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x
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QUARTERLY 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 Office) (Zip Code)
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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
(Do not check if a smaller reporting company)
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¨
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Smaller Reporting Company
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¨
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Emerging Growth Company
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¨
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Class
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Outstanding at November 3, 2017
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Common Shares Representing Limited Liability Company Interests, no par value
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31,905,840
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Part I. Financial Information
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Item 1. Consolidated Financial Statements (unaudited)
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Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
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Item 3. Quantitative and Qualitative Disclosures about Market Risk
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Item 4. Controls and Procedures
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Part II. Other Information
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Item 1. Legal Proceedings
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Item 1A. Risk Factors
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Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
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Item 6. Exhibits
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September 30,
2017 |
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December 31,
2016 |
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(In thousands except share amounts)
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Expressed in U.S. Dollars
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||||||
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ASSETS
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||||
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Cash and cash equivalents
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$
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111,423
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$
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123,274
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Restricted cash
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425
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655
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Investments, financial derivatives, and repurchase agreements:
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Investments, at fair value (Cost – $1,758,854 and $1,525,710)
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1,756,432
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1,505,026
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Financial derivatives–assets, at fair value (Net cost – $41,041 and $40,724)
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29,896
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35,595
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Repurchase agreements, at fair value (Cost – $194,265 and $185,205)
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193,070
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184,819
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Total investments, financial derivatives, and repurchase agreements
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1,979,398
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1,725,440
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Due from brokers
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108,173
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93,651
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Receivable for securities sold and financial derivatives
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499,053
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445,112
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Interest and principal receivable
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25,006
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21,704
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Other assets
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3,169
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3,359
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Total Assets
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$
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2,726,647
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$
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2,413,195
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LIABILITIES
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Investments and financial derivatives:
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Investments sold short, at fair value (Proceeds – $672,506 and $589,429)
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$
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675,650
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$
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584,896
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Financial derivatives–liabilities, at fair value (Net proceeds – $28,507 and $12,012)
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32,278
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18,687
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Total investments and financial derivatives
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707,928
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603,583
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Reverse repurchase agreements
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1,029,810
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1,033,581
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Due to brokers
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3,613
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12,780
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Payable for securities purchased and financial derivatives
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169,717
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85,168
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Other secured borrowings (Proceeds – $89,646 and $24,086)
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89,646
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24,086
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Senior notes, net
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84,752
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—
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Accounts payable and accrued expenses
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4,230
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3,327
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Base management fee payable to affiliate
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2,161
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2,416
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Interest and dividends payable
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4,868
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3,460
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Other liabilities
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198
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17
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Total Liabilities
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2,096,923
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1,768,418
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EQUITY
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629,724
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644,777
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TOTAL LIABILITIES AND EQUITY
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$
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2,726,647
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$
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2,413,195
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Commitments and contingencies (Note 15)
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ANALYSIS OF EQUITY:
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Common shares, no par value, 100,000,000 shares authorized;
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(31,992,177 and 32,294,703 shares issued and outstanding)
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$
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605,357
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$
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627,620
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Additional paid-in capital – LTIP Units
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10,278
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10,041
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Total Shareholders' Equity
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615,635
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637,661
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Non-controlling interests
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14,089
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7,116
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Total Equity
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$
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629,724
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$
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644,777
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PER SHARE INFORMATION:
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Common shares
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$
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19.24
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$
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19.75
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Current Principal/Number of Shares
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Description
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Rate
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Maturity
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Fair Value
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(In thousands)
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Expressed in U.S.
Dollars
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Cash Equivalents—Money Market Funds (9.53%) (a) (b)
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North America
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Funds
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$
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40,000
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Goldman Sachs Financial Square Funds—Government Fund
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0.91%
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$
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40,000
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20,000
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Various
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0.93%
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20,000
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Total Cash Equivalents—Money Market Funds (Cost $60,000)
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$
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60,000
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Long Investments (278.92%) (a) (b) (ab)
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Mortgage-Backed Securities (177.77%)
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Agency Securities (148.83%) (c)
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Fixed-rate Agency Securities (135.89%)
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||||||
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Principal and Interest–Fixed-Rate Agency Securities (114.61%)
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North America
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||||||
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Mortgage-related—Residential
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$
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141,070
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Federal National Mortgage Association Pools (30 Year)
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4.00%
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9/39 - 10/47
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$
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149,859
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111,168
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Federal Home Loan Mortgage Corporation Pools (30 Year)
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4.00%
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11/41 - 7/47
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117,973
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69,470
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Federal National Mortgage Association Pools (30 Year)
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3.50%
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9/42 - 5/47
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72,004
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62,675
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Federal National Mortgage Association Pools (30 Year)
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4.50%
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10/41 - 7/47
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67,923
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53,631
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Federal National Mortgage Association Pools (15 Year)
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3.50%
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3/28 - 3/32
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56,239
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43,951
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Federal Home Loan Mortgage Corporation Pools (30 Year)
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4.50%
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9/43 - 10/47
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47,575
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38,810
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Federal National Mortgage Association Pools (30 Year)
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5.00%
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10/35 - 12/44
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42,616
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23,579
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Federal Home Loan Mortgage Corporation Pools (30 Year)
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3.50%
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1/42 - 9/47
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24,446
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21,436
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Federal National Mortgage Association Pools (15 Year)
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3.00%
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4/30 - 9/32
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22,088
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||
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18,417
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Government National Mortgage Association Pools (30 Year)
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4.50%
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9/46 - 9/47
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19,839
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||
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16,004
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Government National Mortgage Association Pools (30 Year)
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3.50%
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7/45 - 10/47
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16,679
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||
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13,803
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Government National Mortgage Association Pools (30 Year)
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4.00%
|
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7/45 - 9/47
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14,626
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||
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9,165
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Federal Home Loan Mortgage Corporation Pools (Other)
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3.50%
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2/30 - 9/46
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9,477
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||
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8,646
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Federal Home Loan Mortgage Corporation Pools (15 Year)
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3.50%
|
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9/28 - 3/32
|
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9,078
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||
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8,485
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Federal National Mortgage Association Pools (15 Year)
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4.00%
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|
6/26 - 5/31
|
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8,993
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||
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5,683
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Federal National Mortgage Association Pools (Other)
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5.00%
|
|
9/43 - 1/44
|
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6,274
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|
||
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4,125
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|
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Federal Home Loan Mortgage Corporation Pools (15 Year)
|
|
3.00%
|
|
4/30 - 9/32
|
|
4,250
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|
||
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3,692
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Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
3.00%
|
|
7/43 - 10/45
|
|
3,694
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|
||
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3,142
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|
|
Federal National Mortgage Association Pools (Other)
|
|
4.50%
|
|
5/41
|
|
3,326
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|
||
|
3,012
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
4.50%
|
|
4/26
|
|
3,235
|
|
||
|
2,918
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
3.75%
|
|
7/47
|
|
3,049
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|
||
|
2,685
|
|
|
Federal Home Loan Mortgage Corporation Pools (Other)
|
|
4.50%
|
|
5/44
|
|
2,914
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|
||
|
2,350
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
5.50%
|
|
10/39
|
|
2,610
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|
||
|
1,962
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
3.00%
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|
1/42 - 6/45
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|
1,969
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|
||
|
1,745
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Federal National Mortgage Association Pools (20 Year)
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|
4.00%
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|
12/33
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|
1,860
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||
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1,488
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Federal Home Loan Mortgage Corporation Pools (15 Year)
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|
4.00%
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|
2/29
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|
1,579
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|
||
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1,320
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Federal National Mortgage Association Pools (30 Year)
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|
6.00%
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|
9/39 - 2/40
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1,490
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||
|
1,209
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Federal Home Loan Mortgage Corporation Pools (Other)
|
|
3.00%
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|
6/28 - 3/30
|
|
1,238
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|
||
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1,120
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|
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Federal Home Loan Mortgage Corporation Pools (20 Year)
|
|
4.50%
|
|
12/33
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|
1,214
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|
||
|
869
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Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
6.00%
|
|
5/40
|
|
982
|
|
||
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Current Principal/Notional Value
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
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(continued)
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|
||||||||
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$
|
653
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|
|
Government National Mortgage Association Pools (Other)
|
|
3.50%
|
|
10/30 - 2/32
|
|
$
|
662
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|
531
|
|
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Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
5.50%
|
|
8/33 - 11/38
|
|
584
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|
||
|
490
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
5.00%
|
|
7/44
|
|
534
|
|
||
|
508
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|
|
Federal National Mortgage Association Pools (Other)
|
|
3.50%
|
|
4/26
|
|
524
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|
||
|
153
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|
|
Government National Mortgage Association Pools (Other)
|
|
3.00%
|
|
6/30
|
|
154
|
|
||
|
112
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
3.28%
|
|
6/42
|
|
113
|
|
||
|
38
|
|
|
Federal National Mortgage Association Pools (Other)
|
|
4.00%
|
|
6/37
|
|
39
|
|
||
|
|
|
|
|
|
|
|
|
721,709
|
|
|||
|
Interest Only–Fixed-Rate Agency Securities (2.06%)
|
|
|
|
|
||||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
23,212
|
|
|
Government National Mortgage Association
|
|
4.00%
|
|
2/45 - 6/45
|
|
3,935
|
|
||
|
6,223
|
|
|
Government National Mortgage Association
|
|
6.00%
|
|
6/38 - 8/39
|
|
1,262
|
|
||
|
7,055
|
|
|
Federal National Mortgage Association
|
|
4.50%
|
|
12/20 - 6/44
|
|
1,027
|
|
||
|
5,756
|
|
|
Government National Mortgage Association
|
|
4.50%
|
|
2/41 - 7/44
|
|
977
|
|
||
|
4,317
|
|
|
Federal National Mortgage Association
|
|
5.50%
|
|
10/39
|
|
955
|
|
||
|
4,996
|
|
|
Government National Mortgage Association
|
|
5.50%
|
|
11/43
|
|
866
|
|
||
|
4,547
|
|
|
Federal Home Loan Mortgage Corporation
|
|
3.50%
|
|
12/32
|
|
663
|
|
||
|
7,706
|
|
|
Federal Home Loan Mortgage Corporation
|
|
5.00%
|
|
11/38
|
|
660
|
|
||
|
4,594
|
|
|
Federal National Mortgage Association
|
|
5.00%
|
|
1/38 - 5/40
|
|
550
|
|
||
|
4,587
|
|
|
Federal National Mortgage Association
|
|
4.00%
|
|
5/39 - 11/43
|
|
509
|
|
||
|
2,151
|
|
|
Federal National Mortgage Association
|
|
6.00%
|
|
1/40
|
|
398
|
|
||
|
77,632
|
|
|
Government National Mortgage Association
|
|
0.26%
|
|
6/40
|
|
378
|
|
||
|
2,773
|
|
|
Federal National Mortgage Association
|
|
3.00%
|
|
9/41
|
|
260
|
|
||
|
1,809
|
|
|
Federal Home Loan Mortgage Corporation
|
|
4.50%
|
|
7/43
|
|
249
|
|
||
|
1,098
|
|
|
Government National Mortgage Association
|
|
4.75%
|
|
7/40
|
|
194
|
|
||
|
1,393
|
|
|
Government National Mortgage Association
|
|
5.00%
|
|
5/37
|
|
63
|
|
||
|
557
|
|
|
Federal Home Loan Mortgage Corporation
|
|
5.50%
|
|
1/39
|
|
49
|
|
||
|
|
|
|
|
|
|
|
|
12,995
|
|
|||
|
TBA–Fixed-Rate Agency Securities (19.22%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
58,784
|
|
|
Government National Mortgage Association (30 Year)
|
|
4.00%
|
|
10/17
|
|
61,926
|
|
||
|
27,340
|
|
|
Federal Home Loan Mortgage Corporation (30 Year)
|
|
3.50%
|
|
10/17
|
|
28,190
|
|
||
|
15,969
|
|
|
Government National Mortgage Association (30 Year)
|
|
4.50%
|
|
10/17
|
|
17,055
|
|
||
|
8,250
|
|
|
Government National Mortgage Association (30 Year)
|
|
4.50%
|
|
11/17
|
|
8,781
|
|
||
|
3,600
|
|
|
Government National Mortgage Association (30 Year)
|
|
3.00%
|
|
10/17
|
|
3,648
|
|
||
|
890
|
|
|
Government National Mortgage Association (30 Year)
|
|
3.50%
|
|
10/17
|
|
926
|
|
||
|
470
|
|
|
Federal Home Loan Mortgage Corporation (15 Year)
|
|
3.00%
|
|
10/17
|
|
483
|
|
||
|
|
|
|
|
|
|
|
|
121,009
|
|
|||
|
Total Fixed-Rate Agency Securities (Cost $857,535)
|
|
|
|
|
|
855,713
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal /Notional Value
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Floating Rate Agency Securities (12.94%)
|
|
|
|
|
|
|
||||||
|
Principal and Interest–Floating Rate Agency Securities (10.13%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
$
|
50,784
|
|
|
Government National Mortgage Association Pools
|
|
3.59% - 4.68%
|
|
7/61 - 7/67
|
|
$
|
55,172
|
|
|
5,042
|
|
|
Federal National Mortgage Association Pools
|
|
2.77% - 3.69%
|
|
9/35 - 5/45
|
|
5,258
|
|
||
|
3,230
|
|
|
Federal Home Loan Mortgage Corporation Pools
|
|
3.49% - 4.80%
|
|
6/37 - 5/44
|
|
3,340
|
|
||
|
|
|
|
|
|
|
|
|
63,770
|
|
|||
|
Interest Only–Floating Rate Agency Securities (2.81%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
275,999
|
|
|
Other Government National Mortgage Association
|
|
0.40% - 5.57%
|
|
5/37 - 10/66
|
|
14,289
|
|
||
|
19,486
|
|
|
Other Federal National Mortgage Association
|
|
4.91% - 6.31%
|
|
6/33 - 12/41
|
|
2,232
|
|
||
|
4,490
|
|
|
Other Federal Home Loan Mortgage Corporation
|
|
4.77% - 5.40%
|
|
3/36 - 8/39
|
|
720
|
|
||
|
12,476
|
|
|
Resecuritization of Government National Mortgage Association (d)
|
|
3.26%
|
|
8/60
|
|
486
|
|
||
|
|
|
|
|
|
|
|
|
17,727
|
|
|||
|
Total Floating Rate Agency Securities (Cost $81,850)
|
|
|
|
|
|
81,497
|
|
|||||
|
Total Agency Securities (Cost $939,385)
|
|
|
|
|
|
937,210
|
|
|||||
|
Private Label Securities (28.94%)
|
|
|
|
|
|
|
||||||
|
Principal and Interest–Private Label Securities (27.54%)
|
|
|
|
|
|
|
||||||
|
North America (14.18%)
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
137,964
|
|
|
Various
|
|
0.00% - 32.18%
|
|
5/19 - 9/46
|
|
70,993
|
|
||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
76,636
|
|
|
Various
|
|
2.45% - 4.56%
|
|
7/45 - 12/49
|
|
18,301
|
|
||
|
Total North America (Cost $78,834)
|
|
|
|
|
|
89,294
|
|
|||||
|
Europe (13.36%)
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
100,495
|
|
|
Various
|
|
0.00% - 4.37%
|
|
6/25 - 3/50
|
|
76,268
|
|
||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
18,686
|
|
|
Various
|
|
0.37% - 4.78%
|
|
10/20 - 2/41
|
|
7,842
|
|
||
|
Total Europe (Cost $81,646)
|
|
|
|
|
|
84,110
|
|
|||||
|
Total Principal and Interest–Private Label Securities (Cost $160,480)
|
|
|
|
|
|
173,404
|
|
|||||
|
Interest Only–Private Label Securities (1.40%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
37,830
|
|
|
Various
|
|
0.00% - 2.00%
|
|
12/30 - 9/47
|
|
4,940
|
|
||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
67,125
|
|
|
Various
|
|
1.25% - 2.00%
|
|
10/47 - 12/49
|
|
3,910
|
|
||
|
Total Interest Only–Private Label Securities (Cost $6,888)
|
|
|
|
|
|
8,850
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||
|
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 $167,583)
|
|
|
|
|
|
182,254
|
|
|||||
|
Total Mortgage-Backed Securities (Cost $1,106,968)
|
|
|
|
|
|
1,119,464
|
|
|||||
|
Collateralized Loan Obligations (21.45%)
|
|
|
|
|
|
|
||||||
|
North America (16.72%) (e)
|
|
|
|
|
|
|
||||||
|
216,533
|
|
|
Various
|
|
0.00% - 10.04%
|
|
11/17 - 11/57
|
|
105,302
|
|
||
|
Total North America (Cost $109,054)
|
|
|
|
|
|
105,302
|
|
|||||
|
Europe (4.73%)
|
|
|
|
|
|
|
||||||
|
30,070
|
|
|
Various
|
|
0.00% - 6.25%
|
|
11/21 - 1/27
|
|
29,762
|
|
||
|
Total Europe (Cost $27,186)
|
|
|
|
|
|
29,762
|
|
|||||
|
Total Collateralized Loan Obligations (Cost $136,240)
|
|
|
|
|
|
135,064
|
|
|||||
|
Consumer Loans and Asset-backed Securities backed by Consumer Loans (18.48%) (f)
|
|
|
|
|
|
|
||||||
|
North America (18.03%)
|
|
|
|
|
|
|
||||||
|
Consumer (g) (h)
|
|
|
|
|
|
|
||||||
|
113,443
|
|
|
Various
|
|
5.31% - 60.88%
|
|
10/17 - 9/22
|
|
113,509
|
|
||
|
Total North America (Cost $119,375)
|
|
