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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Cys Investments, Inc. | NYSE:CYS | NYSE | Ordinary Share |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 7.31 | 0.00 | 01:00:00 |
|
x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
¨
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
Maryland
|
20-4072657
|
(State or other jurisdiction of
incorporation or organization)
|
(IRS Employer
Identification No.)
|
500 Totten Pond Road, 6
th
Floor, Waltham, Massachusetts
|
02451
|
(Address of principal executive offices)
|
(Zip Code)
|
Large accelerated filer
|
x
|
Accelerated filer
|
¨
|
Non-accelerated filer
|
¨
(Do not check if a smaller reporting company)
|
Smaller reporting company
|
¨
|
Class
|
October 27, 2016
|
Common Stock ($0.01 par value)
|
151,434,120
|
|
|
September 30, 2016
|
|
December 31, 2015*
|
||||
|
(Unaudited)
|
|
|
||||
Assets:
|
|
|
|
||||
Cash and cash equivalents
|
$
|
2,192
|
|
|
$
|
9,982
|
|
Investments in securities, at fair value:
|
|
|
|
||||
Agency mortgage-backed securities (including pledged assets of $10,117,658 and $11,587,014, respectively)
|
11,742,018
|
|
|
12,927,996
|
|
||
U.S. Treasury securities (including pledged assets of $32,429 and $14,886, respectively)
|
49,891
|
|
|
99,711
|
|
||
Receivable for securities sold and principal repayments
|
2,598
|
|
|
1,084,844
|
|
||
Receivable for cash pledged as collateral
|
63,464
|
|
|
21,751
|
|
||
Interest receivable
|
33,273
|
|
|
34,563
|
|
||
Derivative assets, at fair value
|
29,869
|
|
|
100,778
|
|
||
Other investments
|
8,028
|
|
|
50,028
|
|
||
Other assets
|
2,787
|
|
|
1,051
|
|
||
Total assets
|
$
|
11,934,120
|
|
|
$
|
14,330,704
|
|
Liabilities and stockholders' equity:
|
|
|
|
||||
Liabilities:
|
|
|
|
||||
Repurchase agreements
|
$
|
9,620,641
|
|
|
$
|
8,987,776
|
|
FHLBC Advances, at fair value
|
—
|
|
|
2,098,701
|
|
||
Payable for securities purchased
|
424,476
|
|
|
1,475,974
|
|
||
Payable for cash received as collateral
|
10,882
|
|
|
18,534
|
|
||
Accrued interest payable
|
21,521
|
|
|
32,588
|
|
||
Accrued expenses and other liabilities
|
6,111
|
|
|
4,083
|
|
||
Dividends payable
|
42,264
|
|
|
4,410
|
|
||
Derivative liabilities, at fair value
|
50,240
|
|
|
14,024
|
|
||
Total liabilities
|
$
|
10,176,135
|
|
|
$
|
12,636,090
|
|
Stockholders' equity:
|
|
|
|
||||
Preferred Stock, $0.01 par value, 50,000 shares authorized:
|
|
|
|
||||
7.75% Series A Cumulative Redeemable Preferred Stock, (3,000 shares issued and outstanding, respectively, $75,000 in aggregate liquidation preference)
|
$
|
72,369
|
|
|
$
|
72,369
|
|
7.50% Series B Cumulative Redeemable Preferred Stock, (8,000 shares issued and outstanding, respectively, $200,000 in aggregate liquidation preference)
|
193,531
|
|
|
193,531
|
|
||
Common Stock, $0.01 par value, 500,000 shares authorized (151,415 and 151,740 shares issued and outstanding, respectively)
|
1,514
|
|
|
1,517
|
|
||
Additional paid in capital
|
1,943,952
|
|
|
1,946,419
|
|
||
Retained earnings (accumulated deficit)
|
(453,381
|
)
|
|
(519,222
|
)
|
||
Total stockholders' equity
|
$
|
1,757,985
|
|
|
$
|
1,694,614
|
|
Total liabilities and stockholders' equity
|
$
|
11,934,120
|
|
|
$
|
14,330,704
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Interest income:
|
|
|
|
|
|
|
|
||||||||
Agency RMBS
|
$
|
68,602
|
|
|
$
|
83,816
|
|
|
$
|
224,101
|
|
|
$
|
243,455
|
|
Other
|
1,059
|
|
|
166
|
|
|
1,868
|
|
|
1,909
|
|
||||
Total interest income
|
69,661
|
|
|
83,982
|
|
|
225,969
|
|
|
245,364
|
|
||||
Interest expense:
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements
|
17,265
|
|
|
10,232
|
|
|
50,062
|
|
|
29,450
|
|
||||
FHLBC Advances
|
214
|
|
|
2,029
|
|
|
4,049
|
|
|
2,715
|
|
||||
Total interest expense
|
17,479
|
|
|
12,261
|
|
|
54,111
|
|
|
32,165
|
|
||||
Net interest income
|
52,182
|
|
|
71,721
|
|
|
171,858
|
|
|
213,199
|
|
||||
Other income (loss):
|
|
|
|
|
|
|
|
||||||||
Net realized gain (loss) on investments
|
18,155
|
|
|
(10,332
|
)
|
|
55,716
|
|
|
17,356
|
|
||||
Net unrealized gain (loss) on investments
|
(36,540
|
)
|
|
106,154
|
|
|
154,661
|
|
|
4,944
|
|
||||
Net unrealized gain (loss) on FHLBC Advances
|
—
|
|
|
(726
|
)
|
|
(1,299
|
)
|
|
(737
|
)
|
||||
Other income
|
308
|
|
|
300
|
|
|
1,158
|
|
|
458
|
|
||||
Net realized and unrealized gain (loss) on investments, FHLBC Advances and other income
|
(18,077
|
)
|
|
95,396
|
|
|
210,236
|
|
|
22,021
|
|
||||
Swap and cap interest expense
|
(12,493
|
)
|
|
(24,681
|
)
|
|
(45,670
|
)
|
|
(77,141
|
)
|
||||
Net realized and unrealized gain (loss) on derivative instruments
|
63,625
|
|
|
(100,597
|
)
|
|
(121,434
|
)
|
|
(146,918
|
)
|
||||
Net gain (loss) on derivative instruments
|
51,132
|
|
|
(125,278
|
)
|
|
(167,104
|
)
|
|
(224,059
|
)
|
||||
Total other income (loss)
|
33,055
|
|
|
(29,882
|
)
|
|
43,132
|
|
|
(202,038
|
)
|
||||
Expenses:
|
|
|
|
|
|
|
|
||||||||
Compensation and benefits
|
3,619
|
|
|
3,655
|
|
|
11,049
|
|
|
10,921
|
|
||||
General, administrative and other
|
2,608
|
|
|
2,157
|
|
|
7,390
|
|
|
6,653
|
|
||||
Total expenses
|
6,227
|
|
|
5,812
|
|
|
18,439
|
|
|
17,574
|
|
||||
Net income (loss)
|
$
|
79,010
|
|
|
$
|
36,027
|
|
|
$
|
196,551
|
|
|
$
|
(6,413
|
)
|
Dividends on preferred stock
|
(5,203
|
)
|
|
(5,203
|
)
|
|
(15,609
|
)
|
|
(15,609
|
)
|
||||
Net income (loss) available to common stockholders
|
$
|
73,807
|
|
|
$
|
30,824
|
|
|
$
|
180,942
|
|
|
$
|
(22,022
|
)
|
Net income (loss) per common share basic & diluted
|
$
|
0.49
|
|
|
$
|
0.20
|
|
|
$
|
1.19
|
|
|
$
|
(0.15
|
)
|
Dividends declared per common share
|
$
|
0.25
|
|
|
$
|
0.26
|
|
|
$
|
0.76
|
|
|
$
|
0.84
|
|
|
|
Cumulative Redeemable Preferred Stock
|
|
|
|
|
|
|
|
|
||||||||||||||
|
|
Series A
|
|
Series B
|
|
Common Stock Par Value
|
|
Additional Paid-in Capital
|
|
Retained Earnings (Accumulated Deficit)
|
|
Total
|
||||||||||||
Balance, December 31, 2014
|
|
$
|
72,369
|
|
|
$
|
193,531
|
|
|
$
|
1,618
|
|
|
$
|
2,049,152
|
|
|
$
|
(341,502
|
)
|
|
$
|
1,975,168
|
|
Net income (loss)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6,413
|
)
|
|
(6,413
|
)
|
||||||
Issuance of common stock
|
|
—
|
|
|
—
|
|
|
5
|
|
|
(5
|
)
|
|
—
|
|
|
—
|
|
||||||
Amortization of share based compensation
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,069
|
|
|
—
|
|
|
3,069
|
|
||||||
Repurchase and cancellation of common stock
|
|
—
|
|
|
—
|
|
|
(75
|
)
|
|
(64,715
|
)
|
|
—
|
|
|
(64,790
|
)
|
||||||
Preferred dividends
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(15,609
|
)
|
|
(15,609
|
)
|
||||||
Common dividends
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(131,601
|
)
|
|
(131,601
|
)
|
||||||
Balance, September 30, 2015
|
|
$
|
72,369
|
|
|
$
|
193,531
|
|
|
$
|
1,548
|
|
|
$
|
1,987,501
|
|
|
$
|
(495,125
|
)
|
|
$
|
1,759,824
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Balance, December 31, 2015
|
|
$
|
72,369
|
|
|
$
|
193,531
|
|
|
$
|
1,517
|
|
|
$
|
1,946,419
|
|
|
$
|
(519,222
|
)
|
|
$
|
1,694,614
|
|
Net income (loss)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
196,551
|
|
|
196,551
|
|
||||||
Issuance of common stock
|
|
—
|
|
|
—
|
|
|
4
|
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
||||||
Amortization of share-based compensation
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,046
|
|
|
—
|
|
|
3,046
|
|
||||||
Repurchase and cancellation of common stock
|
|
—
|
|
|
—
|
|
|
(7
|
)
|
|
(5,509
|
)
|
|
—
|
|
|
(5,516
|
)
|
||||||
Preferred dividends
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(15,609
|
)
|
|
(15,609
|
)
|
||||||
Common dividends
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(115,101
|
)
|
|
(115,101
|
)
|
||||||
Balance, September 30, 2016
|
|
$
|
72,369
|
|
|
$
|
193,531
|
|
|
$
|
1,514
|
|
|
$
|
1,943,952
|
|
|
$
|
(453,381
|
)
|
|
$
|
1,757,985
|
|
|
Nine Months Ended September 30,
|
||||||
|
2016
|
|
2015
|
||||
Cash flows from operating activities:
|
|
|
|
||||
Net income (loss)
|
$
|
