Price Graph
Price
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These terms and conditions govern your use of the website alphaminr.com and its related services.
These Terms and Conditions (“Terms”) are a binding contract between you and Alphaminr, (“Alphaminr”, “we”, “us” and “service”). You must agree to and accept the Terms. These Terms include the provisions in this document as well as those in the Privacy Policy. These terms may be modified at any time.
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time.
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Maryland
(State or other jurisdiction of incorporation or organization)
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13-3974868
(I.R.S. Employer Identification No.)
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350 Park Avenue, 20th Floor, New York, New York
(Address of principal executive offices)
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10022
(Zip Code)
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Title of Each Class
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Name of Each Exchange on Which Registered
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Common Stock, par value $0.01 per share
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New York Stock Exchange
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7.50% Series B Cumulative Redeemable
Preferred Stock, par value $0.01 per share
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New York Stock Exchange
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8.00% Senior Notes due 2042
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New York Stock Exchange
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Large accelerated filer
x
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Accelerated filer
o
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Non-accelerated filer
o
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Smaller reporting company
o
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Emerging growth company
o
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•
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Adverse developments involving major financial institutions or involving one of our lenders could result in a rapid reduction in our ability to borrow and materially adversely affect our business, profitability and liquidity.
As of
December 31, 2017
, we had amounts outstanding under repurchase agreements with
31
separate lenders. A material adverse development involving one or more major financial institutions or the financial markets in general could result in our lenders reducing our access to funds available under our repurchase agreements or terminating such repurchase agreements altogether. Because all of our repurchase agreements are uncommitted and renewable at the discretion of our lenders, our lenders could determine to reduce or terminate our access to future borrowings at virtually any time, which could materially adversely affect our business and profitability. Furthermore, if a number of our lenders became unwilling or unable to continue to provide us with financing, we could be forced to sell assets
,
including MBS in an unrealized loss position, in order to maintain liquidity. Forced sales, particularly under adverse market conditions may result in lower sales prices than ordinary market sales made in the normal course of business. If our residential mortgage investments were liquidated at prices below our amortized cost (i.e., the cost basis) of such assets, we would incur losses, which could adversely affect our earnings. In addition, uncertainty in the global finance market and weak economic conditions in Europe, including as a result of the United Kingdom’s decision to exit from the European Union (commonly referred to as “Brexit”), could cause the conditions described above to have a more pronounced affect on our European counterparties.
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•
|
Our
profitability may be materially adversely affected by a reduction in our leverage.
As long as we earn a positive spread between interest and other income we earn on our leveraged assets and our borrowing costs, we believe that we can generally increase our profitability by using greater amounts of leverage. There can be no assurance, however, that repurchase financing will remain an efficient source of long-term financing for our assets. The amount of leverage that we use may be limited because our lenders might not make funding available to us at acceptable rates or they may require that we provide additional collateral to secure our borrowings. If our financing strategy is not viable, we will have to find alternative forms of financing for our assets which may not be available to us on acceptable terms or at acceptable rates. In addition, in response to certain interest rate and investment environments or to changes in market liquidity, we could adopt a strategy of reducing our leverage by selling assets or not reinvesting principal payments as MBS amortize and/or prepay, thereby decreasing the outstanding amount of our related borrowings. Such an action could reduce interest income, interest expense and net income, the extent of which would be dependent on the level of reduction in assets and liabilities as well as the sale prices for which the assets were sold.
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•
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If we are unable to renew our borrowings at acceptable interest rates, it may force us to sell assets under adverse market conditions, which may materially adversely affect our liquidity and profitability.
Since we rely primarily on borrowings under repurchase agreements to finance our residential mortgage investments, our ability to achieve our investment objectives depends on our ability to borrow funds in sufficient amounts and on acceptable terms, and on our ability to renew or replace maturing borrowings on a continuous basis. Our repurchase agreement credit lines are renewable at the discretion of our lenders and, as such, do not contain guaranteed roll-over terms. Our ability to enter into repurchase transactions in the future will depend on the market value of our residential mortgage investments pledged to secure the specific borrowings, the availability of acceptable financing and market liquidity and other conditions existing in the lending market at that time. If we are not able to renew or replace maturing borrowings, we could be forced to sell assets, including MBS in an unrealized loss position, in order to maintain liquidity. Forced sales, particularly under adverse market conditions, could result in lower sales prices than ordinary market sales made in the normal course of business. If our residential mortgage investments were liquidated at prices below our amortized cost (i.e., the cost basis) of such assets, we would incur losses, which could materially adversely affect our earnings.
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•
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A decline in the market value of our assets may result in margin calls that may force us to sell assets under adverse market conditions, which may materially adversely affect our liquidity and profitability.
In general, the market value of our residential mortgage investments is impacted by changes in interest rates, prevailing market yields and other market conditions, including general economic conditions, home prices and the real estate market generally. A decline in the market value of our residential mortgage investments may limit our ability to borrow against such assets or result in lenders initiating margin calls, which require a pledge of additional collateral or cash to re-establish the required ratio of borrowing to collateral value, under our repurchase agreements. Posting additional collateral or cash to support our credit will reduce our liquidity and limit our ability to leverage our assets, which could materially adversely affect our business. As a result, we could be forced to sell a portion of our assets, including MBS in an unrealized loss position, in order to maintain liquidity.
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•
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If a counterparty to our repurchase transactions defaults on its obligation to resell the underlying security back to us at the end of the transaction term or if we default on our obligations under the repurchase agreement, we could incur losses.
When we engage in repurchase transactions, we generally transfer securities to lenders (i.e., repurchase agreement counterparties) and receive cash from such lenders. Because the cash we receive from the lender when we initially transfer the securities to the lender is less than the value of those securities (this difference is referred to as the “haircut”), if the lender defaults on its obligation to transfer the same securities back to us, we would incur a loss on the transaction equal to the amount of the haircut (assuming there was no change in the value of the securities). See Item 7, “Management’s Discussion and Analysis of Financial Condition and Results of Operations” of this Annual Report on Form 10-K, for further discussion regarding risks related to exposure to financial institution counterparties in light of recent market conditions. Our exposure to defaults by counterparties may be more pronounced during periods of significant volatility in the market conditions for mortgages and mortgage-related assets as well as the broader financial markets. At
December 31, 2017
, we had greater than 5% stockholders’ equity at risk to the following repurchase agreement counterparties: Goldman Sachs (approximately
7.3%
), Wells Fargo (approximately
5.8%
), RBC (approximately
5.7%
), Credit Suisse (approximately
5.3%
) and UBS (approximately
5.1%
).
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•
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Our use of repurchase agreements to borrow money may give our lenders greater rights in the event of bankruptcy.
Borrowings made under repurchase agreements may qualify for special treatment under the U.S. Bankruptcy Code. If a lender under one of our repurchase agreements defaults on its obligations, it may be difficult for us to recover our assets pledged as collateral to such lender. In the event of the insolvency or bankruptcy of a lender during the term of a repurchase agreement, the lender may be permitted, under applicable insolvency laws, to repudiate the contract, and our claim against the lender for damages may be treated simply as an unsecured creditor. In addition, if the lender is a broker or dealer subject to the Securities Investor Protection Act of 1970, or an insured depository institution subject to the Federal Deposit Insurance Act, our ability to exercise our rights to recover our securities under a repurchase agreement or to be compensated for any damages resulting from the lender’s insolvency may be further limited by those statutes. These claims would be subject to significant delay and, if and when received, may be substantially less than the damages we actually incur. In addition, in the event of our insolvency or bankruptcy, certain repurchase agreements may qualify for special treatment under the Bankruptcy Code, the effect of which, among other things, would be to allow the creditor under the agreement to avoid the automatic stay provisions of the Bankruptcy Code and take possession of, and liquidate, our collateral under our repurchase agreements without delay. Our risks associated with the insolvency or bankruptcy of a lender maybe more pronounced during periods of significant volatility in the market conditions for mortgages and mortgage-related assets as well as the broader financial markets.
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•
|
Changes in interest rates, cyclical or otherwise, may materially adversely affect our profitability.
Interest rates are highly sensitive to many factors, including fiscal and monetary policies and domestic and international economic and political conditions, as well as other factors beyond our control. In general, we finance the acquisition of our investments through borrowings in the form of repurchase transactions, which exposes us to interest rate risk on the financed assets. The cost of our borrowings is based on prevailing market interest rates. Because the terms of our repurchase transactions typically range from one to six months at inception, the interest rates on our borrowings generally adjust more frequently (as new repurchase transactions are entered into upon the maturity of existing repurchase transactions) than the interest rates on our investments. During a period of rising interest rates (such as during 2017, which is expected to continue during 2018), our borrowing costs generally will increase at a faster pace than our interest earnings on the leveraged
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•
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Interest rate caps on the mortgages collateralizing our MBS may materially adversely affect our profitability if short-term interest rates increase.
The coupons earned on ARM-MBS adjust over time as interest rates change (typically after an initial fixed-rate period for Hybrids). The financial markets primarily determine the interest rates that we pay on the repurchase transactions used to finance the acquisition of our MBS; however, the level of adjustment to the interest rates earned on our ARM-MBS is typically limited by contract (or in certain cases by state or federal law). The interim and lifetime interest rate caps on the mortgages collateralizing our MBS limit the amount by which the interest rates on such assets can adjust. Interim interest rate caps limit the amount interest rates on a particular ARM can adjust during the next adjustment period. Lifetime interest rate caps limit the amount interest rates can adjust upward from inception through maturity of a particular ARM. Our repurchase transactions are not subject to similar restrictions. Accordingly, in a sustained period of rising interest rates or a period in which interest rates rise rapidly, we could experience a decrease in net income or a net loss because the interest rates paid by us on our borrowings (excluding the impact of hedging transactions) could increase without limitation (as new repurchase transactions are entered into upon the maturity of existing repurchase transactions) while increases in the interest rates earned on the mortgages collateralizing our MBS could be limited due to interim or lifetime interest rate caps.
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•
|
Adjustments of interest rates on our borrowings may not be matched to interest rate indexes on our MBS.
In general, the interest rates on our repurchase transactions are based on LIBOR, while the interest rates on our ARM-MBS may be indexed to LIBOR or CMT rate. Accordingly, any increase in LIBOR relative to one-year CMT rates will generally result in an increase in our borrowing costs that is not matched by a corresponding increase in the interest earned on our ARM-MBS tied to these other index rates. Any such interest rate index mismatch could adversely affect our profitability, which may negatively impact our distributions to stockholders.
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•
|
A flat or inverted yield curve may adversely affect ARM-MBS prepayment rates and supply
. Our net interest income varies primarily as a result of changes in interest rates as well as changes in interest rates across the yield curve. When the differential between short-term and long-term benchmark interest rates narrows, the yield curve is said to be “flattening.” In addition, a flatter yield curve generally leads to fixed-rate mortgage rates that are closer to the interest rates available on ARMs, potentially decreasing the supply of ARM-MBS. At times, short-term interest rates may increase and exceed long-term interest rates, causing an inverted yield curve. When the yield curve is inverted, fixed-rate mortgage rates may approach or be lower than mortgage rates on ARMs, further increasing ARM-MBS prepayments and further negatively impacting ARM-MBS supply. Increases in prepayments on our MBS portfolio cause our premium amortization to accelerate, lowering the yield on such assets. If this happens, we could experience a decrease in net income or incur a net loss during these periods, which may negatively impact our distributions to stockholders.
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•
|
interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates;
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•
|
available interest rate hedges may not correspond directly with the interest rate risk for which protection is sought;
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•
|
the duration of the hedge may not match the duration of the related liability;
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•
|
the credit quality of the party owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
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•
|
the party owing money in the hedging transaction may default on its obligation to pay.
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•
|
“business combination” provisions that, subject to limitations, prohibit certain business combinations between us and an “interested stockholder” (defined generally as any person who beneficially owns 10% or more of the voting power of our outstanding voting stock or an affiliate or associate of ours who, at any time within the two-year period immediately prior to the date in question, was the beneficial owner of 10% or more of the voting power of our then outstanding stock) or an affiliate of an interested stockholder for five years after the most recent date on which the stockholder becomes an interested stockholder, and thereafter impose two supermajority stockholder voting requirements to approve these combinations (unless our common stockholders receive a minimum price, as defined under Maryland law, for their shares in the form of cash or other consideration in the same form as previously paid by the interested stockholder for its shares); and
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•
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“control share” provisions that provide that holders of “control shares” of our company (defined as voting shares of stock which, when aggregated with all other shares controlled by the acquiring stockholder, entitle the stockholder to exercise one of three increasing ranges of voting power in electing directors) acquired in a “control share acquisition” (defined as the direct or indirect acquisition of ownership or control of “control shares”) have no voting rights except to the extent approved by our stockholders by the affirmative vote of at least two-thirds of all the votes entitled to be cast on the matter, excluding all interested shares.
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2017
|
|
2016
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||||||||||||
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Quarter Ended
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High
|
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Low
|
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High
|
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Low
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||||||||
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March 31
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|
$
|
8.18
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|
$
|
7.63
|
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|
$
|
6.98
|
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|
$
|
5.61
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|
June 30
|
|
8.66
|
|
|
7.80
|
|
|
7.38
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|
|
6.69
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||||
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September 30
|
|
8.90
|
|
|
8.38
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|
7.86
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|
7.21
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December 31
|
|
8.86
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|
7.92
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|
|
8.05
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|
7.03
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Year
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|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend per
Share
|
|||
|
2017
|
|
December 13, 2017
|
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December 28, 2017
|
|
January 31, 2018
|
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$
|
0.20
|
|
(1)
|
|
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|
September 14, 2017
|
|
September 28, 2017
|
|
October 31, 2017
|
|
0.20
|
|
|
|
|
|
|
June 12, 2017
|
|
June 29, 2017
|
|
July 28, 2017
|
|
0.20
|
|
|
|
|
|
|
March 8, 2017
|
|
March 29, 2017
|
|
April 28, 2017
|
|
0.20
|
|
|
|
|
|
|
|
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|
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2016
|
|
December 14, 2016
|
|
December 28, 2016
|
|
January 31, 2017
|
|
$
|
0.20
|
|
|
|
|
|
September 15, 2016
|
|
September 28, 2016
|
|
October 31, 2016
|
|
0.20
|
|
|
|
|
|
|
June 14, 2016
|
|
June 28, 2016
|
|
July 29, 2016
|
|
0.20
|
|
|
|
|
|
|
March 11, 2016
|
|
March 28, 2016
|
|
April 29, 2016
|
|
0.20
|
|
|
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(1)
|
At
December 31, 2017
, we had accrued dividends and dividend equivalents payable of
$79.8 million
related to the common stock dividend declared on
December 13, 2017
.
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Month
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|
Total
Number of
Shares
Purchased
|
|
Weighted
Average Price
Paid Per
Share
(1)
|
|
Total Number of
Shares Repurchased as
Part of Publicly
Announced
Repurchase Program
or Employee Plan
|
|
Maximum Number of
Shares that May Yet be
Purchased Under the
Repurchase Program or
Employee Plan
|
|||||
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October 1-31, 2017:
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|||||
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Repurchase Program
(2)
|
|
—
|
|
|
$
|
—
|
|
|
—
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|
|
6,616,355
|
|
|
Employee Transactions
(3)
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
N/A
|
|
|
|
November 1-30, 2017:
|
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|
|
|
|
|
|
|
|||||
|
Repurchase Program
(2)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6,616,355
|
|
|
|
Employee Transactions
(3)
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
N/A
|
|
|
|
December 1-31, 2017:
|
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|
|
|
|
|
|
|
|||||
|
Repurchase Program
(2)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6,616,355
|
|
|
|
Employee Transactions
(3)
|
|
103,840
|
|
|
$
|
8.06
|
|
|
N/A
|
|
|
N/A
|
|
|
Total Repurchase Program
(2)
|
|
—
|
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|
$
|
—
|
|
|
—
|
|
|
6,616,355
|
|
|
Total Employee Transactions
(3)
|
|
103,840
|
|
|
$
|
8.06
|
|
|
N/A
|
|
|
N/A
|
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|
(1)
|
Includes brokerage commissions.
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(2)
|
As of
December 31, 2017
, we had repurchased an aggregate of
3,383,645
shares under the Repurchase Program.
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(3)
|
Our Equity Plan provides that the value of the shares delivered or withheld be based on the price of our common stock on the date the relevant transaction occurs.
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Award
(1)
|
|
Number of securities
to be issued upon
exercise of
outstanding options,
warrants and rights
|
|
Weighted-average
exercise price of
outstanding options,
warrants and rights
|
|
Number of securities
remaining available for
future issuance under
equity compensation
plans (excluding
securities reflected in the
first column of this table)
|
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||
|
RSUs
|
|
2,046,278
|
|
|
|
|
|
|
|
|
Total
|
|
2,046,278
|
|
|
|
(2)
|
6,714,900
|
|
(3)
|
|
|
|
At or/For the Year Ended December 31,
|
||||||||||||||||||
|
(Dollars in Thousands, Except per Share Amounts)
|
|
2017
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
||||||||||
|
|
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|
||||||||||
|
Operating Data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Interest income
|
|
$
|
433,448
|
|
|
$
|
457,450
|
|
|
$
|
492,143
|
|
|
$
|
463,817
|
|
|
$
|
482,940
|
|
|
Interest expense
|
|
(197,141
|
)
|
|
(193,355
|
)
|
|
(176,948
|
)
|
|
(159,808
|
)
|
|
(164,013
|
)
|
|||||
|
Net impairment losses recognized in earnings
(1)
|
|
(1,032
|
)
|
|
(485
|
)
|
|
(705
|
)
|
|
—
|
|
|
—
|
|
|||||
|
Net gain on residential whole loans held at fair value
|
|
90,019
|
|
|
62,605
|
|
|
19,575
|
|
|
116
|
|
|
—
|
|
|||||
|
Net gain on sales of MBS and U.S. Treasury securities
(2)
|
|
39,577
|
|
|
35,837
|
|
|
34,900
|
|
|
37,497
|
|
|
25,825
|
|
|||||
|
Unrealized net gains and net interest income from Linked Transactions
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17,092
|
|
|
3,225
|
|
|||||
|
Other income/(loss), net
|
|
29,423
|
|
|
10,600
|
|
|
(3,310
|
)
|
|
80
|
|
|
(7,298
|
)
|
|||||
|
Operating and other expense
|
|
(71,901
|
)
|
|
(59,984
|
)
|
|
(52,429
|
)
|
|
(45,290
|
)
|
|
(37,970
|
)
|
|||||
|
Net income
|
|
$
|
322,393
|
|
|
$
|
312,668
|
|
|
$
|
313,226
|
|
|
$
|
313,504
|
|
|
$
|
302,709
|
|
|
Preferred stock dividends
|
|
15,000
|
|
|
15,000
|
|
|
15,000
|
|
|
15,000
|
|
|
13,750
|
|
|||||
|
Issuance costs of redeemed preferred stock
(3)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,947
|
|
|||||
|
Net income available to common stock and participating securities
|
|
$
|
307,393
|
|
|
$
|
297,668
|
|
|
$
|
298,226
|
|
|
$
|
298,504
|
|
|
$
|
285,012
|
|
|
Earnings per share — basic and diluted
|
|
$
|
0.79
|
|
|
$
|
0.80
|
|
|
$
|
0.80
|
|
|
$
|
0.81
|
|
|
$
|
0.78
|
|
|
Dividends declared per share of common stock
(4)
|
|
$
|
0.80
|
|
|
$
|
0.80
|
|
|
$
|
0.80
|
|
|
$
|
0.80
|
|
|
$
|
1.64
|
|
|
Dividends declared per share of preferred stock
(5)
|
|
$
|
1.875
|
|
|
$
|
1.875
|
|
|
$
|
1.875
|
|
|
$
|
1.875
|
|
|
$
|
2.136
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Balance Sheet Data:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
MBS, CRT securities and MSR related assets
|
|
$
|
7,515,130
|
|
|
$
|
10,054,963
|
|
|
$
|
11,356,643
|
|
|
$
|
10,762,622
|
|
|
$
|
11,371,358
|
|
|
Residential whole loans, at carrying value
|
|
908,516
|
|
|
590,540
|
|
|
271,845
|
|
|
207,923
|
|
|
—
|
|
|||||
|
Residential whole loans, at fair value
|
|
1,325,115
|
|
|
814,682
|
|
|
623,276
|
|
|
143,472
|
|
|
—
|
|
|||||
|
Cash and cash equivalents
|
|
449,757
|
|
|
260,112
|
|
|
165,007
|
|
|
182,437
|
|
|
565,370
|
|
|||||
|
Linked Transactions
|
|
—
|
|
|
—
|
|
|
—
|
|
|
398,336
|
|
|
28,181
|
|
|||||
|
Total assets
|
|
10,954,734
|
|
|
12,484,022
|
|
|
13,162,551
|
|
|
12,354,242
|
|
|
12,469,379
|
|
|||||
|
Repurchase agreements and other advances
|
|
6,614,701
|
|
|
8,687,268
|
|
|
9,387,622
|
|
|
8,267,388
|
|
|
8,339,297
|
|
|||||
|
Securitized debt (
6
)
|
|
363,944
|
|
|
—
|
|
|
21,868
|
|
|
110,072
|
|
|
363,676
|
|
|||||
|
Swaps (in a liability position)
(7)
|
|
—
|
|
|
46,954
|
|
|
70,526
|
|
|
62,198
|
|
|
28,217
|
|
|||||
|
Total liabilities
|
|
7,693,098
|
|
|
9,450,120
|
|
|
10,195,290
|
|
|
9,150,970
|
|
|
9,327,128
|
|
|||||
|
Preferred stock, liquidation preference
|
|
200,000
|
|
|
200,000
|
|
|
200,000
|
|
|
200,000
|
|
|
200,000
|
|
|||||
|
Total stockholders’ equity
|
|
3,261,636
|
|
|
3,033,902
|
|
|
2,967,261
|
|
|
3,203,272
|
|
|
3,142,251
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Other Data:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Average total assets
|
|
$
|
11,619,174
|
|
|
$
|
12,836,580
|
|
|
$
|
13,669,055
|
|
|
$
|
12,542,584
|
|
|
$
|
13,192,285
|
|
|
Average total stockholders’ equity
|
|
$
|
3,203,814
|
|
|
$
|
2,965,570
|
|
|
$
|
3,129,461
|
|
|
$
|
3,230,932
|
|
|
$
|
3,262,458
|
|
|
Return on average total assets
(8)
|
|
2.65
|
%
|
|
2.32
|
%
|
|
2.18
|
%
|
|
2.38
|
%
|
|
2.16
|
%
|
|||||
|
Return on average total stockholders’ equity
(9)
|
|
10.06
|
%
|
|
10.54
|
%
|
|
10.01
|
%
|
|
9.70
|
%
|
|
9.28
|
%
|
|||||
|
Total average stockholders’ equity to total average assets
(10)
|
|
27.57
|
%
|
|
23.10
|
%
|
|
22.89
|
%
|
|
25.75
|
%
|
|
24.73
|
%
|
|||||
|
Dividend payout ratio
(11)
|
|
1.01
|
|
|
1.00
|
|
|
1.00
|
|
|
0.99
|
|
|
1.10
|
|
|||||
|
Book value per share of common stock
(12)
|
|
$
|
7.70
|
|
|
$
|
7.62
|
|
|
$
|
7.47
|
|
|
$
|
8.12
|
|
|
$
|
8.06
|
|
|
(1)
|
Reflects OTTI recognized through earnings related to Non-Agency MBS.
|
|
(2)
|
2017: We sold Non-Agency MBS for
$104.0 million
, realizing gross gains of
$39.9 million
and sold U.S. Treasury securities for
$139.1 million
, realizing gross losses of approximately
$309,000
. 2016: We sold Non-Agency MBS for
$85.6 million
, realizing gross gains of
$35.8 million
. 2015: We sold Non-Agency MBS for
$70.7 million
, realizing gross gains of
$34.9 million
. 2014: We sold Non-Agency MBS for $123.9 million, realizing gross gains of $37.5 million. 2013: We sold Non-Agency MBS for $152.6 million, realizing gross gains of $25.8 million and sold U.S. Treasury securities for $422.2 million, realizing net losses of approximately $24,000.