|
|
|
|
113,509
|
|
|||||
|
Europe (0.45%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
3,653
|
|
|
Various
|
|
—%
|
|
8/24 - 12/30
|
|
2,831
|
|
||
|
Total Europe (Cost $1,171)
|
|
|
|
|
|
2,831
|
|
|||||
|
Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $120,546)
|
|
|
|
|
|
116,340
|
|
|||||
|
|
|
|
|
|
|
|
||||||
|
Current Principal/Number of Properties/Number of Shares
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
||||
|
Corporate Debt (14.18%)
|
|
|
|
|
|
|
||||||
|
North America (13.89%)
|
|
|
|
|
|
|
||||||
|
Basic Materials
|
|
|
|
|
|
|
||||||
|
$
|
4,720
|
|
|
Various
|
|
6.88% - 7.00%
|
|
8/25 - 3/27
|
|
$
|
4,838
|
|
|
Communications
|
|
|
|
|
|
|
||||||
|
19,744
|
|
|
Various
|
|
3.40% - 11.50%
|
|
6/21 - 8/27
|
|
19,502
|
|
||
|
Consumer
|
|
|
|
|
|
|
||||||
|
18,820
|
|
|
Various
|
|
2.60% - 9.73%
|
|
1/19 - 12/34
|
|
19,658
|
|
||
|
Energy
|
|
|
|
|
|
|
||||||
|
23,270
|
|
|
Various
|
|
4.50% - 9.63%
|
|
3/19 - 8/25
|
|
24,485
|
|
||
|
Industrial
|
|
|
|
|
|
|
||||||
|
4,316
|
|
|
Various
|
|
3.75% - 5.50%
|
|
4/19 - 12/21
|
|
3,973
|
|
||
|
Mortgage-related—Residential (m)
|
|
|
|
|
|
|
||||||
|
5,776
|
|
|
Various
|
|
15.00%
|
|
10/19
|
|
5,776
|
|
||
|
Technology
|
|
|
|
|
|
|
||||||
|
2,930
|
|
|
Various
|
|
7.50%
|
|
8/22
|
|
3,320
|
|
||
|
Utilities
|
|
|
|
|
|
|
||||||
|
5,500
|
|
|
Various
|
|
7.25%
|
|
5/26
|
|
5,930
|
|
||
|
Total North America (Cost $87,735)
|
|
|
|
|
|
87,482
|
|
|||||
|
Europe (0.29%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
19,700
|
|
|
Various
|
|
—%
|
|
3/18
|
|
173
|
|
||
|
Industrial
|
|
|
|
|
|
|
||||||
|
1,709
|
|
|
Various
|
|
1.23%
|
|
3/21
|
|
1,653
|
|
||
|
Total Europe (Cost $2,589)
|
|
|
|
|
|
1,826
|
|
|||||
|
Total Corporate Debt (Cost $90,324)
|
|
|
|
|
|
89,308
|
|
|||||
|
Mortgage Loans (36.66%) (f)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Commercial (j)
|
|
|
|
|
|
|
||||||
|
69,535
|
|
|
Various
|
|
3.01% - 12.73%
|
|
2/18 - 10/37
|
|
67,895
|
|
||
|
Mortgage-related—Residential (l)
|
|
|
|
|
|
|
||||||
|
166,273
|
|
|
Various
|
|
2.00% - 12.63%
|
|
4/22 - 7/57
|
|
162,963
|
|
||
|
Total Mortgage Loans (Cost $233,535)
|
|
|
|
|
|
230,858
|
|
|||||
|
Real Estate Owned (4.09%) (f) (k)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Real estate-related
|
|
|
|
|
|
|
||||||
|
4
|
|
|
Single-Family Houses
|
|
|
|
|
|
686
|
|
||
|
9
|
|
|
Commercial Properties
|
|
|
|
|
|
25,076
|
|
||
|
Total Real Estate Owned (Cost $26,198)
|
|
|
|
|
|
25,762
|
|
|||||
|
|
|
|
|
|
|
|
||||||
|
Current Principal/Number of Shares
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Corporate Equity Investments (6.05%)
|
|
|
|
|
|
|
||||||
|
North America (6.05%)
|
|
|
|
|
|
|
||||||
|
Asset-Backed Securities
|
|
|
|
|
|
|
||||||
|
n/a
|
|
|
Non-Controlling Equity Interest in Limited Liability Company (m)
|
|
|
|
|
|
$
|
5,588
|
|
|
|
Communications
|
|
|
|
|
|
|
||||||
|
7
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
619
|
|
||
|
Consumer
|
|
|
|
|
|
|
||||||
|
n/a
|
|
|
Non-Controlling Equity Interest in Limited Liability Company (i)
|
|
|
|
|
|
5,857
|
|
||
|
1,540
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
8
|
|
||
|
Diversified
|
|
|
|
|
|
|
||||||
|
166
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
3,441
|
|
||
|
Energy
|
|
|
|
|
|
|
||||||
|
24
|
|
|
Exchange Traded Corporate Equity
|
|
|
|
|
|
790
|
|
||
|
Mortgage-related—Residential (m)
|
|
|
|
|
|
|
||||||
|
20
|
|
|
Non-Exchange Traded Preferred Equity Investment in Mortgage Originators
|
|
|
|
|
|
19,000
|
|
||
|
9,818
|
|
|
Non-Exchange Traded Common Equity Investment in Mortgage Originators
|
|
|
|
|
|
2,814
|
|
||
|
Total North America (Cost $43,533)
|
|
|
|
|
|
38,117
|
|
|||||
|
Europe (0.00%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
125
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
—
|
|
||
|
Total Europe (Cost $0)
|
|
|
|
|
|
—
|
|
|||||
|
Total Corporate Equity Investments (Cost $43,533)
|
|
|
|
|
|
38,117
|
|
|||||
|
U.S. Treasury Securities (0.24%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
$
|
1,510
|
|
|
U.S. Treasury Note
|
|
2.00%
|
|
12/21
|
|
1,519
|
|
|
|
Total U.S. Treasury Securities (Cost $1,510)
|
|
|
|
|
|
1,519
|
|
|||||
|
Total Long Investments (Cost $1,758,854)
|
|
|
|
|
|
$
|
1,756,432
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Repurchase Agreements (30.66%) (a) (b) (n)
|
|
|
|
|
|
|
||||||
|
$
|
36,488
|
|
|
Bank of America Securities
|
|
1.15%
|
|
10/17
|
|
$
|
36,487
|
|
|
|
|
Collateralized by Par Value $36,579
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 2/27
|
|
|
|
|
|
|
||||
|
16,672
|
|
|
JP Morgan Securities LLC
|
|
(0.60)%
|
|
10/17
|
|
16,672
|
|
||
|
|
|
Collateralized by Par Value $16,260
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/18
|
|
|
|
|
|
|
||||
|
14,358
|
|
|
Barclays Capital Inc
|
|
(0.75)%
|
|
10/17
|
|
14,358
|
|
||
|
|
|
Collateralized by Par Value $14,008
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/20
|
|
|
|
|
|
|
||||
|
10,794
|
|
|
JP Morgan Securities LLC
|
|
(0.68)%
|
|
10/17
|
|
10,794
|
|
||
|
|
|
Collateralized by Par Value $10,285
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/21
|
|
|
|
|
|
|
||||
|
9,895
|
|
|
Barclays Capital Inc
|
|
(0.60)%
|
|
10/17
|
|
9,895
|
|
||
|
|
|
Collateralized by Par Value $9,328
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 2.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/19
|
|
|
|
|
|
|
||||
|
9,809
|
|
|
JP Morgan Securities LLC
|
|
(0.60)%
|
|
10/17
|
|
9,809
|
|
||
|
|
|
Collateralized by Par Value $9,254
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 1.15%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/20
|
|
|
|
|
|
|
||||
|
9,599
|
|
|
JP Morgan Securities LLC
|
|
(0.65)%
|
|
10/17
|
|
9,599
|
|
||
|
|
|
Collateralized by Par Value $9,254
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.65%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/20
|
|
|
|
|
|
|
||||
|
6,560
|
|
|
Bank of America Securities
|
|
1.15%
|
|
10/17
|
|
6,560
|
|
||
|
|
|
Collateralized by Par Value $6,560
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 1.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 5/22
|
|
|
|
|
|
|
||||
|
5,707
|
|
|
CILO 2016-LD1 Holdings LLC (o)
|
|
2.94%
|
|
10/17
|
|
5,707
|
|
||
|
|
|
Collateralized by Par Value $9,512
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Debt, Coupon 5.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/22
|
|
|
|
|
|
|
||||
|
5,534
|
|
|
Bank of America Securities
|
|
1.15%
|
|
10/17
|
|
5,534
|
|
||
|
|
|
Collateralized by Par Value $5,633
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/26
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
||||||||
|
$
|
4,921
|
|
|
Barclays Capital Inc
|
|
(2.00)%
|
|
10/17
|
|
$
|
4,921
|
|
|
|
|
Collateralized by Par Value $4,720
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/20
|
|
|
|
|
|
|
||||
|
4,703
|
|
|
Bank of America Securities
|
|
0.78%
|
|
10/17
|
|
4,703
|
|
||
|
|
|
Collateralized by Par Value $4,715
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 8/27
|
|
|
|
|
|
|
||||
|
3,445
|
|
|
JP Morgan Securities LLC
|
|
(2.75)%
|
|
10/17
|
|
3,445
|
|
||
|
|
|
Collateralized by Par Value $3,516
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/22
|
|
|
|
|
|
|
||||
|
3,388
|
|
|
RBC Capital Markets LLC
|
|
0.80%
|
|
10/17
|
|
3,388
|
|
||
|
|
|
Collateralized by Par Value $3,250
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 2.90%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 1/22
|
|
|
|
|
|
|
||||
|
2,903
|
|
|
RBC Capital Markets LLC
|
|
0.80%
|
|
10/17
|
|
2,903
|
|
||
|
|
|
Collateralized by Par Value $3,425
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 10.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 9/22
|
|
|
|
|
|
|
||||
|
2,889
|
|
|
RBC Capital Markets LLC
|
|
0.50%
|
|
10/17
|
|
2,889
|
|
||
|
|
|
Collateralized by Par Value $2,700
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 8.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 12/22
|
|
|
|
|
|
|
||||
|
2,629
|
|
|
RBC Capital Markets LLC
|
|
(0.65)%
|
|
10/17
|
|
2,629
|
|
||
|
|
|
Collateralized by Par Value $2,480
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 3/21
|
|
|
|
|
|
|
||||
|
2,598
|
|
|
RBC Capital Markets LLC
|
|
(5.75)%
|
|
10/17
|
|
2,598
|
|
||
|
|
|
Collateralized by Par Value $2,480
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 8.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 1/25
|
|
|
|
|
|
|
||||
|
2,237
|
|
|
RBC Capital Markets LLC
|
|
0.80%
|
|
10/17
|
|
2,237
|
|
||
|
|
|
Collateralized by Par Value $2,120
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 3.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/24
|
|
|
|
|
|
|
||||
|
2,086
|
|
|
Barclays Capital Inc
|
|
(1.25)%
|
|
10/17
|
|
2,086
|
|
||
|
|
|
Collateralized by Par Value $2,495
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 9/21
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
||||||||
|
$
|
1,808
|
|
|
RBC Capital Markets LLC
|
|
0.50%
|
|
10/17
|
|
$
|
1,808
|
|
|
|
|
Collateralized by Par Value $1,680
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.13%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 9/24
|
|
|
|
|
|
|
||||
|
1,785
|
|
|
RBC Capital Markets LLC
|
|
0.80%
|
|
10/17
|
|
1,785
|
|
||
|
|
|
Collateralized by Par Value $1,680
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 5/26
|
|
|
|
|
|
|
||||
|
1,761
|
|
|
Barclays Capital Inc
|
|
(3.50)%
|
|
10/17
|
|
1,761
|
|
||
|
|
|
Collateralized by Par Value $1,844
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/22
|
|
|
|
|
|
|
||||
|
1,760
|
|
|
Barclays Capital Inc
|
|
(4.25)%
|
|
10/17
|
|
1,760
|
|
||
|
|
|
Collateralized by Par Value $1,645
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 8.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 6/27
|
|
|
|
|
|
|
||||
|
1,748
|
|
|
RBC Capital Markets LLC
|
|
0.20%
|
|
10/17
|
|
1,748
|
|
||
|
|
|
Collateralized by Par Value $1,710
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 3.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 2/23
|
|
|
|
|
|
|
||||
|
1,624
|
|
|
JP Morgan Securities LLC
|
|
(1.00)%
|
|
10/17
|
|
1,624
|
|
||
|
|
|
Collateralized by Par Value $1,960
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 9/21
|
|
|
|
|
|
|
||||
|
1,463
|
|
|
Societe Generale
|
|
(2.00)%
|
|
10/17
|
|
1,463
|
|
||
|
|
|
Collateralized by Par Value $1,490
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.80%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/22
|
|
|
|
|
|
|
||||
|
1,407
|
|
|
RBC Capital Markets LLC
|
|
(1.15)%
|
|
10/17
|
|
1,407
|
|
||
|
|
|
Collateralized by Par Value $1,685
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 9/21
|
|
|
|
|
|
|
||||
|
1,380
|
|
|
Barclays Capital Inc
|
|
0.75%
|
|
10/17
|
|
1,380
|
|
||
|
|
|
Collateralized by Par Value $1,340
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 3.45%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/24
|
|
|
|
|
|
|
||||
|
1,278
|
|
|
Barclays Capital Inc
|
|
(2.75)%
|
|
10/17
|
|
1,278
|
|
||
|
|
|
Collateralized by Par Value $1,210
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/19
|
|
|
|
|
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
||||||||
|
$
|
1,247
|
|
|
RBC Capital Markets LLC
|
|
0.70%
|
|
10/17
|
|
$
|
1,247
|
|
|
|
|
Collateralized by Par Value $1,220
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 3.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 5/22
|
|
|
|
|
|
|
||||
|
1,175
|
|
|
Societe Generale
|
|
0.85%
|
|
10/17
|
|
1,175
|
|
||
|
|
|
Collateralized by Par Value $1,070
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.38%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/23
|
|
|
|
|
|
|
||||
|
1,156
|
|
|
Societe Generale
|
|
0.75%
|
|
10/17
|
|
1,156
|
|
||
|
|
|
Collateralized by Par Value $1,050
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.38%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 12/23
|
|
|
|
|
|
|
||||
|
1,144
|
|
|
RBC Capital Markets LLC
|
|
(2.50)%
|
|
10/17
|
|
1,144
|
|
||
|
|
|
Collateralized by Par Value $1,130
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/19
|
|
|
|
|
|
|
||||
|
1,095
|
|
|
Barclays Capital Inc
|
|
(3.75)%
|
|
10/17
|
|
1,095
|
|
||
|
|
|
Collateralized by Par Value $990
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.63%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/22
|
|
|
|
|
|
|
||||
|
1,072
|
|
|
Societe Generale
|
|
0.25%
|
|
10/17
|
|
1,072
|
|
||
|
|
|
Collateralized by Par Value $990
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 8.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 12/22
|
|
|
|
|
|
|
||||
|
1,049
|
|
|
RBC Capital Markets LLC
|
|
0.75%
|
|
10/17
|
|
1,049
|
|
||
|
|
|
Collateralized by Par Value $980
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 3.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/24
|
|
|
|
|
|
|
||||
|
978
|
|
|
Deutsche Bank Securities
|
|
(4.50)%
|
|
10/17
|
|
978
|
|
||
|
|
|
Collateralized by Par Value $1,020
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 7.38%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 1/21
|
|
|
|
|
|
|
||||
|
935
|
|
|
Barclays Capital Inc
|
|
(4.75)%
|
|
10/17
|
|
935
|
|
||
|
|
|
Collateralized by Par Value $1,000
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/24
|
|
|
|
|
|
|
||||
|
902
|
|
|
RBC Capital Markets LLC
|
|
(5.00)%
|
|
10/17
|
|
902
|
|
||
|
|
|
Collateralized by Par Value $970
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/24
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
||||||||
|
$
|
894
|
|
|
RBC Capital Markets LLC
|
|
(4.00)%
|
|
10/17
|
|
$
|
894
|
|
|
|
|
Collateralized by Par Value $910
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 8.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 6/27
|
|
|
|
|
|
|
||||
|
879
|
|
|
RBC Capital Markets LLC
|
|
0.80%
|
|
10/17
|
|
879
|
|
||
|
|
|
Collateralized by Par Value $812
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 5/23
|
|
|
|
|
|
|
||||
|
872
|
|
|
Barclays Capital Inc
|
|
(5.50)%
|
|
10/17
|
|
872
|
|
||
|
|
|
Collateralized by Par Value $820
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 8.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 6/27
|
|
|
|
|
|
|
||||
|
853
|
|
|
RBC Capital Markets LLC
|
|
0.80%
|
|
10/17
|
|
853
|
|
||
|
|
|
Collateralized by Par Value $790
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/24
|
|
|
|
|
|
|
||||
|
818
|
|
|
RBC Capital Markets LLC
|
|
(6.38)%
|
|
10/17
|
|
818
|
|
||
|
|
|
Collateralized by Par Value $960
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/22
|
|
|
|
|
|
|
||||
|
733
|
|
|
RBC Capital Markets LLC
|
|
0.70%
|
|
10/17
|
|
733
|
|
||
|
|
|
Collateralized by Par Value $700
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 3/22
|
|
|
|
|
|
|
||||
|
583
|
|
|
RBC Capital Markets LLC
|
|
0.30%
|
|
10/17
|
|
583
|
|
||
|
|
|
Collateralized by Par Value $570
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 3.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 2/23
|
|
|
|
|
|
|
||||
|
523
|
|
|
RBC Capital Markets LLC
|
|
0.80%
|
|
10/17
|
|
523
|
|
||
|
|
|
Collateralized by Par Value $500
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/22
|
|
|
|
|
|
|
||||
|
507
|
|
|
Societe Generale
|
|
0.80%
|
|
10/17
|
|
507
|
|
||
|
|
|
Collateralized by Par Value $460
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/22
|
|
|
|
|
|
|
||||
|
504
|
|
|
JP Morgan Securities LLC
|
|
(5.25)%
|
|
10/17
|
|
504
|
|
||
|
|
|
Collateralized by Par Value $620
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/24
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
||||||||
|
$
|
489
|
|
|
RBC Capital Markets LLC
|
|
0.00%
|
|
10/17
|
|
$
|
489
|
|
|
|
|
Collateralized by Par Value $500
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 12/23
|
|
|
|
|
|
|
||||
|
456
|
|
|
CS First Boston
|
|
(7.00)%
|
|
10/17
|
|
456
|
|
||
|
|
|
Collateralized by Par Value $464
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/22
|
|
|
|
|
|
|
||||
|
249
|
|
|
Societe Generale
|
|
0.85%
|
|
10/17
|
|
249
|
|
||
|
|
|
Collateralized by Par Value $230
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 3/23
|
|
|
|
|
|
|
||||
|
248
|
|
|
Bank of America Securities
|
|
1.15%
|
|
10/17
|
|
248
|
|
||
|
|
|
Collateralized by Par Value $281
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Bond, Coupon 2.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 8/46
|
|
|
|
|
|
|
||||
|
243
|
|
|
Barclays Capital Inc
|
|
(1.75)%
|
|
10/17
|
|
243
|
|
||
|
|
|
Collateralized by Par Value $250
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/22
|
|
|
|
|
|
|
||||
|
124
|
|
|
Barclays Capital Inc
|
|
(5.25)%
|
|
10/17
|
|
124
|
|
||
|
|
|
Collateralized by Par Value $120
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 7.38%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 1/21
|
|
|
|
|
|
|
||||
|
70
|
|
|
RBC Capital Markets LLC
|
|
0.50%
|
|
10/17
|
|
70
|
|
||
|
|
|
Collateralized by Par Value $70
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 3.45%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/24
|
|
|
|
|
|
|
||||
|
44
|
|
|
Societe Generale
|
|
0.85%
|
|
10/17
|
|
44
|
|
||
|
|
|
Collateralized by Par Value $40
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 3/23
|
|
|
|
|
|
|
||||
|
Total Repurchase Agreements (Cost $194,265)
|
|
|
|
|
|
$
|
193,070
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Investments Sold Short (-107.29%) (a) (b)
|
|
|
|
|
|
|
||||||
|
TBA–Fixed Rate Agency Securities Sold Short (-74.71%) (p)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
$
|
(65,000
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
4.50%
|
|
11/17
|
|
$
|
(69,695
|
)
|
|
(64,000
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
4.00%
|
|
11/17
|
|
(67,280
|
)
|
||
|
(60,000
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
4.00%
|
|
11/17
|
|
(63,077
|
)
|
||
|
(45,188
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
3.50%
|
|
10/17
|
|
(46,588
|
)
|
||
|
(43,187
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
4.00%
|
|
10/17
|
|
(45,469
|
)
|
||
|
(35,730
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
4.50%
|
|
10/17
|
|
(38,352
|
)
|
||
|
(36,000
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
3.50%
|
|
11/17
|
|
(37,049
|
)
|
||
|
(23,467
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
4.00%
|
|
10/17
|
|
(24,705
|
)
|
||
|
(21,520
|
)
|
|
Federal National Mortgage Association (15 year)
|
|
3.00%
|
|
10/17
|
|
(22,113
|
)
|
||
|
(12,810
|
)
|
|
Government National Mortgage Association (30 year)
|
|
3.50%
|
|
10/17
|
|
(13,317
|
)
|
||
|
(6,860
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
5.50%
|
|
10/17
|
|
(7,591
|
)
|
||
|
(6,951
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
4.50%
|
|
10/17
|
|
(7,453
|
)
|
||
|
(7,112
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
3.00%
|
|
10/17
|
|
(7,135
|
)
|
||
|
(6,700
|
)
|
|
Federal National Mortgage Association (15 year)
|
|
3.50%
|
|
10/17
|
|
(6,978
|
)
|
||
|
(5,680
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
5.00%
|
|
10/17
|
|
(6,199
|
)
|
||
|
(5,515
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
3.00%
|
|
10/17
|
|
(5,532
|
)
|
||
|
(1,870
|
)
|
|
Federal Home Loan Mortgage Corporation (15 year)
|
|
3.50%
|
|
10/17
|
|
(1,954
|
)
|
||
|
Total TBA–Fixed Rate Agency Securities Sold Short
(Proceeds -$471,204)
|
|
|
|
|
|
(470,487
|
)
|
|||||
|
Government Debt Sold Short (-19.12%)
|
|
|
|
|
|
|
||||||
|
North America (-8.01%)
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
(30,501
|
)
|
|
U.S. Treasury Note
|
|
2.25%
|
|
2/27
|
|
(30,320
|
)
|
||
|
(6,560
|
)
|
|
U.S. Treasury Note
|
|
1.75%
|
|
5/22
|
|
(6,517
|
)
|
||
|
(5,633
|
)
|
|
U.S. Treasury Note
|
|
2.00%
|
|
11/26
|
|
(5,490
|
)
|
||
|
(4,715
|
)
|
|
U.S. Treasury Note
|
|
2.25%
|
|
8/27
|
|
(4,684
|
)
|
||
|
(1,869
|
)
|
|
U.S. Treasury Note
|
|
2.38%
|
|
2/27
|
|
(1,877
|
)
|
||
|
(1,350
|
)
|
|
U.S. Treasury Note
|
|
1.63%
|
|
8/22
|
|
(1,332
|
)
|
||
|
(281
|
)
|
|
U.S. Treasury Bond
|
|
2.25%
|
|
8/46
|
|
(247
|
)
|
||
|
Total North America (Proceeds -$50,523)
|
|
|
|
|
|
(50,467
|
)
|
|||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal/Number of Shares
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Europe (-11.11%)
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
$
|
(23,262
|
)
|
|
European Sovereign Bond
|
|
0.25% - 0.65%
|
|
11/20
|
|
$
|
(23,691
|
)
|
|
(16,260
|
)
|
|
Spanish Sovereign Bond
|
|
0.25%
|
|
4/18
|
|
(16,318
|
)
|
||
|
(10,285
|
)
|
|
Spanish Sovereign Bond
|
|
0.75%
|
|
7/21
|
|
(10,560
|
)
|
||
|
(9,328
|
)
|
|
Spanish Sovereign Bond
|
|
2.75%
|
|
4/19
|
|
(9,783
|
)
|
||
|
(9,254
|
)
|
|
Spanish Sovereign Bond
|
|
1.15%
|
|
7/20
|
|
(9,588
|
)
|
||
|
Total Europe (Proceeds -$66,592)
|
|
|
|
|
|
(69,940
|
)
|
|||||
|
Total Government Debt Sold Short (Proceeds -$117,115)
|
|
|
|
|
|
(120,407
|
)
|
|||||
|
Corporate Debt Sold Short (-11.21%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Basic Materials
|
|
|
|
|
|
|
||||||
|
(3,310
|
)
|
|
Various
|
|
3.75%
|
|
2/23
|
|
(3,365
|
)
|
||
|
Communications
|
|
|
|
|
|
|
||||||
|
(17,690
|
)
|
|
Various
|
|
4.25% - 10.50%
|
|
9/21 - 11/24
|
|
(17,529
|
)
|
||
|
Consumer
|
|
|
|
|
|
|
||||||
|
(23,600
|
)
|
|
Various
|
|
2.90% - 7.38%
|
|
4/19 - 5/26
|
|
(23,758
|
)
|
||
|
Energy
|
|
|
|
|
|
|
||||||
|
(21,490
|
)
|
|
Various
|
|
3.25% - 8.00%
|
|
4/22 - 6/27
|
|
(21,138
|
)
|
||
|
Financial
|
|
|
|
|
|
|
||||||
|
(3,440
|
)
|
|
Various
|
|
5.13% -5.25%
|
|
3/22 - 9/24
|
|
(3,653
|
)
|
||
|
Technology
|
|
|
|
|
|
|
||||||
|
(1,050
|
)
|
|
Various
|
|
6.38%
|
|
12/23
|
|
(1,124
|
)
|
||
|
Total Corporate Debt Sold Short (Proceeds -$70,082)
|
|
|
|
|
|
(70,567
|
)
|
|||||
|
Common Stock Sold Short (-2.25%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Energy
|
|
|
|
|
|
|
||||||
|
(13
|
)
|
|
Exchange-Traded Equity
|
|
|
|
|
|
(313
|
)
|
||
|
Financial
|
|
|
|
|
|
|
||||||
|
(379
|
)
|
|
Exchange-Traded Equity
|
|
|
|
|
|
(13,876
|
)
|
||
|
Total Common Stock Sold Short (Proceeds -$14,105)
|
|
|
|
|
|
(14,189
|
)
|
|||||
|
Total Investments Sold Short (Proceeds -$672,506)
|
|
|
|
|
|
$
|
(675,650
|
)
|
||||
|
|
Primary Risk
Exposure
|
|
Notional
Value
|
|
Range of
Expiration
Dates
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Financial Derivatives–Assets (4.75%) (a) (b)
|
|
|
|
|
|
|
|
||||
|
Swaps (4.60%)
|
|
|
|
|
|
|
|
||||
|
Long Swaps:
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bond Indices (q)
|
Credit
|
|
$
|
12,888
|
|
|
12/18 - 6/22
|
|
$
|
631
|
|
|
Interest Rate Swaps (r)
|
Interest Rates
|
|
273,926
|
|
|
12/17 - 1/45
|
|
2,762
|
|
||
|
Credit Default Swaps on Asset-Backed Indices (q)
|
Credit
|
|
1,141
|
|
|
12/37 - 11/59
|
|
10
|
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bonds (q)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
8,670
|
|
|
12/21 - 12/22
|
|
1,049
|
|
||
|
Communications
|
Credit
|
|
12,680
|
|
|
9/19 - 12/22
|
|
1,456
|
|
||
|
Consumer
|
Credit
|
|
29,935
|
|
|
3/19 - 12/22
|
|
2,118
|
|
||
|
Energy
|
Credit
|
|
8,520
|
|
|
6/19 - 6/22
|
|
82
|
|
||
|
Financial
|
Credit
|
|
3,940
|
|
|
12/21 - 6/22
|
|
691
|
|
||
|
Technology
|
Credit
|
|
1,030
|
|
|
6/22
|
|
153
|
|
||
|
Utilities
|
Credit
|
|
850
|
|
|
12/21
|
|
73
|
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
5,622
|
|
|||
|
Short Swaps:
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Indices (s)
|
Credit
|
|
(37,495
|
)
|
|
5/46 - 11/59
|
|
6,977
|
|
||
|
Interest Rate Swaps (t)
|
Interest Rates
|
|
(671,920
|
)
|
|
2/18 - 6/27
|
|
3,934
|
|
||
|
Interest Rate Swaps (z)
|
Interest Rates
|
|
(26,600
|
)
|
|
4/18 - 6/19
|
|
25
|
|
||
|
Total Return Swaps
|
|
|
|
|
|
|
|
||||
|
Financial (u)
|
Equity Market
|
|
(10,486
|
)
|
|
7/19
|
|
—
|
|
||
|
Total Total Return Swaps
|
|
|
|
|
|
|
—
|
|
|||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Securities (s)
|
|
|
|
|
|
|
|
||||
|
Mortgage-related—residential
|
Credit
|
|
(6,011
|
)
|
|
5/35 - 12/35
|
|
4,530
|
|
||
|
Total Credit Default Swaps on Asset-Backed Securities
|
|
|
|
|
|
|
4,530
|
|
|||
|
Credit Default Swaps on Corporate Bonds (s)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
(3,820
|
)
|
|
6/21 - 6/22
|
|
130
|
|
||
|
Communications
|
Credit
|
|
(18,240
|
)
|
|
12/17 - 6/22
|
|
2,533
|
|
||
|
Consumer
|
Credit
|
|
(5,620
|
)
|
|
12/21 - 6/22
|
|
172
|
|
||
|
Energy
|
Credit
|
|
(37,700
|
)
|
|
6/18 - 12/22
|
|
1,652
|
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
4,487
|
|
|||
|
Total Swaps (Net cost $40,941)
|
|
|
|
|
|
|
28,978
|
|
|||
|
Options (0.01%)
|
|
|
|
|
|
|
|
||||
|
Purchased Options:
|
|
|
|
|
|
|
|
||||
|
Interest Rate Caps (w)
|
Interest Rates
|
|
113,453
|
|
|
3/18 - 5/19
|
|
2
|
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Equity Call Options (y)
|
|
|
|
|
|
|
|
||||
|
Consumer
|
Equity Market
|
|
28
|
|
|
10/17 - 1/18
|
|
50
|
|
||
|
Total Options (Cost $100)
|
|
|
|
|
|
|
52
|
|
|||
|
|
|
|
|
|
|
|
|
||||
|
|
Primary Risk
Exposure
|
|
Notional
Value
|
|
Range of
Expiration
Dates
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Futures (0.02%)
|
|
|
|
|
|
|
|
||||
|
Short Futures
|
|
|
|
|
|
|
|
||||
|
U.S. Treasury Note Futures (x)
|
Interest Rates
|
|
$
|
(6,800
|
)
|
|
12/17
|
|
$
|
143
|
|
|
Total Futures
|
|
|
|
|
|
|
143
|
|
|||
|
Forwards (0.12%)
|
|
|
|
|
|
|
|
||||
|
Short Forwards:
|
|
|
|
|
|
|
|
||||
|
Currency Forwards (aa)
|
Currency
|
|
(64,613
|
)
|
|
12/17
|
|
723
|
|
||
|
Total Forwards
|
|
|
|
|
|
|
723
|
|
|||
|
Total Financial Derivatives–Assets (Net cost $41,041)
|
|
|
|
|
|
|
$
|
29,896
|
|
||
|
Financial Derivatives–Liabilities (-5.13%) (a) (b)
|
|
|
|
|
|
|
|
||||
|
Swaps (-5.12%)
|
|
|
|
|
|
|
|
||||
|
Long Swaps:
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Indices (q)
|
Credit
|
|
$
|
8,315
|
|
|
3/49 - 5/63
|
|
$
|
(1,495
|
)
|
|
Interest Rate Swaps (r)
|
Interest Rates
|
|
241,517
|
|
|
2/19 - 9/27
|
|
(3,826
|
)
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bonds (q)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
3,820
|
|
|
6/21 - 6/22
|
|
(130
|
)
|
||
|
Communications
|
Credit
|
|
15,665
|
|
|
12/17 - 12/22
|
|
(2,414
|
)
|
||
|
Consumer
|
Credit
|
|
11,306
|
|
|
6/20 - 6/22
|
|
(311
|
)
|
||
|
Energy
|
Credit
|
|
37,037
|
|
|
6/21 - 12/22
|
|
(2,610
|
)
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
(5,465
|
)
|
|||
|
Total Return Swaps
|
|
|
|
|
|
|
|
||||
|
Financial (u)
|
Equity Market
|
|
63
|
|
|
7/19
|
|
—
|
|
||
|
Total Total Return Swaps
|
|
|
|
|
|
|
—
|
|
|||
|
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
|
|
$
|
(256,696
|
)
|
|
12/17 - 12/45
|
|
$
|
(1,477
|
)
|
|
Credit Default Swaps on Corporate Bond Indices (s)
|
Credit
|
|
(261,060
|
)
|
|
12/18 - 6/22
|
|
(11,646
|
)
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Securities (s)
|
|
|
|
|
|
|
|
||||
|
Mortgage-related—residential
|
Credit
|
|
(3,000
|
)
|
|
3/35
|
|
(207
|
)
|
||
|
Total Credit Default Swaps on Asset-Backed Securities
|
|
|
|
|
|
|
(207
|
)
|
|||
|
Credit Default Swaps on Corporate Bonds (s)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
(12,210
|
)
|
|
6/19 - 12/22
|
|
(918
|
)
|
||
|
Communications
|
Credit
|
|
(23,380
|
)
|
|
12/17 - 12/22
|
|
(920
|
)
|
||
|
Consumer
|
Credit
|
|
(51,852
|
)
|
|
12/17 - 12/22
|
|
(3,690
|
)
|
||
|
Energy
|
Credit
|
|
(26,690
|
)
|
|
12/17 - 6/22
|
|
(465
|
)
|
||
|
Financial
|
Credit
|
|
(1,400
|
)
|
|
6/22
|
|
(277
|
)
|
||
|
Industrial
|
Credit
|
|
(4,410
|
)
|
|
6/21 - 12/21
|
|
(88
|
)
|
||
|
Technology
|
Credit
|
|
(4,640
|
)
|
|
6/19 - 12/22
|
|
(611
|
)
|
||
|
Utilities
|
Credit
|
|
(9,680
|
)
|
|
6/19 - 12/22
|
|
(1,169
|
)
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
(8,138
|
)
|
|||
|
Total Swaps (Net proceeds -$28,507)
|
|
|
|
|
|
|
(32,262
|
)
|
|||
|
Forwards (-0.01%)
|
|
|
|
|
|
|
|
||||
|
Short Forwards:
|
|
|
|
|
|
|
|
||||
|
Currency Forwards (aa)
|
Currency
|
|
(2,358
|
)
|
|
12/17
|
|
(16
|
)
|
||
|
Total Forwards
|
|
|
|
|
|
|
(16
|
)
|
|||
|
Total Financial Derivatives–Liabilities
(Net proceeds -$28,507)
|
|
|
|
|
|
|
$
|
(32,278
|
)
|
||
|
(a)
|
See Note 2 and Note 3 in Notes to Consolidated Financial Statements.
|
|
(b)
|
Classification percentages are based on Total Equity.
|
|
(c)
|
At September 30, 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
71.83%
,
41.27%
, and
35.73%
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 $29.8 million that were issued and are managed by related parties of the Company. See Note 7 to the Notes to the 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 7 to the Notes to the 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 September 30, 2017 loans for which the Company has beneficial interests in the net cash flows, totaled
$9.7 million
. See Note 7 to the Notes to the 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 September 30, 2017 loans held in the related party trust for which the Company has participating interests in the cash flows, totaled
$96.1 million
. See Note 7 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 7 to the Notes to Consolidated Financial Statements.
|
|
(j)
|
Includes non-performing commercial loans in the amount of
$6.6 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 September 30, 2017, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of
$5.0 million
.
|
|
(m)
|
Represents the Company's investment in a related party. See Note 7 to the Notes to the Consolidated Financial Statements.
|
|
(n)
|
In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.
|
|
(o)
|
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 7 to the Notes to Consolidated Financial Statements.
|
|
(p)
|
At September 30, 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
55.62%
,
16.98%
, and
2.11%
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 times 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 Notes underlying all contracts held; as of September 30, 2017,
68
contracts were held.
|
|
(y)
|
Notional value represents the number of common shares we have the option to purchase multiplied by the strike price.
|
|
(z)
|
The Company pays a floating rate and receives a floating rate.
|
|
(aa)
|
Notional value represents U.S. Dollars to be received by the Company at the maturity of the forward contract.
