|
0.45
|
%
|
2.18
|
%
|
|
Return on Average Equity
|
Economic Net Interest Income/Average Equity *
|
Core Earnings/Average Equity
|
|||
|
(Ratios have been annualized)
|
|||||
For The Quarter Ended September 30, 2016
|
23.04
|
%
|
20.18
|
%
|
17.14
|
%
|
For The Quarter Ended June 30, 2016
|
10.09
|
%
|
17.61
|
%
|
13.00
|
%
|
For The Quarter Ended March 31, 2016
|
11.34
|
%
|
17.28
|
%
|
14.95
|
%
|
For The Quarter Ended December 31, 2015
|
15.22
|
%
|
16.52
|
%
|
13.23
|
%
|
For The Quarter Ended September 30, 2015
|
(5.89
|
)%
|
16.43
|
%
|
13.14
|
%
|
|
|
|
|
|
|
|
For The Year Ended December 31, 2015
|
7.52
|
%
|
17.12
|
%
|
14.20
|
%
|
For The Year Ended December 31, 2014
|
16.99
|
%
|
14.06
|
%
|
12.70
|
%
|
September 30, 2016
|
|||
(dollars in thousands, except per share data)
|
|||
GAAP Book Value
|
$
|
3,036,800
|
|
GAAP Book Value per Share
|
$
|
16.18
|
|
|
|
|
|
Economic Adjustments:
|
|
|
|
Assets of Consolidated VIEs
|
(10,816,733
|
)
|
|
Non-Recourse Liabilities of Consolidated VIEs
|
7,572,177
|
|
|
Interests in VIEs eliminated in consolidation
|
3,004,546
|
|
|
|
|
|
|
Total Adjustments - Net
|
(240,010
|
)
|
|
Total Adjustments - Net (per share)
|
(1.28
|
)
|
|
|
|
|
|
Economic Book Value
|
$
|
2,796,790
|
|
Economic Book Value per Share
|
$
|
14.90
|
|
December 31, 2015
|
|||
(dollars in thousands, except per share data)
|
|||
GAAP Book Value
|
$
|
2,946,188
|
|
GAAP Book Value per Share
|
$
|
15.70
|
|
|
|
|
|
Economic Adjustments:
|
|
|
|
Assets of Consolidated VIEs
|
(6,908,910
|
)
|
|
Non-Recourse Liabilities of Consolidated VIEs
|
4,249,911
|
|
|
Interests in VIEs eliminated in consolidation
|
2,462,713
|
|
|
|
|
|
|
Total Adjustments - Net
|
(196,286
|
)
|
|
Total Adjustments - Net (per share)
|
(1.05
|
)
|
|
|
|
|
|
Economic Book Value
|
$
|
2,749,902
|
|
Economic Book Value per Share
|
$
|
14.65
|
|
|
|
|
||||
|
September 30, 2016
|
December 31, 2015
|
||||
Interest earning assets at period-end
(1)
|
$
|
16,708,822
|
|
$
|
14,959,081
|
|
Interest bearing liabilities at period-end
|
$
|
13,389,696
|
|
$
|
11,689,250
|
|
GAAP Leverage at period-end
|
4.4:1
|
|
4.0:1
|
|
||
GAAP Leverage at period-end (recourse)
|
1.9:1
|
|
2.5:1
|
|
||
Economic Leverage at period-end (recourse)
|
2.1:1
|
|
2.7:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
8.9
|
%
|
10.4
|
%
|
||
Senior
|
3.9
|
%
|
4.7
|
%
|
||
Senior, interest only
|
1.9
|
%
|
1.9
|
%
|
||
Subordinated
|
3.0
|
%
|
3.7
|
%
|
||
Subordinated, interest only
|
0.1
|
%
|
0.1
|
%
|
||
RMBS transferred to consolidated VIEs
|
7.9
|
%
|
10.1
|
%
|
||
Agency MBS
|
27.2
|
%
|
46.0
|
%
|
||
Residential
|
17.9
|
%
|
37.2
|
%
|
||
Commercial
|
8.3
|
%
|
6.8
|
%
|
||
Interest-only
|
1.0
|
%
|
2.0
|
%
|
||
Securitized loans held for investment
|
56.0
|
%
|
33.5
|
%
|
||
Fixed-rate percentage of portfolio
|
88.0
|
%
|
84.7
|
%
|
||
Adjustable-rate percentage of portfolio
|
12.0
|
%
|
15.3
|
%
|
||
Annualized yield on average interest earning assets for the periods ended
|
6.2
|
%
|
6.0
|
%
|