|
|
(3)
|
Issuance costs of redeemed preferred stock represent the original offering costs related to the 8.50% Series A Cumulative Redeemable Preferred Stock (“Series A Preferred Stock”), which was redeemed on May 16, 2013.
|
|
(4)
|
2013: Includes special cash dividends paid totaling $0.78 per share.
|
|
(5)
|
2013: Reflects dividends declared per share on Series A Preferred Stock and 7.50% Series B Cumulative Redeemable Preferred Stock (“Series B Preferred Stock”) of $0.80 and $1.33, respectively.
|
|
(6)
|
2017: Reflects securitized debt from our 2017 loan securitization transactions. 2015, 2014 and 2013: Reflects securitized debt from our MBS resecuritization transactions.
|
|
(7)
|
Beginning in January 2017, variation margin payments on our cleared Swaps are treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the Swap contract. The effect of this change is to reduce what would have otherwise been reported as fair value of the Swap.
|
|
(8)
|
Reflects net income available to common stock and participating securities divided by average total assets.
|
|
(9)
|
Reflects net income divided by average total stockholders’ equity.
|
|
|
|
December 31, 2017
|
|||||||||||||
|
Underlying Mortgages
|
|
Agency MBS
Fair Value
(1)
|
|
Non-Agency MBS
Fair Value
(2)
|
|
Total
MBS
(1)(2)
|
|
Percent
of Total
|
|||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
|||||||
|
Hybrids in contractual fixed-rate period
|
|
$
|
591,664
|
|
|
$
|
—
|
|
|
$
|
591,664
|
|
|
10.9
|
%
|
|
Hybrids in adjustable period
|
|
1,046,166
|
|
|
1,695,220
|
|
|
2,741,386
|
|
|
50.4
|
|
|||
|
15-year fixed rate
|
|
1,142,583
|
|
|
2,969
|
|
|
1,145,552
|
|
|
21.1
|
|
|||
|
Greater than 15-year fixed rate
|
|
—
|
|
|
880,434
|
|
|
880,434
|
|
|
16.2
|
|
|||
|
Floaters
|
|
42,378
|
|
|
32,232
|
|
|
74,610
|
|
|
1.4
|
|
|||
|
Total
|
|
$
|
2,822,791
|
|
|
$
|
2,610,855
|
|
|
$
|
5,433,646
|
|
|
100.0
|
%
|
|
|
|
Agency MBS
|
|
Legacy
Non-Agency MBS |
|
RPL/NPL MBS
(1)
|
|
Credit Risk Transfer Securities
|
|
MSR Related Assets
|
|
Residential Whole Loans, at Carrying Value
(2)
|
|
Residential Whole Loans, at Fair Value
|
|
Other,
net (3) |
|
Total
|
||||||||||||||||||
|
(Dollars in Millions)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Fair Value/Carrying Value
|
|
$
|
2,825
|
|
|
$
|
2,611
|
|
|
$
|
923
|
|
|
$
|
664
|
|
|
$
|
492
|
|
|
$
|
909
|
|
|
$
|
1,325
|
|
|
$
|
588
|
|
|
$
|
10,337
|
|
|
Less Repurchase Agreements
|
|
(2,501
|
)
|
|
(1,726
|
)
|
|
(567
|
)
|
|
(459
|
)
|
|
(317
|
)
|
|
(348
|
)
|
|
(696
|
)
|
|
—
|
|
|
(6,614
|
)
|
|||||||||
|
Less Securitized Debt
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(156
|
)
|
|
(208
|
)
|
|
—
|
|
|
(364
|
)
|
|||||||||
|
Less Senior Notes
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(97
|
)
|
|
(97
|
)
|
|||||||||
|
Net Equity Allocated
|
|
$
|
324
|
|
|
$
|
885
|
|
|
$
|
356
|
|
|
$
|
205
|
|
|
$
|
175
|
|
|
$
|
405
|
|
|
$
|
421
|
|
|
$
|
491
|
|
|
$
|
3,262
|
|
|
Debt/Net Equity Ratio
(4)
|
|
7.7
|
x
|
|
2.0
|
x
|
|
1.6
|
x
|
|
2.2
|
x
|
|
1.8
|
x
|
|
1.2
|
x
|
|
2.1
|
x
|
|
|
|
2.3
|
x
|
||||||||||
|
(1)
|
RPL/NPL MBS are backed primarily by securitized re-performing and non-performing loans. The securities are structured such that the coupon increases up to 300 basis points at 36 months from issuance or sooner. Included with the balance of Non-Agency MBS reported on our consolidated balance sheets.
|
|
(2)
|
The carrying value of such loans reflects the purchase price, accretion of income, cash received and provision for loan losses since acquisition. At
December 31, 2017
, the fair value of such loans is estimated to be approximately
$988.7 million
.
|
|
(3)
|
Includes cash and cash equivalents and restricted cash, securities obtained and pledged as collateral, other assets, obligation to return securities obtained as collateral of and other liabilities.
|
|
(4)
|
Represents the sum of borrowings under repurchase agreements and securitized debt as a multiple of net equity allocated. The numerator of our Total Debt/Net Equity Ratio also includes the obligation to return securities obtained as collateral of
$504.1 million
and Senior Notes.
|
|
(Dollars in Thousands)
|
|
Current
Face
|
|
Weighted
Average
Purchase
Price
|
|
Weighted
Average
Market
Price
|
|
Fair
Value
(1)
|
|
Weighted
Average
Loan Age
(Months)
(2)
|
|
Weighted
Average
Coupon
(2)
|
|
3 Month
Average
CPR
|
|||||||||
|
15-Year Fixed Rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Low Loan Balance
(3)
|
|
$
|
948,225
|
|
|
104.3
|
%
|
|
101.7
|
%
|
|
$
|
964,373
|
|
|
67
|
|
|
2.95
|
%
|
|
10.3
|
%
|
|
HARP
(4)
|
|
91,131
|
|
|
104.7
|
|
|
101.8
|
|
|
92,800
|
|
|
66
|
|
|
2.95
|
|
|
8.2
|
|
||
|
Other (Post June 2009)
(5)
|
|
81,428
|
|
|
104.0
|
|
|
104.5
|
|
|
85,094
|
|
|
87
|
|
|
4.14
|
|
|
10.7
|
|
||
|
Other (Pre June 2009)
(6)
|
|
303
|
|
|
104.9
|
|
|
104.4
|
|
|
316
|
|
|
103
|
|
|
4.50
|
|
|
2.0
|
|
||
|
Total 15-Year Fixed Rate
|
|
$
|
1,121,087
|
|
|
104.3
|
%
|
|
101.9
|
%
|
|
$
|
1,142,583
|
|
|
68
|
|
|
3.04
|
%
|
|
10.2
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Hybrid:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Other (Post June 2009)
(5)
|
|
$
|
1,028,630
|
|
|
104.4
|
%
|
|
103.6
|
%
|
|
$
|
1,065,312
|
|
|
78
|
|
|
3.17
|
%
|
|
17.7
|
%
|
|
Other (Pre June 2009)
(6)
|
|
511,801
|
|
|
101.7
|
|
|
104.7
|
|
|
535,795
|
|
|
132
|
|
|
3.44
|
|
|
16.0
|
|
||
|
Total Hybrid
|
|
$
|
1,540,431
|
|
|
103.5
|
%
|
|
103.9
|
%
|
|
$
|
1,601,107
|
|
|
96
|
|
|
3.26
|
%
|
|
17.1
|
%
|
|
CMO/Other
|
|
$
|
76,944
|
|
|
102.5
|
%
|
|
102.8
|
%
|
|
$
|
79,100
|
|
|
198
|
|
|
3.16
|
%
|
|
9.9
|
%
|
|
Total Portfolio
|
|
$
|
2,738,462
|
|
|
103.8
|
%
|
|
103.1
|
%
|
|
$
|
2,822,790
|
|
|
88
|
|
|
3.16
|
%
|
|
14.1
|
%
|
|
(Dollars in Thousands)
|
|
Current
Face
|
|
Weighted
Average
Purchase
Price
|
|
Weighted
Average
Market
Price
|
|
Fair
Value
(1)
|
|
Weighted
Average
Loan Age
(Months)
(2)
|
|
Weighted
Average
Coupon
(2)
|
|
3 Month
Average
CPR
|
|||||||||
|
15-Year Fixed Rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Low Loan Balance
(3)
|
|
$
|
1,170,788
|
|
|
104.3
|
%
|
|
103.0
|
%
|
|
$
|
1,206,174
|
|
|
55
|
|
|
2.97
|
%
|
|
11.2
|
%
|
|
HARP
(4)
|
|
116,790
|
|
|
104.7
|
|
|
103.0
|
|
|
120,290
|
|
|
54
|
|
|
2.96
|
|
|
12.1
|
|
||
|
Other (Post June 2009)
(5)
|
|
106,343
|
|
|
104.0
|
|
|
105.7
|
|
|
112,400
|
|
|
75
|
|
|
4.14
|
|
|
14.3
|
|
||
|
Other (Pre June 2009)
(6)
|
|
564
|
|
|
104.9
|
|
|
105.9
|
|
|
597
|
|
|
91
|
|
|
4.50
|
|
|
28.8
|
|
||
|
Total 15-Year Fixed Rate
|
|
$
|
1,394,485
|
|
|
104.3
|
%
|
|
103.2
|
%
|
|
$
|
1,439,461
|
|
|
57
|
|
|
3.06
|
%
|
|
11.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Hybrid:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Other (Post June 2009)
(5)
|
|
$
|
1,370,019
|
|
|
104.4
|
%
|
|
104.8
|
%
|
|
$
|
1,436,184
|
|
|
67
|
|
|
2.99
|
%
|
|
19.9
|
%
|
|
Other (Pre June 2009)
(6)
|
|
720,419
|
|
|
101.7
|
|
|
105.6
|
|
|
761,052
|
|
|
120
|
|
|
3.03
|
|
|
17.0
|
|
||
|
Total Hybrid
|
|
$
|
2,090,438
|
|
|
103.5
|
%
|
|
105.1
|
%
|
|
$
|
2,197,236
|
|
|
86
|
|
|
3.01
|
%
|
|
18.9
|
%
|
|
CMO/Other
|
|
$
|
96,379
|
|
|
102.5
|
%
|
|
102.9
|
%
|
|
$
|
99,196
|
|
|
187
|
|
|
2.81
|
%
|
|
14.7
|
%
|
|
Total Portfolio
|
|
$
|
3,581,302
|
|
|
103.8
|
%
|
|
104.3
|
%
|
|
$
|
3,735,893
|
|
|
77
|
|
|
3.02
|
%
|
|
15.9
|
%
|
|
Coupon
|
|
Current
Face
|
|
Weighted
Average
Purchase
Price
|
|
Weighted
Average
Market
Price
|
|
Fair
Value
(1)
|
|
Weighted
Average
Loan Age
(Months)
(2)
|
|
Weighted
Average
Loan Rate
|
|
Low Loan
Balance
and/or
HARP
(3)
|
|
3 Month
Average
CPR
|
||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
15-Year Fixed Rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
2.5%
|
|
$
|
579,003
|
|
|
104.0
|
%
|
|
100.5
|
%
|
|
$
|
581,866
|
|
|
60
|
|
|
3.04
|
%
|
|
100
|
%
|
|
9.3
|
%
|
|
3.0%
|
|
231,325
|
|
|
105.9
|
|
|
102.2
|
|
|
236,316
|
|
|
66
|
|
|
3.49
|
|
|
100
|
|
|
9.5
|
|
||
|
3.5%
|
|
5,402
|
|
|
103.5
|
|
|
103.4
|
|
|
5,587
|
|
|
86
|
|
|
4.18
|
|
|
100
|
|
|
23.0
|
|
||
|
4.0%
|
|
263,447
|
|
|
103.5
|
|
|
104.3
|
|
|
274,783
|
|
|
85
|
|
|
4.40
|
|
|
80
|
|
|
12.4
|
|
||
|
4.5%
|
|
41,910
|
|
|
105.2
|
|
|
105.1
|
|
|
44,031
|
|
|
89
|
|
|
4.88
|
|
|
34
|
|
|
10.2
|
|
||
|
Total 15-Year Fixed Rate
|
|
$
|
1,121,087
|
|
|
104.3
|
%
|
|
101.9
|
%
|
|
$
|
1,142,583
|
|
|
68
|
|
|
3.52
|
%
|
|
93
|
%
|
|
10.2
|
%
|
|
Coupon
|
|
Current
Face |
|
Weighted
Average Purchase Price |
|
Weighted
Average Market Price |
|
Fair
Value (1) |
|
Weighted
Average Loan Age (Months) (2) |
|
Weighted
Average Loan Rate |
|
Low Loan
Balance and/or HARP (3) |
|
3 Month
Average CPR |
||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
15-Year Fixed Rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
2.5%
|
|
$
|
700,388
|
|
|
104.0
|
%
|
|
101.6
|
%
|
|
$
|
711,696
|
|
|
48
|
|
|
3.04
|
%
|
|
100
|
%
|
|
9.9
|
%
|
|
3.0%
|
|
288,648
|
|
|
105.9
|
|
|
103.3
|
|
|
298,311
|
|
|
54
|
|
|
3.49
|
|
|
100
|
|
|
11.3
|
|
||
|
3.5%
|
|
7,244
|
|
|
103.5
|
|
|
104.6
|
|
|
7,576
|
|
|
74
|
|
|
4.18
|
|
|
100
|
|
|
15.7
|
|
||
|
4.0%
|
|
343,105
|
|
|
103.5
|
|
|
105.9
|
|
|
363,258
|
|
|
73
|
|
|
4.40
|
|
|
80
|
|
|
14.2
|
|
||
|
4.5%
|
|
55,100
|
|
|
105.2
|
|
|
106.4
|
|
|
58,620
|
|
|
77
|
|
|
4.88
|
|
|
34
|
|
|
14.5
|
|
||
|
Total 15-Year Fixed Rate
|
|
$
|
1,394,485
|
|
|
104.3
|
%
|
|
103.2
|
%
|
|
$
|
1,439,461
|
|
|
57
|
|
|
3.54
|
%
|
|
92
|
%
|
|
11.5
|
%
|
|
(Dollars in Thousands)
|
|
Current
Face
|
|
Weighted
Average
Purchase
Price
|
|
Weighted
Average
Market
Price
|
|
Fair
Value
(1)
|
|
Weighted
Average
Coupon
(2)
|
|
Weighted
Average
Loan Age
(Months)
(2)
|
|
Weighted
Average
Months to
Reset
(3)
|
|
Interest
Only
(4)
|
|
3 Month
Average
CPR
|
|||||||||||
|
Hybrid Post June 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Agency 5/1
|
|
$
|
398,801
|
|
|
104.3
|
%
|
|
104.6
|
%
|
|
$
|
416,978
|
|
|
3.47
|
%
|
|
89
|
|
|
5
|
|
|
27
|
%
|
|
16.7
|
%
|
|
Agency 7/1
|
|
456,295
|
|
|
104.4
|
|
|
103.3
|
|
|
471,142
|
|
|
2.94
|
|
|
73
|
|
|
13
|
|
|
25
|
|
|
20.8
|
|
||
|
Agency 10/1
|
|
173,534
|
|
|
104.6
|
|
|
102.1
|
|
|
177,192
|
|
|
3.08
|
|
|
68
|
|
|
51
|
|
|
64
|
|
|
11.8
|
|
||
|
Total Hybrids Post June 2009
|
|
$
|
1,028,630
|
|
|
104.4
|
%
|
|
103.6
|
%
|
|
$
|
1,065,312
|
|
|
3.17
|
%
|
|
78
|
|
|
16
|
|
|
32
|
%
|
|
17.7
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Hybrid Pre June 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Coupon < 4.5%
(5)
|
|
$
|
509,290
|
|
|
101.6
|
%
|
|
104.7
|
%
|
|
$
|
533,183
|
|
|
3.43
|
%
|
|
132
|
|
|
6
|
|
|
19
|
%
|
|
16.1
|
%
|
|
Coupon >= 4.5%
(6)
|
|
2,511
|
|
|
103.2
|
|
|
104.0
|
|
|
2,612
|
|
|
5.13
|
|
|
119
|
|
|
2
|
|
|
42
|
|
|
1.0
|
|
||
|
Total Hybrids Pre June 2009
|
|
$
|
511,801
|
|
|
101.7
|
%
|
|
104.7
|
%
|
|
$
|
535,795
|
|
|
3.44
|
%
|
|
132
|
|
|
5
|
|
|
19
|
%
|
|
16.0
|
%
|
|
Total Hybrids
|
|
$
|
1,540,431
|
|
|
103.5
|
%
|
|
103.9
|
%
|
|
$
|
1,601,107
|
|
|
3.26
|
%
|
|
96
|
|
|
13
|
|
|
28
|
%
|
|
17.1
|
%
|
|
(Dollars in Thousands)
|
|
Current
Face |
|
Weighted
Average Purchase Price |
|
Weighted
Average Market Price |
|
Fair
Value (1) |
|
Weighted
Average Coupon (2) |
|
Weighted
Average Loan Age (Months) (2) |
|
Weighted
Average Months to Reset (3) |
|
Interest
Only (4) |
|
3 Month
Average CPR |
|||||||||||
|
Hybrid Post June 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Agency 5/1
|
|
$
|
551,736
|
|
|
104.3
|
%
|
|
105.7
|
%
|
|
$
|
583,318
|
|
|
2.93
|
%
|
|
76
|
|
|
6
|
|
|
25
|
%
|
|
17.7
|
%
|
|
Agency 7/1
|
|
618,414
|
|
|
104.5
|
|
|
104.3
|
|
|
645,200
|
|
|
3.00
|
|
|
62
|
|
|
21
|
|
|
24
|
|
|
22.8
|
|
||
|
Agency 10/1
|
|
199,869
|
|
|
104.7
|
|
|
103.9
|
|
|
207,666
|
|
|
3.13
|
|
|
58
|
|
|
61
|
|
|
64
|
|
|
17.1
|
|
||
|
Total Hybrids Post June 2009
|
|
$
|
1,370,019
|
|
|
104.4
|
%
|
|
104.8
|
%
|
|
$
|
1,436,184
|
|
|
2.99
|
%
|
|
67
|
|
|
21
|
|
|
30
|
%
|
|
19.9
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Hybrid Pre June 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Coupon < 4.5%
(5)
|
|
$
|
691,572
|
|
|
101.7
|
%
|
|
105.6
|
%
|
|
$
|
730,626
|
|
|
2.92
|
%
|
|
121
|
|
|
6
|
|
|
33
|
%
|
|
16.9
|
%
|
|
Coupon >= 4.5%
(6)
|
|
28,847
|
|
|
101.4
|
|
|
105.5
|
|
|
30,426
|
|
|
5.71
|
|
|
112
|
|
|
7
|
|
|
69
|
|
|
18.1
|
|
||
|
Total Hybrids Pre June 2009
|
|
$
|
720,419
|
|
|
101.7
|
%
|
|
105.6
|
%
|
|
$
|
761,052
|
|
|
3.03
|
%
|
|
120
|
|
|
6
|
|
|
34
|
%
|
|
17.0
|
%
|
|
Total Hybrids
|
|
$
|
2,090,438
|
|
|
103.5
|
%
|
|
105.1
|
%
|
|
$
|
2,197,236
|
|
|
3.01
|
%
|
|
86
|
|
|
15
|
|
|
32
|
%
|
|
18.9
|
%
|
|
|
|
December 31,
|
|
||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
|
||||
|
Non-Agency MBS
|
|
|
|
|
|
|
|
||
|
Face/Par
|
|
$
|
3,718,743
|
|
|
$
|
6,065,618
|
|
|
|
Fair Value
|
|
3,533,966
|
|
|
5,684,836
|
|
|
||
|
Amortized Cost
|
|
2,910,241
|
|
|
5,093,243
|
|
|
||
|
Purchase Discount Designated as Credit Reserve and OTTI
|
|
(593,227
|
)
|
(1)
|
(694,241
|
)
|
(2)
|
||
|
Purchase Discount Designated as Accretable
|
|
(215,325
|
)
|
|
(278,191
|
)
|
|
||
|
Purchase Premiums
|
|
50
|
|
|
57
|
|
|
||
|
|
|
For the Year Ended December 31,
|
||||||||||||||
|
|
|
2017
|
|
2016
|
||||||||||||
|
(In Thousands)
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Accretable
Discount
(1)
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Accretable
Discount
(1)
|
||||||||
|
Balance at beginning of period
|
|
$
|
(694,241
|
)
|
|
$
|
(278,191
|
)
|
|
$
|
(787,541
|
)
|
|
$
|
(312,182
|
)
|
|
Impact of RMBS Issuer settlement
(2)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(59,900
|
)
|
||||
|
Accretion of discount
|
|
—
|
|
|
77,513
|
|
|
—
|
|
|
80,548
|
|
||||
|
Realized credit losses
|
|
49,291
|
|
|
—
|
|
|
64,217
|
|
|
—
|
|
||||
|
Purchases
|
|
(29,810
|
)
|
|
18,386
|
|
|
(25,999
|
)
|
|
13,094
|
|
||||
|
Sales
|
|
31,730
|
|
|
17,802
|
|
|
17,863
|
|
|
37,953
|
|
||||
|
Net impairment losses recognized in earnings
|
|
(1,032
|
)
|
|
—
|
|
|
(485
|
)
|
|
—
|
|
||||
|
Transfers/release of credit reserve
|
|
50,835
|
|
|
(50,835
|
)
|
|
37,704
|
|
|
(37,704
|
)
|
||||
|
Balance at end of period
|
|
$
|
(593,227
|
)
|
|
$
|
(215,325
|
)
|
|
$
|
(694,241
|
)
|
|
$
|
(278,191
|
)
|
|
(2)
|
Includes the impact of approximately
$61.8 million
and
$7.0 million
of cash proceeds (a one-time payment) received by us during the year ended
December 31, 2016
in connection with the settlements of litigation related to certain Countrywide and Citigroup sponsored residential mortgage backed securitization trusts, respectively.
|
|
|
For the Year Ended December 31,
|
||||||||||||||||
|
|
2017
|
|
2016
|
|
2015
|
||||||||||||
|
|
Legacy
Non-Agency MBS
|
|
RPL/NPL MBS
|
|
Legacy
Non-Agency MBS
|
|
RPL/NPL MBS
|
|
Legacy
Non-Agency MBS
|
|
RPL/NPL MBS
|
||||||
|
Non-Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Coupon Yield
(1)
|
5.61
|
%
|
|
4.05
|
%
|
|
5.24
|
%
|
|
3.80
|
%
|
|
5.08
|
%
|
|
3.61
|
%
|
|
Effective Yield Adjustment
(2)
|
3.34
|
|
|
0.09
|
|
|
2.66
|
|
|
0.08
|
|
|
2.54
|
|
|
0.07
|
|
|
Net Yield
|
8.95
|
%
|
|
4.14
|
%
|
|
7.90
|
%
|
|
3.88
|
%
|
|
7.62
|
%
|
|
3.68
|
%
|
|
(1)
|
Reflects coupon interest income divided by the average amortized cost. The discounted purchase price on Legacy Non-Agency MBS causes the coupon yield to be higher than the pass-through coupon interest rate.
|
|
(2)
|
The effective yield adjustment is the difference between the net yield, calculated utilizing management’s estimates of timing and amount of future cash flows for Legacy Non-Agency MBS and RPL/NPL MBS, less the current coupon yield.