|
|
(ab)
|
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
|
|
148.83
|
%
|
|
A/A/A
|
|
0.05
|
%
|
|
Aaa/AAA/AAA
|
|
0.24
|
%
|
|
Baa/BBB/BBB
|
|
2.59
|
%
|
|
Ba/BB/BB or below
|
|
45.48
|
%
|
|
Unrated
|
|
81.73
|
%
|
|
Current Principal/Number of Shares
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
|||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
|||
|
Cash Equivalents—Money Market Funds (13.96%) (a) (b)
|
|
|
|
|
|
|
|||||
|
North America
|
|
|
|
|
|
|
|||||
|
Funds
|
|
|
|
|
|
|
|||||
|
50,000
|
|
|
BlackRock Liquidity Funds FedFund Portfolio, Institutional Class Shares
|
|
0.42%
|
|
|
|
$
|
50,000
|
|
|
40,000
|
|
|
Various
|
|
0.44% - 0.45%
|
|
|
|
40,000
|
|
|
|
Total Cash Equivalents—Money Market Funds (Cost $90,000)
|
|
|
|
|
|
$
|
90,000
|
|
|||
|
Long Investments (233.42%) (a) (b) (ad)
|
|
|
|
|
|
|
||||||
|
Mortgage-Backed Securities (168.25%)
|
|
|
|
|
|
|
||||||
|
Agency Securities (139.27%) (c)
|
|
|
|
|
|
|
||||||
|
Fixed Rate Agency Securities (134.44%)
|
|
|
|
|
|
|
||||||
|
Principal and Interest - Fixed Rate Agency Securities (121.61%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
$
|
147,479
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
4.00%
|
|
2/42 - 1/47
|
|
$
|
156,144
|
|
|
121,756
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
4.00%
|
|
8/43 - 1/47
|
|
128,798
|
|
||
|
67,681
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
4.50%
|
|
10/41 - 3/46
|
|
73,305
|
|
||
|
58,682
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
3.50%
|
|
3/43 - 1/47
|
|
60,451
|
|
||
|
51,402
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
3.50%
|
|
3/28 - 11/31
|
|
54,019
|
|
||
|
44,796
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
5.00%
|
|
10/35 - 12/44
|
|
49,062
|
|
||
|
40,722
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
4.50%
|
|
9/43 - 9/46
|
|
44,010
|
|
||
|
25,244
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
3.50%
|
|
1/42 - 1/47
|
|
25,993
|
|
||
|
21,855
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
4.00%
|
|
6/45 - 12/46
|
|
23,346
|
|
||
|
22,073
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
3.00%
|
|
4/30 - 1/32
|
|
22,730
|
|
||
|
10,504
|
|
|
Government National Mortgage Association Pools (Other)
|
|
4.60%
|
|
12/63 - 11/64
|
|
11,351
|
|
||
|
9,968
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
4.00%
|
|
6/26 - 5/31
|
|
10,596
|
|
||
|
10,120
|
|
|
Federal Home Loan Mortgage Corporation Pools (Other)
|
|
3.50%
|
|
2/30 - 9/46
|
|
10,379
|
|
||
|
9,219
|
|
|
Federal Home Loan Mortgage Corporation Pools (15 Year)
|
|
3.50%
|
|
9/28 - 9/30
|
|
9,686
|
|
||
|
6,714
|
|
|
Federal National Mortgage Association Pools (Other)
|
|
5.00%
|
|
9/43 - 1/44
|
|
7,408
|
|
||
|
6,568
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
4.50%
|
|
8/45 - 9/46
|
|
7,099
|
|
||
|
6,200
|
|
|
Government National Mortgage Association Pools (Other)
|
|
4.68%
|
|
11/63 - 9/64
|
|
6,703
|
|
||
|
6,231
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
3.50%
|
|
2/46 - 12/46
|
|
6,513
|
|
||
|
5,219
|
|
|
Government National Mortgage Association Pools (Other)
|
|
4.55%
|
|
1/65
|
|
5,648
|
|
||
|
4,942
|
|
|
Government National Mortgage Association Pools (Other)
|
|
4.44%
|
|
11/66
|
|
5,383
|
|
||
|
3,892
|
|
|
Government National Mortgage Association Pools (Other)
|
|
4.61%
|
|
11/64
|
|
4,216
|
|
||
|
3,619
|
|
|
Federal National Mortgage Association Pools (15 Year)
|
|
4.50%
|
|
4/26
|
|
3,905
|
|
||
|
3,518
|
|
|
Government National Mortgage Association Pools (Other)
|
|
4.42%
|
|
7/61
|
|
3,741
|
|
||
|
3,513
|
|
|
Government National Mortgage Association Pools (30 Year)
|
|
2.50%
|
|
10/46
|
|
3,414
|
|
||
|
3,123
|
|
|
Government National Mortgage Association Pools (Other)
|
|
4.48%
|
|
11/64
|
|
3,361
|
|
||
|
3,043
|
|
|
Government National Mortgage Association Pools (Other)
|
|
4.62%
|
|
10/64
|
|
3,303
|
|
||
|
2,896
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
5.50%
|
|
10/39
|
|
3,216
|
|
||
|
2,945
|
|
|
Government National Mortgage Association Pools (Other)
|
|
4.57%
|
|
1/65
|
|
3,186
|
|
||
|
3,030
|
|
|
Federal Home Loan Mortgage Corporation Pools (15 Year)
|
|
3.00%
|
|
4/30
|
|
3,119
|
|
||
|
Current Principal/Notional Value
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
||||||||
|
$
|
3,030
|
|
|
Federal Home Loan Mortgage Corporation Pools (Other)
|
|
3.00%
|
|
6/28 - 3/30
|
|
$
|
3,109
|
|
|
2,726
|
|
|
Federal Home Loan Mortgage Corporation Pools (Other)
|
|
4.50%
|
|
5/44
|
|
2,968
|
|
||
|
2,459
|
|
|
Government National Mortgage Association Pools (Other)
|
|
4.64%
|
|
3/65
|
|
2,672
|
|
||
|
2,433
|
|
|
Government National Mortgage Association Pools (Other)
|
|
5.49%
|
|
4/60
|
|
2,551
|
|
||
|
2,195
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
3.00%
|
|
1/42 - 6/45
|
|
2,193
|
|
||
|
2,043
|
|
|
Federal National Mortgage Association Pools (20 Year)
|
|
4.00%
|
|
12/33
|
|
2,172
|
|
||
|
1,943
|
|
|
Government National Mortgage Association Pools (Other)
|
|
4.63%
|
|
6/64
|
|
2,103
|
|
||
|
1,793
|
|
|
Federal National Mortgage Association Pools (30 Year)
|
|
6.00%
|
|
9/39 - 2/40
|
|
2,049
|
|
||
|
1,916
|
|
|
Government National Mortgage Association Pools (Other)
|
|
5.51%
|
|
2/60
|
|
2,016
|
|
||
|
1,734
|
|
|
Federal Home Loan Mortgage Corporation Pools (15 Year)
|
|
4.00%
|
|
2/29
|
|
1,842
|
|
||
|
1,675
|
|
|
Government National Mortgage Association Pools (Other)
|
|
5.57%
|
|
2/60
|
|
1,756
|
|
||
|
1,689
|
|
|
Government National Mortgage Association Pools (Other)
|
|
3.00%
|
|
5/30 - 6/30
|
|
1,694
|
|
||
|
1,369
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
6.00%
|
|
4/39 - 5/40
|
|
1,553
|
|
||
|
1,523
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
3.00%
|
|
7/43 - 10/45
|
|
1,518
|
|
||
|
1,275
|
|
|
Federal National Mortgage Association Pools (Other)
|
|
3.00%
|
|
6/43
|
|
1,258
|
|
||
|
1,156
|
|
|
Federal Home Loan Mortgage Corporation Pools (20 Year)
|
|
4.50%
|
|
12/33
|
|
1,254
|
|
||
|
496
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
5.50%
|
|
8/33
|
|
551
|
|
||
|
498
|
|
|
Federal Home Loan Mortgage Corporation Pools (30 Year)
|
|
5.00%
|
|
7/44
|
|
543
|
|
||
|
165
|
|
|
Government National Mortgage Association Pools (Other)
|
|
3.50%
|
|
10/30
|
|
168
|
|
||
|
75
|
|
|
Federal National Mortgage Association Pools (Other)
|
|
4.00%
|
|
6/37
|
|
77
|
|
||
|
|
|
|
|
|
|
|
|
784,132
|
|
|||
|
Interest Only - Fixed Rate Agency Securities (1.89%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
26,883
|
|
|
Government National Mortgage Association
|
|
4.00%
|
|
2/45 - 6/45
|
|
4,547
|
|
||
|
9,820
|
|
|
Federal National Mortgage Association
|
|
4.50%
|
|
12/20 - 6/44
|
|
1,414
|
|
||
|
6,303
|
|
|
Government National Mortgage Association
|
|
5.50%
|
|
11/43
|
|
1,137
|
|
||
|
5,099
|
|
|
Federal Home Loan Mortgage Corporation
|
|
3.50%
|
|
12/32
|
|
808
|
|
||
|
6,695
|
|
|
Federal National Mortgage Association
|
|
5.00%
|
|
1/38 - 5/40
|
|
806
|
|
||
|
5,354
|
|
|
Federal National Mortgage Association
|
|
4.00%
|
|
5/39 - 11/43
|
|
648
|
|
||
|
3,844
|
|
|
Government National Mortgage Association
|
|
4.50%
|
|
2/41
|
|
615
|
|
||
|
2,661
|
|
|
Federal National Mortgage Association
|
|
6.00%
|
|
1/40
|
|
512
|
|
||
|
81,664
|
|
|
Government National Mortgage Association
|
|
0.26%
|
|
6/40
|
|
472
|
|
||
|
3,167
|
|
|
Federal National Mortgage Association
|
|
3.00%
|
|
9/41
|
|
321
|
|
||
|
1,123
|
|
|
Government National Mortgage Association
|
|
6.00%
|
|
6/38
|
|
263
|
|
||
|
1,396
|
|
|
Government National Mortgage Association
|
|
4.75%
|
|
7/40
|
|
253
|
|
||
|
1,201
|
|
|
Federal National Mortgage Association
|
|
5.50%
|
|
10/40
|
|
163
|
|
||
|
2,289
|
|
|
Government National Mortgage Association
|
|
5.00%
|
|
5/37
|
|
151
|
|
||
|
763
|
|
|
Federal Home Loan Mortgage Corporation
|
|
5.50%
|
|
1/39
|
|
79
|
|
||
|
|
|
|
|
|
|
|
|
12,189
|
|
|||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal/Notional Value
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
TBA - Fixed Rate Agency Securities (10.94%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
$
|
28,560
|
|
|
Federal Home Loan Mortgage Corporation (30 Year)
|
|
3.50%
|
|
1/17
|
|
$
|
29,247
|
|
|
24,540
|
|
|
Government National Mortgage Association (30 Year)
|
|
4.00%
|
|
1/17
|
|
26,047
|
|
||
|
14,620
|
|
|
Federal National Mortgage Association (15 Year)
|
|
3.50%
|
|
1/17
|
|
15,231
|
|
||
|
|
|
|
|
|
|
|
|
70,525
|
|
|||
|
Total Fixed Rate Agency Securities (Cost $869,071)
|
|
|
|
|
|
866,846
|
|
|||||
|
Floating Rate Agency Securities (4.83%)
|
|
|
|
|
|
|
||||||
|
Principal and Interest - Floating Rate Agency Securities (2.12%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
5,876
|
|
|
Federal National Mortgage Association Pools
|
|
2.55% - 5.94%
|
|
9/35 - 5/45
|
|
6,129
|
|
||
|
5,122
|
|
|
Federal Home Loan Mortgage Corporation Pools
|
|
3.12% - 5.97%
|
|
6/37 - 5/44
|
|
5,328
|
|
||
|
2,097
|
|
|
Government National Mortgage Association Pools
|
|
2.89%
|
|
11/64
|
|
2,231
|
|
||
|
|
|
|
|
|
|
|
|
13,688
|
|
|||
|
Interest Only - Floating Rate Agency Securities (2.71%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
228,955
|
|
|
Other Government National Mortgage Association
|
|
0.40% - 6.09%
|
|
5/37 - 11/64
|
|
13,831
|
|
||
|
12,928
|
|
|
Other Federal National Mortgage Association
|
|
5.39% - 6.79%
|
|
6/33 - 12/41
|
|
1,867
|
|
||
|
15,902
|
|
|
Resecuritization of Government National Mortgage Association (d)
|
|
3.95%
|
|
8/60
|
|
870
|
|
||
|
5,182
|
|
|
Other Federal Home Loan Mortgage Corporation
|
|
5.30% - 5.93%
|
|
3/36 - 8/39
|
|
865
|
|
||
|
|
|
|
|
|
|
|
|
17,433
|
|
|||
|
Total Floating Rate Agency Securities (Cost $31,069)
|
|
|
|
|
|
31,121
|
|
|||||
|
Total Agency Securities (Cost $900,140)
|
|
|
|
|
|
897,967
|
|
|||||
|
Private Label Securities (28.98%)
|
|
|
|
|
|
|
||||||
|
Principal and Interest - Private Label Securities (28.17%)
|
|
|
|
|
|
|
||||||
|
North America (20.48%)
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
233,890
|
|
|
Various
|
|
0.00% - 9.35%
|
|
5/19 - 9/46
|
|
101,737
|
|
||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
119,636
|
|
|
Various
|
|
2.31% - 4.41%
|
|
7/45 - 12/49
|
|
30,334
|
|
||
|
Total North America (Cost $125,106)
|
|
|
|
|
|
132,071
|
|
|||||
|
Europe (7.69%)
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
63,244
|
|
|
Various
|
|
0.00% - 5.15%
|
|
6/25 - 3/40
|
|
40,898
|
|
||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
9,361
|
|
|
Various
|
|
0.00% - 11.00%
|
|
6/17 - 2/39
|
|
8,680
|
|
||
|
Total Europe (Cost $59,311)
|
|
|
|
|
|
49,578
|
|
|||||
|
Total Principal and Interest - Private Label Securities (Cost $184,417)
|
|
|
|
|
|
181,649
|
|
|||||
|
|
|
|
|
|
|
|
||||||
|
Current Principal/Notional Value
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Interest Only - Private Label Securities (0.81%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
$
|
36,498
|
|
|
Various
|
|
0.50% - 2.00%
|
|
6/44 - 9/47
|
|
$
|
973
|
|
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
72,535
|
|
|
Various
|
|
1.25% - 2.71%
|
|
10/47 - 12/49
|
|
4,254
|
|
||
|
Total Interest Only - Private Label Securities (Cost $4,963)
|
|
|
|
|
|
5,227
|
|
|||||
|
Other Private Label Securities (0.00%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
90,639
|
|
|
Various
|
|
—%
|
|
6/37
|
|
—
|
|
||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
—
|
|
|
Various
|
|
—%
|
|
7/45 - 12/49
|
|
—
|
|
||
|
Total Other Private Label Securities (Cost $245)
|
|
|
|
|
|
—
|
|
|||||
|
Total Private Label Securities (Cost $189,625)
|
|
|
|
|
|
186,876
|
|
|||||
|
Total Mortgage-Backed Securities (Cost $1,089,765)
|
|
|
|
|
|
1,084,843
|
|
|||||
|
Collateralized Loan Obligations (6.97%)
|
|
|
|
|
|
|
||||||
|
North America (3.49%)
|
|
|
|
|
|
|
||||||
|
69,917
|
|
|
Various
|
|
0.00% - 7.88%
|
|
11/17 - 6/24
|
|
22,519
|
|
||
|
Total North America (Cost $25,860)
|
|
|
|
|
|
22,519
|
|
|||||
|
Europe (3.48%)
|
|
|
|
|
|
|
||||||
|
28,053
|
|
|
Various
|
|
0.00% - 3.84%
|
|
1/22 - 3/25
|
|
22,437
|
|
||
|
Total Europe (Cost $23,227)
|
|
|
|
|
|
22,437
|
|
|||||
|
Total Collateralized Loan Obligations (Cost $49,087)
|
|
|
|
|
|
44,956
|
|
|||||
|
Consumer Loans and Asset-backed Securities backed by Consumer Loans (16.62%) (e) (af)
|
|
|
|
|
|
|
||||||
|
North America (16.15%)
|
|
|
|
|
|
|
||||||
|
Consumer (f) (g)
|
|
|
|
|
|
|
||||||
|
103,026
|
|
|
Various
|
|
5.31% - 60.28%
|
|
1/17 - 12/21
|
|
104,108
|
|
||
|
Total North America (Cost $108,982)
|
|
|
|
|
|
104,108
|
|
|||||
|
Europe (0.47%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
3,449
|
|
|
Various
|
|
—%
|
|
8/24 - 3/26
|
|
3,049
|
|
||
|
Total Europe (Cost $2,133)
|
|
|
|
|
|
3,049
|
|
|||||
|
Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $111,115)
|
|
|
|
|
|
107,157
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal/Number of Properties
|
|
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
||||
|
Corporate Debt (12.42%)
|
|
|
|
|
|
|
||||||
|
North America (12.13%)
|
|
|
|
|
|
|
||||||
|
Communications
|
|
|
|
|
|
|
||||||
|
$
|
9,381
|
|
|
Various
|
|
6.75% - 9.07%
|
|
4/18 - 12/22
|
|
$
|
9,489
|
|
|
Consumer
|
|
|
|
|
|
|
||||||
|
22,991
|
|
|
Various
|
|
3.85% - 11.00%
|
|
5/17 - 5/25
|
|
24,187
|
|
||
|
Energy
|
|
|
|
|
|
|
||||||
|
16,170
|
|
|
Various
|
|
6.38% - 9.63%
|
|
3/19 - 2/23
|
|
16,951
|
|
||
|
Industrial
|
|
|
|
|
|
|
||||||
|
12,470
|
|
|
Various
|
|
3.75% - 7.75%
|
|
5/19 - 12/22
|
|
12,709
|
|
||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
10,500
|
|
|
Various
|
|
15.00%
|
|
10/19
|
|
9,975
|
|
||
|
Technology
|
|
|
|
|
|
|
||||||
|
3,827
|
|
|
Various
|
|
6.13% - 7.50%
|
|
3/20 - 8/22
|
|
3,937
|
|
||
|
Utilities
|
|
|
|
|
|
|
||||||
|
840
|
|
|
Various
|
|
7.38%
|
|
7/21
|
|
939
|
|
||
|
Total North America (Cost $78,482)
|
|
|
|
|
|
78,187
|
|
|||||
|
Europe (0.29%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
17,618
|
|
|
Various
|
|
—%
|
|
12/17 - 12/18
|
|
380
|
|
||
|
Industrial
|
|
|
|
|
|
|
||||||
|
1,867
|
|
|
Various
|
|
6.50%
|
|
3/21
|
|
1,528
|
|
||
|
Total Europe (Cost $2,554)
|
|
|
|
|
|
1,908
|
|
|||||
|
Total Corporate Debt (Cost $81,036)
|
|
|
|
|
|
80,095
|
|
|||||
|
Mortgage Loans (22.55%) (e)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Commercial (i)
|
|
|
|
|
|
|
||||||
|
71,020
|
|
|
Various
|
|
2.73% - 12.12%
|
|
6/17 - 10/37
|
|
61,129
|
|
||
|
Mortgage-related—Residential (k)
|
|
|
|
|
|
|
||||||
|
89,658
|
|
|
Various
|
|
2.00% - 12.63%
|
|
4/22 - 7/57
|
|
84,290
|
|
||
|
Total Mortgage Loans (Cost $148,173)
|
|
|
|
|
|
145,419
|
|
|||||
|
Real Estate Owned (0.52%) (e) (j)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Real estate-related
|
|
|
|
|
|
|
||||||
|
9
|
|
|
Single-Family Houses
|
|
|
|
|
|
1,699
|
|
||
|
1
|
|
|
Commercial Property
|
|
|
|
|
|
1,650
|
|
||
|
Total Real Estate Owned (Cost $3,539)
|
|
|
|
|
|
3,349
|
|
|||||
|
|
|
|
|
|
|
|
||||||
|
Current Principal/Number of Shares
|
|
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
||||
|
Corporate Equity Investments (5.25%) (af)
|
|
|
|
|
|
|
||||||
|
North America (5.25%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
n/a
|
|
|
Non-Controlling Equity Interest in Limited Liability Company (h)
|
|
|
|
|
|
$
|
7,315
|
|
|
|
1,557
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
825
|
|
||
|
Diversified
|
|
|
|
|
|
|
||||||
|
191
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
3,162
|
|
||
|
Financial
|
|
|
|
|
|
|
||||||
|
51
|
|
|
Exchange Traded Equity
|
|
|
|
|
|
4,396
|
|
||
|
Mortgage-related—Commercial
|
|
|
|
|
|
|
||||||
|
n/a
|
|
|
Non-Controlling Interest in Mortgage-Related Private Partnership
|
|
|
|
|
|
3,090
|
|
||
|
Mortgage-related—Residential (ae)
|
|
|
|
|
|
|
||||||
|
1,838
|
|
|
Non-Exchange Traded Preferred Equity Investment in Mortgage Originators
|
|
|
|
|
|
14,325
|
|
||
|
6,750
|
|
|
Non-Exchange Traded Common Equity Investment in Mortgage Originators
|
|
|
|
|
|
675
|
|
||
|
Total North America (Cost $37,360)
|
|
|
|
|
|
33,788
|
|
|||||
|
Europe (0.00%)
|
|
|
|
|
|
|
||||||
|
Consumer
|
|
|
|
|
|
|
||||||
|
125
|
|
|
Non-Exchange Traded Corporate Equity
|
|
|
|
|
|
—
|
|
||
|
Total Europe (Cost $0)
|
|
|
|
|
|
—
|
|
|||||
|
Total Corporate Equity Investments (Cost $37,360)
|
|
|
|
|
|
33,788
|
|
|||||
|
U.S. Treasury Securities (0.84%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
$
|
5,620
|
|
|
U.S. Treasury Note
|
|
1.13% - 1.63%
|
|
5/21 - 5/26
|
|
5,419
|
|
|
|
Total U.S. Treasury Securities (Cost $5,635)
|
|
|
|
|
|
5,419
|
|
|||||
|
Total Long Investments (Cost $1,525,710)
|
|
|
|
|
|
$
|
1,505,026
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Repurchase Agreements (28.66%) (a) (b) (l)
|
|
|
|
|
|
|
||||||
|
$
|
46,749
|
|
|
JP Morgan Securities LLC
|
|
(1.15)%
|
|
1/17
|
|
$
|
46,749
|
|
|
|
|
Collateralized by Par Value $48,133
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 2.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/26
|
|
|
|
|
|
|
||||
|
14,900
|
|
|
JP Morgan Securities LLC
|
|
(0.89)%
|
|
1/17
|
|
14,900
|
|
||
|
|
|
Collateralized by Par Value $14,507
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/18
|
|
|
|
|
|
|
||||
|
12,912
|
|
|
JP Morgan Securities LLC
|
|
(1.10)%
|
|
1/17
|
|
12,912
|
|
||
|
|
|
Collateralized by Par Value $12,498
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/20
|
|
|
|
|
|
|
||||
|
11,324
|
|
|
JP Morgan Securities LLC
|
|
(0.30)%
|
|
1/17
|
|
11,324
|
|
||
|
|
|
Collateralized by Par Value $12,160
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 1.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 8/26
|
|
|
|
|
|
|
||||
|
9,494
|
|
|
JP Morgan Securities LLC
|
|
(0.89)%
|
|
1/17
|
|
9,494
|
|
||
|
|
|
Collateralized by Par Value $9,176
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/21
|
|
|
|
|
|
|
||||
|
9,165
|
|
|
JP Morgan Securities LLC
|
|
(0.80)%
|
|
1/17
|
|
9,165
|
|
||
|
|
|
Collateralized by Par Value $8,322
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 2.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/19
|
|
|
|
|
|
|
||||
|
8,725
|
|
|
JP Morgan Securities LLC
|
|
(0.81)%
|
|
1/17
|
|
8,725
|
|
||
|
|
|
Collateralized by Par Value $8,257
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 1.15%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/20
|
|
|
|
|
|
|
||||
|
8,447
|
|
|
JP Morgan Securities LLC
|
|
(0.95)%
|
|
1/17
|
|
8,447
|
|
||
|
|
|
Collateralized by Par Value $8,257
|
|
|
|
|
|
|
||||
|
|
|
Sovereign Government Bond, Coupon 0.65%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/20
|
|
|
|
|
|
|
||||
|
6,166
|
|
|
CILO 2016-LD1 Holdings LLC (m)
|
|
2.90%
|
|
2/17
|
|
6,166
|
|
||
|
|
|
Collateralized by Par Value $9,512
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Debt, Coupon 5.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/22
|
|
|
|
|
|
|
||||
|
5,827
|
|
|
RBC Capital Markets LLC
|
|
(0.35)%
|
|
1/17
|
|
5,827
|
|
||
|
|
|
Collateralized by Par Value $6,300
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 9/21
|
|
|
|
|
|
|
||||
|
4,691
|
|
|
Bank of America Securities
|
|
(3.00)%
|
|
1/17
|
|
4,691
|
|
||
|
|
|
Collateralized by Par Value $4,726
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 1.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/21
|
|
|
|
|
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
|
|
|
|
||||
|
$
|
3,274
|
|
|
RBC Capital Markets LLC
|
|
0.30%
|
|
1/17
|
|
$
|
3,274
|
|
|
|
|
Collateralized by Par Value $3,274
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/22
|
|
|
|
|
|
|
||||
|
3,147
|
|
|
RBC Capital Markets LLC
|
|
(1.00)%
|
|
1/17
|
|
3,147
|
|
||
|
|
|
Collateralized by Par Value $3,100
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 8.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 1/25
|
|
|
|
|
|
|
||||
|
3,125
|
|
|
Bank of America Securities
|
|
0.10%
|
|
1/17
|
|
3,125
|
|
||
|
|
|
Collateralized by Par Value $3,230
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 1.13%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 8/21
|
|
|
|
|
|
|
||||
|
3,006
|
|
|
Barclays Capital Inc
|
|
(0.50)%
|
|
1/17
|
|
3,006
|
|
||
|
|
|
Collateralized by Par Value $3,050
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/21
|
|
|
|
|
|
|
||||
|
2,774
|
|
|
RBC Capital Markets LLC
|
|
(4.50)%
|
|
1/17
|
|
2,774
|
|
||
|
|
|
Collateralized by Par Value $3,032
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/22
|
|
|
|
|
|
|
||||
|
2,534
|
|
|
Societe Generale
|
|
(0.50)%
|
|
1/17
|
|
2,534
|
|
||
|
|
|
Collateralized by Par Value $2,532
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/21
|
|
|
|
|
|
|
||||
|
2,232
|
|
|
JP Morgan Securities LLC
|
|
(2.50)%
|
|
1/17
|
|
2,232
|
|
||
|
|
|
Collateralized by Par Value $2,090
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/22
|
|
|
|
|
|
|
||||
|
1,899
|
|
|
Bank of America Securities
|
|
0.10%
|
|
1/17
|
|
1,899
|
|
||
|
|
|
Collateralized by Par Value $1,968
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 1.13%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 9/21
|
|
|
|
|
|
|
||||
|
1,777
|
|
|
Barclays Capital Inc
|
|
(2.25)%
|
|
1/17
|
|
1,777
|
|
||
|
|
|
Collateralized by Par Value $1,864
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/22
|
|
|
|
|
|
|
||||
|
1,573
|
|
|
RBC Capital Markets LLC
|
|
(1.50)%
|
|
1/17
|
|
1,573
|
|
||
|
|
|
Collateralized by Par Value $1,550
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 8.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 1/25
|
|
|
|
|
|
|
||||
|
1,503
|
|
|
JP Morgan Securities LLC
|
|
(2.50)%
|
|
1/17
|
|
1,503
|
|
||
|
|
|
Collateralized by Par Value $1,556
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/22
|
|
|
|
|
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
|
|
|
|
||||
|
$
|
1,435
|
|
|
RBC Capital Markets LLC
|
|
0.30%
|
|
1/17
|
|
$
|
1,435
|
|
|
|
|
Collateralized by Par Value $1,560
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 3.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 3/23
|
|
|
|
|
|
|
||||
|
1,369
|
|
|
Societe Generale
|
|
0.35%
|
|
1/17
|
|
1,369
|
|
||
|
|
|
Collateralized by Par Value $1,240
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 9.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/21
|
|
|
|
|
|
|
||||
|
1,281
|
|
|
Bank of America Securities
|
|
0.25%
|
|
1/17
|
|
1,281
|
|
||
|
|
|
Collateralized by Par Value $1,305
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 1.38%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/21
|
|
|
|
|
|
|
||||
|
1,214
|
|
|
RBC Capital Markets LLC
|
|
0.25%
|
|
1/17
|
|
1,214
|
|
||
|
|
|
Collateralized by Par Value $1,190
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 3.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 1/22
|
|
|
|
|
|
|
||||
|
1,147
|
|
|
RBC Capital Markets LLC
|
|
(1.75)%
|
|
1/17
|
|
1,147
|
|
||
|
|
|
Collateralized by Par Value $1,300
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/24
|
|
|
|
|
|
|
||||
|
1,119
|
|
|
RBC Capital Markets LLC
|
|
0.30%
|
|
1/17
|
|
1,119
|
|
||
|
|
|
Collateralized by Par Value $1,130
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.13%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 2/22
|
|
|
|
|
|
|
||||
|
975
|
|
|
JP Morgan Securities LLC
|
|
(0.65)%
|
|
1/17
|
|
975
|
|
||
|
|
|
Collateralized by Par Value $1,008
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/21
|
|
|
|
|
|
|
||||
|
909
|
|
|
Societe Generale
|
|
0.35%
|
|
1/17
|
|
909
|
|
||
|
|
|
Collateralized by Par Value $850
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 3.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 1/22
|
|
|
|
|
|
|
||||
|
817
|
|
|
JP Morgan Securities LLC
|
|
(0.50)%
|
|
1/17
|
|
817
|
|
||
|
|
|
Collateralized by Par Value $840
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/21
|
|
|
|
|
|
|
||||
|
795
|
|
|
RBC Capital Markets LLC
|
|
(2.50)%
|
|
1/17
|
|
795
|
|
||
|
|
|
Collateralized by Par Value $780
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/22
|
|
|
|
|
|
|
||||
|
780
|
|
|
JP Morgan Securities LLC
|
|
(2.80)%
|
|
1/17
|
|
780
|
|
||
|
|
|
Collateralized by Par Value $800
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 1.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/21
|
|
|
|
|
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
|
|
|
|
||||
|
$
|
760
|
|
|
Barclays Capital Inc
|
|
(4.75)%
|
|
1/17
|
|
$
|
760
|
|
|
|
|
Collateralized by Par Value $819
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/22
|
|
|
|
|
|
|
||||
|
674
|
|
|
RBC Capital Markets LLC
|
|
0.30%
|
|
1/17
|
|
674
|
|
||
|
|
|
Collateralized by Par Value $650
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 9/22
|
|
|
|
|
|
|
||||
|
673
|
|
|
RBC Capital Markets LLC
|
|
0.30%
|
|
1/17
|
|
673
|
|
||
|
|
|
Collateralized by Par Value $620
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.38%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 4/26
|
|
|
|
|
|
|
||||
|
671
|
|
|
RBC Capital Markets LLC
|
|
0.30%
|
|
1/17
|
|
671
|
|
||
|
|
|
Collateralized by Par Value $620
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.88%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 5/23
|
|
|
|
|
|
|
||||
|
587
|
|
|
JP Morgan Securities LLC
|
|
(1.50)%
|
|
1/17
|
|