||
Annualized cost of funds on average borrowed funds for the periods ended
(2)
|
2.8
|
%
|
2.5
|
%
|
|
September 30, 2016
|
|||||||||||||||||||||||||
|
Principal or Notional Value at Period-End
(dollars in thousands)
|
Weighted Average Amortized Cost Basis
|
Weighted Average Fair Value
|
Weighted Average Coupon
|
Weighted Average Yield at Period-End
(1)
|
Weighted Average 3 Month CPR at Period-End
|
Weighted Average 12 Month CPR at Period-End
|
Weighted Average Delinquency Pipeline 60+
|
Weighted Average Loss Severity
(2)
|
Weighted Average Credit Enhancement
|
Principal Writedowns During the Quarter
(dollars in thousands)
|
|||||||||||||||
Non-Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Senior
|
$
|
899,853
|
|
$
|
68.23
|
|
$
|
75.89
|
|
2.8
|
%
|
7.3
|
%
|
13.0
|
%
|
12.7
|
%
|
22.4
|
%
|
54.5
|
%
|
9.4
|
%
|
$
|
4,321
|
|
Senior, interest only
|
$
|
5,700,358
|
|
$
|
5.28
|
|
$
|
5.02
|
|
2.0
|
%
|
11.6
|
%
|
13.6
|
%
|
13.3
|
%
|
18.5
|
%
|
54.9
|
%
|
0.0
|
%
|
$
|
—
|
|
Subordinated
|
$
|
668,946
|
|
$
|
69.83
|
|
$
|
81.74
|
|
3.4
|
%
|
10.3
|
%
|
13.0
|
%
|
13.7
|
%
|
15.8
|
%
|
49.0
|
%
|
16.2
|
%
|
$
|
4,686
|
|
Subordinated, interest only
|
$
|
269,868
|
|
$
|
5.26
|
|
$
|
5.00
|
|
1.1
|
%
|
12.0
|
%
|
10.4
|
%
|
10.8
|
%
|
12.7
|
%
|
44.6
|
%
|
0.0
|
%
|
$
|
—
|
|
RMBS transferred to consolidated VIEs
|
$
|
2,441,708
|
|
$
|
50.78
|
|
$
|
78.13
|
|
4.5
|
%
|
21.1
|
%
|
14.8
|
%
|
13.0
|
%
|
19.1
|
%
|
56.5
|
%
|
1.4
|
%
|
$
|
18,268
|
|
Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Residential
|
$
|
2,672,093
|
|
$
|
105.20
|
|
$
|
107.09
|
|
3.9
|
%
|
2.7
|
%
|
18.5
|
%
|
13.5
|
%
|
0.2
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Commercial
|
$
|
1,273,235
|
|
$
|
102.61
|
|
$
|
105.56
|
|
3.6
|
%
|
2.9
|
%
|
0.1
|
%
|
0.1
|
%
|
2.5
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Interest-only
|
$
|
3,474,731
|
|
$
|
4.71
|
|
$
|
4.52
|
|
0.9
|
%
|
3.8
|
%
|
8.3
|
%
|
6.6
|
%
|
0.4
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Securitized loans
|
$
|
9,030,908
|
|
$
|
97.30
|
|
$
|
98.79
|
|
6.8
|
%
|
6.1
|
%
|
11.7
|
%
|
10.4
|
%
|
2.5
|
%
|
46.2
|
%
|
N/A
|
|
$
|
30,097
|
|
|
December 31, 2015
|
|||||||||||||||||||||||||
|
Principal or Notional Value at Period-End
(dollars in thousands)
|
Weighted Average Amortized Cost Basis
|
Weighted Average Fair Value
|
Weighted Average Coupon
|
Weighted Average Yield at Period-End
(1)
|
Weighted Average 3 Month CPR at Period-End
|
Weighted Average 12 Month CPR at Period-End
|
Weighted Average Delinquency Pipeline 60+
|
Weighted Average Loss Severity
(2)
|
Weighted Average Credit Enhancement
|
Principal Writedowns During the Quarter
(dollars in thousands) |
|||||||||||||||
Non-Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Senior
|
$
|
947,992
|
|
$
|
69.97
|
|
$
|
72.97
|
|
2.0
|
%
|
5.1
|
%
|
11.8
|
%
|
11.5
|
%
|
26.2
|
%
|
57.8
|
%
|
10.5
|
%
|
$
|
4,531
|
|
Senior, interest only
|
$
|
5,388,159
|
|
$
|
4.93
|
|
$
|
4.23
|
|
1.6
|
%
|
12.5
|
%
|
13.7
|
%
|