196,551
|
|
|
$
|
(6,413
|
)
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
|
|
|
|
||||
Amortization of share-based compensation
|
3,046
|
|
|
3,069
|
|
||
Amortization of premiums and discounts on investment securities
|
60,586
|
|
|
71,875
|
|
||
Amortization of premiums on interest rate cap contracts
|
13,125
|
|
|
13,125
|
|
||
Net realized (gain) loss on investments
|
(55,716
|
)
|
|
(17,356
|
)
|
||
Net unrealized (gain) loss on investments
|
(154,661
|
)
|
|
(4,944
|
)
|
||
Net realized and unrealized (gain) loss on derivative instruments
|
94,000
|
|
|
130,474
|
|
||
Net unrealized (gain) loss on FHLBC Advances
|
1,299
|
|
|
737
|
|
||
Change in assets and liabilities:
|
|
|
|
||||
Interest receivable
|
1,290
|
|
|
1,376
|
|
||
Other assets
|
(1,736
|
)
|
|
(167
|
)
|
||
Accrued interest payable
|
(11,067
|
)
|
|
(8,755
|
)
|
||
Accrued expenses and other liabilities
|
2,028
|
|
|
388
|
|
||
Net cash provided by (used in) operating activities
|
148,745
|
|
|
183,409
|
|
||
Cash flows from investing activities:
|
|
|
|
||||
Purchase of investment securities
|
(13,900,075
|
)
|
|
(16,938,997
|
)
|
||
Purchase of other investments
|
—
|
|
|
(42,003
|
)
|
||
Proceeds from sale of available-for-sale investments
|
13,902,132
|
|
|
16,205,227
|
|
||
Proceeds from sale of other investments
|
42,000
|
|
|
—
|
|
||
Proceeds from paydowns of investment securities
|
1,383,532
|
|
|
1,508,403
|
|
||
Change in assets and liabilities:
|
|
|
|
||||
Receivable for securities sold and principal repayments
|
1,082,246
|
|
|
(163,564
|
)
|
||
Receivable for cash pledged as collateral
|
(41,713
|
)
|
|
(60,551
|
)
|
||
Payable for securities purchased
|
(1,051,498
|
)
|
|
(524,866
|
)
|
||
Payable for cash received as collateral
|
(7,652
|
)
|
|
(34,130
|
)
|
||
Net cash provided by (used in) investing activities
|
1,408,972
|
|
|
(50,481
|
)
|
||
Cash flows from financing activities:
|
|
|
|
||||
Proceeds from repurchase agreements
|
76,708,876
|
|
|
70,980,648
|
|
||
Repayments of repurchase agreements
|
(76,076,011
|
)
|
|
(73,017,526
|
)
|
||
Proceeds from FHLBC Advances
|
2,175,000
|
|
|
23,085,000
|
|
||
Repayments of FHLBC Advances
|
(4,275,000
|
)
|
|
(20,985,000
|
)
|
||
Net payments from repurchase of common stock
|
(5,516
|
)
|
|
(64,790
|
)
|
||
Dividends paid
|
(92,856
|
)
|
|
(106,961
|
)
|
||
Net cash provided by (used in) financing activities
|
(1,565,507
|
)
|
|
(108,629
|
)
|
||
Net increase (decrease) in cash and cash equivalents
|
(7,790
|
)
|
|
24,299
|
|
||
Cash and cash equivalents - Beginning of period
|
9,982
|
|
|
4,323
|
|
||
Cash and cash equivalents - End of period
|
$
|
2,192
|
|
|
$
|
28,622
|
|
Supplemental disclosures of cash flow information:
|
|
|
|
||||
Interest paid (excluding interest paid on interest rate swaps)
|
$
|
53,474
|
|
|
$
|
34,086
|
|
Net interest paid on interest rate swaps
|
$
|
44,248
|
|
|
$
|
67,067
|
|
Income taxes paid
|
$
|
—
|
|
|
$
|
—
|
|
Supplemental disclosures of non-cash flow information:
|
|
|
|
||||
Dividends declared, not paid
|
$
|
42,264
|
|
|
$
|
44,659
|
|
Accounting Standard
|
|
Description
|
|
Required Date of Adoption
|
|
Anticipated Effect on the Financial Statements
|
ASU 2016-15
Statement of Cash Flows (Topic 230) Classification of Certain Cash Receipts and Cash Payments ("ASU 2016-15")
(a consensus of the Emerging Issues Task Force)
|
|
On August 26, 2016, the FASB issued ASU 2016-15, which amends ASC 230, Statement of Cash Flows ("ASC 230), to add or clarify guidance on the classification of certain cash receipts and payments in the statement of cash flows. ASC 230 lacks consistent principles for evaluating the classification of cash payments and receipts in the statement of cash flows. This has led to diversity in practice and, in certain circumstances, financial statement restatements. Consequently, the FASB issued ASU 2016-15 with the intent of reducing diversity in practice with respect to certain types of cash flows.
|
|
For public business entities, the guidance is effective for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Early adoption is permitted for all entities.
Entities must apply the guidance retrospectively to all periods presented but may apply it prospectively if retrospective application would be impracticable.
|
|
Not expected to have a significant impact on the consolidated financial statements.
|
ASU 2016-02
Leases (Topic 842)
|
|
The amendments require lessees to recognize a right-of-use asset and a liability to make lease payments in the balance sheets for most leases. The accounting for lessors is largely unchanged.
|
|
January 1, 2019 (early adoption permitted)
|
|
Not expected to have a significant impact on the consolidated financial statements.
|
ASU 2016-01
Financial Instruments - Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Financial Liabilities
|
|
The amendments address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments.
|
|
January 1, 2018 (early adoption permitted for a provision related to presentation of instrument-specific credit risk of liabilities accounted for under the fair value option)
|
|
Not expected to have a significant impact on the consolidated financial statements.
|
ASU 2016-09,
Compensation — Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting (issued March 30, 2016)
|
|
The amendment simplifies several aspects of the accounting for employee share-based payment transactions for both public and nonpublic entities, including the accounting for income taxes, forfeitures, and statutory tax withholding requirements, as well as classification in the statement of cash flows.
|
|
December 15, 2016 (early adoption permitted)
|
|
This standard is not expected to change the way the Company accounts for share-based payments to employees or directors.
|
September 30, 2016
|
|
|
|
|
|
|
|
|
||||||||
Asset Type
|
|
Amortized Cost
|
|
Gross Unrealized Loss
|
|
Gross Unrealized Gain
|
|
Fair Value
|
||||||||
Fannie Mae Certificates
|
|
|
|
|
|
|
|
|
||||||||
Fixed Rate
|
|
$
|
8,649,826
|
|
|
$
|
(319
|
)
|
|
$
|
163,095
|
|
|
$
|
8,812,602
|
|
ARMs
|
|
257,141
|
|
|
—
|
|
|
3,100
|
|
|
260,241
|
|
||||
Total Fannie Mae
|
|
8,906,967
|
|
|
(319
|
)
|
|
166,195
|
|
|
9,072,843
|
|
||||
Freddie Mac Certificates
|
|
|
|
|
|
|
|
|
||||||||
Fixed Rate
|
|
2,579,340
|
|
|
(219
|
)
|
|
26,445
|
|
|
2,605,566
|
|
||||
ARMs
|
|
25,669
|
|
|
—
|
|
|
674
|
|
|
26,343
|
|
||||
Total Freddie Mac
|
|
2,605,009
|
|
|
(219
|
)
|
|
27,119
|
|
|
2,631,909
|
|
||||
Ginnie Mae Certificates - ARMs
|
|
36,831
|
|
|
—
|
|
|
435
|
|
|
37,266
|
|
||||
Total Agency RMBS
|
|
11,548,807
|
|
|
(538
|
)
|
|
193,749
|
|
|
11,742,018
|
|
||||
U.S. Treasuries
|
|
49,944
|
|
|
(53
|
)
|
|
—
|
|
|
49,891
|
|
||||
Total
|
|
$
|
11,598,751
|
|
|
$
|
(591
|
)
|
|
$
|
193,749
|
|
|
$
|
11,791,909
|
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2015
|
|
|
|
|
|
|
|
|
||||||||
Asset Type
|
|
Amortized Cost
|
|
Gross Unrealized Loss
|
|
Gross Unrealized Gain
|
|
Fair Value
|
||||||||
Fannie Mae Certificates
|
|
|
|
|
|
|
|
|
||||||||
Fixed Rate
|
|
$
|
11,142,798
|
|
|
$
|
(45,018
|
)
|
|
$
|
74,891
|
|
|
$
|
11,172,671
|
|
ARMs
|
|
260,394
|
|
|
(1,859
|
)
|
|
1,860
|
|
|
260,395
|
|
||||
Total Fannie Mae
|
|
11,403,192
|
|
|
(46,877
|
)
|
|
76,751
|
|
|
11,433,066
|
|
||||
Freddie Mac Certificates
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed Rate
|
|
1,379,566
|
|
|
(3,881
|
)
|
|
11,822
|
|
|
1,387,507
|
|
||||
ARMs
|
|
60,821
|
|
|
(727
|
)
|
|
749
|
|
|
60,843
|
|
||||
Total Freddie Mac
|
|
1,440,387
|
|
|
(4,608
|
)
|
|
12,571
|
|
|
1,448,350
|
|
||||
Ginnie Mae Certificates - ARMs
|
|
45,784
|
|
|
—
|
|
|
796
|
|
|
46,580
|
|
||||
Total Agency RMBS
|
|
12,889,363
|
|
|
(51,485
|
)
|
|
90,118
|
|
|
12,927,996
|
|
||||
U.S. Treasuries
|
|
99,847
|
|
|
(136
|
)
|
|
—
|
|
|
99,711
|
|
||||
Total
|
|
$
|
12,989,210
|
|
|
$
|
(51,621
|
)
|
|
$
|
90,118
|
|
|
$
|
13,027,707
|
|
|
|
Unrealized loss positions for
|
||||||||||||||||||||||
|
|
Less than 12 Months
|
|
Greater than 12 months