|
|
|
|
Within One Year
|
|
One to Five Years
|
|
Five to Ten Years
|
|
Over Ten Years
|
|
Total MBS
|
|||||||||||||||||||||||||||||
|
(Dollars in Thousands)
|
|
Amortized
Cost
|
|
Weighted
Average
Yield
|
|
Amortized
Cost
|
|
Weighted
Average
Yield
|
|
Amortized
Cost
|
|
Weighted
Average
Yield
|
|
Amortized
Cost
|
|
Weighted
Average
Yield
|
|
Total
Amortized
Cost
|
|
Total Fair
Value
|
|
Weighted
Average
Yield
|
|||||||||||||||||
|
Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Fannie Mae
|
|
$
|
—
|
|
|
—
|
%
|
|
$
|
141
|
|
|
2.33
|
%
|
|
$
|
586,126
|
|
|
2.22
|
%
|
|
$
|
1,666,938
|
|
|
2.24
|
%
|
|
$
|
2,253,205
|
|
|
$
|
2,246,600
|
|
|
2.23
|
%
|
|
Freddie Mac
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
249,277
|
|
|
1.98
|
|
|
335,643
|
|
|
1.87
|
|
|
584,920
|
|
|
571,748
|
|
|
1.91
|
|
||||||
|
Ginnie Mae
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
98
|
|
|
2.32
|
|
|
6,156
|
|
|
2.01
|
|
|
6,254
|
|
|
6,333
|
|
|
2.02
|
|
||||||
|
Total Agency MBS
|
|
$
|
—
|
|
|
—
|
%
|
|
$
|
141
|
|
|
2.33
|
%
|
|
$
|
835,501
|
|
|
2.15
|
%
|
|
$
|
2,008,737
|
|
|
2.17
|
%
|
|
$
|
2,844,379
|
|
|
$
|
2,824,681
|
|
|
2.17
|
%
|
|
Non-Agency MBS
|
|
$
|
—
|
|
|
—
|
%
|
|
$
|
271,115
|
|
|
3.90
|
%
|
|
$
|
2,904
|
|
|
3.88
|
%
|
|
$
|
2,636,222
|
|
|
8.35
|
%
|
|
$
|
2,910,241
|
|
|
$
|
3,533,966
|
|
|
7.93
|
%
|
|
Total MBS
|
|
$
|
—
|
|
|
—
|
%
|
|
$
|
271,256
|
|
|
3.90
|
%
|
|
$
|
838,405
|
|
|
2.15
|
%
|
|
$
|
4,644,959
|
|
|
5.68
|
%
|
|
$
|
5,754,620
|
|
|
$
|
6,358,647
|
|
|
5.08
|
%
|
|
(In Thousands)
|
|
Residential Whole Loans,
at Carrying Value
|
|
Residential Whole Loans,
at Fair Value
|
||||
|
Amount due:
|
|
|
|
|
|
|||
|
Within one year
|
|
$
|
43,418
|
|
|
$
|
9,985
|
|
|
After one year:
|
|
|
|
|
||||
|
Over one to five years
|
|
18,646
|
|
|
14,559
|
|
||
|
Over five years
|
|
846,452
|
|
|
1,300,571
|
|
||
|
Total due after one year
|
|
$
|
865,098
|
|
|
$
|
1,315,130
|
|
|
Total residential whole loans
|
|
$
|
908,516
|
|
|
$
|
1,325,115
|
|
|
(In Thousands)
|
|
Residential Whole Loans
at Fair Value
(1)
|
||
|
Interest rates:
|
|
|
|
|
|
Fixed
|
|
$
|
695,145
|
|
|
Adjustable
|
|
619,985
|
|
|
|
Total
|
|
$
|
1,315,130
|
|
|
|
|
Residential Whole Loans
at Fair Value
|
||||||
|
(Dollars in Thousands)
|
|
December 31, 2017
|
|
December 31, 2016
|
||||
|
Loans 90 days or more past due:
|
|
|
|
|
||||
|
Number of Loans
|
|
3,984
|
|
|
2,560
|
|
||
|
Aggregate Amount Outstanding
|
|
$
|
840,572
|
|
|
$
|
570,025
|
|
|
Country
|
|
Number of
Counterparties
|
|
Repurchase
Agreement
Financing and Other Advances
|
|
Exposure
(1)
|
|
Exposure as a
Percentage of
MFA Total Assets
|
||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
||||
|
European Countries:
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Switzerland
(3)
|
|
3
|
|
$
|
1,030,090
|
|
|
373,254
|
|
|
3.41
|
%
|
|
France
|
|
2
|
|
617,536
|
|
|
157,368
|
|
|
1.44
|
|
|
|
United Kingdom
|
|
3
|
|
414,361
|
|
|
135,147
|
|
|
1.23
|
|
|
|
Holland
|
|
1
|
|
120,220
|
|
|
9,488
|
|
|
0.09
|
|
|
|
Total European
|
|
9
|
|
2,182,207
|
|
|
675,257
|
|
|
6.17
|
%
|
|
|
Other Countries:
|
|
|
|
|
|
|
|
|
|
|
||
|
United States
|
|
15
|
|
$
|
3,180,405
|
|
|
775,617
|
|
|
7.08
|
%
|
|
Canada
(4)
|
|
3
|
|
732,278
|
|
|
189,163
|
|
|
1.73
|
|
|
|
Japan
(5)
|
|
3
|
|
441,160
|
|
|
35,928
|
|
|
0.33
|
|
|
|
China
(5)
|
|
1
|
|
398,187
|
|
|
13,993
|
|
|
0.13
|
|
|
|
South Korea
|
|
1
|
|
180,670
|
|
|
12,490
|
|
|
0.11
|
|
|
|
Total Other
|
|
23
|
|
4,932,700
|
|
|
1,027,191
|
|
|
9.38
|
%
|
|
|
Total
|
|
32
|
|
$
|
7,114,907
|
|
(6)
|
1,702,448
|
|
|
15.55
|
%
|
|
(1)
|
Represents for each counterparty the amount of cash and/or securities pledged as collateral less the aggregate of repurchase agreement financing and net interest receivable/payable on all such instruments.
|
|
(2)
|
Includes European-based counterparties as well as U.S.-domiciled subsidiaries of the European parent entity.
|
|
(3)
|
Includes London branch of one counterparty and Cayman Islands branch of the other counterparty.
|
|
(4)
|
Includes Canada-based counterparties as well as U.S.-domiciled subsidiaries of Canadian parent entities. In the case of one counterparty, also includes exposure of
$168.6 million
to Barbados-based affiliate of the Canadian parent entity.
|
|
(5)
|
Exposure is to U.S.-domiciled subsidiary of the Japanese or Chinese parent entity, as the case may be.
|
|
(6)
|
Includes
$500.0 million
of repurchase agreements entered into in connection with contemporaneous repurchase and reverse repurchase agreements with a single counterparty.
|
|
|
|
For the Year Ended December 31,
|
|||||||||||||||||||||||||||||||
|
|
|
2017
|
|
2016
|
|
2015
|
|||||||||||||||||||||||||||
|
|
|
Average Balance
|
|
Interest
|
|
Average
Yield/Cost
|
|
Average Balance
|
|
Interest
|
|
Average Yield/Cost
|
|
Average Balance
|
|
Interest
|
|
Average Yield/Cost
|
|||||||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Agency MBS
(1)
|
|
$
|
3,272,766
|
|
|
$
|
65,355
|
|
|
2.00
|
%
|
|
$
|
4,258,744
|
|
|
$
|
83,069
|
|
|
1.95
|
%
|
|
$
|
5,282,198
|
|
|
$
|
105,835
|
|
|
2.00
|
%
|
|
Legacy Non-Agency MBS
(1)
|
|
2,276,247
|
|
|
203,650
|
|
|
8.95
|
|
|
2,941,507
|
|
|
232,500
|
|
|
7.90
|
|
|
3,600,339
|
|
|
274,352
|
|
|
7.62
|
|
||||||
|
RPL/NPL MBS
(1)
|
|
1,629,573
|
|
|
67,462
|
|
|
4.14
|
|
|
2,586,495
|
|
|
100,321
|
|
|
3.88
|
|
|
2,423,808
|
|
|
89,218
|
|
|
3.68
|
|
||||||
|
Total MBS
|
|
7,178,586
|
|
|
336,467
|
|
|
4.69
|
|
|
9,786,746
|
|
|
415,890
|
|
|
4.25
|
|
|
11,306,345
|
|
|
469,405
|
|
|
4.15
|
|
||||||
|
CRT securities
(1)
|
|
543,360
|
|
|
31,715
|
|
|
5.84
|
|
|
271,566
|
|
|
14,770
|
|
|
5.44
|
|
|
133,458
|
|
|
6,572
|
|
|
4.92
|
|
||||||
|
MSR related assets
(1)
|
|
392,948
|
|
|
24,830
|
|
|
6.32
|
|
|
36,013
|
|
|
2,100
|
|
|
5.83
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
|
Residential whole loans, at carrying value
(2)
|
|
610,420
|
|
|
36,187
|
|
|
5.93
|
|
|
389,910
|
|
|
23,916
|
|
|
6.13
|
|
|
241,801
|
|
|
16,036
|
|
|
6.63
|
|
||||||
|
Cash and cash equivalents
(3)
|
|
546,579
|
|
|
4,249
|
|
|
0.78
|
|
|
291,064
|
|
|
774
|
|
|
0.27
|
|
|
212,917
|
|
|
130
|
|
|
0.06
|
|
||||||
|
Total interest-earning assets
|
|
9,271,893
|
|
|
433,448
|
|
|
4.67
|
|
|
10,775,299
|
|
|
457,450
|
|
|
4.25
|
|
|
11,894,521
|
|
|
492,143
|
|
|
4.14
|
|
||||||
|
Total non-interest-earning assets
(2)
|
|
2,347,281
|
|
|
|
|
|
|
|
|
2,061,281
|
|
|
|
|
|
|
|
|
1,774,534
|
|
|
|
|
|
|
|
||||||
|
Total assets
|
|
$
|
11,619,174
|
|
|
|
|
|
|
|
|
$
|
12,836,580
|
|
|
|
|
|
|
|
|
$
|
13,669,055
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
Liabilities and stockholders’ equity:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Total repurchase agreements and other advances
(4)
|
|
$
|
7,441,607
|
|
|
$
|
186,347
|
|
|
2.50
|
|
|
$
|
8,972,475
|
|
|
$
|
184,986
|
|
|
2.06
|
|
|
$
|
9,596,407
|
|
|
$
|
166,918
|
|
|
1.74
|
|
|
Securitized debt
(5)
|
|
96,311
|
|
|
2,755
|
|
|
2.86
|
|
|
6,700
|
|
|
333
|
|
|
4.97
|
|
|
65,319
|
|
|
1,996
|
|
|
3.06
|
|
||||||
|
Senior Notes
|
|
96,751
|
|
|
8,039
|
|
|
8.31
|
|
|
96,714
|
|
|
8,036
|
|
|
8.31
|
|
|
96,680
|
|
|
8,034
|
|
|
8.31
|
|
||||||
|
Total interest-bearing liabilities
|
|
7,634,669
|
|
|
197,141
|
|
|
2.58
|
|
|
9,075,889
|
|
|
193,355
|
|
|
2.13
|
|
|
9,758,406
|
|
|
176,948
|
|
|
1.81
|
|
||||||
|
Total non-interest-bearing liabilities
|
|
780,691
|
|
|
|
|
|
|
|
|
795,121
|
|
|
|
|
|
|
|
781,188
|
|
|
|
|
|
|
||||||||
|
Total liabilities
|
|
8,415,360
|
|
|
|
|
|
|
|
|
9,871,010
|
|
|
|
|
|
|
|
|
10,539,594
|
|
|
|
|
|
|
|
||||||
|
Stockholders’ equity
|
|
3,203,814
|
|
|
|
|
|
|
|
|
2,965,570
|
|
|
|
|
|
|
|
|
3,129,461
|
|
|
|
|
|
|
|
||||||
|
Total liabilities and stockholders’ equity
|
|
$
|
11,619,174
|
|
|
|
|
|
|
|
|
$
|
12,836,580
|
|
|
|
|
|
|
|
|
$
|
13,669,055
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
Net interest income/net interest
rate spread
(6)
|
|
|
|
|
$
|
236,307
|
|
|
2.09
|
%
|
|
|
|
|
$
|
264,095
|
|
|
2.12
|
%
|
|
|
|
|
$
|
315,195
|
|
|
2.33
|
%
|
|||
|
Net interest-earning assets/net
interest margin
(7)
|
|
$
|
1,637,224
|
|
|
|
|
|
2.55
|
%
|
|
$
|
1,699,410
|
|
|
|
|
|
2.45
|
%
|
|
$
|
2,136,115
|
|
|
|
|
|
2.65
|
%
|
|||
|
Ratio of interest-earning assets to
interest-bearing liabilities
|
|
1.21
|
x
|
|
|
|
|
|
|
|
1.19
|
x
|
|
|
|
|
|
|
|
1.22
|
x
|
|
|
|
|
|
|
||||||
|
(1)
|
Yields presented throughout this Annual Report on Form 10-K are calculated using average amortized cost data for securities which excludes unrealized gains and losses and includes principal payments receivable on securities. For GAAP reporting purposes, purchases and sales are reported on the trade date. Average amortized cost data used to determine yields is calculated based on the settlement date of the associated purchase or sale as interest income is not earned on purchased assets and continues to be earned on sold assets until settlement date. Includes Non-Agency MBS transferred to consolidated VIEs.
|
|
(2)
|
Excludes residential whole loans held at fair value that are reported as a component of total non-interest-earning assets.
|
|
(3)
|
Includes average interest-earning cash, cash equivalents and restricted cash.
|
|
(4)
|
Average cost of repurchase agreements includes the cost of Swaps allocated based on the proportionate share of the overall estimated weighted average portfolio duration.
|
|
(5)
|
Securitized debt for 2017 reflects securitized debt from our 2017 loan securitization transactions. Securitized debt for 2016 and 2015 reflects securitized debt from our MBS resecuritization transactions.
|
|
(6)
|
Net interest rate spread reflects the difference between the yield on average interest-earning assets and average cost of funds.
|
|
(7)
|
Net interest margin reflects net interest income divided by average interest-earning assets.
|
|
|
|
Year Ended December 31, 2017
|
|
Year Ended December 31, 2016
|
||||||||||||||||||||
|
|
|
Compared to
|
|
Compared to
|
||||||||||||||||||||
|
|
|
Year Ended December 31, 2016
|
|
Year Ended December 31, 2015
|
||||||||||||||||||||
|
|
|
Increase/(Decrease) due to
|
|
Total Net Change in Interest Income/Expense
|
|
Increase/(Decrease) due to
|
|
Total Net Change in Interest Income/Expense
|
||||||||||||||||
|
(In Thousands)
|
|
Volume
|
|
Rate
|
|
|
Volume
|
|
Rate
|
|
||||||||||||||
|
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Agency MBS
|
|
$
|
(19,762
|
)
|
|
$
|
2,048
|
|
|
$
|
(17,714
|
)
|
|
$
|
(20,028
|
)
|
|
$
|
(2,738
|
)
|
|
$
|
(22,766
|
)
|
|
Legacy Non-Agency MBS
|
|
(57,019
|
)
|
|
28,169
|
|
|
(28,850
|
)
|
|
(51,758
|
)
|
|
9,906
|
|
|
(41,852
|
)
|
||||||
|
RPL/NPL MBS
|
|
(39,233
|
)
|
|
6,374
|
|
|
(32,859
|
)
|
|
6,148
|
|
|
4,955
|
|
|
11,103
|
|
||||||
|
CRT securities
|
|
15,790
|
|
|
1,155
|
|
|
16,945
|
|
|
7,446
|
|
|
752
|
|
|
8,198
|
|
||||||
|
MSR related assets
|
|
22,539
|
|
|
191
|
|
|
22,730
|
|
|
2,100
|
|
|
—
|
|
|
2,100
|
|
||||||
|
Residential whole loans, at carrying value
(1)
|
|
13,097
|
|
|
(826
|
)
|
|
12,271
|
|
|
9,166
|
|
|
(1,286
|
)
|
|
7,880
|
|
||||||
|
Cash and cash equivalents
|
|
1,088
|
|
|
2,387
|
|
|
3,475
|
|
|
64
|
|
|
580
|
|
|
644
|
|
||||||
|
Total net change in income from interest-earning assets
|
|
$
|
(63,500
|
)
|
|
$
|
39,498
|
|
|
$
|
(24,002
|
)
|
|
$
|
(46,862
|
)
|
|
$
|
12,169
|
|
|
$
|
(34,693
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Agency repurchase agreements and FHLB advances
|
|
$
|
(13,779
|
)
|
|
$
|
11,470
|
|
|
$
|
(2,309
|
)
|
|
$
|
(11,046
|
)
|
|
$
|
8,578
|
|
|
$
|
(2,468
|
)
|
|
Legacy Non-Agency repurchase agreements
|
|
(13,682
|
)
|
|
6,456
|
|
|
(7,226
|
)
|
|
(8,937
|
)
|
|
3,646
|
|
|
(5,291
|
)
|
||||||
|
RPL/NPL MBS repurchase agreements
|
|
(18,944
|
)
|
|
7,260
|
|
|
(11,684
|
)
|
|
1,551
|
|
|
8,356
|
|
|
9,907
|
|
||||||
|
CRT securities repurchase agreements
|
|
4,507
|
|
|
891
|
|
|
5,398
|
|
|
2,102
|
|
|
375
|
|
|
2,477
|
|
||||||
|
MSR related assets repurchased agreements
|
|
7,332
|
|
|
85
|
|
|
7,417
|
|
|
632
|
|
|
—
|
|
|
632
|
|
||||||
|
Residential whole loan at carrying value repurchase agreements
|
|
3,919
|
|
|
1,133
|
|
|
5,052
|
|
|
3,562
|
|
|
327
|
|
|
3,889
|
|
||||||
|
Residential whole loan at fair value repurchase agreements
|
|
3,337
|
|
|
1,376
|
|
|
4,713
|
|
|
8,036
|
|
|
886
|
|
|
8,922
|
|
||||||
|
Securitized debt
|
|
2,621
|
|
|
(199
|
)
|
|
2,422
|
|
|
(2,452
|
)
|
|
789
|
|
|
(1,663
|
)
|
||||||
|
Senior Notes
|
|
3
|
|
|
—
|
|
|
3
|
|
|
2
|
|
|
—
|
|
|
2
|
|
||||||
|
Total net change in expense from interest-bearing liabilities
|
|
$
|
(24,686
|
)
|
|
$
|
28,472
|
|
|
$
|
3,786
|
|
|
$
|
(6,550
|
)
|
|
$
|
22,957
|
|
|
$
|
16,407
|
|
|
Net change in net interest income
|
|
$
|
(38,814
|
)
|
|
$
|
11,026
|
|
|
$
|
(27,788
|
)
|
|
$
|
(40,312
|
)
|
|
$
|
(10,788
|
)
|
|
$
|
(51,100
|
)
|
|
(1)
|
Excludes residential whole loans held at fair value which are reported as a component of non-interest-earning assets.
|
|
|
|
Total Interest-Earning Assets and Interest-
Bearing Liabilities
|
||||
|
Quarter Ended
|
|
Net Interest Spread
(1)
|
|
Net Interest Margin
(2)
|
||
|
|
|
|||||
|
December 31, 2017
|
|
2.08
|
%
|
|
2.54
|
%
|
|
September 30, 2017
|
|
2.02
|
|
|
2.54
|
|
|
June 30, 2017
|
|
2.10
|
|
|
2.58
|
|
|
March 31, 2017
|
|
2.27
|
|
|
2.63
|
|
|
|
|
|
|
|
||
|
December 31, 2016
|
|
2.12
|
|
|
2.46
|
|
|
September 30, 2016
|
|
2.13
|
|
|
2.46
|
|
|
June 30, 2016
|
|
2.14
|
|
|
2.46
|
|
|
March 31, 2016
|
|
2.18
|
|
|
2.51
|
|
|
(1)
|
Reflects the difference between the yield on average interest-earning assets and average cost of funds.
|
|
(2)
|
Reflects annualized net interest income divided by average interest-earning assets.
|
|
|
|
Agency MBS
|
|
Legacy Non-Agency MBS
|
|
RPL/NPL MBS
|
|
Total MBS
|
||||||||||||||||||||||||||||
|
Quarter Ended
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net
Interest
Spread
(3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net
Interest
Spread
(3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net
Interest
Spread
(3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net
Interest
Spread
(3)
|
||||||||||||
|
December 31, 2017
|
|
2.08
|
%
|
|
1.79
|
%
|
|
0.29
|
%
|
|
9.12
|
%
|
|
3.29
|
%
|
|
5.83
|
%
|
|
4.27
|
%
|
|
2.72
|
%
|
|
1.55
|
%
|
|
4.85
|
%
|
|
2.44
|
%
|
|
2.41
|
%
|
|
September 30, 2017
|
|
1.97
|
|
|
1.75
|
|
|
0.22
|
|
|
8.93
|
|
|
3.26
|
|
|
5.67
|
|
|
4.43
|
|
|
2.69
|
|
|
1.74
|
|
|
4.74
|
|
|
2.41
|
|
|
2.33
|
|
|
June 30, 2017
|
|
1.96
|
|
|
1.57
|
|
|
0.39
|
|
|
8.85
|
|
|
3.28
|
|
|
5.57
|
|
|
4.18
|
|
|
2.46
|
|
|
1.72
|
|
|
4.68
|
|
|
2.29
|
|
|
2.39
|
|
|
March 31, 2017
|
|
1.98
|
|
|
1.49
|
|
|
0.49
|
|
|
8.90
|
|
|
3.05
|
|
|
5.85
|
|
|
3.87
|
|
|
2.27
|
|
|
1.60
|
|
|
4.58
|
|
|
2.15
|
|
|
2.43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2016
|
|
1.92
|
|
|
1.41
|
|
|
0.51
|
|
|
8.24
|
|
|
3.01
|
|
|
5.23
|
|
|
3.85
|
|
|
2.14
|
|
|
1.71
|
|
|
4.35
|
|
|
2.07
|
|
|
2.28
|
|
|
September 30, 2016
|
|
1.83
|
|
|
1.28
|
|
|
0.55
|
|
|
8.09
|
|
|
2.98
|
|
|
5.11
|
|
|
3.86
|
|
|
2.05
|
|
|
1.81
|
|
|
4.24
|
|
|
1.96
|
|
|
2.28
|
|
|
June 30, 2016
|
|
1.96
|
|
|
1.26
|
|
|
0.70
|
|
|
7.72
|
|
|
2.88
|
|
|
4.84
|
|
|
3.83
|
|
|
2.01
|
|
|
1.82
|
|
|
4.19
|
|
|
1.91
|
|
|
2.28
|
|
|
March 31, 2016
|
|
2.07
|
|
|
1.27
|
|
|
0.80
|
|
|
7.61
|
|
|
2.86
|
|
|
4.75
|
|
|
3.97
|
|
|
2.07
|
|
|
1.90
|
|
|
4.23
|
|
|
1.91
|
|
|
2.32
|
|
|
(1)
|
Reflects annualized interest income on MBS divided by average amortized cost of MBS.
|
|
(2)
|
Reflects annualized interest expense divided by average balance of repurchase agreements and other advances, including the cost of Swaps allocated based on the proportionate share of the overall estimated weighted average portfolio duration and securitized debt. Agency cost of funding includes
43
, 44, 49, 60, 65, 62, 63 and 65 basis points and Legacy Non-Agency cost of funding includes
45
, 45, 58, 58, 69, 74, 69 and 65 basis points associated with Swaps to hedge interest rate sensitivity on these assets for the quarters ended
December 31, 2017
,
September 30, 2017
,
June 30, 2017
,
March 31, 2017
,
December 31, 2016
,
September 30, 2016
,
June 30, 2016
and
March 31, 2016
, respectively.
|
|
(3)
|
Reflects the difference between the net yield on average MBS and average cost of funds on MBS.
