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time.
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x
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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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¨
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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Delaware
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26-0489289
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(State or Other Jurisdiction of Incorporation or Organization)
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(I.R.S. Employer Identification No.)
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53 Forest Avenue, Old Greenwich, Connecticut 06870
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(Address of Principal Executive Offices) (Zip Code)
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Title of each class
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Name of each exchange on which registered
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Common stock, par value $0.001 per share
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New York Stock Exchange
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Large Accelerated Filer
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¨
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Accelerated Filer
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x
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Non-Accelerated Filer
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¨
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Smaller Reporting Company
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x
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Emerging Growth Company
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¨
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Item No.
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Form 10-K Report Page
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PART I
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1.
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1A.
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1B.
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2.
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3.
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4.
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PART II
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5.
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Market for Registrant's Common Equity, Related Shareholder Matters and Issuer Purchases of Equity Securities
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6.
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7.
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7A.
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8.
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Financial Statements
and Supplementary Data
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9.
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9A.
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9B.
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Other Information
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PART III
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10.
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11.
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12.
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13.
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14.
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Principal Accountant Fees and Services
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PART IV
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15.
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16.
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Form 10-K Summary
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•
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residential mortgage-backed securities, or "RMBS," backed by loans for which the principal and interest payments are not guaranteed by a U.S. government agency or a U.S. government-sponsored entity, collectively referred to as "non-Agency RMBS" if issued in the United States;
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•
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RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity, or "Agency RMBS";
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•
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commercial mortgage-backed securities, or "CMBS," commercial mortgage loans and other commercial real estate debt;
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•
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residential mortgage loans, including mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans," non-performing and re-performing residential mortgage loans, or "residential NPLs," including "legacy" (i.e. issued before the 2008 financial crisis) NPLs, and residential transition loans;
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•
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consumer loans and asset-backed securities, or "ABS," backed by consumer loans;
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collateralized loan obligations, or "CLOs";
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other investments, including strategic investments in companies from which we purchase, or may in the future purchase, targeted assets.
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To-Be-Announced mortgage pass-through certificates, or "TBAs";
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•
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interest rate swaps (including floating-to-fixed, fixed-to-floating, or more complex swaps such as floating-to-inverse floating, callable or non-callable);
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•
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collateralized mortgage obligations, or "CMOs";
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•
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U.S. Treasury securities;
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•
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swaptions, caps, floors, and other derivatives on interest rates;
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futures and forward contracts; and
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•
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options on any of the foregoing.
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•
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the selection, purchase, and sale of assets in our portfolio;
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our financing and risk management activities;
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providing us with advisory services; and
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providing us with a management team, inclusive of a partially dedicated Chief Financial Officer and appropriate support personnel as necessary.
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•
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our Manager's continued material breach of any provision of the management agreement following a period of 30 days after written notice of such breach;
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•
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our Manager's fraud, misappropriation of funds, or embezzlement against us;
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•
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our Manager's gross negligence in performance of its duties under the management agreement;
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the occurrence of certain events with respect to the bankruptcy or insolvency of our Manager, including, but not limited to, an order for relief in an involuntary bankruptcy case or our Manager authorizing or filing a voluntary bankruptcy petition;
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the dissolution of our Manager; and
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certain changes of control of our Manager, including but not limited to the departure of Mr. Vranos from senior management of Ellington, whether through resignation, retirement, withdrawal, long-term disability, death or termination of employment with or without cause or for any other reason.
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•
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Cross Transactions—
defined as transactions between us or one of our subsidiaries, on the one hand, and an account (other than us or one of our subsidiaries) managed by Ellington or our Manager, on the other hand. It is Ellington's policy to engage in a cross transaction only when the transaction is in the best interests of, and is consistent with the objectives and policies of, both accounts involved in the transaction. Pursuant to the terms of the management agreement, Ellington or our Manager may enter into cross transactions where it acts both on our behalf and on behalf of the other party to the transaction. Although we believe such restrictions on our Manager's ability to engage in cross transactions on our behalf mitigate many risks, cross transactions, even at market prices, may potentially create a conflict of interest between our Manager's and our officers' duties to and interests in us and their duties to and interests in the other party. Upon written notice to our Manager, we may at any time revoke our consent to our Manager's executing cross transactions. Additionally, unless approved in advance by a majority of our independent directors or pursuant to and in accordance with a policy that has been approved by a majority of our independent directors, all cross transactions must be effected at the then-prevailing market prices. Pursuant to our Manager's current policies and procedures, assets for which there are no readily observable market prices may be purchased or sold in cross transactions (i) at prices based upon third-party bids received through auction, (ii) at the average of the highest bid and lowest offer quoted by third-party dealers, or (iii) according to another pricing methodology approved by our Manager's Chief Compliance Officer.
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•
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Principal Transactions—
defined as transactions between Ellington or our Manager (or any related party of Ellington or our Manager, which includes employees of Ellington and our Manager and their families), on the one hand, and us or one of our subsidiaries, on the other hand. Certain cross transactions may also be considered principal transactions whenever our Manager or Ellington (or any related party of Ellington or our Manager, which includes employees of Ellington and our Manager and their families) have a substantial ownership interest in one of the transacting parties. Our Manager is only authorized to execute principal transactions with the prior approval of a majority of our
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Investment in Other Ellington Accounts—
pursuant to our management agreement, if we invest at issuance in the equity of any CDO that is managed, structured, or originated by Ellington or one of its affiliates, or if we invest in any other investment fund or other investment for which Ellington or one of its affiliates receives management, origination, or structuring fees, then, unless agreed otherwise by a majority of the Company's independent directors, the base management and incentive fees payable by us to our Manager will be reduced by an amount equal to the applicable portion (as described in the management agreement) of any such management, origination or structuring fees.
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Split Price Executions—
pursuant to our management agreement, our Manager is authorized to combine purchase or sale orders on our behalf together with orders for other accounts managed by Ellington, our Manager or their affiliates and allocate the securities or other assets so purchased or sold, on an average price basis or other fair and consistent basis, among such accounts.
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•
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it is, or holds itself out as being, engaged primarily, or proposes to engage primarily, in the business of investing, reinvesting, or trading in securities (Section 3(a)(1)(A)); or
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it is engaged or proposes to engage in the business of investing, reinvesting, owning, holding, or trading in securities and does own or proposes to acquire "investment securities" having a value exceeding 40% of the value of its total assets (excluding U.S. government securities and cash) on an unconsolidated basis, or "the 40% Test" (Section 3(a)(1)(C)). "Investment securities" excludes U.S. government securities and securities of majority-owned subsidiaries that are not themselves investment companies and are not relying on the exception from the definition of investment company for private funds under Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act.
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collateral cash flows and/or liability structures may be incorrectly modeled in all or only certain scenarios, or may be modeled based on simplifying assumptions that lead to errors;
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information about assets or the underlying collateral may be incorrect, incomplete, or misleading;
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asset, collateral or MBS historical performance (such as historical prepayments, defaults, cash flows, etc.) may be incorrectly reported, or subject to interpretation (e.g., different MBS issuers may report delinquency statistics based on
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asset, collateral or MBS information may be outdated, in which case the models may contain incorrect assumptions as to what has occurred since the date information was last updated.
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tenant mix;
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declines in tenant income and/or changes to tenant businesses;
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property management decisions;
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property location, condition, and design;
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new construction of competitive properties;
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•
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changes in laws that increase operating expenses or limit rents that may be charged;
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•
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changes in national, regional, or local economic conditions and/or specific industry segments, including the credit and securitization markets;
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declines in regional or local real estate values;
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•
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declines in regional or local rental or occupancy rates;
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•
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increases in interest rates, real estate tax rates, and other operating expenses;
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•
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costs of remediation and liabilities associated with environmental conditions;
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•
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the potential for uninsured or underinsured property losses;
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•
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changes in governmental laws and regulations, including fiscal policies, zoning ordinances and environmental legislation, and the related costs of compliance; and
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acts of God, terrorist attacks, social unrest, and civil disturbances.
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declines in the value of real estate;
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acts of God, including earthquakes, floods, wildfires, hurricanes, mudslides, volcanic eruptions and other natural disasters, which may result in uninsured losses;
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acts of war or terrorism, including the consequences of terrorist attacks, such as those that occurred on September 11, 2001;
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adverse changes in national and local economic and market conditions;
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changes in governmental laws and regulations, fiscal policies and zoning ordinances and the related costs of compliance with laws and regulations, fiscal policies and zoning ordinances;
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costs of remediation and liabilities associated with environmental conditions such as indoor mold;
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potential liabilities for other legal actions related to property ownership including tort claims; and
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the potential for uninsured or under-insured property losses.
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our Manager may fail to correctly assess the degree of correlation between the hedging instruments and the assets
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our Manager may fail to recalculate, re-adjust, and execute hedges in an efficient and timely manner;
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the hedging transactions may actually result in poorer overall performance for us than if we had not engaged in the hedging transactions;
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credit hedging can be expensive, particularly when the market is forecasting future credit deterioration and when markets are more illiquid;
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interest rate hedging can be expensive, particularly during periods of volatile interest rates;
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available hedges may not correspond directly with the risks for which protection is sought;
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the durations of the hedges may not match the durations of the related assets or liabilities being hedged;
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many hedges are structured as over-the-counter contracts with counterparties whose creditworthiness is not guaranteed, raising the possibility that the hedging counterparty may default on their payment obligations;
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to the extent that the creditworthiness of a hedging counterparty deteriorates, it may be difficult or impossible to terminate or assign any hedging transactions with such counterparty; and
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•
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our hedging instruments are generally structured as derivative contracts and, as a result, are subject to additional risks such as those described above under "—Our lenders and derivative counterparties may require us to post additional collateral, which may force us to liquidate assets, and if we fail to post sufficient collateral our debts may be accelerated and/or our derivative contracts terminated on unfavorable terms" and below under"—Our use of derivatives may expose us to counterparty risk."
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whether the market price of our common stock will reflect our actual financial performance;
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the liquidity of our common stock;
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the ability of any holder to sell common stock; or
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•
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the prices that may be obtained for our common stock.
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actual or anticipated variations in our quarterly operating results or dividends;
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changes in our earnings estimates, failure to meet earnings or operating results expectations of public market analysts and investors, or publication of research reports about us or the real estate specialty finance industry;
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increases in market interest rates that lead purchasers of our common stock to demand a higher yield;
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repurchases and issuances by us of our common stock;
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passage of legislation, changes in applicable law, court rulings, enforcement actions, or regulatory developments that adversely affect us or our industry;
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changes in government policies or changes in timing of implementation of government policies, including with respect to Fannie Mae, Freddie Mac, and Ginnie Mae;
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changes in market valuations of similar companies;
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adverse market reaction to any increased indebtedness we incur in the future;
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additions or departures of key management personnel;
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actions by stockholders;
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speculation in the press or investment community;
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general market and economic conditions;
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•
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our inclusion in, or exclusion from, various stock indices;
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•
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our operating performance and the performance of other similar companies; and
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changes in accounting principles.
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our inability to realize positive or attractive returns on our portfolio, whether because of defaults in our portfolio, decreases in the value of our portfolio, or otherwise;
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margin calls or other expenditures that reduce our cash flow and impact our liquidity; and
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increases in actual or estimated operating expenses.
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allowing only our Board of Directors to fill newly created directorships resulting from any increase in the authorized number of directors and any vacancies in the Board of Directors resulting from death, resignation, retirement, disqualification, removal from office or other cause, even if the remaining directors do not constitute a quorum;
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requiring advance notice for our stockholders to nominate candidates for election to our Board of Directors or to propose business to be considered by our stockholders at a meeting of stockholders;
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the ability of our Board of Directors to cause us to issue additional authorized but unissued shares of common stock or preferred stock without the approval of our stockholders;
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the ability of the Board of Directors to amend, modify or repeal our bylaws without the approval of our stockholders;
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restrictions on the ability of stockholders to call a special meeting without a majority of all the votes entitled to be cast at such meeting; and
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limitations on the ability of stockholders to act by written consent.
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•
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before that person became an interested stockholder, our board of directors approved the transaction in which the interested stockholder became an interested stockholder or approved the business combination;
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•
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upon completion of the transaction that resulted in the interested stockholder becoming an interested stockholder, the interested stockholder owned at least 85% of our voting stock outstanding at the time the transaction commenced, excluding for purposes of determining the voting stock outstanding (but not the outstanding voting stock owned by the interested stockholder) stock held by directors who are also officers of our company and by employee stock plans that do not provide employees with the right to determine confidentially whether shares held under the plan will be tendered in a tender or exchange offer; and
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following the transaction in which that person became an interested stockholder, the business combination is approved by our board of directors and authorized at a meeting of stockholders by the affirmative vote of the holders of at least two-thirds of our outstanding voting stock not owned by the interested stockholder.
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Plan Category
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Number of securities to be issued upon exercise of outstanding options, warrants and rights (a)
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Weighted-average exercise price of our outstanding options, warrants and rights (b)
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Number of securities remaining available for future issuance under equity compensation plans (excluding securities reflected in column (a)) (c)
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Equity compensation plans approved by security holders
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521,371
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(1)
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N/A
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1,874,223
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(2)
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(1)
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Represents OP LTIP Units, which are a separate non-voting class of limited liability company interests structured as profits interests. Subject to certain forfeiture provisions, the OP LTIP Units, may be converted, at the election of the holder or at any time at our election, into OP Units on a one-for-one basis. Subject to certain conditions, the OP Units are redeemable by the holder for an equivalent number of shares of our common stock or, at our election for the cash value of such shares of our common stock. Of the 521,371 OP LTIP Units outstanding as of December 31, 2018, 91,738 were originally issued as LTIP Units pursuant to our 2007 Incentive Plan for Individuals (the "2007 Individual Plan"), 375,000 were originally issued as LTIP Units pursuant to our 2007 Incentive Plan for Entities (the “2007 Entity Plan”), 37,250 were originally issued as LTIP Units pursuant to our 2017 Equity Incentive Plan (the "2017 Plan," together with the 2007 Individual Plan, and the 2007 Entity Plan, the “Incentive Plans”), and 17,383 were issued pursuant to the 2017 Plan. On December 31, 2018, we redeemed all 503,988 of our outstanding LTIP Units which we had originally issued under our Incentive Plans, with each LTIP unitholder receiving in exchange an equal number of OP LTIP Units (the "Redemption Transaction").
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(2)
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As of December 31, 2018, a total of 1,874,223 shares of our common stock and OP LTIP Units remain available for issuance under our 2017 Plan. The 2007 Individual Plan and the 2007 Entity Plan terminated upon stockholder approval of the 2017 Plan in May 2017 and no further grants may be made under those plans. In the event that an award granted under the 2017 Plan (including OP LTIP Units) expires, is forfeited or is terminated without having been exercised or is paid in cash without a requirement for the delivery of shares of our common stock, then any shares of our common stock covered by such lapsed, canceled, expired, unexercised or cash-settled portion of such award and any forfeited, lapsed, canceled, or expired OP LTIP Units shall be available for the grant of other awards under the 2017 Plan. Shares of our common stock tendered or withheld to satisfy the grant or exercise price or tax withholding obligation pursuant to any award will not be available for future grants or awards.
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Total Number of Shares Purchased
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Average Price Paid per Share
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Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs
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Maximum Number of Shares that May Yet be Purchased Under the Plans or Programs
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October 1, 2018–October 31, 2018
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105,734
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$
|
15.55
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105,734
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1,444,266
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November 1, 2018–November 30, 2018
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75,572
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|
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15.47
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75,572
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1,368,694
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December 1, 2018–December 31, 2018
|
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179,784
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15.16
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179,784
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1,188,910
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Total
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361,090
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$
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15.34
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361,090
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1,188,910
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Asset Class
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Principal Assets
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Agency RMBS
|
.
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Whole pool pass-through certificates;
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.
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Partial pool pass-through certificates;
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.
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Agency collateralized mortgage obligations, or "CMOs," including interest only securities, or "IOs," principal only securities, or "POs," inverse interest only securities, or "IIOs"; and
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.
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To-Be-Announced mortgage pass-through certificates, or "TBAs."
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CLOs
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Retained tranches from CLO securitizations, including participating in the accumulation of the underlying assets for such securitization by providing capital to the vehicle accumulating assets.
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CMBS and Commercial Mortgage Loans
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CMBS; and
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.
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Commercial mortgages and other commercial real estate debt.
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Consumer Loans and ABS
|
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Consumer loans;
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.
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ABS backed by consumer loans; and
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.
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Retained tranches from securitizations to which we have contributed assets.
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Mortgage-Related Derivatives
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.
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Credit Default Swaps, or "CDS," on individual RMBS, on the ABX, CMBX and PrimeX indices and on other mortgage-related indices; and
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.
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Other mortgage-related derivatives.
|
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Non-Agency RMBS
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.
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RMBS backed by prime jumbo, Alt-A, manufactured housing, and subprime mortgages;
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.
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RMBS backed by fixed rate mortgages, Adjustable rate mortgages, or "ARMs," Option-ARMs, and Hybrid ARMs;
|
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.
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RMBS backed by first lien and second lien mortgages;
|
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.
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Investment grade and non-investment grade securities;
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.
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Senior and subordinated securities;
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||
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.
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IOs, POs, IIOs, and inverse floaters; and
|
||
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.
|
Collateralized debt obligations, or "CDOs."
|
||
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Residential Mortgage Loans
|
.
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Residential non-performing mortgage loans, or "NPLs";
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|
.
|
Re-performing loans, or "RPLs," which generally are loans that were modified and/or formerly NPLs where the borrower has resumed making payments in some form or amount;
|
||
|
.
|
Residential transition loans;
|
||
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.
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Non-QM loans; and
|
||
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.
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Retained tranches from securitizations to which we have contributed assets.
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Other
|
.
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Real estate, including commercial and residential real property;
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.
|
Strategic debt and/or equity investments in loan originators and mortgage-related entities;
|
|
|
.
|
Mortgage servicing rights, or "MSRs";
|
|
|
.
|
Credit risk transfer securities, or "CRTs"; and
|
|
|
.
|
Other non-mortgage-related derivatives.
|
|
|
•
|
TBAs;
|
|
•
|
interest rate swaps (including floating-to-fixed, fixed-to-floating, floating-to-floating, or more complex swaps such as
|
|
•
|
CMOs;
|
|
•
|
U.S. Treasury securities;
|
|
•
|
swaptions, caps, floors, and other derivatives on interest rates;
|
|
•
|
futures and forward contracts; and
|
|
•
|
options on any of the foregoing.
|
|
•
|
The U.S. Federal Reserve, or "Federal Reserve," raised the target range for the federal funds rate four times in 2018, and ended the year with a target range of 2.25%-
2.50%. After the final raise of the year, in December, the Federal Reserve moderated its language about future rate increases, and indicated that future rate decisions will be highly data-dependent. At the January 2019 Federal Open Market Committee meeting ("January 2019 FOMC Meeting"), the Federal Reserve left the target range unchanged, while the minutes from that meeting noted that the committee will be “patient” as it determines future adjustments to the target range.
|
|
•
|
LIBOR rates, which drive many of our financing costs, increased during 2018, with one-month LIBOR increasing 94 basis points over the course of the year, to 2.50%, and three-month LIBOR rising 111 basis points to 2.81%. The spread between one- and three-month LIBOR widened to 30 basis points at the end of 2018, as compared to 13 basis points at the end of 2017.
|
|
•
|
Over the course of 2018, the 2-year U.S. Treasury yield increased 60 basis points and finished the year at 2.49%, while the 10-year U.S. Treasury yield increased 28 basis points to 2.68%. At year end, the spread between the 2-year U.S. Treasury yield and 10-year U.S. Treasury yield was just 20 basis points, compared to 52 basis points at the end of 2017, and 126 basis points at the end of 2016. The Treasury yield curve has now flattened for eight consecutive quarters, and has periodically been inverted recently in the two-to-five year sector.
|
|
•
|
At the beginning of each quarter of 2018, the Federal Reserve increased the amount of the tapering of its reinvestments, in line with the tapering schedule it had laid out in September 2017, with the stated objective that its securities portfolio would run off until reaching a level no larger "than necessary to implement monetary policy efficiently and effectively." The tapering of reinvestments reached their previously scheduled caps in October 2018, at $20 billion per month for Agency RMBS and $30 billion per month for U.S. Treasuries. However, at the January 2019 FOMC Meeting, the Federal Reserve indicated that it might deviate from its previously announced tapering schedule going forward, "if future economic conditions were to warrant" a more accommodative monetary policy than can be achieved solely by reducing the federal funds rate.
|
|
•
|
Mortgage rates steadily increased during the first eleven months of 2018, before reversing course in December. The Freddie Mac survey 30-year mortgage rate rose 82 basis points between year-end 2017 and the end of November, before declining 26 basis points to end the year at 4.55%. Overall, Agency RMBS prepayment rates were muted throughout the year. The Mortgage Bankers Association's Refinance Index, which measures refinancing application
|
|
|
|
As of December 31, 2018
|
|
As of December 31, 2017
|
||||||||||
|
($ in thousands)
|
|
Fair Value
(1)
|
|
% of Total Long Credit Portfolio
|
|
Fair Value
(1)
|
|
% of Total Long Credit Portfolio
|
||||||
|
Dollar Denominated:
|
|
|
|
|
|
|
|
|
||||||
|
CLOs
(2)
|
|
$
|
123,893
|
|
|
8.4
|
%
|
|
$
|
184,569
|
|
|
18.0
|
%
|
|
CMBS
|
|
18,426
|
|
|
1.2
|
%
|
|
29,144
|
|
|
2.8
|
%
|
||
|
Commercial Mortgage Loans and Real Estate Owned, or "REO"
(3)
|
|
245,536
|
|
|
16.6
|
%
|
|
133,987
|
|
|
13.1
|
%
|
||
|
Consumer Loans and ABS Backed by Consumer Loans
(2)
|
|
209,922
|
|
|
14.2
|
%
|
|
138,202
|
|
|
13.5
|
%
|
||
|
Corporate Debt and Equity
|
|
6,179
|
|
|
0.4
|
%
|
|
8,206
|
|
|
0.8
|
%
|
||
|
Debt and Equity Investments in Loan Origination Entities
|
|
37,067
|
|
|
2.5
|
%
|
|
29,017
|
|
|
2.8
|
%
|
||
|
Residential Mortgage Loans and REO
|
|
498,126
|
|
|
33.7
|
%
|
|
183,063
|
|
|
17.9
|
%
|
||
|
Non-Agency RMBS
|
|
153,214
|
|
|
10.4
|
%
|
|
159,743
|
|
|
15.6
|
%
|
||
|
Non-Dollar Denominated:
|
|
|
|
|
|
|
|
|
||||||
|
CLO
|
|
—
|
|
|
—
|
%
|
|
31,280
|
|
|
3.1
|
%
|
||
|
CMBS
|
|
15,482
|
|
|
1.0
|
%
|
|
11,601
|
|
|
1.1
|
%
|
||
|
Consumer Loans and ABS Backed by Consumer Loans
|
|
884
|
|
|
0.1
|
%
|
|
2,749
|
|
|
0.3
|
%
|
||
|
Corporate Debt and Equity
|
|
10,810
|
|
|
0.7
|
%
|
|
13,463
|
|
|
1.3
|
%
|
||
|
RMBS
(4)
|
|
160,342
|
|
|
10.8
|
%
|
|
99,923
|
|
|
9.7
|
%
|
||
|
Total Long Credit
|
|
$
|
1,479,881
|
|
|
100.0
|
%
|
|
$
|
1,024,947
|
|
|
100.0
|
%
|
|
(1)
|
This information does not include U.S. Treasury securities, interest rate swaps, TBA positions, positions related to our corporate credit relative value strategy, or other hedge positions.
|
|
(2)
|
Includes equity investment in a securitization-related vehicle.
|
|
(3)
|
Includes equity investment in a limited liability company holding small balance commercial mortgage loans.
|
|
(4)
|
Includes RMBS secured by non-performing loans and REO, and an investment in an entity holding a securitization call right.
|
|
|
|
As of December 31, 2018
|
|
As of December 31, 2017
|
||||||||||
|
($ in thousands)
|
|
Fair Value
|
|
% of Long Agency Portfolio
|
|
Fair Value
|
|
% of Long Agency Portfolio
|
||||||
|
Long Agency RMBS:
(1)
|
|
|
|
|
|
|
|
|
||||||
|
Fixed Rate
|
|
$
|
884,870
|
|
|
90.7
|
%
|
|
$
|
768,751
|
|
|
88.2
|
%
|
|
Floating Rate
|
|
5,496
|
|
|
0.6
|
%
|
|
8,067
|
|
|
0.9
|
%
|
||
|
Reverse Mortgages
|
|
55,475
|
|
|
5.7
|
%
|
|
60,866
|
|
|
7.0
|
%
|
||
|
IOs
|
|
29,516
|
|
|
3.0
|
%
|
|
34,150
|
|
|
3.9
|
%
|
||
|
Total Long Agency RMBS
(1)
|
|
975,357
|
|
|
100.0
|
%
|
|
871,834
|
|
|
100.0
|
%
|
||
|
Net Short TBAs
(1)
|
|
(298,104
|
)
|
|
|
|
(336,509
|
)
|
|
|
||||
|
Net Agency Portfolio
|
|
$
|
677,253
|
|
|
|
|
$
|
535,325
|
|
|
|
||
|
(1)
|
Long TBA positions, with a fair value of $474.9 million and $123.7 million, as of December 31, 2018 and 2017, respectively, are included in Net Short TBAs, and are not included in Long Agency RMBS.
|
|
|
|
|
|
Three-Month Period Ended
|
||||||
|
|
|
December 31, 2018
|
|
September 30, 2018
|
|
June 30,
2018
|
|
March 31, 2018
(2)
|
|
December 31, 2017
(2)
|
|
Three-Month Constant Prepayment Rates
(1)
|
|
7.5%
|
|
8.4%
|
|
8.3%
|
|
7.7%
|
|
9.8%
|
|
(1)
|
Excludes Agency fixed-rate RMBS without any prepayment history.
|
|
(2)
|
Prior period calculation methodology has been conformed to current period calculation methodology.
|
|
|
|
|
|
December 31, 2018
|
|
December 31, 2017
|
|||||||||||||||||||
|
|
|
Coupon
|
|
Current Principal
|
|
Fair Value
|
|
Weighted
Average Loan
Age (Months)
|
|
Current Principal
|
|
Fair Value
|
|
Weighted
Average Loan
Age (Months)
|
|||||||||||
|
|
|
|
|
(In thousands)
|
|
|
|
(In thousands)
|
|
|
|||||||||||||||
|
Fixed-rate Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
15-year fixed-rate mortgages:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
|
|
3.00
|
|
|
$
|
13,242
|
|
|
$
|
13,237
|
|
|
38
|
|
|
$
|
25,702
|
|
|
$
|
26,241
|
|
|
23
|
|
|
|
|
3.50
|
|
|
50,938
|
|
|
51,630
|
|
|
41
|
|
|
63,241
|
|
|
65,684
|
|
|
30
|
|
||||
|
|
|
4.00
|
|
|
6,614
|
|
|
6,720
|
|
|
64
|
|
|
9,619
|
|
|
10,093
|
|
|
52
|
|
||||
|
|
|
4.50
|
|
|
2,177
|
|
|
2,265
|
|
|
93
|
|
|
2,794
|
|
|
2,973
|
|
|
81
|
|
||||
|
Total 15-year fixed-rate mortgages
|
|
|
|
72,971
|
|
|
73,852
|
|
|
44
|
|
|
101,356
|
|
|
104,991
|
|
|
32
|
|
|||||
|
20-year fixed-rate mortgages:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
|
|
4.00
|
|
|
1,478
|
|
|
1,526
|
|
|
62
|
|
|
1,633
|
|
|
1,728
|
|
|
81
|
|
||||
|
|
|
4.50
|
|
|
976
|
|
|
1,021
|
|
|
61
|
|
|
1,023
|
|
|
1,099
|
|
|
50
|
|
||||
|
Total 20-year fixed-rate mortgages
|
|
|
|
2,454
|
|
|
2,547
|
|
|
62
|
|
|
2,656
|
|
|
2,827
|
|
|
69
|
|
|||||
|
30-year fixed-rate mortgages:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
|
|
2.50
|
|
|
524
|
|
|
495
|
|
|
62
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
|
|
3.00
|
|
|
6,087
|
|
|
5,973
|
|
|
56
|
|
|
9,889
|
|
|
9,938
|
|
|
48
|
|
||||
|
|
|
3.28
|
|
|
109
|
|
|
106
|
|
|
78
|
|
|
112
|
|
|
112
|
|
|
66
|
|
||||
|
|
|
3.50
|
|
|
146,664
|
|
|
147,204
|
|
|
28
|
|
|
142,819
|
|
|
147,579
|
|
|
17
|
|
||||
|
|
|
3.75
|
|
|
2,508
|
|
|
2,537
|
|
|
17
|
|
|
2,906
|
|
|
3,025
|
|
|
5
|
|
||||
|
|
|
4.00
|
|
|
310,389
|
|
|
318,520
|
|
|
29
|
|
|
293,113
|
|
|
308,760
|
|
|
24
|
|
||||
|
|
|
4.50
|
|
|
190,413
|
|
|
198,214
|
|
|
25
|
|
|
135,362
|
|
|
144,978
|
|
|
31
|
|
||||
|
|
|
5.00
|
|
|
95,089
|
|
|
100,092
|
|
|
24
|
|
|
37,959
|
|
|
41,078
|
|
|
59
|
|
||||
|
|
|
5.50
|
|
|
28,507
|
|
|
30,335
|
|
|
15
|
|
|
2,851
|
|
|
3,134
|
|
|
110
|
|
||||
|
|
|
6.00
|
|
|
4,647
|
|
|
4,995
|
|
|
32
|
|
|
2,071
|
|
|
2,329
|
|
|
94
|
|
||||
|
Total 30-year fixed-rate mortgages
|
|
|
|
784,937
|
|
|
808,471
|
|
|
27
|
|
|
627,082
|
|
|
660,933
|
|
|
27
|
|
|||||
|
Total fixed-rate Agency RMBS
|
|
|
|
$
|
860,362
|
|
|
$
|
884,870
|
|
|
29
|
|
|
$
|
731,094
|
|
|
$
|
768,751
|
|
|
28
|
|
|
|
|
|
As of
|
||||||
|
($ in thousands)
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
|
Recourse
(1)
Borrowings:
|
|
|
|
|
||||
|
Reverse Repurchase Agreements
|
|
$
|
1,498,849
|
|
|
$
|
1,209,315
|
|
|
Other Secured Borrowings
|
|
13,150
|
|
|
—
|
|
||
|
Existing Senior Notes, at par
|
|
86,000
|
|
|
86,000
|
|
||
|
Total Recourse Borrowings
|
|
$
|
1,597,999
|
|
|
$
|
1,295,315
|
|
|
Debt-to-Equity Ratio Based on Total Recourse Borrowings
|
|
2.68:1
|
|
|
2.09:1
|
|
||
|
Debt-to-Equity Ratio Based on Total Recourse Borrowings Excluding U.S. Treasury Securities
|
|
2.68:1
|
|
|
2.09:1
|
|
||
|
Non-Recourse
(1)
Borrowings:
|
|
|
|
|
||||
|
Other Secured Borrowings
|
|
$
|
100,950
|
|
|
$
|
57,909
|
|
|
Other Secured Borrowings, at fair value
(2)
|
|
297,948
|
|
|
125,105
|
|
||
|
Total Recourse and Non-Recourse Borrowings
|
|
$
|
1,996,897
|
|
|
$
|
1,478,329
|
|
|
Debt-to-Equity Ratio Based on Total Recourse and Non-Recourse Borrowings
|
|
3.36:1
|
|
|
2.38:1
|
|
||
|
Debt-to-Equity Ratio Based on Total Recourse and Non-Recourse Borrowings Excluding U.S. Treasury Securities
|
|
3.35:1
|
|
|
2.38:1
|
|
||
|
(1)
|
All of our non-recourse borrowings are secured by collateral. In the event of default under a non-recourse borrowing, the lender has a claim against the collateral but not any of our other assets. In the event of default under a recourse borrowing, the lender's claim is not limited to the collateral (if any).