13.6
|
%
|
19.5
|
%
|
54.9
|
%
|
0.0
|
%
|
$
|
—
|
|
Subordinated
|
$
|
762,466
|
|
$
|
69.25
|
|
$
|
79.26
|
|
3.2
|
%
|
8.8
|
%
|
11.5
|
%
|
14.7
|
%
|
15.5
|
%
|
54.5
|
%
|
14.6
|
%
|
$
|
3,572
|
|
Subordinated, interest only
|
$
|
284,931
|
|
$
|
5.34
|
|
$
|
3.95
|
|
1.2
|
%
|
10.9
|
%
|
9.7
|
%
|
11.3
|
%
|
14.5
|
%
|
43.0
|
%
|
0.0
|
%
|
$
|
—
|
|
RMBS transferred to consolidated VIEs
|
$
|
2,741,748
|
|
$
|
52.47
|
|
$
|
78.07
|
|
4.5
|
%
|
17.7
|
%
|
12.4
|
%
|
11.9
|
%
|
19.9
|
%
|
61.6
|
%
|
1.2
|
%
|
$
|
33,677
|
|
Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Residential
|
$
|
5,045,418
|
|
$
|
105.07
|
|
$
|
104.41
|
|
3.7
|
%
|
2.8
|
%
|
8.5
|
%
|
17.0
|
%
|
0.1
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Commercial
|
$
|
952,091
|
|
$
|
102.27
|
|
$
|
102.28
|
|
3.4
|
%
|
3.0
|
%
|
0.8
|
%
|
3.1
|
%
|
0.0
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Interest-only
|
$
|
6,722,472
|
|
$
|
4.17
|
|
$
|
4.06
|
|
0.8
|
%
|
3.4
|
%
|
6.3
|
%
|
9.9
|
%
|
0.2
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Securitized loans
|
$
|
4,787,918
|
|
$
|
99.54
|
|
$
|
100.15
|
|
6.6
|
%
|
5.8
|
%
|
8.9
|
%
|
9.2
|
%
|
3.8
|
%
|
58.0
|
%
|
N/A
|
|
$
|
11,822
|
|
|
For the Quarters Ended
|
||||||||||||||
Accretable Discount
|
September 30, 2016
|
|
June 30, 2016
|
|
March 31, 2016
|
|
December 31, 2015
|
|
September 30, 2015
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
917,953
|
|
$
|
920,434
|
|
$
|
954,448
|
|
$
|
1,003,385
|
|
$
|
1,035,492
|
|
Accretion of discount
|
(44,455
|
)
|
(42,297
|
)
|
(45,481
|
)
|
(43,520
|
)
|
(41,498
|
)
|
|||||
Purchases
|
8,959
|
|
5,601
|
|
191
|
|
1,845
|
|
6,194
|
|
|||||
Sales and deconsolidation
|
(14,386
|
)
|
(20,590
|
)
|
—
|
|
(35,144
|
)
|
(22,645
|
)
|
|||||
Transfers from/(to) credit reserve, net
|
13,178
|
|
54,805
|
|
11,276
|
|
27,882
|
|
25,842
|
|
|||||
Balance, end of period
|
$
|
881,249
|
|
$
|
917,953
|
|
$
|
920,434
|
|
$
|
954,448
|
|
$
|
1,003,385
|
|
|
For the Quarters Ended
|
||||||||||||||
Non-Accretable Difference
|
September 30, 2016
|
|
June 30, 2016
|
|
March 31, 2016
|
|
December 31, 2015
|
|
September 30, 2015
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
820,737
|
|
$
|
836,437
|
|
$
|
837,718
|
|
$
|
879,440
|
|
$
|
1,001,560
|
|
Principal Writedowns
|
(27,274
|
)
|
5,711
|
|
(26,672
|
)
|
(27,064
|
)
|
(32,587
|
)
|
|||||
Purchases
|
3,594
|
|
18,548
|
|
25,989
|
|
27,855
|
|
13,279
|
|
|||||
Sales and deconsolidation
|
(1,757
|
)
|
(6,109
|
)
|
—
|
|
(29,347
|
)
|
(94,802
|
)
|
|||||
Net other-than-temporary credit impairment losses
|
11,574
|
|
20,955
|
|
10,678
|
|
14,716
|
|
17,832
|
|
|||||
Transfers to/(from) credit reserve, net
|
(13,178
|
)
|
(54,805
|
)
|
(11,276
|
)
|
(27,882
|
)
|
(25,842
|
)
|
|||||
Balance, end of period
|
$
|
793,696
|
|
$
|
820,737
|
|
$
|
836,437
|
|
$
|
837,718
|
|
$
|
879,440
|
|
|
September 30, 2016
|
|
December 31, 2015
|
|
||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
—
|
|
$
|
—
|
|
1 to 29 days