|
|
|
|
Agency MBS
|
|
Legacy Non-Agency MBS
|
|
RPL/NPL MBS
|
|||||||||||||||||||||
|
Quarter Ended
|
|
Coupon
Yield
(1)
|
|
Net
Yield
(2)
|
|
3 Month Average
CPR
(3)
|
|
Coupon
Yield (1) |
|
Net
Yield (2) |
|
3 Month Average
CPR
(3)
|
|
Coupon
Yield (1) |
|
Net
Yield (2) |
|
3 Month Average
Bond CPR
(4)
|
|||||||||
|
December 31, 2017
|
|
3.00
|
%
|
|
2.08
|
%
|
|
14.1
|
%
|
|
5.82
|
%
|
|
9.12
|
%
|
|
16.3
|
%
|
|
4.24
|
%
|
|
4.27
|
%
|
|
20.1
|
%
|
|
September 30, 2017
|
|
2.98
|
|
|
1.97
|
|
|
16.2
|
|
|
5.63
|
|
|
8.93
|
|
|
18.7
|
|
|
4.24
|
|
|
4.43
|
|
|
26.2
|
|
|
June 30, 2017
|
|
2.94
|
|
|
1.96
|
|
|
16.3
|
|
|
5.52
|
|
|
8.85
|
|
|
18.2
|
|
|
4.03
|
|
|
4.18
|
|
|
36.2
|
|
|
March 31, 2017
|
|
2.90
|
|
|
1.98
|
|
|
15.1
|
|
|
5.50
|
|
|
8.90
|
|
|
16.8
|
|
|
3.84
|
|
|
3.87
|
|
|
27.1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
December 31, 2016
|
|
2.86
|
|
|
1.92
|
|
|
15.9
|
|
|
5.40
|
|
|
8.24
|
|
|
17.3
|
|
|
3.82
|
|
|
3.85
|
|
|
25.8
|
|
|
September 30, 2016
|
|
2.83
|
|
|
1.83
|
|
|
16.7
|
|
|
5.28
|
|
|
8.09
|
|
|
15.9
|
|
|
3.83
|
|
|
3.86
|
|
|
32.2
|
|
|
June 30, 2016
|
|
2.80
|
|
|
1.96
|
|
|
13.9
|
|
|
5.19
|
|
|
7.72
|
|
|
16.1
|
|
|
3.81
|
|
|
3.83
|
|
|
25.4
|
|
|
March 31, 2016
|
|
2.78
|
|
|
2.07
|
|
|
11.7
|
|
|
5.09
|
|
|
7.61
|
|
|
13.3
|
|
|
3.73
|
|
|
3.97
|
|
|
23.0
|
|
|
At or for the Quarter Ended
|
|
Return on
Average Total
Assets
(1)
|
|
Return on
Average Total
Stockholders’
Equity
(2)
|
|
Total Average
Stockholders’
Equity to Total
Average Assets
(3)
|
|
Dividend
Payout
Ratio
(4)
|
|
Leverage Multiple
(5)
|
|
Book Value
per Share
of Common
Stock
(6)
|
|||||
|
December 31, 2017
|
|
3.47
|
%
|
|
12.29
|
%
|
|
29.33
|
%
|
|
0.83
|
|
2.3
|
|
$
|
7.70
|
|
|
September 30, 2017
|
|
2.10
|
|
|
7.78
|
|
|
28.60
|
|
|
1.33
|
|
2.4
|
|
7.70
|
|
|
|
June 30, 2017
|
|
2.63
|
|
|
10.01
|
|
|
27.59
|
|
|
1.00
|
|
2.5
|
|
7.76
|
|
|
|
March 31, 2017
|
|
2.42
|
|
|
10.19
|
|
|
24.95
|
|
|
1.00
|
|
2.9
|
|
7.66
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
December 31, 2016
|
|
2.18
|
|
|
9.52
|
|
|
24.19
|
|
|
1.11
|
|
3.1
|
|
7.62
|
|
|
|
September 30, 2016
|
|
2.47
|
|
|
11.05
|
|
|
23.46
|
|
|
0.95
|
|
3.1
|
|
7.64
|
|
|
|
June 30, 2016
|
|
2.33
|
|
|
10.83
|
|
|
22.58
|
|
|
1.00
|
|
3.3
|
|
7.41
|
|
|
|
March 31, 2016
|
|
2.29
|
|
|
10.82
|
|
|
22.19
|
|
|
1.00
|
|
3.4
|
|
7.17
|
|
|
|
(1)
|
Reflects annualized net income available to common stock and participating securities divided by average total assets.
|
|
(2)
|
Reflects annualized net income divided by average total stockholders’ equity.
|
|
(3)
|
Reflects total average stockholders’ equity divided by total average assets.
|
|
(4)
|
Reflects dividends declared per share of common stock divided by earnings per share.
|
|
(5)
|
Represents the sum of borrowings under repurchase agreements, FHLB advances, securitized debt, payable for unsettled purchases, and obligations to return securities obtained as collateral and Senior Notes divided by stockholders’ equity.
|
|
(6)
|
Reflects total stockholders’ equity less the preferred stock liquidation preference divided by total shares of common stock outstanding.
|
|
|
|
Total Interest-Earning Assets and Interest-
Bearing Liabilities
|
||||
|
Quarter Ended
|
|
Net Interest Spread
(1)
|
|
Net Interest Margin
(2)
|
||
|
|
|
|||||
|
December 31, 2016
|
|
2.12
|
%
|
|
2.46
|
%
|
|
September 30, 2016
|
|
2.13
|
|
|
2.46
|
|
|
June 30, 2016
|
|
2.14
|
|
|
2.46
|
|
|
March 31, 2016
|
|
2.18
|
|
|
2.51
|
|
|
|
|
|
|
|
||
|
December 31, 2015
|
|
2.22
|
|
|
2.54
|
|
|
September 30, 2015
|
|
2.24
|
|
|
2.58
|
|
|
June 30, 2015
|
|
2.33
|
|
|
2.66
|
|
|
March 31, 2015
|
|
2.44
|
|
|
2.77
|
|
|
(1)
|
Reflected the difference between the yield on average interest-earning assets and average cost of funds.
|
|
(2)
|
Reflected annualized net interest income divided by average interest-earning assets.
|
|
|
|
Agency MBS
|
|
Legacy Non-Agency MBS
|
|
RPL/NPL MBS
|
|
Total MBS
|
||||||||||||||||||||||||||||
|
Quarter Ended
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net
Interest
Spread
(3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net
Interest
Spread
(3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net
Interest
Spread
(3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net
Interest
Spread
(3)
|
||||||||||||
|
December 31, 2016
|
|
1.92
|
%
|
|
1.41
|
%
|
|
0.51
|
%
|
|
8.24
|
%
|
|
3.01
|
%
|
|
5.23
|
%
|
|
3.85
|
%
|
|
2.14
|
%
|
|
1.71
|
%
|
|
4.35
|
%
|
|
2.07
|
%
|
|
2.28
|
%
|
|
September 30, 2016
|
|
1.83
|
|
|
1.28
|
|
|
0.55
|
|
|
8.09
|
|
|
2.98
|
|
|
5.11
|
|
|
3.86
|
|
|
2.05
|
|
|
1.81
|
|
|
4.24
|
|
|
1.96
|
|
|
2.28
|
|
|
June 30, 2016
|
|
1.96
|
|
|
1.26
|
|
|
0.70
|
|
|
7.72
|
|
|
2.88
|
|
|
4.84
|
|
|
3.83
|
|
|
2.01
|
|
|
1.82
|
|
|
4.19
|
|
|
1.91
|
|
|
2.28
|
|
|
March 31, 2016
|
|
2.07
|
|
|
1.27
|
|
|
0.80
|
|
|
7.61
|
|
|
2.86
|
|
|
4.75
|
|
|
3.97
|
|
|
2.07
|
|
|
1.90
|
|
|
4.23
|
|
|
1.91
|
|
|
2.32
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2015
|
|
2.04
|
|
|
1.17
|
|
|
0.87
|
|
|
7.64
|
|
|
2.90
|
|
|
4.74
|
|
|
3.70
|
|
|
1.81
|
|
|
1.89
|
|
|
4.17
|
|
|
1.81
|
|
|
2.36
|
|
|
September 30, 2015
|
|
1.84
|
|
|
1.13
|
|
|
0.71
|
|
|
7.60
|
|
|
2.76
|
|
|
4.84
|
|
|
3.74
|
|
|
1.73
|
|
|
2.01
|
|
|
4.08
|
|
|
1.73
|
|
|
2.35
|
|
|
June 30, 2015
|
|
1.89
|
|
|
1.06
|
|
|
0.83
|
|
|
7.59
|
|
|
2.77
|
|
|
4.82
|
|
|
3.66
|
|
|
1.60
|
|
|
2.06
|
|
|
4.09
|
|
|
1.65
|
|
|
2.44
|
|
|
March 31, 2015
|
|
2.22
|
|
|
1.13
|
|
|
1.09
|
|
|
7.64
|
|
|
2.85
|
|
|
4.79
|
|
|
3.62
|
|
|
1.52
|
|
|
2.10
|
|
|
4.26
|
|
|
1.69
|
|
|
2.57
|
|
|
(1)
|
Reflected annualized interest income on MBS divided by average amortized cost of MBS.
|
|
(2)
|
Reflected annualized interest expense divided by average balance of repurchase agreements and other advances, including the cost of Swaps allocated based on the proportionate share of the overall estimated weighted average portfolio duration and securitized debt. Agency cost of funding included 65, 62, 63, 65, 74, 74, 70 and 78 basis points and Legacy Non-Agency cost of funding included 69, 74, 69, 65, 69, 66, 68 and 78 basis points associated with Swaps to hedge interest rate sensitivity on these assets for the quarters ended December 31, 2016, September 30, 2016, June 30, 2016, March 31, 2016, December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015, respectively.
|
|
(3)
|
Reflected the difference between the net yield on average MBS and average cost of funds on MBS.
|
|
|
|
Agency MBS
|
|
Legacy Non-Agency MBS
|
|
RPL/NPL MBS
|
|||||||||||||||||||||
|
Quarter Ended
|
|
Coupon
Yield
(1)
|
|
Net
Yield
(2)
|
|
3 Month Average
CPR
(3)
|
|
Coupon
Yield (1) |
|
Net
Yield (2) |
|
3 Month Average
CPR
(3)
|
|
Coupon
Yield (1) |
|
Net
Yield (2) |
|
3 Month Average
Bond CPR
(4)
|
|||||||||
|
December 31, 2016
|
|
2.86
|
%
|
|
1.92
|
%
|
|
15.9
|
%
|
|
5.40
|
%
|
|
8.24
|
%
|
|
17.3
|
%
|
|
3.82
|
%
|
|
3.85
|
%
|
|
25.8
|
%
|
|
September 30, 2016
|
|
2.83
|
|
|
1.83
|
|
|
16.7
|
|
|
5.28
|
|
|
8.09
|
|
|
15.9
|
|
|
3.83
|
|
|
3.86
|
|
|
32.2
|
|
|
June 30, 2016
|
|
2.80
|
|
|
1.96
|
|
|
13.9
|
|
|
5.19
|
|
|
7.72
|
|
|
16.1
|
|
|
3.81
|
|
|
3.83
|
|
|
25.4
|
|
|
March 31, 2016
|
|
2.78
|
|
|
2.07
|
|
|
11.7
|
|
|
5.09
|
|
|
7.61
|
|
|
13.3
|
|
|
3.73
|
|
|
3.97
|
|
|
23.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
December 31, 2015
|
|
2.76
|
|
|
2.04
|
|
|
11.8
|
|
|
5.09
|
|
|
7.64
|
|
|
14.6
|
|
|
3.68
|
|
|
3.70
|
|
|
21.5
|
|
|
September 30, 2015
|
|
2.74
|
|
|
1.84
|
|
|
15.4
|
|
|
5.10
|
|
|
7.60
|
|
|
16.3
|
|
|
3.62
|
|
|
3.74
|
|
|
29.5
|
|
|
June 30, 2015
|
|
2.77
|
|
|
1.89
|
|
|
14.8
|
|
|
5.06
|
|
|
7.59
|
|
|
14.8
|
|
|
3.57
|
|
|
3.66
|
|
|
28.6
|
|
|
March 31, 2015
|
|
2.99
|
|
|
2.22
|
|
|
10.9
|
|
|
5.11
|
|
|
7.64
|
|
|
11.1
|
|
|
3.56
|
|
|
3.62
|
|
|
19.6
|
|
|
At or for the Quarter Ended
|
|
Return on
Average Total
Assets
(1)
|
|
Return on
Average Total
Stockholders’
Equity
(2)
|
|
Total Average
Stockholders’
Equity to Total
Average Assets
(3)
|
|
Dividend Payout Ratio
(4)
|
|
Leverage Multiple
(5)
|
|
Book Value
per Share
of Common
Stock
(6)
|
|||||
|
December 31, 2016
|
|
2.18
|
%
|
|
9.52
|
%
|
|
24.19
|
%
|
|
1.11
|
|
3.1
|
|
$
|
7.62
|
|
|
September 30, 2016
|
|
2.47
|
|
|
11.05
|
|
|
23.46
|
|
|
0.95
|
|
3.1
|
|
7.64
|
|
|
|
June 30, 2016
|
|
2.33
|
|
|
10.83
|
|
|
22.58
|
|
|
1.00
|
|
3.3
|
|
7.41
|
|
|
|
March 31, 2016
|
|
2.29
|
|
|
10.82
|
|
|
22.19
|
|
|
1.00
|
|
3.4
|
|
7.17
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
December 31, 2015
|
|
2.10
|
|
|
9.80
|
|
|
22.56
|
|
|
1.05
|
|
3.4
|
|
7.47
|
|
|
|
September 30, 2015
|
|
2.22
|
|
|
10.21
|
|
|
22.85
|
|
|
1.00
|
|
3.3
|
|
7.70
|
|
|
|
June 30, 2015
|
|
2.16
|
|
|
9.78
|
|
|
23.18
|
|
|
1.00
|
|
3.3
|
|
7.96
|
|
|
|
March 31, 2015
|
|
2.25
|
|
|
10.26
|
|
|
22.97
|
|
|
0.95
|
|
3.3
|
|
8.13
|
|
|
|
(1)
|
Reflected annualized net income available to common stock and participating securities divided by average total assets.
|
|
(2)
|
Reflected annualized net income divided by average total stockholders’ equity.
|
|
(3)
|
Reflected total average stockholders’ equity divided by total average assets.
|
|
(4)
|
Reflected dividends declared per share of common stock divided by earnings per share.
|
|
(5)
|
Represented the sum of borrowings under repurchase agreements, FHLB advances, securitized debt, payable for unsettled purchases, and obligations to return securities obtained as collateral and Senior Notes divided by stockholders’ equity.
|
|
(6)
|
Reflected total stockholders’ equity less the preferred stock liquidation preference divided by total shares of common stock outstanding.
|
|
At December 31, 2017
|
|
Weighted
Average
Haircut
|
|
Low
|
|
High
|
|||
|
Repurchase agreement borrowings secured by:
|
|
|
|
|
|
|
|
|
|
|
Agency MBS
|
|
4.65
|
%
|
|
3.00
|
%
|
|
8.00
|
%
|
|
Legacy Non-Agency MBS
|
|
21.87
|
|
|
15.00
|
|
|
35.00
|
|
|
RPL/NPL MBS
|
|
22.05
|
|
|
20.00
|
|
|
27.50
|
|
|
U.S. Treasury securities
|
|
1.47
|
|
|
1.00
|
|
|
2.00
|
|
|
CRT securities
|
|
22.16
|
|
|
15.00
|
|
|
25.00
|
|
|
MSR related assets
|
|
33.19
|
|
|
30.00
|
|
|
50.00
|
|
|
Residential whole loans
|
|
26.10
|
|
|
20.00
|
|
|
35.00
|
|
|
|
|
|
|
|
|
|
|||
|
At December 31, 2016
|
|
Weighted
Average
Haircut
|
|
Low
|
|
High
|
|||
|
Repurchase agreement borrowings secured by:
|
|
|
|
|
|
|
|
|
|
|
Agency MBS
|
|
4.67
|
%
|
|
3.00
|
%
|
|
6.00
|
%
|
|
Legacy Non-Agency MBS
|
|
24.01
|
|
|
15.00
|
|
|
60.00
|
|
|
RPL/NPL MBS
|
|
20.98
|
|
|
15.00
|
|
|
30.00
|
|
|
U.S. Treasury securities
|
|
1.60
|
|
|
1.00
|
|
|
2.00
|
|
|
CRT securities
|
|
23.22
|
|
|
20.00
|
|
|
25.00
|
|
|
MSR related assets
|
|
41.40
|
|
|
35.00
|
|
|
50.00
|
|
|
Residential whole loans
|
|
25.03
|
|
|
20.00
|
|
|
35.00
|
|
|
|
|
Repurchase Agreements and Other Advances
|
|
Securitized Debt
(1)
|
||||||||||||||||||||
|
Quarter Ended
(2)
|
|
Quarterly
Average
Balance
|
|
End of Period
Balance
|
|
Maximum
Balance at Any
Month-End
|
|
Quarterly
Average
Balance
|
|
End of Period
Balance
|
|
Maximum
Balance at Any
Month-End
|
||||||||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2017
|
|
$
|
6,661,020
|
|
|
$
|
6,614,701
|
|
|
$
|
6,760,360
|
|
|
$
|
212,445
|
|
|
$
|
363,944
|
|
|
$
|
363,944
|
|
|
September 30, 2017
|
|
7,022,913
|
|
|
6,871,443
|
|
|
7,023,702
|
|
|
139,276
|
|
|
137,327
|
|
|
141,088
|
|
||||||
|
June 30, 2017
|
|
7,612,393
|
|
|
7,040,844
|
|
|
7,763,860
|
|
|
30,414
|
|
|
143,698
|
|
|
143,698
|
|
||||||
|
March 31, 2017
|
|
8,494,853
|
|
|
8,137,102
|
|
|
8,564,493
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2016
|
|
8,684,803
|
|
|
8,687,268
|
|
|
8,815,846
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
|
September 30, 2016
|
|
8,868,173
|
|
|
8,697,756
|
|
|
8,917,550
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
|
June 30, 2016
|
|
9,102,457
|
|
|
9,038,087
|
|
|
9,114,859
|
|
|
8,520
|
|
|
—
|
|
|
8,568
|
|
||||||
|
March 31, 2016
|
|
9,238,772
|
|
|
9,143,645
|
|
|
9,205,547
|
|
|
18,425
|
|
|
11,821
|
|
|
18,247
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2015
|
|
9,428,211
|
|
|
9,387,622
|
|
|
9,413,189
|
|
|
28,009
|
|
|
21,868
|
|
|
27,686
|
|
||||||
|
September 30, 2015
|
|
9,422,882
|
|
|
9,475,834
|
|
|
9,486,357
|
|
|
50,691
|
|
|
31,940
|
|
|
49,941
|
|
||||||
|
June 30, 2015
|
|
9,720,193
|
|
|
9,635,035
|
|
|
9,746,825
|
|
|
80,343
|
|
|
61,965
|
|
|
80,331
|
|
||||||
|
March 31, 2015
|
|
9,820,548
|
|
|
9,809,587
|
|
|
9,863,779
|
|
|
103,218
|
|
|
90,842
|
|
|
103,827
|
|
||||||
|
(1)
|
Securitized debt amounts presented for 2017 reflect our 2017 loan securitization transactions. Securitized debt amounts presented for 2016 and 2015 reflect our MBS resecuritization transactions.
|
|
(2)
|
The information presented in the table above excludes Senior Notes issued in April 2012. The outstanding balance of Senior Notes has been unchanged at $100.0 million since issuance.
|
|
|
|
Collateral Pledged to Meet Margin Calls
|
|
Cash and Securities Received For Reverse
Margin Calls
|
|
Net Assets Received/(Pledged) For Margin Activity
|
||||||||||||||
|
For the Quarter Ended
|
|
Fair Value of Securities Pledged
|
|
Cash Pledged
|
|
Aggregate Assets Pledged For Margin Calls
|
|
|
||||||||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
December 31, 2017
|
|
$
|
87,960
|
|
|
$
|
—
|
|
|
$
|
87,960
|
|
|
$
|
80,105
|
|
|
$
|
(7,855
|
)
|
|
September 30, 2017
|
|
83,513
|
|
|
—
|
|
|
83,513
|
|
|
53,499
|
|
|
(30,014
|
)
|
|||||
|
June 30, 2017
|
|
106,432
|
|
|
500
|
|
|
106,932
|
|
|
75,996
|
|
|
(30,936
|
)
|
|||||
|
March 31, 2017
|
|
150,264
|
|
|
1,500
|
|
|
151,764
|
|
|
246,168
|
|
|
94,404
|
|
|||||
|
|
|
Due During the Year Ending December 31,
|
||||||||||||||||||||||||||
|
(In Thousands)
|
|
2018
|
|
2019
|
|
2020
|
|
2021
|
|
2022
|
|
Thereafter
|
|
Total
|
||||||||||||||
|
Repurchase agreements
|
|
$
|
6,614,907
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
6,614,907
|
|
|
Interest expense on repurchase agreements
(1)
|
|
38,566
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
38,566
|
|
|||||||
|
Securitized debt
(2)
|
|
23,217
|
|
|
164,990
|
|
|
115,878
|
|
|
23,333
|
|
|
20,454
|
|
|
18,413
|
|
|
366,285
|
|
|||||||
|
Interest expense on securitized debt
(1)
|
|
11,312
|
|
|
8,305
|
|
|
3,658
|
|
|
1,570
|
|
|
988
|
|
|
360
|
|
|
26,193
|
|
|||||||
|
Senior Notes (3)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
100,000
|
|
|
100,000
|
|
|||||||
|
Interest expense on Senior Notes
(1)
|
|
8,000
|
|
|
8,000
|
|
|
8,000
|
|
|
8,000
|
|
|
8,000
|
|
|
155,911
|
|
|
195,911
|
|
|||||||
|
Long-term lease obligations
|
|
2,553
|
|
|
2,553
|
|
|
1,082
|
|
|
32
|
|
|
—
|
|
|
—
|
|
|
6,220
|
|
|||||||
|
Total
|
|
$
|
6,698,555
|
|
|
$
|
183,848
|
|
|
$
|
128,618
|
|
|
$
|
32,935
|
|
|
$
|
29,442
|
|
|
$
|
274,684
|
|
|
$
|
7,348,082
|
|
|
|
|
Agency MBS
|
|
Legacy Non-Agency MBS
(1)
|
|
Total
(1)
|
||||||||||||||||||||||||
|
|
|
Fair Value
(2)
|
|
Average Months to Reset
(3)
|
|
3 Month
Average
CPR
(4)
|
|
Fair Value
|
|
Average Months to Reset
(3)
|
|
3 Month
Average
CPR
(4)
|
|
Fair Value
(2)
|
|
Average Months to Reset
(3)
|
|
3 Month
Average
CPR
(4)
|
||||||||||||
|
Time to Reset
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
< 2 years
(5)
|
|
$
|
1,483,445
|
|
|
7
|
|
|
17.4
|
%
|
|
$
|
1,727,453
|
|
|
5
|
|
|
16.5
|
%
|
|
$
|
3,210,898
|
|
|
6
|
|
|
16.9
|
%
|
|
2-5 years
|
|
152,135
|
|
|
45
|
|
|
12.3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
152,135
|
|
|
45
|
|
|
12.3
|
|
|||
|
> 5 years
|
|
44,627
|
|
|
70
|
|
|
9.9
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
44,627
|
|
|
70
|
|
|
9.9
|
|
|||
|
ARM-MBS Total
|
|
$
|
1,680,207
|
|
|
12
|
|
|
16.8
|
%
|
|
$
|
1,727,453
|
|
|
5
|
|
|
16.5
|
%
|
|
$
|
3,407,660
|
|
|
8
|
|
|
16.7
|
%
|
|
15-year fixed
(6)
|
|
$
|
1,142,583
|
|
|
|
|
|
10.2
|
%
|
|
$
|
2,969
|
|
|
|
|
|
2.8
|
%
|
|
$
|
1,145,552
|
|
|
|
|
|
10.2
|
%
|
|
30-year fixed
(6)
|
|
—
|
|
|
|
|
|
—
|
|
|
841,344
|
|
|
|
|
|
15.9
|
|
|
841,344
|
|
|
|
|
|
15.9
|
|
|||
|
40-year fixed
(6)
|
|
—
|
|
|
|
|
|
—
|
|
|
39,089
|
|
|
|
|
|
14.2
|
|
|
39,089
|
|
|
|
|
|
14.2
|
|
|||
|
Fixed-Rate Total
|
|
$
|
1,142,583
|
|
|
|
|
|
10.2
|
%
|
|
$
|
883,402
|
|
|
|
|
|
15.8
|
%
|
|
$
|
2,025,985
|
|
|
|
|
|
12.7
|
%
|
|
MBS Total
|
|
$
|
2,822,790
|
|
|
|
|
|
14.1
|
%
|
|
$
|
2,610,855
|
|
|
|
|
|
16.3
|
%
|
|
$
|
5,433,645
|
|
|
|
|
|
15.2
|
%
|
|
(1)
|
Excludes
$923.1 million
of RPL/NPL MBS. Refer to table below for further information.