|
|
(2)
|
Relates to our non-QM loan securitizations, where we have elected the fair value option on the related debt.
|
|
|
|
December 31, 2018
|
December 31, 2017
|
|||||||||||||
|
(In thousands)
|
|
Fair Value
|
|
Cost
|
|
Fair Value
|
|
Cost
|
||||||||
|
Long:
|
|
|
|
|
|
|
|
|
||||||||
|
Credit:
|
|
|
|
|
|
|
|
|
||||||||
|
Dollar Denominated:
|
|
|
|
|
|
|
|
|
||||||||
|
CLO
(2)
|
|
$
|
123,893
|
|
|
$
|
139,424
|
|
|
$
|
184,569
|
|
|
$
|
189,234
|
|
|
CMBS
|
|
18,426
|
|
|
17,828
|
|
|
29,144
|
|
|
31,228
|
|
||||
|
Commercial Mortgage Loans and REO
(3)
|
|
245,536
|
|
|
244,193
|
|
|
133,987
|
|
|
133,498
|
|
||||
|
Consumer Loans and ABS Backed by Consumer Loans
(2)
|
|
209,922
|
|
|
218,895
|
|
|
138,202
|
|
|
148,657
|
|
||||
|
Corporate Debt and Equity
|
|
15,316
|
|
|
17,526
|
|
|
59,452
|
|
|
59,974
|
|
||||
|
Debt and Equity Investments in Loan Origination Entities
|
|
37,067
|
|
|
28,314
|
|
|
29,017
|
|
|
28,218
|
|
||||
|
Non-Agency RMBS
|
|
153,214
|
|
|
141,130
|
|
|
159,743
|
|
|
146,606
|
|
||||
|
Residential Mortgage Loans and REO
|
|
498,126
|
|
|
495,551
|
|
|
183,063
|
|
|
180,682
|
|
||||
|
Non-Dollar Denominated:
|
|
|
|
|
|
|
|
|
||||||||
|
CLO
|
|
—
|
|
|
—
|
|
|
31,280
|
|
|
28,957
|
|
||||
|
CMBS
|
|
15,482
|
|
|
16,510
|
|
|
11,601
|
|
|
10,846
|
|
||||
|
Consumer Loans and ABS Backed by Consumer Loans
|
|
884
|
|
|
761
|
|
|
2,749
|
|
|
1,075
|
|
||||
|
Corporate Debt and Equity
|
|
10,810
|
|
|
11,821
|
|
|
13,463
|
|
|
13,785
|
|
||||
|
RMBS
(4)
|
|
160,342
|
|
|
168,289
|
|
|
99,923
|
|
|
95,672
|
|
||||
|
Agency:
|
|
|
|
|
|
|
|
|
||||||||
|
Fixed-Rate Specified Pools
|
|
884,870
|
|
|
904,048
|
|
|
768,751
|
|
|
774,696
|
|
||||
|
Floating-Rate Specified Pools
|
|
5,496
|
|
|
5,627
|
|
|
8,067
|
|
|
8,135
|
|
||||
|
IOs
|
|
29,516
|
|
|
30,399
|
|
|
34,150
|
|
|
35,157
|
|
||||
|
Reverse Mortgage Pools
|
|
55,475
|
|
|
56,799
|
|
|
60,866
|
|
|
61,460
|
|
||||
|
TBAs
|
|
474,860
|
|
|
473,115
|
|
|
123,680
|
|
|
123,874
|
|
||||
|
Government:
|
|
|
|
|
|
|
|
|
||||||||
|
Dollar Denominated
|
|
76
|
|
|
76
|
|
|
—
|
|
|
—
|
|
||||
|
Total Long
|
|
2,939,311
|
|
|
2,970,306
|
|
|
2,071,707
|
|
|
2,071,754
|
|
||||
|
Repurchase Agreements
|
|
|
|
|
|
|
|
|
||||||||
|
Dollar Denominated
|
|
41,530
|
|
|
41,530
|
|
|
84,668
|
|
|
84,668
|
|
||||
|
Non-Dollar Denominated
|
|
19,744
|
|
|
19,744
|
|
|
71,281
|
|
|
70,441
|
|
||||
|
Total Repurchase Agreements
|
|
61,274
|
|
|
61,274
|
|
|
155,949
|
|
|
155,109
|
|
||||
|
Short:
|
|
|
|
|
|
|
|
|
||||||||
|
Credit:
|
|
|
|
|
|
|
|
|
||||||||
|
Dollar Denominated:
|
|
|
|
|
|
|
|
|
||||||||
|
Corporate Debt and Equity
|
|
(23,462
|
)
|
|
(23,872
|
)
|
|
(91,902
|
)
|
|
(91,778
|
)
|
||||
|
Agency:
|
|
|
|
|
|
|
|
|
||||||||
|
TBAs
|
|
(772,964
|
)
|
|
(766,777
|
)
|
|
(460,189
|
)
|
|
(459,953
|
)
|
||||
|
Government:
|
|
|
|
|
|
|
|
|
||||||||
|
Dollar Denominated
|
|
(34,817
|
)
|
|
(34,410
|
)
|
|
(53,021
|
)
|
|
(53,322
|
)
|
||||
|
Non-Dollar Denominated
|
|
(19,334
|
)
|
|
(19,545
|
)
|
|
(37,128
|
)
|
|
(35,149
|
)
|
||||
|
Total Short
|
|
(850,577
|
)
|
|
(844,604
|
)
|
|
(642,240
|
)
|
|
(640,202
|
)
|
||||
|
Net Total
|
|
$
|
2,150,008
|
|
|
$
|
2,186,976
|
|
|
$
|
1,585,416
|
|
|
$
|
1,586,661
|
|
|
(1)
|
For more detailed information about the investments in our portfolio, please refer to the Consolidated Condensed Schedule of Investments contained in our consolidated financial statements.
|
|
(2)
|
Includes equity investment in a securitization-related vehicle.
|
|
(3)
|
Includes equity investment in a limited liability company holding small balance commercial mortgage loans.
|
|
(4)
|
Includes RMBS secured by non-performing loans and REO, and an investment in an entity holding a securitization call right.
|
|
|
|
As of December 31, 2018
|
|
As of December 31, 2017
|
||||||||||||||||||||||||||||
|
|
|
Notional
|
|
Net
Fair Value
|
|
Notional
|
|
Net
Fair Value
|
||||||||||||||||||||||||
|
(In thousands)
|
|
Long
|
|
Short
|
|
Net
|
|
|
Long
|
|
Short
|
|
Net
|
|
||||||||||||||||||
|
Mortgage-Related Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
CDS on MBS and MBS Indices
|
|
$
|
15,527
|
|
|
$
|
(59,393
|
)
|
|
$
|
(43,866
|
)
|
|
$
|
7,439
|
|
|
$
|
7,712
|
|
|
$
|
(34,421
|
)
|
|
$
|
(26,709
|
)
|
|
$
|
7,553
|
|
|
Total Net Mortgage-Related Derivatives
|
|
15,527
|
|
|
(59,393
|
)
|
|
(43,866
|
)
|
|
7,439
|
|
|
7,712
|
|
|
(34,421
|
)
|
|
(26,709
|
)
|
|
7,553
|
|
||||||||
|
Corporate-Related Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
CDS on Corporate Bonds and Corporate Bond Indices
|
|
83,060
|
|
|
(316,383
|
)
|
|
(233,323
|
)
|
|
(11,597
|
)
|
|
169,876
|
|
|
(446,236
|
)
|
|
(276,360
|
)
|
|
(17,980
|
)
|
||||||||
|
Total Return Swaps on Corporate Equities
(3)
|
|
—
|
|
|
(17,740
|
)
|
|
(17,740
|
)
|
|
1
|
|
|
235
|
|
|
(10,317
|
)
|
|
(10,082
|
)
|
|
—
|
|
||||||||
|
Total Return Swaps on Corporate Bond Indices
(4)
|
|
—
|
|
|
(11,230
|
)
|
|
(11,230
|
)
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
|
Total Net Corporate-Related Derivatives
|
|
83,060
|
|
|
(345,353
|
)
|
|
(262,293
|
)
|
|
(11,602
|
)
|
|
170,111
|
|
|
(456,553
|
)
|
|
(286,442
|
)
|
|
(17,980
|
)
|
||||||||
|
Interest Rate-Related Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Interest Rate Swaps
|
|
143,007
|
|
|
(425,413
|
)
|
|
(282,406
|
)
|
|
3,831
|
|
|
453,350
|
|
|
(925,644
|
)
|
|
(472,294
|
)
|
|
3,231
|
|
||||||||
|
U.S. Treasury Futures
(5)
|
|
—
|
|
|
(151,600
|
)
|
|
(151,600
|
)
|
|
—
|
|
|
—
|
|
|
(6,800
|
)
|
|
(6,800
|
)
|
|
45
|
|
||||||||
|
Eurodollar Futures
(6)
|
|
—
|
|
|
(98,000
|
)
|
|
(98,000
|
)
|
|
(53
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
|
Total Interest Rate-Related Derivatives
|
|
|
|
|
|
|
|
3,778
|
|
|
|
|
|
|
|
|
3,276
|
|
||||||||||||||
|
Other Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Foreign Currency Forwards
(7)
|
|
—
|
|
|
(17,299
|
)
|
|
(17,299
|
)
|
|
(114
|
)
|
|
—
|
|
|
(42,306
|
)
|
|
(42,306
|
)
|
|
(473
|
)
|
||||||||
|
Foreign Currency Futures
(8)
|
|
—
|
|
|
(47,931
|
)
|
|
(47,931
|
)
|
|
(302
|
)
|
|
—
|
|
|
(27,000
|
)
|
|
(27,000
|
)
|
|
(508
|
)
|
||||||||
|
Other
(9)
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
(4
|
)
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
24
|
|
||||||||
|
Total Net Other Derivatives
|
|
|
|
|
|
|
|
(420
|
)
|
|
|
|
|
|
|
|
(957
|
)
|
||||||||||||||
|
Net Total
|
|
|
|
|
|
|
|
$
|
(805
|
)
|
|
|
|
|
|
|
|
$
|
(8,108
|
)
|
||||||||||||
|
(1)
|
For more detailed information about the financial derivatives in our portfolio, please refer to the Consolidated Condensed Schedule of Investments as of these dates contained in our consolidated financial statements.
|
|
(2)
|
In the table above, fair value of certain derivative transactions are shown on a net basis. The accompanying financial statements separate derivative transactions as either assets or liabilities. As of December 31, 2018, derivative assets and derivative liabilities were $20.0 million and $(20.8) million, respectively, for a net fair value of
$(0.8) million
, as reflected in "Net Total" above. As of December 31, 2017, derivative assets and derivative liabilities were $28.2 million and $(36.3) million, respectively, for a net fair value of $(8.1) million, as reflected in "Net Total" above.
|
|
(3)
|
Notional value represents number of underlying shares multiplied by the closing price of the underlying security.
|
|
(4)
|
Notional value represents the number of underlying index units multiplied by the reference price.
|
|
(5)
|
Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of December 31, 2018 and 2017 a total of 1,516 and 68 short U.S. Treasury futures contracts were held, respectively.
|
|
(6)
|
Every $1,000,000 in notional value represents one contract.
|
|
(7)
|
Short notional value represents U.S. Dollars to be received by us at the maturity of the forward contract. Long notional value represents U.S. Dollars to be paid by us at the maturity of the forward contract.
|
|
(8)
|
Notional value represents the total face amount of currency futures underlying all contracts held. As of December 31, 2018 and 2017 a total of 411 and 216 short foreign currency futures contracts were held, respectively.
|
|
(9)
|
As of December 31, 2018 includes interest rate caps and interest rate "basis" swaps whereby the Company pays one floating rate and receives a different floating rate. As of December 31, 2017 includes interest rate caps, equity call options, and interest rate "basis" swaps.
|
|
|
|
Year Ended December 31,
|
||||||
|
(In thousands except per share amounts)
|
|
2018
|
|
2017
|
||||
|
Interest income
|
|
$
|
131,027
|
|
|
$
|
89,629
|
|
|
Other income
|
|
4,014
|
|
|
4,331
|
|
||
|
Total investment income
|
|
135,041
|
|
|
93,960
|
|
||
|
Expenses:
|
|
|
|
|
||||
|
Base management fee to affiliate (Net of fee rebates of
$1,380 and $332
, respectively)
|
|
7,573
|
|
|
9,056
|
|
||
|
Incentive fee to affiliate
|
|
715
|
|
|
—
|
|
||
|
Interest expense
|
|
56,707
|
|
|
31,120
|
|
||
|
Other investment related expenses
|
|
16,954
|
|
|
9,754
|
|
||
|
Other operating expenses
|
|
9,967
|
|
|
8,862
|
|
||
|
Total expenses
|
|
91,916
|
|
|
58,792
|
|
||
|
Net investment income
|
|
43,125
|
|
|
35,168
|
|
||
|
Net realized and change in net unrealized gain (loss) on investments
|
|
(526
|
)
|
|
11,298
|
|
||
|
Net realized and change in net unrealized gain (loss) on other secured borrowings
|
|
758
|
|
|
—
|
|
||
|
Net realized and change in net unrealized gain (loss) on financial derivatives, excluding currency hedges
|
|
4,454
|
|
|
(11,727
|
)
|
||
|
Net realized and change in net unrealized gain (loss) on financial derivatives—currency hedges
|
|
5,040
|
|
|
(6,946
|
)
|
||
|
Net foreign currency gain (loss)
|
|
(2,940
|
)
|
|
8,171
|
|
||
|
Net increase (decrease) in equity resulting from operations
|
|
49,911
|
|
|
35,964
|
|
||
|
Less: Net increase (decrease) in equity resulting from operations attributable to non-controlling interests
|
|
3,235
|
|
|
1,983
|
|
||
|
Net increase (decrease) in shareholders' equity resulting from operations
|
|
$
|
46,676
|
|
|
$
|
33,981
|
|
|
Net increase (decrease) in shareholders' equity resulting from operations per share
|
|
$
|
1.52
|
|
|
$
|
1.04
|
|
|
|
Credit
(1)
|
|
Agency
(1)
|
|
Total
(1)
|
|||||||||||||||||||||||||||
|
(In thousands)
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|||||||||||||||
|
Year ended December 31, 2018
|
$
|
91,624
|
|
|
$
|
1,139,460
|
|
|
8.04
|
%
|
|
$
|
31,115
|
|
|
$
|
960,090
|
|
|
3.24
|
%
|
|
$
|
122,739
|
|
|
$
|
2,099,550
|
|
|
5.85
|
%
|
|
Year ended December 31, 2017
|
$
|
54,347
|
|
|
$
|
647,507
|
|
|
8.39
|
%
|
|
$
|
27,190
|
|
|
$
|
844,523
|
|
|
3.22
|
%
|
|
$
|
81,537
|
|
|
$
|
1,492,030
|
|
|
5.46
|
%
|
|
(1)
|
Amounts exclude interest income on cash and cash equivalents (including when posted as margin) and long positions in U.S. Treasury securities. Also excludes long holdings of corporate securities that represent components of certain relative value trading strategies.
|
|
|
|
For the Year Ended
|
||||||
|
(In thousands)
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
|
Reverse repos and Total other secured borrowings
|
|
$
|
46,280
|
|
|
$
|
21,502
|
|
|
Existing Senior Notes
(1)
|
|
4,778
|
|
|
1,765
|
|
||
|
Securities sold short
(2)
|
|
5,116
|
|
|
6,104
|
|
||
|
Other
(3)
|
|
533
|
|
|
1,749
|
|
||
|
Total
|
|
$
|
56,707
|
|
|
$
|
31,120
|
|
|
(1)
|
Amount includes the related amortization of debt issuance costs.
|
|
(2)
|
Amount includes the related net accretion and amortization of purchase discounts and premiums.
|
|
(3)
|
Primarily includes repurchase agreements with negative interest rates, which can occur when we borrow certain bonds that we have sold short.
|
|
|
|
For the Year Ended
|
||||||||||||||||||||
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||||||||
|
Collateral for Secured Borrowing
|
|
Average
Borrowings
|
|
Interest Expense
|
|
Average
Cost of
Funds
|
|
Average
Borrowings |
|
Interest Expense
|
|
Average
Cost of Funds |
||||||||||
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Credit
(1)
|
|
$
|
730,447
|
|
|
$
|
26,938
|
|
|
3.69
|
%
|
|
$
|
304,280
|
|
|
$
|
11,066
|
|
|
3.64
|
%
|
|
Agency RMBS
|
|
882,388
|
|
|
18,593
|
|
|
2.11
|
%
|
|
789,720
|
|
|
9,438
|
|
|
1.20
|
%
|
||||
|
Subtotal
(1)
|
|
1,612,835
|
|
|
45,531
|
|
|
2.82
|
%
|
|
1,094,000
|
|
|
20,504
|
|
|
1.87
|
%
|
||||
|
Corporate Credit Relative Value Trading Strategy
|
|
16,836
|
|
|
379
|
|
|
2.26
|
%
|
|
52,437
|
|
|
786
|
|
|
1.50
|
%
|
||||
|
U.S. Treasury Securities
|
|
18,349
|
|
|
370
|
|
|
2.02
|
%
|
|
26,307
|
|
|
212
|
|
|
0.81
|
%
|
||||
|
Total
|
|
$
|
1,648,020
|
|
|
$
|
46,280
|
|
|
2.81
|
%
|
|
$
|
1,172,744
|
|
|
$
|
21,502
|
|
|
1.83
|
%
|
|
Average One-Month LIBOR
|
|
|
|
|
|
2.02
|
%
|
|
|
|
|
|
1.11
|
%
|
||||||||
|
Average Six-Month LIBOR
|
|
|
|
|
|
2.49
|
%
|
|
|
|
|
|
1.48
|
%
|
||||||||
|
(1)
|
Excludes U.S. Treasury Securities and investments in our corporate credit relative value trading strategy.
|
|
|
|
Reverse Repurchase Agreements
|
||||||
|
(In thousands)
|
|
Average Borrowed Funds During
the Period
|
|
Borrowed Funds Outstanding at End of the Period
|
||||
|
Year Ended December 31, 2018
|
|
$
|
1,427,632
|
|
|
$
|
1,498,849
|
|
|
Year Ended December 31, 2017
|
|
$
|
1,082,518
|
|
|
$
|
1,209,315
|
|
|
(In thousands)
|
|
December 31, 2018
|
|||||
|
Remaining Days to Maturity
|
|
Outstanding Borrowings
|
|
%
|
|||
|
30 Days or Less
|
|
$
|
276,655
|
|
|
18.5
|
%
|
|
31 - 60 Days
|
|
605,316
|
|
|
40.4
|
%
|
|
|
61 - 90 Days
|
|
348,623
|
|
|
23.3
|
%
|
|
|
91 - 120 Days
|
|
506
|
|
|
—
|
%
|
|
|
121 - 150 Days
|
|
26,222
|
|
|
1.7
|
%
|
|
|
151 - 180 Days
|
|
9,491
|
|
|
0.6
|
%
|
|
|
181 - 360 Days
|
|
91,730
|
|
|
6.1
|
%
|
|
|
> 360 Days
|
|
140,306
|
|
|
9.4
|
%
|
|
|
|
|
$
|
1,498,849
|
|
|
100.0
|
%
|
|
Quarter Ended
|
|
Borrowings Outstanding at
Quarter End
|
|
Average
Borrowings Outstanding
|
|
Maximum Borrowings Outstanding at Any Month End
|
||||||
|
|
|
(In thousands)
|
||||||||||
|
December 31, 2018
|
|
$
|
1,498,849
|
|
|
$
|
1,509,819
|
|
|
$
|
1,595,118
|
|
|
September 30, 2018
|
|
1,636,039
|
|
|
1,534,490
|
|
|
1,672,077
|
|
|||
|
June 30, 2018
|
|
1,421,506
|
|
|
1,398,813
|
|
|
1,471,052
|
|
|||
|
March 31, 2018
|
|
1,330,943
|
|
|
1,269,297
|
|
|
1,330,943
|
|
|||
|
December 31, 2017
(1)
|
|
1,209,315
|
|
|
1,050,018
|
|
|
1,209,315
|
|
|||
|
September 30, 2017
|
|
1,029,810
|
|
|
1,078,165
|
|
|
1,133,586
|
|
|||
|
June 30, 2017
|
|
1,119,238
|
|
|
1,121,884
|
|
|
1,213,525
|
|
|||
|
March 31, 2017
|
|
1,086,271
|
|
|
1,083,251
|
|
|
1,157,648
|
|
|||
|
December 31, 2016
|
|
1,033,581
|
|
|
989,453
|
|
|
1,033,581
|
|
|||
|
September 30, 2016
|
|
983,814
|
|
|
1,026,841
|
|
|
1,081,484
|
|
|||
|
June 30, 2016
|
|
1,070,105
|
|
|
1,124,885
|
|
|
1,160,096
|
|
|||
|
March 31, 2016
|
|
1,149,064
|
|
|
1,178,552
|
|
|
1,205,385
|
|
|||
|
(1)
|
Our reverse repo borrowings as of December 31, 2017 increased relative to our average reverse repo borrowings outstanding for the quarter ended December 31, 2017. At the end of the third quarter of 2017 we repaid a substantial amount of our outstanding reverse repo borrowings on non-QM loans in anticipation of completing a securitization transaction. This reduced our average outstanding reverse repo borrowings for the fourth quarter of 2017. Additionally at the end of the year we increased the size of our Credit portfolio by purchasing certain more liquid, lower-risk securities which we subsequently financed through reverse repurchase agreements.