|
2,856,171
|
|
3,312,902
|
|
||
30 to 59 days
|
432,336
|
|
2,501,513
|
|
||
60 to 89 days
|
920,977
|
|
246,970
|
|
||
90 to 119 days
|
842,876
|
|
430,026
|
|
||
Greater than or equal to 120 days
|
765,159
|
|
947,928
|
|
||
Total
|
$
|
5,817,519
|
|
$
|
7,439,339
|
|
|
|
|
||||
Average days to maturity
|
72 Days
|
|
77 Days
|
|
|
Average Repurchase Balance
|
Repurchase Balance at Period End
|
||||
Period
|
(dollars in thousands)
|
|||||
Quarter End September 30, 2016
|
$
|
5,869,382
|
|
$
|
5,817,519
|
|
Quarter End June 30, 2016
|
$
|
6,863,960
|
|
$
|
5,856,263
|
|
Quarter End March 31, 2016
|
$
|
7,496,925
|
|
$
|
7,545,631
|
|
Quarter End December 31, 2015
|
$
|
7,392,083
|
|
$
|
7,439,339
|
|
Quarter End September 30, 2015
|
$
|
7,016,080
|
|
$
|
7,150,821
|
|
September 30, 2016
|
|||||||||||||
|
|
|
|
|
|
||||||||
Country
|
Number of Counterparties
|
Repurchase Agreement Financing
|
Interest Rate Swaps at Fair Value
|
Exposure
(1)
|
Exposure as a Percentage of Total Assets
|
||||||||
(dollars in thousands)
|
|||||||||||||
France
|
2
|
|
$
|
150,330
|
|
$
|
(84,451
|
)
|
$
|
31,409
|
|
0.18
|
%
|
Netherlands
|
1
|
|
181,440
|
|
—
|
|
9,524
|
|
0.06
|
%
|
|||
Switzerland
|
1
|
|
892,618
|
|
—
|
|
476,528
|
|
2.78
|
%
|
|||
United Kingdom
|
2
|
|
208,654
|
|
—
|
|
21,855
|
|
0.13
|
%
|
|||
Total
|
6
|
|
$
|
1,433,042
|
|
$
|
(84,451
|
)
|
$
|
539,316
|
|
3.15
|
%
|
September 30, 2016
|
|||||||||||||||
(dollars in thousands)
|
|||||||||||||||
Contractual Obligations
|
Within One Year
|
One to Three Years
|
Three to Five Years
|
Greater Than or Equal to Five Years
|
Total
|
||||||||||
Repurchase agreements for RMBS
|
$
|
5,710,794
|
|
$
|
106,725
|
|
$
|
—
|
|
$
|
—
|
|
$
|
5,817,519
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
118,371
|
|
98,894
|
|
30,361
|
|
32,158
|
|
279,784
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
1,174,427
|
|
1,917,720
|
|
1,497,626
|
|
2,646,354
|
|
7,236,127
|
|
|||||
Interest expense on RMBS repurchase agreements
(1)
|
22,659
|
|
1,030
|
|
—
|
|
—
|
|
23,689
|
|
|||||
Interest expense on securitized debt
(1)
|
301,901
|
|
504,071
|
|
365,440
|
|
675,037
|
|
1,846,449
|
|
|||||
Total
|
$
|
7,328,152
|
|
$
|
2,628,440
|
|
$
|
1,893,427
|
|
$
|
3,353,549
|
|
$
|
15,203,568
|
|
December 31, 2015
|
|||||||||||||||
(dollars in thousands)
|
|||||||||||||||
Contractual Obligations
|
Within One Year
|
One to Three Years
|
Three to Five Years
|
Greater Than or Equal to Five Years
|
Total
|
||||||||||
Repurchase agreements for RMBS
|
$
|
7,180,496
|
|
$
|
258,841
|
|
$
|
—
|
|
$
|
—
|
|
$
|
7,439,337
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
137,642
|
|
178,191
|
|
60,872
|
|
52,280
|
|
428,985
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
591,171
|
|
941,704
|
|
734,291
|
|
1,502,663
|
|
3,769,829
|
|
|||||
Interest expense on RMBS repurchase agreements
(1)
|
24,974
|
|
2,099
|
|
—
|
|
—
|
|
27,073
|
|
|||||
Interest expense on securitized debt
(1)
|
144,515
|
|
263,056
|
|
221,412
|
|
466,405