|
|
(2)
|
Does not include principal payments receivable of
$1.9 million
.
|
|
(3)
|
Months to reset is the number of months remaining before the coupon interest rate resets. At reset, the MBS coupon will adjust based upon the underlying benchmark interest rate index, margin and periodic and/or lifetime caps. The months to reset do not reflect scheduled amortization or prepayments.
|
|
(4)
|
3 month average CPR weighted by positions as of the beginning of each month in the quarter.
|
|
(5)
|
Includes floating-rate MBS that may be collateralized by fixed-rate mortgages.
|
|
(6)
|
Information presented based on data available at time of loan origination.
|
|
|
|
Fair Value
|
|
Net Coupon
|
|
Months to
Step-Up
(1)
|
|
3 Month Average
Bond CPR
(2)
|
|||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|||||
|
Re-Performing loans
|
|
$
|
78,046
|
|
|
3.64
|
%
|
|
29
|
|
|
22.2
|
%
|
|
Non-Performing loans
|
|
845,065
|
|
|
4.39
|
|
|
21
|
|
|
20.0
|
|
|
|
Total RPL/NPL MBS
|
|
$
|
923,111
|
|
|
4.32
|
%
|
|
22
|
|
|
20.1
|
%
|
|
(1)
|
Months to step-up is the weighted average number of months remaining before the coupon interest rate increases pursuant to the first coupon reset. We anticipate that the securities will be redeemed prior to the step-up date.
|
|
(2)
|
All principal payments are considered to be prepayments for CPR purposes.
|
|
Change in Interest Rates
|
|
Estimated
Value
of Assets
(1)
|
|
Estimated
Value of Swaps
|
|
Estimated
Value of
Financial
Instruments
|
|
Change in
Estimated Value
|
|
Percentage
Change in Net
Interest
Income
|
|
Percentage
Change in
Portfolio
Value
|
||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
+100 Basis Point Increase
|
|
$
|
10,293,874
|
|
|
$
|
40,938
|
|
|
$
|
10,334,812
|
|
|
$
|
(99,528
|
)
|
|
(2.83
|
)%
|
|
(0.95
|
)%
|
|
+ 50 Basis Point Increase
|
|
$
|
10,370,948
|
|
|
$
|
14,757
|
|
|
$
|
10,385,705
|
|
|
$
|
(48,635
|
)
|
|
(1.53
|
)%
|
|
(0.47
|
)%
|
|
Actual at December 31, 2017
|
|
$
|
10,445,764
|
|
|
$
|
(11,424
|
)
|
|
$
|
10,434,340
|
|
|
$
|
—
|
|
|
—
|
|
|
—
|
|
|
- 50 Basis Point Decrease
|
|
$
|
10,518,322
|
|
|
$
|
(37,606
|
)
|
|
$
|
10,480,716
|
|
|
$
|
46,376
|
|
|
(1.33
|
)%
|
|
0.44
|
%
|
|
-100 Basis Point Decrease
|
|
$
|
10,588,622
|
|
|
$
|
(63,787
|
)
|
|
$
|
10,524,835
|
|
|
$
|
90,495
|
|
|
(1.61
|
)%
|
|
0.87
|
%
|
|
Change in Interest Rates
|
|
Estimated
Value
of Assets
(1)
|
|
Estimated
Value of Swaps
|
|
Estimated
Value of
Financial
Instruments
|
|
Change in
Estimated Value
|
|
Percentage
Change in Net
Interest
Income
|
|
Percentage
Change in
Portfolio
Value
|
||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
+100 Basis Point Increase
|
|
$
|
11,724,000
|
|
|
$
|
29,484
|
|
|
$
|
11,753,484
|
|
|
$
|
(91,546
|
)
|
|
(8.94
|
)%
|
|
(0.77
|
)%
|
|
+ 50 Basis Point Increase
|
|
$
|
11,809,837
|
|
|
$
|
(8,618
|
)
|
|
$
|
11,801,219
|
|
|
$
|
(43,811
|
)
|
|
(4.48
|
)%
|
|
(0.37
|
)%
|
|
Actual at December 31, 2016
|
|
$
|
11,891,751
|
|
|
$
|
(46,721
|
)
|
|
$
|
11,845,030
|
|
|
$
|
—
|
|
|
—
|
|
|
—
|
|
|
- 50 Basis Point Decrease
|
|
$
|
11,969,743
|
|
|
$
|
(84,823
|
)
|
|
$
|
11,884,920
|
|
|
$
|
39,890
|
|
|
1.24
|
%
|
|
0.34
|
%
|
|
-100 Basis Point Decrease
|
|
$
|
12,043,812
|
|
|
$
|
(122,925
|
)
|
|
$
|
11,920,887
|
|
|
$
|
75,857
|
|
|
(1.27
|
)%
|
|
0.64
|
%
|
|
(1)
|
Such assets include MBS and CRT securities, residential whole loans and REO, MSR related assets, cash and cash equivalents and restricted cash.
|
|
|
|
Securities with Average Loan FICO
of 715 or Higher (1) |
|
Securities with Average Loan FICO
Below 715 (1) |
|
|
||||||||||||||||||||||
|
Year of Securitization
(2)
|
|
2007
|
|
2006
|
|
2005
and Prior |
|
2007
|
|
2006
|
|
2005
and Prior |
|
Total
|
||||||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Number of securities
|
|
85
|
|
|
65
|
|
|
86
|
|
|
32
|
|
|
55
|
|
|
62
|
|
|
385
|
|
|||||||
|
MBS current face
(3)
|
|
$
|
781,840
|
|
|
$
|
471,127
|
|
|
$
|
526,807
|
|
|
$
|
170,453
|
|
|
$
|
426,474
|
|
|
$
|
420,001
|
|
|
$
|
2,796,702
|
|
|
Total purchase discounts, net
(3)
|
|
$
|
(226,545
|
)
|
|
$
|
(133,910
|
)
|
|
$
|
(98,813
|
)
|
|
$
|
(56,032
|
)
|
|
$
|
(164,262
|
)
|
|
$
|
(126,978
|
)
|
|
$
|
(806,540
|
)
|
|
Purchase discount designated as Credit Reserve and OTTI
(3)(4)
|
|
$
|
(161,493
|
)
|
|
$
|
(68,011
|
)
|
|
$
|
(55,300
|
)
|
|
$
|
(47,030
|
)
|
|
$
|
(159,127
|
)
|
|
$
|
(102,266
|
)
|
|
$
|
(593,227
|
)
|
|
Purchase discount designated as Credit Reserve and OTTI as percentage of current face
|
|
20.7
|
%
|
|
14.4
|
%
|
|
10.5
|
%
|
|
27.6
|
%
|
|
37.3
|
%
|
|
24.3
|
%
|
|
21.2
|
%
|
|||||||
|
MBS amortized cost
(3)
|
|
$
|
555,295
|
|
|
$
|
337,217
|
|
|
$
|
427,994
|
|
|
$
|
114,421
|
|
|
$
|
262,212
|
|
|
$
|
293,023
|
|
|
$
|
1,990,162
|
|
|
MBS fair value
(3)
|
|
$
|
731,297
|
|
|
$
|
442,684
|
|
|
$
|
509,931
|
|
|
$
|
156,556
|
|
|
$
|
375,791
|
|
|
$
|
394,596
|
|
|
$
|
2,610,855
|
|
|
Weighted average fair value to current face
|
|
93.5
|
%
|
|
94.0
|
%
|
|
96.8
|
%
|
|
91.8
|
%
|
|
88.1
|
%
|
|
94.0
|
%
|
|
93.4
|
%
|
|||||||
|
Weighted average coupon
(5)
|
|
4.18
|
%
|
|
3.58
|
%
|
|
3.76
|
%
|
|
5.00
|
%
|
|
5.03
|
%
|
|
4.78
|
%
|
|
4.27
|
%
|
|||||||
|
Weighted average loan age (months)
(5)(6)
|
|
129
|
|
|
138
|
|
|
152
|
|
|
134
|
|
|
139
|
|
|
151
|
|
|
140
|
|
|||||||
|
Weighted average current loan size
(5)(6)
|
|
$
|
502
|
|
|
$
|
491
|
|
|
$
|
297
|
|
|
$
|
335
|
|
|
$
|
246
|
|
|
$
|
235
|
|
|
$
|
372
|
|
|
Percentage amortizing
(7)
|
|
100
|
%
|
|
99
|
%
|
|
100
|
%
|
|
99
|
%
|
|
99
|
%
|
|
100
|
%
|
|
100
|
%
|
|||||||
|
Weighted average FICO score at origination
(5)(8)
|
|
729
|
|
|
728
|
|
|
726
|
|
|
706
|
|
|
702
|
|
|
704
|
|
|
719
|
|
|||||||
|
Owner-occupied loans
|
|
91.0
|
%
|
|
91.2
|
%
|
|
86.0
|
%
|
|
85.0
|
%
|
|
86.3
|
%
|
|
85.0
|
%
|
|
88.1
|
%
|
|||||||
|
Rate-term refinancings
|
|
30.5
|
%
|
|
22.0
|
%
|
|
14.9
|
%
|
|
21.9
|
%
|
|
15.4
|
%
|
|
14.6
|
%
|
|
20.9
|
%
|
|||||||
|
Cash-out refinancings
|
|
34.8
|
%
|
|
35.5
|
%
|
|
27.8
|
%
|
|
44.8
|
%
|
|
45.2
|
%
|
|
39.9
|
%
|
|
36.6
|
%
|
|||||||
|
3 Month CPR
(6)
|
|
18.9
|
%
|
|
16.0
|
%
|
|
18.3
|
%
|
|
15.0
|
%
|
|
14.0
|
%
|
|
15.8
|
%
|
|
16.9
|
%
|
|||||||
|
3 Month CRR
(6)(9)
|
|
16.3
|
%
|
|
13.6
|
%
|
|
15.4
|
%
|
|
11.5
|
%
|
|
11.0
|
%
|
|
13.6
|
%
|
|
14.1
|
%
|
|||||||
|
3 Month CDR
(6)(9)
|
|
3.2
|
%
|
|
3.1
|
%
|
|
3.5
|
%
|
|
4.0
|
%
|
|
3.5
|
%
|
|
2.6
|
%
|
|
3.3
|
%
|
|||||||
|
3 Month loss severity
|
|
56.5
|
%
|
|
33.1
|
%
|
|
39.5
|
%
|
|
60.3
|
%
|
|
64.4
|
%
|
|
51.5
|
%
|
|
50.3
|
%
|
|||||||
|
60+ days delinquent
(8)
|
|
13.3
|
%
|
|
11.6
|
%
|
|
9.1
|
%
|
|
16.2
|
%
|
|
15.6
|
%
|
|
13.8
|
%
|
|
12.8
|
%
|
|||||||
|
Percentage of always current borrowers (Lifetime)
(10)
|
|
30.6
|
%
|
|
31.3
|
%
|
|
38.6
|
%
|
|
26.6
|
%
|
|
22.6
|
%
|
|
27.8
|
%
|
|
30.3
|
%
|
|||||||
|
Percentage of always current borrowers (12M)
(11)
|
|
74.1
|
%
|
|
76.1
|
%
|
|
78.6
|
%
|
|
68.6
|
%
|
|
67.7
|
%
|
|
70.6
|
%
|
|
73.5
|
%
|
|||||||
|
Weighted average credit enhancement
(8)(12)
|
|
0.2
|
%
|
|
0.2
|
%
|
|
4.7
|
%
|
|
0.0
|
%
|
|
1.3
|
%
|
|
2.8
|
%
|
|
1.6
|
%
|
|||||||
|
(1)
|
FICO score is used by major credit bureaus to indicate a borrower’s creditworthiness at time of loan origination.
|
|
(2)
|
Information presented based on the initial year of securitization of the underlying collateral. Certain of our Non-Agency MBS have been resecuritized. The historical information presented in the table is based on the initial securitization date and data available at the time of original securitization (and not the date of resecuritization). No information has been updated with respect to any MBS that have been resecuritized.
|
|
(3)
|
Excludes Non-Agency MBS issued since 2012 in which the underlying collateral consists of RPL/NPL MBS. These Non-Agency MBS have a current face of
$922.0 million
amortized cost of
$920.1 million
, fair value of
$923.1 million
and purchase discounts of
$2.0 million
at
December 31, 2017
.
|
|
(4)
|
Purchase discounts designated as Credit Reserve and OTTI are not expected to be accreted into interest income.
|
|
(5)
|
Weighted average is based on MBS current face at
December 31, 2017
.
|
|
(6)
|
Information provided is based on loans for individual groups owned by us.
|
|
(7)
|
Percentage of face amount for which the original mortgage note contractually calls for principal amortization in the current period.
|
|
(8)
|
Information provided is based on loans for all groups that provide credit enhancement for MBS with credit enhancement.
|
|
(9)
|
CRR represents voluntary prepayments and CDR represents involuntary prepayments.
|
|
(10)
|
Percentage of face amount of loans for which the borrower has not been delinquent since origination.
|
|
(11)
|
Percentage of face amount of loans for which the borrower has not been delinquent in the last twelve months.
|
|
(12)
|
Credit enhancement for a particular security is expressed as a percentage of all outstanding mortgage loan collateral. A particular security will not be subject to principal loss as long as its credit enhancement is greater than zero.
|
|
Property Location
|
Percent of Unpaid Principal Balance
|
|
|
California
|
42.4
|
%
|
|
Florida
|
8.1
|
%
|
|
New York
|
6.8
|
%
|
|
New Jersey
|
4.0
|
%
|
|
Maryland
|
3.9
|
%
|
|
Property Location
|
Percent of Interest-Bearing Unpaid Principal Balance
|
|
|
California
|
20.4
|
%
|
|
New York
|
14.9
|
%
|
|
Florida
|
9.0
|
%
|
|
New Jersey
|
7.9
|
%
|
|
Maryland
|
4.7
|
%
|
|
|
Page
|
|
|
|
|
|
|
|
Financial Statements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(In Thousands, Except Per Share Amounts)
|
|
December 31,
2017 |
|
December 31,
2016 |
||||
|
Assets:
|
|
|
|
|
|
|
||
|
Mortgage-backed securities (“MBS”) and credit risk transfer (“CRT”) securities:
|
|
|
|
|
|
|||
|
Agency MBS, at fair value ($2,727,510 and $3,540,401 pledged as collateral, respectively)
|
|
$
|
2,824,681
|
|
|
$
|
3,738,497
|
|
|
Non-Agency MBS, at fair value ($2,379,523 and $4,751,419 pledged as collateral, respectively)
(1)
|
|
3,533,966
|
|
|
5,684,836
|
|
||
|
CRT securities, at fair value ($595,900 and $357,488 pledged as collateral, respectively)
|
|
664,403
|
|
|
404,850
|
|
||
|
Mortgage servicing rights (“MSR”) related assets ($482,158 and $226,780 pledged as collateral, respectively)
|
|
492,080
|
|
|
226,780
|
|
||
|
Residential whole loans, at carrying value ($448,689 and $427,880 pledged as collateral, respectively)
(2)
|
|
908,516
|
|
|
590,540
|
|
||
|
Residential whole loans, at fair value ($996,226 and $734,331 pledged as collateral, respectively)
(2)
|
|
1,325,115
|
|
|
814,682
|
|
||
|
Securities obtained and pledged as collateral, at fair value
|
|
504,062
|
|
|
510,767
|
|
||
|
Cash and cash equivalents
|
|
449,757
|
|
|
260,112
|
|
||
|
Restricted cash
|
|
13,307
|
|
|
58,463
|
|
||
|
Other assets
|
|
238,847
|
|
|
194,495
|
|
||
|
Total Assets
|
|
$
|
10,954,734
|
|
|
$
|
12,484,022
|
|
|
|
|
|
|
|
||||
|
Liabilities:
|
|
|
|
|
||||
|
Repurchase agreements and other advances
|
|
$
|
6,614,701
|
|
|
$
|
8,687,268
|
|
|
Obligation to return securities obtained as collateral, at fair value
|
|
504,062
|
|
|
510,767
|
|
||
|
Other liabilities
|
|
574,335
|
|
|
252,085
|
|
||
|
Total Liabilities
|
|
$
|
7,693,098
|
|
|
$
|
9,450,120
|
|
|
|
|
|
|
|
||||
|
Commitments and contingencies (See Note 10)
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||||
|
Stockholders’ Equity:
|
|
|
|
|
||||
|
Preferred stock, $.01 par value; 7.50% Series B cumulative redeemable; 8,050 shares authorized;
8,000 shares issued and outstanding ($200,000 aggregate liquidation preference) |
|
$
|
80
|
|
|
$
|
80
|
|
|
Common stock, $.01 par value; 886,950 shares authorized; 397,831 and 371,854 shares issued
and outstanding, respectively |
|
3,978
|
|
|
3,719
|
|
||
|
Additional paid-in capital, in excess of par
|
|
3,227,304
|
|
|
3,029,062
|
|
||
|
Accumulated deficit
|
|
(578,950
|
)
|
|
(572,641
|
)
|
||
|
Accumulated other comprehensive income
|
|
609,224
|
|
|
573,682
|
|
||
|
Total Stockholders’ Equity
|
|
$
|
3,261,636
|
|
|
$
|
3,033,902
|
|
|
Total Liabilities and Stockholders’ Equity
|
|
$
|
10,954,734
|
|
|
$
|
12,484,022
|
|
|
(1)
|
Includes approximately
$174.4 million
of Non-Agency MBS transferred to consolidated variable interest entities (“VIEs”) at
December 31, 2016
. Such assets can be used only to settle the obligations of each respective VIE.
|
|
(2)
|
Includes approximately
$183.2 million
of Residential whole loans, at carrying value and
$289.3 million
of Residential whole loans, at fair value transferred to consolidated VIEs at
December 31, 2017
. Such assets can be used only to settle the obligations of each respective VIE.
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands, Except Per Share Amounts)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
|
|
|
|
|
|
|
||||||
|
Interest Income:
|
|
|
|
|
|
|
|
|
|
|||
|
Agency MBS
|
|
$
|
65,355
|
|
|
$
|
83,069
|
|
|
$
|
105,835
|
|
|
Non-Agency MBS
|
|
271,112
|
|
|
332,821
|
|
|
363,570
|
|
|||
|
CRT securities
|
|
31,715
|
|
|
14,770
|
|
|
6,572
|
|
|||
|
MSR related assets
|
|
24,830
|
|
|
2,100
|
|
|
—
|
|
|||
|
Residential whole loans held at carrying value
|
|
36,187
|
|
|
23,916
|
|
|
16,036
|
|
|||
|
Cash and cash equivalent investments
|
|
4,249
|
|
|
774
|
|
|
130
|
|
|||
|
Interest Income
|
|
$
|
433,448
|
|
|
$
|
457,450
|
|
|
$
|
492,143
|
|
|
|
|
|
|
|
|
|
||||||
|
Interest Expense:
|
|
|
|
|
|
|
||||||
|
Repurchase agreements and other advances
|
|
$
|
186,347
|
|
|
$
|
184,986
|
|
|
$
|
166,918
|
|
|
Other interest expense
|
|
10,794
|
|
|
8,369
|
|
|
10,030
|
|
|||
|
Interest Expense
|
|
$
|
197,141
|
|
|
$
|
193,355
|
|
|
$
|
176,948
|
|
|
|
|
|
|
|
|
|
||||||
|
Net Interest Income
|
|
$
|
236,307
|
|
|
$
|
264,095
|
|
|
$
|
315,195
|
|
|
|
|
|
|
|
|
|
||||||
|
Other-Than-Temporary Impairments:
|
|
|
|
|
|
|
||||||
|
Total other-than-temporary impairment losses
|
|
$
|
(63
|
)
|
|
$
|
(1,255
|
)
|
|
$
|
(525
|
)
|
|
Portion of loss (reclassed from)/recognized in other comprehensive income
|
|
(969
|
)
|
|
770
|
|
|
(180
|
)
|
|||
|
Net Impairment Losses Recognized in Earnings
|
|
$
|
(1,032
|
)
|
|
$
|
(485
|
)
|
|
$
|
(705
|
)
|
|
|
|
|
|
|
|
|
||||||
|
Other Income, net:
|
|
|
|
|
|
|
||||||
|
Net gain on residential whole loans held at fair value
|
|
$
|
90,019
|
|
|
$
|
62,605
|
|
|
$
|
19,575
|
|
|
Net gain on sales of MBS and U.S. Treasury securities
|
|
39,577
|
|
|
35,837
|
|
|
34,900
|
|
|||
|
Other, net
|
|
29,423
|
|
|
10,600
|
|
|
(3,310
|
)
|
|||
|
Other Income, net
|
|
$
|
159,019
|
|
|
$
|
109,042
|
|
|
$
|
51,165
|
|
|
|
|
|
|
|
|
|
||||||
|
Operating and Other Expense:
|
|
|
|
|
|
|
||||||
|
Compensation and benefits
|
|
$
|
31,673
|
|
|
$
|
29,281
|
|
|
$
|
26,293
|
|
|
Other general and administrative expense
|
|
17,960
|
|
|
16,331
|
|
|
15,752
|
|
|||
|
Loan servicing and other related operating expenses
|
|
22,268
|
|
|
14,372
|
|
|
10,384
|
|
|||
|
Operating and Other Expense
|
|
$
|
71,901
|
|
|
$
|
59,984
|
|
|
$
|
52,429
|
|
|
|
|
|
|
|
|
|
||||||
|
Net Income
|
|
$
|
322,393
|
|
|
$
|
312,668
|
|
|
$
|
313,226
|
|
|
Less Preferred Stock Dividends
|
|
15,000
|
|
|
15,000
|
|
|
15,000
|
|
|||
|
Net Income Available to Common Stock and Participating Securities
|
|
$
|
307,393
|
|
|
$
|
297,668
|
|
|
$
|
298,226
|
|
|
|
|
|
|
|
|
|
||||||
|
Earnings per Common Share - Basic and Diluted
|
|
$
|
0.79
|
|
|
$
|
0.80
|
|
|
$
|
0.80
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
|
|
|
|
|
|
|
||||||
|
Net income
|
|
$
|
322,393
|
|
|
$
|
312,668
|
|
|
$
|
313,226
|
|
|
Other Comprehensive Income/(Loss):
|
|
|
|
|
|
|
||||||
|
Unrealized loss on Agency MBS, net
|
|
(39,158
|
)
|
|
(9,322
|
)
|
|
(51,332
|
)
|
|||
|
Unrealized gain/(loss) on Non-Agency MBS, net
|
|
79,142
|
|
|
81,882
|
|
|
(143,558
|
)
|
|||
|
Reclassification adjustment for MBS sales included in net income
|
|
(38,707
|
)
|
|
(36,922
|
)
|
|
(37,207
|
)
|
|||
|
Reclassification adjustment for other-than-temporary impairments included in net income
|
|
(1,032
|
)
|
|
(485
|
)
|
|
(705
|
)
|
|||
|
Derivative hedging instrument fair value changes, net
|
|
35,297
|
|
|
22,678
|
|
|
(10,337
|
)
|
|||
|
Cumulative effect adjustment on adoption of revised accounting standard for repurchase agreement financing
|
|
—
|
|
|
—
|
|
|
4,537
|
|
|||
|
Other Comprehensive Income/(Loss)
|
|
35,542
|
|
|
57,831
|
|
|
(238,602
|
)
|
|||
|
Comprehensive income before preferred stock dividends
|
|
$
|
357,935
|
|
|
$
|
370,499
|
|
|
$
|
74,624
|
|
|
Dividends declared on preferred stock
|
|
(15,000
|
)
|
|
(15,000
|
)
|
|
(15,000
|
)
|
|||
|
Comprehensive Income Available to Common Stock and Participating Securities
|
|
$
|
342,935
|
|
|
$
|
355,499
|
|
|
$
|
59,624
|
|
|
MFA FINANCIAL, INC.