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
|
Dividend Amount
|
||
|
March 1, 2017
|
|
March 15, 2017
|
|
$0.45
|
|
$
|
14,821
|
|
|
June 1, 2017
|
|
June 15, 2017
|
|
$0.45
|
|
$
|
14,757
|
|
|
September 1, 2017
|
|
September 15, 2017
|
|
$0.45
|
|
$
|
14,757
|
|
|
December 1, 2017
|
|
December 15, 2017
|
|
$0.41
|
|
$
|
13,300
|
|
|
March 1, 2018
|
|
March 15, 2018
|
|
$0.41
|
|
$
|
12,850
|
|
|
June 1, 2018
|
|
June 15, 2018
|
|
$0.41
|
|
$
|
12,650
|
|
|
August 31, 2018
|
|
September 17, 2018
|
|
$0.41
|
|
$
|
12,651
|
|
|
November 30, 2018
|
|
December 17, 2018
|
|
$0.41
|
|
$
|
12,584
|
|
|
(In thousands)
|
|
Estimated Change for a Decrease in Interest Rates by
|
|
Estimated Change for an Increase in Interest Rates by
|
||||||||||||||||||||||||
|
|
|
50 Basis Points
|
|
100 Basis Points
|
|
50 Basis Points
|
|
100 Basis Points
|
||||||||||||||||||||
|
Category of Instruments
|
|
Market Value
|
|
% of Total Equity
|
|
Market Value
|
|
% of Total Equity
|
|
Market Value
|
|
% of Total Equity
|
|
Market Value
|
|
% of Total Equity
|
||||||||||||
|
Agency RMBS
|
|
$
|
9,723
|
|
|
1.63
|
%
|
|
$
|
15,541
|
|
|
2.61
|
%
|
|
$
|
(13,628
|
)
|
|
(2.29
|
)%
|
|
$
|
(31,160
|
)
|
|
(5.24
|
)%
|
|
Non-Agency RMBS, CMBS, Other ABS, and Mortgage Loans
|
|
3,604
|
|
|
0.61
|
%
|
|
7,283
|
|
|
1.22
|
%
|
|
(3,528
|
)
|
|
(0.59
|
)%
|
|
(6,980
|
)
|
|
(1.17
|
)%
|
||||
|
U.S. Treasury Securities, and Interest Rate Swaps, Options, and Futures
|
|
(11,931
|
)
|
|
(2.01
|
)%
|
|
(24,312
|
)
|
|
(4.08
|
)%
|
|
11,481
|
|
|
1.93
|
%
|
|
22,510
|
|
|
3.78
|
%
|
||||
|
Mortgage-Related Derivatives
|
|
10
|
|
|
—
|
%
|
|
22
|
|
|
—
|
%
|
|
(8
|
)
|
|
—
|
%
|
|
(14
|
)
|
|
—
|
%
|
||||
|
Corporate Securities and Derivatives on Corporate Securities
|
|
(287
|
)
|
|
(0.05
|
)%
|
|
(573
|
)
|
|
(0.09
|
)%
|
|
289
|
|
|
0.05
|
%
|
|
580
|
|
|
0.09
|
%
|
||||
|
Repurchase Agreements and Reverse Repurchase Agreements
|
|
(2,582
|
)
|
|
(0.43
|
)%
|
|
(5,162
|
)
|
|
(0.87
|
)%
|
|
2,578
|
|
|
0.43
|
%
|
|
5,152
|
|
|
0.87
|
%
|
||||
|
Total
|
|
$
|
(1,463
|
)
|
|
(0.25
|
)%
|
|
$
|
(7,201
|
)
|
|
(1.21
|
)%
|
|
$
|
(2,816
|
)
|
|
(0.47
|
)%
|
|
$
|
(9,912
|
)
|
|
(1.67
|
)%
|
|
|
|
Page
|
|
CONSOLIDATED FINANCIAL STATEMENTS AS OF DECEMBER 31, 2018 AND 2017, AND FOR THE YEARS ENDED DECEMBER 31, 2018 AND 2017
|
|
|
|
|
||
|
|
||
|
|
||
|
|
||
|
|
||
|
|
||
|
Notes to Consolidated Financial Statements
|
|
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
|
(In thousands except share amounts)
|
Expressed in U.S. Dollars
|
||||||
|
ASSETS
|
|
|
|
||||
|
Cash and cash equivalents
|
$
|
44,656
|
|
|
$
|
47,233
|
|
|
Restricted cash
|
425
|
|
|
425
|
|
||
|
Investments, financial derivatives, and repurchase agreements:
|
|
|
|
||||
|
Investments, at fair value (Cost – $2,970,306 and $2,071,754)
|
2,939,311
|
|
|
2,071,707
|
|
||
|
Financial derivatives–assets, at fair value (Net cost – $22,526 and $31,474)
|
20,001
|
|
|
28,165
|
|
||
|
Repurchase agreements, at fair value (Cost – $61,274 and $155,109)
|
61,274
|
|
|
155,949
|
|
||
|
Total investments, financial derivatives, and repurchase agreements
|
3,020,586
|
|
|
2,255,821
|
|
||
|
Due from brokers
|
71,794
|
|
|
140,404
|
|
||
|
Receivable for securities sold and financial derivatives
|
780,826
|
|
|
476,000
|
|
||
|
Interest and principal receivable
|
37,676
|
|
|
29,688
|
|
||
|
Other assets
|
15,536
|
|
|
43,770
|
|
||
|
Total Assets
|
$
|
3,971,499
|
|
|
$
|
2,993,341
|
|
|
LIABILITIES
|
|
|
|
||||
|
Investments and financial derivatives:
|
|
|
|
||||
|
Investments sold short, at fair value (Proceeds – $844,604 and $640,202)
|
$
|
850,577
|
|
|
$
|
642,240
|
|
|
Financial derivatives–liabilities, at fair value (Net proceeds – $19,019 and $27,463)
|
20,806
|
|
|
36,273
|
|
||
|
Total investments and financial derivatives
|
871,383
|
|
|
678,513
|
|
||
|
Reverse repurchase agreements
|
1,498,849
|
|
|
1,209,315
|
|
||
|
Due to brokers
|
5,553
|
|
|
1,721
|
|
||
|
Payable for securities purchased and financial derivatives
|
488,411
|
|
|
202,703
|
|
||
|
Other secured borrowings (Proceeds – $114,100 and $57,909)
|
114,100
|
|
|
57,909
|
|
||
|
Other secured borrowings, at fair value (Proceeds – $298,706 and $125,105)
|
297,948
|
|
|
125,105
|
|
||
|
Senior notes, net
|
85,035
|
|
|
84,771
|
|
||
|
Accounts payable and accrued expenses
|
5,723
|
|
|
3,885
|
|
||
|
Base management fee payable to affiliate
|
1,744
|
|
|
2,113
|
|
||
|
Interest and dividends payable
|
7,159
|
|
|
5,904
|
|
||
|
Other liabilities
|
424
|
|
|
441
|
|
||
|
Total Liabilities
|
3,376,329
|
|
|
2,372,380
|
|
||
|
EQUITY
|
595,170
|
|
|
620,961
|
|
||
|
TOTAL LIABILITIES AND EQUITY
|
$
|
3,971,499
|
|
|
$
|
2,993,341
|
|
|
Commitments and contingencies (Note 17)
|
|
|
|
||||
|
ANALYSIS OF EQUITY:
|
|
|
|
||||
|
Common shares, no par value, 100,000,000 shares authorized;
|
|
|
|
||||
|
(29,796,601 and 31,335,938 shares issued and outstanding)
|
$
|
563,833
|
|
|
$
|
589,722
|
|
|
Additional paid-in capital – Long term incentive plan units
|
—
|
|
|
10,377
|
|
||
|
Total Shareholders' Equity
|
563,833
|
|
|
600,099
|
|
||
|
Non-controlling interests
|
31,337
|
|
|
20,862
|
|
||
|
Total Equity
|
$
|
595,170
|
|
|
$
|
620,961
|
|
|
PER SHARE INFORMATION:
|
|
|
|
||||
|
Common shares
|
$
|
18.92
|
|
|
$
|
19.15
|
|
|
Current Principal/Number of Shares
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
||||
|
Cash Equivalents—Money Market Funds (2.09%) (a) (b)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Funds
|
|
|
|
|
|
|
||||||
|
$
|
12,460
|
|
|
Various
|
|
2.31% - 2.34%
|
|
|
|
$
|
12,460
|
|
|
Total Cash Equivalents—Money Market Funds (Cost $12,460)
|
|
|
|
|
|
$
|
12,460
|
|
||||
|
Long Investments (493.86%) (a) (b) (ad)
|
|
|
|
|
|
|
||||||
|
Mortgage-Backed Securities (300.21%)
|
|
|
|
|
|
|
||||||
|
Agency Securities (243.66%) (c)
|
|
|
|
|
|
|
||||||
|
Fixed Rate Agency Securities (230.23%)
|
|
|
|
|
|
|
||||||
|
Principal and Interest - Fixed Rate Agency Securities (148.68%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
$
|
143,523
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
4.00%
|
|
9/39 - 11/48
|
|
$
|
147,395
|
|
|
111,109
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
4.00%
|
|
11/41 - 12/48
|
|
114,104
|
|
||
|
82,189
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
3.50%
|
|
9/42 - 2/48
|
|
82,450
|
|
||
|
74,478
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
4.50%
|
|
9/46 - 1/49
|
|
77,266
|
|
||
|
65,892
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
4.50%
|
|
10/41 - 12/48
|
|
68,853
|
|
||
|
51,362
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
4.00%
|
|
7/45 - 5/48
|
|
52,544
|
|
||
|
46,026
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
5.00%
|
|
2/48 - 12/48
|
|
48,245
|
|
||
|
45,670
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
4.50%
|
|
9/43 - 10/48
|
|
47,583
|
|
||
|
42,663
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
3.50%
|
|
3/28 - 3/32
|
|
43,241
|
|
||
|
38,420
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
5.00%
|
|
10/35 - 8/48
|
|
40,652
|
|
||
|
32,106
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
3.50%
|
|
12/42 - 12/47
|
|
32,253
|
|
||
|
25,082
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
3.50%
|
|
1/42 - 3/48
|
|
25,185
|
|
||
|
21,807
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
5.50%
|
|
4/48 - 12/48
|
|
23,207
|
|
||
|
10,899
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
3.00%
|
|
4/30 - 9/32
|
|
10,895
|
|
||
|
8,275
|
|
|
Federal Home Loan Mortgage Corporation Pools (15 Year)
|
|
3.50%
|
|
9/28 - 12/32
|
|
8,389
|
|
||
|
7,287
|
|
|
Federal Home Loan Mortgage Corporation Pools (Other)
|
|
3.50%
|
|
4/43 - 9/46
|
|
7,316
|
|
||
|
6,096
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
5.00%
|
|
7/44 - 10/48
|
|
6,423
|
|
||
|
5,728
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
4.00%
|
|
6/26 - 5/31
|
|
5,823
|
|
||
|
5,023
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
5.50%
|
|
10/39 - 6/48
|
|
5,342
|
|
||
|
4,547
|
|
|
Federal National Mortgage Association Pools (Other)
|
|
5.00%
|
|
9/43 - 1/44
|
|
4,772
|
|
||
|
4,394
|
|
|
Federal National Mortgage Association Pools (Other)
|
|
4.00%
|
|
12/47
|
|
4,478
|
|
||
|
3,408
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
6.00%
|
|
5/48 - 11/48
|
|
3,666
|
|
||
|
2,773
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
3.00%
|
|
7/43 - 6/45
|
|
2,722
|
|
||
|
2,603
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
3.00%
|
|
1/42 - 6/45
|
|
2,556
|
|
||
|
2,508
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
3.75%
|
|
7/47
|
|
2,537
|
|
||
|
2,348
|
|
|
Federal Home Loan Mortgage Corporation Pools (Other)
|
|
4.50%
|
|
5/44
|
|
2,432
|
|
||
|
2,343
|
|
|
Federal Home Loan Mortgage Corporation Pools (15 Year)
|
|
3.00%
|
|
4/30
|
|
2,342
|
|
||
|
2,177
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
4.50%
|
|
4/26
|
|
2,265
|
|
||
|
2,025
|
|
|
Federal National Mortgage Association Pools (Other)
|
|
4.50%
|
|
5/41
|
|
2,079
|
|
||
|
1,677
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
5.50%
|
|
8/33 - 5/48
|
|
1,786
|
|
||
|
1,478
|
|
|
Federal National Mortgage Association Pools (20 Year)
|
|
4.00%
|
|
12/33
|
|
1,526
|
|
||
|
Current Principal/Notional Value
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
||||||||
|
$
|
976
|
|
|
Federal Home Loan Mortgage Corporation Pools (20 Year)
|
|
4.50%
|
|
12/33
|
|
$
|
1,021
|
|
|
886
|
|
|
Federal Home Loan Mortgage Corporation Pools (15 Year)
|
|
4.00%
|
|
2/29
|
|
897
|
|
||
|
651
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
6.00%
|
|
5/40
|
|
697
|
|
||
|
710
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
3.00%
|
|
11/42
|
|
695
|
|
||
|
588
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
6.00%
|
|
9/39 - 2/40
|
|
631
|
|
||
|
524
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
2.49%
|
|
10/43
|
|
496
|
|
||
|
109
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
3.28%
|
|
6/42
|
|
106
|
|
||
|
|
|
|
|
|
|
|
|
884,870
|
|
|||
|
Interest Only - Fixed Rate Agency Securities (1.77%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
17,505
|
|
|
Government National Mortgage Association
|
|
4.00%
|
|
2/45 - 6/45
|
|
2,828
|
|
||
|
10,446
|
|
|
Federal National Mortgage Association
|
|
4.50%
|
|
12/20 - 6/44
|
|
1,223
|
|
||
|
4,768
|
|
|
Government National Mortgage Association
|
|
6.00%
|
|
6/38 - 8/39
|
|
978
|
|
||
|
5,949
|
|
|
Government National Mortgage Association
|
|
4.50%
|
|
6/39 - 7/44
|
|
808
|
|
||
|
3,401
|
|
|
Federal National Mortgage Association
|
|
5.50%
|
|
10/39
|
|
749
|
|
||
|
3,612
|
|
|
Government National Mortgage Association
|
|
5.50%
|
|
11/43
|
|
623
|
|
||
|
3,642
|
|
|
Federal Home Loan Mortgage Corporation
|
|
3.50%
|
|
12/32
|
|
515
|
|
||
|
3,560
|
|
|
Federal National Mortgage Association
|
|
4.00%
|
|
5/39 - 11/43
|
|
513
|
|
||
|
2,659
|
|
|
Federal National Mortgage Association
|
|
5.00%
|
|
1/38 - 5/40
|
|
463
|
|
||
|
5,122
|
|
|
Federal Home Loan Mortgage Corporation
|
|
5.00%
|
|
11/38
|
|
402
|
|
||
|
3,749
|
|
|
Federal Home Loan Mortgage Corporation
|
|
5.50%
|
|
1/39 - 9/39
|
|
336
|
|
||
|
1,613
|
|
|
Federal National Mortgage Association
|
|
6.00%
|
|
1/40
|
|
274
|
|
||
|
1,463
|
|
|
Federal Home Loan Mortgage Corporation
|
|
4.50%
|
|
7/43
|
|
254
|
|
||
|
2,291
|
|
|
Federal National Mortgage Association
|
|
3.00%
|
|
9/41
|
|
203
|
|
||
|
3,043
|
|
|
Government National Mortgage Association
|
|
5.00%
|
|
5/37 - 5/41
|
|
181
|
|
||
|
842
|
|
|
Government National Mortgage Association
|
|
4.75%
|
|
7/40
|
|
160
|
|
||
|
|
|
|
|
|
|
|
|
10,510
|
|
|||
|
TBA - Fixed Rate Agency Securities (79.78%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
299,455
|
|
|
Government National Mortgage Association (30 Year)
|
|
5.00%
|
|
1/19
|
|
311,515
|
|
||
|
122,003
|
|
|
Federal National Mortgage Association (30 Year)
|
|
4.00%
|
|
1/19
|
|
124,376
|
|
||
|
21,540
|
|
|
Federal Home Loan Mortgage Corporation (30 Year)
|
|
3.50%
|
|
1/19
|
|
21,529
|
|
||
|
10,579
|
|
|
Government National Mortgage Association (30 Year)
|
|
5.50%
|
|
1/19
|
|
11,058
|
|
||
|
4,800
|
|
|
Government National Mortgage Association (30 Year)
|
|
3.00%
|
|
1/19
|
|
4,727
|
|
||
|
1,660
|
|
|
Federal Home Loan Mortgage Corporation (15 Year)
|
|
3.00%
|
|
1/19
|
|
1,655
|
|
||
|
|
|
|
|
|
|
|
|
474,860
|
|
|||
|
Total Fixed Rate Agency Securities (Cost $1,388,115)
|
|
|
|
|
|
1,370,240
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal/Notional Value
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Floating Rate Agency Securities (13.43%)
|
|
|
|
|
|
|
||||||
|
Principal and Interest - Floating Rate Agency Securities (10.24%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
$
|
52,532
|
|
|
Government National Mortgage Association Pools
|
|
4.39% - 4.67%
|
|
7/61 - 12/67
|
|
$
|
55,475
|
|
|
3,515
|
|
|
Federal National Mortgage Association Pools
|
|
2.70% - 4.69%
|
|
9/35 - 5/45
|
|
3,650
|
|
||
|
1,808
|
|
|
Federal Home Loan Mortgage Corporation Pools
|
|
3.49% - 4.72%
|
|
6/37 - 5/44
|
|
1,846
|
|
||
|
|
|
|
|
|
|
|
|
60,971
|
|
|||
|
Interest Only - Floating Rate Agency Securities (3.19%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
228,763
|
|
|
Other Government National Mortgage Association
|
|
0.38% - 5.64%
|
|
6/31 - 10/66
|
|
10,772
|
|
||
|
70,568
|
|
|
Other Federal National Mortgage Association
|
|
1.13% - 5.50%
|
|
6/33 - 11/46
|
|
4,880
|
|
||
|
48,699
|
|
|
Other Federal Home Loan Mortgage Corporation
|
|
1.55% - 4.19%
|
|
3/36 - 1/44
|
|
3,256
|
|
||
|
5,220
|
|
|
Resecuritization of Government National Mortgage Association (d)
|
|
2.21%
|
|
8/60
|
|
98
|
|
||
|
|
|
|
|
|
|
|
|
19,006
|
|
|||
|
Total Floating Rate Agency Securities (Cost $81,873)
|
|
|
|
|
|
79,977
|
|
|||||
|
Total Agency Securities (Cost $1,469,988)
|
|
|
|
|
|
1,450,217
|
|
|||||
|
Private Label Securities (56.55%)
|
|
|
|
|
|
|
||||||
|
Principal and Interest - Private Label Securities (55.33%)
|
|
|
|
|
|
|
||||||
|
North America (27.62%)
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
227,479
|
|
|
Various
|
|
0.00% - 24.56%
|
|
5/19 - 3/47
|
|
149,273
|
|
||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
37,171
|
|
|
Various
|
|
2.80% - 3.29%
|
|
3/49 - 5/61
|
|
15,137
|
|
||
|
Total North America (Cost $153,769)
|
|
|
|
|
|
164,410
|
|
|||||
|
Europe (27.71%)
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
183,154
|
|
|
Various
|
|
0.00% - 5.50%
|
|
6/25 - 12/52
|
|
149,425
|
|
||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
24,978
|
|
|
Various
|
|
0.38% - 4.29%
|
|
10/20 - 8/45
|
|
15,482
|
|
||
|
Total Europe (Cost $172,661)
|
|
|
|
|
|
164,907
|
|
|||||
|
Total Principal and Interest - Private Label Securities (Cost $326,430)
|
|
|
|
|
|
329,317
|
|
|||||
|
|
|
|
|
|
|
|
||||||
|
Current Principal/Notional Value
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Interest Only - Private Label Securities (1.22%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
$
|
30,842
|
|
|
Various
|
|
0.00% - 2.00%
|
|
12/30 - 9/47
|
|
$
|
3,941
|
|
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
41,707
|
|
|
Various
|
|
1.25% - 2.00%
|
|
3/49 - 5/61
|
|
3,289
|
|
||
|
Total Interest Only - Private Label Securities (Cost $5,189)
|
|
|
|
|
|
7,230
|
|
|||||
|
Other Private Label Securities (0.00%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
—
|
|
|
Various
|
|
—%
|
|
7/45 - 5/61
|
|
—
|
|
||
|
Total Other Private Label Securities (Cost $0)
|
|
|
|
|
|
—
|
|
|||||
|
Total Private Label Securities (Cost $331,619)
|
|
|
|
|
|
336,547
|
|
|||||
|
Total Mortgage-Backed Securities (Cost $1,801,607)
|
|
|
|
|
|
1,786,764
|
|
|||||
|
Collateralized Loan Obligations (20.82%)
|
|
|
|
|
|
|
||||||
|
North America (20.82%) (e)
|
|
|
|
|
|
|
||||||
|
269,224
|
|
|
Various
|
|
0.00% - 10.54%
|
|
4/20- 10/2118
|
|
123,893
|
|
||
|
Total North America (Cost $139,424)
|
|
|
|
|
|
123,893
|
|
|||||
|
Total Collateralized Loan Obligations (Cost $139,424)
|
|
|
|
|
|
123,893
|
|
|||||
|
Consumer Loans and Asset-backed Securities backed by Consumer Loans (34.74%) (f)
|
|
|
|
|
|
|
||||||
|
North America (34.59%)
|
|
|
|
|
|
|
||||||
|
Consumer (g) (h)
|
|
|
|
|
|
|
||||||
|
233,602
|
|
|
Various
|
|
5.31% - 76.50%
|
|
1/19 - 12/23
|
|
205,877
|
|
||
|
Total North America (Cost $211,221)
|
|
|
|
|
|
205,877
|
|
|||||
|
Europe (0.15%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
3,540
|
|
|
Various
|
|
—%
|
|
12/30
|
|
884
|
|
||
|
Total Europe (Cost $761)
|
|
|
|
|
|
884
|
|
|||||
|
Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $211,982)
|
|
|
|
|
|
206,761
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal/Number of Properties
|
|
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
||||
|
Corporate Debt (3.76%)
|
|
|
|
|
|
|
||||||
|
North America (1.95%)
|
|
|
|
|
|
|
||||||
|
Communications
|
|
|
|
|
|
|
||||||
|
$
|
938
|
|
|
Various
|
|
—%
|
|
5/22
|
|
$
|
824
|
|
|
Consumer
|
|
|
|
|
|
|
||||||
|
3,342
|
|
|
Various
|
|
6.69%
|
|
1/27
|
|
3,141
|
|
||
|
Energy
|
|
|
|
|
|
|
||||||
|
2,080
|
|
|
Various
|
|
4.63%
|
|
9/21
|
|
1,877
|
|
||
|
Industrial
|
|
|
|
|
|
|
||||||
|
1,755
|
|
|
Various
|
|
3.75%
|
|
12/21
|
|
1,742
|
|
||
|
Technology
|
|
|
|
|
|
|
||||||
|
4,570
|
|
|
Various
|
|
0.00% - 4.38%
|
|
5/20 - 5/22
|
|
4,002
|
|
||
|
Total North America (Cost $11,949)
|
|
|
|
|
|
11,586
|
|
|||||
|
Europe (1.81%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
20,574
|
|
|
Various
|
|
—%
|
|
1/19
|
|
—
|
|
||
|
Financial
|
|
|
|
|
|
|
||||||
|
11,235
|
|
|
Various
|
|
0.00% - 16.00%
|
|
10/20 - 11/22
|
|
10,806
|
|
||
|
Total Europe (Cost $12,319)
|
|
|
|
|
|
10,806
|
|
|||||
|
Total Corporate Debt (Cost $24,268)
|
|
|
|
|
|
22,392
|
|
|||||
|
Secured Notes (1.83%) (n)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
17,608
|
|
|
Various
|
|
5.00%
|
|
11/57
|
|
10,917
|
|
||
|
Total Secured Notes (Cost $12,138)
|
|
|
|
|
|
10,917
|
|
|||||
|
Mortgage Loans (118.96%) (f)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Commercial (j)
|
|
|
|
|
|
|
||||||
|
235,459
|
|
|
Various
|
|
4.31% - 12.74%
|
|
3/19 - 10/37
|
|
211,185
|
|
||
|
Mortgage-related—Residential (k) (m)
|
|
|
|
|
|
|
||||||
|
493,248
|
|
|
Various
|
|
2.00% - 15.00%
|
|
3/19 - 12/58
|
|
496,830
|
|
||
|
Total Mortgage Loans (Cost $703,366)
|
|
|
|
|
|
708,015
|
|
|||||
|
Real Estate Owned (5.80%) (f) (l)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Real estate-related
|
|
|
|
|
|
|
||||||
|
5
|
|
|
Single-Family Houses
|
|
|
|
|
|
1,296
|
|
||
|
18
|
|
|
Commercial Properties
|
|
|
|
|
|
33,204
|
|
||
|
Total Real Estate Owned (Cost $35,371)
|
|
|
|
|
|
34,500
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal/Number of Shares
|
|
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
||||
|
Common Stock (0.37%)
|
|
|
|
|
|
|
||||||
|
North America (0.37%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
24
|
|
|
Exchange Traded Equity
|
|
|
|
|
|
$
|
25
|
|
|
|
Financial
|
|
|
|
|
|
|
||||||
|
213
|
|
|
Exchange Traded Equity
|
|
|
|
|
|
2,175
|
|
||
|
Total North America (Cost $2,482)
|
|
|
|
|
|
2,200
|
|
|||||
|
Total Corporate Equity Investments (Cost $2,482)
|
|
|
|
|
|
2,200
|
|
|||||
|
Corporate Equity Investments (7.36%)
|
|
|
|
|
|
|
||||||
|
North America (7.36%)
|
|
|
|
|
|
|
||||||
|
Communications
|
|
|
|
|
|
|
||||||
|
7
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
97
|
|
||
|
Consumer
|
|
|
|
|
|
|
||||||
|
n/a
|
|
|
Non-Controlling Equity Interest in Limited Liability Company (i)
|
|
|
|
|
|
4,045
|
|
||
|
3,000
|
|
|
Non-Exchange Traded Preferred Equity Investment in Consumer Loan Originators
(n)
|
|
|
|
|
|
3,000
|
|
||
|
1,540
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
—
|
|
||
|
Diversified
|
|
|
|
|
|
|
||||||
|
144
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
1,433
|
|
||
|
Mortgage-related—Commercial (n)
|
|
|
|
|
|
|
||||||
|
n/a
|
|
|
Non-Controlling Equity Interest in Limited Liability Company
|
|
|
|
|
|
1,147
|
|
||
|
Mortgage-related—Residential (n)
|
|
|
|
|
|
|
||||||
|
23
|
|
|
Non-Exchange Traded Preferred Equity Investment in Mortgage Originators
|
|
|
|
|
|
27,317
|
|
||
|
9,818
|
|
|
Non-Exchange Traded Common Equity Investment in Mortgage Originators
|
|
|
|
|
|
6,750
|
|
||
|
Total North America (Cost $39,587)
|
|
|
|
|
|
43,789
|
|
|||||
|
Europe (0.00%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
125
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
—
|
|
||
|
Financial
|
|
|
|
|
|
|
||||||
|
—
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
4
|
|
||
|
Total Europe (Cost $5)
|
|
|
|
|
|
4
|
|
|||||
|
Total Corporate Equity Investments (Cost $39,592)
|
|
|
|
|
|
43,793
|
|
|||||
|
U.S. Treasury Securities (0.01%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
$
|
75
|
|
|
U.S. Treasury Note
|
|
2.75%
|
|
4/23
|
|
76
|
|
|
|
Total U.S. Treasury Securities (Cost $76)
|
|
|
|
|
|
76
|
|
|||||
|
Total Long Investments (Cost $2,970,306)
|
|
|
|
|
|
$
|
2,939,311
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Repurchase Agreements (10.30%) (a) (b) (o)
|
|
|
|
|
|
|
||||||
|
$
|
13,854
|
|
|
JP Morgan Securities LLC
|
|
3.25%
|
|
1/19
|
|
$
|
13,854
|
|
|
|
|
Collateralized by Par Value $13,600
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/21
|
|
|
|
|
|
|
||||
|
10,712
|
|
|
JP Morgan Securities LLC
|
|
3.15%
|
|
1/19
|
|
10,712
|
|
||
|
|
|
Collateralized by Par Value $10,451
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/23
|
|
|
|
|
|
|
||||
|
10,365
|
|
|
JP Morgan Securities LLC
|
|
(0.75)%
|
|
1/19
|
|
10,365
|
|
||
|
|
|
Collateralized by Par Value $10,102
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.75%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/21
|
|
|
|
|
|
|
||||
|
9,379
|
|
|
JP Morgan Securities LLC
|
|
(0.65)%
|
|
1/19
|
|
9,379
|
|
||
|
|
|
Collateralized by Par Value $9,161
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 2.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/19
|
|
|
|
|
|
|
||||
|
3,562
|
|
|
JP Morgan Securities LLC
|
|
3.05%
|
|
1/19
|
|
3,562
|
|
||
|
|
|
Collateralized by Par Value $3,400
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 3.13%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/28
|
|
|
|
|
|
|
||||
|
2,884
|
|
|
JP Morgan Securities LLC
|
|
2.95%
|
|
1/19
|
|
2,884
|
|
||
|
|
|
Collateralized by Par Value $2,800
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 8/28
|
|
|
|
|
|
|
||||
|
2,098
|
|
|
Bank of America Securities
|
|
2.90%
|
|
1/19
|
|
2,098
|
|
||
|
|
|
Collateralized by Par Value $2,062
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/23
|
|
|
|
|
|
|
||||
|
1,975
|
|
|
Bank of America Securities
|
|
2.90%
|
|
1/19
|
|
1,975
|
|
||
|
|
|
Collateralized by Par Value $1,939
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 8/23
|
|
|
|
|
|
|
||||
|
1,710
|
|
|
Barclays Capital Inc
|
|
(1.65)%
|
|
1/19
|
|
1,710
|
|
||
|
|
|
Collateralized by Par Value $1,900
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.95%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 12/26
|
|
|
|
|
|
|
||||
|
1,369
|
|
|
Bank of America Securities
|
|
3.05%
|
|
1/19
|
|
1,369
|
|
||
|
|
|
Collateralized by Par Value $1,355
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/23
|
|
|
|
|
|
|
||||
|
957
|
|
|
Morgan Stanley
|
|
(2.15)%
|
|
1/19
|
|
957
|
|
||
|
|
|
Collateralized by Par Value $1,000
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.95%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 12/26
|
|
|
|
|
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
|
|
|
|
||||
|
$
|
797
|
|
|
Barclays Capital Inc
|
|
(0.75)%
|
|
1/19
|
|
$
|
797
|
|
|
|
|
Collateralized by Par Value $1,200
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 9.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 2/24
|
|
|
|
|
|
|
||||
|
531
|
|
|
Barclays Capital Inc
|
|
(1.25)%
|
|
1/19
|
|
531
|
|
||
|
|
|
Collateralized by Par Value $800
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 9.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 2/24
|
|
|
|
|
|
|
||||
|
525
|
|
|
RBC Capital Markets LLC
|
|
2.05%
|
|
1/19
|
|
525
|
|
||
|
|
|
Collateralized by Par Value $500
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/22
|
|
|
|
|
|
|
||||
|
469
|
|
|
Bank of America Securities
|
|
3.05%
|
|
1/19
|
|
469
|
|
||
|
|
|
Collateralized by Par Value $463
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.63%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 6/23
|
|
|
|
|
|
|
||||
|
87
|
|
|
Societe Generale
|
|
(1.85)%
|
|
1/19
|
|
87
|
|
||
|
|
|
Collateralized by Par Value $100
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.95%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 12/26
|
|
|
|
|
|
|
||||
|
Total Repurchase Agreements (Cost $61,274)
|
|
|
|
|
|
$
|
61,274
|
|
||||
|
Investments Sold Short (-142.91%) (a) (b)
|
|
|
|
|
|
|
||||||
|
TBA - Fixed Rate Agency Securities Sold Short (-129.87%) (p)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
$
|
(156,590
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
4.50%
|
|
1/19
|
|
$
|
(162,119
|
)
|
|
(117,590
|
)
|
|
Government National Mortgage Association (30 year)
|
|
4.50%
|
|
1/19
|
|
(121,637
|
)
|
||
|
(107,397
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
4.00%
|
|
1/19
|
|
(109,465
|
)
|
||
|
(87,817
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
5.00%
|
|
1/19
|
|
(91,971
|
)
|
||
|
(86,893
|
)
|
|
Government National Mortgage Association (30 year)
|
|
4.00%
|
|
1/19
|
|
(88,994
|
)
|
||
|
(76,912
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
3.50%
|
|
1/19
|
|
(76,891
|
)
|
||
|
(32,260
|
)
|
|
Government National Mortgage Association (30 year)
|
|
3.50%
|
|
1/19
|
|
(32,484
|
)
|
||
|
(26,530
|
)
|
|
Federal National Mortgage Association (15 year)
|
|
3.50%
|
|
1/19
|
|
(26,859
|
)
|
||
|
(24,841
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
4.50%
|
|
1/19
|
|
(25,707
|
)
|
||
|
(16,557
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
3.00%
|
|
1/19
|
|
(16,153
|
)
|
||
|
(13,450
|
)
|
|
Federal National Mortgage Association (15 year)
|
|
3.00%
|
|
1/19
|
|
(13,426
|
)
|
||
|
(6,860
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
5.50%
|
|
1/19
|
|
(7,258
|
)
|
||
|
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$766,777)
|
|
|
|
(772,964
|
)
|
|||||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal/Number of Shares
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Government Debt Sold Short (-9.10%)
|
|
|
|
|
||||||||
|
North America (-5.85%)
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
$
|
(13,600
|
)
|
|
U.S. Treasury Note
|
|
2.88%
|
|
11/21
|
|
$
|
(13,754
|
)
|
|
(10,451
|
)
|
|
U.S. Treasury Note
|
|
2.88%
|
|
10/23
|
|
(10,631
|
)
|
||
|
(3,400
|
)
|
|
U.S. Treasury Note
|
|
3.13%
|
|
11/28
|
|
(3,528
|
)
|
||
|
(2,800
|
)
|
|
U.S. Treasury Note
|
|
2.88%
|
|
8/28
|
|
(2,844
|
)
|
||
|
(2,062
|
)
|
|
U.S. Treasury Note
|
|
2.88%
|
|
11/23
|
|
(2,098
|
)
|
||
|
(1,939
|
)
|
|
U.S. Treasury Note
|
|
2.75%
|
|
8/23
|
|
(1,962
|
)
|
||
|
Total North America (Proceeds -$34,410)
|
|
|
|
|
|
(34,817
|
)
|
|||||
|
Europe (-3.25%)
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
(19,006
|
)
|
|
European Sovereign Bond
|
|
0.75% - 2.75%
|
|
4/19 - 7/21
|
|
(19,334
|
)
|
||
|
Total Europe (Proceeds -$19,545)
|
|
|
|
|
|
(19,334
|
)
|
|||||
|
Total Government Debt Sold Short (Proceeds -$53,955)
|
|
|
|
(54,151
|
)
|
|||||||
|
Common Stock Sold Short (-2.84%)
|
|
|
|
|
||||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Financial
|
|
|
|
|
|
|
||||||
|
(277
|
)
|
|
Exchange Traded Equity
|
|
|
|
|
|
(16,933
|
)
|
||
|
Total Common Stock Sold Short (Proceeds -$17,164)
|
|
|
|
(16,933
|
)
|
|||||||
|
Corporate Debt Sold Short (-1.10%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Communications
|
|
|
|
|
|
|
||||||
|
(1,730
|
)
|
|
Various
|
|
4.25%
|
|
9/23
|
|
(1,734
|
)
|
||
|
Consumer
|
|
|
|
|
|
|
||||||
|
(500
|
)
|
|
Various
|
|
5.75%
|
|
10/22
|
|
(500
|
)
|
||
|
Energy
|
|
|
|
|
|
|
||||||
|
(2,000
|
)
|
|
Various
|
|
9.88%
|
|
2/24
|
|
(1,230
|
)
|
||
|
Financial
|
|
|
|
|
|
|
||||||
|
(3,600
|
)
|
|
Various
|
|
4.70% - 5.95%
|
|
12/26 - 6/27
|
|
(2,810
|
)
|
||
|
Technology
|
|
|
|
|
|
|
||||||
|
(288
|
)
|
|
Various
|
|
4.95%
|
|
4/23
|
|
(255
|
)
|
||
|
Total Corporate Debt Sold Short (Proceeds -$6,708)
|
|
|
|
|
|
(6,529
|
)
|
|||||
|
Total Investments Sold Short (Proceeds -$844,604)
|
|
|
|
$
|
(850,577
|
)
|
||||||
|
|
Primary Risk
Exposure
|
|
Notional Value
|
|
Range of
Expiration
Dates
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
Expressed in U.S.Dollars
|
||||
|
Financial Derivatives–Assets (3.36%) (a) (b)
|
|
|
|
|
|
|
|
||||
|
Swaps (3.36%)
|
|
|
|
|
|
|
|
||||
|
Long Swaps:
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bond Indices (q)
|
Credit
|
|
$
|
47,815
|
|
|
6/19 - 6/23
|
|
$
|
733
|
|
|
Credit Default Swaps on Asset-Backed Indices (q)
|
Credit
|
|
689
|
|
|
12/37
|
|
7
|
|
||
|
Interest Rate Swaps (r)
|
Interest Rates
|
|
29,198
|
|
|
1/19 - 2/19
|
|
61
|
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bonds (q)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
4
|
|
|
12/22
|
|
—
|
|
||
|
Communications
|
Credit
|
|
3,090
|
|
|
12/20 - 12/23
|
|
18
|
|
||
|
Consumer
|
Credit
|
|
10,655
|
|
|
6/20 - 12/23
|
|
868
|
|
||
|
Financial
|
Credit
|
|
930
|
|
|
12/23
|
|
104
|
|
||
|
Industrial
|
Credit
|
|
485
|
|
|
12/23
|
|
13
|
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
1,003
|
|
|||
|
Short Swaps:
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Indices (s)
|
Credit
|
|
(56,207
|
)
|
|
5/46 - 11/59
|
|
8,085
|
|
||
|
Interest Rate Swaps (t)
|
Interest Rates
|
|
(353,741
|
)
|
|
3/20 - 12/45
|
|
7,163
|
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Securities (s)
|
|
|
|
|
|
|
|
||||
|
Mortgage-related—Residential
|
Credit
|
|
(3,186
|
)
|
|
6/35 - 12/35
|
|
1,472
|
|
||
|
Credit Default Swaps on Corporate Bonds (s)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
(2,074
|
)
|
|
12/21 - 12/23
|
|
25
|
|
||
|
Communications
|
Credit
|
|
(906
|
)
|
|
12/21 - 12/23
|
|
226
|
|
||
|
Consumer
|
Credit
|
|
(2,065
|
)
|
|
3/20
|
|
30
|
|
||
|
Energy
|
Credit
|
|
(7,610
|
)
|
|
6/19 - 6/23
|
|
950
|
|
||
|
Technology
|
Credit
|
|
(4,070
|
)
|
|
6/20 - 6/22
|
|
239
|
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
1,470
|
|
|||
|
Total Return Swaps (u)
|
|
|
|
|
|
|
|
||||
|
Financial
|
Equity Market
|
|
(17,740
|
)
|
|
7/19 - 10/19
|
|
1
|
|
||
|
Total Total Return Swaps
|
|
|
|
|
|
|
1
|
|
|||
|
Total Swaps (Net cost $22,524)
|
|
|
|
|
|
|
19,995
|
|
|||
|
Options (0.00%)
|
|
|
|
|
|
|
|
||||
|
Purchased Options:
|
|
|
|
|
|
|
|
||||
|
Interest Rate Caps (w)
|
Interest Rates
|
|
51,545
|
|
|
5/19
|
|
—
|
|
||
|
Total Options (Cost $2)
|
|
|
|
|
|
|
—
|
|
|||
|
|
|
|
|
|
|
|
|
||||
|
|
Primary Risk
Exposure
|
|
Notional Value
|
|
Range of
Expiration
Dates
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
Expressed in U.S.Dollars
|
||||
|
Futures (0.00%)
|
|
|
|
|
|
|
|
||||
|
Short Futures:
|
|
|
|
|
|
|
|
||||
|
U.S. Treasury Note Futures (x)
|
Interest Rates
|
|
$
|
(151,600
|
)
|
|
3/19
|
|
$
|
—
|
|
|
Total Futures
|
|
|
|
|
|
|
—
|
|
|||
|
Forwards (0.00%)
|
|
|
|
|
|
|
|
||||
|
Short Forwards:
|
|
|
|
|
|
|
|
||||
|
Currency Forwards (aa)
|
Interest Rates
|
|
(802
|
)
|
|
3/19
|
|
6
|
|
||
|
Total Forwards
|
|
|
|
|
|
|
6
|
|
|||
|
Total Financial Derivatives–Assets (Net cost $22,526)
|
|
|
|
|
|
|
$
|
20,001
|
|
||
|
Financial Derivatives–Liabilities (-3.50%) (a) (b)
|
|
|
|
|
|
|
|
||||
|
Swaps (-3.42%)
|
|
|
|
|
|
|
|
||||
|
Long Swaps:
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Indices (q)
|
Credit
|
|
$
|
14,838
|
|
|
3/49 - 11/60
|
|
$
|
(2,125
|
)
|
|
Credit Default Swaps on Corporate Bond Indices (q)
|
Credit
|
|
2,330
|
|
|
12/23
|
|
(1,467
|
)
|
||
|
Interest Rate Swaps (r)
|
Interest Rates
|
|
113,809
|
|
|
6/21 - 1/29
|
|
(1,987
|
)
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bonds (q)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
2,000
|
|
|
12/23
|
|
(25
|
)
|
||
|
Communications
|
Credit
|
|
2,313
|
|
|
6/22 - 12/23
|
|
(396
|
)
|
||
|
Consumer
|
Credit
|
|
3,741
|
|
|
3/20 - 6/21
|
|
(62
|
)
|
||
|
Energy
|
Credit
|
|
5,144
|
|
|
6/20 - 6/23
|
|
(1,885
|
)
|
||
|
Technology
|
Credit
|
|
1,953
|
|
|
6/20 - 6/23
|
|
(114
|
)
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
(2,482
|
)
|
|||
|
Recovery Swaps (v)
|
|
|
|
|
|
|
|
||||
|
Consumer
|
Credit
|
|
2,600
|
|
|
6/19
|
|
(8
|
)
|
||
|
Total Recovery Swaps
|
|
|
|
|
|
|
(8
|
)
|
|||
|
|
|
|
|
|
|
|
|
||||
|
|
Primary Risk
Exposure
|
|
Notional Value
|
|
Range of
Expiration
Dates
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
Expressed in U.S.Dollars
|
||||
|
Short Swaps:
|
|
|
|
|
|
|
|
||||
|
Interest Rate Swaps (t)
|
Interest Rates
|
|
$
|
(71,672
|
)
|
|
5/20 - 11/28
|
|
$
|
(1,406
|
)
|
|
Interest Rate Basis Swaps (z)
|
Interest Rates
|
|
(12,900
|
)
|
|
6/19
|
|
(4
|
)
|
||
|
Credit Default Swaps on Corporate Bond Indices (s)
|
Credit
|
|
(279,163
|
)
|
|
6/19 - 12/23
|
|
(10,090
|
)
|
||
|
Total Return Swaps (ab)
|
Credit
|
|
(11,230
|
)
|
|
3/19
|
|
(6
|
)
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bonds (s)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
(1,180
|
)
|
|
12/19
|
|
(57
|
)
|
||
|
Communications
|
Credit
|
|
(3,910
|
)
|
|
12/19 - 12/23
|
|
(11
|
)
|
||
|
Consumer
|
Credit
|
|
(12,830
|
)
|
|
6/19 - 12/23
|
|
(567
|
)
|
||
|
Financial
|
Credit
|
|
(930
|
)
|
|
12/23
|
|
(104
|
)
|
||
|
Industrial
|
Credit
|
|
(485
|
)
|
|
12/23
|
|
(13
|
)
|
||
|
Technology
|
Credit
|
|
(1,160
|
)
|
|
6/19
|
|
(4
|
)
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
(756
|
)
|
|||
|
Total Swaps (Net proceeds -$19,019)
|
|
|
|
|
|
|
(20,331
|
)
|
|||
|
Futures (-0.06%)
|
|
|
|
|
|
|
|
||||
|
Short Futures:
|
|
|
|
|
|
|
|
||||
|
Eurodollar Futures (ac)
|
Interest Rates
|
|
(98,000
|
)
|
|
3/19 - 6/20
|
|
(53
|
)
|
||
|
Currency Futures (y)
|
Interest Rates
|
|
(47,931
|
)
|
|
3/19
|
|
(302
|
)
|
||
|
Total Futures
|
|
|
|
|
|
|
(355
|
)
|
|||
|
Forwards (-0.02%)
|
|
|
|
|
|
|
|
||||
|
Short Forwards:
|
|
|
|
|
|
|
|
||||
|
Currency Forwards (aa)
|
Interest Rates
|
|
(16,497
|
)
|
|
3/19
|
|
(120
|
)
|
||
|
Total Forwards
|
|
|
|
|
|
|
(120
|
)
|
|||
|
Total Financial Derivatives–Liabilities
(Net proceeds -$19,019)
|
|
|
|
|
|
|
$
|
(20,806
|
)
|
||
|
(a)
|
See Note 2 and Note 3 in Notes to Consolidated Financial Statements.