587
|
|
||
|
|
|
Collateralized by Par Value $620
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.50%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/24
|
|
|
|
|
|
|
||||
|
566
|
|
|
JP Morgan Securities LLC
|
|
(0.35)%
|
|
1/17
|
|
566
|
|
||
|
|
|
Collateralized by Par Value $570
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/21
|
|
|
|
|
|
|
||||
|
562
|
|
|
Barclays Capital Inc
|
|
(0.10)%
|
|
1/17
|
|
562
|
|
||
|
|
|
Collateralized by Par Value $550
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 2.40%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 12/22
|
|
|
|
|
|
|
||||
|
545
|
|
|
RBC Capital Markets LLC
|
|
(0.38)%
|
|
1/17
|
|
545
|
|
||
|
|
|
Collateralized by Par Value $560
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 4.00%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/21
|
|
|
|
|
|
|
||||
|
543
|
|
|
JP Morgan Securities LLC
|
|
(0.35)%
|
|
1/17
|
|
543
|
|
||
|
|
|
Collateralized by Par Value $560
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 6.25%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 9/21
|
|
|
|
|
|
|
||||
|
533
|
|
|
Bank of America Securities
|
|
0.60%
|
|
1/17
|
|
533
|
|
||
|
|
|
Collateralized by Par Value $549
|
|
|
|
|
|
|
||||
|
|
|
U.S. Treasury Note, Coupon 1.13%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 7/21
|
|
|
|
|
|
|
||||
|
520
|
|
|
RBC Capital Markets LLC
|
|
0.30%
|
|
1/17
|
|
520
|
|
||
|
|
|
Collateralized by Par Value $500
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/22
|
|
|
|
|
|
|
||||
|
Current Principal
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
(continued)
|
|
|
|
|
|
|
|
|
||||
|
$
|
449
|
|
|
RBC Capital Markets LLC
|
|
0.30%
|
|
1/17
|
|
$
|
449
|
|
|
|
|
Collateralized by Par Value $430
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.13%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 10/21
|
|
|
|
|
|
|
||||
|
373
|
|
|
RBC Capital Markets LLC
|
|
0.30%
|
|
1/17
|
|
373
|
|
||
|
|
|
Collateralized by Par Value $360
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 5.13%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 11/23
|
|
|
|
|
|
|
||||
|
278
|
|
|
RBC Capital Markets LLC
|
|
(7.00)%
|
|
1/17
|
|
278
|
|
||
|
|
|
Collateralized by Par Value $270
|
|
|
|
|
|
|
||||
|
|
|
Exchange-Traded Corporate Debt, Coupon 7.75%,
|
|
|
|
|
|
|
||||
|
|
|
Maturity Date 6/21
|
|
|
|
|
|
|
||||
|
Total Repurchase Agreements (Cost $185,205)
|
|
|
|
|
|
$
|
184,819
|
|
||||
|
Investments Sold Short (-90.71%) (a) (b)
|
|
|
|
|
|
|
||||||
|
TBA - Fixed Rate Agency Securities Sold Short (-62.77%) (n)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Mortgage-related—Residential
|
|
|
|
|
|
|
||||||
|
$
|
(87,767
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
4.00%
|
|
1/17
|
|
$
|
(92,210
|
)
|
|
(50,930
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
4.50%
|
|
1/17
|
|
(54,748
|
)
|
||
|
(31,620
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
5.00%
|
|
1/17
|
|
(34,426
|
)
|
||
|
(26,000
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
4.00%
|
|
2/17
|
|
(27,295
|
)
|
||
|
(24,352
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
3.50%
|
|
1/17
|
|
(24,960
|
)
|
||
|
(23,151
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
4.50%
|
|
1/17
|
|
(24,840
|
)
|
||
|
(21,940
|
)
|
|
Government National Mortgage Association (30 year)
|
|
3.50%
|
|
1/17
|
|
(22,819
|
)
|
||
|
(20,558
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
4.00%
|
|
1/17
|
|
(21,611
|
)
|
||
|
(20,740
|
)
|
|
Federal National Mortgage Association (15 year)
|
|
3.00%
|
|
1/17
|
|
(21,285
|
)
|
||
|
(15,770
|
)
|
|
Government National Mortgage Association (30 year)
|
|
4.50%
|
|
1/17
|
|
(17,058
|
)
|
||
|
(13,510
|
)
|
|
Federal Home Loan Mortgage Corporation (15 year)
|
|
3.00%
|
|
1/17
|
|
(13,869
|
)
|
||
|
(11,170
|
)
|
|
Federal National Mortgage Association (15 year)
|
|
4.00%
|
|
1/17
|
|
(11,494
|
)
|
||
|
(8,790
|
)
|
|
Federal Home Loan Mortgage Corporation (15 year)
|
|
3.50%
|
|
1/17
|
|
(9,169
|
)
|
||
|
(6,860
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
5.50%
|
|
1/17
|
|
(7,622
|
)
|
||
|
(6,500
|
)
|
|
Government National Mortgage Association (30 year)
|
|
3.00%
|
|
1/17
|
|
(6,568
|
)
|
||
|
(4,612
|
)
|
|
Federal National Mortgage Association (30 year)
|
|
3.00%
|
|
1/17
|
|
(4,584
|
)
|
||
|
(3,155
|
)
|
|
Federal Home Loan Mortgage Corporation (30 year)
|
|
3.00%
|
|
1/17
|
|
(3,134
|
)
|
||
|
(2,530
|
)
|
|
Federal National Mortgage Association (15 year)
|
|
3.50%
|
|
2/17
|
|
(2,633
|
)
|
||
|
(2,500
|
)
|
|
Government National Mortgage Association (30 year)
|
|
3.50%
|
|
2/17
|
|
(2,597
|
)
|
||
|
(1,700
|
)
|
|
Government National Mortgage Association (30 year)
|
|
4.00%
|
|
1/17
|
|
(1,806
|
)
|
||
|
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$404,967)
|
|
|
|
(404,728
|
)
|
|||||||
|
|
|
|
|
|
|
|
|
|
||||
|
Current Principal/Number of Shares
|
|
Description
|
|
Rate
|
|
Maturity
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars
|
||||
|
Government Debt Sold Short (-20.54%)
|
|
|
|
|
||||||||
|
North America (-10.82%)
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
$
|
(48,133
|
)
|
|
U.S. Treasury Note
|
|
2.00%
|
|
11/26
|
|
$
|
(46,287
|
)
|
|
(12,160
|
)
|
|
U.S. Treasury Note
|
|
1.50%
|
|
8/26
|
|
(11,179
|
)
|
||
|
(4,726
|
)
|
|
U.S. Treasury Note
|
|
1.75%
|
|
11/21
|
|
(4,690
|
)
|
||
|
(3,230
|
)
|
|
U.S. Treasury Note
|
|
1.13%
|
|
8/21
|
|
(3,121
|
)
|
||
|
(1,968
|
)
|
|
U.S. Treasury Note
|
|
1.13%
|
|
9/21
|
|
(1,898
|
)
|
||
|
(1,305
|
)
|
|
U.S. Treasury Note
|
|
1.38%
|
|
4/21
|
|
(1,280
|
)
|
||
|
(800
|
)
|
|
U.S. Treasury Note
|
|
1.25%
|
|
10/21
|
|
(776
|
)
|
||
|
(549
|
)
|
|
U.S. Treasury Note
|
|
1.13%
|
|
7/21
|
|
(531
|
)
|
||
|
Total North America (Proceeds -$69,946)
|
|
|
|
|
|
(69,762
|
)
|
|||||
|
Europe (-9.72%)
|
|
|
|
|
|
|
||||||
|
Government
|
|
|
|
|
|
|
||||||
|
(20,754
|
)
|
|
European Sovereign Bond
|
|
0.25% - 0.65%
|
|
11/20
|
|
(21,219
|
)
|
||
|
(14,507
|
)
|
|
Spanish Sovereign Bond
|
|
0.25%
|
|
4/18
|
|
(14,614
|
)
|
||
|
(9,176
|
)
|
|
Spanish Sovereign Bond
|
|
0.75%
|
|
7/21
|
|
(9,379
|
)
|
||
|
(8,322
|
)
|
|
Spanish Sovereign Bond
|
|
2.75%
|
|
4/19
|
|
(8,888
|
)
|
||
|
(8,257
|
)
|
|
Spanish Sovereign Bond
|
|
1.15%
|
|
7/20
|
|
(8,580
|
)
|
||
|
Total Europe (Proceeds -$66,800)
|
|
|
|
|
|
(62,680
|
)
|
|||||
|
Total Government Debt Sold Short (Proceeds -$136,746)
|
|
|
|
(132,442
|
)
|
|||||||
|
Common Stock Sold Short (-1.26%)
|
|
|
|
|
||||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Financial
|
|
|
|
|
|
|
||||||
|
(207
|
)
|
|
Exchange Traded Equity
|
|
|
|
|
|
(8,154
|
)
|
||
|
Total Common Stock Sold Short (Proceeds -$8,052)
|
|
|
|
(8,154
|
)
|
|||||||
|
Corporate Debt Sold Short (-6.14%)
|
|
|
|
|
|
|
||||||
|
North America
|
|
|
|
|
|
|
||||||
|
Basic Materials
|
|
|
|
|
|
|
||||||
|
(8,970
|
)
|
|
Various
|
|
3.88% - 5.13%
|
|
10/21 - 3/23
|
|
(8,717
|
)
|
||
|
Communications
|
|
|
|
|
|
|
||||||
|
(8,750
|
)
|
|
Various
|
|
5.25% - 9.25%
|
|
7/21 - 9/22
|
|
(8,551
|
)
|
||
|
Consumer
|
|
|
|
|
|
|
||||||
|
(8,930
|
)
|
|
Various
|
|
3.88% - 6.88%
|
|
1/22 - 4/26
|
|
(8,695
|
)
|
||
|
Energy
|
|
|
|
|
|
|
||||||
|
(10,597
|
)
|
|
Various
|
|
2.40% - 8.00%
|
|
6/21 - 1/25
|
|
(10,041
|
)
|
||
|
Financial
|
|
|
|
|
|
|
||||||
|
(1,130
|
)
|
|
Various
|
|
4.13%
|
|
2/22
|
|
(1,121
|
)
|
||
|
Utilities
|
|
|
|
|
|
|
||||||
|
(2,430
|
)
|
|
Various
|
|
6.25%
|
|
7/22
|
|
(2,447
|
)
|
||
|
Total Corporate Debt Sold Short (Proceeds -$39,664)
|
|
|
|
|
|
(39,572
|
)
|
|||||
|
Total Investments Sold Short (Proceeds -$589,429)
|
|
|
|
$
|
(584,896
|
)
|
||||||
|
|
Primary Risk
Exposure
|
|
Notional Value
|
|
Range of
Expiration
Dates
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
Expressed in U.S.Dollars
|
||||
|
Financial Derivatives–Assets (5.52%) (a) (b)
|
|
|
|
|
|
|
|
||||
|
Swaps (5.49%)
|
|
|
|
|
|
|
|
||||
|
Long Swaps:
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bond Indices (o)
|
Credit
|
|
$
|
40,611
|
|
|
12/18 - 12/21
|
|
$
|
2,744
|
|
|
Credit Default Swaps on Asset-Backed Indices (o)
|
Credit
|
|
1,202
|
|
|
12/37
|
|
12
|
|
||
|
Interest Rate Swaps (p)
|
Interest Rates
|
|
215,826
|
|
|
12/17 - 1/45
|
|
2,274
|
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Total Return Swaps (t)
|
|
|
|
|
|
|
|
||||
|
Consumer
|
Credit
|
|
3,130
|
|
|
7/19
|
|
87
|
|
||
|
Utilities
|
Credit
|
|
685
|
|
|
2/20
|
|
68
|
|
||
|
Total Total Return Swaps
|
|
|
|
|
|
|
155
|
|
|||
|
Credit Default Swaps on Corporate Bonds (o)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
760
|
|
|
3/21
|
|
90
|
|
||
|
Consumer
|
Credit
|
|
8,043
|
|
|
3/19 - 12/21
|
|
973
|
|
||
|
Energy
|
Credit
|
|
4,120
|
|
|
3/19 - 12/21
|
|
7
|
|
||
|
Financial
|
Credit
|
|
1,120
|
|
|
12/21
|
|
140
|
|
||
|
Utilities
|
Credit
|
|
2,060
|
|
|
6/21
|
|
151
|
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
1,361
|
|
|||
|
Short Swaps:
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Indices (q)
|
Credit
|
|
(112,999
|
)
|
|
5/46 - 9/58
|
|
16,701
|
|
||
|
Interest Rate Swaps (r)
|
Interest Rates
|
|
(607,499
|
)
|
|
4/17 - 12/45
|
|
5,828
|
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Securities (q)
|
|
|
|
|
|
|
|
||||
|
Mortgage-related—Residential
|
Credit
|
|
(7,077
|
)
|
|
5/35 - 12/35
|
|
5,326
|
|
||
|
Credit Default Swaps on Corporate Bonds (q)
|
|
|
|
|
|
|
|
||||
|
Consumer
|
Credit
|
|
(2,880
|
)
|
|
12/21
|
|
102
|
|
||
|
Communications
|
Credit
|
|
(1,930
|
)
|
|
6/21
|
|
30
|
|
||
|
Energy
|
Credit
|
|
(20,507
|
)
|
|
6/17 - 6/21
|
|
867
|
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
999
|
|
|||
|
Total Swaps (Net cost $40,491)
|
|
|
|
|
|
|
35,400
|
|
|||
|
Futures (0.00%)
|
|
|
|
|
|
|
|
||||
|
Short Futures:
|
|
|
|
|
|
|
|
||||
|
U.S. Treasury Note Futures (ac)
|
Interest Rates
|
|
(7,000
|
)
|
|
3/17
|
|
19
|
|
||
|
Eurodollar Futures (u)
|
Interest Rates
|
|
(13,000
|
)
|
|
9/17
|
|
10
|
|
||
|
Total Futures
|
|
|
|
|
|
|
29
|
|
|||
|
|
|
|
|
|
|
|
|
||||
|
|
Primary Risk
Exposure
|
|
Notional Value
|
|
Range of
Expiration
Dates
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
Expressed in U.S.Dollars
|
||||
|
Options (0.01%)
|
|
|
|
|
|
|
|
||||
|
Purchased Options:
|
|
|
|
|
|
|
|
||||
|
Put Options on Credit Default Swaps on Corporate Bond Indices (x)
|
Credit
|
|
$
|
10,000
|
|
|
1/17
|
|
$
|
—
|
|
|
Interest Rate Caps (w)
|
Interest Rates
|
|
61,908
|
|
|
3/18 - 10/18
|
|
2
|
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Equity Call Options (y)
|
|
|
|
|
|
|
|
||||
|
Consumer
|
Equity Market
|
|
16
|
|
|
4/17
|
|
42
|
|
||
|
Total Options (Cost $133)
|
|
|
|
|
|
|
44
|
|
|||
|
Forwards (0.00%)
|
|
|
|
|
|
|
|
||||
|
Short Forwards:
|
|
|
|
|
|
|
|
||||
|
Currency Forwards (aa)
|
Currency
|
|
(6,529
|
)
|
|
3/17
|
|
16
|
|
||
|
Total Forwards
|
|
|
|
|
|
|
16
|
|
|||
|
Warrants (0.02%)
|
|
|
|
|
|
|
|
||||
|
North America
|
|
|
|
|
|
|
|
||||
|
Warrants (v)
|
|
|
|
|
|
|
|
||||
|
Mortgage-related—Residential
|
Equity Market
|
|
1,639
|
|
|
|
|
106
|
|
||
|
Total Warrants (Cost $100)
|
|
|
|
|
|
|
106
|
|
|||
|
Total Financial Derivatives–Assets (Net cost $40,724)
|
|
|
|
|
|
|
$
|
35,595
|
|
||
|
Financial Derivatives–Liabilities (-2.90%) (a) (b)
|
|
|
|
|
|
|
|
||||
|
Swaps (-2.81%)
|
|
|
|
|
|
|
|
||||
|
Long Swaps:
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Indices (o)
|
Credit
|
|
$
|
16,026
|
|
|
1/47 - 5/63
|
|
$
|
(2,899
|
)
|
|
Interest Rate Swaps (p)
|
Interest Rates
|
|
160,248
|
|
|
2/19 - 1/45
|
|
(4,396
|
)
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bonds (o)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
9,480
|
|
|
6/21 - 12/21
|
|
(1,107
|
)
|
||
|
Communications
|
Credit
|
|
9,990
|
|
|
6/21 - 12/21
|
|
(430
|
)
|
||
|
Consumer
|
Credit
|
|
9,736
|
|
|
6/21 - 12/21
|
|
(298
|
)
|
||
|
Energy
|
Credit
|
|
14,317
|
|
|
3/18 - 12/21
|
|
(928
|
)
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
(2,763
|
)
|
|||
|
Total Return Swaps (t)
|
|
|
|
|
|
|
|
||||
|
Communications
|
Credit
|
|
1,623
|
|
|
7/19
|
|
(249
|
)
|
||
|
Total Total Return Swaps
|
|
|
|
|
|
|
(249
|
)
|
|||
|
Europe
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Corporate Bonds (o)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
11
|
|
|
12/19
|
|
(6
|
)
|
||
|
|
Primary Risk
Exposure
|
|
Notional Value
|
|
Range of
Expiration
Dates
|
|
Fair Value
|
||||
|
(In thousands)
|
|
|
|
|
|
|
Expressed in U.S.Dollars
|
||||
|
Short Swaps:
|
|
|
|
|
|
|
|
||||
|
Interest Rate Swaps (r)
|
Interest Rates
|
|
$
|
(154,836
|
)
|
|
8/17 - 11/45
|
|
$
|
(742
|
)
|
|
Interest Rate Swaps (z)
|
Interest Rates
|
|
(100,200
|
)
|
|
6/17 - 6/19
|
|
(24
|
)
|
||
|
Credit Default Swaps on Corporate Bond Indices (q)
|
Credit
|
|
(49,306
|
)
|
|
12/18 - 12/21
|
|
(2,840
|
)
|
||
|
North America
|
|
|
|
|
|
|
|
||||
|
Credit Default Swaps on Asset-Backed Securities (q)
|
|
|
|
|
|
|
|
||||
|
Mortgage-related—Residential
|
Credit
|
|
(3,057
|
)
|
|
10/34 - 3/35
|
|
(256
|
)
|
||
|
Credit Default Swaps on Corporate Bonds (q)
|
|
|
|
|
|
|
|
||||
|
Basic Materials
|
Credit
|
|
(2,260
|
)
|
|
6/17 - 3/21
|
|
(93
|
)
|
||
|
Communications
|
Credit
|
|
(3,140
|
)
|
|
6/20
|
|
(44
|
)
|
||
|
Consumer
|
Credit
|
|
(30,901
|
)
|
|
3/19 - 12/21
|
|
(3,097
|
)
|
||
|
Energy
|
Credit
|
|
(5,150
|
)
|
|
12/17 - 12/21
|
|
(80
|
)
|
||
|
Industrial
|
Credit
|
|
(12,460
|
)
|
|
3/20 - 12/21
|
|
(119
|
)
|
||
|
Technology
|
Credit
|
|
(3,020
|
)
|
|
3/20
|
|
(345
|
)
|
||
|
Utilities
|
Credit
|
|
(860
|
)
|
|
6/21
|
|
(107
|
)
|
||
|
Total Credit Default Swaps on Corporate Bonds
|
|
|
|
|
|
|
(3,885
|
)
|
|||
|
Total Return Swaps (s)
|
|
|
|
|
|
|
|
||||
|
Financial
|
Equity
|
|
(42,093
|
)
|
|
5/17 - 8/17
|
|
(55
|
)
|
||
|
Total Swaps (Net proceeds -$12,012)
|
|
|
|
|
|
|
(18,115
|
)
|
|||
|
Futures (-0.01%)
|
|
|
|
|
|
|
|
||||
|
Long Futures:
|
|
|
|
|
|
|
|
||||
|
Eurodollar Futures (u)
|
Interest Rates
|
|
11,000
|
|
|
6/17
|
|
(8
|
)
|
||
|
Short Futures:
|
|
|
|
|
|
|
|
||||
|
Eurodollar Futures (u)
|
Interest Rates
|
|
(49,000
|
)
|
|
3/17 - 9/17
|
|
(61
|
)
|
||
|
Total Futures
|
|
|
|
|
|
|
(69
|
)
|
|||
|
Forwards (-0.07%)
|
|
|
|
|
|
|
|
||||
|
Short Forwards:
|
|
|
|
|
|
|
|
||||
|
Currency Forwards (aa)
|
Currency
|
|
(48,258
|
)
|
|
3/17
|
|
(472
|
)
|
||
|
Total Forwards
|
|
|
|
|
|
|
(472
|
)
|
|||
|
Mortgage Loan Purchase Commitments (-0.01%)
|
|
|
|
|
|
|
|
||||
|
North America
|
|
|
|
|
|
|
|
||||
|
Mortgage Loan Purchase Commitments (ab)
|
|
|
|
|
|
|
|
||||
|
Mortgage-related—residential
|
Interest rate
|
|
20,601
|
|
|
2/17
|
|
(31
|
)
|
||
|
Total Mortgage Loan Purchase Commitments
|
|
|
|
|
|
|
(31
|
)
|
|||
|
Total Financial Derivatives–Liabilities
(Net proceeds -$12,012)
|
|
|
|
|
|
|
$
|
(18,687
|
)
|
||
|
(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, 2016, 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
73.78%
,
42.13%
, and
23.36%
of Total Equity, respectively.
|
|
(d)
|
Private trust
100%
backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates.
|
|
(e)
|
Loans and real estate owned are beneficially owned by the Company through participation certificates in the various trusts that hold such investments. See Note 7 to the Notes to Consolidated Financial Statements.
|
|
(f)
|
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, 2016 loans for which the Company has beneficial interests in the net cash flows, totaled
$7.6 million
. See Note 7 to the Notes to Consolidated Financial Statements.
|
|
(g)
|
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, 2016 loans held in the related party trust for which the Company has participating interests in the cash flows, totaled
$43.2 million
. See Note 7 to the Notes to Consolidated Financial Statements.
|
|
(h)
|
Includes the Company's beneficial interest in an entity, which is co-owned by an affiliate of Ellington Management Group, L.L.C., in the amount of
$7.3 million
as of December 31, 2016. The entity owns subordinated notes issued by, as well as trust certificates representing ownership of, a securitization trust. See Note 7 to the Notes to Consolidated Financial Statements.
|
|
(i)
|
Includes non-performing commercial loans in the amount of
$28.6 million
whereby principal and/or interest is past due and a maturity date is not applicable.
|
|
(j)
|
Number of properties not shown in thousands, represents actual number of properties owned.
|
|
(k)
|
As of December 31, 2016, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of
$3.2 million
.
|
|
(l)
|
In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.
|
|
(m)
|
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 7 to the Notes to Consolidated Financial Statements.
|
|
(n)
|
At December 31, 2016, 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
32.67%
,
22.21%
, and
7.89%
of Total Equity, respectively.
|
|
(o)
|
For long credit default swaps, the Company sold protection.
|
|
(p)
|
For long interest rate swap contracts, the Company pays a floating rate and receives a fixed rate.
|
|
(q)
|
For short credit default swaps, the Company purchased protection.
|
|
(r)
|
For short interest rate swap contracts, the Company pays a fixed rate and receives a floating rate.
|
|
(s)
|
Notional value represents number of underlying shares times the closing price of the underlying security.
|
|
(t)
|
Notional value represents outstanding principal balance on underlying corporate debt.
|
|
(u)
|
Every
$1,000,000
in notional value represents
one
contract.
|
|
(v)
|
Notional value represents number of shares that warrants are convertible into.
|
|
(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)
|
Represents the option on the part of a counterparty to enter into a credit default swap on a corporate bond index whereby the Company would receive a fixed rate and pay credit protection payments.
|
|
(y)
|
Notional value represents the number of common shares we have the option to purchase multiplied by the strike price.
|
|
(z)
|
The Company pays a floating rate and receives a 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 principal balance of mortgage loan purchase commitments. Actual loan purchases are contingent upon successful loan closings in accordance with agreed-upon parameters.
|
|
(ac)
|
Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of December 31, 2016, a total of
70
contracts were held.
|
|
(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
|
|
139.27
|
%
|
|
Aaa/AAA/AAA
|
|
0.84
|
%
|
|
Aa/AA/AA
|
|
0.03
|
%
|
|
A/A/A
|
|
0.05
|
%
|
|
Baa/BBB/BBB
|
|
2.60
|
%
|
|
Ba/BB/BB or below
|
|
30.24
|
%
|
|
Unrated
|
|
60.39
|
%
|
|
(ae)
|
Represents the Company's investment in a related party. See Note 7 to the Notes to the Consolidated Financial Statements.
|
|
(af)
|
Conformed to current period presentation.
|
|
|
|
Three Month Period Ended
|
|
Nine Month Period Ended
|
||||||||||||
|
|
|
September 30, 2017
|
|
September 30, 2016
|
|
September 30, 2017
|
|
September 30, 2016
|
||||||||
|
(In thousands except per share amounts)
|
|
Expressed in U.S. Dollars
|
||||||||||||||
|
INVESTMENT INCOME
|
|
|
|
|
|
|
|
|
||||||||
|
Interest income
|
|
$
|
21,145
|
|
|
$
|
16,662
|
|
|
$
|
65,819
|
|
|
$
|
56,078
|
|
|
Other income
|
|
1,232
|
|
|
807
|
|
|
3,043
|
|
|
3,500
|
|
||||
|
Total investment income
|
|
22,377
|
|
|
17,469
|
|
|
68,862
|
|
|
59,578
|
|
||||
|
EXPENSES
|
|
|
|
|
|
|
|
|
||||||||
|
Base management fee to affiliate (Net of fee rebates of $172, $0, $172, and $0, respectively)
(1)
|
|
2,161
|
|
|
2,485
|
|
|
6,942
|
|
|
7,649
|
|
||||
|
Interest expense
|
|
8,166
|
|
|
4,143
|
|
|
21,794
|
|
|
11,845
|
|
||||
|
Other investment related expenses
|
|
1,908
|
|
|
2,068
|
|
|
5,487
|
|
|
6,007
|
|
||||
|
Professional fees
|
|
633
|
|
|
679
|
|
|
2,012
|
|
|
2,369
|
|
||||
|
Administration fees
|
|
175
|
|
|
290
|
|
|
537
|
|
|
942
|
|
||||
|
Compensation expense
|
|
673
|
|
|
589
|
|
|
1,703
|
|
|
1,720
|
|
||||
|
Insurance expense
|
|
120
|
|
|
144
|
|
|
378
|
|
|
451
|
|
||||
|
Directors' fees and expenses
|
|
66
|
|
|
66
|
|
|
207
|
|
|
204
|
|
||||
|
Share-based LTIP expense
|
|
97
|
|
|
101
|
|
|
285
|
|
|
300
|
|
||||
|
Other expenses
|
|
476
|
|
|
510
|
|
|
1,408
|
|
|
1,353
|
|
||||
|
Total expenses
|
|
14,475
|
|
|
11,075
|
|
|
40,753
|
|
|
32,840
|
|
||||
|
NET INVESTMENT INCOME
|
|
7,902
|
|
|
6,394
|
|
|
28,109
|
|
|
26,738
|
|
||||
|
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION
|
|
|
|
|
|
|
|
|
||||||||
|
Net realized gain (loss) on:
|
|
|
|
|
|
|
|
|
||||||||
|
Investments
|
|
1,087
|
|
|
349
|
|
|
2,372
|
|
|
(398
|
)
|
||||
|
Financial derivatives, excluding currency forwards
|
|
(595
|
)
|
|
(23,330
|
)
|
|
(6,222
|
)
|
|
(35,615
|
)
|
||||
|
Financial derivatives—currency forwards
|
|
(4,013
|
)
|
|
1,525
|
|
|
(7,357
|
)
|
|
221
|
|
||||
|
Foreign currency transactions
|
|
4,726
|
|
|
(1,564
|
)
|
|
6,234
|
|
|
(1,499
|
)
|
||||
|
|
|
1,205
|
|
|
(23,020
|
)
|
|
(4,973
|
)
|
|
(37,291
|
)
|
||||
|
Change in net unrealized gain (loss) on:
|
|
|
|
|
|
|
|
|
||||||||
|
Investments
|
|
(1,750
|
)
|
|
7,379
|
|
|
6,837
|
|
|
6,363
|
|
||||
|
Financial derivatives, excluding currency forwards
|
|
(305
|
)
|
|
9,462
|
|
|
(4,081
|
)
|
|
(15,149
|
)
|
||||
|
Financial derivatives—currency forwards
|
|
2,026
|
|
|
(1,855
|
)
|
|
1,162
|
|
|
(1,402
|
)
|
||||
|
Foreign currency translation
|
|
(2,483
|
)
|
|
2,190
|
|
|
712
|
|
|
3,108
|
|
||||
|
|
|
(2,512
|
)
|
|
17,176
|
|
|
4,630
|
|
|
(7,080
|
)
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
ELLINGTON FINANCIAL LLC
|
||||||||||||||||
|
CONSOLIDATED STATEMENT OF OPERATIONS (CONTINUED)
|
||||||||||||||||
|
(UNAUDITED)
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
Three Month Period Ended
|
|
Nine Month Period Ended
|
||||||||||||
|
|
|
September 30, 2017
|
|
September 30, 2016
|
|
September 30, 2017
|
|
September 30, 2016
|
||||||||
|
|
|
Expressed in U.S. Dollars
|
||||||||||||||
|
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION
|
|
(1,307
|
)
|
|
(5,844
|
)
|
|
(343
|
)
|
|
(44,371
|
)
|
||||
|
NET INCREASE (DECREASE) IN EQUITY RESULTING FROM OPERATIONS
|
|
6,595
|
|
|
550
|
|
|
27,766
|
|
|
(17,633
|
)
|
||||
|
LESS: NET INCREASE IN EQUITY RESULTING FROM OPERATIONS ATTRIBUTABLE TO NON-CONTROLLING INTERESTS
|
|
400
|
|
|
34
|
|
|
1,229
|
|
|
66
|
|
||||
|
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS
|
|
$
|
6,195
|
|
|
$
|
516
|
|
|
$
|
26,537
|
|
|
$
|
(17,699
|
)
|
|
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE:
|
|
|
|
|
|
|
|
|
||||||||
|
Basic and Diluted
|
|
$
|
0.19
|
|
|
$
|
0.02
|
|
|
$
|
0.81
|
|
|
$
|
(0.53
|
)
|
|
CASH DIVIDENDS PER SHARE:
|
|
|
|
|
|
|
|
|
||||||||
|
Dividends declared
|
|
$
|
0.45
|
|
|
$
|
0.50
|
|
|
$
|
1.35
|
|
|
$
|
1.50
|
|
|
(1)
|
See Note 7 for further details on management fee rebates.
|
|
|
|
Nine Month Period Ended
September 30, 2017 |
|
Nine Month Period Ended
September 30, 2016 |
||||||||||||||||||||
|
|
|
Shareholders' Equity
|
|
Non-controlling Interest
|
|
Total Equity
|
|
Shareholders' Equity
|
|
Non-controlling Interest
|
|
Total Equity
|
||||||||||||
|
(In thousands)
|
|
Expressed in U.S. Dollars
|
||||||||||||||||||||||
|
BEGINNING EQUITY
(12/31/2016 and 12/31/2015, respectively) |
|
$
|
637,661
|
|
|
$
|
7,116
|
|
|
$
|
644,777
|
|
|
$
|
732,049
|
|
|
$
|
6,903
|
|
|
$
|
738,952
|
|
|
CHANGE IN EQUITY RESULTING FROM OPERATIONS
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Net investment income
|
|
|
|
|
|
28,109
|
|
|
|
|
|
|
26,738
|
|
||||||||||
|
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions
|
|
|
|
|
|
(4,973
|
)
|
|
|
|
|
|
(37,291
|
)
|
||||||||||
|
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation
|
|
|
|
|
|
4,630
|
|
|
|
|
|
|
(7,080
|
)
|
||||||||||
|
Net increase (decrease) in equity resulting from operations
|
|
26,537
|
|
|
1,229
|
|
|
27,766
|
|
|
(17,699
|
)
|
|
66
|
|
|
(17,633
|
)
|
||||||
|
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Contributions from non-controlling interests
|
|
|
|
14,201
|
|
|
14,201
|
|
|
|
|
4,747
|
|
|
4,747
|
|
||||||||
|
Dividends
(1)
|
|
(44,050
|
)
|
|
(286
|
)
|
|
(44,336
|
)
|
|
(49,938
|
)
|
|
(318
|
)
|
|
(50,256
|
)
|
||||||
|
Distributions to non-controlling interests
|
|
|
|
(8,178
|
)
|
|
(8,178
|
)
|
|
|
|
(2,560
|
)
|
|
(2,560
|
)
|
||||||||
|
Adjustment to non-controlling interest
|
|
(6
|
)
|
|
6
|
|
|
—
|
|
|
(10
|
)
|
|
10
|
|
|
—
|
|
||||||
|
Shares repurchased
|
|
(4,791
|
)
|
|
|
|
(4,791
|
)
|
|
(8,797
|
)
|
|
|
|
(8,797
|
)
|
||||||||
|
Share-based LTIP awards
|
|
284
|
|
|
1
|
|
|
285
|
|
|
298
|
|
|
2
|
|
|
300
|
|
||||||
|
Net increase (decrease) in equity from transactions
|
|
(48,563
|
)
|
|
5,744
|
|
|
(42,819
|
)
|
|
(58,447
|
)
|
|
1,881
|
|
|
(56,566
|
)
|
||||||
|
Net increase (decrease) in equity
|
|
(22,026
|
)
|
|
6,973
|
|
|
(15,053
|
)
|
|
(76,146
|
)
|
|
1,947
|
|
|
(74,199
|
)
|
||||||
|
ENDING EQUITY
(9/30/2017 and 9/30/2016, respectively) |
|
$
|
615,635
|
|
|
$
|
14,089
|
|
|
$
|
629,724
|
|
|
$
|
655,903
|
|
|
$
|
8,850
|
|
|
$
|
664,753
|
|
|
(1)
|
For the nine month periods ended September 30, 2017 and 2016, dividends totaling $1.35 and $1.50 respectively, per common share and convertible unit outstanding, were declared and paid.