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY
|
||||||||||||||||||||||||||||||
|
|
|
For the Year Ended December 31, 2017
|
||||||||||||||||||||||||||||
|
(In Thousands,
Except Per Share Amounts)
|
|
Preferred Stock
7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share |
|
Common Stock
|
|
Additional Paid-in Capital
|
|
Accumulated
Deficit |
|
Accumulated Other Comprehensive Income
|
|
Total
|
||||||||||||||||||
|
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
|
|
|
|||||||||||||||||||
|
Balance at December 31, 2016
|
|
8,000
|
|
|
$
|
80
|
|
|
371,854
|
|
|
$
|
3,719
|
|
|
$
|
3,029,062
|
|
|
$
|
(572,641
|
)
|
|
$
|
573,682
|
|
|
$
|
3,033,902
|
|
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
322,393
|
|
|
—
|
|
|
322,393
|
|
||||||
|
Issuance of common stock, net of expenses
(1)
|
|
—
|
|
|
—
|
|
|
26,722
|
|
|
259
|
|
|
196,549
|
|
|
—
|
|
|
—
|
|
|
196,808
|
|
||||||
|
Repurchase of shares of common stock
(1)
|
|
—
|
|
|
—
|
|
|
(745
|
)
|
|
—
|
|
|
(5,995
|
)
|
|
—
|
|
|
—
|
|
|
(5,995
|
)
|
||||||
|
Equity based compensation expense
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,872
|
|
|
—
|
|
|
—
|
|
|
7,872
|
|
||||||
|
Accrued dividends attributable to stock-based awards
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(184
|
)
|
|
—
|
|
|
—
|
|
|
(184
|
)
|
||||||
|
Dividends declared on common stock
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(312,810
|
)
|
|
—
|
|
|
(312,810
|
)
|
||||||
|
Dividends declared on preferred stock
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(15,000
|
)
|
|
—
|
|
|
(15,000
|
)
|
||||||
|
Dividends attributable to dividend equivalents
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(892
|
)
|
|
—
|
|
|
(892
|
)
|
||||||
|
Change in unrealized gains on MBS, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
245
|
|
|
245
|
|
||||||
|
Derivative hedging instrument fair value changes, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
35,297
|
|
|
35,297
|
|
||||||
|
Balance at December 31, 2017
|
|
8,000
|
|
|
$
|
80
|
|
|
397,831
|
|
|
$
|
3,978
|
|
|
$
|
3,227,304
|
|
|
$
|
(578,950
|
)
|
|
$
|
609,224
|
|
|
$
|
3,261,636
|
|
|
|
|
For the Year Ended December 31, 2016
|
||||||||||||||||||||||||||||
|
(In Thousands,
Except Per Share Amounts) |
|
Preferred Stock
7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share |
|
Common Stock
|
|
Additional Paid-in Capital
|
|
Accumulated
Deficit |
|
Accumulated Other Comprehensive Income
|
|
Total
|
||||||||||||||||||
|
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
|
|
|
|||||||||||||||||||
|
Balance at December 31, 2015
|
|
8,000
|
|
|
$
|
80
|
|
|
370,584
|
|
|
$
|
3,706
|
|
|
$
|
3,019,956
|
|
|
$
|
(572,332
|
)
|
|
$
|
515,851
|
|
|
$
|
2,967,261
|
|
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
312,668
|
|
|
—
|
|
|
312,668
|
|
||||||
|
Issuance of common stock, net of expenses
(1)
|
|
—
|
|
|
—
|
|
|
1,758
|
|
|
13
|
|
|
4,647
|
|
|
—
|
|
|
—
|
|
|
4,660
|
|
||||||
|
Repurchase of shares of common stock
(1)
|
|
—
|
|
|
—
|
|
|
(488
|
)
|
|
—
|
|
|
(3,551
|
)
|
|
—
|
|
|
—
|
|
|
(3,551
|
)
|
||||||
|
Equity based compensation expense
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8,695
|
|
|
—
|
|
|
—
|
|
|
8,695
|
|
||||||
|
Accrued dividends attributable to stock-based awards
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(685
|
)
|
|
—
|
|
|
—
|
|
|
(685
|
)
|
||||||
|
Dividends declared on common stock
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(297,046
|
)
|
|
—
|
|
|
(297,046
|
)
|
||||||
|
Dividends declared on preferred stock
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(15,000
|
)
|
|
—
|
|
|
(15,000
|
)
|
||||||
|
Dividends attributable to dividend equivalents
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(931
|
)
|
|
—
|
|
|
(931
|
)
|
||||||
|
Change in unrealized gains on MBS, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
35,153
|
|
|
35,153
|
|
||||||
|
Derivative hedging instruments fair value changes, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
22,678
|
|
|
22,678
|
|
||||||
|
Balance at December 31, 2016
|
|
8,000
|
|
|
$
|
80
|
|
|
371,854
|
|
|
$
|
3,719
|
|
|
$
|
3,029,062
|
|
|
$
|
(572,641
|
)
|
|
$
|
573,682
|
|
|
$
|
3,033,902
|
|
|
|
|
For the Year Ended December 31, 2015
|
||||||||||||||||||||||||||||
|
(In Thousands,
Except Per Share Amounts) |
|
Preferred Stock
7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share |
|
Common Stock
|
|
Additional Paid-in Capital
|
|
Accumulated
Deficit |
|
Accumulated Other Comprehensive Income
|
|
Total
|
||||||||||||||||||
|
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
|
|
|
|||||||||||||||||||
|
Balance at December 31, 2014
|
|
8,000
|
|
|
$
|
80
|
|
|
370,084
|
|
|
$
|
3,701
|
|
|
$
|
3,013,634
|
|
|
$
|
(568,596
|
)
|
|
$
|
754,453
|
|
|
$
|
3,203,272
|
|
|
Cumulative effect adjustment on adoption of revised accounting standard for repurchase agreement financing
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4,537
|
)
|
|
4,537
|
|
|
—
|
|
||||||
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
313,226
|
|
|
—
|
|
|
313,226
|
|
||||||
|
Issuance of common stock, net of expenses
(1)
|
|
—
|
|
|
—
|
|
|
809
|
|
|
5
|
|
|
1,216
|
|
|
—
|
|
|
—
|
|
|
1,221
|
|
||||||
|
Repurchase of shares of common stock
(1)
|
|
—
|
|
|
—
|
|
|
(309
|
)
|
|
—
|
|
|
(2,273
|
)
|
|
—
|
|
|
—
|
|
|
(2,273
|
)
|
||||||
|
Equity based compensation expense
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,829
|
|
|
—
|
|
|
—
|
|
|
7,829
|
|
||||||
|
Accrued dividends attributable to stock-based awards
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(450
|
)
|
|
—
|
|
|
—
|
|
|
(450
|
)
|
||||||
|
Dividends declared on common stock
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(296,384
|
)
|
|
—
|
|
|
(296,384
|
)
|
||||||
|
Dividends declared on preferred stock
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(15,000
|
)
|
|
—
|
|
|
(15,000
|
)
|
||||||
|
Dividends attributable to dividend equivalents
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,041
|
)
|
|
—
|
|
|
(1,041
|
)
|
||||||
|
Change in unrealized losses on MBS, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(232,802
|
)
|
|
(232,802
|
)
|
||||||
|
Derivative hedging instruments fair value changes, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10,337
|
)
|
|
(10,337
|
)
|
||||||
|
Balance at December 31, 2015
|
|
8,000
|
|
|
$
|
80
|
|
|
370,584
|
|
|
$
|
3,706
|
|
|
$
|
3,019,956
|
|
|
$
|
(572,332
|
)
|
|
$
|
515,851
|
|
|
$
|
2,967,261
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
Cash Flows From Operating Activities:
|
|
|
|
|
|
|
|
|
|
|||
|
Net income
|
|
$
|
322,393
|
|
|
$
|
312,668
|
|
|
$
|
313,226
|
|
|
Adjustments to reconcile net income to net cash provided by operating activities:
|
|
|
|
|
|
|
||||||
|
Gain on sales of MBS and U.S. Treasury securities
|
|
(39,577
|
)
|
|
(35,837
|
)
|
|
(34,900
|
)
|
|||
|
Gain on sales of real estate owned
|
|
(4,475
|
)
|
|
(3,229
|
)
|
|
(76
|
)
|
|||
|
Gain on liquidation of residential whole loans
|
|
(11,868
|
)
|
|
—
|
|
|
—
|
|
|||
|
Other-than-temporary impairment charges
|
|
1,032
|
|
|
485
|
|
|
705
|
|
|||
|
Accretion of purchase discounts on MBS and CRT securities, residential whole loans and MSR related assets
|
|
(86,318
|
)
|
|
(84,615
|
)
|
|
(95,377
|
)
|
|||
|
Amortization of purchase premiums on MBS and CRT securities
|
|
30,330
|
|
|
36,725
|
|
|
41,624
|
|
|||
|
Depreciation and amortization on real estate, fixed assets and other assets
|
|
1,519
|
|
|
964
|
|
|
860
|
|
|||
|
Equity-based compensation expense
|
|
8,033
|
|
|
9,162
|
|
|
7,832
|
|
|||
|
Unrealized gain on residential whole loans at fair value
|
|
(33,617
|
)
|
|
(31,254
|
)
|
|
(6,532
|
)
|
|||
|
Increase in other assets and other
|
|
(5,569
|
)
|
|
(23,122
|
)
|
|
(5,407
|
)
|
|||
|
(Decrease)/increase in other liabilities
|
|
(5,813
|
)
|
|
(6,943
|
)
|
|
56,170
|
|
|||
|
Net cash provided by operating activities
|
|
$
|
176,070
|
|
|
$
|
175,004
|
|
|
$
|
278,125
|
|
|
|
|
|
|
|
|
|
||||||
|
Cash Flows From Investing Activities:
|
|
|
|
|
|
|
|
|
||||
|
Principal payments on MBS, CRT securities and MSR related assets
|
|
$
|
3,996,489
|
|
|
$
|
3,339,597
|
|
|
$
|
2,916,807
|
|
|
Proceeds from sales of MBS and U.S. Treasury securities
|
|
243,081
|
|
|
85,594
|
|
|
70,747
|
|
|||
|
Purchases of MBS, CRT securities, MSR related assets, and U.S. Treasury Securities
|
|
(1,583,130
|
)
|
|
(1,995,013
|
)
|
|
(1,810,303
|
)
|
|||
|
Purchases of residential whole loans and capitalized advances
|
|
(1,065,981
|
)
|
|
(677,003
|
)
|
|
(617,017
|
)
|
|||
|
Principal payments on residential whole loans
|
|
160,469
|
|
|
103,997
|
|
|
51,427
|
|
|||
|
Proceeds from sales of real estate owned
|
|
75,671
|
|
|
34,200
|
|
|
4,049
|
|
|||
|
Purchases of real estate owned and capital improvements
|
|
(19,801
|
)
|
|
(2,825
|
)
|
|
—
|
|
|||
|
Redemption of Federal Home Loan Bank stock
|
|
10,422
|
|
|
51,400
|
|
|
—
|
|
|||
|
Purchases of Federal Home Loan Bank stock
|
|
—
|
|
|
(1,805
|
)
|
|
(60,017
|
)
|
|||
|
Additions to leasehold improvements, furniture and fixtures
|
|
(872
|
)
|
|
(708
|
)
|
|
(1,560
|
)
|
|||
|
Net cash provided by investing activities
|
|
$
|
1,816,348
|
|
|
$
|
937,434
|
|
|
$
|
554,133
|
|
|
|
|
|
|
|
|
|
||||||
|
Cash Flows From Financing Activities:
|
|
|
|
|
|
|
|
|
||||
|
Principal payments on repurchase agreements and other advances
|
|
(72,563,218
|
)
|
|
(82,408,484
|
)
|
|
(92,012,931
|
)
|
|||
|
Proceeds from borrowings under repurchase agreements and other advances
|
|
70,490,091
|
|
|
81,706,806
|
|
|
91,614,851
|
|
|||
|
Proceeds from issuance of securitized debt
|
|
382,847
|
|
|
—
|
|
|
—
|
|
|||
|
Principal payments on securitized debt
|
|
(16,562
|
)
|
|
(22,057
|
)
|
|
(88,347
|
)
|
|||
|
Payments made for securitization related costs
|
|
(2,646
|
)
|
|
—
|
|
|
—
|
|
|||
|
Payments made for margin calls and settlements on repurchase agreements and interest rate swap agreements (“Swaps”)
|
|
(46,022
|
)
|
|
(177,363
|
)
|
|
(267,200
|
)
|
|||
|
Proceeds from reverse margin calls and settlements on repurchase agreements and Swaps
|
|
79,517
|
|
|
192,000
|
|
|
215,100
|
|
|||
|
Proceeds from issuances of common stock
|
|
196,808
|
|
|
4,660
|
|
|
1,218
|
|
|||
|
Dividends paid on preferred stock
|
|
(15,000
|
)
|
|
(15,000
|
)
|
|
(15,000
|
)
|
|||
|
Dividends paid on common stock and dividend equivalents
|
|
(308,588
|
)
|
|
(297,895
|
)
|
|
(297,379
|
)
|
|||
|
Net cash used in financing activities
|
|
$
|
(1,802,773
|
)
|
|
$
|
(1,017,333
|
)
|
|
$
|
(849,688
|
)
|
|
Net increase/(decrease) in cash and cash equivalents
|
|
$
|
189,645
|
|
|
$
|
95,105
|
|
|
$
|
(17,430
|
)
|
|
Cash and cash equivalents at beginning of period
|
|
$
|
260,112
|
|
|
$
|
165,007
|
|
|
$
|
182,437
|
|
|
Cash and cash equivalents at end of period
|
|
$
|
449,757
|
|
|
$
|
260,112
|
|
|
$
|
165,007
|
|
|
|
|
|
|
|
|
|
||||||
|
Supplemental Disclosure of Cash Flow Information
|
|
|
|
|
|
|
||||||
|
Interest Paid
|
|
$
|
198,159
|
|
|
$
|
194,626
|
|
|
$
|
172,919
|
|
|
|
|
|
|
|
|
|
||||||
|
Non-cash Investing and Financing Activities:
|
|
|
|
|
|
|
||||||
|
MBS and CRT securities recorded upon adoption of revised accounting standard for repurchase agreement financing
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,917,813
|
|
|
Repurchase agreements recorded upon adoption of revised accounting standard for repurchase agreement financing
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,519,593
|
|
|
Net increase in securities obtained as collateral/obligation to return securities obtained as collateral
|
|
$
|
134,100
|
|
|
$
|
5,385
|
|
|
$
|
32,670
|
|
|
Transfer from residential whole loans to real estate owned
|
|
$
|
136,734
|
|
|
$
|
91,896
|
|
|
$
|
30,104
|
|
|
Dividends and dividend equivalents declared and unpaid
|
|
$
|
79,771
|
|
|
$
|
74,657
|
|
|
$
|
74,575
|
|
|
(In Thousands)
|
|
Principal/ Current
Face
|
|
Purchase
Premiums
|
|
Accretable
Purchase
Discounts
|
|
Discount
Designated
as Credit Reserve and
OTTI
(1)
|
|
Amortized
Cost
(2)
|
|
Fair Value
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Net
Unrealized
Gain/(Loss)
|
||||||||||||||||||
|
Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Fannie Mae
|
|
$
|
2,170,974
|
|
|
$
|
82,271
|
|
|
$
|
(40
|
)
|
|
$
|
—
|
|
|
$
|
2,253,205
|
|
|
$
|
2,246,600
|
|
|
$
|
21,736
|
|
|
$
|
(28,341
|
)
|
|
$
|
(6,605
|
)
|
|
Freddie Mac
|
|
561,346
|
|
|
21,683
|
|
|
—
|
|
|
—
|
|
|
584,920
|
|
|
571,748
|
|
|
1,624
|
|
|
(14,796
|
)
|
|
(13,172
|
)
|
|||||||||
|
Ginnie Mae
|
|
6,142
|
|
|
112
|
|
|
—
|
|
|
—
|
|
|
6,254
|
|
|
6,333
|
|
|
79
|
|
|
—
|
|
|
79
|
|
|||||||||
|
Total Agency MBS
|
|
2,738,462
|
|
|
104,066
|
|
|
(40
|
)
|
|
—
|
|
|
2,844,379
|
|
|
2,824,681
|
|
|
23,439
|
|
|
(43,137
|
)
|
|
(19,698
|
)
|
|||||||||
|
Non-Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Expected to Recover Par
(3)(4)
|
|
1,128,808
|
|
|
50
|
|
|
(22,737
|
)
|
|
—
|
|
|
1,106,121
|
|
|
1,132,205
|
|
|
26,518
|
|
|
(434
|
)
|
|
26,084
|
|
|||||||||
|
Expected to Recover Less than Par
(3)
|
|
2,589,935
|
|
|
—
|
|
|
(192,588
|
)
|
|
(593,227
|
)
|
|
1,804,120
|
|
|
2,401,761
|
|
|
597,660
|
|
|
(19
|
)
|
|
597,641
|
|
|||||||||
|
Total Non-Agency MBS
(5)
|
|
3,718,743
|
|
|
50
|
|
|
(215,325
|
)
|
|
(593,227
|
)
|
|
2,910,241
|
|
|
3,533,966
|
|
|
624,178
|
|
|
(453
|
)
|
|
623,725
|
|
|||||||||
|
Total MBS
|
|
6,457,205
|
|
|
104,116
|
|
|
(215,365
|
)
|
|
(593,227
|
)
|
|
5,754,620
|
|
|
6,358,647
|
|
|
647,617
|
|
|
(43,590
|
)
|
|
604,027
|
|
|||||||||
|
CRT securities
(6)
|
|
602,799
|
|
|
8,887
|
|
|
(3,550
|
)
|
|
—
|
|
|
608,136
|
|
|
664,403
|
|
|
56,290
|
|
|
(23
|
)
|
|
56,267
|
|
|||||||||
|
Total MBS and CRT securities
|
|
$
|
7,060,004
|
|
|
$
|
113,003
|
|
|
$
|
(218,915
|
)
|
|
$
|
(593,227
|
)
|
|
$
|
6,362,756
|
|
|
$
|
7,023,050
|
|
|
$
|
703,907
|
|
|
$
|
(43,613
|
)
|
|
$
|
660,294
|
|
|
(In Thousands)
|
|
Principal/ Current
Face
|
|
Purchase
Premiums
|
|
Accretable
Purchase
Discounts
|
|
Discount
Designated
as Credit Reserve and
OTTI
(1)
|
|
Amortized
Cost
(2)
|
|
Fair Value
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Net
Unrealized
Gain/(Loss)
|
||||||||||||||||||
|
Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Fannie Mae
|
|
$
|
2,879,807
|
|
|
$
|
108,310
|
|
|
$
|
(51
|
)
|
|
$
|
—
|
|
|
$
|
2,988,066
|
|
|
$
|
3,014,464
|
|
|
$
|
45,706
|
|
|
$
|
(19,308
|
)
|
|
$
|
26,398
|
|
|
Freddie Mac
|
|
693,945
|
|
|
26,736
|
|
|
—
|
|
|
—
|
|
|
723,285
|
|
|
716,209
|
|
|
4,809
|
|
|
(11,885
|
)
|
|
(7,076
|
)
|
|||||||||
|
Ginnie Mae
|
|
7,550
|
|
|
136
|
|
|
—
|
|
|
—
|
|
|
7,686
|
|
|
7,824
|
|
|
138
|
|
|
—
|
|
|
138
|
|
|||||||||
|
Total Agency MBS
|
|
3,581,302
|
|
|
135,182
|
|
|
(51
|
)
|
|
—
|
|
|
3,719,037
|
|
|
3,738,497
|
|
|
50,653
|
|
|
(31,193
|
)
|
|
19,460
|
|
|||||||||
|
Non-Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Expected to Recover Par
(3)(4)
|
|
2,706,418
|
|
|
57
|
|
|
(24,273
|
)
|
|
—
|
|
|
2,682,202
|
|
|
2,706,311
|
|
|
26,477
|
|
|
(2,368
|
)
|
|
24,109
|
|
|||||||||
|
Expected to Recover Less than Par
(3)
|
|
3,359,200
|
|
|
—
|
|
|
(253,918
|
)
|
|
(694,241
|
)
|
|
2,411,041
|
|
|
2,978,525
|
|
|
570,318
|
|
|
(2,834
|
)
|
|
567,484
|
|
|||||||||
|
Total Non-Agency MBS
(5)
|
|
6,065,618
|
|
|
57
|
|
|
(278,191
|
)
|
|
(694,241
|
)
|
|
5,093,243
|
|
|
5,684,836
|
|
|
596,795
|
|
|
(5,202
|
)
|
|
591,593
|
|
|||||||||
|
Total MBS
|
|
9,646,920
|
|
|
135,239
|
|
|
(278,242
|
)
|
|
(694,241
|
)
|
|
8,812,280
|
|
|
9,423,333
|
|
|
647,448
|
|
|
(36,395
|
)
|
|
611,053
|
|
|||||||||
|
CRT securities
(6)
|
|
384,993
|
|
|
3,312
|
|
|
(5,557
|
)
|
|
—
|
|
|
382,748
|
|
|
404,850
|
|
|
22,105
|
|
|
(3
|
)
|
|
22,102
|
|
|||||||||
|
Total MBS and CRT securities
|
|
$
|
10,031,913
|
|
|
$
|
138,551
|
|
|
$
|
(283,799
|
)
|
|
$
|
(694,241
|
)
|
|
$
|
9,195,028
|
|
|
$
|
9,828,183
|
|
|
$
|
669,553
|
|
|
$
|
(36,398
|
)
|
|
$
|
633,155
|
|
|
(1)
|
Discount designated as Credit Reserve and amounts related to OTTI are generally not expected to be accreted into interest income. Amounts disclosed at
December 31, 2017
reflect Credit Reserve of
$579 million
and OTTI of
$14.2 million
. Amounts disclosed at
December 31, 2016
reflect Credit Reserve of
$675.6 million
and OTTI of
$18.6 million
.
|
|
(2)
|
Includes principal payments receivable of
$1.9 million
and
$2.6 million
at
December 31, 2017
and
2016
, respectively, which are not included in the Principal/Current Face.
|
|
(3)
|
Based on management
’
s current estimates of future principal cash flows expected to be received.
|
|
(4)
|
Includes RPL/NPL MBS, which at
December 31, 2017
had a
$922.0 million
Principal/Current face,
$920.1 million
amortized cost and
$923.1 million
fair value. At
December 31, 2016
, RPL/NPL MBS had a
$2.5 billion
Principal/Current face,
$2.5 billion
amortized cost and
$2.5 billion
fair value.