|
|
(b)
|
Classification percentages are based on Total Equity.
|
|
(c)
|
At December 31, 2018, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented
93.99%
,
42.12%
, and
107.55%
of Total Equity, respectively.
|
|
(d)
|
Private trust
100%
backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates.
|
|
(e)
|
Includes investment in collateralized loan obligation notes in the amount of
$50.8 million
that were issued and are managed by related parties of the Company. See Note 9 to the Notes to Consolidated Financial Statements.
|
|
(f)
|
Loans and real estate owned are beneficially owned by the Company through participation certificates in the various trusts that hold such investments. See Note 9 to the Notes to Consolidated Financial Statements.
|
|
(g)
|
Includes investments in participation certificates related to loans titled in the name of a related party of Ellington Management Group, L.L.C. Through its participation certificates, the Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses. At December 31, 2018 loans for which the Company has beneficial interests in the net cash flows, totaled
$21.9 million
. See Note 9 to the Notes to Consolidated Financial Statements.
|
|
(h)
|
Includes investments in participation certificates related to loans held in a trust owned by a related party of Ellington Management Group, L.L.C. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by the trust. At December 31, 2018 loans held in the related party trust for which the Company has participating interests in the cash flows, totaled
$181.5 million
. See Note 9 to the Notes to Consolidated Financial Statements.
|
|
(i)
|
Represents the Company's beneficial interest in an entity, which is co-owned by an affiliate of Ellington Management Group, L.L.C. The entity owns subordinated notes issued by, as well as trust certificates representing ownership of, a securitization trust. See Note 6 and Note 9 to the Notes to Consolidated Financial Statements.
|
|
(j)
|
Includes non-performing commercial mortgage loans in the amount of
$47.3 million
whereby principal and/or interest is past due and a maturity date is not applicable.
|
|
(k)
|
As of December 31, 2018, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of
$9.1 million
.
|
|
(l)
|
Number of properties not shown in thousands, represents actual number of properties owned.
|
|
(m)
|
Includes
$314.2 million
of non-qualified mortgage loans that have been securitized and are held in a consolidated securitization trusts. See Note 6 to the Notes to Consolidated Financial Statements.
|
|
(n)
|
Represents the Company's investment in a related party. See Note 9 to the Notes to Consolidated Financial Statements.
|
|
(o)
|
In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.
|
|
(p)
|
At December 31, 2018, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented
66.31%
,
22.71%
, and
40.85%
of Total Equity, respectively.
|
|
(q)
|
For long credit default swaps, the Company sold protection.
|
|
(r)
|
For long interest rate swap contracts, the Company pays a floating rate and receives a fixed rate.
|
|
(s)
|
For short credit default swaps, the Company purchased protection.
|
|
(t)
|
For short interest rate swap contracts, the Company pays a fixed rate and receives a floating rate.
|
|
(u)
|
Notional value represents number of underlying shares multiplied by the closing price of the underlying security.
|
|
(v)
|
For long recovery swaps the Company receives a specified recovery rate in exchange for the actual recovery rate on the underlying.
|
|
(w)
|
Notional value represents the amount on which interest payments are calculated to the extent the market interest rate exceeds the rate cap on the contract.
|
|
(x)
|
Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of December 31, 2018, a total of
1,516
contracts were held.
|
|
(y)
|
Notional value represents the total face amount of foreign currency underlying all contracts held; as of December 31, 2018,
411
contracts were held.
|
|
(z)
|
Represents interest rate "basis" swaps whereby the Company pays one floating rate and receives a different floating rate.
|
|
(aa)
|
Notional value represents U.S. Dollars to be received by the Company at the maturity of the forward contract.
|
|
(ab)
|
Notional value represents the number of underlying index units multiplied by the reference price.
|
|
(ac)
|
Every $1,000,000 in notional value represents one contract.
|
|
(ad)
|
The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."
|
|
Rating Description
|
|
Percent of Equity
|
|
|
Unrated but Agency-Guaranteed
|
|
243.66
|
%
|
|
Aaa/AAA/AAA
|
|
0.01
|
%
|
|
Aa/AA/AA
|
|
0.63
|
%
|
|
A/A/A
|
|
4.73
|
%
|
|
Baa/BBB/BBB
|
|
1.84
|
%
|
|
Ba/BB/BB or below
|
|
46.34
|
%
|
|
Unrated
|
|
196.65
|
%
|
|
Current Principal/Number of Shares
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Cash Equivalents—Money Market Funds (4.27%) (a) (b)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Funds
|
|
|
|
|
|
|
||||||
|
$
|
26,500
|
|
|
Various
|
|
1.17%
|
|
|
|
$
|
26,500
|
|
|
Total Cash Equivalents—Money Market Funds (Cost $26,500)
|
|
|
|
|
|
$
|
26,500
|
|
||||
|
Long Investments (333.63%) (a) (b) (ad)
|
|
|
|
|
|
|
||||||
|
Mortgage-Backed Securities (208.70%)
|
|
|
|
|
|
|
||||||
|
Agency Securities (160.32%) (c)
|
|
|
|
|
|
|
||||||
|
Fixed-rate Agency Securities (145.75%)
|
|
|
|
|
|
|
||||||
|
Principal and Interest–Fixed-Rate Agency Securities (123.80%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
$
|
130,885
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
4.00%
|
|
9/39 - 11/47
|
|
$
|
138,033
|
|
|
115,008
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
4.00%
|
|
11/41 - 12/47
|
|
121,154
|
|
||
|
77,724
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
3.50%
|
|
9/42 - 12/47
|
|
80,245
|
|
||
|
60,698
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
4.50%
|
|
10/41 - 12/47
|
|
65,178
|
|
||
|
51,851
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
3.50%
|
|
3/28 - 3/32
|
|
53,894
|
|
||
|
47,555
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
4.50%
|
|
9/43 - 12/47
|
|
50,980
|
|
||
|
42,239
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
4.00%
|
|
7/45 - 12/47
|
|
44,414
|
|
||
|
33,982
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
3.50%
|
|
7/45 - 12/47
|
|
35,235
|
|
||
|
32,061
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
5.00%
|
|
10/35 - 12/44
|
|
34,664
|
|
||
|
23,002
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
3.50%
|
|
1/42 - 9/47
|
|
23,753
|
|
||
|
21,561
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
4.50%
|
|
9/46 - 12/47
|
|
22,924
|
|
||
|
20,544
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
3.00%
|
|
4/30 - 9/32
|
|
20,986
|
|
||
|
9,405
|
|
|
Federal Home Loan Mortgage Corporation Pools (15 Year)
|
|
3.50%
|
|
9/28 - 12/32
|
|
9,764
|
|
||
|
8,960
|
|
|
Federal Home Loan Mortgage Corporation Pools (Other)
|
|
3.50%
|
|
2/30 - 9/46
|
|
9,221
|
|
||
|
8,156
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
4.00%
|
|
6/26 - 5/31
|
|
8,562
|
|
||
|
5,410
|
|
|
Federal National Mortgage Association Pools (Other)
|
|
5.00%
|
|
9/43 - 1/44
|
|
5,888
|
|
||
|
4,981
|
|
|
Federal National Mortgage Association Pools (Other)
|
|
4.00%
|
|
6/37 - 12/47
|
|
5,159
|
|
||
|
3,833
|
|
|
Federal Home Loan Mortgage Corporation Pools (15 Year)
|
|
3.00%
|
|
4/30 - 9/32
|
|
3,912
|
|
||
|
3,579
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
3.00%
|
|
7/43 - 10/45
|
|
3,587
|
|
||
|
3,519
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
3.00%
|
|
11/42 - 12/42
|
|
3,547
|
|
||
|
2,906
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
3.75%
|
|
7/47
|
|
3,025
|
|
||
|
2,877
|
|
|
Federal National Mortgage Association Pools (Other)
|
|
4.50%
|
|
5/41
|
|
3,021
|
|
||
|
2,794
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
4.50%
|
|
4/26
|
|
2,973
|
|
||
|
2,671
|
|
|
Federal Home Loan Mortgage Corporation Pools (Other)
|
|
4.50%
|
|
5/44
|
|
2,875
|
|
||
|
2,791
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
3.00%
|
|
1/42 - 6/45
|
|
2,804
|
|
||
|
2,335
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
5.50%
|
|
10/39
|
|
2,569
|
|
||
|
1,633
|
|
|
Federal National Mortgage Association Pools (20 Year)
|
|
4.00%
|
|
12/33
|
|
1,728
|
|
||
|
1,463
|
|
|
Federal Home Loan Mortgage Corporation Pools (15 Year)
|
|
4.00%
|
|
2/29
|
|
1,531
|
|
||
|
1,207
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
6.00%
|
|
9/39 - 2/40
|
|
1,360
|
|
||
|
1,175
|
|
|
Federal Home Loan Mortgage Corporation Pools (Other)
|
|
3.00%
|
|
6/28 - 3/30
|
|
1,193
|
|
||
|
1,023
|
|
|
Federal Home Loan Mortgage Corporation Pools (20 Year)
|
|
4.50%
|
|
12/33
|
|
1,099
|
|
||
|
Current Principal/Notional Value
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
||||||||
|
$
|
864
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
6.00%
|
|
5/40
|
|
$
|
969
|
|
|
644
|
|
|
Government National Mortgage Association Pools (Other)
|
|
3.50%
|
|
10/30 - 2/32
|
|
647
|
|
||
|
516
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
5.50%
|
|
8/33 - 11/38
|
|
565
|
|
||
|
488
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
5.00%
|
|
7/44
|
|
526
|
|
||
|
492
|
|
|
Federal National Mortgage Association Pools (Other)
|
|
3.50%
|
|
4/26
|
|
504
|
|
||
|
150
|
|
|
Government National Mortgage Association Pools (Other)
|
|
3.00%
|
|
6/30
|
|
150
|
|
||
|
112
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
3.28%
|
|
6/42
|
|
112
|
|
||
|
|
|
|
|
|
|
|
|
768,751
|
|
|||
|
Interest Only–Fixed-Rate Agency Securities (2.03%)
|
|
|
|
|
||||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
21,942
|
|
|
Government National Mortgage Association
|
|
4.00%
|
|
2/45 - 6/45
|
|
3,686
|
|
||
|
5,867
|
|
|
Government National Mortgage Association
|
|
6.00%
|
|
6/38 - 8/39
|
|
1,173
|
|
||
|
6,286
|
|
|
Federal National Mortgage Association
|
|
4.50%
|
|
12/20 - 6/44
|
|
928
|
|
||
|
5,437
|
|
|
Government National Mortgage Association
|
|
4.50%
|
|
2/41 - 7/44
|
|
914
|
|
||
|
4,116
|
|
|
Federal National Mortgage Association
|
|
5.50%
|
|
10/39
|
|
907
|
|
||
|
4,660
|
|
|
Government National Mortgage Association
|
|
5.50%
|
|
11/43
|
|
801
|
|
||
|
4,350
|
|
|
Federal Home Loan Mortgage Corporation
|
|
3.50%
|
|
12/32
|
|
628
|
|
||
|
7,145
|
|
|
Federal Home Loan Mortgage Corporation
|
|
5.00%
|
|
11/38
|
|
598
|
|
||
|
4,185
|
|
|
Federal National Mortgage Association
|
|
4.00%
|
|
5/39 - 11/43
|
|
521
|
|
||
|
5,074
|
|
|
Federal Home Loan Mortgage Corporation
|
|
5.50%
|
|
1/39 - 9/39
|
|
494
|
|
||
|
4,100
|
|
|
Federal National Mortgage Association
|
|
5.00%
|
|
1/38 - 5/40
|
|
493
|
|
||
|
2,038
|
|
|
Federal National Mortgage Association
|
|
6.00%
|
|
1/40
|
|
371
|
|
||
|
74,967
|
|
|
Government National Mortgage Association
|
|
0.26%
|
|
6/40
|
|
352
|
|
||
|
1,699
|
|
|
Federal Home Loan Mortgage Corporation
|
|
4.50%
|
|
7/43
|
|
256
|
|
||
|
2,677
|
|
|
Federal National Mortgage Association
|
|
3.00%
|
|
9/41
|
|
247
|
|
||
|
1,000
|
|
|
Government National Mortgage Association
|
|
4.75%
|
|
7/40
|
|
178
|
|
||
|
1,168
|
|
|
Government National Mortgage Association
|
|
5.00%
|
|
5/37
|
|
47
|
|
||
|
|
|
|
|
|
|
|
|
12,594
|
|
|||
|
TBA–Fixed-Rate Agency Securities (19.92%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
42,884
|
|
|
Government National Mortgage Association (30 Year)
|
|
4.00%
|
|
1/18
|
|
44,738
|
|
||
|
35,719
|
|
|
Government National Mortgage Association (30 Year)
|
|
4.50%
|
|
1/18
|
|
37,504
|
|
||
|
27,340
|
|
|
Federal Home Loan Mortgage Corporation (30 Year)
|
|
3.50%
|
|
1/18
|
|
28,085
|
|
||
|
9,403
|
|
|
Federal National Mortgage Association (30 Year)
|
|
4.00%
|
|
1/18
|
|
9,835
|
|
||
|
2,100
|
|
|
Government National Mortgage Association (30 Year)
|
|
3.00%
|
|
1/18
|
|
2,119
|
|
||
|
890
|
|
|
Government National Mortgage Association (30 Year)
|
|
3.50%
|
|
1/18
|
|
920
|
|
||
|
470
|
|
|
Federal Home Loan Mortgage Corporation (15 Year)
|
|
3.00%
|
|
1/18
|
|
479
|
|
||
|
|
|
|
|
|
|
|
|
123,680
|
|
|||
|
Total Fixed-Rate Agency Securities (Cost $911,909)
|
|
|
|
|
|
905,025
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal /Notional Value
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Floating Rate Agency Securities (14.57%)
|
|
|
|
|
|
|
||||||
|
Principal and Interest–Floating Rate Agency Securities (11.10%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
$
|
56,137
|
|
|
Government National Mortgage Association Pools
|
|
3.59% - 4.68%
|
|
7/61 - 10/67
|
|
$
|
60,866
|
|
|
4,806
|
|
|
Federal National Mortgage Association Pools
|
|
2.79% - 3.69%
|
|
9/35 - 5/45
|
|
4,999
|
|
||
|
2,963
|
|
|
Federal Home Loan Mortgage Corporation Pools
|
|
3.49% - 4.80%
|
|
6/37 - 5/44
|
|
3,068
|
|
||
|
|
|
|
|
|
|
|
|
68,933
|
|
|||
|
Interest Only–Floating Rate Agency Securities (3.47%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
313,840
|
|
|
Other Government National Mortgage Association
|
|
0.41% - 5.31%
|
|
3/37 - 10/66
|
|
16,248
|
|
||
|
30,729
|
|
|
Other Federal National Mortgage Association
|
|
4.30% - 6.00%
|
|
6/33 - 12/41
|
|
3,506
|
|
||
|
11,211
|
|
|
Other Federal Home Loan Mortgage Corporation
|
|
4.52% - 5.15%
|
|
3/36 - 4/40
|
|
1,436
|
|
||
|
10,619
|
|
|
Resecuritization of Government National Mortgage Association (d)
|
|
3.25%
|
|
8/60
|
|
366
|
|
||
|
|
|
|
|
|
|
|
|
21,556
|
|
|||
|
Total Floating Rate Agency Securities (Cost $91,413)
|
|
|
|
|
|
90,489
|
|
|||||
|
Total Agency Securities (Cost $1,003,322)
|
|
|
|
|
|
995,514
|
|
|||||
|
Private Label Securities (48.38%)
|
|
|
|
|
|
|
||||||
|
Principal and Interest–Private Label Securities (47.12%)
|
|
|
|
|
|
|
||||||
|
North America (29.16%)
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
232,771
|
|
|
Various
|
|
0.00% - 30.29%
|
|
5/19 - 9/46
|
|
154,887
|
|
||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
80,114
|
|
|
Various
|
|
2.05% - 4.41%
|
|
8/35 - 9/58
|
|
26,155
|
|
||
|
Total North America (Cost $172,285)
|
|
|
|
|
|
181,042
|
|
|||||
|
Europe (17.96%)
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
127,469
|
|
|
Various
|
|
0.00% - 5.50%
|
|
6/25 - 1/61
|
|
99,923
|
|
||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
23,752
|
|
|
Various
|
|
0.37% - 5.03%
|
|
10/20 - 2/41
|
|
11,601
|
|
||
|
Total Europe (Cost $106,518)
|
|
|
|
|
|
111,524
|
|
|||||
|
Total Principal and Interest–Private Label Securities (Cost $278,803)
|
|
|
|
|
|
292,566
|
|
|||||
|
Interest Only–Private Label Securities (1.26%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
36,008
|
|
|
Various
|
|
0.00% - 2.00%
|
|
12/30 - 9/47
|
|
4,856
|
|
||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
39,871
|
|
|
Various
|
|
1.25% - 2.00%
|
|
3/49 - 12/49
|
|
2,989
|
|
||
|
Total Interest Only–Private Label Securities (Cost $5,334)
|
|
|
|
|
|
7,845
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal /Notional Value
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Other Private Label Securities (0.00%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
$
|
79,487
|
|
|
Various
|
|
—%
|
|
6/37
|
|
$
|
—
|
|
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
—
|
|
|
Various
|
|
—%
|
|
7/45 - 12/49
|
|
—
|
|
||
|
Total Other Private Label Securities (Cost $215)
|
|
|
|
|
|
—
|
|
|||||
|
Total Private Label Securities (Cost $284,352)
|
|
|
|
|
|
300,411
|
|
|||||
|
Total Mortgage-Backed Securities (Cost $1,287,674)
|
|
|
|
|
|
1,295,925
|
|
|||||
|
Collateralized Loan Obligations (33.95%)
|
|
|
|
|
|
|
||||||
|
North America (27.40%) (e)
|
|
|
|
|
|
|
||||||
|
278,601
|
|
|
Various
|
|
0.00% - 10.04%
|
|
1/18 - 11/57
|
|
170,123
|
|
||
|
Total North America (Cost $174,635)
|
|
|
|
|
|
170,123
|
|
|||||
|
Europe (6.55%)
|
|
|
|
|
|
|
||||||
|
42,101
|
|
|
Various
|
|
0.00% - 7.95%
|
|
4/22 - 1/27
|
|
40,693
|
|
||
|
Total Europe (Cost $38,363)
|
|
|
|
|
|
40,693
|
|
|||||
|
Total Collateralized Loan Obligations (Cost $212,998)
|
|
|
|
|
|
210,816
|
|
|||||
|
Consumer Loans and Asset-backed Securities backed by Consumer Loans (21.78%) (f)
|
|
|
|
|
|
|
||||||
|
North America (21.34%)
|
|
|
|
|
|
|
||||||
|
Consumer (g) (h)
|
|
|
|
|
|
|
||||||
|
151,753
|
|
|
Various
|
|
5.31% - 76.28%
|
|
1/18 - 9/22
|
|
132,509
|
|
||
|
Total North America (Cost $138,312)
|
|
|
|
|
|
132,509
|
|
|||||
|
Europe (0.44%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
3,711
|
|
|
Various
|
|
—%
|
|
8/24 - 12/30
|
|
2,749
|
|
||
|
Total Europe (Cost $1,075)
|
|
|
|
|
|
2,749
|
|
|||||
|
Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $139,387)
|
|
|
|
|
|
135,258
|
|
|||||
|
|
|
|
|
|
|
|
||||||
|
Current Principal/Number of Properties
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
||||
|
Corporate Debt (12.11%)
|
|
|
|
|
|
|
||||||
|
North America (9.76%)
|
|
|
|
|
|
|
||||||
|
Basic Materials
|
|
|
|
|
|
|
||||||
|
$
|
6,025
|
|
|
Various
|
|
6.88% - 7.00%
|
|
8/25 - 3/27
|
|
$
|
6,254
|
|
|
Communications
|
|
|
|
|
|
|
||||||
|
8,490
|
|
|
Various
|
|
3.40% - 11.57%
|
|
4/20 - 8/27
|
|
8,523
|
|
||
|
Consumer
|
|
|
|
|
|
|
||||||
|
21,993
|
|
|
Various
|
|
2.60% - 9.73%
|
|
1/19 - 12/34
|
|
23,043
|
|
||
|
Energy
|
|
|
|
|
|
|
||||||
|
9,665
|
|
|
Various
|
|
4.50% - 9.63%
|
|
3/19 - 8/25
|
|
10,266
|
|
||
|
Financial
|
|
|
|
|
|
|
||||||
|
560
|
|
|
Various
|
|
5.13%
|
|
9/24
|
|
606
|
|
||
|
Industrial
|
|
|
|
|
|
|
||||||
|
2,250
|
|
|
Various
|
|
3.75%
|
|
12/21
|
|
2,286
|
|
||
|
Mortgage-related—Residential (n)
|
|
|
|
|
|
|
||||||
|
5,429
|
|
|
Various
|
|
15.00%
|
|
10/19
|
|
5,429
|
|
||
|
Technology
|
|
|
|
|
|
|
||||||
|
4,300
|
|
|
Various
|
|
3.63% - 7.50%
|
|
10/21 - 8/22
|
|
4,211
|
|
||
|
Total North America (Cost $60,640)
|
|
|
|
|
|
60,618
|
|
|||||
|
Europe (2.35%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
20,070
|
|
|
Various
|
|
—%
|
|
3/18
|
|
50
|
|
||
|
Financial
|
|
|
|
|
|
|
||||||
|
13,725
|
|
|
Various
|
|
0.00% - 15.67%
|
|
10/20 - 11/22
|
|
13,437
|
|
||
|
Industrial
|
|
|
|
|
|
|
||||||
|
1,145
|
|
|
Various
|
|
1.59%
|
|
3/21
|
|
1,088
|
|
||
|
Total Europe (Cost $15,312)
|
|
|
|
|
|
14,575
|
|
|||||
|
Total Corporate Debt (Cost $75,952)
|
|
|
|
|
|
75,193
|
|
|||||
|
Mortgage Loans (46.83%) (f)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Commercial (j)
|
|
|
|
|
|
|
||||||
|
116,707
|
|
|
Various
|
|
3.14% - 12.87%
|
|
2/18 - 10/37
|
|
108,301
|
|
||
|
Mortgage-related—Residential (l) (m)
|
|
|
|
|
|
|
||||||
|
181,553
|
|
|
Various
|
|
2.00% - 12.63%
|
|
4/22 - 4/57
|
|
182,472
|
|
||
|
Total Mortgage Loans (Cost $288,034)
|
|
|
|
|
|
290,773
|
|
|||||
|
Real Estate Owned (4.23%) (f) (k)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Real estate-related
|
|
|
|
|
|
|
||||||
|
3
|
|
|
Single-Family Houses
|
|
|
|
|
|
591
|
|
||
|
9
|
|
|
Commercial Properties
|
|
|
|
|
|
25,686
|
|
||
|
Total Real Estate Owned (Cost $26,146)
|
|
|
|
|
|
26,277
|
|
|||||
|
|
|
|
|
|
|
|
||||||
|
Number of Shares
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Corporate Equity Investments (6.03%)
|
|
|
|
|
|
|
||||||
|
North America (6.03%)
|
|
|
|
|
|
|
||||||
|
Asset-Backed Securities
|
|
|
|
|
|
|
||||||
|
n/a
|
|
|
Non-Controlling Equity Interest in Limited Liability Company (i)
|
|
|
|
|
|
$
|
5,033
|
|
|
|
Communications
|
|
|
|
|
|
|
||||||
|
7
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
557
|
|
||
|
Consumer
|
|
|
|
|
|
|
||||||
|
n/a
|
|
|
Non-Controlling Equity Interest in Limited Liability Company (i)
|
|
|
|
|
|
5,693
|
|
||
|
1,540
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
5
|
|
||
|
Diversified
|
|
|
|
|
|
|
||||||
|
156
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
2,585
|
|
||
|
Mortgage-related—Residential (n)
|
|
|
|
|
|
|
||||||
|
20
|
|
|
Non-Exchange Traded Preferred Equity Investment in Mortgage Originators
|
|
|
|
|
|
20,774
|
|
||
|
9,818
|
|
|
Non-Exchange Traded Common Equity Investment in Mortgage Originators
|
|
|
|
|
|
2,814
|
|
||
|
Total North America (Cost $41,559)
|
|
|
|
|
|
37,461
|
|
|||||
|
Europe (0.00%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
125
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
—
|
|
||
|
Financial
|
|
|
|
|
|
|
||||||
|
—
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
4
|
|
||
|
Total Europe (Cost $4)
|
|
|
|
|
|
4
|
|
|||||
|
Total Corporate Equity Investments (Cost $41,563)
|
|
|
|
|
|
37,465
|
|
|||||
|
Total Long Investments (Cost $2,071,754)
|
|
|
|
|
|
$
|
2,071,707
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Repurchase Agreements (25.11%) (a) (b) (o)
|
|
|
|
|
|
|
||||||
|
$
|
30,310
|
|
|
Bank of America Securities
|
|
1.45%
|
|
1/18
|
|
$
|
30,310
|
|
|
|
|
Collateralized by Par Value $30,501
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.25%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 2/27
|
|
|
|
|
|
|
||||
|
16,578
|
|
|
Barclays Capital Inc
|
|
(0.57)%
|
|
1/18
|
|
16,578
|
|
||
|
|
|
Collateralized by Par Value $16,516
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.25%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/18
|
|
|
|
|
|
|
||||
|
14,548
|
|
|
Barclays Capital Inc
|
|
(0.62)%
|
|
1/18
|
|
14,548
|
|
||
|
|
|
Collateralized by Par Value $14,228
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.25%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/20
|
|
|
|
|
|
|
||||
|
13,965
|
|
|
Bank of America Securities
|
|
1.00%
|
|
1/18
|
|
13,965
|
|
||
|
|
|
Collateralized by Par Value $14,000
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 1.88%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 12/20
|
|
|
|
|
|
|
||||
|
10,760
|
|
|
Barclays Capital Inc
|
|
(0.65)%
|
|
1/18
|
|
10,760
|
|
||
|
|
|
Collateralized by Par Value $10,447
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.75%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/21
|
|
|
|
|
|
|
||||
|
10,043
|
|
|
Barclays Capital Inc
|
|
(0.57)%
|
|
1/18
|
|
10,043
|
|
||
|
|
|
Collateralized by Par Value $9,474
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 2.75%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/19
|
|
|