|
|
|
Nine Month Period Ended
September 30, |
||||||
|
|
2017
|
|
2016
|
||||
|
(In thousands)
|
Expressed in U.S. Dollars
|
||||||
|
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS:
|
|
|
|
||||
|
NET INCREASE (DECREASE) IN EQUITY RESULTING FROM OPERATIONS
|
$
|
27,766
|
|
|
$
|
(17,633
|
)
|
|
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
|
13,018
|
|
|
36,073
|
|
||
|
Change in net unrealized (gain) loss on investments and financial derivatives, and foreign currency translation
|
(7,472
|
)
|
|
9,706
|
|
||
|
Amortization of premiums and accretion of discounts (net)
|
23,010
|
|
|
19,053
|
|
||
|
Purchase of investments
|
(1,847,795
|
)
|
|
(1,862,704
|
)
|
||
|
Proceeds from disposition of investments
|
1,378,115
|
|
|
1,795,924
|
|
||
|
Proceeds from principal payments of investments
|
214,636
|
|
|
188,378
|
|
||
|
Proceeds from investments sold short
|
1,456,930
|
|
|
1,098,986
|
|
||
|
Repurchase of investments sold short
|
(1,382,642
|
)
|
|
(1,175,609
|
)
|
||
|
Payments on financial derivatives
|
(76,667
|
)
|
|
(315,221
|
)
|
||
|
Proceeds from financial derivatives
|
79,207
|
|
|
345,997
|
|
||
|
Amortization of deferred debt issuance costs
|
30
|
|
|
—
|
|
||
|
Share-based LTIP expense
|
285
|
|
|
300
|
|
||
|
Repurchase agreements
|
(8,251
|
)
|
|
(59,348
|
)
|
||
|
(Increase) decrease in assets:
|
|
|
|
||||
|
Receivable for securities sold and financial derivatives
|
(53,941
|
)
|
|
142,286
|
|
||
|
Due from brokers
|
(14,522
|
)
|
|
15,350
|
|
||
|
Interest and principal receivable
|
(3,302
|
)
|
|
3,067
|
|
||
|
Restricted cash
|
230
|
|
|
(753
|
)
|
||
|
Other assets
|
190
|
|
|
(24,638
|
)
|
||
|
Increase (decrease) in liabilities:
|
|
|
|
||||
|
Due to brokers
|
(9,167
|
)
|
|
(99,197
|
)
|
||
|
Payable for securities purchased and financial derivatives
|
84,549
|
|
|
63,847
|
|
||
|
Accounts payable and accrued expenses
|
515
|
|
|
(730
|
)
|
||
|
Other liabilities
|
181
|
|
|
(665
|
)
|
||
|
Interest and dividends payable
|
1,408
|
|
|
1,472
|
|
||
|
Base management fee payable to affiliate
|
(255
|
)
|
|
(288
|
)
|
||
|
Net cash provided by (used in) operating activities
|
(123,944
|
)
|
|
163,653
|
|
||
|
|
|
|
|
||||
|
ELLINGTON FINANCIAL LLC
|
|||||||
|
CONSOLIDATED STATEMENT OF CASH FLOWS (CONTINUED)
|
|||||||
|
(UNAUDITED)
|
|||||||
|
|
|
||||||
|
|
Nine Month Period Ended
September 30, |
||||||
|
|
2017
|
|
2016
|
||||
|
(In thousands)
|
Expressed in U.S. Dollars
|
||||||
|
Cash flows provided by (used in) financing activities:
|
|
|
|
||||
|
Contributions from non-controlling interests
|
$
|
14,201
|
|
|
$
|
4,747
|
|
|
Shares repurchased
|
(4,791
|
)
|
|
(8,797
|
)
|
||
|
Dividends paid
|
(44,336
|
)
|
|
(50,256
|
)
|
||
|
Distributions to non-controlling interests
|
(8,178
|
)
|
|
(2,560
|
)
|
||
|
Proceeds from issuance of other secured borrowings
|
94,878
|
|
|
40,921
|
|
||
|
Principal payments on other secured borrowings
|
(21,020
|
)
|
|
(10,151
|
)
|
||
|
Proceeds from issuance of senior notes
|
86,000
|
|
|
—
|
|
||
|
Debt issuance costs paid
|
(890
|
)
|
|
—
|
|
||
|
Borrowings under reverse repurchase agreements
|
8,663,470
|
|
|
4,740,559
|
|
||
|
Repayments of reverse repurchase agreements
|
(8,667,241
|
)
|
|
(4,882,407
|
)
|
||
|
Net cash provided by (used in) financing activities
|
112,093
|
|
|
(167,944
|
)
|
||
|
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS
|
(11,851
|
)
|
|
(4,291
|
)
|
||
|
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD
|
123,274
|
|
|
183,909
|
|
||
|
CASH AND CASH EQUIVALENTS, END OF PERIOD
|
$
|
111,423
|
|
|
$
|
179,618
|
|
|
Supplemental disclosure of cash flow information:
|
|
|
|
||||
|
Interest paid
|
$
|
19,683
|
|
|
$
|
10,996
|
|
|
Share-based LTIP awards (non-cash)
|
285
|
|
|
300
|
|
||
|
Aggregate TBA trade activity (buys + sells) (non-cash)
|
17,198,330
|
|
|
17,241,758
|
|
||
|
Purchase of investments (non-cash)
|
(25,318
|
)
|
|
(27,502
|
)
|
||
|
Proceeds from principal payments of investments (non-cash)
|
6,815
|
|
|
—
|
|
||
|
Proceeds from the disposition of investments (non-cash)
|
26,800
|
|
|
80,029
|
|
||
|
Proceeds from issuance of other secured borrowings (non-cash)
|
17,175
|
|
|
13,088
|
|
||
|
Principal payments on other secured borrowings (non-cash)
|
(25,473
|
)
|
|
(13,088
|
)
|
||
|
Payments made to open financial derivatives (non-cash)
|
—
|
|
|
(4,000
|
)
|
||
|
Repayments of reverse repurchase agreements (non-cash)
|
—
|
|
|
(48,527
|
)
|
||
|
•
|
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, and private corporate debt and equity investments.
|
|
Description
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
Assets:
|
|
(In thousands)
|
||||||||||||||
|
Cash equivalents
|
|
$
|
60,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
60,000
|
|
|
Investments, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Agency residential mortgage-backed securities
|
|
$
|
—
|
|
|
$
|
931,391
|
|
|
$
|
5,819
|
|
|
$
|
937,210
|
|
|
U.S. Treasury securities
|
|
—
|
|
|
1,519
|
|
|
—
|
|
|
1,519
|
|
||||
|
Private label residential mortgage-backed securities
|
|
—
|
|
|
78,553
|
|
|
73,648
|
|
|
152,201
|
|
||||
|
Private label commercial mortgage-backed securities
|
|
—
|
|
|
18,421
|
|
|
11,632
|
|
|
30,053
|
|
||||
|
Commercial mortgage loans
|
|
—
|
|
|
—
|
|
|
67,895
|
|
|
67,895
|
|
||||
|
Residential mortgage loans
|
|
—
|
|
|
—
|
|
|
162,963
|
|
|
162,963
|
|
||||
|
Collateralized loan obligations
|
|
—
|
|
|
108,146
|
|
|
26,918
|
|
|
135,064
|
|
||||
|
Consumer loans and asset-backed securities backed by consumer loans
|
|
—
|
|
|
—
|
|
|
116,340
|
|
|
116,340
|
|
||||
|
Corporate debt
|
|
—
|
|
|
76,400
|
|
|
12,908
|
|
|
89,308
|
|
||||
|
Real estate owned
|
|
—
|
|
|
—
|
|
|
25,762
|
|
|
25,762
|
|
||||
|
Corporate equity investments
|
|
790
|
|
|
—
|
|
|
37,327
|
|
|
38,117
|
|
||||
|
Total investments, at fair value
|
|
790
|
|
|
1,214,430
|
|
|
541,212
|
|
|
1,756,432
|
|
||||
|
Financial derivatives–assets, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Credit default swaps on asset-backed securities
|
|
—
|
|
|
—
|
|
|
4,530
|
|
|
4,530
|
|
||||
|
Credit default swaps on corporate bond indices
|
|
—
|
|
|
631
|
|
|
—
|
|
|
631
|
|
||||
|
Credit default swaps on corporate bonds
|
|
—
|
|
|
10,109
|
|
|
—
|
|
|
10,109
|
|
||||
|
Credit default swaps on asset-backed indices
|
|
—
|
|
|
6,987
|
|
|
—
|
|
|
6,987
|
|
||||
|
Interest rate swaps
|
|
—
|
|
|
6,721
|
|
|
—
|
|
|
6,721
|
|
||||
|
Options
|
|
50
|
|
|
2
|
|
|
—
|
|
|
52
|
|
||||
|
Futures
|
|
143
|
|
|
—
|
|
|
—
|
|
|
143
|
|
||||
|
Forwards
|
|
—
|
|
|
723
|
|
|
—
|
|
|
723
|
|
||||
|
Total financial derivatives–assets, at fair value
|
|
193
|
|
|
25,173
|
|
|
4,530
|
|
|
29,896
|
|
||||
|
Repurchase agreements
|
|
—
|
|
|
193,070
|
|
|
—
|
|
|
193,070
|
|
||||
|
Total investments and financial derivatives–assets, at fair value and repurchase agreements
|
|
$
|
983
|
|
|
$
|
1,432,673
|
|
|
$
|
545,742
|
|
|
$
|
1,979,398
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
|
Investments sold short, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Agency residential mortgage-backed securities
|
|
$
|
—
|
|
|
$
|
(470,487
|
)
|
|
$
|
—
|
|
|
$
|
(470,487
|
)
|
|
Government debt
|
|
—
|
|
|
(120,407
|
)
|
|
—
|
|
|
(120,407
|
)
|
||||
|
Corporate debt
|
|
—
|
|
|
(70,567
|
)
|
|
—
|
|
|
(70,567
|
)
|
||||
|
Common stock
|
|
(14,189
|
)
|
|
—
|
|
|
—
|
|
|
(14,189
|
)
|
||||
|
Total investments sold short, at fair value
|
|
(14,189
|
)
|
|
(661,461
|
)
|
|
—
|
|
|
(675,650
|
)
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Description
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
(continued)
|
|
(In thousands)
|
||||||||||||||
|
Financial derivatives–liabilities, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Credit default swaps on corporate bond indices
|
|
$
|
—
|
|
|
$
|
(11,646
|
)
|
|
$
|
—
|
|
|
$
|
(11,646
|
)
|
|
Credit default swaps on corporate bonds
|
|
—
|
|
|
(13,611
|
)
|
|
—
|
|
|
(13,611
|
)
|
||||
|
Credit default swaps on asset-backed indices
|
|
—
|
|
|
(1,495
|
)
|
|
—
|
|
|
(1,495
|
)
|
||||
|
Credit default swaps on asset-backed securities
|
|
—
|
|
|
—
|
|
|
(207
|
)
|
|
(207
|
)
|
||||
|
Interest rate swaps
|
|
—
|
|
|
(5,303
|
)
|
|
—
|
|
|
(5,303
|
)
|
||||
|
Forwards
|
|
—
|
|
|
(16
|
)
|
|
—
|
|
|
(16
|
)
|
||||
|
Total financial derivatives–liabilities, at fair value
|
|
—
|
|
|
(32,071
|
)
|
|
(207
|
)
|
|
(32,278
|
)
|
||||
|
Total investments sold short and financial derivatives–liabilities, at fair value
|
|
$
|
(14,189
|
)
|
|
$
|
(693,532
|
)
|
|
$
|
(207
|
)
|
|
$
|
(707,928
|
)
|
|
|
|
Fair Value
|
|
Valuation
Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted
Average
|
||||||||||
|
Description
|
|
|
|
|
Min
|
|
Max
|
|
||||||||||||
|
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Private label residential mortgage-backed securities
|
|
$
|
23,182
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
$
|
46.28
|
|
|
$
|
478.10
|
|
|
$
|
95.08
|
|
|
Collateralized loan obligations
|
|
24,586
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
3.10
|
|
|
440.00
|
|
|
122.21
|
|
||||
|
Corporate debt and non-exchange traded corporate equity
|
|
9,782
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
0.88
|
|
|
99.50
|
|
|
81.87
|
|
||||
|
Private label commercial mortgage-backed securities
|
|
7,721
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
5.36
|
|
|
42.00
|
|
|
18.18
|
|
||||
|
Agency interest only residential mortgage-backed securities
|
|
502
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
16.89
|
|
|
18.44
|
|
|
17.85
|
|
||||
|
Private label residential mortgage-backed securities
|
|
50,466
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
1.7
|
%
|
|
25.6
|
%
|
|
9.8
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
2.5
|
%
|
|
84.6
|
%
|
|
44.0
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
1.3
|
%
|
|
18.2
|
%
|
|
9.0
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
0.0
|
%
|
|
13.9
|
%
|
|
6.4
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
12.9
|
%
|
|
90.7
|
%
|
|
40.6
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Private label commercial mortgage-backed securities
|
|
3,911
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
9.1
|
%
|
|
50.1
|
%
|
|
23.1
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.1
|
%
|
|
5.1
|
%
|
|
2.2
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
1.3
|
%
|
|
14.8
|
%
|
|
8.0
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
80.1
|
%
|
|
98.6
|
%
|
|
89.8
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Corporate debt and non-exchange traded corporate equity
|
|
7,194
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
8.7
|
%
|
|
16.1
|
%
|
|
15.0
|
%
|
||||
|
(continued)
|
|
Fair Value
|
|
Valuation
Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted
Average
|
||||||||||
|
Description
|
|
|
|
|
Min
|
|
Max
|
|
||||||||||||
|
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Collateralized loan obligations
|
|
$
|
2,332
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
11.2
|
%
|
|
58.7
|
%
|
|
26.9
|
%
|
|||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
67.8
|
%
|
|
68.7
|
%
|
|
68.4
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
18.8
|
%
|
|
21.0
|
%
|
|
19.5
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
7.8
|
%
|
|
12.5
|
%
|
|
10.9
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
—
|
%
|
|
3.5
|
%
|
|
1.2
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Consumer loans and asset-backed securities backed by consumer loans
|
|
116,340
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
9.0
|
%
|
|
18.4
|
%
|
|
10.3
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
0.0
|
%
|
|
51.4
|
%
|
|
36.5
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.0
|
%
|
|
95.0
|
%
|
|
7.2
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
5.0
|
%
|
|
100.0
|
%
|
|
56.3
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Performing commercial mortgage loans
|
|
61,339
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
8.0
|
%
|
|
15.4
|
%
|
|
11.1
|
%
|
||||
|
Non-performing commercial mortgage loans and commercial real estate owned
|
|
31,632
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
4.5
|
%
|
|
23.2
|
%
|
|
12.9
|
%
|
||||
|
|
|
|
|
|
|
Months to Resolution
|
|
3.0
|
|
|
12.0
|
|
|
8.7
|
|
|||||
|
Performing residential mortgage loans
|
|
153,709
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
1.6
|
%
|
|
24.7
|
%
|
|
6.2
|
%
|
||||
|
Non-performing residential mortgage loans and residential real estate owned
|
|
9,940
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
0.7
|
%
|
|
42.9
|
%
|
|
11.3
|
%
|
||||
|
|
|
|
|
|
|
Months to Resolution
(1)
|
|
3.0
|
|
|
34.1
|
|
|
12.6
|
|
|||||
|
Credit default swaps on asset-backed securities
|
|
4,323
|
|
|
Net Discounted Cash Flows
|
|
Projected Collateral Prepayments
|
|
19.6
|
%
|
|
26.6
|
%
|
|
22.7
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
14.4
|
%
|
|
24.6
|
%
|
|
21.3
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
5.6
|
%
|
|
15.1
|
%
|
|
9.5
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
44.2
|
%
|
|
53.3
|
%
|
|
46.5
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Agency interest only residential mortgage-backed securities
|
|
5,317
|
|
|
Option Adjusted Spread ("OAS")
|
|
LIBOR OAS
(2)
|
|
423
|
|
|
1,950
|
|
|
729
|
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
8.7
|
%
|
|
100.0
|
%
|
|
71.3
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
0.0
|
%
|
|
91.3
|
%
|
|
28.7
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Non-exchange traded common equity investment in mortgage-related entity
|
|
2,814
|
|
|
Enterprise Value
|
|
Equity Price-to-Book
(3)
|
|
1.8x
|
|
1.8x
|
|
1.8x
|
|||||||
|
Non-exchange traded preferred equity investment in mortgage-related entity
|
|
19,000
|
|
|
Enterprise Value
|
|
Equity Price-to-Book
(3)
|
|
1.0x
|
|
1.0x
|
|
1.0x
|
|||||||
|
Non-controlling equity interest in limited liability company
|
|
5,588
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation of the Underlying Assets
(4)
|
|
100.00
|
|
100.00
|
|
100.00
|
|||||||
|
Non-controlling equity interest in limited liability company
|
|
5,857
|
|
|
Discounted Cash Flows
|
|
Yield
(4)
|
|
9.0%
|
|
9.0%
|
|
9.0%
|
|||||||
|
(1)
|
Excludes certain loans that are re-performing.
|
|
(2)
|
Shown in basis points.
|
|
(3)
|
Represent an estimation of where market participants might value an enterprise on a price-to-book basis.
|
|
(4)
|
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
|
||||||||
|
Assets:
|
|
(In thousands)
|
||||||||||||||
|
Cash equivalents
|
|
$
|
90,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
90,000
|
|
|
Investments, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Agency residential mortgage-backed securities
|
|
$
|
—
|
|
|
$
|
868,345
|
|
|
$
|
29,622
|
|
|
$
|
897,967
|
|
|
U.S. Treasury securities
|
|
—
|
|
|
5,419
|
|
|
—
|
|
|
5,419
|
|
||||
|
Private label residential mortgage-backed securities
|
|
—
|
|
|
53,525
|
|
|
90,083
|
|
|
143,608
|
|
||||
|
Private label commercial mortgage-backed securities
|
|
—
|
|
|
—
|
|
|
43,268
|
|
|
43,268
|
|
||||
|
Commercial mortgage loans
|
|
—
|
|
|
—
|
|
|
61,129
|
|
|
61,129
|
|
||||
|
Residential mortgage loans
|
|
—
|
|
|
—
|
|
|
84,290
|
|
|
84,290
|
|
||||
|
Collateralized loan obligations
|
|
—
|
|
|
—
|
|
|
44,956
|
|
|
44,956
|
|
||||
|
Consumer loans and asset-backed securities backed by consumer loans
(1)
|
|
—
|
|
|
—
|
|
|
107,157
|
|
|
107,157
|
|
||||
|
Corporate debt
|
|
—
|
|
|
55,091
|
|
|
25,004
|
|
|
80,095
|
|
||||
|
Real estate owned
|
|
—
|
|
|
—
|
|
|
3,349
|
|
|
3,349
|
|
||||
|
Corporate equity investments
(1)
|
|
4,396
|
|
|
—
|
|
|
29,392
|
|
|
33,788
|
|
||||
|
Total investments, at fair value
|
|
4,396
|
|
|
982,380
|
|
|
518,250
|
|
|
1,505,026
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Description
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
(continued)
|
|
(In thousands)
|
||||||||||||||
|
Financial derivatives–assets, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Credit default swaps on asset-backed securities
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,326
|
|
|
$
|
5,326
|
|
|
Credit default swaps on corporate bond indices
|
|
—
|
|
|
2,744
|
|
|
—
|
|
|
2,744
|
|
||||
|
Credit default swaps on corporate bonds
|
|
—
|
|
|
2,360
|
|
|
—
|
|
|
2,360
|
|
||||
|
Credit default swaps on asset-backed indices
|
|
—
|
|
|
16,713
|
|
|
—
|
|
|
16,713
|
|
||||
|
Interest rate swaps
|
|
—
|
|
|
8,102
|
|
|
—
|
|
|
8,102
|
|
||||
|
Total return swaps
|
|
—
|
|
|
—
|
|
|
155
|
|
|
155
|
|
||||
|
Options
|
|
42
|
|
|
2
|
|
|
—
|
|
|
44
|
|
||||
|
Futures
|
|
29
|
|
|
—
|
|
|
—
|
|
|
29
|
|
||||
|
Forwards
|
|
—
|
|
|
16
|
|
|
—
|
|
|
16
|
|
||||
|
Warrants
|
|
—
|
|
|
—
|
|
|
106
|
|
|
106
|
|
||||
|
Total financial derivatives–assets, at fair value
|
|
71
|
|
|
29,937
|
|
|
5,587
|
|
|
35,595
|
|
||||
|
Repurchase agreements
|
|
—
|
|
|
184,819
|
|
|
—
|
|
|
184,819
|
|
||||
|
Total investments and financial derivatives–assets, at fair value and repurchase agreements
|
|
$
|
4,467
|
|
|
$
|
1,197,136
|
|
|
$
|
523,837
|
|
|
$
|
1,725,440
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
|
Investments sold short, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Agency residential mortgage-backed securities
|
|
$
|
—
|
|
|
$
|
(404,728
|
)
|
|
$
|
—
|
|
|
$
|
(404,728
|
)
|
|
Government debt
|
|
—
|
|
|
(132,442
|
)
|
|
—
|
|
|
(132,442
|
)
|
||||
|
Corporate debt
|
|
—
|
|
|
(39,572
|
)
|
|
—
|
|
|
(39,572
|
)
|
||||
|
Common stock
|
|
(8,154
|
)
|
|
—
|
|
|
—
|
|
|
(8,154
|
)
|
||||
|
Total investments sold short, at fair value
|
|
(8,154
|
)
|
|
(576,742
|
)
|
|
—
|
|
|
(584,896
|
)
|
||||
|
Financial derivatives–liabilities, at fair value-
|
|
|
|
|
|
|
|
|
||||||||
|
Credit default swaps on corporate bond indices
|
|
—
|
|
|
(2,840
|
)
|
|
—
|
|
|
(2,840
|
)
|
||||
|
Credit default swaps on corporate bonds
|
|
—
|
|
|
(6,654
|
)
|
|
—
|
|
|
(6,654
|
)
|
||||
|
Credit default swaps on asset-backed indices
|
|
—
|
|
|
(2,899
|
)
|
|
—
|
|
|
(2,899
|
)
|
||||
|
Credit default swaps on asset-backed securities
|
|
—
|
|
|
—
|
|
|
(256
|
)
|
|
(256
|
)
|
||||
|
Interest rate swaps
|
|
—
|
|
|
(5,162
|
)
|
|
—
|
|
|
(5,162
|
)
|
||||
|
Total return swaps
|
|
—
|
|
|
(55
|
)
|
|
(249
|
)
|
|
(304
|
)
|
||||
|
Futures
|
|
(69
|
)
|
|
—
|
|
|
—
|
|
|
(69
|
)
|
||||
|
Forwards
|
|
—
|
|
|
(472
|
)
|
|
—
|
|
|
(472
|
)
|
||||
|
Mortgage loan purchase commitments
|
|
—
|
|
|
(31
|
)
|
|
—
|
|
|
(31
|
)
|
||||
|
Total financial derivatives–liabilities, at fair value
|
|
(69
|
)
|
|
(18,113
|
)
|
|
(505
|
)
|
|
(18,687
|
)
|
||||
|
Total investments sold short, and financial derivatives–liabilities, at fair value
|
|
$
|
(8,223
|
)
|
|
$
|
(594,855
|
)
|
|
$
|
(505
|
)
|
|
$
|
(603,583
|
)
|
|
(1)
|
Conformed to current period presentation.
|
|
|
|
Fair Value
|
|
Valuation
Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted
Average
|
||||||||||
|
Description
|
|
|
|
|
Min
|
|
Max
|
|
||||||||||||
|
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Private label residential mortgage-backed securities
|
|
$
|
47,024
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
$
|
2.00
|
|
|
$
|
101.02
|
|
|
$
|
67.51
|
|
|
Collateralized loan obligations
|
|
37,517
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
9.42
|
|
|
100.25
|
|
|
83.36
|
|
||||
|
Corporate debt and non-exchange traded corporate equity
|
|
19,017
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
1.88
|
|
|
102.25
|
|
|
87.14
|
|
||||
|
Private label commercial mortgage-backed securities
|
|
27,283
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
5.17
|
|
|
77.75
|
|
|
40.88
|
|
||||
|
Agency interest only residential mortgage-backed securities
|
|
23,322
|
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
|
|
2.47
|
|
|
20.17
|
|
|
11.65
|
|
||||
|
Total return swaps
|
|
(94
|
)
|
|
Market Quotes
|
|
Non Binding Third-Party Valuation
(1)
|
|
98.25
|
|
|
99.50
|
|
|
98.77
|
|
||||
|
Private label residential mortgage-backed securities
|
|
43,059
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
0.6
|
%
|
|
20.5
|
%
|
|
11.0
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
0.0
|
%
|
|
81.0
|
%
|
|
10.0
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
1.4
|
%
|
|
51.2
|
%
|
|
41.4
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
0.4
|
%
|
|
53.6
|
%
|
|
41.2
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
0.0
|
%
|
|
90.7
|
%
|
|
7.4
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Private label commercial mortgage-backed securities
|
|
15,985
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
8.8
|
%
|
|
57.0
|
%
|
|
23.6
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
0.1
|
%
|
|
5.3
|
%
|
|
2.2
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
0.9
|
%
|
|
20.5
|
%
|
|
10.7
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
77.8
|
%
|
|
99.0
|
%
|
|
87.1
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Corporate debt and warrants
|
|
10,080
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
19.7
|
%
|
|
19.7
|
%
|
|
19.7
|
%
|
||||
|
Collateralized loan obligations
|
|
7,439
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
11.2
|
%
|
|
50.3
|
%
|
|
20.5
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
11.4
|
%
|
|
55.2
|
%
|
|
45.5
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
4.5
|
%
|
|
28.3
|
%
|
|
10.7
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
1.5
|
%
|
|
27.2
|
%
|
|
8.6
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
29.8
|
%
|
|
51.5
|
%
|
|
35.2
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Consumer loans and asset-backed securities backed by consumer loans
(2)
|
|
107,157
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
9.0
|
%
|
|
25.0
|
%
|
|
11.0
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
|
|
0.0
|
%
|
|
45.4
|
%
|
|
25.6
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
3.3
|
%
|
|
97.4
|
%
|
|
9.4
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
0.0
|
%
|
|
87.7
|
%
|
|
65.0
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Performing commercial mortgage loans
|
|
32,557
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
8.0
|
%
|
|
17.2
|
%
|
|
11.6
|
%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
(continued)
|
|
Fair Value
|
|
Valuation
Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted
Average
|
||||||||||
|
Description
|
|
|
|
|
Min
|
|
Max
|
|
||||||||||||
|
|
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Non-performing commercial mortgage loans and commercial real estate owned
|
|
$
|
30,222
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
10.2
|
%
|
|
27.8
|
%
|
|
16.3
|
%
|
|||
|
|
|
|
|
|
|
Months to Resolution
|
|
3.0
|
|
|
39.1
|
|
|
19.5
|
|
|||||
|
Performing residential mortgage loans
|
|
78,576
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
5.0
|
%
|
|
13.5
|
%
|
|
6.6
|
%
|
||||
|
Non-performing residential mortgage loans and residential real estate owned
|
|
7,413
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
5.8
|
%
|
|
39.9
|
%
|
|
9.7
|
%
|
||||
|
|
|
|
|
|
|
Months to Resolution
|
|
1.8
|
|
|
162.9
|
|
|
41.9
|
|
|||||
|
Credit default swaps on asset-backed securities
|
|
5,070
|
|
|
Net Discounted Cash Flows
|
|
Projected Collateral Prepayments
|
|
19.3
|
%
|
|
29.8
|
%
|
|
22.7
|
%
|
||||
|
|
|
|
|
|
|
Projected Collateral Losses
|
|
15.3
|
%
|
|
27.6
|
%
|
|
22.2
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Recoveries
|
|
4.7
|
%
|
|
15.3
|
%
|
|
8.7
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
43.2
|
%
|
|
50.2
|
%
|
|
46.4
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||||
|
Non-exchange traded equity investments in commercial mortgage-related private partnerships
|
|
3,090
|
|
|
Discounted Cash Flows
|
|
Yield
|
|
16.5
|
%
|
|
16.5
|
%
|
|
16.5
|
%
|
||||
|
|
|
|
|
|
|
Expected Holding Period (Months)
|
|
2.9
|
|
|
2.9
|
|
|
2.9
|
|
|||||
|
Agency interest only residential mortgage-backed securities
|
|
6,300
|
|
|
Option Adjusted Spread ("OAS")
|
|
LIBOR OAS
(3)
|
|
142
|
|
|
2,831
|
|
|
568
|
|
||||
|
|
|
|
|
|
|
Projected Collateral Prepayments
(2)
|
|
0.0
|
%
|
|
100.0
|
%
|
|
63.6
|
%
|
|||||
|
|
|
|
|
|
|
Projected Collateral Scheduled Amortization
|
|
0.0
|
%
|
|
88.1
|
%
|
|
36.4
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|||||
|
Non-exchange traded preferred and common equity investment in mortgage-related entity
|
|
2,500
|
|
|
Enterprise Value
|
|
Equity Price-to-Book
(4)
|
|
1.3x
|
|
|
1.3x
|
|
|
1.3x
|
|
||||
|
Non-controlling equity interest in limited liability company
(2)
|
|
7,315
|
|
|
Net Discounted Cash Flows
|
|
Yield
|
|
8.5
|
%
|
|
8.5
|
%
|
|
8.5
|
%
|
||||
|
Non-exchange traded preferred equity investment in mortgage-related entity
|
|
12,500
|
|
|
Recent Transactions
|
|
Transaction Price
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
||||
|
(1)
|
Represents valuations on underlying assets.
|
|
(2)
|
Conformed to current period presentation.
|
|
(3)
|
Shown in basis points.
|
|
(4)
|
Represent an estimation of where market participants might value an enterprise on a price-to-book basis.