|
|
(5)
|
At
December 31, 2017
and
2016
, the Company expected to recover approximately
84%
and
89%
, respectively, of the then-current face amount of Non-Agency MBS.
|
|
(6)
|
Amounts disclosed at
December 31, 2017
includes CRT securities with a fair value of
$480.8 million
for which the fair value option has been elected. Such securities had gross unrealized gains of approximately
$40.5 million
and gross unrealized losses of approximately
$23,000
at
December 31, 2017
. Amounts disclosed at
December 31, 2016
includes CRT securities with a fair value of
$271.2 million
for which the fair value option has been elected. Such securities had gross unrealized gains of approximately
$12.7 million
and gross unrealized losses of approximately
$3,000
at
December 31, 2016
.
|
|
|
|
Unrealized Loss Position For:
|
|
|
||||||||||||||||||||||||||
|
|
|
Less than 12 Months
|
|
12 Months or more
|
|
Total
|
||||||||||||||||||||||||
|
(Dollars in Thousands)
|
|
Fair
Value
|
|
Unrealized Losses
|
|
Number of
Securities
|
|
Fair
Value
|
|
Unrealized Losses
|
|
Number of
Securities
|
|
Fair
Value
|
|
Unrealized Losses
|
||||||||||||||
|
Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Fannie Mae
|
|
$
|
385,839
|
|
|
$
|
3,128
|
|
|
104
|
|
|
$
|
871,828
|
|
|
$
|
25,213
|
|
|
200
|
|
|
$
|
1,257,667
|
|
|
$
|
28,341
|
|
|
Freddie Mac
|
|
63,924
|
|
|
472
|
|
|
23
|
|
|
407,885
|
|
|
14,324
|
|
|
105
|
|
|
471,809
|
|
|
14,796
|
|
||||||
|
Ginnie Mae
|
|
233
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
233
|
|
|
—
|
|
||||||
|
Total Agency MBS
|
|
449,996
|
|
|
3,600
|
|
|
128
|
|
|
1,279,713
|
|
|
39,537
|
|
|
305
|
|
|
1,729,709
|
|
|
43,137
|
|
||||||
|
Non-Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Expected to Recover Par
(1)
|
|
64,394
|
|
|
195
|
|
|
2
|
|
|
12,531
|
|
|
239
|
|
|
9
|
|
|
76,925
|
|
|
434
|
|
||||||
|
Expected to Recover Less than Par
(1)
|
|
6,237
|
|
|
19
|
|
|
4
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6,237
|
|
|
19
|
|
||||||
|
Total Non-Agency MBS
|
|
70,631
|
|
|
214
|
|
|
6
|
|
|
12,531
|
|
|
239
|
|
|
9
|
|
|
83,162
|
|
|
453
|
|
||||||
|
Total MBS
|
|
520,627
|
|
|
3,814
|
|
|
134
|
|
|
1,292,244
|
|
|
39,776
|
|
|
314
|
|
|
1,812,871
|
|
|
43,590
|
|
||||||
|
CRT securities
(2)
|
|
16,266
|
|
|
23
|
|
|
4
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
16,266
|
|
|
23
|
|
||||||
|
Total MBS and CRT securities
|
|
$
|
536,893
|
|
|
$
|
3,837
|
|
|
138
|
|
|
$
|
1,292,244
|
|
|
$
|
39,776
|
|
|
314
|
|
|
$
|
1,829,137
|
|
|
$
|
43,613
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
Total OTTI losses
|
|
$
|
(63
|
)
|
|
$
|
(1,255
|
)
|
|
$
|
(525
|
)
|
|
OTTI recognized in/(reclassified from) OCI
|
|
(969
|
)
|
|
770
|
|
|
(180
|
)
|
|||
|
OTTI recognized in earnings
|
|
$
|
(1,032
|
)
|
|
$
|
(485
|
)
|
|
$
|
(705
|
)
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
Credit loss component of OTTI at beginning of period
|
|
$
|
37,305
|
|
|
$
|
36,820
|
|
|
$
|
36,115
|
|
|
Additions for credit related OTTI not previously recognized
|
|
63
|
|
|
314
|
|
|
461
|
|
|||
|
Subsequent additional credit related OTTI recorded
|
|
969
|
|
|
171
|
|
|
244
|
|
|||
|
Credit loss component of OTTI at end of period
|
|
$
|
38,337
|
|
|
$
|
37,305
|
|
|
$
|
36,820
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||||||
|
|
|
2017
|
|
2016
|
||||||||||||
|
(In Thousands)
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Accretable
Discount
(1)
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Accretable
Discount
(1)
|
||||||||
|
Balance at beginning of period
|
|
$
|
(694,241
|
)
|
|
$
|
(278,191
|
)
|
|
$
|
(787,541
|
)
|
|
$
|
(312,182
|
)
|
|
Impact of RMBS Issuer settlement
(2)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(59,900
|
)
|
||||
|
Accretion of discount
|
|
—
|
|
|
77,513
|
|
|
—
|
|
|
80,548
|
|
||||
|
Realized credit losses
|
|
49,291
|
|
|
—
|
|
|
64,217
|
|
|
—
|
|
||||
|
Purchases
|
|
(29,810
|
)
|
|
18,386
|
|
|
(25,999
|
)
|
|
13,094
|
|
||||
|
Sales
|
|
31,730
|
|
|
17,802
|
|
|
17,863
|
|
|
37,953
|
|
||||
|
Net impairment losses recognized in earnings
|
|
(1,032
|
)
|
|
—
|
|
|
(485
|
)
|
|
—
|
|
||||
|
Transfers/release of credit reserve
|
|
50,835
|
|
|
(50,835
|
)
|
|
37,704
|
|
|
(37,704
|
)
|
||||
|
Balance at end of period
|
|
$
|
(593,227
|
)
|
|
$
|
(215,325
|
)
|
|
$
|
(694,241
|
)
|
|
$
|
(278,191
|
)
|
|
(1)
|
Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security.
|
|
(2)
|
Includes the impact of approximately
$61.8 million
and
$7.0 million
of cash proceeds (a one-time payment) received by the Company during the year ended
December 31, 2016
in connection with the settlements of litigation related to certain Countrywide and Citigroup sponsored residential mortgage backed securitization trusts, respectively.
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
AOCI from AFS securities:
|
|
|
|
|
|
|
|
|
|
|||
|
Unrealized gain on AFS securities at beginning of period
|
|
$
|
620,403
|
|
|
$
|
585,250
|
|
|
$
|
813,515
|
|
|
Unrealized loss on Agency MBS, net
|
|
(39,158
|
)
|
|
(9,322
|
)
|
|
(51,332
|
)
|
|||
|
Unrealized gain/(loss) on Non-Agency MBS, net
|
|
79,142
|
|
|
81,882
|
|
|
(143,558
|
)
|
|||
|
Cumulative effect adjustment on adoption of revised accounting standard for repurchase agreement financing
(1)
|
|
—
|
|
|
—
|
|
|
4,537
|
|
|||
|
Reclassification adjustment for MBS sales included in net income
|
|
(38,707
|
)
|
|
(36,922
|
)
|
|
(37,207
|
)
|
|||
|
Reclassification adjustment for OTTI included in net income
|
|
(1,032
|
)
|
|
(485
|
)
|
|
(705
|
)
|
|||
|
Change in AOCI from AFS securities
|
|
245
|
|
|
35,153
|
|
|
(228,265
|
)
|
|||
|
Balance at end of period
|
|
$
|
620,648
|
|
|
$
|
620,403
|
|
|
$
|
585,250
|
|
|
(1)
|
Cumulative effect adjustment on adoption of accounting guidance that was effective for the Company as of January 1, 2015 which prospectively eliminated the use of linked transactions accounting for certain assets that were purchased from and financed by the same counterparty.
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
Agency MBS
|
|
|
|
|
|
|
||||||
|
Coupon interest
|
|
$
|
96,678
|
|
|
$
|
119,966
|
|
|
$
|
147,066
|
|
|
Effective yield adjustment
(1)
|
|
(31,323
|
)
|
|
(36,897
|
)
|
|
(41,231
|
)
|
|||
|
Interest income
|
|
$
|
65,355
|
|
|
$
|
83,069
|
|
|
$
|
105,835
|
|
|
|
|
|
|
|
|
|
||||||
|
Legacy Non-Agency MBS
|
|
|
|
|
|
|
||||||
|
Coupon interest
|
|
$
|
127,645
|
|
|
$
|
154,057
|
|
|
$
|
183,349
|
|
|
Effective yield adjustment
(2)
|
|
76,005
|
|
|
78,443
|
|
|
91,003
|
|
|||
|
Interest income
|
|
$
|
203,650
|
|
|
$
|
232,500
|
|
|
$
|
274,352
|
|
|
|
|
|
|
|
|
|
||||||
|
RPL/NPL MBS
|
|
|
|
|
|
|
||||||
|
Coupon interest
|
|
$
|
65,957
|
|
|
$
|
98,213
|
|
|
$
|
87,429
|
|
|
Effective yield adjustment
(1)
|
|
1,505
|
|
|
2,108
|
|
|
1,789
|
|
|||
|
Interest income
|
|
$
|
67,462
|
|
|
$
|
100,321
|
|
|
$
|
89,218
|
|
|
|
|
|
|
|
|
|
||||||
|
CRT securities
|
|
|
|
|
|
|
||||||
|
Coupon interest
|
|
$
|
27,706
|
|
|
$
|
13,023
|
|
|
$
|
5,844
|
|
|
Effective yield adjustment
(2)
|
|
4,009
|
|
|
1,747
|
|
|
728
|
|
|||
|
Interest income
|
|
$
|
31,715
|
|
|
$
|
14,770
|
|
|
$
|
6,572
|
|
|
|
|
|
|
|
|
|
||||||
|
MSR related assets
|
|
|
|
|
|
|
||||||
|
Coupon interest
|
|
$
|
24,534
|
|
|
$
|
2,090
|
|
|
$
|
—
|
|
|
Effective yield adjustment
(1)
|
|
296
|
|
|
10
|
|
|
—
|
|
|||
|
Interest income
|
|
$
|
24,830
|
|
|
$
|
2,100
|
|
|
$
|
—
|
|
|
(1)
|
Includes amortization of premium paid net of accretion of purchase discount. For Agency MBS, RPL/NPL MBS and the corporate loan secured by MSRs, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity.
|
|
(2)
|
The effective yield adjustment is the difference between the net income calculated using the net yield, which is based on management’s estimates of the amount and timing of future cash flows, less the current coupon yield.
|
|
(In Thousands)
|
|
For the Year Ended December 31,
|
||||||||||
|
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
Balance at the beginning of period
|
|
$
|
990
|
|
|
$
|
1,165
|
|
|
$
|
137
|
|
|
(Reversal of provisions)/provisions for loan losses
|
|
(660
|
)
|
|
(175
|
)
|
|
1,028
|
|
|||
|
Balance at the end of period
|
|
$
|
330
|
|
|
$
|
990
|
|
|
$
|
1,165
|
|
|
(In Thousands)
|
|
For the Year Ended December 31,
|
||||||
|
|
|
2017
|
|
2016
|
||||
|
Contractually required principal and interest
|
|
$
|
534,112
|
|
|
$
|
662,747
|
|
|
Contractual cash flows not expected to be collected (non-accretable yield)
|
|
(129,547
|
)
|
|
(117,694
|
)
|
||
|
Expected cash flows to be collected
|
|
404,565
|
|
|
545,053
|
|
||
|
Interest component of expected cash flows (accretable yield)
|
|
(137,378
|
)
|
|
(181,534
|
)
|
||
|
Fair value at the date of acquisition
|
|
$
|
267,187
|
|
|
$
|
363,519
|
|
|
(In Thousands)
|
|
For the Year Ended December 31,
|
||||||
|
|
|
2017
|
|
2016
|
||||
|
Balance at beginning of period
|
|
$
|
334,379
|
|
|
$
|
175,271
|
|
|
Additions
|
|
137,378
|
|
|
181,534
|
|
||
|
Accretion
|
|
(35,657
|
)
|
|
(23,916
|
)
|
||
|
Liquidations and other
|
|
(16,356
|
)
|
|
—
|
|
||
|
Reclassifications from non-accretable difference, net
|
|
2,128
|
|
|
1,490
|
|
||
|
Balance at end of period
|
|
$
|
421,872
|
|
|
$
|
334,379
|
|
|
(Dollars in Thousands)
|
|
December 31, 2017
|
|
December 31, 2016
|
||||
|
Outstanding principal balance
|
|
$
|
1,562,373
|
|
|
$
|
966,174
|
|
|
Aggregate fair value
|
|
$
|
1,325,115
|
|
|
$
|
814,682
|
|
|
Number of loans
|
|
6,514
|
|
|
3,812
|
|
||
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
Coupon payments and other income received
|
|
$
|
41,373
|
|
|
$
|
23,017
|
|
|
$
|
9,304
|
|
|
Net unrealized gains
|
|
33,617
|
|
|
31,254
|
|
|
6,539
|
|
|||
|
Net gain on payoff/liquidation of loans
|
|
4,958
|
|
|
5,413
|
|
|
1,879
|
|
|||
|
Net gain on transfers to REO
|
|
10,071
|
|
|
2,921
|
|
|
1,853
|
|
|||
|
Total
|
|
$
|
90,019
|
|
|
$
|
62,605
|
|
|
$
|
19,575
|
|
|
(In Thousands)
|
|
December 31, 2017
|
|
December 31, 2016
|
||||
|
REO
|
|
$
|
152,356
|
|
|
$
|
80,503
|
|
|
Interest receivable
|
|
27,415
|
|
|
27,795
|
|
||
|
Swaps, at fair value
|
|
679
|
|
|
233
|
|
||
|
Goodwill
|
|
7,189
|
|
|
7,189
|
|
||
|
Prepaid and other assets
|
|
51,208
|
|
|
78,775
|
|
||
|
Total Other Assets
|
|
$
|
238,847
|
|
|
$
|
194,495
|
|
|
|
|
For the Year Ended December 31,
|
||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
||||
|
Balance at beginning of period
|
|
$
|
80,503
|
|
|
$
|
28,026
|
|
|
Adjustments to record at lower of cost or fair value
|
|
(11,018
|
)
|
|
(7,527
|
)
|
||
|
Transfer from residential whole loans
(1)
|
|
136,734
|
|
|
91,896
|
|
||
|
Purchases and capital improvements
|
|
19,801
|
|
|
2,825
|
|
||
|
Disposals
|
|
(73,664
|
)
|
|
(34,717
|
)
|
||
|
Balance at end of period
|
|
$
|
152,356
|
|
|
$
|
80,503
|
|
|
|
|
|
|
|
|
December 31,
|
||||||||||||||
|
|
|
|
|
|
|
2017
|
|
2016
|
||||||||||||
|
Derivative Instrument
|
|
Designation
|
|
Balance Sheet Location
|
|
Notional Amount
|
|
Fair Value
|
|
Notional Amount
|
|
Fair Value
|
||||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Non-cleared legacy Swaps
(1)
|
|
Hedging
|
|
Assets
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
350,000
|
|
|
$
|
233
|
|
|
Cleared Swaps
(2)
|
|
Hedging
|
|
Assets
|
|
$
|
750,000
|
|
|
$
|
679
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Cleared Swaps
(2)
|
|
Hedging
|
|
Liabilities
|
|
$
|
1,800,000
|
|
|
$
|
—
|
|
|
$
|
2,550,000
|
|
|
$
|
(46,954
|
)
|
|
|
|
December 31,
|
||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
||||
|
Agency MBS, at fair value
|
|
$
|
21,756
|
|
|
$
|
32,468
|
|
|
Restricted cash
|
|
6,405
|
|
|
53,849
|
|
||
|
Total assets pledged against Swaps
|
|
$
|
28,161
|
|
|
$
|
86,317
|
|
|
(Dollars in Thousands)
|
|
December 31, 2017
|
||
|
New Swaps:
|
|
|
||
|
Aggregate notional amount
|
|
$
|
—
|
|
|
Weighted average fixed-pay rate
|
|
—
|
%
|
|
|
Initial maturity date
|
|
N/A
|
|
|
|
Number of new Swaps
|
|
—
|
|
|
|
Swaps amortized/expired:
|
|
|
||
|
Aggregate notional amount
|
|
$
|
350,000
|
|
|
Weighted average fixed-pay rate
|
|
0.58
|
%
|
|
|
|
|
December 31, 2017
|
|
December 31, 2016
|
||||||||||||||||
|
Maturity
(1)
|
|
Notional
Amount
|
|
Weighted
Average
Fixed-Pay
Interest Rate
|
|
Weighted
Average Variable
Interest Rate
(2)
|
|
Notional
Amount
|
|
Weighted
Average
Fixed-Pay
Interest Rate
|
|
Weighted
Average Variable
Interest Rate
(2)
|
||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Within 30 days
|
|
$
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
$
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
Over 30 days to 3 months
|
|
—
|
|
|
—
|
|
|
—
|
|
|
50,000
|
|
|
0.67
|
|
|
0.64
|
|
||
|
Over 3 months to 6 months
|
|
50,000
|
|
|
1.45
|
|
|
1.56
|
|
|
300,000
|
|
|
0.57
|
|
|
0.66
|
|
||
|
Over 6 months to 12 months
|
|
500,000
|
|
|
1.50
|
|
|
1.46
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
|
Over 12 months to 24 months
|
|
200,000
|
|
|
1.71
|
|
|
1.54
|
|
|
550,000
|
|
|
1.49
|
|
|
0.71
|
|
||
|
Over 24 months to 36 months
|
|
1,500,000
|
|
|
2.22
|
|
|
1.51
|
|
|
200,000
|
|
|
1.71
|
|
|
0.76
|
|
||
|
Over 36 months to 48 months
|
|
200,000
|
|
|
2.20
|
|
|
1.53
|
|
|
1,500,000
|
|
|
2.22
|
|
|
0.74
|
|
||
|
Over 48 months to 60 months
|
|
—
|
|
|
—
|
|
|
—
|
|
|
200,000
|
|
|
2.20
|
|
|
0.75
|
|
||
|
Over 60 months to 72 months
(3)
|
|
100,000
|
|
|
2.75
|
|
|
1.50
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
|
Over 72 months to 84 months
(3)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
100,000
|
|
|
2.75
|
|
|
0.74
|
|
||
|
Total Swaps
|
|
$
|
2,550,000
|
|
|
2.04
|
%
|
|
1.50
|
%
|
|
$
|
2,900,000
|
|
|
1.87
|
%
|
|
0.72
|
%
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(Dollars in Thousands)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
Interest expense attributable to Swaps
|
|
$
|
24,524
|
|
|
$
|
40,898
|
|
|
$
|
53,759
|
|
|
Weighted average Swap rate paid
|
|
1.98
|
%
|
|
1.82
|
%
|
|
1.86
|
%
|
|||
|
Weighted average Swap rate received
|
|
1.07
|
%
|
|
0.48
|
%
|
|
0.19
|
%
|
|||
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
AOCI from derivative hedging instruments:
|
|
|
|
|
|
|
|
|
|
|||
|
Balance at beginning of period
|
|
$
|
(46,721
|
)
|
|
$
|
(69,399
|
)
|
|
$
|
(59,062
|
)
|
|
Net gain/(loss) on Swaps
|
|
35,297
|
|
|
22,678
|
|
|
(10,337
|
)
|
|||
|
Balance at end of period
|
|
$
|
(11,424
|
)
|
|
$
|
(46,721
|
)
|
|
$
|
(69,399
|
)
|
|
(Dollars in Thousands)
|
|
December 31, 2017
|
|
December 31, 2016
|
||||
|
Repurchase agreement borrowings secured by Agency MBS
|
|
$
|
2,501,340
|
|
|
$
|
3,095,020
|
|
|
Fair value of Agency MBS pledged as collateral under repurchase agreements
|
|
$
|
2,705,754
|
|
|
$
|
3,280,689
|
|
|
Weighted average haircut on Agency MBS
(1)
|
|
4.65
|
%
|
|
4.67
|
%
|
||
|
Repurchase agreement borrowings secured by Legacy Non-Agency MBS
|
|
$
|
1,256,033
|
|
|
$
|
1,690,937
|
|
|
Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements
(2)
|
|
$
|
1,652,983
|
|
|
$
|
2,317,708
|
|
|
Weighted average haircut on Legacy Non-Agency MBS
(1)
|
|
21.87
|
%
|
|
24.01
|
%
|
||
|
Repurchase agreement borrowings secured by RPL/NPL MBS
|
|
$
|
567,140
|
|
|
$
|
1,943,572
|
|
|
Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements
|
|
$
|
726,540
|
|
|
$
|
2,433,711
|
|
|
Weighted average haircut on RPL/NPL MBS
(1)
|
|
22.05
|
%
|
|
20.98
|
%
|
||
|
Repurchase agreements secured by U.S. Treasuries
|
|
$
|
470,334
|
|
|
$
|
504,572
|
|
|
Fair value of U.S. Treasuries pledged as collateral under repurchase agreements
|
|
$
|
472,095
|
|
|
$
|
510,767
|
|
|
Weighted average haircut on U.S. Treasuries
(1)
|
|
1.47
|
%
|
|
1.60
|
%
|
||
|
Repurchase agreements secured by CRT securities
|
|
$
|
459,058
|
|
|
$
|
271,205
|
|
|
Fair value of CRT securities pledged as collateral under repurchase agreements
|
|
$
|
595,900
|
|
|
$
|
357,488
|
|
|
Weighted average haircut on CRT securities
(1)
|
|
22.16
|
%
|
|
23.22
|
%
|
||
|
Repurchase agreements secured by MSR related assets
|
|
$
|
317,255
|
|
|
$
|
135,112
|
|
|
Fair value of MSR related assets pledged as collateral under repurchase agreements
|
|
$
|
482,158
|
|
|
$
|
226,780
|
|
|
Weighted average haircut on MSR related assets
(1)
|
|
33.19
|
%
|
|
41.40
|
%
|
||
|
Repurchase agreements secured by residential whole loans
(3)
|
|
$
|
1,043,747
|
|
|
$
|
832,060
|
|
|
Fair value of residential whole loans pledged as collateral under repurchase agreements
|
|
$
|
1,474,704
|
|
|
$
|
1,175,088
|
|
|
Weighted average haircut on residential whole loans
(1)
|
|
26.10
|
%
|
|
25.03
|
%
|
||
|
|
|
December 31, 2017
|
|
December 31, 2016
|
||||||||||
|
Time Until Interest Rate Reset
|
|
Balance
|
|
Weighted
Average
Interest Rate
|
|
Balance
|
|
Weighted
Average
Interest Rate
|
||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
||||||
|
Within 30 days
|
|
$
|
6,161,008
|
|
|
2.39
|
%
|
|
$
|
7,284,062
|
|
|
1.77
|
%
|
|
Over 30 days to 3 months
|
|
453,899
|
|
|
2.76
|
|
|
1,188,416
|
|
|
1.91
|
|
||
|
Over 3 months to 12 months
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
|
Total repurchase agreements
|
|
$
|
6,614,907
|
|
|
2.42
|
%
|
|
$
|
8,472,478
|
|
|
1.79
|
%
|
|
Less debt issuance costs
|
|
206
|
|
|
|
|
210
|
|
|
|
||||
|
Total repurchase agreements less debt
issuance costs
|
|
$
|
6,614,701
|
|
|
|
|
$
|
8,472,268
|
|
|
|
||
|
|
|
December 31, 2017
|
||||||||||||||||||||||
|
Contractual Maturity
|
|
Overnight
|
|
Within 30 Days
|
|
Over 30 Days to 3 Months
|
|
Over 3 Months to 12 Months
|
|
Over 12 months
|
|
Total
|
||||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Agency MBS
|
|
$
|
—
|
|
|
$
|
2,501,340
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,501,340
|
|
|
Legacy Non-Agency MBS
|
|
—
|
|
|
797,265
|
|
|
359,730
|
|
|
99,038
|
|
|
—
|
|
|
1,256,033
|
|
||||||
|
RPL/NPL MBS
|
|
—
|
|
|
482,860
|
|
|
69,833
|
|
|
14,447
|
|
|
—
|
|
|
567,140
|
|
||||||
|
U.S. Treasuries
|
|
—
|
|
|
470,334
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
470,334
|
|
||||||
|
CRT securities
|
|
—
|
|
|
434,722
|
|
|
24,336
|
|
|
—
|
|
|
—
|
|
|
459,058
|
|
||||||
|
MSR relates assets
|
|
—
|
|
|
317,255
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
317,255
|
|
||||||
|
Residential whole loans
|
|
—
|
|
|
—
|
|
|
113,415
|
|
|
930,332
|
|
|
—
|
|
|
1,043,747
|
|
||||||
|
Total
(1)
|
|
$
|
—
|
|
|
$
|
5,003,776
|
|
|
$
|
567,314
|
|
|
$
|
1,043,817
|
|
|
$
|
—
|
|
|
$
|
6,614,907
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Weighted Average Interest Rate
|
|
—
|
%
|
|
2.09
|
%
|
|
2.95
|
%
|
|
3.69
|
%
|
|
—
|
%
|
|
2.42
|
%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Gross amount of recognized liabilities for repurchase agreements in Note 8
|
|
$
|
6,614,907
|
|
||||||||||||||||||||
|
Amounts related to repurchase agreements not included in offsetting disclosure in Note 8
|
|
$
|
—
|
|
||||||||||||||||||||
|
(1)
|
Excludes
$206,000
of unamortized debt issuance costs at
December 31, 2017
.