|
|
|
|
||||
|
9,764
|
|
|
Barclays Capital Inc
|
|
(0.57)%
|
|
1/18
|
|
9,764
|
|
||
|
|
|
Collateralized by Par Value $9,400
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 1.15%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/20
|
|
|
|
|
|
|
||||
|
9,588
|
|
|
Barclays Capital Inc
|
|
(0.58)%
|
|
1/18
|
|
9,588
|
|
||
|
|
|
Collateralized by Par Value $9,400
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.65%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/20
|
|
|
|
|
|
|
||||
|
5,895
|
|
|
Bank of America Securities
|
|
1.45%
|
|
1/18
|
|
5,895
|
|
||
|
|
|
Collateralized by Par Value $6,000
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 1.75%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 5/22
|
|
|
|
|
|
|
||||
|
5,707
|
|
|
CILO 2016-LD1 Holdings LLC (p)
|
|
3.34%
|
|
3/18
|
|
5,707
|
|
||
|
|
|
Collateralized by Par Value $9,512
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Debt, Coupon 5.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/22
|
|
|
|
|
|
|
||||
|
4,921
|
|
|
Barclays Capital Inc
|
|
(2.00)%
|
|
1/18
|
|
4,921
|
|
||
|
|
|
Collateralized by Par Value $4,720
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.88%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/20
|
|
|
|
|
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
||||||||
|
$
|
3,122
|
|
|
RBC Capital Markets LLC
|
|
1.05%
|
|
1/18
|
|
$
|
3,122
|
|
|
|
|
Collateralized by Par Value $3,860
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 10.50%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 9/22
|
|
|
|
|
|
|
||||
|
2,790
|
|
|
CS First Boston
|
|
(1.00)%
|
|
1/18
|
|
2,790
|
|
||
|
|
|
Collateralized by Par Value $2,794
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 8.00%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 6/27
|
|
|
|
|
|
|
||||
|
2,192
|
|
|
Bank of America Securities
|
|
0.45%
|
|
1/18
|
|
2,192
|
|
||
|
|
|
Collateralized by Par Value $2,223
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.25%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/27
|
|
|
|
|
|
|
||||
|
2,164
|
|
|
Societe Generale
|
|
1.10%
|
|
1/18
|
|
2,164
|
|
||
|
|
|
Collateralized by Par Value $2,560
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 10.50%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 9/22
|
|
|
|
|
|
|
||||
|
2,151
|
|
|
JP Morgan Securities LLC
|
|
(2.75)%
|
|
1/18
|
|
2,151
|
|
||
|
|
|
Collateralized by Par Value $2,170
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.88%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/22
|
|
|
|
|
|
|
||||
|
1,979
|
|
|
Barclays Capital Inc
|
|
(0.25)%
|
|
1/18
|
|
1,979
|
|
||
|
|
|
Collateralized by Par Value $1,850
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 7.50%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/24
|
|
|
|
|
|
|
||||
|
1,320
|
|
|
RBC Capital Markets LLC
|
|
0.65%
|
|
1/18
|
|
1,320
|
|
||
|
|
|
Collateralized by Par Value $1,300
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 8.25%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 6/23
|
|
|
|
|
|
|
||||
|
1,283
|
|
|
Barclays Capital Inc
|
|
(2.00)%
|
|
1/18
|
|
1,283
|
|
||
|
|
|
Collateralized by Par Value $1,285
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.75%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 6/23
|
|
|
|
|
|
|
||||
|
1,079
|
|
|
RBC Capital Markets LLC
|
|
(2.25)%
|
|
1/18
|
|
1,079
|
|
||
|
|
|
Collateralized by Par Value $1,110
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.75%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 6/23
|
|
|
|
|
|
|
||||
|
890
|
|
|
RBC Capital Markets LLC
|
|
(4.50)%
|
|
1/18
|
|
890
|
|
||
|
|
|
Collateralized by Par Value $970
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.50%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/24
|
|
|
|
|
|
|
||||
|
737
|
|
|
RBC Capital Markets LLC
|
|
(5.75)%
|
|
1/18
|
|
737
|
|
||
|
|
|
Collateralized by Par Value $766
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/22
|
|
|
|
|
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
||||||||
|
$
|
655
|
|
|
RBC Capital Markets LLC
|
|
0.75%
|
|
1/18
|
|
$
|
655
|
|
|
|
|
Collateralized by Par Value $591
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 8.00%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 12/22
|
|
|
|
|
|
|
||||
|
613
|
|
|
JP Morgan Securities LLC
|
|
0.30%
|
|
1/18
|
|
613
|
|
||
|
|
|
Collateralized by Par Value $615
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.00%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/22
|
|
|
|
|
|
|
||||
|
580
|
|
|
RBC Capital Markets LLC
|
|
(1.25)%
|
|
1/18
|
|
580
|
|
||
|
|
|
Collateralized by Par Value $581
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 8.00%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 6/27
|
|
|
|
|
|
|
||||
|
523
|
|
|
RBC Capital Markets LLC
|
|
1.05%
|
|
1/18
|
|
523
|
|
||
|
|
|
Collateralized by Par Value $500
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.75%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/22
|
|
|
|
|
|
|
||||
|
447
|
|
|
CS First Boston
|
|
(5.00)%
|
|
1/18
|
|
447
|
|
||
|
|
|
Collateralized by Par Value $464
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/22
|
|
|
|
|
|
|
||||
|
414
|
|
|
RBC Capital Markets LLC
|
|
0.95%
|
|
1/18
|
|
414
|
|
||
|
|
|
Collateralized by Par Value $400
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.25%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 3/22
|
|
|
|
|
|
|
||||
|
282
|
|
|
CS First Boston
|
|
(4.00)%
|
|
1/18
|
|
282
|
|
||
|
|
|
Collateralized by Par Value $310
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.50%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/24
|
|
|
|
|
|
|
||||
|
255
|
|
|
Bank of America Securities
|
|
1.45%
|
|
1/18
|
|
255
|
|
||
|
|
|
Collateralized by Par Value $281
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Bond, Coupon 2.25%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 8/46
|
|
|
|
|
|
|
||||
|
243
|
|
|
Barclays Capital Inc
|
|
(1.75)%
|
|
1/18
|
|
243
|
|
||
|
|
|
Collateralized by Par Value $250
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.50%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/22
|
|
|
|
|
|
|
||||
|
151
|
|
|
RBC Capital Markets LLC
|
|
0.50%
|
|
1/18
|
|
151
|
|
||
|
|
|
Collateralized by Par Value $160
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 2.88%
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 2/23
|
|
|
|
|
|
|
||||
|
Total Repurchase Agreements (Cost $155,109)
|
|
|
|
|
|
$
|
155,949
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Investments Sold Short (-103.43%) (a) (b)
|
|
|
|
|
|
|
||||||
|
TBA–Fixed Rate Agency Securities Sold Short (-74.11%) (q)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
$
|
(69,372
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
3.50%
|
|
1/18
|
|
$
|
(71,247
|
)
|
|
(68,000
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
4.00%
|
|
2/18
|
|
(71,028
|
)
|
||
|
(55,000
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
4.00%
|
|
2/18
|
|
(57,447
|
)
|
||
|
(43,220
|
)
|
|
Federal National Mortgage Association (15 year)
|
|
3.50%
|
|
1/18
|
|
(44,618
|
)
|
||
|
(35,000
|
)
|
|
Government National Mortgage Association (30 year)
|
|
4.00%
|
|
2/18
|
|
(36,485
|
)
|
||
|
(31,000
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
4.50%
|
|
2/18
|
|
(32,942
|
)
|
||
|
(27,547
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
4.00%
|
|
1/18
|
|
(28,815
|
)
|
||
|
(24,410
|
)
|
|
Government National Mortgage Association (30 year)
|
|
3.50%
|
|
1/18
|
|
(25,249
|
)
|
||
|
(21,710
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
4.50%
|
|
1/18
|
|
(23,097
|
)
|
||
|
(21,520
|
)
|
|
Federal National Mortgage Association (15 year)
|
|
3.00%
|
|
1/18
|
|
(21,923
|
)
|
||
|
(12,351
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
4.50%
|
|
1/18
|
|
(13,134
|
)
|
||
|
(12,112
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
3.00%
|
|
1/18
|
|
(12,113
|
)
|
||
|
(6,860
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
5.50%
|
|
1/18
|
|
(7,520
|
)
|
||
|
(5,680
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
5.00%
|
|
1/18
|
|
(6,104
|
)
|
||
|
(5,515
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
3.00%
|
|
1/18
|
|
(5,517
|
)
|
||
|
(1,800
|
)
|
|
Government National Mortgage Association (30 year)
|
|
3.00%
|
|
1/18
|
|
(1,813
|
)
|
||
|
(1,100
|
)
|
|
Federal Home Loan Mortgage Corporation (15 year)
|
|
3.50%
|
|
1/18
|
|
(1,137
|
)
|
||
|
Total TBA–Fixed Rate Agency Securities Sold Short
(Proceeds -$459,953)
|
|
|
|
|
|
(460,189
|
)
|
|||||
|
Government Debt Sold Short (-14.52%)
|
|
|
|
|
|
|
||||||
|
North America (-8.54%)
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
(30,501
|
)
|
|
U.S. Treasury Note
|
|
2.25%
|
|
2/27
|
|
(30,108
|
)
|
||
|
(14,000
|
)
|
|
U.S. Treasury Note
|
|
1.88%
|
|
12/20
|
|
(13,961
|
)
|
||
|
(6,000
|
)
|
|
U.S. Treasury Note
|
|
1.75%
|
|
5/22
|
|
(5,896
|
)
|
||
|
(2,223
|
)
|
|
U.S. Treasury Note
|
|
2.25%
|
|
11/27
|
|
(2,192
|
)
|
||
|
(615
|
)
|
|
U.S. Treasury Note
|
|
2.00%
|
|
11/22
|
|
(610
|
)
|
||
|
(281
|
)
|
|
U.S. Treasury Bond
|
|
2.25%
|
|
8/46
|
|
(254
|
)
|
||
|
Total North America (Proceeds -$53,322)
|
|
|
|
|
|
(53,021
|
)
|
|||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal/Number of Shares
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Europe (-5.98%)
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
$
|
(16,516
|
)
|
|
Spanish Sovereign Bond
|
|
0.25%
|
|
4/18
|
|
$
|
(16,556
|
)
|
|
(10,447
|
)
|
|
Spanish Sovereign Bond
|
|
0.75%
|
|
7/21
|
|
(10,704
|
)
|
||
|
(9,474
|
)
|
|
Spanish Sovereign Bond
|
|
2.75%
|
|
4/19
|
|
(9,868
|
)
|
||
|
Total Europe (Proceeds -$35,149)
|
|
|
|
|
|
(37,128
|
)
|
|||||
|
Total Government Debt Sold Short (Proceeds -$88,471)
|
|
|
|
|
|
(90,149
|
)
|
|||||
|
Corporate Debt Sold Short (-8.89%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Communications
|
|
|
|
|
|
|
||||||
|
(18,590
|
)
|
|
Various
|
|
4.13% - 10.50%
|
|
7/22 - 3/27
|
|
(17,196
|
)
|
||
|
Consumer
|
|
|
|
|
|
|
||||||
|
(23,805
|
)
|
|
Various
|
|
2.88% - 6.75%
|
|
10/20 - 5/26
|
|
(23,854
|
)
|
||
|
Energy
|
|
|
|
|
|
|
||||||
|
(13,311
|
)
|
|
Various
|
|
3.25% - 8.25%
|
|
4/22 - 6/27
|
|
(12,834
|
)
|
||
|
Financial
|
|
|
|
|
|
|
||||||
|
(960
|
)
|
|
Various
|
|
5.13% -5.25%
|
|
3/22 - 9/24
|
|
(1,019
|
)
|
||
|
Technology
|
|
|
|
|
|
|
||||||
|
(330
|
)
|
|
Various
|
|
3.63%
|
|
10/21
|
|
(308
|
)
|
||
|
Total Corporate Debt Sold Short (Proceeds -$55,112)
|
|
|
|
|
|
(55,211
|
)
|
|||||
|
Common Stock Sold Short (-5.91%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Energy
|
|
|
|
|
|
|
||||||
|
(1
|
)
|
|
Exchange-Traded Equity
|
|
|
|
|
|
(68
|
)
|
||
|
Financial
|
|
|
|
|
|
|
||||||
|
(671
|
)
|
|
Exchange-Traded Equity
|
|
|
|
|
|
(36,623
|
)
|
||
|
Total Common Stock Sold Short (Proceeds -$36,666)
|
|
|
|
|
|
(36,691
|
)
|
|||||
|
Total Investments Sold Short (Proceeds -$640,202)
|
|
|
|
|
|
$
|
(642,240
|
)
|
||||
|
|
Primary Risk
Exposure
|
|
Notional
Value
|
|
Range of
Expiration
Dates
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Financial Derivatives–Assets (4.54%) (a) (b)
|
|
|
|
|
|
|
|
||||
|
Swaps (4.53%)
|
|
|
|
|
|
|
|
||||
|
Long Swaps:
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bond Indices (r)
|
Credit
|
|
$
|
25,338
|
|
|
12/18 - 12/22
|
|
$
|
1,429
|
|
|
Interest Rate Swaps (s)
|
Interest Rates
|
|
79,347
|
|
|
3/18 - 12/25
|
|
969
|
|
||
|
Credit Default Swaps on Asset-Backed Indices (r)
|
Credit
|
|
885
|
|
|
12/37
|
|
9
|
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bonds (r)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
2,070
|
|
|
12/21 - 12/22
|
|
228
|
|
||
|
Communications
|
Credit
|
|
10,165
|
|
|
6/20 - 12/22
|
|
475
|
|
||
|
Consumer
|
Credit
|
|
41,725
|
|
|
3/19 - 12/22
|
|
2,525
|
|
||
|
Energy
|
Credit
|
|
8,250
|
|
|
6/19 - 6/22
|
|
99
|
|
||
|
Financial
|
Credit
|
|
1,180
|
|
|
12/21
|
|
194
|
|
||
|
Utilities
|
Credit
|
|
3,150
|
|
|
12/21 - 6/22
|
|
392
|
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
3,913
|
|
|||
|
Short Swaps:
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Indices (t)
|
Credit
|
|
(28,733
|
)
|
|
5/46 - 11/59
|
|
5,384
|
|
||
|
Interest Rate Swaps (u)
|
Interest Rates
|
|
(866,398
|
)
|
|
2/18 - 11/30
|
|
8,277
|
|
||
|
Interest Rate Basis Swaps (ab)
|
Interest Rates
|
|
(26,600
|
)
|
|
4/18 - 6/19
|
|
20
|
|
||
|
Total Return Swaps
|
|
|
|
|
|
|
|
||||
|
Financial (v)
|
Equity Market
|
|
(10,317
|
)
|
|
7/19
|
|
—
|
|
||
|
Total Total Return Swaps
|
|
|
|
|
|
|
—
|
|
|||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Securities (t)
|
|
|
|
|
|
|
|
||||
|
Mortgage-related—residential
|
Credit
|
|
(5,688
|
)
|
|
5/35 - 12/35
|
|
3,140
|
|
||
|
Total Credit Default Swaps on Asset-Backed Securities
|
|
|
|
|
|
|
3,140
|
|
|||
|
Credit Default Swaps on Corporate Bonds (t)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
(2,590
|
)
|
|
6/21 - 6/22
|
|
77
|
|
||
|
Communications
|
Credit
|
|
(21,975
|
)
|
|
12/18 - 6/22
|
|
3,386
|
|
||
|
Consumer
|
Credit
|
|
(11,385
|
)
|
|
12/18 - 12/22
|
|
211
|
|
||
|
Energy
|
Credit
|
|
(28,392
|
)
|
|
6/18 - 12/22
|
|
849
|
|
||
|
Technology
|
Credit
|
|
(4,025
|
)
|
|
12/21 - 6/22
|
|
452
|
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
4,975
|
|
|||
|
Total Swaps (Net cost $31,392)
|
|
|
|
|
|
|
28,116
|
|
|||
|
Options (0.00%)
|
|
|
|
|
|
|
|
||||
|
Purchased Options:
|
|
|
|
|
|
|
|
||||
|
Interest Rate Caps (x)
|
Interest Rates
|
|
113,453
|
|
|
3/18 - 5/19
|
|
1
|
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Equity Call Options (aa)
|
|
|
|
|
|
|
|
||||
|
Consumer
|
Equity Market
|
|
16
|
|
|
1/18
|
|
3
|
|
||
|
Total Options (Cost $82)
|
|
|
|
|
|
|
4
|
|
|||
|
|
|
|
|
|
|
|
|
||||
|
|
Primary Risk
Exposure
|
|
Notional
Value
|
|
Range of
Expiration
Dates
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Futures (0.01%)
|
|
|
|
|
|
|
|
||||
|
Short Futures
|
|
|
|
|
|
|
|
||||
|
U.S. Treasury Note Futures (y)
|
Interest Rates
|
|
$
|
(6,800
|
)
|
|
3/18
|
|
$
|
45
|
|
|
Total Futures
|
|
|
|
|
|
|
45
|
|
|||
|
Total Financial Derivatives–Assets (Net cost $31,474)
|
|
|
|
|
|
|
$
|
28,165
|
|
||
|
Financial Derivatives–Liabilities (-5.84%) (a) (b)
|
|
|
|
|
|
|
|
||||
|
Swaps (-5.68%)
|
|
|
|
|
|
|
|
||||
|
Long Swaps:
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Indices (r)
|
Credit
|
|
$
|
6,827
|
|
|
3/49 - 5/63
|
|
$
|
(980
|
)
|
|
Interest Rate Swaps (s)
|
Interest Rates
|
|
374,003
|
|
|
11/18 - 12/27
|
|
(5,852
|
)
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bonds (r)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
2,590
|
|
|
6/21 - 6/22
|
|
(77
|
)
|
||
|
Communications
|
Credit
|
|
26,213
|
|
|
6/21 - 12/22
|
|
(5,974
|
)
|
||
|
Consumer
|
Credit
|
|
12,561
|
|
|
6/20 - 12/22
|
|
(293
|
)
|
||
|
Energy
|
Credit
|
|
33,654
|
|
|
6/21 - 12/22
|
|
(2,736
|
)
|
||
|
Technology
|
Credit
|
|
380
|
|
|
12/22
|
|
(53
|
)
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
(9,133
|
)
|
|||
|
Total Return Swaps
|
|
|
|
|
|
|
|
||||
|
Financial (v)
|
Equity Market
|
|
235
|
|
|
7/19 - 5/22
|
|
—
|
|
||
|
Total Total Return Swaps
|
|
|
|
|
|
|
—
|
|
|||
|
Recovery Swaps (w)
|
|
|
|
|
|
|
|
||||
|
Consumer
|
Credit
|
|
2,600
|
|
|
6/19
|
|
(8
|
)
|
||
|
Total Recovery Swaps
|
|
|
|
|
|
|
(8
|
)
|
|||
|
|
|
|
|
|
|
|
|
||||
|
|
Primary Risk
Exposure |
|
Notional
Value |
|
Range of
Expiration Dates |
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
||||
|
Short Swaps:
|
|
|
|
|
|
|
|
||||
|
Interest Rate Swaps (u)
|
Interest Rates
|
|
$
|
(59,246
|
)
|
|
9/20 - 12/45
|
|
$
|
(163
|
)
|
|
Credit Default Swaps on Corporate Bond Indices (t)
|
Credit
|
|
(267,034
|
)
|
|
12/18 - 6/22
|
|
(12,367
|
)
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bonds (t)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
(12,285
|
)
|
|
6/19 - 12/22
|
|
(1,075
|
)
|
||
|
Communications
|
Credit
|
|
(7,243
|
)
|
|
12/18 - 12/22
|
|
(304
|
)
|
||
|
Consumer
|
Credit
|
|
(58,672
|
)
|
|
6/18 - 12/22
|
|
(4,274
|
)
|
||
|
Energy
|
Credit
|
|
(21,750
|
)
|
|
6/18 - 6/22
|
|
(374
|
)
|
||
|
Financial
|
Credit
|
|
—
|
|
|
6/22
|
|
—
|
|
||
|
Industrial
|
Credit
|
|
(4,410
|
)
|
|
6/21 - 12/21
|
|
(86
|
)
|
||
|
Technology
|
Credit
|
|
(2,020
|
)
|
|
6/19 - 12/22
|
|
(181
|
)
|
||
|
Utilities
|
Credit
|
|
(4,455
|
)
|
|
6/19 - 12/22
|
|
(495
|
)
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
(6,789
|
)
|
|||
|
Total Swaps (Net proceeds -$27,463)
|
|
|
|
|
|
|
(35,292
|
)
|
|||
|
Futures (-0.08%)
|
|
|
|
|
|
|
|
||||
|
Short Futures:
|
|
|
|
|
|
|
|
||||
|
Currency Futures (z)
|
Currency
|
|
(27,000
|
)
|
|
3/18
|
|
(508
|
)
|
||
|
Total Futures
|
|
|
|
|
|
|
(508
|
)
|
|||
|
Forwards (-0.08%)
|
|
|
|
|
|
|
|
||||
|
Short Forwards:
|
|
|
|
|
|
|
|
||||
|
Currency Forwards (ac)
|
Currency
|
|
(42,306
|
)
|
|
3/18
|
|
(473
|
)
|
||
|
Total Forwards
|
|
|
|
|
|
|
(473
|
)
|
|||
|
Total Financial Derivatives–Liabilities
(Net proceeds -$27,463)
|
|
|
|
|
|
|
$
|
(36,273
|
)
|
||
|
(a)
|
See Note 2 and Note 3 in Notes to Consolidated Financial Statements.
|
|
(b)
|
Classification percentages are based on Total Equity.
|
|
(c)
|
At December 31, 2017, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented
72.39%
,
42.86%
, and
45.07%
of Total Equity, respectively.
|
|
(d)
|
Private trust
100%
backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates.
|
|
(e)
|
Includes investment in collateralized loan obligation notes in the amount of
$37.7 million
that were issued and are managed by related parties of the Company. See Note 9 to the Notes to Consolidated Financial Statements.
|
|
(f)
|
Loans and real estate owned are beneficially owned by the Company through participation certificates in the various trusts that hold such investments. See Note 9 to the Notes to Consolidated Financial Statements.
|
|
(g)
|
Includes investments in participation certificates related to loans titled in the name of a related party of Ellington Financial Management, LLC. Through its participation certificates, the Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses. At December 31, 2017 loans for which the Company has beneficial interests in the net cash flows, totaled
$11.7 million
. See Note 9 to the Notes to Consolidated Financial Statements.
|
|
(h)
|
Includes investments in participation certificates related to loans held in a trust owned by a related party of Ellington Management Group, L.L.C. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by the trust. At December 31, 2017 loans held in the related party trust for which the Company has participating interests in the cash flows, totaled
$114.5 million
. See Note 9 to the Notes to Consolidated Financial Statements.
|
|
(i)
|
Represents the Company's beneficial interest in an entity, which is co-owned by an affiliate of Ellington Management Group, L.L.C. The entity owns subordinated notes issued by, as well as trust certificates representing ownership of, a securitization trust. See Note 6 and Note 9 to the Notes to Consolidated Financial Statements.
|
|
(j)
|
Includes non-performing commercial mortgage loans in the amount of
$23.9 million
whereby principal and/or interest is past due and a maturity date is not applicable.
|
|
(k)
|
Number of properties not shown in thousands, represents actual number of properties owned.
|
|
(l)
|
As of December 31, 2017, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of
$5.2 million
.
|
|
(m)
|
Includes
$132.4 million
of non-qualified mortgage loans that have been securitized and are held in a consolidated securitization trust. See Note 6 to the Notes to Consolidated Financial Statements.
|
|
(n)
|
Represents the Company's investment in a related party. See Note 9 to the Notes to Consolidated Financial Statements.
|
|
(o)
|
In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.
|
|
(p)
|
Repurchase agreement is between the Company and CILO 2016-LD1 Holdings LLC, an entity in which the Company has a beneficial interest and is co-owned by an affiliate of Ellington Management Group, L.L.C. CILO 2016-LD1 Holdings LLC owns subordinated notes issued by, as well as trust certificates representing ownership of, a securitization trust. See Note 9 to the Notes to Consolidated Financial Statements.
|
|
(q)
|
At December 31, 2017, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented
44.61%
,
19.27%
, and
10.23%
of Total Equity, respectively.
|
|
(r)
|
For long credit default swaps, the Company sold protection.
|
|
(s)
|
For long interest rate swap contracts, the Company pays a floating rate and receives a fixed rate.
|
|
(t)
|
For short credit default swaps, the Company purchased protection.
|
|
(u)
|
For short interest rate swap contracts, the Company pays a fixed rate and receives a floating rate.
|
|
(v)
|
Notional value represents number of underlying shares multiplied by the closing price of the underlying security.
|
|
(w)
|
For long recovery swaps the Company receives a specified recovery rate in exchange for the actual recovery rate on the underlying.
|
|
(x)
|
Notional value represents the amount on which interest payments are calculated to the extent the market interest rate exceeds the rate cap on the contract.
|
|
(y)
|
Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of December 31, 2017,
68
contracts were held.
|
|
(z)
|
Notional value represents the total face amount of foreign currency underlying all contracts held; as of December 31, 2017,
216
contracts were held.
|
|
(aa)
|
Notional value represents the number of common shares we have the option to purchase multiplied by the strike price.
|
|
(ab)
|
Represents interest rate "basis" swaps whereby the Company pays one floating rate and receives a different floating rate.
|
|
(ac)
|
Notional value represents U.S. Dollars to be received by the Company at the maturity of the forward contract.
|
|
(ad)
|
The table below shows the ratings on the Company's long investments from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."