|
|
(In thousands)
|
Ending
Balance as of June 30, 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
September 30, 2017
|
||||||||||||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Investments, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Agency residential mortgage-backed securities
|
$
|
4,896
|
|
|
$
|
(377
|
)
|
|
$
|
(78
|
)
|
|
$
|
—
|
|
|
$
|
1,649
|
|
|
$
|
(28
|
)
|
|
$
|
772
|
|
|
$
|
(1,015
|
)
|
|
$
|
5,819
|
|
|
Private label residential mortgage-backed securities
|
79,123
|
|
|
261
|
|
|
1,018
|
|
|
409
|
|
|
3,040
|
|
|
(9,116
|
)
|
|
5,207
|
|
|
(6,294
|
)
|
|
73,648
|
|
|||||||||
|
Private label commercial mortgage-backed securities
|
13,809
|
|
|
(144
|
)
|
|
(752
|
)
|
|
934
|
|
|
2,100
|
|
|
(5,718
|
)
|
|
1,713
|
|
|
(310
|
)
|
|
11,632
|
|
|||||||||
|
Commercial mortgage loans
|
65,896
|
|
|
140
|
|
|
—
|
|
|
17
|
|
|
4,342
|
|
|
(2,500
|
)
|
|
—
|
|
|
—
|
|
|
67,895
|
|
|||||||||
|
Residential mortgage loans
|
136,097
|
|
|
(874
|
)
|
|
388
|
|
|
(1,013
|
)
|
|
37,170
|
|
|
(8,805
|
)
|
|
—
|
|
|
—
|
|
|
162,963
|
|
|||||||||
|
Collateralized loan obligations
|
42,536
|
|
|
346
|
|
|
61
|
|
|
(839
|
)
|
|
7,108
|
|
|
(13,416
|
)
|
|
—
|
|
|
(8,878
|
)
|
|
26,918
|
|
|||||||||
|
Consumer loans and asset-backed securities backed by consumer loans
|
108,671
|
|
|
(3,366
|
)
|
|
500
|
|
|
(528
|
)
|
|
33,125
|
|
|
(22,062
|
)
|
|
—
|
|
|
—
|
|
|
116,340
|
|
|||||||||
|
Corporate debt
|
20,535
|
|
|
(19
|
)
|
|
128
|
|
|
(415
|
)
|
|
409
|
|
|
(7,730
|
)
|
|
—
|
|
|
—
|
|
|
12,908
|
|
|||||||||
|
Real estate owned
|
24,977
|
|
|
—
|
|
|
—
|
|
|
49
|
|
|
1,137
|
|
|
(401
|
)
|
|
—
|
|
|
—
|
|
|
25,762
|
|
|||||||||
|
Corporate equity investments
|
35,698
|
|
|
—
|
|
|
329
|
|
|
(806
|
)
|
|
4,641
|
|
|
(2,535
|
)
|
|
—
|
|
|
—
|
|
|
37,327
|
|
|||||||||
|
Total investments, at fair value
|
532,238
|
|
|
(4,033
|
)
|
|
1,594
|
|
|
(2,192
|
)
|
|
94,721
|
|
|
(72,311
|
)
|
|
7,692
|
|
|
(16,497
|
)
|
|
541,212
|
|
|||||||||
|
Financial derivatives–assets, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Credit default swaps on asset-backed securities
|
5,107
|
|
|
—
|
|
|
603
|
|
|
(577
|
)
|
|
27
|
|
|
(630
|
)
|
|
—
|
|
|
—
|
|
|
4,530
|
|
|||||||||
|
Total return swaps
|
—
|
|
|
—
|
|
|
21
|
|
|
—
|
|
|
—
|
|
|
(21
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
|
Total financial derivatives– assets, at fair value
|
5,107
|
|
|
—
|
|
|
624
|
|
|
(577
|
)
|
|
27
|
|
|
(651
|
)
|
|
—
|
|
|
—
|
|
|
4,530
|
|
|||||||||
|
Total investments and financial derivatives–assets, at fair value
|
$
|
537,345
|
|
|
$
|
(4,033
|
)
|
|
$
|
2,218
|
|
|
$
|
(2,769
|
)
|
|
$
|
94,748
|
|
|
$
|
(72,962
|
)
|
|
$
|
7,692
|
|
|
$
|
(16,497
|
)
|
|
$
|
545,742
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
(In thousands)
|
Ending
Balance as of June 30, 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 September 30, 2017 |
||||||||||||||||||
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Financial derivatives–liabilities, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Credit default swaps on asset-backed securities
|
$
|
(207
|
)
|
|
$
|
—
|
|
|
$
|
(20
|
)
|
|
$
|
—
|
|
|
$
|
20
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(207
|
)
|
|
Total return swaps
|
—
|
|
|
—
|
|
|
13
|
|
|
—
|
|
|
(13
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
|
Total financial derivatives– liabilities, at fair value
|
$
|
(207
|
)
|
|
$
|
—
|
|
|
$
|
(7
|
)
|
|
$
|
—
|
|
|
$
|
7
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(207
|
)
|
|
(In thousands)
|
Ending
Balance as of June 30, 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
September 30, 2016
|
||||||||||||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Investments, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Agency residential mortgage-backed securities
|
$
|
20,506
|
|
|
$
|
(1,821
|
)
|
|
$
|
(77
|
)
|
|
$
|
(169
|
)
|
|
$
|
1,385
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
19,824
|
|
|
Private label residential mortgage-backed securities
|
112,511
|
|
|
256
|
|
|
(958
|
)
|
|
6,086
|
|
|
—
|
|
|
(23,652
|
)
|
|
1,517
|
|
|
(13,815
|
)
|
|
81,945
|
|
|||||||||
|
Private label commercial mortgage-backed securities
|
34,942
|
|
|
429
|
|
|
87
|
|
|
(292
|
)
|
|
5,335
|
|
|
(3,556
|
)
|
|
—
|
|
|
—
|
|
|
36,945
|
|
|||||||||
|
Commercial mortgage loans
|
49,466
|
|
|
801
|
|
|
72
|
|
|
(1,140
|
)
|
|
13,226
|
|
|
(5,456
|
)
|
|
—
|
|
|
—
|
|
|
56,969
|
|
|||||||||
|
Residential mortgage loans
|
46,649
|
|
|
67
|
|
|
(78
|
)
|
|
(66
|
)
|
|
24,002
|
|
|
(26,499
|
)
|
|
—
|
|
|
—
|
|
|
44,075
|
|
|||||||||
|
Collateralized loan obligations
|
33,109
|
|
|
(890
|
)
|
|
(703
|
)
|
|
2,844
|
|
|
4,241
|
|
|
(10,198
|
)
|
|
—
|
|
|
—
|
|
|
28,403
|
|
|||||||||
|
Consumer loans and asset-backed securities backed by consumer loans
|
154,395
|
|
|
(2,919
|
)
|
|
204
|
|
|
(2,290
|
)
|
|
51,775
|
|
|
(82,066
|
)
|
|
—
|
|
|
—
|
|
|
119,099
|
|
|||||||||
|
Corporate debt
|
36,974
|
|
|
(52
|
)
|
|
(1,942
|
)
|
|
3,753
|
|
|
83,700
|
|
|
(66,116
|
)
|
|
—
|
|
|
—
|
|
|
56,317
|
|
|||||||||
|
Real estate owned
|
4,162
|
|
|
—
|
|
|
53
|
|
|
(214
|
)
|
|
1,942
|
|
|
(2,359
|
)
|
|
—
|
|
|
—
|
|
|
3,584
|
|
|||||||||
|
Private corporate equity investments
|
19,418
|
|
|
—
|
|
|
733
|
|
|
349
|
|
|
5,100
|
|
|
(10,082
|
)
|
|
—
|
|
|
—
|
|
|
15,518
|
|
|||||||||
|
Total investments, at fair value
|
512,132
|
|
|
(4,129
|
)
|
|
(2,609
|
)
|
|
8,861
|
|
|
190,706
|
|
|
(229,984
|
)
|
|
1,517
|
|
|
(13,815
|
)
|
|
462,679
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
(In thousands)
|
Ending
Balance as of June 30, 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 September 30, 2016 |
||||||||||||||||||
|
Financial derivatives–assets, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Credit default swaps on asset-backed securities
|
$
|
6,068
|
|
|
$
|
—
|
|
|
$
|
604
|
|
|
$
|
(221
|
)
|
|
$
|
65
|
|
|
$
|
(659
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,857
|
|
|
Total return swaps
|
824
|
|
|
—
|
|
|
3,222
|
|
|
(628
|
)
|
|
954
|
|
|
(4,176
|
)
|
|
—
|
|
|
—
|
|
|
196
|
|
|||||||||
|
Warrants
|
100
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,486
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,586
|
|
|||||||||
|
Total financial derivatives– assets, at fair value
|
6,992
|
|
|
—
|
|
|
3,826
|
|
|
(849
|
)
|
|
8,505
|
|
|
(4,835
|
)
|
|
—
|
|
|
—
|
|
|
13,639
|
|
|||||||||
|
Total investments and financial derivatives–assets, at fair value
|
$
|
519,124
|
|
|
$
|
(4,129
|
)
|
|
$
|
1,217
|
|
|
$
|
8,012
|
|
|
$
|
199,211
|
|
|
$
|
(234,819
|
)
|
|
$
|
1,517
|
|
|
$
|
(13,815
|
)
|
|
$
|
476,318
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Investments sold short, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Corporate debt
|
$
|
(9,947
|
)
|
|
$
|
—
|
|
|
$
|
(122
|
)
|
|
$
|
(7
|
)
|
|
$
|
20,974
|
|
|
$
|
(50,085
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(39,187
|
)
|
|
Total investments sold short, at fair value
|
(9,947
|
)
|
|
—
|
|
|
(122
|
)
|
|
(7
|
)
|
|
20,974
|
|
|
(50,085
|
)
|
|
—
|
|
|
—
|
|
|
(39,187
|
)
|
|||||||||
|
Financial derivatives–liabilities, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Credit default swaps on asset-backed securities
|
(234
|
)
|
|
—
|
|
|
18
|
|
|
(67
|
)
|
|
47
|
|
|
(26
|
)
|
|
—
|
|
|
—
|
|
|
(262
|
)
|
|||||||||
|
Total return swaps
|
(1,016
|
)
|
|
—
|
|
|
(2,143
|
)
|
|
(207
|
)
|
|
1,890
|
|
|
253
|
|
|
—
|
|
|
—
|
|
|
(1,223
|
)
|
|||||||||
|
Total financial derivatives– liabilities, at fair value
|
(1,250
|
)
|
|
—
|
|
|
(2,125
|
)
|
|
(274
|
)
|
|
1,937
|
|
|
227
|
|
|
—
|
|
|
—
|
|
|
(1,485
|
)
|
|||||||||
|
Guarantees:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Guarantees
|
(312
|
)
|
|
—
|
|
|
—
|
|
|
162
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(150
|
)
|
|||||||||
|
Total guarantees
|
(312
|
)
|
|
—
|
|
|
—
|
|
|
162
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(150
|
)
|
|||||||||
|
Total investments sold short, financial derivatives– liabilities, and guarantees, at fair value
|
$
|
(11,509
|
)
|
|
$
|
—
|
|
|
$
|
(2,247
|
)
|
|
$
|
(119
|
)
|
|
$
|
22,911
|
|
|
$
|
(49,858
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(40,822
|
)
|
|
(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
September 30, 2017
|
||||||||||||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Investments, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Agency residential mortgage-backed securities
|
$
|
29,622
|
|
|
$
|
(7,233
|
)
|
|
$
|
(515
|
)
|
|
$
|
(140
|
)
|
|
$
|
3,962
|
|
|
$
|
(153
|
)
|
|
$
|
—
|
|
|
$
|
(19,724
|
)
|
|
$
|
5,819
|
|
|
Private label residential mortgage-backed securities
|
90,083
|
|
|
1,672
|
|
|
1,334
|
|
|
7,319
|
|
|
31,117
|
|
|
(37,278
|
)
|
|
15,043
|
|
|
(35,642
|
)
|
|
73,648
|
|
|||||||||
|
Private label commercial mortgage-backed securities
|
43,268
|
|
|
574
|
|
|
(3,434
|
)
|
|
7,873
|
|
|
2,120
|
|
|
(31,542
|
)
|
|
—
|
|
|
(7,227
|
)
|
|
11,632
|
|
|||||||||
|
Commercial mortgage loans
|
61,129
|
|
|
771
|
|
|
416
|
|
|
1,167
|
|
|
31,887
|
|
|
(27,475
|
)
|
|
—
|
|
|
—
|
|
|
67,895
|
|
|||||||||
|
Residential mortgage loans
|
84,290
|
|
|
(196
|
)
|
|
1,469
|
|
|
(1,090
|
)
|
|
108,356
|
|
|
(29,866
|
)
|
|
—
|
|
|
—
|
|
|
162,963
|
|
|||||||||
|
Collateralized loan obligations
|
44,956
|
|
|
(5,702
|
)
|
|
1,477
|
|
|
2,135
|
|
|
52,269
|
|
|
(54,305
|
)
|
|
—
|
|
|
(13,912
|
)
|
|
26,918
|
|
|||||||||
|
Consumer loans and asset-backed securities backed by consumer loans
(1)
|
107,157
|
|
|
(9,631
|
)
|
|
426
|
|
|
(247
|
)
|
|
83,138
|
|
|
(64,503
|
)
|
|
—
|
|
|
—
|
|
|
116,340
|
|
|||||||||
|
Corporate debt
|
25,004
|
|
|
236
|
|
|
676
|
|
|
(229
|
)
|
|
83,900
|
|
|
(96,679
|
)
|
|
—
|
|
|
—
|
|
|
12,908
|
|
|||||||||
|
Real estate owned
|
3,349
|
|
|
—
|
|
|
424
|
|
|
(246
|
)
|
|
25,348
|
|
|
(3,113
|
)
|
|
—
|
|
|
—
|
|
|
25,762
|
|
|||||||||
|
Corporate equity investments
(1)
|
29,392
|
|
|
—
|
|
|
1,848
|
|
|
(1,529
|
)
|
|
16,416
|
|
|
(8,800
|
)
|
|
—
|
|
|
—
|
|
|
37,327
|
|
|||||||||
|
Total investments, at fair value
|
518,250
|
|
|
(19,509
|
)
|
|
4,121
|
|
|
15,013
|
|
|
438,513
|
|
|
(353,714
|
)
|
|
15,043
|
|
|
(76,505
|
)
|
|
541,212
|
|
|||||||||
|
Financial derivatives–assets, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Credit default swaps on asset-backed securities
|
5,326
|
|
|
—
|
|
|
971
|
|
|
(796
|
)
|
|
95
|
|
|
(1,066
|
)
|
|
—
|
|
|
—
|
|
|
4,530
|
|
|||||||||
|
Total return swaps
|
155
|
|
|
—
|
|
|
243
|
|
|
(155
|
)
|
|
—
|
|
|
(243
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
|
Warrants
|
106
|
|
|
—
|
|
|
(100
|
)
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
|
Total financial derivatives– assets, at fair value
|
5,587
|
|
|
—
|
|
|
1,114
|
|
|
(957
|
)
|
|
95
|
|
|
(1,309
|
)
|
|
—
|
|
|
—
|
|
|
4,530
|
|
|||||||||
|
Total investments and financial derivatives–assets, at fair value
|
$
|
523,837
|
|
|
$
|
(19,509
|
)
|
|
$
|
5,235
|
|
|
$
|
14,056
|
|
|
$
|
438,608
|
|
|
$
|
(355,023
|
)
|
|
$
|
15,043
|
|
|
$
|
(76,505
|
)
|
|
$
|
545,742
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Financial derivatives–liabilities, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Credit default swaps on asset-backed securities
|
$
|
(256
|
)
|
|
$
|
—
|
|
|
$
|
(485
|
)
|
|
$
|
477
|
|
|
$
|
485
|
|
|
$
|
(428
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(207
|
)
|
|
Total return swaps
|
(249
|
)
|
|
—
|
|
|
(279
|
)
|
|
249
|
|
|
291
|
|
|
(12
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
|
Total financial derivatives– liabilities, at fair value
|
$
|
(505
|
)
|
|
$
|
—
|
|
|
$
|
(764
|
)
|
|
$
|
726
|
|
|
$
|
776
|
|
|
$
|
(440
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(207
|
)
|
|
(1)
|
Conformed to current period presentation.
|
|
(In thousands)
|
Ending
Balance as of December 31, 2015 |
|
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 September 30, 2016 |
||||||||||||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Investments, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Agency residential mortgage-backed securities
|
$
|
24,918
|
|
|
$
|
(5,766
|
)
|
|
$
|
(168
|
)
|
|
$
|
(849
|
)
|
|
$
|
1,689
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
19,824
|
|
|
Private label residential mortgage-backed securities
|
116,435
|
|
|
1,518
|
|
|
(1,305
|
)
|
|
2,995
|
|
|
7,439
|
|
|
(34,904
|
)
|
|
8,360
|
|
|
(18,593
|
)
|
|
81,945
|
|
|||||||||
|
Private label commercial mortgage-backed securities
|
34,145
|
|
|
1,315
|
|
|
409
|
|
|
(4,132
|
)
|
|
13,179
|
|
|
(7,971
|
)
|
|
—
|
|
|
—
|
|
|
36,945
|
|
|||||||||
|
Commercial mortgage loans
|
66,399
|
|
|
2,073
|
|
|
254
|
|
|
(917
|
)
|
|
26,650
|
|
|
(37,490
|
)
|
|
—
|
|
|
—
|
|
|
56,969
|
|
|||||||||
|
Residential mortgage loans
|
22,089
|
|
|
315
|
|
|
787
|
|
|
61
|
|
|
56,068
|
|
|
(35,245
|
)
|
|
—
|
|
|
—
|
|
|
44,075
|
|
|||||||||
|
Collateralized loan obligations
|
45,974
|
|
|
(3,759
|
)
|
|
98
|
|
|
3,261
|
|
|
5,418
|
|
|
(22,589
|
)
|
|
—
|
|
|
—
|
|
|
28,403
|
|
|||||||||
|
Consumer loans and asset-backed securities backed by consumer loans
|
115,376
|
|
|
(8,515
|
)
|
|
210
|
|
|
(2,839
|
)
|
|
140,731
|
|
|
(125,864
|
)
|
|
—
|
|
|
—
|
|
|
119,099
|
|
|||||||||
|
Corporate debt
|
27,028
|
|
|
(99
|
)
|
|
(1,687
|
)
|
|
1,652
|
|
|
136,020
|
|
|
(106,597
|
)
|
|
—
|
|
|
—
|
|
|
56,317
|
|
|||||||||
|
Real estate owned
|
12,522
|
|
|
—
|
|
|
2,291
|
|
|
(545
|
)
|
|
12,614
|
|
|
(23,298
|
)
|
|
—
|
|
|
—
|
|
|
3,584
|
|
|||||||||
|
Private corporate equity investments
|
22,088
|
|
|
—
|
|
|
704
|
|
|
(182
|
)
|
|
11,617
|
|
|
(18,709
|
)
|
|
—
|
|
|
—
|
|
|
15,518
|
|
|||||||||
|
Total investments, at fair value
|
486,974
|
|
|
(12,918
|
)
|
|
1,593
|
|
|
(1,495
|
)
|
|
411,425
|
|
|
(412,667
|
)
|
|
8,360
|
|
|
(18,593
|
)
|
|
462,679
|
|
|||||||||
|
Financial derivatives–assets, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Credit default swaps on asset-backed securities
|
6,332
|
|
|
—
|
|
|
1,068
|
|
|
(476
|
)
|
|
77
|
|
|
(1,144
|
)
|
|
—
|
|
|
—
|
|
|
5,857
|
|
|||||||||
|
Total return swaps
|
85
|
|
|
—
|
|
|
3,119
|
|
|
111
|
|
|
1,377
|
|
|
(4,496
|
)
|
|
—
|
|
|
—
|
|
|
196
|
|
|||||||||
|
Warrants
|
150
|
|
|
—
|
|
|
(50
|
)
|
|
—
|
|
|
7,486
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,586
|
|
|||||||||
|
Total financial derivatives– assets, at fair value
|
6,567
|
|
|
—
|
|
|
4,137
|
|
|
(365
|
)
|
|
8,940
|
|
|
(5,640
|
)
|
|
—
|
|
|
—
|
|
|
13,639
|
|
|||||||||
|
Total investments and financial derivatives–assets, at fair value
|
$
|
493,541
|
|
|
$
|
(12,918
|
)
|
|
$
|
5,730
|
|
|
$
|
(1,860
|
)
|
|
$
|
420,365
|
|
|
$
|
(418,307
|
)
|
|
$
|
8,360
|
|
|
$
|
(18,593
|
)
|
|
$
|
476,318
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Investments sold short, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Corporate debt
|
$
|
(448
|
)
|
|
$
|
(8
|
)
|
|
$
|
409
|
|
|
$
|
(566
|
)
|
|
$
|
32,230
|
|
|
$
|
(70,804
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(39,187
|
)
|
|
Total investments sold short, at fair value
|
(448
|
)
|
|
(8
|
)
|
|
409
|
|
|
(566
|
)
|
|
32,230
|
|
|
(70,804
|
)
|
|
—
|
|
|
—
|
|
|
(39,187
|
)
|
|||||||||
|
Financial derivatives– liabilities, at fair value-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Credit default swaps on asset-backed securities
|
(221
|
)
|
|
—
|
|
|
(61
|
)
|
|
(42
|
)
|
|
47
|
|
|
15
|
|
|
—
|
|
|
—
|
|
|
(262
|
)
|
|||||||||
|
Total return swaps
|
(4,662
|
)
|
|
—
|
|
|
(6,508
|
)
|
|
3,438
|
|
|
6,576
|
|
|
(67
|
)
|
|
—
|
|
|
—
|
|
|
(1,223
|
)
|
|||||||||
|
Total financial derivatives– liabilities, at fair value
|
(4,883
|
)
|
|
—
|
|
|
(6,569
|
)
|
|
3,396
|
|
|
6,623
|
|
|
(52
|
)
|
|
—
|
|
|
—
|
|
|
(1,485
|
)
|
|||||||||
|
Guarantees:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Guarantees
|
(828
|
)
|
|
—
|
|
|
—
|
|
|
678
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(150
|
)
|
|||||||||
|
Total guarantees
|
(828
|
)
|
|
—
|
|
|
—
|
|
|
678
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(150
|
)
|
|||||||||
|
Total financial derivatives– liabilities and guarantees, at fair value
|
$
|
(6,159
|
)
|
|
$
|
(8
|
)
|
|
$
|
(6,160
|
)
|
|
$
|
3,508
|
|
|
$
|
38,853
|
|
|
$
|
(70,856
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(40,822
|
)
|
|
|
|
As of
|
||||||
|
|
|
September 30, 2017
|
|
December 31, 2016
|
||||
|
Assets:
|
|
(In thousands)
|
||||||
|
TBA securities, at fair value (Current principal: $115,303 and $67,720, respectively)
|
|
$
|
121,009
|
|
|
$
|
70,525
|
|
|
Receivable for securities sold relating to unsettled TBA sales
|
|
471,626
|
|
|
406,708
|
|
||
|
Liabilities:
|
|
|
|
|
||||
|
TBA securities sold short, at fair value (Current principal: -$447,590 and -$384,155, respectively)
|
|
$
|
(470,487
|
)
|
|
$
|
(404,728
|
)
|
|
Payable for securities purchased relating to unsettled TBA purchases
|
|
(121,353
|
)
|
|
(70,347
|
)
|
||
|
Net short TBA securities, at fair value
|
|
(349,478
|
)
|
|
(334,203
|
)
|
||
|
|
|
|
|
Three Month Period Ended September 30, 2017
|
|
Nine Month Period Ended
September 30, 2017 |
||||||||||||
|
Derivative Type
|
|
Primary Risk
Exposure
|
|
Net Realized
Gain/(Loss) (1) |
|
Change in Net Unrealized Gain/(Loss)
(2)
|
|
Net Realized
Gain/(Loss) (1) |
|
Change in Net Unrealized Gain/(Loss)
(2)
|
||||||||
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Credit default swaps on asset-backed securities
|
|
Credit
|
|
$
|
583
|
|
|
$
|
(577
|
)
|
|
$
|
486
|
|
|
$
|
(319
|
)
|
|
Credit default swaps on asset-backed indices
|
|
Credit
|
|
(58
|
)
|
|
(522
|
)
|
|
(2,514
|
)
|
|
(3,132
|
)
|
||||
|
Credit default swaps on corporate bond indices
|
|
Credit
|
|
(975
|
)
|
|
(591
|
)
|
|
(2,147
|
)
|
|
(573
|
)
|
||||
|
Credit default swaps on corporate bonds
|
|
Credit
|
|
(241
|
)
|
|
1,837
|
|
|
218
|
|
|
842
|
|
||||
|
Total return swaps
|
|
Equity Market/Credit
|
|
(293
|
)
|
|
1
|
|
|
(1,649
|
)
|
|
150
|
|
||||
|
Interest rate swaps
|
|
Interest Rates
|
|
318
|
|
|
(694
|
)
|
|
(262
|
)
|
|
(1,492
|
)
|
||||
|
Futures
|
|
Interest Rates
|
|
(152
|
)
|
|
147
|
|
|
(331
|
)
|
|
183
|
|
||||
|
Forwards
|
|
Currency
|
|
(4,013
|
)
|
|
2,026
|
|
|
(7,357
|
)
|
|
1,162
|
|
||||
|
Warrants
|
|
Equity Market
|
|
—
|
|
|
—
|
|
|
(100
|
)
|
|
(6
|
)
|
||||
|
Mortgage loan purchase commitments
|
|
Interest Rates
|
|
—
|
|
|
—
|
|
|
—
|
|
|
31
|
|
||||
|
Options
|
|
Credit/Interest Rate/Equity Market
|
|
167
|
|
|
26
|
|
|
18
|
|
|
41
|
|
||||
|
Total
|
|
|
|
$
|
(4,664
|
)
|
|
$
|
1,653
|
|
|
$
|
(13,638
|
)
|
|
$
|
(3,113
|
)
|
|
(1)
|
Includes gain/(loss) on foreign currency transactions on derivatives in the amount of
$(56) thousand
and
$(68) thousand
, for the three and nine month periods ended
September 30, 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
$(59) thousand
and
$(194) thousand
, for the three and nine month periods ended
September 30, 2017
, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation.
|
|
|
|
|
|
Three Month Period Ended September 30, 2016
|
|
Nine Month Period Ended
September 30, 2016
|
||||||||||||
|
Derivative Type
|
|
Primary Risk
Exposure |
|
Net Realized
Gain/(Loss) (1) |
|
Change in Net Unrealized Gain/(Loss)
(2)
|
|
Net Realized
Gain/(Loss) (1) |
|
Change in Net Unrealized Gain/(Loss)
(2)
|
||||||||
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Credit default swaps on asset-backed securities
|
|
Credit
|
|
$
|
622
|
|
|
$
|
(288
|
)
|
|
$
|
1,007
|
|
|
$
|
(518
|
)
|
|
Credit default swaps on asset-backed indices
|
|
Credit
|
|
983
|
|
|
(2,660
|
)
|
|
3,790
|
|
|
(905
|
)
|
||||
|
Credit default swaps on corporate bond indices
|
|
Credit
|
|
(21,220
|
)
|
|
12,572
|
|
|
(34,230
|
)
|
|
(5,260
|
)
|
||||
|
Credit default swaps on corporate bonds
|
|
Credit
|
|
110
|
|
|
(14
|
)
|
|
237
|
|
|
47
|
|
||||
|
Total return swaps
|
|
Equity Market/Credit
|
|
(4,408
|
)
|
|
(917
|
)
|
|
(11,323
|
)
|
|
3,466
|
|
||||
|
Interest rate swaps
|
|
Interest Rates
|
|
182
|
|
|
1,087
|
|
|
(1,167
|
)
|
|
(11,129
|
)
|
||||
|
Futures
|
|
Interest Rates/Equity Market
|
|
(89
|
)
|
|
271
|
|
|
(824
|
)
|
|
417
|
|
||||
|
Forwards
|
|
Currency
|
|
1,525
|
|
|
(1,855
|
)
|
|
221
|
|
|
(1,402
|
)
|
||||
|
Warrants
|
|
Equity Market
|
|
—
|
|
|
—
|
|
|
(50
|
)
|
|
—
|
|
||||
|
Mortgage loan purchase commitments
|
|
Interest Rates
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8
|
|
||||
|
Options
|
|
Credit/
Interest Rates |
|
925
|
|
|
(656
|
)
|
|
7,257
|
|
|
(298
|
)
|
||||
|
Total
|
|
|
|
$
|
(21,370
|
)
|
|
$
|
7,540
|
|
|
$
|
(35,082
|
)
|
|
$
|
(15,574
|
)
|
|
(1)
|
Includes gain/(loss) on foreign currency transactions on derivatives in the amount of
$0.4 million
and
$0.3 million
, for the three and nine month periods ended September 30, 2016, 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
and
$1.0 million
, for the three and nine month periods ended September 30, 2016, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation.
|
|
Derivative Type
|
|
Nine Month
Period Ended
September 30, 2017 |
|
Year Ended
December 31, 2016 |
||||
|
|
|
(In thousands)
|
||||||
|
Interest rate swaps
|
|
$
|
1,270,482
|
|
|
$
|
1,731,368
|
|
|
Credit default swaps
|
|
489,515
|
|
|
1,586,923
|
|
||
|
Total return swaps
|
|
22,536
|
|
|
113,628
|
|
||
|
Futures
|
|
57,240
|
|
|
371,900
|
|
||
|
Options
|
|
88,699
|
|
|
357,260
|
|
||
|
Forwards
|
|
74,623
|
|
|
80,513
|
|
||
|
Warrants
|
|
492
|
|
|
1,640
|
|
||
|
Mortgage loan purchase commitments
|
|
2,060
|
|
|
6,143
|
|
||
|
Credit Derivatives
|
|
September 30, 2017
|
|
December 31, 2016
|
||||
|
(In thousands)
|
|
|
|
|
||||
|
Fair Value of Written Credit Derivatives, Net
|
|
$
|
(705
|
)
|
|
$
|
(1,551
|
)
|
|
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties
(1)
|
|
$
|
756
|
|
|
$
|
4,552
|
|
|
Notional Value of Written Credit Derivatives
(2)
|
|
$
|
158,397
|
|
|
$
|
117,476
|
|
|
Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties
(1)
|
|
$
|
90,411
|
|
|
$
|
68,357
|
|
|
(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.
|
|
(In thousands)
|
|
September 30, 2017
|
|
December 31, 2016
|
|||||||||||||||
|
|
|
|
|
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
|
|
$
|
281,543
|
|
|
1.28
|
%
|
|
15
|
|
|
$
|
405,725
|
|
|
0.83
|
%
|
|
18
|
|
31-60 Days
|
|
263,601
|
|
|
1.33
|
%
|
|
44
|
|
|
195,288
|
|
|
0.94
|
%
|
|
45
|
||
|
61-90 Days
|
|
184,448
|
|
|
1.39
|
%
|
|
75
|
|
|
149,965
|
|
|
0.97
|
%
|
|
74
|
||
|
91-120 Days
|
|
38,826
|
|
|
1.40
|
%
|
|
103
|
|
|
8,240
|
|
|
0.83
|
%
|
|
102
|
||
|
121-150 Days
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
11,798
|
|
|
0.96
|
%
|
|
131
|
||
|
151-180 Days
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
19,296
|
|
|
1.05
|
%
|
|
164
|
||
|
Total Agency RMBS
|
|
768,418
|
|
|
1.33
|
%
|
|
43
|
|
|
790,312
|
|
|
0.89
|
%
|
|
41
|
||
|
Credit:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
30 Days or Less
|
|
64,719
|
|
|
1.79
|
%
|
|
7
|
|
|
94,849
|
|
|
2.55
|
%
|
|
16
|
||
|
31-60 Days
|
|
83,826
|
|
|
2.77
|
%
|
|
47
|
|
|
26,974
|
|
|
2.36
|
%
|
|
47
|
||
|
61-90 Days
|
|
52,247
|
|
|
2.19
|
%
|
|
72
|
|
|
41,522
|
|
|
2.43
|
%
|
|
77
|
||
|
91-120 Days
|
|
34,783
|
|
|
3.82
|
%
|
|
103
|
|
|
10,084
|
|
|
2.91
|
%
|
|
97
|
||
|
121-150 Days
|
|
3,338
|
|
|
3.04
|
%
|
|
126
|
|
|
1,239
|
|
|
2.73
|
%
|
|
124
|
||
|
151-180 Days
|
|
8,991
|
|
|
3.63
|
%
|
|
164
|
|
|
12,616
|
|
|
3.17
|
%
|
|
165
|
||
|
181-360 Days
|
|
7,768
|
|
|
3.72
|
%
|
|
234
|
|
|
50,557
|
|
|
3.46
|
%
|
|
316
|
||
|
Total Credit Assets
|
|
255,672
|
|
|
2.61
|
%
|
|
60
|
|
|
237,841
|
|
|
2.75
|
%
|
|
105
|
||
|
U.S. Treasury Securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
30 Days or Less
|
|
5,720
|
|
|
1.30
|
%
|
|
2
|
|
|
5,428
|
|
|
0.91
|
%
|
|
4
|
||
|
Total U.S. Treasury Securities
|
|
5,720
|
|
|
1.30
|
%
|
|
2
|
|
|
5,428
|
|
|
0.91
|
%
|
|
4
|
||
|
Total
|
|
$
|
1,029,810
|
|
|
1.65
|
%
|
|
48
|
|
|
$
|
1,033,581
|
|
|
1.32
|
%
|
|
56
|
|
Year
|
|
Reverse Repurchase Agreements
|
|
Other
Secured Borrowings
|
|
Senior Notes
(1)
|
|
Total
|
||||||||
|
2017
|
|
$
|
936,105
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
936,105
|
|
|
2018
|
|
93,705
|
|
|
46,899
|
|
|
—
|
|
|
140,604
|
|
||||
|
2019
|
|
—
|
|
|
42,747
|
|
|
—
|
|
|
42,747
|
|
||||
|
2020
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
2021
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
2022
|
|
—
|
|
|
—
|
|
|
86,000
|
|
|
86,000
|
|
||||
|
Total
|
|
$
|
1,029,810
|
|
|
$
|
89,646
|
|
|
$
|
86,000
|
|
|
$
|
1,205,456
|
|
|
(1)
|
Represents par value.