|
|
Total
|
||||||||||||||||||
As of
|
|
Fair value
|
|
Unrealized loss
|
|
Fair value
|
|
Unrealized loss
|
|
Fair value
|
|
Unrealized loss
|
||||||||||||
September 30, 2016
|
|
$
|
1,237,721
|
|
|
$
|
(591
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,237,721
|
|
|
$
|
(591
|
)
|
December 31, 2015
|
|
6,718,658
|
|
|
(50,318
|
)
|
|
86,300
|
|
|
(1,303
|
)
|
|
6,804,958
|
|
|
(51,621
|
)
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||
|
Fair Value
|
|
Amortized Cost
|
|
Fair Value
|
|
Amortized Cost
|
||||||||
Less than one year
|
$
|
5,392,970
|
|
|
$
|
5,356,573
|
|
|
$
|
6,130,300
|
|
|
$
|
6,160,358
|
|
Greater than one year through five years
|
5,588,607
|
|
|
5,464,453
|
|
|
6,647,248
|
|
|
6,587,664
|
|
||||
Greater than five years through ten years
|
810,332
|
|
|
777,725
|
|
|
250,159
|
|
|
241,188
|
|
||||
Greater than ten years
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total
|
$
|
11,791,909
|
|
|
$
|
11,598,751
|
|
|
13,027,707
|
|
|
12,989,210
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Available-for-sale investments, at cost
|
$
|
7,041,173
|
|
|
$
|
2,849,207
|
|
|
$
|
13,846,416
|
|
|
$
|
16,187,871
|
|
Proceeds from sale of available-for-sale investments
|
7,059,328
|
|
|
2,838,875
|
|
|
13,902,132
|
|
|
16,205,227
|
|
||||
Net realized gain (loss) on sale of available-for-sale investments
|
$
|
18,155
|
|
|
$
|
(10,332
|
)
|
|
55,716
|
|
|
17,356
|
|
||
|
|
|
|
|
|
|
|
||||||||
Gross gain on sale of available-for-sale investments
|
$
|
21,363
|
|
|
$
|
18,210
|
|
|
63,489
|
|
|
80,592
|
|
||
Gross (loss) on sale of available-for-sale investments
|
(3,208
|
)
|
|
(28,542
|
)
|
|
(7,773
|
)
|
|
(63,236
|
)
|
||||
Net realized gain (loss) on sale of available-for-sale investments
|
$
|
18,155
|
|
|
$
|
(10,332
|
)
|
|
$
|
55,716
|
|
|
$
|
17,356
|
|
(in thousands)
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
Principal balance
|
|
$
|
11,159,693
|
|
|
$
|
12,527,932
|
|
Unamortized premium
|
|
439,210
|
|
|
462,631
|
|
||
Unamortized discount
|
|
(152
|
)
|
|
(273
|
)
|
||
Gross unrealized gains
|
|
193,749
|
|
|
89,038
|
|
||
Gross unrealized losses
|
|
(591
|
)
|
|
(51,621
|
)
|
||
Fair value
|
|
$
|
11,791,909
|
|
|
$
|
13,027,707
|
|
September 30, 2016
|
|
September 30, 2015
|
||||||||||||
Trade Date
|
|
Transaction
|
|
Notional
|
|
Trade Date
|
|
Transaction
|
|
Notional
|
||||
January 2016
|
|
Terminated
|
|
$
|
(500,000
|
)
|
|
January 2015
|
|
Terminated
|
|
$
|
(400,000
|
)
|
May 2016
|
|
Terminated
|
|
(2,200,000
|
)
|
|
January 2015
|
|
Opened
|
|
500,000
|
|
||
May 2016
|
|
Opened
|
|
1,700,000
|
|
|
April 2015
|
|
Terminated
|
|
(400,000
|
)
|
||
September 2016
|
|
Terminated
|
|
(500,000
|
)
|
|
July 2015
|
|
Terminated
|
|
(500,000
|
)
|
||
Net Decrease
|
|
|
|
$
|
(1,500,000
|
)
|
|
July 2015
|
|
Opened
|
|
750,000
|
|
|
|
|
|
|
|
|
August 2015
|
|
Terminated
|
|
(500,000
|
)
|
|||
|
|
|
|
|
|
August 2015
|
|
Opened
|
|
500,000
|
|
|||
|
|
|
|
|
|
September 2015
|
|
Terminated
|
|
(1,500,000
|
)
|
|||
|
|
|
|
|
|
September 2015
|
|
Opened
|
|
1,400,000
|
|
|||
|
|
|
|
|
|
Net Decrease
|
|
|
|
$
|
(150,000
|
)
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||
Derivative and Other Hedging Instruments - Assets
|
|
Consolidated Balance Sheets
|
|
Notional
|
|
Fair Value
|
|
Notional
|
|
Fair Value
|
||||||||
Interest Rate Swaps
|
|
Derivative assets, at fair value
|
|
$
|
1,500,000
|
|
|
$
|
1,342
|
|
|
$
|
5,900,000
|
|
|
$
|
39,435
|
|
Interest Rate Caps
|
|
Derivative assets, at fair value
|
|
2,500,000
|
|
|
15,917
|
|
|
2,500,000
|
|
|
61,343
|
|
||||
TBA Derivatives
|
|
Derivative assets, at fair value
|
|
2,930,000
|
|
|
12,610
|
|
|
—
|
|
|
—
|
|
||||
Total derivative assets at fair value
|
|
|
|
$
|
6,930,000
|
|
|
$
|
29,869
|
|
|
$
|
8,400,000
|
|
|
$
|
100,778
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Derivative and Other Hedging Instruments - Liabilities
|
|
Consolidated Balance Sheets
|
|
Notional
|
|
Fair Value
|
|
Notional
|
|
Fair Value
|
||||||||
Interest Rate Swaps
|
|
Derivative liabilities, at fair value
|
|
$
|
4,950,000
|
|
|
$
|
(46,762
|
)
|
|
$
|
2,050,000
|
|
|
$
|
(14,024
|
)
|
Interest Rate Caps
|
|
Derivative liabilities, at fair value
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
TBA Derivatives
|
|
Derivative liabilities, at fair value
|
|
800,000
|
|
|
(3,478
|
)
|
|
—
|
|
|
—
|
|
||||
Total derivative liabilities at fair value
|
|
|
|
$
|
5,750,000
|
|
|
$
|
(50,240
|
)
|
|
$
|
2,050,000
|
|
|
$
|
(14,024
|
)
|
|
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
Derivative Instrument Type
|
|
Location of Gain (Loss) on Derivative Instruments
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Interest rate swaps and caps
|
|
Swap and cap interest expense
|
|
$
|
(12,493
|
)
|
|
$
|
(24,681
|
)
|
|
$
|
(45,670
|
)
|
|
$
|
(77,141
|
)
|
Interest rate swaps, caps and TBA Derivatives
|
|
Net realized and unrealized gain (loss) on derivative instruments
|
|
63,625
|
|
|
(100,597
|
)
|
|
(121,434
|
)
|
|
(146,918
|
)
|
||||
Interest rate swaps, caps and TBA Derivatives
|
|
Net gain (loss) on derivative instruments
|
|
$
|
51,132
|
|
|
$
|
(125,278
|
)
|
|
$
|
(167,104
|
)
|
|
$
|
(224,059
|
)
|
(in thousands)
|
September 30, 2016
|
|
|
December 31, 2015
|
|
||
Outstanding repurchase agreements
|
$
|
9,620,641
|
|
|
$
|
8,987,776
|
|
Outstanding FHLBC Advances
|
$
|
—
|
|
|
$
|
2,098,701
|
|
Interest accrued thereon
|
$
|
8,020
|
|
|
$
|
7,383
|
|
Weighted-average borrowing rate
|
0.77
|
%
|
|
0.54
|
%
|
||
Weighted-average remaining maturity (in days)
|
67.8
|
|
|
42.2
|
|
||
Fair value of pledged collateral
(1)
|
$
|
10,077,489
|
|
|
$
|
11,548,930
|
|
(1)
|
Collateral for repo borrowings and FHLBC Advances consists of Agency RMBS and U.S. Treasuries.
|
|
Remaining contractual maturity
|
|||||||||||||||
September 30, 2016
|
|
Up to 30 days
|
|
30-90 days
|
|
Greater than 90 days
|
|
Total
|
||||||||
Agency RMBS
|
|
$
|
3,671,570
|
|
|
$
|
3,014,821
|
|
|
$
|
2,934,250
|
|
|
$
|
9,620,641
|
|
U.S. Treasuries
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total
|
|
$
|
3,671,570
|
|
|
$
|
3,014,821
|
|
|
$
|
2,934,250
|
|
|
$
|
9,620,641
|
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2015
|
|
|
|
|
|
|
|
|
||||||||
Agency RMBS
|
|
$
|
7,579,885
|
|
|
$
|
2,235,246
|
|
|
$
|
924,394
|
|
|
$
|
10,739,525
|
|
U.S. Treasuries
|
|
348,251
|
|
|
—
|
|
|
—
|
|
|
348,251
|
|
||||
Total
|
|
$
|
7,928,136
|
|
|
$
|
2,235,246
|
|
|
$
|
924,394
|
|
|
$
|
11,087,776
|
|
Years Ending December 31,
|
|
Lease Commitments
|
||
2016 (remaining)
|
|
$
|
87
|
|
2017
|
|
353
|
|
|
2018
|
|
363
|
|
|
2019
|
|
373
|
|
|
2020
|
|
383
|
|
|
Thereafter
|
|
998
|
|
|
|
|
$
|
2,557
|
|
September 30, 2016
|
|
|
||||||||||||||
Asset Type
|
|
Repurchase Agreements
|
|
Derivative Instruments
|
|
Forward Settling Trades (TBAs)
(1)
|
|
Total
|
||||||||
Agency RMBS - fair value
|
|
$
|
10,080,545
|
|
|
$
|
37,113
|
|
|
$
|
—
|
|
|
$
|
10,117,658
|
|
U.S. Treasuries - fair value
|
|
1,606
|
|
|
33,310
|
|
|
—
|
|
|
34,916
|
|
||||
Accrued interest on pledged securities
|
|
27,012
|
|
|
147
|
|
|
—
|
|
|
27,159
|
|
||||
Cash
|
|
—
|
|
|
63,464
|
|
|
—
|
|
|
63,464
|
|
||||
Total
|
|
$
|
10,109,163
|
|
|
$
|
134,034
|
|
|
$
|
—
|
|
|
$
|
10,243,197
|
|
December 31, 2015
|
|
|
||||||||||||||
Asset Type
|
|
Repurchase Agreements and FHLBC Advances
|
|
Derivative Instruments
|
|
Forward Settling Trades (TBAs)
|
|
Total
|
||||||||
Agency RMBS - fair value
|
|
$
|
11,547,098
|
|
|
$
|
37,657
|
|
|
$
|
2,259
|
|
|
$
|
11,587,014
|
|
U.S. Treasuries - fair value
|
|
1,832
|
|
|
13,054
|
|
|
—
|
|
|
14,886
|
|
||||
Accrued interest on pledged securities
|
|
30,890
|
|
|
196
|
|
|
5
|
|
|
31,091
|
|
||||
Cash
|
|
—
|
|
|
21,751
|
|
|
—
|
|
|
21,751
|
|
||||
Total
|
|
$
|
11,579,820
|
|
|
$
|
72,658
|
|
|
$
|
2,264
|
|
|
$
|
11,654,742
|
|
(1)
|
Excludes forward settling transactions classified as TBA Derivatives which are included in derivative instruments effective January 1, 2016.