|
|
Rating Description
|
|
Percent of Equity
|
|
|
Unrated but Agency-Guaranteed
|
|
160.32
|
%
|
|
A/A/A
|
|
0.81
|
%
|
|
Baa/BBB/BBB
|
|
2.62
|
%
|
|
Ba/BB/BB or below
|
|
68.03
|
%
|
|
Unrated
|
|
101.85
|
%
|
|
|
|
Year Ended December 31,
|
||||||
|
|
|
2018
|
|
2017
|
||||
|
(In thousands except per share amounts)
|
|
|||||||
|
INVESTMENT INCOME
|
|
|
|
|
||||
|
Interest income
(1)
|
|
$
|
131,027
|
|
|
$
|
89,629
|
|
|
Other income
|
|
4,014
|
|
|
4,331
|
|
||
|
Total investment income
|
|
135,041
|
|
|
93,960
|
|
||
|
EXPENSES
|
|
|
|
|
||||
|
Base management fee to affiliate (Net of fee rebates of $1,380 and $332, respectively)
(2)
|
|
7,573
|
|
|
9,056
|
|
||
|
Incentive fee to affiliate
|
|
715
|
|
|
—
|
|
||
|
Interest expense
(1)
|
|
56,707
|
|
|
31,120
|
|
||
|
Other investment related expenses
|
|
|
|
|
||||
|
Servicing expense
|
|
7,715
|
|
|
4,132
|
|
||
|
Debt issuance costs related to Other secured borrowings, at fair value
|
|
1,647
|
|
|
1,679
|
|
||
|
Other
|
|
7,592
|
|
|
3,943
|
|
||
|
Professional fees
|
|
3,902
|
|
|
2,915
|
|
||
|
Administration fees
|
|
734
|
|
|
720
|
|
||
|
Compensation expense
|
|
2,233
|
|
|
2,200
|
|
||
|
Insurance expense
|
|
487
|
|
|
498
|
|
||
|
Directors' fees and expenses
|
|
298
|
|
|
272
|
|
||
|
Share-based long term incentive plan unit expense
|
|
415
|
|
|
385
|
|
||
|
Other expenses
|
|
1,898
|
|
|
1,872
|
|
||
|
Total expenses
|
|
91,916
|
|
|
58,792
|
|
||
|
NET INVESTMENT INCOME
|
|
43,125
|
|
|
35,168
|
|
||
|
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION
|
|
|
|
|
||||
|
Net realized gain (loss) on:
|
|
|
|
|
||||
|
Investments
|
|
25,421
|
|
|
3,924
|
|
||
|
Financial derivatives, excluding currency hedges
|
|
(2,639
|
)
|
|
(12,153
|
)
|
||
|
Financial derivatives—currency hedges
|
|
4,475
|
|
|
(6,420
|
)
|
||
|
Foreign currency transactions
|
|
4,131
|
|
|
3,845
|
|
||
|
|
|
31,388
|
|
|
(10,804
|
)
|
||
|
Change in net unrealized gain (loss) on:
|
|
|
|
|
||||
|
Investments
|
|
(25,947
|
)
|
|
7,374
|
|
||
|
Other secured borrowings
|
|
758
|
|
|
—
|
|
||
|
Financial derivatives, excluding currency hedges
|
|
7,093
|
|
|
426
|
|
||
|
Financial derivatives—currency hedges
|
|
565
|
|
|
(526
|
)
|
||
|
Foreign currency translation
|
|
(7,071
|
)
|
|
4,326
|
|
||
|
|
|
(24,602
|
)
|
|
11,600
|
|
||
|
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, OTHER SECURED BORROWINGS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION
|
|
6,786
|
|
|
796
|
|
||
|
|
|
|
|
|
||||
|
ELLINGTON FINANCIAL LLC
|
||||||||
|
CONSOLIDATED STATEMENT OF OPERATIONS (CONTINUED)
|
||||||||
|
|
|
|
|
|
||||
|
|
|
|
|
|
||||
|
|
|
Year Ended December 31,
|
||||||
|
|
|
2018
|
|
2017
|
||||
|
|
|
|||||||
|
NET INCREASE (DECREASE) IN EQUITY RESULTING FROM OPERATIONS
|
|
49,911
|
|
|
35,964
|
|
||
|
LESS: NET INCREASE (DECREASE) IN EQUITY RESULTING FROM OPERATIONS ATTRIBUTABLE TO NON-CONTROLLING INTERESTS
|
|
3,235
|
|
|
1,983
|
|
||
|
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS
|
|
$
|
46,676
|
|
|
$
|
33,981
|
|
|
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE:
|
|
|
|
|
||||
|
Basic and Diluted
|
|
$
|
1.52
|
|
|
$
|
1.04
|
|
|
(1)
|
Includes interest income and interest expense of consolidated securitization trusts of $6.0 million and $3.6 million, respectively, for the year ended December 31, 2018. Includes interest income and interest expense of a consolidated securitization trust of $1.5 million and $0.6 million, respectively, for the year ended December 31, 2017. See Note 6 for further details on the Company's consolidated securitization trust.
|
|
(2)
|
See Note 9 for further details on management fee rebates.
|
|
|
|
Year Ended
December 31, 2018 |
|
Year Ended
December 31, 2017 |
||||||||||||||||||||
|
|
|
Shareholders' Equity
|
|
Non-controlling Interest
|
|
Total Equity
|
|
Shareholders' Equity
|
|
Non-controlling Interest
|
|
Total Equity
|
||||||||||||
|
(In thousands)
|
|
Expressed in U.S. Dollars
|
||||||||||||||||||||||
|
BEGINNING EQUITY
(12/31/2017 and 12/31/2016, respectively) |
|
$
|
600,099
|
|
|
$
|
20,862
|
|
|
$
|
620,961
|
|
|
$
|
637,661
|
|
|
$
|
7,116
|
|
|
$
|
644,777
|
|
|
CHANGE IN EQUITY RESULTING FROM OPERATIONS
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Net investment income
|
|
|
|
|
|
43,125
|
|
|
|
|
|
|
35,168
|
|
||||||||||
|
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions
|
|
|
|
|
|
31,388
|
|
|
|
|
|
|
(10,804
|
)
|
||||||||||
|
Change in net unrealized gain (loss) on investments, other secured borrowings, financial derivatives, and foreign currency translation
|
|
|
|
|
|
(24,602
|
)
|
|
|
|
|
|
11,600
|
|
||||||||||
|
Net increase (decrease) in equity resulting from operations
|
|
46,676
|
|
|
3,235
|
|
|
49,911
|
|
|
33,981
|
|
|
1,983
|
|
|
35,964
|
|
||||||
|
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Shares issued in connection with incentive fee payment
|
|
71
|
|
|
|
|
71
|
|
|
—
|
|
|
|
|
—
|
|
||||||||
|
Contributions from non-controlling interests
|
|
|
|
21,532
|
|
|
21,532
|
|
|
|
|
20,707
|
|
|
20,707
|
|
||||||||
|
Dividends
(1)
|
|
(50,388
|
)
|
|
(348
|
)
|
|
(50,736
|
)
|
|
(57,263
|
)
|
|
(373
|
)
|
|
(57,636
|
)
|
||||||
|
Distributions to non-controlling interests
|
|
|
|
(23,853
|
)
|
|
(23,853
|
)
|
|
|
|
(8,594
|
)
|
|
(8,594
|
)
|
||||||||
|
Adjustment to non-controlling interest
|
|
(369
|
)
|
|
369
|
|
|
—
|
|
|
(21
|
)
|
|
21
|
|
|
—
|
|
||||||
|
Share-based long term incentive plan unit redemption and distribution
|
|
(9,537
|
)
|
|
9,537
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
|
Shares repurchased
|
|
(23,131
|
)
|
|
|
|
(23,131
|
)
|
|
(14,642
|
)
|
|
|
|
(14,642
|
)
|
||||||||
|
Share-based long term incentive plan unit awards
|
|
412
|
|
|
3
|
|
|
415
|
|
|
383
|
|
|
2
|
|
|
385
|
|
||||||
|
Net increase (decrease) in equity from transactions
|
|
(82,942
|
)
|
|
7,240
|
|
|
(75,702
|
)
|
|
(71,543
|
)
|
|
11,763
|
|
|
(59,780
|
)
|
||||||
|
Net increase (decrease) in equity
|
|
(36,266
|
)
|
|
10,475
|
|
|
(25,791
|
)
|
|
(37,562
|
)
|
|
13,746
|
|
|
(23,816
|
)
|
||||||
|
ENDING EQUITY
(12/31/2018 and 12/31/2017, respectively) |
|
$
|
563,833
|
|
|
$
|
31,337
|
|
|
$
|
595,170
|
|
|
$
|
600,099
|
|
|
$
|
20,862
|
|
|
$
|
620,961
|
|
|
(1)
|
For the years ended December 31, 2018 and 2017, dividends totaling $1.64 and $1.76, respectively, per common share and convertible unit outstanding, were declared.
|
|
|
Year Ended December 31,
|
||||||
|
|
2018
|
|
2017
|
||||
|
(In thousands)
|
Expressed in U.S. Dollars
|
||||||
|
INCREASE (DECREASE) IN CASH, CASH EQUIVALENTS, AND RESTRICTED CASH:
|
|
|
|
||||
|
NET INCREASE (DECREASE) IN EQUITY RESULTING FROM OPERATIONS
|
$
|
49,911
|
|
|
$
|
35,964
|
|
|
Cash flows provided by (used in) operating activities:
|
|
|
|
||||
|
Reconciliation of the net increase (decrease) in equity resulting from operations to net cash provided by (used in) operating activities:
|
|
|
|
||||
|
Net realized (gain) loss on investments, financial derivatives, and foreign currency transactions
|
(25,368
|
)
|
|
17,860
|
|
||
|
Change in net unrealized (gain) loss on investments, other secured borrowings, financial derivatives, and foreign currency translation
|
26,318
|
|
|
(13,750
|
)
|
||
|
Amortization of premiums and accretion of discounts (net)
|
45,895
|
|
|
32,764
|
|
||
|
Purchase of investments
|
(3,350,398
|
)
|
|
(2,849,027
|
)
|
||
|
Proceeds from disposition of investments
|
1,868,532
|
|
|
1,962,711
|
|
||
|
Proceeds from principal payments of investments
|
497,858
|
|
|
286,426
|
|
||
|
Proceeds from investments sold short
|
2,674,841
|
|
|
1,718,668
|
|
||
|
Repurchase of investments sold short
|
(2,457,148
|
)
|
|
(1,674,760
|
)
|
||
|
Payments on financial derivatives
|
(119,490
|
)
|
|
(103,499
|
)
|
||
|
Proceeds from financial derivatives
|
121,904
|
|
|
109,496
|
|
||
|
Amortization of deferred debt issuance costs
|
263
|
|
|
97
|
|
||
|
Shares issued in connection with incentive fee payment
|
71
|
|
|
—
|
|
||
|
Share-based long term incentive plan unit expense
|
415
|
|
|
385
|
|
||
|
Interest income related to consolidated securitization trust
(1)
|
(4,697
|
)
|
|
(1,175
|
)
|
||
|
Interest expense related to consolidated securitization trust
(1)
|
4,313
|
|
|
794
|
|
||
|
Debt issuance costs related to Other secured borrowings, at fair value
(1)
|
1,647
|
|
|
1,679
|
|
||
|
Repurchase agreements
|
94,675
|
|
|
28,870
|
|
||
|
(Increase) decrease in assets
(2)
:
|
|
|
|
||||
|
Receivable for securities sold and financial derivatives
|
(304,826
|
)
|
|
(30,888
|
)
|
||
|
Due from brokers
|
68,610
|
|
|
(46,753
|
)
|
||
|
Interest and principal receivable
|
(7,988
|
)
|
|
(7,984
|
)
|
||
|
Other assets
|
28,234
|
|
|
(40,411
|
)
|
||
|
Increase (decrease) in liabilities:
|
|
|
|
||||
|
Due to brokers
|
3,832
|
|
|
(11,059
|
)
|
||
|
Payable for securities purchased and financial derivatives
|
285,708
|
|
|
117,535
|
|
||
|
Accounts payable and accrued expenses
|
1,838
|
|
|
558
|
|
||
|
Incentive fee payable to affiliate
|
—
|
|
|
—
|
|
||
|
Other liabilities
|
(17
|
)
|
|
424
|
|
||
|
Interest and dividends payable
|
1,255
|
|
|
2,444
|
|
||
|
Base management fee payable to affiliate
|
(369
|
)
|
|
(303
|
)
|
||
|
Net cash provided by (used in) operating activities
(2)
|
(494,181
|
)
|
|
(462,934
|
)
|
||
|
|
|
|
|
||||
|
ELLINGTON FINANCIAL LLC
|
|||||||
|
CONSOLIDATED STATEMENT OF CASH FLOWS (CONTINUED)
|
|||||||
|
|
|
||||||
|
|
|
||||||
|
|
Year Ended December 31,
|
||||||
|
|
2018
|
|
2017
|
||||
|
(In thousands)
|
Expressed in U.S. Dollars
|
||||||
|
Cash flows provided by (used in) financing activities:
|
|
|
|
||||
|
Contributions from non-controlling interests
|
$
|
21,532
|
|
|
$
|
20,707
|
|
|
Shares repurchased
|
(23,131
|
)
|
|
(14,642
|
)
|
||
|
Dividends paid
|
(50,736
|
)
|
|
(57,636
|
)
|
||
|
Distributions to non-controlling interests
|
(23,853
|
)
|
|
(8,594
|
)
|
||
|
Proceeds from issuance of Other secured borrowings
|
100,010
|
|
|
111,338
|
|
||
|
Principal payments on Other secured borrowings
|
(43,819
|
)
|
|
(28,839
|
)
|
||
|
Proceeds from issuance of Other secured borrowings, at fair value
|
102,706
|
|
|
106,590
|
|
||
|
Debt issuance costs related to Other secured borrowings, at fair value
|
(775
|
)
|
|
(947
|
)
|
||
|
Proceeds from issuance of senior notes
|
—
|
|
|
86,000
|
|
||
|
Debt issuance costs paid
|
—
|
|
|
(1,326
|
)
|
||
|
Borrowings under reverse repurchase agreements
|
8,078,468
|
|
|
9,919,449
|
|
||
|
Repayments of reverse repurchase agreements
|
(7,668,798
|
)
|
|
(9,745,437
|
)
|
||
|
Net cash provided by (used in) financing activities
|
491,604
|
|
|
386,663
|
|
||
|
NET INCREASE (DECREASE) IN CASH, CASH EQUIVALENTS, AND RESTRICTED CASH
(2)
|
(2,577
|
)
|
|
(76,271
|
)
|
||
|
CASH, CASH EQUIVALENTS, AND RESTRICTED CASH, BEGINNING OF PERIOD
(2)
|
47,658
|
|
|
123,929
|
|
||
|
CASH, CASH EQUIVALENTS, AND RESTRICTED CASH, END OF PERIOD
(2)
|
$
|
45,081
|
|
|
$
|
47,658
|
|
|
Supplemental disclosure of cash flow information:
|
|
|
|
||||
|
Interest paid
|
$
|
55,649
|
|
|
$
|
28,006
|
|
|
Shares issued in connection with incentive fee payment
|
71
|
|
|
—
|
|
||
|
Share-based long term incentive plan unit awards (non-cash)
|
415
|
|
|
385
|
|
||
|
Aggregate TBA trade activity (buys + sells) (non-cash)
|
29,752,907
|
|
|
23,917,506
|
|
||
|
Purchase of investments (non-cash)
|
(17,424
|
)
|
|
(25,318
|
)
|
||
|
Proceeds from principal payments of investments (non-cash)
|
49,731
|
|
|
27,307
|
|
||
|
Proceeds from the disposition of investments (non-cash)
|
17,424
|
|
|
26,800
|
|
||
|
Proceeds from issuance of Other secured borrowings (non-cash)
|
—
|
|
|
17,175
|
|
||
|
Principal payments on Other secured borrowings (non-cash)
|
—
|
|
|
(65,851
|
)
|
||
|
Proceeds received from Other secured borrowings, at fair value (non-cash)
|
120,625
|
|
|
31,958
|
|
||
|
Principal payments on Other secured borrowings, at fair value (non-cash)
|
(49,731
|
)
|
|
(13,442
|
)
|
||
|
Borrowings under reverse repurchase agreements (non-cash)
|
—
|
|
|
33,329
|
|
||
|
Repayments of reverse repurchase agreements (non-cash)
|
(120,136
|
)
|
|
(31,607
|
)
|
||
|
Expenses from issuance of other secured borrowings at fair value (non-cash)
|
(872
|
)
|
|
(732
|
)
|
||
|
Share-based long term incentive plan unit redemption (non-cash)
|
(9,537
|
)
|
|
—
|
|
||
|
Contribution from non-controlling interests (non-cash)
|
9,537
|
|
|
—
|
|
||
|
(1)
|
Related to non-qualified mortgage securitization transactions. See Note 6 for further details.
|
|
(2)
|
Conformed to current period presentation.
|
|
•
|
Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities, exchange-traded derivatives, and cash equivalents;
|
|
•
|
Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, U.S. Treasury securities and sovereign debt, certain non-Agency RMBS and CMBS, CLOs, and corporate debt, and actively traded derivatives, such as interest rate swaps and foreign currency forwards, and certain other over-the-counter derivatives; and
|
|
•
|
Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, and CLOs, ABS, credit default swaps, or "CDS," on individual ABS, distressed corporate debt, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, non-listed equities, private corporate debt and equity investments, secured notes, and Other secured borrowings, at fair value.
|
|
Description
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
|
|
(In thousands)
|
||||||||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
||||||||
|
Cash equivalents
|
|
$
|
12,460
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
12,460
|
|
|
Investments, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Agency residential mortgage-backed securities
|
|
$
|
—
|
|
|
$
|
1,442,924
|
|
|
$
|
7,293
|
|
|
$
|
1,450,217
|
|
|
U.S. Treasury securities
|
|
—
|
|
|
76
|
|
|
—
|
|
|
76
|
|
||||
|
Private label residential mortgage-backed securities
|
|
—
|
|
|
211,348
|
|
|
91,291
|
|
|
302,639
|
|
||||
|
Private label commercial mortgage-backed securities
|
|
—
|
|
|
33,105
|
|
|
803
|
|
|
33,908
|
|
||||
|
Commercial mortgage loans
|
|
—
|
|
|
—
|
|
|
211,185
|
|
|
211,185
|
|
||||
|
Residential mortgage loans
|
|
—
|
|
|
—
|
|
|
496,830
|
|
|
496,830
|
|
||||
|
Collateralized loan obligations
|
|
—
|
|
|
108,978
|
|
|
14,915
|
|
|
123,893
|
|
||||
|
Consumer loans and asset-backed securities backed by consumer loans
|
|
—
|
|
|
—
|
|
|
206,761
|
|
|
206,761
|
|
||||
|
Corporate debt
|
|
—
|
|
|
16,074
|
|
|
6,318
|
|
|
22,392
|
|
||||
|
Secured notes
|
|
—
|
|
|
—
|
|
|
10,917
|
|
|
10,917
|
|
||||
|
Real estate owned
|
|
—
|
|
|
—
|
|
|
34,500
|
|
|
34,500
|
|
||||
|
Common stock
|
|
2,200
|
|
|
—
|
|
|
—
|
|
|
2,200
|
|
||||
|
Corporate equity investments
|
|
—
|
|
|
—
|
|
|
43,793
|
|
|
43,793
|
|
||||
|
Total investments, at fair value
|
|
2,200
|
|
|
1,812,505
|
|
|
1,124,606
|
|
|
2,939,311
|
|
||||
|
Financial derivatives–assets, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Credit default swaps on asset-backed securities
|
|
—
|
|
|
—
|
|
|
1,472
|
|
|
1,472
|
|
||||
|
Credit default swaps on corporate bond indices
|
|
—
|
|
|
733
|
|
|
—
|
|
|
733
|
|
||||
|
Credit default swaps on corporate bonds
|
|
—
|
|
|
2,473
|
|
|
—
|
|
|
2,473
|
|
||||
|
Credit default swaps on asset-backed indices
|
|
—
|
|
|
8,092
|
|
|
—
|
|
|
8,092
|
|
||||
|
Total return swaps
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
||||
|
Interest rate swaps
|
|
—
|
|
|
7,224
|
|
|
—
|
|
|
7,224
|
|
||||
|
Forwards
|
|
—
|
|
|
6
|
|
|
—
|
|
|
6
|
|
||||
|
Total financial derivatives–assets, at fair value
|
|
—
|
|
|
18,529
|
|
|
1,472
|
|
|
20,001
|
|
||||
|
Repurchase agreements, at fair value
|
|
—
|
|
|
61,274
|
|
|
—
|
|
|
61,274
|
|
||||
|
Total investments, financial derivatives–assets, and repurchase agreements, at fair value
|
|
$
|
2,200
|
|
|
$
|
1,892,308
|
|
|
$
|
1,126,078
|
|
|
$
|
3,020,586
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
|
Investments sold short, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Agency residential mortgage-backed securities
|
|
$
|
—
|
|
|
$
|
(772,964
|
)
|
|
$
|
—
|
|
|
$
|
(772,964
|
)
|
|
Government debt
|
|
—
|
|
|
(54,151
|
)
|
|
—
|
|
|
(54,151
|
)
|
||||
|
Corporate debt
|
|
—
|
|
|
(6,529
|
)
|
|
—
|
|
|
(6,529
|
)
|
||||
|
Common stock
|
|
(16,933
|
)
|
|
—
|
|
|
—
|
|
|
(16,933
|
)
|
||||
|
Total investments sold short, at fair value
|
|
(16,933
|
)
|
|
(833,644
|
)
|
|
—
|
|
|
(850,577
|
)
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Description
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
(continued)
|
|
(In thousands)
|
||||||||||||||
|
Financial derivatives–liabilities, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Credit default swaps on corporate bond indices
|
|
$
|
—
|
|
|
$
|
(11,557
|
)
|
|
$
|
—
|
|
|
$
|
(11,557
|
)
|
|
Credit default swaps on corporate bonds
|
|
—
|
|
|
(3,246
|
)
|
|
—
|
|
|
(3,246
|
)
|
||||
|
Credit default swaps on asset-backed indices
|
|
—
|
|
|
(2,125
|
)
|
|
—
|
|
|
(2,125
|
)
|
||||
|
Interest rate swaps
|
|
—
|
|
|
(3,397
|
)
|
|
—
|
|
|
(3,397
|
)
|
||||
|
Total return swaps
|
|
—
|
|
|
(6
|
)
|
|
—
|
|
|
(6
|
)
|
||||
|
Futures
|
|
(355
|
)
|
|
—
|
|
|
—
|
|
|
(355
|
)
|
||||
|
Forwards
|
|
—
|
|
|
(120
|
)
|
|
—
|
|
|
(120
|
)
|
||||
|
Total financial derivatives–liabilities, at fair value
|
|
(355
|
)
|
|
(20,451
|
)
|
|
—
|
|
|
(20,806
|
)
|
||||
|
Other secured borrowings, at fair value
|
|
—
|
|
|
—
|
|
|
(297,948
|
)
|
|
(297,948
|
)
|
||||
|
Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value
|
|
$
|
(17,288
|
)
|
|
$
|
(854,095
|
)
|
|
$
|
(297,948
|
)
|
|
$
|
(1,169,331
|
)
|
|
|
|
Fair Value
|
|
Valuation
Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted
Average
|
||||||||||
|
Description
|
|
|
|
|
Min
|
|
Max
|
|
||||||||||||
|
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Private label residential mortgage-backed securities
|
|
$
|
36,945
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
$
|
17.42
|
|
|
$
|
178.00
|
|
|
$
|
78.31
|
|
|
Collateralized loan obligations
|
|
5,828
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
2.64
|
|
|
375.00
|
|
|
167.78
|
|
||||
|
Corporate debt, non-exchange traded corporate equity, and secured notes
|
|
13,976
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
9.69
|
|
|
91.00
|
|
|
59.18
|
|
||||
|
Private label commercial mortgage-backed securities
|
|
576
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
5.93
|
|
|
6.36
|
|
|
6.14
|
|
||||
|
Agency interest only residential mortgage-backed securities
|
|
744
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
1.70
|
|
|
9.12
|
|
|
5.64
|
|
||||
|
Private label residential mortgage-backed securities
|
|
54,346
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
3.5
|
%
|
|
66.1
|
%
|
|
10.7
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
16.0
|
%
|
|
92.1
|
%
|
|
50.4
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.0
|
%
|
|
23.1
|
%
|
|
8.7
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
1.5
|
%
|
|
14.6
|
%
|
|
7.3
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
6.1
|
%
|
|
61.8
|
%
|
|
33.6
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Private label commercial mortgage-backed securities
|
|
227
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
3.4
|
%
|
|
3.4
|
%
|
|
3.4
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
2.0
|
%
|
|
2.0
|
%
|
|
2.0
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
6.6
|
%
|
|
6.6
|
%
|
|
6.6
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
91.4
|
%
|
|
91.4
|
%
|
|
91.4
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Corporate debt and non-exchange traded corporate equity
|
|
4,793
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
17.5
|
%
|
|
17.5
|
%
|
|
17.5
|
%
|
||||
|
(continued)
|
|
Fair Value
|
|
Valuation
Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted
Average
|
||||||||||
|
Description
|
|
|
|
|
Min
|
|
Max
|
|
||||||||||||
|
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Collateralized loan obligations
|
|
$
|
9,087
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
12.6
|
%
|
|
103.1
|
%
|
|
26.7
|
%
|
|||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
8.1
|
%
|
|
88.4
|
%
|
|
65.2
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
3.7
|
%
|
|
40.8
|
%
|
|
13.5
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
4.2
|
%
|
|
38.0
|
%
|
|
11.9
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
3.5
|
%
|
|
13.5
|
%
|
|
9.4
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Consumer loans and asset-backed securities backed by consumer loans
|
|
206,761
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
7.0
|
%
|
|
18.3
|
%
|
|
8.5
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
0.0
|
%
|
|
45.9
|
%
|
|
33.5
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
2.6
|
%
|
|
84.8
|
%
|
|
9.1
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
15.2
|
%
|
|
96.6
|
%
|
|
57.4
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Performing commercial mortgage loans
|
|
163,876
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
8.0
|
%
|
|
22.5
|
%
|
|
9.6
|
%
|
||||
|
Non-performing commercial mortgage loans and commercial real estate owned
|
|
80,513
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
9.6
|
%
|
|
27.4
|
%
|
|
13.2
|
%
|
||||
|
|
|
|
|
|
|
Months to Resolution
|
|
3.0
|
|
|
16.0
|
|
|
7.9
|
|
|||||
|
Performing residential mortgage loans
|
|
171,367
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
2.7
|
%
|
|
12.9
|
%
|
|
6.0
|
%
|
||||
|
Securitized residential mortgage loans
(1)
|
|
314,202
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
4.3
|
%
|
|
4.6
|
%
|
|
4.6
|
%
|
||||
|
Non-performing residential mortgage loans and residential real estate owned
|
|
12,557
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
4.3
|
%
|
|
25.1
|
%
|
|
11.3
|
%
|
||||
|
|
|
|
|
|
|
Months to Resolution
(2)
|
|
1.9
|
|
|
42.2
|
|
|
27.8
|
|
|||||
|
Credit default swaps on asset-backed securities
|
|
1,472
|
|
|
Net Discounted Cash Flows
|
|
Projected Collateral Prepayments
|
|
33.6
|
%
|
|
42.0
|
%
|
|
36.5
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
11.1
|
%
|
|
15.6
|
%
|
|
12.8
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
10.3
|
%
|
|
18.7
|
%
|
|
15.8
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
32.0
|
%
|
|
36.5
|
%
|
|
34.9
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Agency interest only residential mortgage-backed securities
|
|
6,549
|
|
|
Option Adjusted Spread ("OAS")
|
|
LIBOR OAS
(3)
|
|
211
|
|
|
3,521
|
|
|
677
|
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
37.7
|
%
|
|
100.0
|
%
|
|
66.2
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
0.0
|
%
|
|
62.3
|
%
|
|
33.8
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Non-exchange traded common equity investment in mortgage-related entity
|
|
6,750
|
|
|
Enterprise Value
|
|
Equity Price-to-Book
(4)
|
|
3.3x
|
|
3.3x
|
|
3.3x
|
|||||||
|
Non-exchange traded preferred equity investment in mortgage-related entity
|
|
27,317
|
|
|
Enterprise Value
|
|
Equity Price-to-Book
(4)
|
|
1.1x
|
|
1.1x
|
|
1.1x
|
|||||||
|
Non-exchange traded preferred equity investment in loan origination entity
|
|
3,000
|
|
|
Recent Transactions
|
|
Transaction Price
|
|
N/A
|
|
N/A
|
|
N/A
|
|||||||
|
Non-controlling equity interest in limited liability company
|
|
5,192
|
|
|
Discounted Cash Flows
|
|
Yield
(5)
|
|
12.9%
|
|
16.1%
|
|
15.4%
|
|||||||
|
Other secured borrowings, at fair value
(1)
|
|
(297,948
|
)
|
|
Discounted Cash Flows
|
|
Yield
|
|
3.9%
|
|
4.4%
|
|
4.3%
|
|||||||
|
(1)
|
Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFE as discussed in Note 2.
|
|
(2)
|
Excludes certain loans that are re-performing.
|
|
(3)
|
Shown in basis points.
|
|
(4)
|
Represent an estimation of where market participants might value an enterprise on a price-to-book basis.
|
|
(5)
|
Represents the significant unobservable inputs used to fair value the financial instruments of the limited liability company. The fair value of such financial instruments is the largest component of the valuation of the limited liability company as a whole.