|
|
Grant Recipient
|
|
Number of LTIP Units Granted
|
|
Grant Date
|
|
Vesting Date
(1)
|
|
|
Independent directors:
|
|
|
|
|
|
|
|
|
|
|
10,002
|
|
|
September 12, 2017
|
|
September 11, 2018
|
|
Partially dedicated employees:
|
|
|
|
|
|
|
|
|
|
|
8,090
|
|
|
December 13, 2016
|
|
December 13, 2017
|
|
|
|
5,583
|
|
|
December 13, 2016
|
|
December 13, 2018
|
|
|
|
5,949
|
|
|
December 15, 2015
|
|
December 15, 2017
|
|
|
|
686
|
|
|
December 15, 2015
|
|
December 31, 2017
|
|
Total unvested LTIP Units at September 30, 2017
|
|
30,310
|
|
|
|
|
|
|
(1)
|
Date at which such LTIP Units will vest and become non-forfeitable.
|
|
|
Three Month Period Ended
September 30, 2017 |
|
Three Month Period Ended
September 30, 2016 |
||||||||||||||
|
|
Manager
|
|
Director/
Employee
|
|
Total
|
|
Manager
|
|
Director/
Employee
|
|
Total
|
||||||
|
LTIP Units Outstanding (6/30/2017 and 6/30/2016, respectively)
|
375,000
|
|
|
94,539
|
|
|
469,539
|
|
|
375,000
|
|
|
74,938
|
|
|
449,938
|
|
|
Granted
|
—
|
|
|
10,002
|
|
|
10,002
|
|
|
—
|
|
|
8,403
|
|
|
8,403
|
|
|
Exercised
|
—
|
|
|
(2,801
|
)
|
|
(2,801
|
)
|
|
—
|
|
|
(2,475
|
)
|
|
(2,475
|
)
|
|
LTIP Units Outstanding (9/30/2017 and 9/30/2016, respectively)
|
375,000
|
|
|
101,740
|
|
|
476,740
|
|
|
375,000
|
|
|
80,866
|
|
|
455,866
|
|
|
LTIP Units Vested and Outstanding (9/30/2017 and 9/30/2016, respectively)
|
375,000
|
|
|
71,430
|
|
|
446,430
|
|
|
375,000
|
|
|
51,070
|
|
|
426,070
|
|
|
|
Nine Month Period Ended
September 30, 2017 |
|
Nine Month Period Ended
September 30, 2016 |
||||||||||||||
|
|
Manager
|
|
Director/
Employee
|
|
Total
|
|
Manager
|
|
Director/
Employee
|
|
Total
|
||||||
|
LTIP Units Outstanding (12/31/2016 and 12/31/2015, respectively)
|
375,000
|
|
|
94,539
|
|
|
469,539
|
|
|
375,000
|
|
|
74,938
|
|
|
449,938
|
|
|
Granted
|
—
|
|
|
10,002
|
|
|
10,002
|
|
|
—
|
|
|
8,403
|
|
|
8,403
|
|
|
Exercised
|
—
|
|
|
(2,801
|
)
|
|
(2,801
|
)
|
|
—
|
|
|
(2,475
|
)
|
|
(2,475
|
)
|
|
LTIP Units Outstanding (9/30/2017 and 9/30/2016, respectively)
|
375,000
|
|
|
101,740
|
|
|
476,740
|
|
|
375,000
|
|
|
80,866
|
|
|
455,866
|
|
|
LTIP Units Vested and Outstanding (9/30/2017 and 9/30/2016, respectively)
|
375,000
|
|
|
71,430
|
|
|
446,430
|
|
|
375,000
|
|
|
51,070
|
|
|
426,070
|
|
|
|
|
Three Month Period Ended
|
|
Nine Month Period Ended
|
||||||||
|
|
|
September 30, 2017
|
|
September 30, 2016
|
|
September 30, 2017
|
|
September 30, 2016
|
||||
|
Common Shares Outstanding
(6/30/2017, 6/30/2016, 12/31/2016, and 12/31/2015, respectively)
|
|
32,112,697
|
|
|
32,743,356
|
|
|
32,294,703
|
|
|
33,126,012
|
|
|
Share Activity:
|
|
|
|
|
|
|
|
|
||||
|
Shares repurchased
|
|
(123,321
|
)
|
|
(126,771
|
)
|
|
(305,327
|
)
|
|
(509,427
|
)
|
|
Director LTIP Units exercised
|
|
2,801
|
|
|
2,475
|
|
|
2,801
|
|
|
2,475
|
|
|
Common Shares Outstanding
(9/30/2017, 9/30/2016, 9/30/2017, and 9/30/2016, respectively)
|
|
31,992,177
|
|
|
32,619,060
|
|
|
31,992,177
|
|
|
32,619,060
|
|
|
|
|
Three Month Period Ended September 30,
|
|
Nine Month Period Ended September 30,
|
||||||||||||
|
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
|
(In thousands except share amounts)
|
|
|
|
|
|
|
|
|
||||||||
|
Net increase (decrease) in shareholders' equity resulting from operations
|
|
$
|
6,195
|
|
|
$
|
516
|
|
|
$
|
26,537
|
|
|
$
|
(17,699
|
)
|
|
Add: Net increase (decrease) in equity resulting from operations attributable to the participating non-controlling interest
(1)
|
|
41
|
|
|
3
|
|
|
172
|
|
|
(112
|
)
|
||||
|
Net increase (decrease) in equity resulting from operations related to common shares, LTIP Unit holders, and participating non-controlling interest
|
|
6,236
|
|
|
519
|
|
|
26,709
|
|
|
(17,811
|
)
|
||||
|
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
|
|
6,106
|
|
|
509
|
|
|
26,155
|
|
|
(17,460
|
)
|
||||
|
Net increase (decrease) in shareholders' equity resulting from operations– LTIP Units
|
|
89
|
|
|
7
|
|
|
382
|
|
|
(239
|
)
|
||||
|
Dividends Paid
(2)
:
|
|
|
|
|
|
|
|
|
||||||||
|
Common shareholders
|
|
(14,451
|
)
|
|
(16,309
|
)
|
|
(43,416
|
)
|
|
(49,263
|
)
|
||||
|
LTIP Unit holders
|
|
(211
|
)
|
|
(225
|
)
|
|
(634
|
)
|
|
(675
|
)
|
||||
|
Non-controlling interest
|
|
(96
|
)
|
|
(106
|
)
|
|
(286
|
)
|
|
(318
|
)
|
||||
|
Total dividends paid to common shareholders, LTIP Unit holders, and non-controlling interest
|
|
(14,758
|
)
|
|
(16,640
|
)
|
|
(44,336
|
)
|
|
(50,256
|
)
|
||||
|
Undistributed (Distributed in excess of) earnings:
|
|
|
|
|
|
|
|
|
||||||||
|
Common shareholders
|
|
(8,345
|
)
|
|
(15,800
|
)
|
|
(17,261
|
)
|
|
(66,723
|
)
|
||||
|
LTIP Unit holders
|
|
(122
|
)
|
|
(218
|
)
|
|
(252
|
)
|
|
(914
|
)
|
||||
|
Non-controlling interest
|
|
(55
|
)
|
|
(103
|
)
|
|
(114
|
)
|
|
(430
|
)
|
||||
|
Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP Unit holders, and non-controlling interest
|
|
$
|
(8,522
|
)
|
|
$
|
(16,121
|
)
|
|
$
|
(17,627
|
)
|
|
$
|
(68,067
|
)
|
|
Weighted average shares outstanding (basic and diluted):
|
|
|
|
|
|
|
|
|
||||||||
|
Weighted average common shares outstanding
|
|
32,095,675
|
|
|
32,643,154
|
|
|
32,153,366
|
|
|
32,854,979
|
|
||||
|
Weighted average participating LTIP Units
|
|
471,057
|
|
|
451,125
|
|
|
470,050
|
|
|
450,336
|
|
||||
|
Weighted average non-controlling interest units
|
|
212,000
|
|
|
212,000
|
|
|
212,000
|
|
|
212,000
|
|
||||
|
Basic earnings per common share:
|
|
|
|
|
|
|
|
|
||||||||
|
Distributed
|
|
$
|
0.45
|
|
|
$
|
0.50
|
|
|
$
|
1.35
|
|
|
$
|
1.50
|
|
|
Undistributed (Distributed in excess of)
|
|
(0.26
|
)
|
|
(0.48
|
)
|
|
(0.54
|
)
|
|
(2.03
|
)
|
||||
|
|
|
$
|
0.19
|
|
|
$
|
0.02
|
|
|
$
|
0.81
|
|
|
$
|
(0.53
|
)
|
|
Diluted earnings per common share:
|
|
|
|
|
|
|
|
|
||||||||
|
Distributed
|
|
$
|
0.45
|
|
|
$
|
0.50
|
|
|
$
|
1.35
|
|
|
$
|
1.50
|
|
|
Undistributed (Distributed in excess of)
|
|
(0.26
|
)
|
|
(0.48
|
)
|
|
(0.54
|
)
|
|
(2.03
|
)
|
||||
|
|
|
$
|
0.19
|
|
|
$
|
0.02
|
|
|
$
|
0.81
|
|
|
$
|
(0.53
|
)
|
|
(1)
|
For the three month periods ended
September 30, 2017
and 2016, excludes net increase in equity resulting from operations of
$0.4 million
and
$31 thousand
, respectively, attributable to joint venture partners, which have non-participating interests as described in Note 9. For the nine month periods
|
|
(2)
|
The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings.
|
|
Dealer
|
|
% of Total Due
from Brokers
|
|
J. P. Morgan Securities LLC
|
|
23%
|
|
Morgan Stanley
|
|
20%
|
|
BNP Paribas Securities Corp.
|
|
19%
|
|
Dealer
|
|
% of Total Receivable
for Securities Sold
|
|
Bank of America Securities
|
|
29%
|
|
Morgan Stanley
|
|
23%
|
|
|
|
As of
|
||
|
Counterparty
|
|
September 30, 2017
|
|
December 31, 2016
|
|
Bank of New York Mellon Corporation
|
|
45%
|
|
27%
|
|
Goldman Sachs Financial Square Funds—Government Fund
|
|
36%
|
|
16%
|
|
BlackRock Liquidity Funds FedFund Portfolio
|
|
18%
|
|
41%
|
|
US Bank N.A.
|
|
1%
|
|
—%
|
|
Morgan Stanley Institutional Liquidity Fund—Government Portfolio
|
|
—%
|
|
16%
|
|
|
|
September 30, 2017
|
|
December 31, 2016
|
||||
|
|
|
(In thousands)
|
||||||
|
Restricted cash balance related to:
|
|
|
|
|
||||
|
Minimum account balance required for regulatory purposes
|
|
$
|
250
|
|
|
$
|
250
|
|
|
Letter of credit
|
|
—
|
|
|
230
|
|
||
|
Flow consumer loan purchase and sale agreement
|
|
175
|
|
|
175
|
|
||
|
Total
|
|
$
|
425
|
|
|
$
|
655
|
|
|
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
|
|
$
|
29,896
|
|
|
$
|
(19,093
|
)
|
|
$
|
—
|
|
|
$
|
(3,600
|
)
|
|
$
|
7,203
|
|
|
Repurchase agreements
|
|
193,070
|
|
|
(193,070
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Financial derivatives–liabilities
|
|
(32,278
|
)
|
|
19,093
|
|
|
—
|
|
|
13,112
|
|
|
(73
|
)
|
|||||
|
Reverse repurchase agreements
|
|
(1,029,810
|
)
|
|
193,070
|
|
|
813,458
|
|
|
23,282
|
|
|
—
|
|
|||||
|
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
|
|
$
|
35,595
|
|
|
$
|
(15,082
|
)
|
|
$
|
—
|
|
|
$
|
(7,933
|
)
|
|
$
|
12,580
|
|
|
Repurchase agreements
|
|
184,819
|
|
|
(184,819
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Financial derivatives–liabilities
|
|
(18,687
|
)
|
|
15,082
|
|
|
—
|
|
|
3,574
|
|
|
(31
|
)
|
|||||
|
Reverse repurchase agreements
|
|
(1,033,581
|
)
|
|
184,819
|
|
|
809,573
|
|
|
39,189
|
|
|
—
|
|
|||||
|
(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
|
|
(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.
|
|
|
|
Three Month Period Ended
|
|
Nine Month Period Ended
|
||||||||||||
|
|
|
September 30, 2017
|
|
September 30, 2016
|
|
September 30, 2017
|
|
September 30, 2016
|
||||||||
|
Beginning Shareholders' Equity Per Share (6/30/2017, 6/30/2016, 12/31/2016, and 12/31/2015, respectively)
|
|
$
|
19.49
|
|
|
$
|
20.58
|
|
|
$
|
19.75
|
|
|
$
|
22.10
|
|
|
Net Investment Income
|
|
0.25
|
|
|
0.20
|
|
|
0.87
|
|
|
0.81
|
|
||||
|
Net Realized/Unrealized Gains (Losses)
|
|
(0.05
|
)
|
|
(0.18
|
)
|
|
—
|
|
|
(1.35
|
)
|
||||
|
Results of Operations Attributable to Equity
|
|
0.20
|
|
|
0.02
|
|
|
0.87
|
|
|
(0.54
|
)
|
||||
|
Less: Results of Operations Attributable to Non-controlling Interests
|
|
(0.01
|
)
|
|
—
|
|
|
(0.04
|
)
|
|
—
|
|
||||
|
Results of Operations Attributable to Shareholders' Equity
(1)
|
|
0.19
|
|
|
0.02
|
|
|
0.83
|
|
|
(0.54
|
)
|
||||
|
Dividends Paid to Common Shareholders
|
|
(0.45
|
)
|
|
(0.50
|
)
|
|
(1.35
|
)
|
|
(1.50
|
)
|
||||
|
Weighted Average Share Impact on Dividends Paid
(2)
|
|
(0.01
|
)
|
|
(0.01
|
)
|
|
(0.03
|
)
|
|
(0.03
|
)
|
||||
|
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest
|
|
0.02
|
|
|
0.02
|
|
|
0.04
|
|
|
0.08
|
|
||||
|
Ending Shareholders' Equity Per Share (9/30/2017, 9/30/2016, 9/30/2017, and 9/30/2016, respectively)
(3)
|
|
$
|
19.24
|
|
|
$
|
20.11
|
|
|
$
|
19.24
|
|
|
$
|
20.11
|
|
|
Shares Outstanding, end of period
|
|
31,992,177
|
|
|
32,619,060
|
|
|
31,992,177
|
|
|
32,619,060
|
|
||||
|
(1)
|
Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 11).
|
|
(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
September 30, 2017
and 2016, shareholders' equity per share would be $18.96 and $19.83, respectively.
|
|
|
|
Three Month Period Ended
|
|
Nine Month Period Ended
|
||||
|
|
|
September 30, 2017
|
|
September 30, 2016
|
|
September 30, 2017
|
|
September 30, 2016
|
|
Total Return
|
|
1.05%
|
|
0.13%
|
|
4.40%
|
|
(2.25)%
|
|
(1)
|
Total return is calculated assuming reinvestment of distributions at shareholders' equity per share during the period.
|
|
|
|
Three Month Period Ended
|
|
Nine Month Period Ended
|
||||
|
|
|
September 30, 2017
|
|
September 30, 2016
|
|
September 30, 2017
|
|
September 30, 2016
|
|
Net Investment Income
|
|
4.95%
|
|
3.80%
|
|
5.86%
|
|
5.14%
|
|
(1)
|
Average equity is calculated using month end values.
|
|
(2)
|
Includes all items of income and expense on an annualized basis.
|
|
|
|
Three Month Period Ended
|
|
Nine Month Period Ended
|
||||
|
|
|
September 30, 2017
|
|
September 30, 2016
|
|
September 30, 2017
|
|
September 30, 2016
|
|
Operating expenses, before interest expense and other investment related expenses
|
|
(2.76)%
|
|
(2.89)%
|
|
(2.80)%
|
|
(2.88)%
|
|
Interest expense and other investment related expenses
|
|
(6.32)%
|
|
(3.69)%
|
|
(5.69)%
|
|
(3.43)%
|
|
Total Expenses
|
|
(9.08)%
|
|
(6.58)%
|
|
(8.49)%
|
|
(6.31)%
|
|
(1)
|
Average equity is calculated using month end values.
|
|
(2)
|
Includes all items of income and expense on an annualized basis.
|
|
Asset Class
|
|
Principal Assets
|
|
Agency RMBS
|
.
|
Whole pool pass-through certificates;
|
|
.
|
Partial pool pass-through certificates;
|
|
|
.
|
Agency collateralized mortgage obligations, or "CMOs," including interest only securities, or "IOs," principal only securities, or "POs," inverse interest only securities, or "IIOs; and
|
|
|
.
|
To-Be-Announced mortgage pass-through certificates, or "TBAs."
|
|
|
|
|
|
|
CLOs
|
.
|
Equity and mezzanine tranches of CLOs; and
|
|
.
|
Retained tranches from securitizations to which we have contributed assets.
|
|
|
|
|
|
|
CMBS and Commercial Mortgage Loans
|
.
|
CMBS; and
|
|
.
|
Commercial mortgages and other commercial real estate debt.
|
|
|
|
|
|
|
Consumer Loans and ABS
|
.
|
Consumer loans;
|
|
.
|
ABS backed by consumer loans; and
|
|
|
.
|
Retained tranches from securitizations to which we have contributed assets.
|
|
|
|
|
|
|
Corporate Debt and Equity and Derivatives
|
.
|
Corporate debt or equity, including distressed debt and equity;
|
|
.
|
Credit default swaps, or "CDS," on corporations or on corporate indices, or "CDX";
|
|
|
.
|
Options or total return swaps on corporate equity or debt or on corporate equity indices; and
|
|
|
.
|
Corporate credit relative value strategies.
|
|
|
|
|
|
|
Mortgage-Related Derivatives
|
.
|
CDS on individual RMBS, on the ABX, CMBX and PrimeX indices and on other mortgage-related indices; and
|
|
.
|
Other mortgage-related derivatives.
|
|
|
|
|
|
|
Non-Agency RMBS
|
.
|
RMBS backed by prime jumbo, Alt-A, manufactured housing, and subprime mortgages;
|
|
.
|
RMBS backed by fixed rate mortgages, Adjustable rate mortgages, or "ARMs," Option-ARMs, and Hybrid ARMs;
|
|
|
.
|
RMBS backed by first lien and second lien mortgages;
|
|
|
.
|
Investment grade and non-investment grade securities;
|
|
|
.
|
Senior and subordinated securities;
|
|
|
.
|
IOs, POs, IIOs, and inverse floaters; and
|
|
|
.
|
Collateralized debt obligations, or "CDOs."
|
|
|
|
|
|
|
Residential Mortgage Loans
|
.
|
Residential non-performing loans, or "NPLs";
|
|
.
|
Non-qualified mortgage , or "non-QM," loans; and
|
|
|
.
|
Retained tranches from securitizations to which we have contributed assets.
|
|
|
|
|
|
|
Other
|
.
|
Real estate, including commercial and residential real property;
|
|
.
|
Strategic debt and/or equity investments in mortgage originators and other 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, or more complex swaps such as floating-to-inverse floating, callable or non-callable);
|
|
•
|
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.
|
|
•
|
In October, the Federal Reserve initiated its balance sheet normalization program, and began tapering asset purchases of both U.S. Treasury securities and Agency RMBS. At the November Federal Open Market Committee, or "FOMC," meeting, the Federal Reserve maintained the target range for the federal funds rate at 1.00%–1.25%.
|
|
•
|
For the third consecutive quarter, the yield curve flattened. The 2-year U.S. Treasury yield rose 10 basis points to end the quarter at 1.48%, while the 10-year U.S. Treasury yield increased only 3 basis points to 2.33%.
|
|
•
|
Despite the rise in U.S. Treasury yields, mortgage rates declined over the course of the third quarter, with the Freddie Mac survey 30-year mortgage rate falling 5 basis points to end the quarter at 3.83%.
|
|
•
|
Overall Agency RMBS prepayment rates declined slightly during the quarter. The Mortgage Bankers Association's Refinance Index, which measures refinancing application volumes, increased 2.0% quarter over quarter but remains well below the multi-year high reached in mid-2016.
|
|
•
|
Data released by S&P Dow Jones Indices for its S&P CoreLogic Case-Shiller Indices for August showed, on average, a continuation of mid-single-digit home price appreciation nationally, with home prices posting a 5.9% year-over-year increase for its 20-City Composite and a 5.3% year-over-year increase for its 10-City Composite, after seasonal adjustments.
|
|
•
|
Data from the Federal Reserve Bank of New York's Quarterly Report on Household Debt and Credit indicated that aggregate household debt balances increased 0.9% to $12.84 trillion in the second quarter of 2017, and are now $164 billion higher than the previous peak of $12.68 trillion reached in the third quarter of 2008. Additionally, in October the University of Michigan's Index of Consumer Sentiment increased 5.9% from the prior month and 15.5% year-over-year, representing its highest monthly level since January 2004.
|
|
|
|
As of September 30, 2017
|
|
As of June 30, 2017
|
||||||||||
|
($ in thousands)
|
|
Fair Value
(1)
|
|
% of Total Credit Portfolio
|
|
Fair Value
(1)
|
|
% of Total Credit Portfolio
|
||||||
|
Residential Mortgage Loans and REO
|
|
$
|
163,649
|
|
|
22.1
|
%
|
|
$
|
136,729
|
|
|
20.0
|
%
|
|
Consumer Loans and ABS
(2)
|
|
119,366
|
|
|
16.1
|
%
|
|
111,783
|
|
|
16.7
|
%
|
||
|
CMBS and Commercial Loans and REO
|
|
115,182
|
|
|
15.5
|
%
|
|
117,957
|
|
|
17.2
|
%
|
||
|
Non-Dollar Denominated MBS, CLOs, and Other
(3)
|
|
116,792
|
|
|
15.8
|
%
|
|
97,235
|
|
|
13.8
|
%
|
||
|
CLOs
(2)
|
|
110,890
|
|
|
15.0
|
%
|
|
101,599
|
|
|
14.8
|
%
|
||
|
RMBS
|
|
75,933
|
|
|
10.2
|
%
|
|
72,572
|
|
|
10.6
|
%
|
||
|
Debt and Equity Investment in Mortgage-Related Entities
|
|
27,590
|
|
|
3.7
|
%
|
|
31,170
|
|
|
4.6
|
%
|
||
|
Corporate Debt and Equity
|
|
11,900
|
|
|
1.6
|
%
|
|
15,659
|
|
|
2.3
|
%
|
||
|
Total Long Credit
|
|
$
|
741,302
|
|
|
100.0
|
%
|
|
$
|
684,704
|
|
|
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 limited liability company related to securitizations.
|
|
(3)
|
Other includes asset-backed securities backed by non-performing consumer loans and corporate debt.
|
|
|
|
As of September 30, 2017
|
|
As of June 30, 2017
|
||||||||||
|
($ in thousands)
|
|
Fair Value
(1)
|
|
% of Agency Portfolio
|
|
Fair Value
(1)
|
|
% of Agency Portfolio
|
||||||
|
Fixed Rate
|
|
$
|
721,709
|
|
|
88.4
|
%
|
|
$
|
739,908
|
|
|
88.7
|
%
|
|
Floating Rate
|
|
8,598
|
|
|
1.1
|
%
|
|
9,991
|
|
|
1.2
|
%
|
||
|
Reverse Mortgages
|
|
55,172
|
|
|
6.7
|
%
|
|
55,315
|
|
|
6.6
|
%
|
||
|
IOs
|
|
30,722
|
|
|
3.8
|
%
|
|
28,783
|
|
|
3.5
|
%
|
||
|
Total Long Agency RMBS
|
|
$
|
816,201
|
|
|
100.0
|
%
|
|
$
|
833,997
|
|
|
100.0
|
%
|
|
(1)
|
Does not include long TBA positions with a fair value of $121.0 million or $179.9 million, as of September 30, 2017 and June 30, 2017 respectively.
|
|
|
|
Three Month Period Ended
|
|||||||||||||
|
|
|
September 30, 2017
|
|
June
30, 2017 |
|
March
31, 2017 |
|
December 31, 2016
|
|
September 30, 2016
|
|||||
|
Three Month Constant Prepayment Rates
(1)
|
|
13.4
|
%
|
|
11.9
|
%
|
|
10.5
|
%
|
|
15.1
|
%
|
|
12.2
|
%
|
|
(1)
|
Excludes Agency fixed-rate RMBS without any prepayment history.