|
September 30, 2016
|
|
|
||||||||||||||
Asset Type
|
|
Repurchase Agreements
|
|
Derivative Instruments
|
|
Forward Settling Trades (TBAs)
(1)
|
|
Total
|
||||||||
Agency RMBS - fair value
|
|
$
|
2,643
|
|
|
$
|
735
|
|
|
$
|
—
|
|
|
$
|
3,378
|
|
U.S. Treasuries - fair value
|
|
2,019
|
|
|
10,741
|
|
|
530
|
|
|
13,290
|
|
||||
Accrued interest on pledged securities
|
|
13
|
|
|
53
|
|
|
2
|
|
|
68
|
|
||||
Cash
|
|
—
|
|
|
10,470
|
|
|
412
|
|
|
10,882
|
|
||||
Total
|
|
$
|
4,675
|
|
|
$
|
21,999
|
|
|
$
|
944
|
|
|
$
|
27,618
|
|
December 31, 2015
|
|
|
||||||||||||||
Asset Type
|
|
Repurchase Agreements
|
|
Derivative Instruments
|
|
Forward Settling Trades (TBAs)
|
|
Total
|
||||||||
U.S. Treasuries - fair value
|
|
—
|
|
|
44,143
|
|
|
—
|
|
|
44,143
|
|
||||
Accrued interest on pledged securities
|
|
—
|
|
|
209
|
|
|
—
|
|
|
209
|
|
||||
Cash
|
|
—
|
|
|
18,534
|
|
|
—
|
|
|
18,534
|
|
||||
Total
|
|
$
|
—
|
|
|
$
|
62,886
|
|
|
$
|
—
|
|
|
$
|
62,886
|
|
(1)
|
Excludes forward settling transactions classified as TBA Derivatives which are included in derivative instruments effective January 1, 2016.
|
September 30, 2016
|
|
Assets
|
|
Liabilities
|
||||
Interest rate swap contracts
|
|
$
|
1,342
|
|
|
$
|
46,762
|
|
Interest rate cap contracts
|
|
15,917
|
|
|
—
|
|
||
TBA derivatives
|
|
12,610
|
|
|
3,478
|
|
||
Total derivative assets and liabilities
|
|
29,869
|
|
|
50,240
|
|
||
Derivatives not subject to a Master Netting Agreement
|
|
—
|
|
|
46,441
|
|
||
Total assets and liabilities subject to a Master Netting Agreement
|
|
$
|
29,869
|
|
|
$
|
3,799
|
|
|
|
|
|
|
||||
December 31, 2015
|
|
Assets
|
|
Liabilities
|
||||
Interest rate swap contracts
|
|
$
|
39,435
|
|
|
$
|
14,024
|
|
Interest rate cap contracts
|
|
61,343
|
|
|
—
|
|
||
Total derivative assets and liabilities
|
|
100,778
|
|
|
14,024
|
|
||
Derivatives not subject to a Master Netting Agreement
|
|
25,151
|
|
|
14,024
|
|
||
Total assets and liabilities subject to a Master Netting Agreement
|
|
$
|
75,627
|
|
|
$
|
—
|
|
Assets
|
|
|
|
|
|
Gross Amounts Not Offset in the Consolidated Balance Sheets
|
|
|
||||||||||
As of
|
|
Description
|
|
Amount of Assets Presented in the Consolidated Balance Sheets
|
|
Instruments Available for Offset
|
|
Collateral Received
(1)
|
|
Net Amount
(2)
|
||||||||
September 30, 2016
|
|
Derivative assets
|
|
$
|
29,869
|
|
|
$
|
2,095
|
|
|
$
|
17,970
|
|
|
$
|
9,804
|
|
December 31, 2015
|
|
Derivative assets
|
|
75,627
|
|
|
—
|
|
|
59,907
|
|
|
15,720
|
|
Liabilities
|
|
|
|
|
|
Gross Amounts Not Offset in the Consolidated Balance Sheets
|
|
|
||||||||||
As of
|
|
Description
|
|
Amount of Liabilities Presented in the Consolidated Balance Sheets
|
|
Instruments Available for Offset
|
|
Collateral Pledged
(1)
|
|
Net Amount
(2)
|
||||||||
September 30, 2016
|
|
Derivative liabilities
|
|
$
|
3,799
|
|
|
$
|
2,095
|
|
|
$
|
1,704
|
|
|
$
|
—
|
|
September 30, 2016
|
|
Repurchase agreements and FHLBC Advances
|
|
9,620,641
|
|
|
—
|
|
|
9,620,641
|
|
|
—
|
|
||||
December 31, 2015
|
|
Derivative liabilities
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
December 31, 2015
|
|
Repurchase agreements and FHLBC Advances
|
|
11,086,477
|
|
|
42,003
|
|
|
11,044,474
|
|
|
—
|
|
(1)
|
Collateral consists of Agency RMBS, U.S. Treasuries and Cash. Excess collateral pledged is not shown for financial reporting purposes.
|
(2)
|
Net amount represents the net amount receivable (in the case of assets) and payable (in the case of liabilities) to the counterparty in the event of default.
|
|
|
|
Level 1: Generally includes only unadjusted quoted prices that are available in active markets for identical financial instruments as of the reporting date.
|
|
|
|
Level 2: Pricing inputs include quoted prices in active markets for similar instruments, quoted prices in less active or inactive markets for identical or similar instruments where multiple price quotes can be obtained, and other observable inputs, such as interest rates and yield curves.
|
|
|
|
Level 3: Pricing inputs are unobservable for the financial instruments and include situations where there is little, if any, market activity for the financial instrument. These inputs require significant judgment or estimation by management when determining fair value and generally represent anything that does not meet the criteria of Levels 1 and 2.
|
September 30, 2016
|
Fair Value Measurements Using
|
||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Agency RMBS
|
$
|
—
|
|
|
$
|
11,742,018
|
|
|
$
|
—
|
|
|
$
|
11,742,018
|
|
U.S. Treasuries
|
49,891
|
|
|
—
|
|
|
—
|
|
|
49,891
|
|
||||
Other investments
|
—
|
|
|
—
|
|
|
8,025
|
|
|
8,025
|
|
||||
Derivative assets
|
—
|
|
|
29,869
|
|
|
—
|
|
|
29,869
|
|
||||
Total
|
$
|
49,891
|
|
|
$
|
11,771,887
|
|
|
$
|
8,025
|
|
|
$
|
11,829,803
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
FHLBC Advances
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Derivative liabilities
|
—
|
|
|
50,240
|
|
|
—
|
|
|
50,240
|
|
||||
Total
|
$
|
—
|
|
|
$
|
50,240
|
|
|
$
|
—
|
|
|
$
|
50,240
|
|
December 31, 2015
|
Fair Value Measurements Using
|
||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Agency RMBS
|
$
|
—
|
|
|
$
|
12,927,996
|
|
|
$
|
—
|
|
|
$
|
12,927,996
|
|
U.S. Treasuries
|
99,711
|
|
|
—
|
|
|
—
|
|
|
99,711
|
|
||||
Other investments
|
—
|
|
|
—
|
|
|
8,025
|
|
|
8,025
|
|
||||
Derivative assets
|
—
|
|
|
100,778
|
|
|
—
|
|
|
100,778
|
|
||||
Total
|
$
|
99,711
|
|
|
$
|
13,028,774
|
|
|
$
|
8,025
|
|
|
$
|
13,136,510
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
FHLBC Advances
|
—
|
|
|
423,701
|
|
|
—
|
|
|
423,701
|
|
||||
Derivative liabilities
|
—
|
|
|
14,024
|
|
|
—
|
|
|
14,024
|
|
||||
Total
|
$
|
—
|
|
|
$
|
437,725
|
|
|
$
|
—
|
|
|
$
|
437,725
|
|
Level 3 Fair Value Reconciliation
|
|
|
|
||||
(In thousands)
|
Three and Nine Months Ended September 30,
|
||||||
Other investments
|
2016
|
|
2015
|
||||
Beginning balance Level 3 assets
|
$
|
8,025
|
|
|
$
|
8,025
|
|
Change in net unrealized gain (loss)
|
—
|
|
|
—
|
|
||
Gross purchases
|
—
|
|
|
—
|
|
||
Gross sales
|
—
|
|
|
—
|
|
||
Net gain (loss) on sales
|
—
|
|
|
—
|
|
||
Transfers into (out of) Level 3
|
—
|
|
|
—
|
|
||
Ending balance Level 3 assets
|
$
|
8,025
|
|
|
$
|
8,025
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net income (loss)
|
$
|
79,010
|
|
|
$
|
36,027
|
|
|
$
|
196,551
|
|
|
$
|
(6,413
|
)
|
Less preferred stock dividends
|
(5,203
|
)
|
|
(5,203
|
)
|
|
(15,609
|
)
|
|
(15,609
|
)
|
||||
Net income (loss) available to common stockholders
|
73,807
|
|
|
30,824
|
|
|
180,942
|
|
|
(22,022
|
)
|
||||
Less dividends paid:
|
|
|
|
|
|
|
|
||||||||
Common shares
|
(37,599
|
)
|
|
(39,976
|
)
|
|
(114,312
|
)
|
|
(130,703
|
)
|
||||
Unvested shares
|
(254
|
)
|
|
(272
|
)
|
|
(789
|
)
|
|
(898
|
)
|
||||
Undistributed earnings (loss)
|
35,954
|
|
|
(9,424
|
)
|
|
65,841
|
|
|
(153,623
|
)
|
||||
Basic weighted-average shares outstanding:
|
|
|
|
|
|
|
|
||||||||
Common shares
|
150,378
|
|
|
154,633
|
|
|
150,520
|
|
|
156,821
|
|
||||
Basic earnings (loss) per common share:
|
|
|
|
|
|
|
|
||||||||
Distributed earnings
|
$
|
0.25
|
|
|
$
|
0.26
|
|
|
$
|
0.76
|
|
|
$
|
0.83
|
|
Undistributed earnings (loss)
|
0.24
|
|
|
(0.06
|
)
|
|
0.43
|
|
|
(0.98
|
)
|
||||
Basic earnings (loss) per common share
|
$
|
0.49
|
|
|
$
|
0.20
|
|
|
$
|
1.19
|
|
|
$
|
(0.15
|
)
|
Diluted weighted-average shares outstanding:
|
|
|
|
|
|
|
|
||||||||
Common shares
|
150,378
|
|
|
154,633
|
|
|
150,520
|
|
|
156,821
|
|
||||
Net effect of dilutive stock options
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
150,378
|
|
|
154,633
|
|
|
150,520
|
|
|
156,821
|
|
||||
Diluted earnings (loss) per common share:
|
|
|
|
|
|
|
|
||||||||
Distributed earnings
|
$
|
0.25
|
|
|
$
|
0.26
|
|
|
$
|
0.76
|
|
|
$
|
0.83
|
|
Undistributed earnings (loss)
|
0.24
|
|
|
(0.06
|
)
|
|
0.43
|
|
|
(0.98
|
)
|
||||
Diluted earnings (loss) per common share
|
$
|
0.49
|
|
|
$
|
0.20
|
|
|
$
|
1.19
|
|
|
$
|
(0.15
|
)
|
(1)
|
For the
three and nine months ended
September 30, 2016
and
2015
, the Company had an aggregate of zero and
131,088
stock options outstanding, respectively, with a weighted-average exercise price of
$30.00
that were not included in the calculation of EPS as they were out-of-the-money.