|
|
Description
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
|
|
(In thousands)
|
||||||||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
||||||||
|
Cash equivalents
|
|
$
|
26,500
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
26,500
|
|
|
Investments, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Agency residential mortgage-backed securities
|
|
$
|
—
|
|
|
$
|
989,341
|
|
|
$
|
6,173
|
|
|
$
|
995,514
|
|
|
Private label residential mortgage-backed securities
|
|
—
|
|
|
158,369
|
|
|
101,297
|
|
|
259,666
|
|
||||
|
Private label commercial mortgage-backed securities
|
|
—
|
|
|
28,398
|
|
|
12,347
|
|
|
40,745
|
|
||||
|
Commercial mortgage loans
|
|
—
|
|
|
—
|
|
|
108,301
|
|
|
108,301
|
|
||||
|
Residential mortgage loans
|
|
—
|
|
|
—
|
|
|
182,472
|
|
|
182,472
|
|
||||
|
Collateralized loan obligations
|
|
—
|
|
|
185,905
|
|
|
24,911
|
|
|
210,816
|
|
||||
|
Consumer loans and asset-backed securities backed by consumer loans
|
|
—
|
|
|
—
|
|
|
135,258
|
|
|
135,258
|
|
||||
|
Corporate debt
|
|
—
|
|
|
51,246
|
|
|
23,947
|
|
|
75,193
|
|
||||
|
Real estate owned
|
|
—
|
|
|
—
|
|
|
26,277
|
|
|
26,277
|
|
||||
|
Corporate equity investments
|
|
—
|
|
|
—
|
|
|
37,465
|
|
|
37,465
|
|
||||
|
Total investments, at fair value
|
|
—
|
|
|
1,413,259
|
|
|
658,448
|
|
|
2,071,707
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Description
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
(continued)
|
|
(In thousands)
|
||||||||||||||
|
Financial derivatives–assets, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Credit default swaps on asset-backed securities
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,140
|
|
|
$
|
3,140
|
|
|
Credit default swaps on corporate bond indices
|
|
—
|
|
|
1,429
|
|
|
—
|
|
|
1,429
|
|
||||
|
Credit default swaps on corporate bonds
|
|
—
|
|
|
8,888
|
|
|
—
|
|
|
8,888
|
|
||||
|
Credit default swaps on asset-backed indices
|
|
—
|
|
|
5,393
|
|
|
—
|
|
|
5,393
|
|
||||
|
Interest rate swaps
|
|
—
|
|
|
9,266
|
|
|
—
|
|
|
9,266
|
|
||||
|
Options
|
|
3
|
|
|
1
|
|
|
—
|
|
|
4
|
|
||||
|
Futures
|
|
45
|
|
|
—
|
|
|
—
|
|
|
45
|
|
||||
|
Total financial derivatives–assets, at fair value
|
|
48
|
|
|
24,977
|
|
|
3,140
|
|
|
28,165
|
|
||||
|
Repurchase agreements, at fair value
|
|
—
|
|
|
155,949
|
|
|
—
|
|
|
155,949
|
|
||||
|
Total investments, financial derivatives–assets, and repurchase agreements, at fair value
|
|
$
|
48
|
|
|
$
|
1,594,185
|
|
|
$
|
661,588
|
|
|
$
|
2,255,821
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
|
Investments sold short, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Agency residential mortgage-backed securities
|
|
$
|
—
|
|
|
$
|
(460,189
|
)
|
|
$
|
—
|
|
|
$
|
(460,189
|
)
|
|
Government debt
|
|
—
|
|
|
(90,149
|
)
|
|
—
|
|
|
(90,149
|
)
|
||||
|
Corporate debt
|
|
—
|
|
|
(55,211
|
)
|
|
—
|
|
|
(55,211
|
)
|
||||
|
Common stock
|
|
(36,691
|
)
|
|
—
|
|
|
—
|
|
|
(36,691
|
)
|
||||
|
Total investments sold short, at fair value
|
|
(36,691
|
)
|
|
(605,549
|
)
|
|
—
|
|
|
(642,240
|
)
|
||||
|
Financial derivatives–liabilities, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Credit default swaps on corporate bond indices
|
|
—
|
|
|
(12,367
|
)
|
|
—
|
|
|
(12,367
|
)
|
||||
|
Credit default swaps on corporate bonds
|
|
—
|
|
|
(15,930
|
)
|
|
—
|
|
|
(15,930
|
)
|
||||
|
Credit default swaps on asset-backed indices
|
|
—
|
|
|
(980
|
)
|
|
—
|
|
|
(980
|
)
|
||||
|
Interest rate swaps
|
|
—
|
|
|
(6,015
|
)
|
|
—
|
|
|
(6,015
|
)
|
||||
|
Futures
|
|
(508
|
)
|
|
—
|
|
|
—
|
|
|
(508
|
)
|
||||
|
Forwards
|
|
—
|
|
|
(473
|
)
|
|
—
|
|
|
(473
|
)
|
||||
|
Total financial derivatives–liabilities, at fair value
|
|
(508
|
)
|
|
(35,765
|
)
|
|
—
|
|
|
(36,273
|
)
|
||||
|
Other secured borrowings, at fair value
|
|
—
|
|
|
—
|
|
|
(125,105
|
)
|
|
(125,105
|
)
|
||||
|
Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value
|
|
$
|
(37,199
|
)
|
|
$
|
(641,314
|
)
|
|
$
|
(125,105
|
)
|
|
$
|
(803,618
|
)
|
|
|
|
Fair Value
|
|
Valuation
Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted
Average
|
||||||||||
|
Description
|
|
|
|
|
Min
|
|
Max
|
|
||||||||||||
|
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Private label residential mortgage-backed securities
|
|
$
|
40,870
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
$
|
45.00
|
|
|
$
|
183.00
|
|
|
$
|
81.63
|
|
|
Collateralized loan obligations
|
|
10,288
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
85.00
|
|
|
435.00
|
|
|
138.94
|
|
||||
|
Corporate debt and non-exchange traded corporate equity
|
|
6,797
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
8.88
|
|
|
105.63
|
|
|
82.94
|
|
||||
|
Private label commercial mortgage-backed securities
|
|
7,577
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
5.31
|
|
|
60.55
|
|
|
36.19
|
|
||||
|
Agency interest only residential mortgage-backed securities
|
|
1,225
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
10.14
|
|
|
18.21
|
|
|
15.25
|
|
||||
|
Private label residential mortgage-backed securities
|
|
60,427
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
0.5
|
%
|
|
26.5
|
%
|
|
9.8
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
2.1
|
%
|
|
84.7
|
%
|
|
38.3
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.9
|
%
|
|
18.2
|
%
|
|
8.6
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
0.3
|
%
|
|
31.5
|
%
|
|
11.3
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
12.5
|
%
|
|
90.2
|
%
|
|
41.8
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Private label commercial mortgage-backed securities
|
|
4,770
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
4.3
|
%
|
|
42.5
|
%
|
|
18.6
|
%
|
||||
|
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
1.1
|
%
|
|
5.2
|
%
|
|
2.5
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
2.8
|
%
|
|
17.1
|
%
|
|
8.5
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
80.1
|
%
|
|
96.1
|
%
|
|
89.0
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||
|
Corporate debt and non-exchange traded corporate equity
|
|
20,301
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
3.0
|
%
|
|
16.1
|
%
|
|
10.6
|
%
|
||||
|
Collateralized loan obligations
|
|
14,623
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
7.1
|
%
|
|
62.2
|
%
|
|
15.2
|
%
|
||||
|
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
22.5
|
%
|
|
92.9
|
%
|
|
77.9
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
1.9
|
%
|
|
40.2
|
%
|
|
10.3
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
3.4
|
%
|
|
37.2
|
%
|
|
9.5
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
—
|
%
|
|
4.1
|
%
|
|
2.3
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||
|
Consumer loans and asset-backed securities backed by consumer loans
|
|
135,258
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
7.0
|
%
|
|
18.9
|
%
|
|
9.5
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
2.2
|
%
|
|
50.1
|
%
|
|
33.5
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.4
|
%
|
|
28.6
|
%
|
|
8.2
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
46.8
|
%
|
|
95.2
|
%
|
|
58.3
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||
|
Performing commercial mortgage loans
|
|
84,377
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
8.0
|
%
|
|
15.4
|
%
|
|
10.7
|
%
|
||||
|
Non-performing commercial mortgage loans and commercial real estate owned
|
|
49,610
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
11.4
|
%
|
|
36.5
|
%
|
|
17.7
|
%
|
||||
|
|
|
|
|
|
|
Months to Resolution
|
|
4.0
|
|
|
17.0
|
|
|
9.5
|
|
|||||
|
(continued)
|
|
Fair Value
|
|
Valuation
Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted
Average
|
||||||||||
|
Description
|
|
|
|
|
Min
|
|
Max
|
|
||||||||||||
|
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Performing residential mortgage loans
|
|
$
|
42,030
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
1.6
|
%
|
|
18.8
|
%
|
|
6.2
|
%
|
|||
|
Securitized residential mortgage loans
(1)
|
|
132,424
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
3.5
|
%
|
|
3.5
|
%
|
|
3.5
|
%
|
||||
|
Non-performing residential mortgage loans and residential real estate owned
|
|
8,609
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
2.8
|
%
|
|
34.5
|
%
|
|
8.9
|
%
|
||||
|
|
|
|
|
|
|
Months to Resolution
(2)
|
|
1.9
|
|
|
40.5
|
|
|
25.6
|
|
|||||
|
Credit default swaps on asset-backed securities
|
|
3,140
|
|
|
Net Discounted Cash Flows
|
|
Projected Collateral Prepayments
|
|
19.8
|
%
|
|
26.5
|
%
|
|
22.4
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
14.6
|
%
|
|
23.8
|
%
|
|
19.7
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
5.8
|
%
|
|
14.3
|
%
|
|
10.6
|
%
|
|||||
|
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
45.5
|
%
|
|
51.0
|
%
|
|
47.3
|
%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Agency interest only residential mortgage-backed securities
|
|
4,948
|
|
|
Option Adjusted Spread ("OAS")
|
|
LIBOR OAS
(3)
|
|
381
|
|
|
3,521
|
|
|
730
|
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
51.2
|
%
|
|
100.0
|
%
|
|
69.1
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
0.0
|
%
|
|
48.8
|
%
|
|
30.9
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
||||||
|
Non-exchange traded common equity investment in mortgage-related entity
|
|
2,814
|
|
|
Enterprise Value
|
|
Equity Price-to-Book
(4)
|
|
2.0x
|
|
2.0x
|
|
2.0x
|
|||||||
|
Non-exchange traded preferred equity investment in mortgage-related entity
|
|
20,774
|
|
|
Enterprise Value
|
|
Equity Price-to-Book
(4)
|
|
0.9x
|
|
0.9x
|
|
0.9x
|
|||||||
|
Non-controlling equity interest in limited liability company
|
|
5,033
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation of the Underlying Assets
(5)
|
|
$
|
96.91
|
|
|
$
|
96.91
|
|
|
$
|
96.91
|
|
|
|
Non-controlling equity interest in limited liability company
|
|
5,693
|
|
|
Discounted Cash Flows
|
|
Yield
(5)
|
|
9.1%
|
|
9.1%
|
|
9.1%
|
|||||||
|
Other secured borrowings, at fair value
(1)
|
|
(125,105
|
)
|
|
Discounted Cash Flows
|
|
Yield
|
|
2.8%
|
|
2.8%
|
|
2.8%
|
|||||||
|
(1)
|
Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFE as discussed in Note 2.
|
|
(2)
|
Excludes certain loans that are re-performing.
|
|
(3)
|
Shown in basis points.
|
|
(4)
|
Represent an estimation of where market participants might value an enterprise on a price-to-book basis.
|
|
(5)
|
Represents the significant unobservable inputs used to fair value the financial instruments of the limited liability company. The fair value of such financial instruments is the largest component of the valuation of the limited liability company as a whole.
|
|
(In thousands)
|
Ending
Balance as of December 31, 2017 |
|
Accreted
Discounts /
(Amortized
Premiums)
|
|
Net Realized
Gain/
(Loss)
|
|
Change in Net
Unrealized
Gain/(Loss)
|
|
Purchases/
Payments |
|
Sales/
Issuances |
|
Transfers Into Level 3
|
|
Transfers Out of Level 3
|
|
Ending
Balance as of
December 31, 2018
|
||||||||||||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Investments, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Agency residential mortgage-backed securities
|
$
|
6,173
|
|
|
$
|
(2,233
|
)
|
|
$
|
(10
|
)
|
|
$
|
175
|
|
|
$
|
2,753
|
|
|
$
|
(1,169
|
)
|
|
$
|
2,616
|
|
|
$
|
(1,012
|
)
|
|
$
|
7,293
|
|
|
Private label residential mortgage-backed securities
|
101,297
|
|
|
383
|
|
|
1,838
|
|
|
(2,135
|
)
|
|
75,685
|
|
|
(78,487
|
)
|
|
7,074
|
|
|
(14,364
|
)
|
|
91,291
|
|
|||||||||
|
Private label commercial mortgage-backed securities
|
12,347
|
|
|
(243
|
)
|
|
2,229
|
|
|
2,120
|
|
|
1,481
|
|
|
(16,896
|
)
|
|
—
|
|
|
(235
|
)
|
|
803
|
|
|||||||||
|
Commercial mortgage loans
|
108,301
|
|
|
790
|
|
|
1,146
|
|
|
1,944
|
|
|
149,053
|
|
|
(50,049
|
)
|
|
—
|
|
|
—
|
|
|
211,185
|
|
|||||||||
|
Residential mortgage loans
|
182,472
|
|
|
(1,965
|
)
|
|
1,011
|
|
|
(34
|
)
|
|
402,235
|
|
|
(86,889
|
)
|
|
—
|
|
|
—
|
|
|
496,830
|
|
|||||||||
|
Collateralized loan obligations
|
24,911
|
|
|
(351
|
)
|
|
317
|
|
|
(2,268
|
)
|
|
33,549
|
|
|
(33,115
|
)
|
|
3,959
|
|
|
(12,087
|
)
|
|
14,915
|
|
|||||||||
|
Consumer loans and asset-backed securities backed by consumer loans
|
135,258
|
|
|
(29,320
|
)
|
|
8,415
|
|
|
(1,092
|
)
|
|
228,354
|
|
|
(134,854
|
)
|
|
—
|
|
|
—
|
|
|
206,761
|
|
|||||||||
|
Corporate debt
|
23,947
|
|
|
56
|
|
|
241
|
|
|
(964
|
)
|
|
7,665
|
|
|
(17,688
|
)
|
|
—
|
|
|
(6,939
|
)
|
|
6,318
|
|
|||||||||
|
Secured notes
|
—
|
|
|
870
|
|
|
—
|
|
|
(1,221
|
)
|
|
11,268
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,917
|
|
|||||||||
|
Real estate owned
|
26,277
|
|
|
—
|
|
|
(653
|
)
|
|
(1,003
|
)
|
|
12,793
|
|
|
(2,914
|
)
|
|
—
|
|
|
—
|
|
|
34,500
|
|
|||||||||
|
Corporate equity investments
|
37,465
|
|
|
—
|
|
|
1,671
|
|
|
8,299
|
|
|
12,708
|
|
|
(16,350
|
)
|
|
—
|
|
|
—
|
|
|
43,793
|
|
|||||||||
|
Total investments, at fair value
|
658,448
|
|
|
(32,013
|
)
|
|
16,205
|
|
|
3,821
|
|
|
937,544
|
|
|
(438,411
|
)
|
|
13,649
|
|
|
(34,637
|
)
|
|
1,124,606
|
|
|||||||||
|
Financial derivatives–assets, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Credit default swaps on asset-backed securities
|
3,140
|
|
|
—
|
|
|
(687
|
)
|
|
715
|
|
|
102
|
|
|
(1,798
|
)
|
|
—
|
|
|
—
|
|
|
1,472
|
|
|||||||||
|
Total financial derivatives– assets, at fair value
|
3,140
|
|
|
—
|
|
|
(687
|
)
|
|
715
|
|
|
102
|
|
|
(1,798
|
)
|
|
—
|
|
|
—
|
|
|
1,472
|
|
|||||||||
|
Total investments and financial derivatives–assets, at fair value
|
$
|
661,588
|
|
|
$
|
(32,013
|
)
|
|
$
|
15,518
|
|
|
$
|
4,536
|
|
|
$
|
937,646
|
|
|
$
|
(440,209
|
)
|
|
$
|
13,649
|
|
|
$
|
(34,637
|
)
|
|
$
|
1,126,078
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Other secured borrowings, at fair value
|
$
|
(125,105
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
758
|
|
|
$
|
49,731
|
|
|
$
|
(223,332
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(297,948
|
)
|
|
Total other secured borrowings, at fair value
|
$
|
(125,105
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
758
|
|
|
$
|
49,731
|
|
|
$
|
(223,332
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(297,948
|
)
|
|
(In thousands)
|
Ending
Balance as of December 31, 2016 |
|
Accreted
Discounts /
(Amortized
Premiums)
|
|
Net Realized
Gain/
(Loss)
|
|
Change in
Net
Unrealized
Gain/(Loss)
|
|
Purchases/
Payments
|
|
Sales/
Issuances
|
|
Transfers Into Level 3
|
|
Transfers Out of Level 3
|
|
Ending
Balance as of December 31, 2017 |
||||||||||||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Investments, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Agency residential mortgage-backed securities
|
$
|
29,622
|
|
|
$
|
(9,356
|
)
|
|
$
|
(956
|
)
|
|
$
|
(165
|
)
|
|
$
|
3,867
|
|
|
$
|
(153
|
)
|
|
$
|
—
|
|
|
$
|
(16,686
|
)
|
|
$
|
6,173
|
|
|
Private label residential mortgage-backed securities
|
90,083
|
|
|
2,203
|
|
|
763
|
|
|
9,498
|
|
|
68,724
|
|
|
(54,690
|
)
|
|
14,021
|
|
|
(29,305
|
)
|
|
101,297
|
|
|||||||||
|
Private label commercial mortgage-backed securities
|
43,268
|
|
|
469
|
|
|
(3,596
|
)
|
|
8,654
|
|
|
6,661
|
|
|
(37,665
|
)
|
|
—
|
|
|
(5,444
|
)
|
|
12,347
|
|
|||||||||
|
Commercial mortgage loans
|
61,129
|
|
|
921
|
|
|
419
|
|
|
1,957
|
|
|
78,333
|
|
|
(34,458
|
)
|
|
—
|
|
|
—
|
|
|
108,301
|
|
|||||||||
|
Residential mortgage loans
|
84,290
|
|
|
(599
|
)
|
|
1,602
|
|
|
3,536
|
|
|
140,535
|
|
|
(46,892
|
)
|
|
—
|
|
|
—
|
|
|
182,472
|
|
|||||||||
|
Collateralized loan obligations
|
44,956
|
|
|
(6,833
|
)
|
|
2,233
|
|
|
2,606
|
|
|
71,338
|
|
|
(76,775
|
)
|
|
—
|
|
|
(12,614
|
)
|
|
24,911
|
|
|||||||||
|
Consumer loans and asset-backed securities backed by consumer loans
|
107,157
|
|
|
(13,754
|
)
|
|
855
|
|
|
(171
|
)
|
|
129,525
|
|
|
(88,354
|
)
|
|
—
|
|
|
—
|
|
|
135,258
|
|
|||||||||
|
Corporate debt
|
25,004
|
|
|
252
|
|
|
527
|
|
|
223
|
|
|
97,466
|
|
|
(99,525
|
)
|
|
—
|
|
|
—
|
|
|
23,947
|
|
|||||||||
|
Real estate owned
|
3,349
|
|
|
—
|
|
|
411
|
|
|
322
|
|
|
25,516
|
|
|
(3,321
|
)
|
|
—
|
|
|
—
|
|
|
26,277
|
|
|||||||||
|
Corporate equity investments
|
29,392
|
|
|
—
|
|
|
2,347
|
|
|
(512
|
)
|
|
16,417
|
|
|
(10,179
|
)
|
|
—
|
|
|
—
|
|
|
37,465
|
|
|||||||||
|
Total investments, at fair value
|
518,250
|
|
|
(26,697
|
)
|
|
4,605
|
|
|
25,948
|
|
|
638,382
|
|
|
(452,012
|
)
|
|
14,021
|
|
|
(64,049
|
)
|
|
658,448
|
|
|||||||||
|
Financial derivatives–assets, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Credit default swaps on asset-backed securities
|
5,326
|
|
|
—
|
|
|
270
|
|
|
(1,202
|
)
|
|
137
|
|
|
(1,391
|
)
|
|
—
|
|
|
—
|
|
|
3,140
|
|
|||||||||
|
Total return swaps
|
155
|
|
|
—
|
|
|
224
|
|
|
(155
|
)
|
|
1
|
|
|
(225
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
|
Warrants
|
106
|
|
|
—
|
|
|
(100
|
)
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
|
Total financial derivatives– assets, at fair value
|
5,587
|
|
|
—
|
|
|
394
|
|
|
(1,363
|
)
|
|
138
|
|
|
(1,616
|
)
|
|
—
|
|
|
—
|
|
|
3,140
|
|
|||||||||
|
Total investments and financial derivatives–assets, at fair value
|
$
|
523,837
|
|
|
$
|
(26,697
|
)
|
|
$
|
4,999
|
|
|
$
|
24,585
|
|
|
$
|
638,520
|
|
|
$
|
(453,628
|
)
|
|
$
|
14,021
|
|
|
$
|
(64,049
|
)
|
|
$
|
661,588
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Financial derivatives– liabilities, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Credit default swaps on asset-backed securities
|
$
|
(256
|
)
|
|
$
|
—
|
|
|
$
|
(871
|
)
|
|
$
|
939
|
|
|
$
|
736
|
|
|
$
|
(548
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Total return swaps
|
(249
|
)
|
|
—
|
|
|
(554
|
)
|
|
249
|
|
|
572
|
|
|
(18
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
|
Total financial derivatives– liabilities, at fair value
|
(505
|
)
|
|
—
|
|
|
(1,425
|
)
|
|
1,188
|
|
|
1,308
|
|
|
(566
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
(In thousands)
|
Ending
Balance as of December 31, 2016 |
|
Accreted
Discounts /
(Amortized
Premiums)
|
|
Net Realized
Gain/
(Loss)
|
|
Change in
Net
Unrealized
Gain/(Loss)
|
|
Purchases/
Payments
|
|
Sales/
Issuances
|
|
Transfers Into Level 3
|
|
Transfers Out of Level 3
|
|
Ending
Balance as of December 31, 2017 |
||||||||||||||||||
|
Other secured borrowings, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Other secured borrowings, at fair value
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(125,105
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(125,105
|
)
|
|
Total other secured borrowings, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(125,105
|
)
|
|
—
|
|
|
—
|
|
|
(125,105
|
)
|
|||||||||
|
Total financial derivatives– liabilities and other secured borrowings at fair value
|
$
|
(505
|
)
|
|
$
|
—
|
|
|
$
|
(1,425
|
)
|
|
$
|
1,188
|
|
|
$
|
1,308
|
|
|
$
|
(125,671
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(125,105
|
)
|
|
|
|
As of
|
||||||
|
(In thousands)
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
|
Assets:
|
|
|
|
|
||||
|
TBA securities, at fair value (Current principal: $460,037 and $118,806, respectively)
|
|
$
|
474,860
|
|
|
$
|
123,680
|
|
|
Receivable for securities sold relating to unsettled TBA sales
|
|
766,574
|
|
|
460,666
|
|
||
|
Liabilities:
|
|
|
|
|
||||
|
TBA securities sold short, at fair value (Current principal: -$753,697 and -$442,197, respectively)
|
|
$
|
(772,964
|
)
|
|
$
|
(460,189
|
)
|
|
Payable for securities purchased relating to unsettled TBA purchases
|
|
(473,386
|
)
|
|
(123,918
|
)
|
||
|
Net short TBA securities, at fair value
|
|
(298,104
|
)
|
|
(336,509
|
)
|
||
|
|
|
|
|
Year Ended December 31, 2018
|
||||||
|
Derivative Type
|
|
Primary Risk
Exposure
|
|
Net Realized
Gain/(Loss) (1) |
|
Change in Net Unrealized Gain/(Loss)
(2)
|
||||
|
(In thousands)
|
|
|
|
|
|
|
||||
|
Credit default swaps on asset-backed securities
|
|
Credit
|
|
$
|
(687
|
)
|
|
$
|
715
|
|
|
Credit default swaps on asset-backed indices
|
|
Credit
|
|
(2,293
|
)
|
|
2,013
|
|
||
|
Credit default swaps on corporate bond indices
|
|
Credit
|
|
(1,983
|
)
|
|
3,540
|
|
||
|
Credit default swaps on corporate bonds
|
|
Credit
|
|
2,993
|
|
|
(2,648
|
)
|
||
|
Total return swaps
|
|
Equity Market/Credit
|
|
3,844
|
|
|
(5
|
)
|
||
|
Interest rate swaps
|
|
Interest Rate
|
|
(985
|
)
|
|
3,648
|
|
||
|
Futures
|
|
Interest Rate/Currency
|
|
162
|
|
|
108
|
|
||
|
Forwards
|
|
Currency
|
|
923
|
|
|
359
|
|
||
|
Options
|
|
Interest Rate/
Equity Market
|
|
(63
|
)
|
|
77
|
|
||
|
Total
|
|
|
|
$
|
1,911
|
|
|
$
|
7,807
|
|
|
(1)
|
Includes gain/(loss) on foreign currency transactions on derivatives in the amount of
$0.1 million
for the year ended December 31, 2018, which is included on the Consolidated Statement of Operations in Realized gain (loss) on foreign currency transactions.
|
|
(2)
|
Includes foreign currency translation on derivatives in the amount of
$0.1 million
for the year ended December 31, 2018, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation.
|
|
|
|
|
|
Year Ended December 31, 2017
|
||||||
|
Derivative Type
|
|
Primary Risk
Exposure |
|
Net Realized
Gain/(Loss) (1) |
|
Change in Net Unrealized Gain/(Loss)
(2)
|
||||
|
(In thousands)
|
|
|
|
|
|
|
||||
|
Credit default swaps on asset-backed securities
|
|
Credit
|
|
$
|
(601
|
)
|
|
$
|
(263
|
)
|
|
Credit default swaps on asset-backed indices
|
|
Credit
|
|
(5,291
|
)
|
|
(817
|
)
|
||
|
Credit default swaps on corporate bond indices
|
|
Credit
|
|
(3,336
|
)
|
|
(459
|
)
|
||
|
Credit default swaps on corporate bonds
|
|
Credit
|
|
205
|
|
|
907
|
|
||
|
Total return swaps
|
|
Equity Market/Credit
|
|
(1,825
|
)
|
|
149
|
|
||
|
Interest rate swaps
|
|
Interest Rates
|
|
(1,171
|
)
|
|
571
|
|
||
|
Futures
|
|
Interest Rate/Currency
|
|
(195
|
)
|
|
(423
|
)
|
||
|
Forwards
|
|
Currency
|
|
(6,390
|
)
|
|
(18
|
)
|
||
|
Warrants
|
|
Equity Market
|
|
(100
|
)
|
|
(5
|
)
|
||
|
Mortgage loan purchase commitments
|
|
Interest Rates
|
|
—
|
|
|
31
|
|
||
|
Options
|
|
Credit/Interest Rate/Equity Market
|
|
—
|
|
|
10
|
|
||
|
Total
|
|
|
|
$
|
(18,704
|
)
|
|
$
|
(317
|
)
|
|
(1)
|
Includes gain/(loss) on foreign currency transactions on derivatives in the amount of
$(0.1) million
for the year ended December 31, 2017, which is included on the Consolidated Statement of Operations in Realized gain (loss) on foreign currency transactions.
|
|
(2)
|
Includes foreign currency translation on derivatives in the amount of
$(0.2) million
for the year ended December 31, 2017, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation.
|
|
Derivative Type
|
|
Year Ended
December 31, 2018 |
|
Year Ended
December 31, 2017 |
||||
|
|
|
(In thousands)
|
||||||
|
Interest rate swaps
|
|
$
|
1,059,756
|
|
|
$
|
1,306,853
|
|
|
Credit default swaps
|
|
566,805
|
|
|
531,008
|
|
||
|
Total return swaps
|
|
53,603
|
|
|
19,760
|
|
||
|
Futures
|
|
201,295
|
|
|
48,244
|
|
||
|
Options
|
|
99,891
|
|
|
94,415
|
|
||
|
Forwards
|
|
45,522
|
|
|
76,784
|
|
||
|
Warrants
|
|
—
|
|
|
378
|
|
||
|
Mortgage loan purchase commitments
|
|
—
|
|
|
1,585
|
|
||
|
Credit Derivatives
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
|
(In thousands)
|
|
|
|
|
||||
|
Fair Value of Written Credit Derivatives, Net
|
|
$
|
(4,339
|
)
|
|
$
|
(4,770
|
)
|
|
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties
(1)
|
|
(284
|
)
|
|
(3,582
|
)
|
||
|
Notional Value of Written Credit Derivatives
(2)
|
|
98,586
|
|
|
177,588
|
|
||
|
Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties
(1)
|
|
41,134
|
|
|
(88,400
|
)
|
||
|
(1)
|
Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation.
|
|
(2)
|
The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty.
|
|
CLO Issuer
(1)
|
|
CLO Pricing Date
|
|
CLO Closing Date
|
|
Total Face Amount of Notes Issued
|
|
Face Amount of Notes Initially Purchased
|
|
Aggregate Purchase Price
|
|
Notes Held
(2)
as of
|
|||||||||||||||
|
|
|
|
|
|
|
December 31, 2018
|
|
December 31, 2017
|
|||||||||||||||||||
|
|
|
|
|
|
|
(In thousands)
|
|
(In thousands)
|
|
(In thousands)
|
|||||||||||||||||
|
CLO I Issuer
(3)(4)
|
|
5/17
|
|
6/17
|
|
$
|
373,550
|
|
|
$
|
36,606
|
|
(5)
|
|
$
|
35,926
|
|
|
$
|
—
|
|
|
|
$
|
24,299
|
|
(6)
|
|
CLO I Issuer
(4)
|
|
8/18
|
|
8/18
|
|
461,840
|
|
|
36,579
|
|
(5)
|
|
25,622
|
|
|
16,973
|
|
(6)
|
|
—
|
|
|
|||||
|
CLO II Issuer
|
|
12/17
|
|
1/18
|
|
452,800
|
|
|
18,223
|
|
(7)
|
|
16,621
|
|
|
14,721
|
|
(6)
|
|
13,395
|
|
(6)
|
|||||
|
CLO III Issuer
|
|
6/18
|
|
7/18
|
|
407,100
|
|
|
35,480
|
|
(7)
|
|
32,394
|
|
|
19,071
|
|
(8)
|
|
—
|
|
|
|||||
|
(1)
|
The Company does not have the power to direct the activities of the CLO Issuers that most significantly impact their economic performance.
|
|
(2)
|
Included on the Company's Consolidated Condensed Schedule of Investments in Collateralized Loan Obligations.
|
|
(3)
|
Excludes the Company's equity investment in the CLO I Risk Retention Vehicle, as discussed above.
|
|
(4)
|
In August 2018, the notes originally issued by the CLO I Issuer in 2017 were fully redeemed, and the CLO I Issuer simultaneously issued new notes in conjunction with this full redemption.
|
|
(5)
|
The Company purchased secured and unsecured subordinated notes.
|
|
(6)
|
Includes secured and unsecured subordinated notes.
|
|
(7)
|
The Company purchased secured senior and secured and unsecured subordinated notes.
|
|
(8)
|
Includes secured senior and secured and unsecured subordinated notes.
|
|
Issuing Entity
|
|
Closing Date
|
|
Principal Balance of Loans Transferred to the Depositor
|
|
Total Face Amount of Certificates Issued
|
|||||
|
|
|
|
|
(In thousands)
|
|||||||
|
Ellington Financial Mortgage Trust 2017-1
|
|
11/15/2017
|
|
$
|
141,233
|
|
|
$
|
141,233
|
|
(1)
|
|
Ellington Financial Mortgage Trust 2018-1
|
|
11/13/2018
|
|
232,518
|
|
|
232,518
|
|
(2)
|
||
|
(1)
|
In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to
5.1%
of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of
$0.7 million
, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties.
|
|
(2)
|
In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to
5.7%
of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of
$1.3 million
, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties.