|
|
|
|
|
|
September 30, 2017
|
|
June 30, 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
|
|
|
$
|
26,924
|
|
|
$
|
27,730
|
|
|
20
|
|
|
$
|
25,345
|
|
|
$
|
26,072
|
|
|
19
|
|
|
|
|
3.50
|
|
|
64,417
|
|
|
67,526
|
|
|
28
|
|
|
68,333
|
|
|
71,574
|
|
|
25
|
|
||||
|
|
|
4.00
|
|
|
9,973
|
|
|
10,572
|
|
|
49
|
|
|
10,546
|
|
|
11,136
|
|
|
47
|
|
||||
|
|
|
4.50
|
|
|
3,012
|
|
|
3,235
|
|
|
78
|
|
|
3,282
|
|
|
3,528
|
|
|
75
|
|
||||
|
Total 15-year fixed-rate mortgages
|
|
|
|
104,326
|
|
|
109,063
|
|
|
29
|
|
|
107,506
|
|
|
112,310
|
|
|
27
|
|
|||||
|
20-year fixed-rate mortgages:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
|
|
4.00
|
|
|
1,745
|
|
|
1,860
|
|
|
78
|
|
|
1,851
|
|
|
1,972
|
|
|
44
|
|
||||
|
|
|
4.50
|
|
|
1,120
|
|
|
1,214
|
|
|
47
|
|
|
1,132
|
|
|
1,227
|
|
|
43
|
|
||||
|
Total 20-year fixed-rate mortgages
|
|
|
|
2,865
|
|
|
3,074
|
|
|
66
|
|
|
2,983
|
|
|
3,199
|
|
|
44
|
|
|||||
|
30-year fixed-rate mortgages:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
|
|
2.50
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,179
|
|
|
2,132
|
|
|
8
|
|
||||
|
|
|
3.00
|
|
|
5,653
|
|
|
5,663
|
|
|
36
|
|
|
5,778
|
|
|
5,817
|
|
|
32
|
|
||||
|
|
|
3.28
|
|
|
112
|
|
|
113
|
|
|
63
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
|
|
3.50
|
|
|
117,239
|
|
|
121,583
|
|
|
19
|
|
|
107,250
|
|
|
110,798
|
|
|
18
|
|
||||
|
|
|
3.75
|
|
|
2,918
|
|
|
3,049
|
|
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
|
|
4.00
|
|
|
266,079
|
|
|
282,497
|
|
|
24
|
|
|
290,146
|
|
|
307,530
|
|
|
22
|
|
||||
|
|
|
4.50
|
|
|
130,870
|
|
|
141,577
|
|
|
31
|
|
|
129,010
|
|
|
139,382
|
|
|
30
|
|
||||
|
|
|
5.00
|
|
|
44,983
|
|
|
49,424
|
|
|
58
|
|
|
47,967
|
|
|
52,596
|
|
|
56
|
|
||||
|
|
|
5.50
|
|
|
2,881
|
|
|
3,194
|
|
|
107
|
|
|
2,818
|
|
|
3,132
|
|
|
104
|
|
||||
|
|
|
6.00
|
|
|
2,189
|
|
|
2,472
|
|
|
91
|
|
|
2,662
|
|
|
3,012
|
|
|
89
|
|
||||
|
Total 30-year fixed-rate mortgages
|
|
|
|
572,924
|
|
|
609,572
|
|
|
28
|
|
|
587,810
|
|
|
624,399
|
|
|
27
|
|
|||||
|
Total fixed-rate Agency RMBS
|
|
|
|
$
|
680,115
|
|
|
$
|
721,709
|
|
|
28
|
|
|
$
|
698,299
|
|
|
$
|
739,908
|
|
|
27
|
|
|
|
|
September 30, 2017
|
|
December 31, 2016
|
||||||||||||||||||||||||||||||||||||
|
(In thousands)
|
Current Principal
|
|
Fair Value
|
|
Average Price
(2)
|
|
Cost
|
|
Average Cost
(2)
|
|
Current Principal
|
|
Fair Value
|
|
Average Price
(2)
|
|
Cost
|
|
Average Cost
(2)
|
||||||||||||||||||||
|
Non-Agency RMBS and Residential Mortgage Loans
|
$
|
367,389
|
|
|
$
|
304,721
|
|
|
$
|
82.94
|
|
|
$
|
294,569
|
|
|
$
|
80.18
|
|
|
$
|
354,219
|
|
|
$
|
226,543
|
|
|
$
|
63.96
|
|
|
$
|
220,321
|
|
|
$
|
62.20
|
|
|
Non-Agency CMBS and Commercial Mortgage Loans
|
164,857
|
|
|
94,038
|
|
|
57.04
|
|
|
96,823
|
|
|
58.73
|
|
|
200,017
|
|
|
100,143
|
|
|
50.07
|
|
|
111,995
|
|
|
55.99
|
|
||||||||||
|
ABS and Consumer Loans
|
247,007
|
|
|
243,292
|
|
|
98.50
|
|
|
247,248
|
|
|
100.10
|
|
|
140,569
|
|
|
138,011
|
|
|
98.18
|
|
|
143,936
|
|
|
102.40
|
|
||||||||||
|
Total Non-Agency MBS, Mortgage loans, and ABS and Consumer Loans
(3)
|
779,253
|
|
|
642,051
|
|
|
82.39
|
|
|
638,640
|
|
|
81.96
|
|
|
694,805
|
|
|
464,697
|
|
|
66.88
|
|
|
476,252
|
|
|
68.54
|
|
||||||||||
|
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Floating
|
8,272
|
|
|
8,598
|
|
|
103.94
|
|
|
8,684
|
|
|
104.97
|
|
|
10,998
|
|
|
11,457
|
|
|
104.18
|
|
|
11,468
|
|
|
104.27
|
|
||||||||||
|
Fixed
|
680,115
|
|
|
721,709
|
|
|
106.12
|
|
|
722,572
|
|
|
106.24
|
|
|
685,334
|
|
|
726,142
|
|
|
105.95
|
|
|
727,068
|
|
|
106.09
|
|
||||||||||
|
Reverse Mortgages
|
50,784
|
|
|
55,172
|
|
|
108.64
|
|
|
55,539
|
|
|
109.36
|
|
|
55,910
|
|
|
60,221
|
|
|
107.71
|
|
|
61,174
|
|
|
109.41
|
|
||||||||||
|
Total Agency RMBS
(4)
|
739,171
|
|
|
785,479
|
|
|
106.26
|
|
|
786,795
|
|
|
106.44
|
|
|
752,242
|
|
|
797,820
|
|
|
106.06
|
|
|
799,710
|
|
|
106.31
|
|
||||||||||
|
Total Non-Agency and Agency MBS, Mortgage loans, and ABS and Consumer Loans
(3)(4)
|
1,518,424
|
|
|
1,427,530
|
|
|
94.01
|
|
|
1,425,435
|
|
|
93.88
|
|
|
1,447,047
|
|
|
1,262,517
|
|
|
87.25
|
|
|
1,275,962
|
|
|
88.18
|
|
||||||||||
|
Agency Interest Only RMBS
|
n/a
|
|
30,722
|
|
|
n/a
|
|
31,373
|
|
|
n/a
|
|
n/a
|
|
29,622
|
|
|
n/a
|
|
30,096
|
|
|
n/a
|
||||||||||||||||
|
Non-Agency Interest Only and Principal Only MBS and Other
(5)(6)
|
n/a
|
|
22,465
|
|
|
n/a
|
|
19,264
|
|
|
n/a
|
|
n/a
|
|
19,711
|
|
|
n/a
|
|
21,748
|
|
|
n/a
|
||||||||||||||||
|
TBAs:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Long
|
115,303
|
|
|
121,009
|
|
|
104.95
|
|
|
121,217
|
|
|
105.13
|
|
|
67,720
|
|
|
70,525
|
|
|
104.14
|
|
|
70,334
|
|
|
103.86
|
|
||||||||||
|
Short
|
(447,590
|
)
|
|
(470,487
|
)
|
|
105.12
|
|
|
(471,204
|
)
|
|
105.28
|
|
|
(384,155
|
)
|
|
(404,728
|
)
|
|
105.36
|
|
|
(404,967
|
)
|
|
105.42
|
|
||||||||||
|
Net Short TBAs
|
(332,287
|
)
|
|
(349,478
|
)
|
|
105.17
|
|
|
(349,987
|
)
|
|
105.33
|
|
|
(316,435
|
)
|
|
(334,203
|
)
|
|
105.62
|
|
|
(334,633
|
)
|
|
105.75
|
|
||||||||||
|
Long U.S. Treasury Securities
|
1,510
|
|
|
1,519
|
|
|
100.62
|
|
|
1,510
|
|
|
99.99
|
|
|
5,620
|
|
|
5,419
|
|
|
96.43
|
|
|
5,635
|
|
|
100.27
|
|
||||||||||
|
Short U.S. Treasury Securities
|
(50,909
|
)
|
|
(50,467
|
)
|
|
99.13
|
|
|
(50,523
|
)
|
|
99.24
|
|
|
(72,871
|
)
|
|
(69,762
|
)
|
|
95.73
|
|
|
(69,946
|
)
|
|
95.99
|
|
||||||||||
|
Short European Sovereign Bonds
|
(68,389
|
)
|
|
(69,940
|
)
|
|
102.27
|
|
|
(66,592
|
)
|
|
97.37
|
|
|
(61,016
|
)
|
|
(62,680
|
)
|
|
102.73
|
|
|
(66,800
|
)
|
|
109.48
|
|
||||||||||
|
Repurchase Agreements
|
193,071
|
|
|
193,070
|
|
|
100.00
|
|
|
194,265
|
|
|
100.62
|
|
|
184,819
|
|
|
184,819
|
|
|
100.00
|
|
|
185,205
|
|
|
100.21
|
|
||||||||||
|
Long Corporate Debt
|
106,485
|
|
|
89,308
|
|
|
83.87
|
|
|
90,324
|
|
|
84.82
|
|
|
95,664
|
|
|
80,095
|
|
|
83.73
|
|
|
81,036
|
|
|
84.71
|
|
||||||||||
|
Short Corporate Debt
|
(70,580
|
)
|
|
(70,567
|
)
|
|
99.98
|
|
|
(70,082
|
)
|
|
99.29
|
|
|
(40,807
|
)
|
|
(39,572
|
)
|
|
96.97
|
|
|
(39,664
|
)
|
|
97.20
|
|
||||||||||
|
Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities
|
n/a
|
|
21,814
|
|
|
n/a
|
|
22,814
|
|
|
n/a
|
|
n/a
|
|
18,090
|
|
|
n/a
|
|
17,243
|
|
|
n/a
|
||||||||||||||||
|
Non-controlling equity interest in limited liability companies
(6)
|
n/a
|
|
11,445
|
|
|
n/a
|
|
15,937
|
|
|
n/a
|
|
n/a
|
|
7,315
|
|
|
n/a
|
|
11,423
|
|
|
n/a
|
||||||||||||||||
|
Non-Exchange Traded Corporate Equity
|
n/a
|
|
4,068
|
|
|
n/a
|
|
3,690
|
|
|
n/a
|
|
n/a
|
|
3,987
|
|
|
n/a
|
|
4,313
|
|
|
n/a
|
||||||||||||||||
|
Long Common Stock
|
n/a
|
|
790
|
|
|
n/a
|
|
1,092
|
|
|
n/a
|
|
n/a
|
|
4,396
|
|
|
n/a
|
|
4,381
|
|
|
n/a
|
||||||||||||||||
|
Short Common Stock
|
n/a
|
|
(14,189
|
)
|
|
n/a
|
|
(14,105
|
)
|
|
n/a
|
|
n/a
|
|
(8,154
|
)
|
|
n/a
|
|
(8,052
|
)
|
|
n/a
|
||||||||||||||||
|
Real Estate Owned
|
n/a
|
|
25,762
|
|
|
n/a
|
|
26,198
|
|
|
n/a
|
|
n/a
|
|
3,349
|
|
|
n/a
|
|
3,539
|
|
|
n/a
|
||||||||||||||||
|
Total
|
|
|
$
|
1,273,852
|
|
|
|
|
$
|
1,280,613
|
|
|
|
|
|
|
$
|
1,104,949
|
|
|
|
|
$
|
1,121,486
|
|
|
|
||||||||||||
|
(1)
|
For more detailed information about the investments in our portfolio, please refer to the Consolidated Condensed Schedule of Investments as of these dates contained in our consolidated financial statements.
|
|
(2)
|
Represents the dollar amount (not shown in thousands) per $100 of current principal of the price or cost for the security.
|
|
(3)
|
Excludes non-Agency Interest Only and Principal Only MBS and Other (see footnote 5 below).
|
|
(4)
|
Excludes Agency Interest Only RMBS.
|
|
(5)
|
Other includes equity tranches of CLOs, Other private label securities, and residual-like non-Agency RMBS and ABS backed by consumer loans.
|
|
(6)
|
Conformed to current period presentation.
|
|
|
September 30, 2017
|
|
December 31, 2016
|
||||||||||||
|
(In thousands)
|
Notional Value
|
|
Fair Value
|
|
Notional Value
|
|
Fair Value
|
||||||||
|
Mortgage-Related Derivatives:
|
|
|
|
|
|
|
|
||||||||
|
Long CDS on RMBS and CMBS Indices
|
$
|
9,456
|
|
|
$
|
(1,485
|
)
|
|
$
|
17,228
|
|
|
$
|
(2,887
|
)
|
|
Short CDS on RMBS and CMBS Indices
|
(37,495
|
)
|
|
6,977
|
|
|
(112,999
|
)
|
|
16,701
|
|
||||
|
Short CDS on Individual RMBS
|
(9,011
|
)
|
|
4,323
|
|
|
(10,134
|
)
|
|
5,070
|
|
||||
|
Net Mortgage-Related Derivatives
|
(37,050
|
)
|
|
9,815
|
|
|
(105,905
|
)
|
|
18,884
|
|
||||
|
Credit Derivatives:
|
|
|
|
|
|
|
|
||||||||
|
Long CDS referencing Corporate Bond Indices
|
12,888
|
|
|
631
|
|
|
40,611
|
|
|
2,744
|
|
||||
|
Short CDS referencing Corporate Bond Indices
|
(261,060
|
)
|
|
(11,646
|
)
|
|
(49,306
|
)
|
|
(2,840
|
)
|
||||
|
Long CDS on Corporate Bonds
|
136,053
|
|
|
149
|
|
|
59,637
|
|
|
(1,408
|
)
|
||||
|
Short CDS on Corporate Bonds
|
(199,642
|
)
|
|
(3,651
|
)
|
|
(83,108
|
)
|
|
(2,886
|
)
|
||||
|
Purchased Put Options on CDS on Corporate Bond Indices
(2)
|
—
|
|
|
—
|
|
|
10,000
|
|
|
—
|
|
||||
|
Long Total Return Swaps on Corporate Equities
(3)
|
63
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Short Total Return Swaps on Corporate Equities
(3)
|
(10,486
|
)
|
|
—
|
|
|
(42,093
|
)
|
|
(55
|
)
|
||||
|
Long Total Return Swaps on Corporate Debt
(4)
|
—
|
|
|
—
|
|
|
5,438
|
|
|
(94
|
)
|
||||
|
Interest Rate Derivatives:
|
|
|
|
|
|
|
|
||||||||
|
Long Interest Rate Swaps
|
515,443
|
|
|
(1,064
|
)
|
|
376,074
|
|
|
(2,122
|
)
|
||||
|
Short Interest Rate Swaps
|
(955,216
|
)
|
|
2,482
|
|
|
(862,535
|
)
|
|
5,062
|
|
||||
|
Long Eurodollar Futures
(6)
|
—
|
|
|
—
|
|
|
11,000
|
|
|
(8
|
)
|
||||
|
Short U.S. Treasury Note Futures
(5)
|
(6,800
|
)
|
|
143
|
|
|
(7,000
|
)
|
|
19
|
|
||||
|
Short Eurodollar Futures
(6)
|
—
|
|
|
—
|
|
|
(62,000
|
)
|
|
(51
|
)
|
||||
|
Interest Rate Caps
|
113,453
|
|
|
2
|
|
|
61,908
|
|
|
2
|
|
||||
|
Total Net Interest Rate Derivatives
|
|
|
1,563
|
|
|
|
|
2,902
|
|
||||||
|
Other Derivatives:
|
|
|
|
|
|
|
|
||||||||
|
Short Foreign Currency Forwards
(8)
|
(66,971
|
)
|
|
707
|
|
|
(54,787
|
)
|
|
(456
|
)
|
||||
|
Purchased Call Equity Options
(7)
|
28
|
|
|
50
|
|
|
16
|
|
|
42
|
|
||||
|
Warrants
(9)
|
—
|
|
|
—
|
|
|
1,639
|
|
|
106
|
|
||||
|
Mortgage Loan Purchase Commitments
(10)
|
—
|
|
|
—
|
|
|
20,601
|
|
|
(31
|
)
|
||||
|
Total Net Derivatives
|
|
|
$
|
(2,382
|
)
|
|
|
|
$
|
16,908
|
|
||||
|
(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)
|
Represents the option on our part to enter into a CDS on a corporate bond index whereby we would pay a fixed rate and receive credit protection payments.
|
|
(3)
|
Notional value represents number of underlying shares times the closing price of the underlying security.
|
|
(4)
|
Notional value represents outstanding principal on underlying corporate debt.
|
|
(5)
|
Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of
September 30, 2017
and December 31, 2016 a total of 68 and 70 short U.S. Treasury note futures contracts were held, respectively.
|
|
(6)
|
Every $1,000,000 in notional value represents one Eurodollar future contract.
|
|
(7)
|
Notional value represents the number of common shares we have the option to purchase multiplied by the strike price.
|
|
(8)
|
Notional value represents U.S. Dollars to be received by us at the maturity of the forward contract.
|
|
(9)
|
Notional value represents number of shares that warrants are convertible into.
|
|
(10)
|
Notional value represents principal balance of mortgage loan purchase commitments. Actual loan purchases are contingent upon successful loan closings in accordance with agreed-upon parameters.
|
|
|
|
Three Month Period Ended September 30,
|
|
Nine Month Period Ended September 30,
|
||||||||||||
|
(In thousands except per share amounts)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
|
Interest income
|
|
$
|
21,145
|
|
|
$
|
16,662
|
|
|
$
|
65,819
|
|
|
$
|
56,078
|
|
|
Other income
|
|
1,232
|
|
|
807
|
|
|
3,043
|
|
|
3,500
|
|
||||
|
Total investment income
|
|
22,377
|
|
|
17,469
|
|
|
68,862
|
|
|
59,578
|
|
||||
|
Expenses:
|
|
|
|
|
|
|
|
|
||||||||
|
Base management fee to affiliate (Net of fee rebates of $172, $0, $172, and $0, respectively)
|
|
2,161
|
|
|
2,485
|
|
|
6,942
|
|
|
7,649
|
|
||||
|
Interest expense
|
|
8,166
|
|
|
4,143
|
|
|
21,794
|
|
|
11,845
|
|
||||
|
Other investment related expenses
|
|
1,908
|
|
|
2,068
|
|
|
5,487
|
|
|
6,007
|
|
||||
|
Other operating expenses
|
|
2,240
|
|
|
2,379
|
|
|
6,530
|
|
|
7,339
|
|
||||
|
Total expenses
|
|
14,475
|
|
|
11,075
|
|
|
40,753
|
|
|
32,840
|
|
||||
|
Net investment income
|
|
7,902
|
|
|
6,394
|
|
|
28,109
|
|
|
26,738
|
|
||||
|
Net realized and change in net unrealized gain (loss) on investments
|
|
(663
|
)
|
|
7,728
|
|
|
9,209
|
|
|
5,965
|
|
||||
|
Net realized and change in net unrealized gain (loss) on financial derivatives, excluding currency forwards
|
|
(900
|
)
|
|
(13,868
|
)
|
|
(10,303
|
)
|
|
(50,764
|
)
|
||||
|
Net realized and change in net unrealized gain (loss) on financial derivatives—currency forwards
|
|
(1,987
|
)
|
|
(330
|
)
|
|
(6,195
|
)
|
|
(1,181
|
)
|
||||
|
Net foreign currency gain (loss)
|
|
2,243
|
|
|
626
|
|
|
6,946
|
|
|
1,609
|
|
||||
|
Net increase (decrease) in equity resulting from operations
|
|
6,595
|
|
|
550
|
|
|
27,766
|
|
|
(17,633
|
)
|
||||
|
Less: Net increase in equity resulting from operations attributable to non-controlling interests
|
|
400
|
|
|
34
|
|
|
1,229
|
|
|
66
|
|
||||
|
Net increase (decrease) in shareholders' equity resulting from operations
|
|
$
|
6,195
|
|
|
$
|
516
|
|
|
$
|
26,537
|
|
|
$
|
(17,699
|
)
|
|
Net increase (decrease) in shareholders' equity resulting from operations per share
|
|
$
|
0.19
|
|
|
$
|
0.02
|
|
|
$
|
0.81
|
|
|
$
|
(0.53
|
)
|
|
|
Credit
(1)
|
|
Agency
(1)
|
|
Total
(1)
|
|||||||||||||||||||||||||||
|
(In thousands)
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|||||||||||||||
|
Three month period ended September 30, 2017
|
$
|
13,329
|
|
|
$
|
641,402
|
|
|
8.31
|
%
|
|
$
|
5,917
|
|
|
$
|
834,363
|
|
|
2.84
|
%
|
|
$
|
19,246
|
|
|
$
|
1,475,765
|
|
|
5.22
|
%
|
|
Three month period ended September 30, 2016
|
$
|
11,830
|
|
|
$
|
573,420
|
|
|
8.25
|
%
|
|
$
|
4,659
|
|
|
$
|
817,632
|
|
|
2.28
|
%
|
|
$
|
16,489
|
|
|
$
|
1,391,053
|
|
|
4.74
|
%
|
|
(1)
|
Amounts exclude interest income on cash and cash equivalents (including when posted as margin), long positions in U.S. Treasury securities, and repurchase agreements. Also excludes interest income on long holdings of corporate securities that represent components of certain relative value trading strategies.
|
|
|
|
For the Three Month Period Ended
|
||||||
|
|
|
September 30, 2017
|
|
September 30, 2016
|
||||
|
Reverse repos and other secured borrowings
|
|
$
|
5,798
|
|
|
$
|
3,303
|
|
|
Unsecured senior notes
(1)
|
|
570
|
|
|
—
|
|
||
|
Securities sold short
(2)
|
|
1,531
|
|
|
514
|
|
||
|
Other
(3)
|
|
267
|
|
|
326
|
|
||
|
Total
|
|
$
|
8,166
|
|
|
$
|
4,143
|
|
|
(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 Three Month Period Ended
|
||||||||||||||||||||
|
|
|
September 30, 2017
|
|
September 30, 2016
|
||||||||||||||||||
|
Collateral for Borrowing
|
|
Average
Borrowings
|
|
Interest Expense
|
|
Average
Cost of
Funds
|
|
Average
Borrowings |
|
Interest Expense
|
|
Average
Cost of Funds |
||||||||||
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Credit
(1)
|
|
$
|
315,731
|
|
|
$
|
2,962
|
|
|
3.72
|
%
|
|
$
|
231,505
|
|
|
$
|
1,839
|
|
|
3.16
|
%
|
|
Agency RMBS
|
|
783,521
|
|
|
2,571
|
|
|
1.30
|
%
|
|
781,539
|
|
|
1,413
|
|
|
0.72
|
%
|
||||
|
Subtotal
(1)
|
|
1,099,252
|
|
|
5,533
|
|
|
2.00
|
%
|
|
1,013,044
|
|
|
3,252
|
|
|
1.28
|
%
|
||||
|
Corporate Credit Relative Value Trading Strategy
|
|
59,347
|
|
|
239
|
|
|
1.60
|
%
|
|
15,603
|
|
|
36
|
|
|
0.92
|
%
|
||||
|
U.S. Treasury Securities
|
|
9,014
|
|
|
26
|
|
|
1.14
|
%
|
|
15,974
|
|
|
15
|
|
|
0.38
|
%
|
||||
|
Total
|
|
$
|
1,167,613
|
|
|
$
|
5,798
|
|
|
1.97
|
%
|
|
$
|
1,044,621
|
|
|
$
|
3,303
|
|
|
1.26
|
%
|
|
Average One-Month LIBOR
|
|
|
|
|
|
1.23
|
%
|
|
|
|
|
|
0.51
|
%
|
||||||||
|
Average Six-Month LIBOR
|
|
|
|
|
|
1.46
|
%
|
|
|
|
|
|
1.15
|
%
|
||||||||
|
(1)
|
Excludes U.S. Treasury Securities and investments in our corporate credit relative value trading strategy.
|
|
|
Credit
(1)
|
|
Agency
(1)
|
|
Total
(1)
|
|||||||||||||||||||||||||||
|
(In thousands)
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|
Interest Income
|
|
Average Holdings
|
|
Yield
|
|||||||||||||||
|
Nine month period ended September 30, 2017
|
$
|
38,950
|
|
|
$
|
596,599
|
|
|
8.70
|
%
|
|
$
|
20,943
|
|
|
$
|
848,145
|
|
|
3.29
|
%
|
|
$
|
59,893
|
|
|
$
|
1,444,744
|
|
|
5.53
|
%
|
|
Nine month period ended September 30, 2016
|
$
|
37,517
|
|
|
$
|
575,504
|
|
|
8.69
|
%
|
|
$
|
17,537
|
|
|
$
|
887,485
|
|
|
2.63
|
%
|
|
$
|
55,054
|
|
|
$
|
1,462,990
|
|
|
5.02
|
%
|
|
(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 Nine Month Period Ended
|
|||||
|
|
|
September 30, 2017
|
|
September 30, 2016
|
|||
|
Reverse repos and other secured borrowings
|
|
15,079
|
|
|
$
|
10,075
|
|
|
Unsecured senior notes
(1)
|
|
570
|
|
|
—
|
|
|
|
Securities sold short
(2)
|
|
4,759
|
|
|
1,213
|
|
|
|
Other
(3)
|
|
1,386
|
|
|
557
|
|
|
|
Total
|
|
21,794
|
|
|
$
|
11,845
|
|
|
(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 Nine Month Period Ended
|
||||||||||||||||||||
|
|
|
September 30, 2017
|
|
September 30, 2016
|
||||||||||||||||||
|
Collateral for Borrowing
|
|
Average
Borrowings
|
|
Interest Expense
|
|
Average
Cost of
Funds
|
|
Average
Borrowings |
|
Interest Expense
|
|
Average
Cost of Funds |
||||||||||
|
(In thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Credit
(1)
|
|
$
|
275,624
|
|
|
$
|
7,557
|
|
|
3.67
|
%
|
|
$
|
258,791
|
|
|
$
|
5,659
|
|
|
2.92
|
%
|
|
Agency RMBS
|
|
794,547
|
|
|
6,653
|
|
|
1.12
|
%
|
|
842,784
|
|
|
4,338
|
|
|
0.69
|
%
|
||||
|
Subtotal
(1)
|
|
1,070,171
|
|
|
14,210
|
|
|
1.78
|
%
|
|
1,101,575
|
|
|
9,997
|
|
|
1.21
|
%
|
||||
|
Corporate Credit Relative Value Trading Strategy
|
|
60,219
|
|
|
677
|
|
|
1.50
|
%
|
|
6,334
|
|
|
44
|
|
|
0.94
|
%
|
||||
|
U.S. Treasury Securities
|
|
31,823
|
|
|
192
|
|
|
0.81
|
%
|
|
15,922
|
|
|
34
|
|
|
0.28
|
%
|
||||
|
Total
|
|
$
|
1,162,213
|
|
|
$
|
15,079
|
|
|
1.73
|
%
|
|
$
|
1,123,831
|
|
|
$
|
10,075
|
|
|
1.20
|
%
|
|
Average One-Month LIBOR
|
|
|
|
|
|
1.04
|
%
|
|
|
|
|
|
0.46
|
%
|
||||||||
|
Average Six-Month LIBOR
|
|
|
|
|
|
1.42
|
%
|
|
|
|
|
|
0.99
|
%
|
||||||||
|
(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
|
||||
|
Nine Month Period Ended September 30, 2017
|
|
$
|
1,093,474
|
|
|
$
|
1,029,810
|
|
|
Nine Month Period Ended September 30, 2016
|
|
$
|
1,044,621
|
|
|
$
|
983,814
|
|
|
(In thousands)
|
|
September 30, 2017
|
|||||
|
Remaining Days to Maturity
|
|
Outstanding Borrowings
|
|
%
|
|||
|
30 Days or Less
|
|
$
|
351,982
|
|
|
34.2
|
%
|
|
31 - 60 Days
|
|
347,427
|
|
|
33.7
|
%
|
|
|
61 - 90 Days
|
|
236,695
|
|
|
23.0
|
%
|
|
|
91 - 120 Days
|
|
73,609
|
|
|
7.1
|
%
|
|
|
121 - 150 Days
|
|
3,338
|
|
|
0.3
|
%
|
|
|
151 - 180 Days
|
|
8,991
|
|
|
0.9
|
%
|
|
|
181 - 360 Days
|
|
7,768
|
|
|
0.8
|
%
|
|
|
|
|
$
|
1,029,810
|
|
|
100.0
|
%
|
|
Quarter Ended
|
|
Borrowings Outstanding at
Quarter End
|
|
Average
Borrowings Outstanding
|
|
Maximum Borrowings Outstanding at Any Month End
|
||||||
|
|
|
(In thousands)
|
||||||||||
|
September 30, 2017
|
|
$
|
1,029,810
|
|
|
$
|
1,093,474
|
|
|
$
|
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
|
|
|
1,044,621
|
|
|
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
|
|
|||
|
December 31, 2015
(1)
|
|
1,174,189
|
|
|
1,335,360
|
|
|
1,401,378
|
|
|||
|
September 30, 2015
|
|
1,372,794
|
|
|
1,378,821
|
|
|
1,386,610
|
|
|||
|
June 30, 2015
|
|
1,360,408
|
|
|
1,427,369
|
|
|
1,497,281
|
|
|||
|
March 31, 2015
|
|
1,396,112
|
|
|
1,505,226
|
|
|
1,554,589
|
|
|||
|
December 31, 2014
|
|
1,669,433
|
|
|
1,882,629
|
|
|
1,889,410
|
|
|||
|
(1)
|
Our outstanding borrowings as of December 31, 2015 declined relative to our average borrowings outstanding for the quarter ended December 31, 2015. In light of continued and anticipated significant market volatility, during the quarter ended December 31, 2015, we net sold Agency RMBS, thereby reducing our outstanding borrowings and increasing our cash holdings in order to be more defensively positioned.
|
|
(In thousands except per share amounts)
|
|
Dividend Per Share
|
|
Dividend Amount
|
|
Record Date
|
|
Payment Date
|
|||
|
First Quarter
|
|
$0.45
|
|
$
|
14,757
|
|
|
|
June 1, 2017
|
|
June 15, 2017
|
|
Second Quarter
|
|
$0.45
|
|
$
|
14,757
|
|
|
|
September 1, 2017
|
|
September 15, 2017
|
|
Third Quarter
|
|
$0.41
|
|
$
|
13,348
|
|
*
|
|
December 1, 2017
|
|
December 15, 2017
|
|
(In thousands except per share amounts)
|
|
Dividend Per Share
|
|
Dividend Amount
|
|
Record Date
|
|
Payment Date
|
|||
|
First Quarter
|
|
$0.50
|
|
$
|
16,744
|
|
|
|
June 1, 2016
|
|
June 15, 2016
|
|
Second Quarter
|
|
$0.50
|
|
$
|
16,640
|
|
|
|
September 1, 2016
|
|
September 15, 2016
|
|
Third Quarter
|
|
$0.45
|
|
$
|
14,892
|
|
|
|
December 1, 2016
|
|
December 15, 2016
|
|
(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
|
|
$
|
6,663
|
|
|
1.06
|
%
|
|
$
|
11,232
|
|
|
1.78
|
%
|
|
$
|
(8,757
|
)
|
|
(1.39
|
)%
|
|
$
|
(19,610
|
)
|
|
(3.11
|
)%
|
|
Non-Agency RMBS, CMBS, Other ABS, and Mortgage Loans
|
|
3,324
|
|
|
0.53
|
%
|
|
6,261
|
|
|
0.99
|
%
|
|
(3,711
|
)
|
|
(0.59
|
)%
|
|
(7,809
|
)
|
|
(1.24
|
)%
|
||||
|
U.S. Treasury Securities, and Interest Rate Swaps, Options, and Futures
|
|
(7,371
|
)
|
|
(1.17
|
)%
|
|
(15,067
|
)
|
|
(2.39
|
)%
|
|
7,045
|
|
|
1.12
|
%
|
|
13,765
|
|
|
2.19
|
%
|
||||
|
Mortgage-Related Derivatives
|
|
50
|
|
|
0.01
|
%
|
|
99
|
|
|
0.02
|
%
|
|
(51
|
)
|
|
(0.01
|
)%
|
|
(102
|
)
|
|
(0.02
|
)%
|
||||
|
Corporate Securities and Derivatives on Corporate Securities
|
|
(34
|
)
|
|
(0.01
|
)%
|
|
(22
|
)
|
|
(0.01
|
)%
|
|
80
|
|
|
0.01
|
%
|
|
207
|
|
|
0.03
|
%
|
||||
|
Repurchase Agreements and Reverse Repurchase Agreements
|
|
(2,389
|
)
|
|
(0.38
|
)%
|
|
(4,809
|
)
|
|
(0.76
|
)%
|
|
2,350
|
|
|
0.38
|
%
|
|
4,668
|
|
|
0.74
|
%
|
||||
|
Total
|
|
$
|
243
|
|
|
0.04
|
%
|
|
$
|
(2,306
|
)
|
|
(0.37
|
)%
|
|
$
|
(3,044
|
)
|
|
(0.48
|
)%
|
|
$
|
(8,881
|
)
|
|
(1.41
|
)%
|
|
|
|
Total Number of Shares Purchased
|
|
Average Price Paid
|
|
Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs
|
|
Number of Shares that May Yet be Purchased Under the Plans or Programs
|
|||||
|
|
|
|
|
|
|
|
|
(In thousands)
|
|||||
|
July 1, 2017 – July 31, 2017
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
1,571,733
|
|
|
August 1, 2017 – August 31, 2017
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,571,733
|
|
|
|
September 1, 2017 – September 30, 2017
|
|
123,321
|
|
|
15.60
|
|
|
123,321
|
|
|
1,448,412
|
|
|
|
Total
|
|
123,321
|
|
|
$
|
15.60
|
|
|
123,321
|
|
|
1,448,412
|
|
|
Exhibit
|
|
Description
|
|
31.1
|
|
|
|
|
|
|
|
31.2
|
|
|
|
|
|
|
|
32.1*
|
|
|
|
|
|
|
|
32.2*
|
|
|
|
|
|
|
|
101
|
|
The following financial information from Ellington Financial LLC's Quarterly Report on Form 10-Q for the nine month period ended September 30, 2017, 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.
|
|
|
|
|
ELLINGTON FINANCIAL LLC.
|
|
|
Date:
|
November 9, 2017
|
|
By:
|
/s/ L
AURENCE
P
ENN
|
|
|
|
|
|
Laurence Penn
Chief Executive Officer
(Principal Executive Officer)
|
|
|
|
|
|
|
|
|
|
|
ELLINGTON FINANCIAL LLC.
|
|
|
Date:
|
November 9, 2017
|
|
By:
|
/s/ L
ISA
M
UMFORD
|
|
|
|
|
|
Lisa Mumford
Chief Financial Officer
(Principal Financial and Accounting Officer)
|
|
Exhibit
|
|
Description
|
|
31.1
|
|
|
|
|
|
|
|
31.2
|
|
|
|
|
|
|
|
32.1*
|
|
|
|
|
|
|
|
32.2*
|
|
|
|
|
|
|
|
101
|
|
The following financial information from Ellington Financial LLC's Quarterly Report on Form 10-Q for the nine month period ended September 30, 2017, 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.
|
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 |
|---|