|
•
|
Forward-Looking Statements,
|
•
|
Executive Overview,
|
•
|
Trends and Recent Market Activity,
|
•
|
Financial Condition,
|
•
|
Results of Operations, and
|
•
|
Liquidity and Capital Resources.
|
(1)
|
TBAs are excluded from this calculation as they do not have a defined weighted-average loan balance or age until mortgages have been assigned to the pool.
|
(2)
|
The CPR ("Constant Prepayment Rate") represents the 3-month CPR of the Company’s Agency RMBS held at
September 30, 2016
and
December 31, 2015
. The CPR experienced by the Company during the period may differ. Securities with no prepayment history are excluded from this calculation.
|
(3)
|
Duration measures the market price volatility of financial instruments as interest rates change, using Dollar Value of One Basis Point, or "DV01", methodology. We generally calculate duration using various third-party financial models and empirical data. Different models and methodologies can produce different estimates of duration for the same securities. Analytics provided by the Yield Book
®
software.
|
(4)
|
Coupon represents the weighted-average coupon of Agency Hybrid ARMs.
|
(5)
|
Includes
$632.4 million
of forward settling transactions at
September 30, 2016
.
|
|
|
|
|
|
|
Weighted-Average
|
|
|
|||||||||||
September 30, 2016
|
|
Number of Contracts
|
|
Notional (000's)
|
|
Rate
|
|
Maturity
|
|
Duration
|
|
Fair Value (000's)
|
|||||||
Interest Rate Swaps
|
|
17
|
|
|
$
|
6,450,000
|
|
|
1.23
|
%
|
|
January 2020
|
|
(3.04
|
)
|
|
$
|
(45,421
|
)
|
Interest Rate Caps
|
|
5
|
|
|
2,500,000
|
|
|
1.28
|
%
|
|
January 2020
|
|
(1.44
|
)
|
|
15,918
|
|
||
|
|
22
|
|
|
$
|
8,950,000
|
|
|
1.24
|
%
|
|
January 2020
|
|
(2.59
|
)
|
|
$
|
(29,503
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Interest Rate Swaps
|
|
21
|
|
|
$
|
7,950,000
|
|
|
1.29
|
%
|
|
May 2019
|
|
(3.08
|
)
|
|
$
|
25,411
|
|
Interest Rate Caps
|
|
5
|
|
|
2,500,000
|
|
|
1.28
|
%
|
|
January 2020
|
|
(2.39
|
)
|
|
61,343
|
|
||
|
|
26
|
|
|
$
|
10,450,000
|
|
|
1.29
|
%
|
|
July 2019
|
|
(2.91
|
)
|
|
$
|
86,754
|
|
September 30, 2016
|
|
|
|
|
|
Weighted-Average
|
||||||
Original Days to Maturity by Collateral Type
|
|
Repo Borrowings and FHLBC Advances Outstanding
|
|
Percentage of Total
|
|
Interest Rate
|
|
Remaining Days to Maturity
|
|
Original Days to Maturity
|
||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
||
≤ 30 Days
|
|
$
|
1,470,975
|
|
|
15%
|
|
0.75%
|
|
18
|
|
27
|
> 30 to ≤ 60 Days
|
|
2,086,492
|
|
|
22%
|
|
0.71%
|
|
31
|
|
46
|
|
> 60 Days
|
|
6,063,174
|
|
|
63%
|
|
0.79%
|
|
93
|
|
141
|
|
Subtotal
|
|
$
|
9,620,641
|
|
|
100%
|
|
0.77%
|
|
68
|
|
103
|
|
|
|
|
|
|
|
|
|
|
|
||
U.S. Treasuries
|
|
|
|
|
|
|
|
|
|
|
||
≤ 30 Days
|
|
$
|
—
|
|
|
—%
|
|
—%
|
|
—
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
||
Total
|
|
$
|
9,620,641
|
|
|
100%
|
|
0.77%
|
|
68
|
|
103
|
December 31, 2015
|
|
|
|
|
|
Weighted-Average
|
||||||
Original Days to Maturity by Collateral Type
|
|
Repo Borrowings and FHLBC Advances Outstanding
|
|
Percentage of Total
|
|
Interest Rate
|
|
Remaining Days to Maturity
|
|
Original Days to Maturity
|
||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
||
≤ 30 Days
|
|
$
|
751,592
|
|
|
7%
|
|
0.49%
|
|
7
|
|
30
|
> 30 to ≤ 60 Days
|
|
2,507,201
|
|
|
24%
|
|
0.48%
|
|
9
|
|
43
|
|
> 60 Days
|
|
7,055,732
|
|
|
66%
|
|
0.54%
|
|
37
|
|
88
|
|
Total
|
|
$
|
10,314,525
|
|
|
97%
|
|
0.52%
|
|
28
|
|
73
|
|
|
|
|
|
|
|
|
|
|
|
||
U.S. Treasuries
|
|
|
|
|
|
|
|
|
|
|
||
> 30 to ≤ 60 Days
|
|
$
|
348,251
|
|
|
3%
|
|
(0.13)%
|
|
2
|
|
13
|
|
|
|
|
|
|
|
|
|
|
|
||
Total
|
|
$
|
10,662,776
|
|
|
100%
|
|
0.50%
|
|
27
|
|
71
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
Weighted-Average
|
||||||
Original Days to Maturity
|
|
FHLBC Advances Outstanding (000's)
|
|
Percentage of Total
|
|
Interest Rate
|
|
Next Call Date
|
|
Maturity Date
|
||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
||
> 360 Days
|
|
$
|
425,000
|
|
|
100%
|
|
1.48%
|
|
May 2016
|
|
July 2018
|
September 30, 2016
|
|
|
|
|
||||
Settle Date
|
|
Face Value
|
|
Payable
|
||||
October 2016
|
|
$
|
406,042
|
|
|
$
|
424,476
|
|
December 31, 2015
|
|
|
|
|
||||
Settle Date
|
|
Face Value
|
|
Payable
|
||||
January 2016
|
|
$
|
963,097
|
|
|
$
|
1,008,133
|
|
February 2016
|
|
200,000
|
|
|
211,550
|
|
||
March 2016
|
|
250,000
|
|
|
256,291
|
|
||
|
|
$
|
1,413,097
|
|
|
$
|
1,475,974
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(dollars in thousands, except per share data)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Income Statement Data:
|
|
|
|
|
|
|
|
||||||||
Interest income
|
$
|
69,661
|
|
|
$
|
83,982
|
|
|
$
|
225,969
|
|
|
$
|
245,364
|
|
Interest expense
|
17,479
|
|
|
12,261
|
|
|
54,111
|
|
|
32,165
|
|
||||
Net interest income
|
52,182
|
|
|
71,721
|
|
|
171,858
|
|
|
213,199
|
|
||||
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net realized and unrealized gain (loss) on investments, FHLBC Advances and other income
|
(18,077
|
)
|
|
95,396
|
|
|
210,236
|
|
|
22,021
|
|
||||
Net gain (loss) on derivative instruments
|
51,132
|
|
|
(125,278
|
)
|
|
(167,104
|
)
|
|
(224,059
|
)
|
||||
Total other income (loss)
|
33,055
|
|
|
(29,882
|
)
|
|
43,132
|
|
|
(202,038
|
)
|
||||
Expenses:
|
|
|
|
|
|
|
|
||||||||
Compensation and benefits
|
3,619
|
|
|
3,655
|
|
|
11,049
|
|
|
10,921
|
|
||||
General, administrative and other
|
2,608
|
|
|
2,157
|
|
|
7,390
|
|
|
6,653
|
|
||||
Total expenses
|
6,227
|
|
|
5,812
|
|
|
18,439
|
|
|
17,574
|
|
||||
Net income (loss)
|
$
|
79,010
|
|
|
$
|
36,027
|
|
|
$
|
196,551
|
|
|
$
|
(6,413
|
)
|
Dividend on preferred stock
|
(5,203
|
)
|
|
(5,203
|
)
|
|
(15,609
|
)
|
|
(15,609
|
)
|
||||
Net income (loss) available to common stockholders
|
$
|
73,807
|
|
|
$
|
30,824
|
|
|
$
|
180,942
|
|
|
$
|
(22,022
|
)
|
Net income (loss) per common share basic & diluted
|
$
|
0.49
|
|
|
$
|
0.20
|
|
|
$
|
1.19
|
|
|
$
|
(0.15
|
)
|
Dividends per common share
|
$
|
0.25
|
|
|
$
|
0.26
|
|
|
$
|
0.76
|
|
|
$
|
0.84
|
|
|
|
|
|
|
|
|
|
||||||||
Key Balance Sheet Metrics
|
|
|
|
|
|
|
|
||||||||
Average settled Debt Securities
(1)
|
$
|
11,725,021
|
|
|
$
|
13,099,727
|
|
|
$
|
11,840,707
|
|
|
$
|
13,014,827
|
|
Average total Debt Securities
(2)
|
$
|
13,596,739
|
|
|
$
|
13,928,756
|
|
|
$
|
13,271,207
|
|
|
$
|
14,481,643
|
|
Average repurchase agreements and FHLBC Advances
(3)
|
$
|
10,223,051
|
|
|
$
|
11,557,064
|
|
|
$
|
10,378,241
|
|
|
$
|
11,400,611
|
|
Average Debt Securities liabilities
(4)
|
$
|
12,094,769
|
|
|
$
|
12,386,093
|
|
|
$
|
11,808,741
|
|
|
$
|
12,867,427
|
|
Average stockholders' equity
(5)
|
$
|
1,749,543
|
|
|
$
|
1,790,420
|
|
|
$
|
1,733,149
|
|
|
$
|
1,893,647
|
|
Average common shares outstanding
(6)
|
151,414
|
|
|
155,702
|
|
|
151,552
|
|
|
157,853
|
|
||||
Leverage ratio (at period end)
(7)
|
6.96:1
|
|
|
6.87:1
|
|
|
6.96:1
|
|
|
6.87:1
|
|
||||
Book value per common share (at period end)
(8)
|
$
|
9.79
|
|
|
$
|
9.62
|
|
|
$
|
9.79
|
|
|
$
|
9.62
|
|
Weighted-average amortized cost of Agency RMBS and U.S. Treasuries
(9)
|
$
|
103.72
|
|
|
$
|
103.94
|
|
|
$
|
103.72
|
|
|
$
|
103.94
|
|
|
|
|
|
|
|
|
|
||||||||
Key Performance Metrics*
|
|
|
|
|
|
|
|
||||||||
Average yield on settled Debt Securities
(10)
|
2.38
|
%
|
|
2.56
|