|
|
|
|
As of
|
||||||
|
(In thousands)
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
|
Assets:
|
|
|
|
|
||||
|
Cash and cash equivalents
|
|
$
|
—
|
|
|
$
|
333
|
|
|
Investments, at fair value
|
|
314,202
|
|
|
132,424
|
|
||
|
Interest and dividends receivable
|
|
3,527
|
|
|
—
|
|
||
|
Liabilities:
|
|
|
|
|
||||
|
Interest and dividends payable
|
|
103
|
|
|
333
|
|
||
|
Other secured borrowings, at fair value
|
|
297,948
|
|
|
125,105
|
|
||
|
(In thousands)
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||||||
|
|
|
|
|
Weighted Average
|
|
|
|
Weighted Average
|
||||||||||||
|
Remaining Maturity
|
|
Outstanding
Borrowings
|
|
Interest Rate
|
|
Remaining Days to Maturity
|
|
Outstanding Borrowings
|
|
Interest Rate
|
|
Remaining Days to Maturity
|
||||||||
|
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
30 Days or Less
|
|
$
|
245,956
|
|
|
2.46
|
%
|
|
17
|
|
|
$
|
287,014
|
|
|
1.43
|
%
|
|
15
|
|
|
31-60 Days
|
|
415,379
|
|
|
2.58
|
%
|
|
46
|
|
|
264,058
|
|
|
1.47
|
%
|
|
46
|
|
||
|
61-90 Days
|
|
255,421
|
|
|
2.74
|
%
|
|
76
|
|
|
277,950
|
|
|
1.63
|
%
|
|
74
|
|
||
|
91-120 Days
|
|
506
|
|
|
3.31
|
%
|
|
91
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
||
|
121-150 Days
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
||
|
151-180 Days
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
602
|
|
|
2.56
|
%
|
|
158
|
|
||
|
Total Agency RMBS
|
|
917,262
|
|
|
2.59
|
%
|
|
47
|
|
|
829,624
|
|
|
1.51
|
%
|
|
44
|
|
||
|
Credit:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
30 Days or Less
|
|
30,426
|
|
|
2.55
|
%
|
|
22
|
|
|
37,433
|
|
|
2.61
|
%
|
|
13
|
|
||
|
31-60 Days
|
|
189,937
|
|
|
3.32
|
%
|
|
48
|
|
|
132,201
|
|
|
2.44
|
%
|
|
49
|
|
||
|
61-90 Days
|
|
93,202
|
|
|
3.21
|
%
|
|
74
|
|
|
130,875
|
|
|
2.75
|
%
|
|
77
|
|
||
|
91-120 Days
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
||
|
121-150 Days
|
|
26,222
|
|
|
4.60
|
%
|
|
123
|
|
|
8,551
|
|
|
3.79
|
%
|
|
128
|
|
||
|
151-180 Days
|
|
9,491
|
|
|
4.64
|
%
|
|
166
|
|
|
8,300
|
|
|
3.40
|
%
|
|
164
|
|
||
|
181-360 Days
|
|
91,730
|
|
|
4.54
|
%
|
|
316
|
|
|
5,090
|
|
|
3.59
|
%
|
|
280
|
|
||
|
> 360 Days
|
|
140,306
|
|
|
5.15
|
%
|
|
636
|
|
|
56,944
|
|
|
4.94
|
%
|
|
1094
|
|
||
|
Total Credit Assets
|
|
581,314
|
|
|
3.98
|
%
|
|
240
|
|
|
379,394
|
|
|
3.00
|
%
|
|
219
|
|
||
|
U.S. Treasury Securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
30 Days or Less
|
|
273
|
|
|
3.10
|
%
|
|
2
|
|
|
297
|
|
|
1.70
|
%
|
|
2
|
|
||
|
Total U.S. Treasury Securities
|
|
273
|
|
|
3.10
|
%
|
|
2
|
|
|
297
|
|
|
1.70
|
%
|
|
2
|
|
||
|
Total
|
|
$
|
1,498,849
|
|
|
3.13
|
%
|
|
122
|
|
|
$
|
1,209,315
|
|
|
1.98
|
%
|
|
99
|
|
|
Year
|
|
Reverse Repurchase Agreements
(1)
|
|
Other
Secured Borrowings
(2)
|
|
Senior Notes
(1)
|
|
Total
|
||||||||
|
(In thousands)
|
|
|
|
|
|
|
|
|
||||||||
|
2019
|
|
$
|
1,358,542
|
|
|
$
|
194,135
|
|
|
$
|
—
|
|
|
$
|
1,552,677
|
|
|
2020
|
|
78,530
|
|
|
205,198
|
|
|
—
|
|
|
283,728
|
|
||||
|
2021
|
|
61,776
|
|
|
13,150
|
|
|
—
|
|
|
74,926
|
|
||||
|
2022
|
|
—
|
|
|
—
|
|
|
86,000
|
|
|
86,000
|
|
||||
|
2023
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Total
|
|
$
|
1,498,848
|
|
|
$
|
412,483
|
|
|
$
|
86,000
|
|
|
$
|
1,997,331
|
|
|
(1)
|
Reflects the Company's contractual principal repayment dates.
|
|
(2)
|
Reflects the Company's expected principal repayment dates.
|
|
Grant Recipient
|
|
Number of OP LTIP Units
|
|
Grant Date
|
|
Vesting Date
(1)
|
|
|
Directors:
|
|
|
|
|
|
|
|
|
|
|
14,440
|
|
|
September 12, 2018
|
|
September 11, 2019
|
|
Partially dedicated employees:
|
|
|
|
|
|
|
|
|
|
|
8,692
|
|
|
December 11, 2018
|
|
December 11, 2019
|
|
|
|
8,691
|
|
|
December 11, 2018
|
|
December 11, 2020
|
|
|
|
1,723
|
|
|
March 7, 2018
|
|
March 7, 2019
|
|
|
|
5,886
|
|
|
December 12, 2017
|
|
December 12, 2019
|
|
Total unvested OP LTIP Units at December 31, 2018
|
|
39,432
|
|
|
|
|
|
|
(1)
|
Date at which such OP LTIP Units will vest and become non-forfeitable.
|
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
||||||||||||||
|
|
Manager
|
|
Director/
Employee
|
|
Total
|
|
Manager
|
|
Director/
Employee
|
|
Total
|
||||||
|
LTIP Units and OP LTIP Units Outstanding (12/31/2017 and 12/31/2016, respectively)
|
375,000
|
|
|
116,159
|
|
|
491,159
|
|
|
375,000
|
|
|
94,539
|
|
|
469,539
|
|
|
Granted
|
—
|
|
|
33,546
|
|
|
33,546
|
|
|
—
|
|
|
24,421
|
|
|
24,421
|
|
|
Exercised
|
—
|
|
|
(3,334
|
)
|
|
(3,334
|
)
|
|
—
|
|
|
(2,801
|
)
|
|
(2,801
|
)
|
|
LTIP Units and OP LTIP Units Outstanding (12/31/2018 and 12/31/2017, respectively)
|
375,000
|
|
|
146,371
|
|
|
521,371
|
|
|
375,000
|
|
|
116,159
|
|
|
491,159
|
|
|
LTIP Units and OP LTIP Units Vested and Outstanding (12/31/2018 and 12/31/2017, respectively)
|
375,000
|
|
|
106,939
|
|
|
481,939
|
|
|
375,000
|
|
|
86,155
|
|
|
461,155
|
|
|
|
|
Year Ended December 31,
|
||||
|
|
|
2018
|
|
2017
|
||
|
Common Shares Outstanding (12/31/2017 and 12/31/2016, respectively)
|
|
31,335,938
|
|
|
32,294,703
|
|
|
Share Activity:
|
|
|
|
|
||
|
Shares repurchased
|
|
(1,547,148
|
)
|
|
(961,566
|
)
|
|
Director LTIP Units exercised
|
|
3,334
|
|
|
2,801
|
|
|
Shares issued in connection with incentive fee payment
|
|
4,477
|
|
|
—
|
|
|
Common Shares Outstanding (12/31/2018 and 12/31/2017, respectively)
|
|
29,796,601
|
|
|
31,335,938
|
|
|
|
|
Year Ended December 31,
|
||||||
|
|
|
2018
|
|
2017
|
||||
|
(In thousands except share amounts)
|
|
|
|
|
||||
|
Net increase (decrease) in shareholders' equity resulting from operations
|
|
$
|
46,676
|
|
|
$
|
33,981
|
|
|
Add: Net increase (decrease) in equity resulting from operations attributable to participating non-controlling interests
(1)
|
|
319
|
|
|
221
|
|
||
|
Net increase (decrease) in equity resulting from operations related to common shares, LTIP Unit holders, and participating non-controlling interests
|
|
46,995
|
|
|
34,202
|
|
||
|
Net increase (decrease) in shareholders' equity resulting from operations available to common share and LTIP Unit holders:
|
|
|
|
|
||||
|
Net increase (decrease) in shareholders' equity resulting from operations– common shares
|
|
45,922
|
|
|
33,487
|
|
||
|
Net increase (decrease) in shareholders' equity resulting from operations– LTIP Units
|
|
753
|
|
|
494
|
|
||
|
Dividends Paid:
|
|
|
|
|
||||
|
Common shareholders
|
|
(49,576
|
)
|
|
(56,434
|
)
|
||
|
LTIP Unit holders
|
|
(812
|
)
|
|
(829
|
)
|
||
|
Non-controlling interests
|
|
(348
|
)
|
|
(373
|
)
|
||
|
Total dividends paid to common shareholders, LTIP Unit holders, and non-controlling interests
|
|
(50,736
|
)
|
|
(57,636
|
)
|
||
|
Undistributed (Distributed in excess of) earnings:
|
|
|
|
|
||||
|
Common shareholders
|
|
(3,653
|
)
|
|
(22,947
|
)
|
||
|
LTIP Unit holders
|
|
(59
|
)
|
|
(335
|
)
|
||
|
Non-controlling interests
|
|
(29
|
)
|
|
(152
|
)
|
||
|
Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP Unit holders, and non-controlling interests
|
|
$
|
(3,741
|
)
|
|
$
|
(23,434
|
)
|
|
Weighted average shares outstanding (basic and diluted):
|
|
|
|
|
||||
|
Weighted average common shares outstanding
|
|
30,297,401
|
|
|
32,062,091
|
|
||
|
Weighted average participating LTIP Units
|
|
496,962
|
|
|
472,527
|
|
||
|
Weighted average non-controlling interest units
|
|
212,000
|
|
|
212,000
|
|
||
|
Basic earnings per common share:
|
|
|
|
|
||||
|
Distributed
|
|
$
|
1.64
|
|
|
$
|
1.76
|
|
|
Undistributed (Distributed in excess of)
|
|
(0.12
|
)
|
|
(0.72
|
)
|
||
|
|
|
$
|
1.52
|
|
|
$
|
1.04
|
|
|
Diluted earnings per common share:
|
|
|
|
|
||||
|
Distributed
|
|
$
|
1.64
|
|
|
$
|
1.76
|
|
|
Undistributed (Distributed in excess of)
|
|
(0.12
|
)
|
|
(0.72
|
)
|
||
|
|
|
$
|
1.52
|
|
|
$
|
1.04
|
|
|
(1)
|
For the years ended
December 31, 2018
and 2017, excludes net increase (decrease) in equity resulting from operations of
$2.9 million
and
$1.8 million
, respectively attributable to joint venture partners, which have non-participating interests as described in Note 11.
|
|
Dealer
|
|
% of Total Collateral on Reverse Repurchase Agreements
|
|
Royal Bank of Canada
|
|
19%
|
|
Dealer
|
|
% of Total Due
from Brokers
|
|
Morgan Stanley
|
|
37%
|
|
J.P. Morgan Securities LLC
|
|
30%
|
|
Dealer
|
|
% of Total Receivable
for Securities Sold
|
|
J.P. Morgan Securities LLC
|
|
25%
|
|
Bank of America Securities
|
|
26%
|
|
CS First Boston Limited
|
|
34%
|
|
|
|
As of
|
||
|
Counterparty
|
|
December 31, 2018
|
|
December 31, 2017
|
|
Bank of New York Mellon Corporation
|
|
64%
|
|
37%
|
|
Deutsche Bank Securities
|
|
5%
|
|
5%
|
|
Bank of America Securities
|
|
2%
|
|
2%
|
|
Morgan Stanley Institutional Liquidity Fund—Government Portfolio
|
|
10%
|
|
—%
|
|
BlackRock Liquidity Funds FedFund Portfolio
|
|
9%
|
|
56%
|
|
Goldman Sachs Financial Square Funds—Government Fund
|
|
9%
|
|
—%
|
|
Lakeland Bank Inc.
|
|
1%
|
|
—%
|
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
|
|
|
(In thousands)
|
||||||
|
Restricted cash balance related to:
|
|
|
|
|
||||
|
Minimum account balance required for regulatory purposes
|
|
$
|
250
|
|
|
$
|
250
|
|
|
Flow consumer loan purchase and sale agreement
|
|
175
|
|
|
175
|
|
||
|
Total
|
|
$
|
425
|
|
|
$
|
425
|
|
|
Description
|
|
Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity
(1)
|
|
Financial Instruments Available for Offset
|
|
Financial Instruments Transferred or Pledged as Collateral
(2)(3)
|
|
Cash Collateral (Received) Pledged
(2)(3)
|
|
Net Amount
|
||||||||||
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Assets
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Financial derivatives–assets
|
|
$
|
20,001
|
|
|
$
|
(10,910
|
)
|
|
$
|
—
|
|
|
$
|
(2,514
|
)
|
|
$
|
6,577
|
|
|
Repurchase agreements
|
|
61,274
|
|
|
(61,274
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Financial derivatives–liabilities
|
|
(20,806
|
)
|
|
10,910
|
|
|
—
|
|
|
9,896
|
|
|
—
|
|
|||||
|
Reverse repurchase agreements
|
|
(1,498,849
|
)
|
|
61,274
|
|
|
1,420,601
|
|
|
16,974
|
|
|
—
|
|
|||||
|
Description
|
|
Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity
(1)
|
|
Financial Instruments Available for Offset
|
|
Financial Instruments Transferred or Pledged as Collateral
(2)(3)
|
|
Cash Collateral (Received) Pledged
(2)(3)
|
|
Net Amount
|
||||||||||
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Assets
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Financial derivatives–assets
|
|
$
|
28,165
|
|
|
$
|
(18,708
|
)
|
|
$
|
—
|
|
|
$
|
(1,720
|
)
|
|
$
|
7,737
|
|
|
Repurchase agreements
|
|
155,949
|
|
|
(155,949
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Financial derivatives–liabilities
|
|
(36,273
|
)
|
|
18,708
|
|
|
—
|
|
|
17,565
|
|
|
—
|
|
|||||
|
Reverse repurchase agreements
|
|
(1,209,315
|
)
|
|
155,949
|
|
|
1,034,808
|
|
|
18,558
|
|
|
—
|
|
|||||
|
(1)
|
In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis.
|
|
(2)
|
For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's reverse repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's reverse repurchase agreements as of
December 31, 2018
and 2017 were
$1.79 billion
and
$1.41 billion
, respectively. As of
December 31, 2018
and 2017, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of
$0.1 million
and
$6.4 million
, respectively. As of
December 31, 2018
and 2017, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of
$16.4 million
and
$16.6 million
, respectively.
|
|
(3)
|
When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows.
|
|
|
|
Year Ended December 31,
|
||||||
|
|
|
2018
|
|
2017
|
||||
|
Beginning Shareholders' Equity Per Share (12/31/2017 and 12/31/2016, respectively)
|
|
$
|
19.15
|
|
|
$
|
19.75
|
|
|
Net Investment Income
|
|
1.42
|
|
|
1.10
|
|
||
|
Net Realized/Unrealized Gains (Losses)
|
|
0.23
|
|
|
0.02
|
|
||
|
Results of Operations Attributable to Equity
|
|
1.65
|
|
|
1.12
|
|
||
|
Less: Results of Operations Attributable to Non-controlling Interests
|
|
(0.11
|
)
|
|
(0.06
|
)
|
||
|
Results of Operations Attributable to Shareholders' Equity
(1)
|
|
1.54
|
|
|
1.06
|
|
||
|
Dividends Paid to Common Shareholders
|
|
(1.64
|
)
|
|
(1.76
|
)
|
||
|
Weighted Average Share Impact on Dividends Paid
(2)
|
|
(0.03
|
)
|
|
(0.04
|
)
|
||
|
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest
|
|
(0.10
|
)
|
|
0.14
|
|
||
|
Ending Shareholders' Equity Per Share (12/31/2018 and 12/31/2017, respectively)
(3)
|
|
$
|
18.92
|
|
|
$
|
19.15
|
|
|
Shares Outstanding, end of period
|
|
29,796,601
|
|
|
31,335,938
|
|
||
|
(1)
|
Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 13).
|
|
(2)
|
Per share impact on dividends paid relating to share issuances/repurchases during the period as well as dividends paid to LTIP and OP Unit holders.
|
|
(3)
|
If all LTIP Units and OP Units previously issued were vested and exchanged for common shares as of
December 31, 2018
and 2017, shareholders' equity per share would be $18.92 and $18.85, respectively.
|
|
|
|
Year Ended December 31,
|
||
|
|
|
2018
(2)
|
|
2017
|
|
Total Return
|
|
7.38%
|
|
6.14%
|
|
(1)
|
Total return is calculated assuming reinvestment of distributions at shareholders' equity per share during the period.
|
|
(2)
|
The Company redeemed all 503,988 of its outstanding LTIP Units which it had originally issued under its incentive plans, with each LTIP unitholder receiving in exchange an equal number of OP LTIP Units. While this activity did not affect fully diluted net asset value per common share, it did cause a 1.66% decline in net asset value per common share. The Company's total return for the year ended December 31, 2018 before the effect of this activity was 9.19%.
|
|
|
|
Year Ended December 31,
|
||
|
|
|
2018
|
|
2017
|
|
Net Investment Income
|
|
7.04%
|
|
5.51%
|
|
(1)
|
Average equity is calculated using month end values.
|
|
|
|
Year Ended December 31,
|
||
|
|
|
2018
|
|
2017
|
|
Operating expenses, before interest expense and other investment related expenses
|
|
(2.86)%
|
|
(2.81)%
|
|
Incentive fee
|
|
(0.12)%
|
|
—%
|
|
Interest expense and other investment related expenses
|
|
(12.03)%
|
|
(6.41)%
|
|
Total Expenses
|
|
(15.01)%
|
|
(9.22)%
|
|
(1)
|
Average equity is calculated using month end values.
|
|
|
Three Month Period Ended
|
||||||||||||||
|
|
March 31, 2018
|
|
June 30, 2018
|
|
September 30, 2018
|
|
December 31, 2018
|
||||||||
|
(In thousands except per share amounts)
|
|
|
|
|
|
|
|
||||||||
|
INVESTMENT INCOME
|
|
|
|
|
|
|
|
||||||||
|
Interest income
(1)
|
$
|
28,092
|
|
|
$
|
31,941
|
|
|
$
|
35,300
|
|
|
$
|
35,694
|
|
|
Other income
|
716
|
|
|
1,094
|
|
|
1,046
|
|
|
1,157
|
|
||||
|
Total investment income
|
28,808
|
|
|
33,035
|
|
|
36,346
|
|
|
36,851
|
|
||||
|
EXPENSES
|
|
|
|
|
|
|
|
||||||||
|
Base management fee to affiliate
(2)
|
1,978
|
|
|
2,021
|
|
|
1,830
|
|
|
1,744
|
|
||||
|
Incentive fee to affiliate
|
—
|
|
|
291
|
|
|
424
|
|
|
—
|
|
||||
|
Interest expense
(1)
|
11,562
|
|
|
13,383
|
|
|
15,678
|
|
|
16,083
|
|
||||
|
Other investment related expenses
|
2,952
|
|
|
3,771
|
|
|
4,384
|
|
|
4,201
|
|
||||
|
Other operating expenses
|
2,074
|
|
|
2,578
|
|
|
2,352
|
|
|
4,609
|
|
||||
|
Total expenses
|
18,566
|
|
|
22,044
|
|
|
24,668
|
|
|
26,637
|
|
||||
|
NET INVESTMENT INCOME
|
10,242
|
|
|
10,991
|
|
|
11,678
|
|
|
10,214
|
|
||||
|
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, OTHER SECURED BORROWINGS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION
|
|
|
|
|
|
|
|
||||||||
|
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions
|
13,051
|
|
|
(1,343
|
)
|
|
10,102
|
|
|
9,578
|
|
||||
|
Change in net unrealized gain (loss) on investments, other secured borrowings, financial derivatives, and foreign currency translation
|
(1,969
|
)
|
|
12,536
|
|
|
(14,306
|
)
|
|
(20,862
|
)
|
||||
|
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OTHER SECURED BORROWINGS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY
|
11,082
|
|
|
11,193
|
|
|
(4,204
|
)
|
|
(11,284
|
)
|
||||
|
NET INCREASE (DECREASE) IN EQUITY RESULTING FROM OPERATIONS
|
21,324
|
|
|
22,184
|
|
|
7,474
|
|
|
(1,070
|
)
|
||||
|
LESS: NET INCREASE IN EQUITY RESULTING FROM OPERATIONS ATTRIBUTABLE TO NON-CONTROLLING INTERESTS
|
285
|
|
|
991
|
|
|
813
|
|
|
1,147
|
|
||||
|
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS
|
$
|
21,039
|
|
|
$
|
21,193
|
|
|
$
|
6,661
|
|
|
$
|
(2,217
|
)
|
|
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE:
|
|
|
|
|
|
|
|
||||||||
|
Basic and Diluted
(3)
|
$
|
0.67
|
|
|
$
|
0.69
|
|
|
$
|
0.22
|
|
|
$
|
(0.07
|
)
|
|
(1)
|
Includes interest income and interest expense of a consolidated securitization trust of
$1.3 million
and
$0.9 million
, respectively, for the three-month period ended March 31, 2018. Includes interest income and interest expense of a consolidated securitization trust of
$1.3 million
and
$0.8 million
, respectively, for the three-month period ended June 30, 2018. Includes interest income and interest expense of a consolidated securitization trust of
$1.3 million
and
$0.7 million
, respectively, for the three-month period ended September 30, 2018. Includes interest income and interest expense of a consolidated securitization trust of
$2.1 million
and
$1.2 million
, respectively, for the three-month period ended December 31, 2018. See Note 6 for further details on the Company's consolidated securitization trusts.
|
|
(2)
|
Net of management fee rebate of
$0.3 million
,
$0.3 million
,
$0.4 million
, and
$0.4 million
, for the each of the three-month periods ended March 31, 2018, June 30, 2018, September 30, 2018, and December 31, 2018, respectively. See Note 9 for further details on management fee rebates.
|
|
(3)
|
For the year ended December 31, 2018 the sum of EPS for the four quarters of the year does not equal EPS as calculated for the entire year (see Note 13) as a result of changes in shares during the year due to repurchases of common shares, as EPS is calculated using average shares outstanding during the period.
|
|
|
Three Month Period Ended
|
||||||||||||||
|
|
March 31, 2017
|
|
June 30, 2017
|
|
September 30, 2017
|
|
December 31, 2017
|
||||||||
|
(In thousands except per share amounts)
|
|
|
|
|
|
|
|
||||||||
|
INVESTMENT INCOME
|
|
|
|
|
|
|
|
||||||||
|
Interest income
(1)
|
$
|
22,886
|
|
|
$
|
21,788
|
|
|
$
|
21,145
|
|
|
$
|
23,810
|
|
|
Other income
|
939
|
|
|
872
|
|
|
1,232
|
|
|
1,288
|
|
||||
|
Total investment income
|
23,825
|
|
|
22,660
|
|
|
22,377
|
|
|
25,098
|
|
||||
|
EXPENSES
|
|
|
|
|
|
|
|
||||||||
|
Base management fee to affiliate
(2)
|
2,410
|
|
|
2,372
|
|
|
2,161
|
|
|
2,113
|
|
||||
|
Interest expense
(1)
|
6,003
|
|
|
7,625
|
|
|
8,166
|
|
|
9,326
|
|
||||
|
Other investment related expenses
|
1,521
|
|
|
2,058
|
|
|
1,908
|
|
|
4,267
|
|
||||
|
Other operating expenses
|
2,116
|
|
|
2,173
|
|
|
2,240
|
|
|
2,333
|
|
||||
|
Total expenses
|
12,050
|
|
|
14,228
|
|
|
14,475
|
|
|
18,039
|
|
||||
|
NET INVESTMENT INCOME
|
11,775
|
|
|
8,432
|
|
|
7,902
|
|
|
7,059
|
|
||||
|
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION
|
|
|
|
|
|
|
|
||||||||
|
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions
|
(831
|
)
|
|
(5,347
|
)
|
|
1,205
|
|
|
(5,831
|
)
|
||||
|
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation
|
4,786
|
|
|
2,356
|
|
|
(2,512
|
)
|
|
6,970
|
|
||||
|
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY
|
3,955
|
|
|
(2,991
|
)
|
|
(1,307
|
)
|
|
1,139
|
|
||||
|
NET INCREASE (DECREASE) IN EQUITY RESULTING FROM OPERATIONS
|
15,730
|
|
|
5,441
|
|
|
6,595
|
|
|
8,198
|
|
||||
|
LESS: NET INCREASE IN EQUITY RESULTING FROM OPERATIONS ATTRIBUTABLE TO NON-CONTROLLING INTERESTS
|
452
|
|
|
377
|
|
|
400
|
|
|
754
|
|
||||
|
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS
|
$
|
15,278
|
|
|
$
|
5,064
|
|
|
$
|
6,195
|
|
|
$
|
7,444
|
|
|
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE:
|
|
|
|
|
|
|
|
||||||||
|
Basic and Diluted
(3)
|
$
|
0.47
|
|
|
$
|
0.16
|
|
|
$
|
0.19
|
|
|
$
|
0.23
|
|
|
(1)
|
Includes interest income and interest expense of a consolidated securitization trust of
$1.5 million
and
$0.6 million
, respectively, for the thee-month period ended December 31, 2017. See Note 6 for further details on the Company's consolidated securitization trusts.
|
|
(2)
|
Net of management fee rebate of
$0.2 million
for the each of the three-month periods ended September 30, 2017 and December 31, 2017, respectively. See Note 9 for further details on management fee rebates.
|
|
(3)
|
For the year ended December 31, 2017 the sum of EPS for the four quarters of the year does not equal EPS as calculated for the entire year (see Note 13) as a result of changes in shares during the year due to repurchases of common shares, as EPS is calculated using average shares outstanding during the period.
|
|
Exhibit
|
|
Description
|
|
3.1
|
|
|
|
|
|
|
|
3.2
|
|
|
|
|
|
|
|
3.3
|
|
|
|
|
|
|
|
3.4
|
|
|
|
|
|
|
|
3.5
|
|
|
|
|
|
|
|
4.1
|
|
|
|
|
|
|
|
4.2
|
|
|
|
|
|
|
|
4.3
|
|
|
|
|
|
|
|
4.4
|
|
|
|
|
|
|
|
10.1
|
|
|
|
|
|
|
|
10.2
|
|
|
|
|
|
|
|
10.3†
|
|
|
|
|
|
|
|
10.4†
|
|
|
|
|
|
|
|
10.5†
|
|
|
|
|
|
|
|
10.6†
|
|
|
|
|
|
|
|
10.7†
|
|
|
|
|
|
|
|
10.8†
|
|
|
|
|
|
|
|
10.9†
|
|
|
|
|
|
|
|
Exhibit
|
|
Description
|
|
(continued)
|
||
|
10.10†
|
|
|
|
|
|
|
|
10.11†
|
|
|
|
|
|
|
|
21.1
|
|
|
|
|
|
|
|
23.1
|
|
|
|
|
|
|
|
24.1
|
|
|
|
|
|
|
|
31.1
|
|
|
|
|
|
|
|
31.2
|
|
|
|
|
|
|
|
32.1*
|
|
|
|
|
|
|
|
32.2*
|
|
|
|
|
|
|
|
99.1
|
|
|
|
|
|
|
|
101
|
|
The following financial information from Ellington Financial LLC's Annual Report on Form 10-K for the year ended December 31, 2018, formatted in XBRL (Extensible Business Reporting Language): (i) Consolidated Statement of Assets, Liabilities, and Equity, (ii) Consolidated Statement of Operations, (iii) Consolidated Statements of Changes in Equity, (iv) Consolidated Statements of Cash Flows and (v) Notes to Consolidated Financial Statements.
|
|
*
|
Furnished herewith. These certifications are not deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended.
|
|
†
|
Compensatory plan or arrangement.
|
|
|
|
|
ELLINGTON FINANCIAL INC.
|
|
|
Date:
|
March 14, 2019
|
|
By:
|
/s/ L
AURENCE
P
ENN
|
|
|
|
|
|
Laurence Penn
Chief Executive Officer
(Principal Executive Officer)
|
|
Signature
|
|
Title
|
|
Date
|
|
|
|
|
|
|
|
/s/ L
AURENCE
P
ENN
|
|
Chief Executive Officer, President and Director
(Principal Executive Officer)
|
|
March 14, 2019
|
|
L
AURENCE
P
ENN
|
|
|
|
|
|
|
|
|
|
|
|
/s/
JR
H
ERLIHY
|
|
Chief Financial Officer
(Principal Financial and Accounting Officer)
|
|
March 14, 2019
|
|
JR HERLIHY
|
|
|
|
|
|
|
|
|
|
|
|
/s/ LISA MUMFORD
|
|
Director
|
|
March 14, 2019
|
|
LISA MUMFORD
|
|
|
|
|
|
|
|
|
|
|
|
/s/ T
HOMAS
F. R
OBARDS
|
|
Chairman of the Board
|
|
March 14, 2019
|
|
THOMAS F. ROBARDS
|
|
|
|
|
|
|
|
|
|
|
|
/s/ R
ONALD
I. S
IMON
P
H.
D
|
|
Director
|
|
March 14, 2019
|
|
RONALD I. SIMON P
H
.D
|
|
|
|
|
|
|
|
|
|
|
|
/s/ E
DWARD
R
ESENDEZ
|
|
Director
|
|
March 14, 2019
|
|
E
DWARD
R
ESENDEZ
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
No information found
* THE VALUE IS THE MARKET VALUE AS OF THE LAST DAY OF THE QUARTER FOR WHICH THE 13F WAS FILED.
| FUND | NUMBER OF SHARES | VALUE ($) | PUT OR CALL |
|---|
| DIRECTORS | AGE | BIO | OTHER DIRECTOR MEMBERSHIPS |
|---|
No information found
No Customers Found
No Suppliers Found
Price
Yield
| Owner | Position | Direct Shares | Indirect Shares |
|---|