|
|
1,095,388
|
|
|||||
Total
|
$
|
8,078,798
|
|
$
|
1,643,891
|
|
$
|
1,016,575
|
|
$
|
2,021,348
|
|
$
|
12,760,612
|
|
|
September 30, 2016
|
|||
Change in Interest Rate
|
Projected Percentage Change in Net Interest Income
(1)
|
Projected Percentage Change in Portfolio Value with Effect of Interest Rate Swaps and Other Hedging Transactions
(2)
|
||
-100 Basis Points
|
(23.06
|
)%
|
0.33
|
%
|
-50 Basis Points
|
(12.71
|
)%
|
0.26
|
%
|
Base Interest Rate
|
—
|
|
—
|
|
+50 Basis Points
|
11.93
|
%
|
(0.55
|
)%
|
+100 Basis Points
|
20.56
|
%
|
(1.39
|
)%
|
•
|
monitoring and adjusting, if necessary, the reset index and interest rate related to our RMBS and our financings;
|
•
|
attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods;
|
•
|
using derivatives, financial futures, swaps, options, caps, floors and forward sales to adjust the interest rate sensitivity of our investments and our borrowings;
|
•
|
using securitization financing to lower average cost of funds relative to short-term financing vehicles further allowing us to receive the benefit of attractive terms for an extended period of time in contrast to short term financing and maturity dates of the investments not included in the securitization; and
|
•
|
actively managing, on an aggregate basis, the interest rate indices, interest rate adjustment periods, and gross reset margins of our investments and the interest rate indices and adjustment periods of our financings.
|
September 30, 2016
|
|||||||||||||||
(dollars in thousands)
|
|||||||||||||||
|
Within 3 Months
|
3-12 Months
|
1 Year to 3 Years
|
Greater than
3 Years
|
Total
|
||||||||||
Rate sensitive assets
|
$
|
432,463
|
|
$
|
1,451,922
|
|
$
|
114
|
|
$
|
14,836,659
|
|
$
|
16,721,158
|
|
Cash equivalents
|
156,608
|
|
—
|
|
—
|
|
—
|
|
156,608
|
|
|||||
Total rate sensitive assets
|
$
|
589,071
|
|
$
|
1,451,922
|
|
$
|
114
|
|
$
|
14,836,659
|
|
$
|
16,877,766
|
|
|
|
|
|
|
|
||||||||||
Rate sensitive liabilities
|
7,346,689
|
|
6,033,696
|
|
1,686
|
|
—
|
|
13,382,071
|
|
|||||
Interest rate sensitivity gap
|
$
|
(6,757,618
|
)
|
$
|
(4,581,774
|
)
|
$
|
(1,572
|
)
|
$
|
14,836,659
|
|
$
|
3,495,695
|
|
|
|
|
|
|
|
||||||||||
Cumulative rate sensitivity gap
|
$
|
(6,757,618
|
)
|
$
|
(11,339,392
|
)
|
$
|
(11,340,964
|
)
|
$
|
3,495,695
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Cumulative interest rate sensitivity gap as a percentage of total rate sensitive assets
|
(40
|
)%
|
(67
|
)%
|
(67
|
)%
|
21
|
%
|
|
|
|
CHIMERA INVESTMENT CORPORATION
|
|
|
|
|
|
By:
|
/s/ Matthew Lambiase
|
|
|
Matthew Lambiase
|
|
|
(Chief Executive Officer and President
|
|
|
and duly authorized officer of the registrant)
|
Date: November 3, 2016
|
|
|
|
By:
|
/s/ Robert Colligan
|
|
|
Robert Colligan
|
|
|
(Chief Financial Officer
|
|
|
and principal financial officer of the registrant)
|
Date: November 3, 2016
|
|
|
1 Year Chimera Investment Chart |
1 Month Chimera Investment Chart |
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