%
|
|
2.54
|
%
|
|
2.51
|
%
|
||||
Average yield on total Debt Securities including Drop Income
(11)
|
2.36
|
%
|
|
2.59
|
%
|
|
2.52
|
%
|
|
2.53
|
%
|
||||
Average cost of funds
(12)
|
0.68
|
%
|
|
0.42
|
%
|
|
0.70
|
%
|
|
0.38
|
%
|
||||
Average cost of funds and hedge
(13)
|
1.17
|
%
|
|
1.28
|
%
|
|
1.28
|
%
|
|
1.28
|
%
|
||||
Adjusted average cost of funds and hedge
(14)
|
0.99
|
%
|
|
1.19
|
%
|
|
1.13
|
%
|
|
1.13
|
%
|
||||
Interest rate spread net of hedge
(15)
|
1.21
|
%
|
|
1.28
|
%
|
|
1.26
|
%
|
|
1.23
|
%
|
||||
Interest rate spread net of hedge including Drop Income
(16)
|
1.37
|
%
|
|
1.40
|
%
|
|
1.39
|
%
|
|
1.40
|
%
|
||||
Operating expense ratio
(17)
|
1.42
|
%
|
|
1.30
|
%
|
|
1.42
|
%
|
|
1.24
|
%
|
||||
Total stockholder return on common equity
(18)
|
5.13
|
%
|
|
2.39
|
%
|
|
12.71
|
%
|
|
(0.67
|
)%
|
CPR (weighted-average experienced 1-month)
(19)
|
14.0
|
%
|
|
10.2
|
%
|
|
11.4
|
%
|
|
11.1
|
%
|
(1)
|
The average settled Debt Securities is calculated by
averaging
the month end cost basis of settled Debt Securities during the period.
|
(2)
|
The average total Debt Securities is calculated by
averaging
the month end cost basis of total Debt Securities and all TBA contracts during the period.
|
(3)
|
The average repurchase agreements and FHLBC Advances are calculated by
averaging
the month end repurchase agreements and FHLBC Advances balances during the period.
|
(4)
|
The average Debt Securities liabilities are calculated by
adding
the average month end repurchase agreements and FHLBC Advances balances plus average unsettled Debt Securities (inclusive of TBA Derivatives) during the period.
|
(5)
|
The average stockholders' equity is calculated by
averaging
the month end stockholders' equity during the period.
|
(6)
|
The average common shares outstanding are calculated by
averaging
the daily common shares outstanding during the period.
|
(7)
|
The leverage ratio is calculated by
dividing
(i) the Company's repurchase agreements and FHLBC Advances balance plus payable for securities purchased
minus
receivable for securities sold
plus
gross TBA Derivatives positions by (ii) stockholders' equity.
|
(8)
|
Book value per common share is calculated by
dividing
total stockholders' equity
less
the liquidation value of preferred stock at period end by common shares outstanding at period end.
|
(9)
|
The weighted-average amortized cost of Agency RMBS and U.S. Treasuries is calculated using the weighted-average amortized cost by security
divided
by the current face at period end.
|
(10)
|
The average yield on settled Debt Securities for the period is calculated by
dividing
total interest income by average settled Debt Securities.
|
(11)
|
The average yield on total Debt Securities including Drop Income for the period is calculated by
dividing
total interest income plus Drop Income by average total Debt Securities. Drop Income was
$10.5 million
and
$6.3 million
for the three months ended
September 30, 2016
and
2015
, respectively. Drop Income was
$24.8 million
and
$28.9 million
for the
nine
months ended
September 30, 2016
and
2015
, respectively. Drop Income is a component of our net realized and unrealized gain (loss) on investments and net realized and unrealized gain (loss) on derivative instruments in the accompanying unaudited consolidated statements of operations. Drop Income is the difference between the spot price and the forward settlement price for the same security on trade date. This difference is also the economic equivalent of the assumed net interest margin (yield
minus
financing costs) of the bond from trade date to settlement date. We derive Drop Income through utilization of forward settling transactions.
|
(12)
|
The average cost of funds for the period is calculated by
dividing
repurchase agreement and FHLBC Advances interest expense by average repurchase agreements and FHLBC Advances for the period.
|
(13)
|
The average cost of funds and hedge for the period is calculated by
dividing
repurchase agreement, FHLBC Advances and swap and cap interest expense by average repurchase agreements and FHLBC Advances.
|
(14)
|
The adjusted average cost of funds and hedge for the period is calculated by
dividing
repurchase agreement, FHLBC Advances and swap and cap interest expense by average Debt Securities liabilities.
|
(15)
|
The interest rate spread net of hedge for the period is calculated by
subtracting
average cost of funds and hedge from average yield on settled Debt Securities.
|
(16)
|
The interest rate spread net of hedge including Drop Income for the period is calculated by
subtracting
adjusted average cost of funds and hedge from average yield on total Debt Securities including Drop Income.
|
(17)
|
The operating expense ratio for the period is calculated by
dividing
operating expenses by average stockholders' equity.
|
(18)
|
The total stockholder return on common equity is calculated as the change in book value
plus
dividend distributions on common stock
divided
by book value at the end of the prior period
.
|
(19)
|
T
he constant prepayment rate ("CPR") represents the weighted-average 1-month CPR of the Company's Agency RMBS during the period.
|
*
|
All percentages are annualized except total stockholder return on common equity.
|
(In thousands)
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
Non-U.S. GAAP Reconciliation:
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net income (loss) available to common stockholders
|
$
|
73,807
|
|
|
$
|
30,824
|
|
|
$
|
180,942
|
|
|
$
|
(22,022
|
)
|
Net realized (gain) loss on investments
|
(18,155
|
)
|
|
10,332
|
|
|
(55,716
|
)
|
|
(17,356
|
)
|
||||
Net unrealized (gain) loss on investments
|
36,540
|
|
|
(106,154
|
)
|
|
(154,661
|
)
|
|
(4,944
|
)
|
||||
Net realized and unrealized (gain) loss on derivative instruments
|
(63,625
|
)
|
|
100,597
|
|
|
121,434
|
|
|
146,918
|
|
||||
Net unrealized (gain) loss on FHLBC Advances
|
—
|
|
|
726
|
|
|
1,299
|
|
|
737
|
|
||||
Core Earnings
|
$
|
28,567
|
|
|
$
|
36,325
|
|
|
$
|
93,298
|
|
|
$
|
103,333
|
|
|
Three Months Ended September 30,
|
|||||||||||||
|
2016
|
|
2015
|
|
$ Change
|
|
% Change
|
|||||||
Net interest income
|
$
|
52,182
|
|
|
$
|
71,721
|
|
|
$
|
(19,539
|
)
|
|
(27.2
|
)%
|
Swap and cap interest expense
|
12,493
|
|
|
24,681
|
|
|
(12,188
|
)
|
|
(49.4
|
)%
|
|||
Economic net interest income
|
$
|
39,689
|
|
|
$
|
47,040
|
|
|
$
|
(7,351
|
)
|
|
(15.6
|
)%
|
|
|
|
|
|
|
|
|
|||||||
Total interest expense
|
$
|
17,479
|
|
|
$
|
12,261
|
|
|
$
|
5,218
|
|
|
42.6
|
%
|
Swap and cap interest expense
|
12,493
|
|
|
24,681
|
|
|
(12,188
|
)
|
|
(49.4
|
)%
|
|||
Economic interest expense
|
$
|
29,972
|
|
|
$
|
36,942
|
|
|
$
|
(6,970
|
)
|
|
(18.9
|
)%
|
|
Nine Months Ended September 30,
|
|||||||||||||
|
2016
|
|
2015
|
|
$ Change
|
|
% Change
|
|||||||
Net interest income
|
$
|
171,858
|
|
|
$
|
213,199
|
|
|
$
|
(41,341
|
)
|
|
(19.4
|
)%
|
Swap and cap interest expense
|
45,670
|
|
|
77,141
|
|
|
(31,471
|
)
|
|
(40.8
|
)%
|
|||
Economic net interest income
|
$
|
126,188
|
|
|
$
|
136,058
|
|
|
$
|
(9,870
|
)
|
|
(7.3
|
)%
|
|
|
|
|
|
|
|
|
|||||||
Total interest expense
|
$
|
54,111
|
|
|
$
|
32,165
|
|
|
$
|
21,946
|
|
|
68.2
|
%
|
Swap and cap interest expense
|
45,670
|
|
|
77,141
|
|
|
(31,471
|
)
|
|
(40.8
|
)%
|
|||
Economic interest expense
|
$
|
99,781
|
|
|
$
|
109,306
|
|
|
$
|
(9,525
|
)
|
|
(8.7
|
)%
|
Change in Size
|
|
Change in Yield
|
|
Change in Size & Yield
|
|||||||||
Change in average settled
|
$
|
(1,374,706
|
)
|
|
Change in average yield
|
(0.19
|
)%
|
|
Change in average settled
|
$
|
(1,374,706
|
)
|
|
2015 average annualized yield
|
2.56
|
%
|
|
2015 average settled
|
$
|
13,099,727
|
|
|
Change in average yield
|
(0.19
|
)%
|
||
Quarterly change
|
$
|
(8,813
|
)
|
|
Quarterly change
|
$
|
(6,154
|
)
|
|
Quarterly change
|
$
|
646
|
|
|
|
|
|
|
|
Total change
|
$
|
(14,321
|
)
|
Change in Size
|
|
Change in Rate
|
|
Change in Size & Yield
|
|||||||||
Change in average outstanding
|
$
|
(1,334,013
|
)
|
|
Change in average rate
|
0.26
|
%
|
|
Change in average outstanding
|
$
|
(1,334,013
|
)
|
|
2015 average rate
|
0.42
|
%
|
|
2015 average outstanding
|
$
|
11,557,064
|
|
|
Change in average rate
|
0.26
|
%
|
||
Quarterly change
|
$
|
(1,415
|
)
|
|
Quarterly change
|
$
|
7,499
|
|
|
Quarterly change
|
$
|
(866
|
)
|
|
|
|
|
|
|
Total change
|
$
|
5,218
|
|
Change in Size
|
|
Change in Rate
|
|
Change in Size & Rate
|
|||||||||
Change in average notional outstanding
|
$
|
(687,500
|
)
|
|
Change in average rate
|
(0.45
|
)%
|
|
Change in average notional outstanding
|
$
|
(687,500
|
)
|
|
2015 average rate
|
0.99
|
%
|
|
2015 average notional outstanding
|
$
|
10,012,500
|
|
|
Change in average rate
|
(0.45
|
)%
|
||
Quarterly change
|
$
|
(1,695
|
)
|
|
Quarterly change
|
$
|
(11,267
|
)
|
|
Quarterly change
|
$
|
774
|
|
|
|
|
|
|
|
Total change
|
$
|
(12,188
|
)
|
Change in Size
|
|
Change in Yield
|
|
Change in Size & Yield
|
|||||||||
Change in average settled
|
$
|
(1,174,120
|
)
|
|
Change in average yield
|
0.03
|
%
|
|
Change in average settled
|
$
|
(1,174,120
|
)
|
|
2015 average yield
|
2.51
|
%
|
|
2015 average settled
|
$
|
13,014,827
|
|
|
Change in average yield
|
0.03
|
%
|
||
Change
|
$
|
(22,135
|
)
|
|
Change
|
$
|
3,012
|
|
|
Change
|
$
|
(272
|
)
|
|
|
|
|
|
|
Total change
|
$
|
(19,395
|
)
|
Change in Size
|
|
Change in Rate
|
|
Change in Size & Yield
|
|||||||||
Change in average outstanding
|
$
|
(1,022,370
|
)
|
|
Change in average rate
|
0.32
|
%
|
|
Change in average outstanding
|
$
|
(1,022,370
|
)
|
|
2015 average rate
|
0.38
|
%
|
|
2015 average outstanding
|
$
|
11,400,611
|
|
|
Change in average rate
|
0.32
|
%
|
||
Change
|
$
|
(2,884
|
)
|
|
Change
|
$
|
27,276
|
|
|
Change
|
$
|
(2,446
|
)
|
|
|
|
|
|
|
Total change
|
$
|
21,946
|
|
Change in Size
|
|
Change in Rate
|
|
Change in Size & Rate
|
|||||||||
Change in average notional outstanding
|
$
|
(365,000
|
)
|
|
Change in average rate
|
(0.39
|
)%
|
|
Change in average notional outstanding
|
$
|
(365,000
|
)
|
|
2015 average rate
|
1.02
|
%
|
|
2015 average notional outstanding
|
$
|
10,065,000
|
|
|
Change in average rate
|
(0.39
|
)%
|
||
Change
|
$
|
(2,797
|
)
|
|
Change
|
$
|
(29,753
|
)
|
|
Change
|
$
|
1,079
|
|
|
|
|
|
|
|
Total change
|
$
|
(31,471
|
)
|
September 30, 2016
|
Within One Year
|
|
One to Three Years
|
|
Three to Five Years
|
|
Thereafter
|
|
Total
|
||||||||||
Repurchase agreements and FHLBC Advances
|
$
|
9,620,641
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9,620,641
|
|
Interest expense on repurchase agreements and FHLBC Advances, based on rates at September 30, 2016
|
22,773
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
22,773
|
|
|||||
Long-term operating lease obligation
|
350
|
|
|
731
|
|
|
771
|
|
|
706
|
|
|
2,558
|
|
|||||
Total
|
$
|
9,643,764
|
|
|
$
|
731
|
|
|
$
|
771
|
|
|
$
|
706
|
|
|
$
|
9,645,972
|
|
December 31, 2015
|
Within One Year
|
|
One to Three Years
|
|
Three to Five Years
|
|
Thereafter
|
|
Total
|
||||||||||
Repurchase agreements and FHLBC Advances
|
$
|
10,662,776
|
|
|
$
|
425,000
|
|
|
$
|
—
|
|
|
|
|
$
|
11,087,776
|
|
||
Interest expense on borrowings under repurchase agreements and FHLBC Advances, based on rates at December 31, 2015
|
17,972
|
|
|
9,564
|
|
|
—
|
|
|
|
|
27,536
|
|
||||||
Long-term operating lease obligation
|
327
|
|
|
716
|
|
|
756
|
|
|
999
|
|
|
2,798
|
|
|||||
Total
|
$
|
10,681,075
|
|
|
$
|
435,280
|
|
|
$
|
756
|
|
|
$
|
999
|
|
|
$
|
11,118,110
|
|
Interest Rate Swaps
|
|
Weighted-Average
|
|
Notional
|
|
Fair
|
||||
Expiration Year
|
|
Fixed Pay Rate
|
|
Amount
|
|
Value
|
||||
2017
|
|
0.82%
|
|
$
|
1,000,000
|
|
|
$
|
1,264
|
|
2018
|
|
1.00%
|
|
1,500,000
|
|
|
(557
|
)
|
||
2020
|
|
1.45%
|
|
1,750,000
|
|
|
(22,083
|
)
|
||
2021
|
|
1.21%
|
|
1,700,000
|
|
|
(3,157
|
)
|
||
2022
|
|
1.98%
|
|
500,000
|
|
|
(20,887
|
)
|
||
Total
|
|
1.23%
|
|
$
|
6,450,000
|
|
|
$
|
(45,420
|
)
|
|
|
|
|
|
|
|
||||
Interest Rate Caps
|
|
Weighted-Average
|
|
Notional
|
|
Fair
|
||||
Expiration Year
|
|
Cap Rate
|
|
Amount
|
|
Value
|
||||
2019
|
|
1.34%
|
|
$
|
800,000
|
|
|
$
|
2,988
|
|
2020
|
|
1.25%
|
|
1,700,000
|
|
|
12,929
|
|
||
Total
|
|
1.28%
|
|
$
|
2,500,000
|
|
|
$
|
15,917
|
|
Interest Rate Swaps
|
|
Weighted-Average
|
|
Notional
|
|
Fair
|
||||
Expiration Year
|
|
Fixed Pay Rate
|
|
Amount
|
|
Value
|
||||
2017
|
|
0.82%
|
|
$
|
2,250,000
|
|
|
$
|
8,968
|
|
2018
|
|
1.16%
|
|
2,000,000
|
|
|
2,913
|
|
||
2019
|
|
1.75%
|
|
800,000
|
|
|
(7,148
|
)
|
||
2020
|
|
1.49%
|
|
2,000,000
|
|
|
19,989
|
|
||
2022
|
|
1.93%
|
|
900,000
|
|
|
689
|
|
||
Total
|
|
1.29%
|
|
$
|
7,950,000
|
|
|
$
|
25,411
|
|
|
|
|
|
|
|
|
||||
Interest Rate Caps
|
|
Weighted-Average
|
|
Notional
|
|
Fair
|
||||
Expiration Year
|
|
Cap Rate
|
|
Amount
|
|
Value
|
||||
2019
|
|
1.34%
|
|
$
|
800,000
|
|
|
$
|
13,811
|
|
2020
|
|
1.25%
|
|
1,700,000
|
|
|
47,532
|
|
||
Total
|
|
1.28%
|
|
$
|
2,500,000
|
|
|
$
|
61,343
|
|
|
|
Carrying Value as of
|
||||||
Unencumbered Liquid Assets
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
Cash and cash equivalents
|
|
$
|
2,192
|
|
|
$
|
9,982
|
|
U.S. Treasuries
|
|
28,264
|
|
|
29,257
|
|
||
Agency RMBS
|
|
1,205,425
|
|
|
1,080,990
|
|
||
Total liquid assets
|
|
$
|
1,235,881
|
|
|
$
|
1,120,229
|
|
Unencumbered liquid assets as % of total stockholders' equity
|
|
70.3
|
%
|
|
66.2
|
%
|
|
|
September 30, 2016
|
||
Counterparty Region
|
|
Number of Counterparties
|
|
Percent of Total Outstanding Borrowings
|
North America
|
|
22
|
|
62.5%
|
Europe
|
|
8
|
|
23.2%
|
Asia
|
|
5
|
|
14.3%
|
|
|
35
|
|
100.0%
|
|
|
December 31, 2015
|
||
Counterparty Region
|
|
Number of Counterparties
|
|
Percent of Total Outstanding Borrowings
|
North America
|
|
22
|
|
64.4%
|
Europe
|
|
8
|
|
21.8%
|
Asia
|
|
5
|
|
13.8%
|
|
|
35
|
|
100.0%
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In millions)
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Outstanding at period end
|
$
|
9,621
|
|
|
$
|
10,928
|
|
|
$
|
9,621
|
|
|
$
|
10,928
|
|
Weighted-average rate at period end
|
0.77
|
%
|
|
0.44
|
%
|
|
0.77
|
%
|
|
0.44
|
%
|
||||
Average outstanding during period
(1)
|
$
|
10,111
|
|
|
$
|
11,245
|
|
|
$
|
10,086
|
|
|
$
|
11,268
|
|
Weighted-average rate during period
|
0.68
|
%
|
|
0.39
|
%
|
|
0.67
|
%
|
|
0.36
|
%
|
||||
Largest month end balance during period
|
$
|
10,787
|
|
|
$
|
11,690
|
|
|
$
|
10,787
|
|
|
$
|
11,984
|
|
(1)
|
Calculated based on the average month end balance of repurchase agreements and FHLBC Advances with initial maturities less than one year.
|
Change in Interest Rates
|
Projected Change in Our Net Income
(1)
|
|
Projected Change in the Fair Value of Our Assets (including hedging instruments)
(1)
|
|
Projected Change in Stockholders' Equity
|
|
|||
- 75 basis points
|
12.63
|
%
|
(2)
|
(0.06
|
)%
|
|
(0.48
|
)%
|
|
- 50 basis points
|
10.11
|
%
|
(2)
|
0.10
|
%
|
|
0.81
|
%
|
|
- 25 basis points
|
5.05
|
%
|
(2)
|
0.13
|
%
|
|
1.00
|
%
|
|
No Change
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
+ 25 basis points
|
(12.63
|
)%
|
|
(0.28
|
)%
|
|
(2.23
|
)%
|
|
+ 50 basis points
|
(25.27
|
)%
|
|
(0.71
|
)%
|
|
(5.62
|
)%
|
|
+ 75 basis points
|
(37.90
|
)%
|
|
(1.24
|
)%
|
|
(9.84
|
)%
|
|
Change in Interest Rates
|
Projected Change in Our Net Income
|
|
Projected Change in the Fair Value of Our Assets (including hedging instruments)
(1)
|
|
Projected Change in Stockholders' Equity
|
|
|||
- 75 basis points
|
5.56
|
%
|
(2)
|
0.34
|
%
|
|
2.66
|
%
|
|
- 50 basis points
|
4.45
|
%
|
(2)
|
0.39
|
%
|
|
2.99
|
%
|
|
- 25 basis points
|
2.22
|
%
|
(2)
|
0.26
|
%
|
|
2.05
|
%
|
|
No Change
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
+ 25 basis points
|
(5.56
|
)%
|
|
(0.39
|
)%
|
|
(2.99
|
)%
|
|
+ 50 basis points
|
(11.12
|
)%
|
|
(0.89
|
)%
|
|
(6.87
|
)%
|
|
+ 75 basis points
|
(16.67
|
)%
|
|
(1.48
|
)%
|
|
(11.43
|
)%
|
|
(1)
|
Analytics provided by The Yield Book
®
Software.
|
(2)
|
Given the historically low level of interest rates at
September 30, 2016
and
December 31, 2015
, we reduced 3-month LIBOR and our repo borrowing rates by 10, 20 and 25 bps for the 25, 50, and 75 down net income scenarios at
September 30, 2016
, and 10, 25 and 35 bps, for the 25, 50, and 75 down net income scenarios at
December 31, 2015
. All other interest rate-sensitive instruments were calculated in accordance with the table.
|
Period
|
|
Total Number of Shares Purchased
1
|
|
Average Price Paid Per Share
1
|
|
Dollar Value of Shares That May Yet Be Purchased
1
|
|||||
January 1, 2016 - January 31, 2016
|
|
—
|
|
|
$
|
—
|
|
|
$
|
160,796
|
|
February 1, 2016 - February 29, 2016
|
|
—
|
|
|
—
|
|
|
160,796
|
|
||
March 1, 2016 - March 31, 2016
|
|
510,618
|
|
|
7.82
|
|
|
156,794
|
|
||
April 1, 2016 - April 30, 2016
|
|
—
|
|
|
—
|
|
|
156,794
|
|
||
May 1, 2016 - May 31, 2016
|
|
162,548
|
|
|
7.93
|
|
|
155,502
|
|
||
June 1, 2016 - June 30, 2016
|
|
—
|
|
|
—
|
|
|
155,502
|
|
||
July 1, 2016 - July 31, 2016
|
|
—
|
|
|
—
|
|
|
155,502
|
|
||
August 1, 2016 - August 31, 2016
|
|
—
|
|
|
—
|
|
|
155,502
|
|
||
September 1, 2016 - September 30, 2016
|
|
—
|
|
|
—
|
|
|
155,502
|
|
||
Total
|
|
673,166
|
|
|
$
|
7.85
|
|
|
|
(a)
|
Exhibits.
|
Exhibit
Number
|
|
Description of Exhibit
|
|
|
|
3.1
(1)
|
|
Articles of Amendment and Restatement of CYS Investments, Inc.
|
|
|
|
3.2
(2)
|
|
Articles of Amendment to the Articles of Amendment and Restatement
|
|
|
|
3.3
(2)
|
|
Articles of Amendment to the Articles of Amendment and Restatement
|
|
|
|
3.4
(3)
|
|
Articles of Amendment to the Articles of Amendment and Restatement
|
|
|
|
3.5
(4)
|
|
Articles Supplementary of 7.75% Series A Cumulative Redeemable Preferred Stock
|
|
|
|
3.6
(5)
|
|
Articles Supplementary of 7.50% Series B Cumulative Redeemable Preferred Stock
|
|
|
|
3.7
(6)
|
|
Amended and Restated Bylaws of CYS Investments, Inc.
|
|
|
|
31.1*
|
|
Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002
|
|
|
|
31.2*
|
|
Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002
|
|
|
|
32.1**
|
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002
|
|
|
|
32.2**
|
|
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002
|
|
|
|
Exhibit 101.INS XBRL
|
|
Instance Document (7)
|
|
|
|
Exhibit 101.SCH XBRL
|
|
Taxonomy Extension Schema Document (7)
|
|
|
|
Exhibit 101.CAL XBRL
|
|
Taxonomy Extension Calculation Linkbase Document (7)
|
|
|
|
Exhibit 101.DEF XBRL
|
|
Additional Taxonomy Extension Definition Linkbase Document Created (7)
|
|
|
|
Exhibit 101.LAB XBRL
|
|
Taxonomy Extension Label Linkbase Document (7)
|
|
|
|
Exhibit 101.PRE XBRL
|
|
Taxonomy Extension Presentation Linkbase Document (7)
|
(1)
|
Incorporated by reference to the Registrant’s Registration Statement on Form S-11 filed with the Securities and Exchange Commission (File No. 333-142236).
|
(2)
|
Incorporated by reference to the Registrant’s Form 10-K filed with the Securities and Exchange Commission on February 10, 2010.
|
(3)
|
Incorporated by reference to the Registrant’s Current Report on Form 8-K filed with the Securities and Exchange Commission on September 1, 2011.
|
(4)
|
Incorporated by reference to the Registrant's Current Report on Form 8-K filed with the Securities and Exchange Commission on August 2, 2012.
|
(5)
|
Incorporated by reference to the Registrant's Current Report on Form 8-K filed with the Securities and Exchange Commission on April 29, 2013.
|
(6)
|
Incorporated by reference to the Registrant’s Form 10-K filed with the Securities and Exchange Commission on February 23, 2012.
|
(7)
|
Submitted electronically herewith. Attached as Exhibit 101 to this report are the following documents formatted in XBRL (Extensible Business Reporting Language): (i) Consolidated Balance Sheets at
September 30, 2016
(Unaudited) and
December 31, 2015
(Derived from the audited balance sheet at
December 31, 2015
); (ii) Consolidated Statements of Operations (Unaudited) for the
three and nine months ended September 30, 2016 and 2015
; (iii) Consolidated Statements of Stockholders' Equity (Unaudited) for the
nine
months ended
September 30, 2016
; (iv) Consolidated Statements of Cash Flows (Unaudited) for the
nine
months ended
September 30, 2016
and
2015
; and (v) Notes to Consolidated Financial Statements (Unaudited).
|
Dated:
October 27, 2016
|
BY:
/s/ JACK DECICCO
|
Exhibit
Number
|
|
Description
|
|
|
|
3.1
(1)
|
|
Articles of Amendment and Restatement of CYS Investments, Inc.
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3.2
(2)
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Articles of Amendment to the Articles of Amendment and Restatement
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3.3
(2)
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Articles of Amendment to the Articles of Amendment and Restatement
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3.4
(3)
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Articles of Amendment to the Articles of Amendment and Restatement
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3.5
(4)
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Articles Supplementary of 7.75% Series A Cumulative Redeemable Preferred Stock
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3.6
(5)
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Articles Supplementary of 7.50% Series B Cumulative Redeemable Preferred Stock
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3.7
(6)
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Amended and Restated Bylaws of CYS Investments, Inc.
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31.1*
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Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002
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31.2*
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Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002
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32.1**
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Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002
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32.2**
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Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002
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Exhibit 101.INS XBRL
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Instance Document (7)
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Exhibit 101.SCH XBRL
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Taxonomy Extension Schema Document (7)
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Exhibit 101.CAL XBRL
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Taxonomy Extension Calculation Linkbase Document (7)
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Exhibit 101.DEF XBRL
|
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Additional Taxonomy Extension Definition Linkbase Document Created (7)
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Exhibit 101.LAB XBRL
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Taxonomy Extension Label Linkbase Document (7)
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Exhibit 101.PRE XBRL
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Taxonomy Extension Presentation Linkbase Document (7)
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(1)
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Incorporated by reference to the Registrant’s Registration Statement on Form S-11 filed with the Securities and Exchange Commission (File No. 333-142236).
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(2)
|
Incorporated by reference to the Registrant’s Form 10-K filed with the Securities and Exchange Commission on February 10, 2010.
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(3)
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Incorporated by reference to the Registrant’s Current Report on Form 8-K filed with the Securities and Exchange Commission on September 1, 2011.
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(4)
|
Incorporated by reference to the Registrant's Current Report on Form 8-K filed with the Securities and Exchange Commission on August 2, 2012.
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(5)
|
Incorporated by reference to the Registrant's Current Report on Form 8-K filed with the Securities and Exchange Commission on April 29, 2013.
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(6)
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Incorporated by reference to the Registrant’s Form 10-K filed with the Securities and Exchange Commission on February 23, 2012.
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(7)
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Submitted electronically herewith. Attached as Exhibit 101 to this report are the following documents formatted in XBRL (Extensible Business Reporting Language): (i) Consolidated Balance Sheets at
September 30, 2016
(Unaudited) and
December 31, 2015
(derived from the audited balance sheet at
December 31, 2015
); (ii) Consolidated Statements of Operations (Unaudited) for the
three and nine months ended September 30, 2016 and 2015
; (iii) Consolidated Statements of Stockholders' Equity (Unaudited) for the
nine
months ended
September 30, 2016
and 2015; (iv) Consolidated Statements of Cash Flows (Unaudited) for the
nine
months ended
September 30, 2016
and 2015; and (v) Notes to Consolidated Financial Statements (Unaudited).
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