|
|
|
December 31, 2017
|
|||||||||
|
Counterparty
|
Counterparty
Rating
(1)
|
|
Amount at
Risk
(2)
|
|
Weighted
Average Months
to Maturity for
Repurchase
Agreements
|
|
Percent of
Stockholders’
Equity
|
|||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|||
|
Goldman Sachs
(3)
|
BBB+/A3/A
|
|
$
|
239,473
|
|
|
5
|
|
7.3
|
%
|
|
Wells Fargo
(4)
|
AA-/Aa2/AA-
|
|
189,015
|
|
|
5
|
|
5.8
|
|
|
|
RBC
(5)
|
AA-/A1/AA
|
|
186,652
|
|
|
1
|
|
5.7
|
|
|
|
Credit Suisse
(6)
|
BBB+/Aa2/A-
|
|
171,449
|
|
|
2
|
|
5.3
|
|
|
|
UBS
(7)
|
A+/A1/A+
|
|
167,390
|
|
|
5
|
|
5.1
|
|
|
|
(1)
|
As rated at
December 31, 2017
by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published for these entities.
|
|
(2)
|
The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities.
|
|
(3)
|
Includes
$186.4 million
at risk with Goldman Sachs Lending Partners and
$53.0 million
at risk with Goldman Sachs Bank USA.
|
|
(4)
|
Includes
$178.8 million
at risk with Wells Fargo Bank, NA and
$10.2 million
at risk with Wells Fargo Securities LLC.
|
|
(5)
|
Includes
$166.8 million
at risk with RBC Barbados,
$15.1 million
at risk with Royal of Canada and
$4.8 million
at risk with RBC Capital Markets LLC. Counterparty ratings are not published for RBC Barbados and RBS Capital Market LLC.
|
|
(6)
|
Includes
$139.5 million
at risk with Credit Suisse AG, Cayman Islands and
$31.9 million
at risk with Credit Suisse. Counterparty ratings are not published for Credit Suisse AG, Cayman Islands.
|
|
(7)
|
Includes Non-Agency MBS pledged as collateral with contemporaneous repurchase and reverse repurchase agreements.
|
|
|
|
December 31, 2017
|
|
December 31, 2016
|
||||||||||||
|
(In Thousands)
|
|
Assets Pledged
|
|
Collateral Held
|
|
Assets Pledged
|
|
Collateral Held
|
||||||||
|
Derivative Hedging Instruments:
|
|
|
|
|
|
|
|
|
||||||||
|
Agency MBS
|
|
$
|
21,756
|
|
|
$
|
—
|
|
|
$
|
32,468
|
|
|
$
|
—
|
|
|
Cash
(1)
|
|
6,405
|
|
|
—
|
|
|
53,849
|
|
|
—
|
|
||||
|
|
|
28,161
|
|
|
—
|
|
|
86,317
|
|
|
—
|
|
||||
|
Repurchase Agreement Borrowings:
|
|
|
|
|
|
|
|
|
||||||||
|
Agency MBS
|
|
2,705,754
|
|
|
—
|
|
|
3,280,689
|
|
|
—
|
|
||||
|
Legacy Non-Agency MBS
(2)(3)
|
|
1,652,983
|
|
|
—
|
|
|
2,317,708
|
|
|
—
|
|
||||
|
RPL/NPL MBS
|
|
726,540
|
|
|
—
|
|
|
2,433,711
|
|
|
—
|
|
||||
|
U.S. Treasury securities
|
|
472,095
|
|
|
—
|
|
|
510,767
|
|
|
—
|
|
||||
|
CRT securities
|
|
595,900
|
|
|
—
|
|
|
357,488
|
|
|
—
|
|
||||
|
MSR related assets
|
|
482,158
|
|
|
—
|
|
|
226,780
|
|
|
—
|
|
||||
|
Residential whole loans
|
|
1,474,704
|
|
|
—
|
|
|
1,175,088
|
|
|
—
|
|
||||
|
Cash
(1)
|
|
6,902
|
|
|
—
|
|
|
4,614
|
|
|
—
|
|
||||
|
|
|
8,117,036
|
|
|
—
|
|
|
10,306,845
|
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
FHLB Advances:
|
|
|
|
|
|
|
|
|
||||||||
|
Agency MBS
|
|
—
|
|
|
—
|
|
|
227,244
|
|
|
—
|
|
||||
|
|
|
—
|
|
|
—
|
|
|
227,244
|
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Reverse Repurchase Agreements:
|
|
|
|
|
|
|
|
|
||||||||
|
U.S. Treasury securities
|
|
—
|
|
|
504,062
|
|
|
—
|
|
|
510,767
|
|
||||
|
|
|
—
|
|
|
504,062
|
|
|
—
|
|
|
510,767
|
|
||||
|
Total
|
|
$
|
8,145,197
|
|
|
$
|
504,062
|
|
|
$
|
10,620,406
|
|
|
$
|
510,767
|
|
|
|
|
December 31, 2017
|
||||||||||||||||||||||||||
|
|
|
Assets Pledged Under Repurchase
Agreements
|
|
Assets Pledged Against Derivative
Hedging Instruments
|
|
Total Fair
Value of
Assets
Pledged and
Accrued
Interest
|
||||||||||||||||||||||
|
(In Thousands)
|
|
Fair Value
|
|
Amortized
Cost
|
|
Accrued
Interest on
Pledged Assets
|
|
Fair Value/
Carrying
Value
|
|
Amortized
Cost
|
|
Accrued
Interest on
Pledged
Assets
|
|
|||||||||||||||
|
Agency MBS
|
|
$
|
2,705,754
|
|
|
$
|
2,724,736
|
|
|
$
|
7,069
|
|
|
$
|
21,756
|
|
|
$
|
22,476
|
|
|
$
|
48
|
|
|
$
|
2,734,627
|
|
|
Legacy Non-Agency MBS
(1)
|
|
1,652,983
|
|
|
1,268,702
|
|
|
6,132
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,659,115
|
|
|||||||
|
RPL/NPL MBS
|
|
726,540
|
|
|
723,719
|
|
|
571
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
727,111
|
|
|||||||
|
U.S. Treasuries
|
|
472,095
|
|
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
472,095
|
|
|||||||
|
CRT securities
|
|
595,900
|
|
|
542,642
|
|
|
467
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
596,367
|
|
|||||||
|
MSR related assets
|
|
482,158
|
|
|
481,354
|
|
|
1,120
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
483,278
|
|
|||||||
|
Residential whole loans
(2)
|
|
1,474,704
|
|
|
1,444,915
|
|
|
4,168
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,478,872
|
|
|||||||
|
Cash
(3)
|
|
6,902
|
|
|
6,902
|
|
|
—
|
|
|
6,405
|
|
|
6,405
|
|
|
—
|
|
|
13,307
|
|
|||||||
|
Total
|
|
$
|
8,117,036
|
|
|
$
|
7,192,970
|
|
|
$
|
19,527
|
|
|
$
|
28,161
|
|
|
$
|
28,881
|
|
|
$
|
48
|
|
|
$
|
8,164,772
|
|
|
|
|
Gross Amounts of Recognized Assets
|
|
Gross Amounts Offset in the Consolidated Balance Sheets
|
|
Net Amounts of Assets Presented in the Consolidated Balance Sheets
|
|
Gross Amounts Not Offset in
the Consolidated Balance Sheets
|
|
Net Amount
|
||||||||||||||
|
(In Thousands)
|
Financial
Instruments
|
|
Cash
Collateral
Received
|
|||||||||||||||||||||
|
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Swaps, at fair value
|
|
$
|
679
|
|
|
$
|
—
|
|
|
$
|
679
|
|
|
$
|
(679
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Total
|
|
$
|
679
|
|
|
$
|
—
|
|
|
$
|
679
|
|
|
$
|
(679
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Swaps, at fair value
|
|
$
|
233
|
|
|
$
|
—
|
|
|
$
|
233
|
|
|
$
|
(233
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Total
|
|
$
|
233
|
|
|
$
|
—
|
|
|
$
|
233
|
|
|
$
|
(233
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
Gross Amounts of Recognized Liabilities
|
|
Gross Amounts Offset in the Consolidated Balance Sheets
|
|
Net Amounts of Liabilities Presented in the Consolidated Balance Sheets
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
Net Amount
|
||||||||||||||
|
(In Thousands)
|
Financial
Instruments
(1)
|
|
Cash
Collateral
Pledged
(1)
|
|||||||||||||||||||||
|
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Swaps, at fair value
(2)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Repurchase agreements and
other advances
(3)(4)
|
|
6,614,907
|
|
|
—
|
|
|
6,614,907
|
|
|
(6,608,005
|
)
|
|
(6,902
|
)
|
|
—
|
|
||||||
|
Total
|
|
$
|
6,614,907
|
|
|
$
|
—
|
|
|
$
|
6,614,907
|
|
|
$
|
(6,608,005
|
)
|
|
$
|
(6,902
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Swaps, at fair value
(2)
|
|
$
|
46,954
|
|
|
$
|
—
|
|
|
$
|
46,954
|
|
|
$
|
—
|
|
|
$
|
(46,954
|
)
|
|
$
|
—
|
|
|
Repurchase agreements and
other advances
(3)(4)
|
|
8,687,478
|
|
|
—
|
|
|
8,687,478
|
|
|
(8,682,864
|
)
|
|
(4,614
|
)
|
|
—
|
|
||||||
|
Total
|
|
$
|
8,734,432
|
|
|
$
|
—
|
|
|
$
|
8,734,432
|
|
|
$
|
(8,682,864
|
)
|
|
$
|
(51,568
|
)
|
|
$
|
—
|
|
|
(In Thousands)
|
|
December 31, 2017
|
|
December 31, 2016
|
||||
|
Securitized debt
(1)
|
|
$
|
363,944
|
|
|
$
|
—
|
|
|
Senior Notes
|
|
96,773
|
|
|
96,733
|
|
||
|
Dividends and dividend equivalents payable
|
|
79,771
|
|
|
74,657
|
|
||
|
Accrued interest payable
|
|
12,263
|
|
|
14,129
|
|
||
|
Swaps, at fair value
(2)
|
|
—
|
|
|
46,954
|
|
||
|
Accrued expenses and other liabilities
|
|
21,584
|
|
|
19,612
|
|
||
|
Total Other Liabilities
|
|
$
|
574,335
|
|
|
$
|
252,085
|
|
|
(1)
|
Securitized debt represents third-party liabilities of consolidated VIEs and excludes liabilities of the VIEs acquired by the Company that are eliminated in consolidation. The third-party beneficial interest holders in the VIEs have no recourse to the general credit of the Company. (See Notes
10
and
15
for further discussion.)
|
|
(2)
|
Beginning in January 2017, variation margin payments on the Company’s cleared Swaps are treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the Swap contract. The effect of this change is to reduce what would have otherwise been reported as fair value of the Swap.
|
|
Year Ended December 31,
|
|
Minimum Rental Payments
|
||
|
(In Thousands)
|
|
|
||
|
2018
|
|
$
|
2,553
|
|
|
2019
|
|
2,553
|
|
|
|
2020
|
|
1,082
|
|
|
|
2021
|
|
32
|
|
|
|
2022
|
|
—
|
|
|
|
Total
|
|
$
|
6,220
|
|
|
Year
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
|
2017
|
|
November 17, 2017
|
|
December 1, 2017
|
|
December 29, 2017
|
|
$0.46875
|
|
|
|
August 10, 2017
|
|
September 1, 2017
|
|
September 29, 2017
|
|
0.46875
|
|
|
|
May 16, 2017
|
|
June 2, 2017
|
|
June 30, 2017
|
|
0.46875
|
|
|
|
February 17, 2017
|
|
March 6, 2017
|
|
March 31, 2017
|
|
0.46875
|
|
|
|
|
|
|
|
|
|
|
|
2016
|
|
November 22, 2016
|
|
December 6, 2016
|
|
December 30, 2016
|
|
$0.46875
|
|
|
|
August 12, 2016
|
|
September 2, 2016
|
|
September 30, 2016
|
|
0.46875
|
|
|
|
May 18, 2016
|
|
June 3, 2016
|
|
June 30, 2016
|
|
0.46875
|
|
|
|
February 12, 2016
|
|
February 29, 2016
|
|
March 31, 2016
|
|
0.46875
|
|
|
|
|
|
|
|
|
|
|
|
2015
|
|
November 19, 2015
|
|
December 3, 2015
|
|
December 31, 2015
|
|
$0.46875
|
|
|
|
August 24, 2015
|
|
September 9, 2015
|
|
September 30, 2015
|
|
0.46875
|
|
|
|
May 18, 2015
|
|
June 2, 2015
|
|
June 30, 2015
|
|
0.46875
|
|
|
|
February 13, 2015
|
|
February 27, 2015
|
|
March 31, 2015
|
|
0.46875
|
|
Year
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
|
|
2017
|
|
December 13, 2017
|
|
December 28, 2017
|
|
January 31, 2018
|
|
$0.20
|
(1)
|
|
|
|
September 14, 2017
|
|
September 28, 2017
|
|
October 31, 2017
|
|
0.20
|
|
|
|
|
June 12, 2017
|
|
June 29, 2017
|
|
July 28, 2017
|
|
0.20
|
|
|
|
|
March 8, 2017
|
|
March 29, 2017
|
|
April 28, 2017
|
|
0.20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2016
|
|
December 14, 2016
|
|
December 28, 2016
|
|
January 31, 2017
|
|
$0.20
|
|
|
|
|
September 15, 2016
|
|
September 28, 2016
|
|
October 31, 2016
|
|
0.20
|
|
|
|
|
June 14, 2016
|
|
June 28, 2016
|
|
July 29, 2016
|
|
0.20
|
|
|
|
|
March 11, 2016
|
|
March 28, 2016
|
|
April 29, 2016
|
|
0.20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2015
|
|
December 9, 2015
|
|
December 28, 2015
|
|
January 29, 2016
|
|
$0.20
|
|
|
|
|
September 17, 2015
|
|
September 29, 2015
|
|
October 30, 2015
|
|
0.20
|
|
|
|
|
June 15, 2015
|
|
June 29, 2015
|
|
July 31, 2015
|
|
0.20
|
|
|
|
|
March 13, 2015
|
|
March 27, 2015
|
|
April 30, 2015
|
|
0.20
|
|
|
Share Issue Date
|
|
Shares Issued
|
|
Gross Proceeds Per Share
|
|
Gross Proceeds
(1)
|
|
|||||
|
(In Thousands, Except Per Share Amounts)
|
|
|
|
|
|
|
|
|||||
|
May 10, 2017
|
|
23,000
|
|
|
$
|
7.85
|
|
|
$
|
180,550
|
|
(1)
|
|
|
|
For the Year Ended December 31,
|
||||||||||||||||||||||||||||||||||
|
|
|
2017
|
|
2016
|
|
2015
|
||||||||||||||||||||||||||||||
|
(In Thousands)
|
|
Net Unrealized
Gain/(Loss) on
AFS Securities
|
|
Net
Unrealized
Gain/(Loss)
on Swaps
|
|
Total
AOCI
|
|
Net
Unrealized
Gain/(Loss) on
AFS Securities
|
|
Net
Unrealized Gain/(Loss) on Swaps |
|
Total
AOCI
|
|
Net
Unrealized Gain/(Loss) on AFS Securities |
|
Net
Unrealized Gain/(Loss) on Swaps |
|
Total
AOCI
|
||||||||||||||||||
|
Balance at beginning of period
|
|
$
|
620,403
|
|
|
$
|
(46,721
|
)
|
|
$
|
573,682
|
|
|
$
|
585,250
|
|
|
$
|
(69,399
|
)
|
|
$
|
515,851
|
|
|
$
|
813,515
|
|
|
$
|
(59,062
|
)
|
|
$
|
754,453
|
|
|
OCI before reclassifications
|
|
39,984
|
|
|
35,297
|
|
|
75,281
|
|
|
72,560
|
|
|
22,678
|
|
|
95,238
|
|
|
(194,890
|
)
|
|
(10,337
|
)
|
|
(205,227
|
)
|
|||||||||
|
Amounts reclassified from
AOCI
(1)
|
|
(39,739
|
)
|
|
—
|
|
|
(39,739
|
)
|
|
(37,407
|
)
|
|
—
|
|
|
(37,407
|
)
|
|
(37,912
|
)
|
|
—
|
|
|
(37,912
|
)
|
|||||||||
|
Cumulative effect adjustment on adoption of revised accounting standard for repurchase agreement financing
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,537
|
|
|
—
|
|
|
4,537
|
|
|||||||||
|
Net OCI during period
(2)
|
|
245
|
|
|
35,297
|
|
|
35,542
|
|
|
35,153
|
|
|
22,678
|
|
|
57,831
|
|
|
(228,265
|
)
|
|
(10,337
|
)
|
|
(238,602
|
)
|
|||||||||
|
Balance at end of period
|
|
$
|
620,648
|
|
|
$
|
(11,424
|
)
|
|
$
|
609,224
|
|
|
$
|
620,403
|
|
|
$
|
(46,721
|
)
|
|
$
|
573,682
|
|
|
$
|
585,250
|
|
|
$
|
(69,399
|
)
|
|
$
|
515,851
|
|
|
|
|
For the Year Ended December 31,
|
|
|
||||||||||
|
|
|
2017
|
|
2016
|
|
2015
|
|
|
||||||
|
Details about AOCI Components
|
|
Amounts Reclassified from AOCI
|
|
Affected Line Item in the Statement
Where Net Income is Presented |
||||||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
||||||
|
AFS Securities:
|
|
|
|
|
|
|
|
|
||||||
|
Realized gain on sale of securities
|
|
$
|
(38,707
|
)
|
|
$
|
(36,922
|
)
|
|
$
|
(37,207
|
)
|
|
Net gain on sales of MBS and U.S. Treasury securities
|
|
OTTI recognized in earnings
|
|
(1,032
|
)
|
|
(485
|
)
|
|
(705
|
)
|
|
Net impairment losses recognized in earnings
|
|||
|
Total AFS Securities
|
|
$
|
(39,739
|
)
|
|
$
|
(37,407
|
)
|
|
$
|
(37,912
|
)
|
|
|
|
Total reclassifications for period
|
|
$
|
(39,739
|
)
|
|
$
|
(37,407
|
)
|
|
$
|
(37,912
|
)
|
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands, Except Per Share Amounts)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
Numerator:
|
|
|
|
|
|
|
|
|
|
|||
|
Net income
|
|
$
|
322,393
|
|
|
$
|
312,668
|
|
|
$
|
313,226
|
|
|
Dividends declared on preferred stock
|
|
(15,000
|
)
|
|
(15,000
|
)
|
|
(15,000
|
)
|
|||
|
Dividends, dividend equivalents and undistributed earnings allocated to participating securities
|
|
(1,708
|
)
|
|
(1,628
|
)
|
|
(1,539
|
)
|
|||
|
Net income available to common stockholders - basic and diluted
|
|
$
|
305,685
|
|
|
$
|
296,040
|
|
|
$
|
296,687
|
|
|
|
|
|
|
|
|
|
||||||
|
Denominator:
|
|
|
|
|
|
|
||||||
|
Weighted average common shares for basic and diluted earnings per share
(1)
|
|
388,357
|
|
|
371,122
|
|
|
372,114
|
|
|||
|
Basic and diluted earnings per share
|
|
$
|
0.79
|
|
|
$
|
0.80
|
|
|
$
|
0.80
|
|
|
|
For the Year Ended December 31, 2017
|
|||||||||||||||||||
|
|
RSUs With
Service
Condition
|
|
Weighted
Average
Grant Date
Fair Value
|
|
RSUs With
Market and
Service
Conditions
|
|
Weighted
Average
Grant Date
Fair Value
|
|
Total
RSUs
|
|
Total
Weighted
Average
Grant Date
Fair Value
|
|||||||||
|
Outstanding at beginning of year:
|
1,194,299
|
|
|
$
|
7.38
|
|
|
863,800
|
|
|
$
|
5.45
|
|
|
2,058,099
|
|
|
$
|
6.57
|
|
|
Granted
(1)
|
447,695
|
|
|
7.96
|
|
|
451,250
|
|
|
6.48
|
|
|
898,945
|
|
|
7.22
|
|
|||
|
Settled
|
(616,966
|
)
|
|
7.32
|
|
|
(293,800
|
)
|
|
5.83
|
|
|
(910,766
|
)
|
|
6.84
|
|
|||
|
Cancelled/forfeited
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Outstanding at end of year
|
1,025,028
|
|
|
$
|
7.67
|
|
|
1,021,250
|
|
|
$
|
5.80
|
|
|
2,046,278
|
|
|
$
|
6.73
|
|
|
RSUs vested but not settled at end of year
|
586,419
|
|
|
$
|
7.98
|
|
|
275,000
|
|
|
$
|
5.73
|
|
|
861,419
|
|
|
$
|
7.26
|
|
|
RSUs unvested at end of year
|
438,609
|
|
|
$
|
7.25
|
|
|
746,250
|
|
|
$
|
5.82
|
|
|
1,184,859
|
|
|
$
|
6.35
|
|
|
|
For the Year Ended December 31, 2016
|
|||||||||||||||||||
|
|
RSUs With
Service
Condition
|
|
Weighted
Average
Grant Date
Fair Value
|
|
RSUs With
Market and
Service
Conditions
|
|
Weighted
Average
Grant Date
Fair Value
|
|
Total
RSUs
|
|
Total
Weighted Average Grant Date Fair Value |
|||||||||
|
Outstanding at beginning of year:
|
1,138,930
|
|
|
$
|
7.71
|
|
|
736,800
|
|
|
$
|
5.66
|
|
|
1,875,730
|
|
|
$
|
6.90
|
|
|
Granted
(2)
|
420,695
|
|
|
6.81
|
|
|
307,500
|
|
|
4.81
|
|
|
728,195
|
|
|
5.96
|
|
|||
|
Settled
|
(360,326
|
)
|
|
7.75
|
|
|
(175,500
|
)
|
|
5.21
|
|
|
(535,826
|
)
|
|
6.92
|
|
|||
|
Cancelled/forfeited
|
(5,000
|
)
|
|
7.32
|
|
|
(5,000
|
)
|
|
5.27
|
|
|
(10,000
|
)
|
|
6.29
|
|
|||
|
Outstanding at end of year
|
1,194,299
|
|
|
$
|
7.38
|
|
|
863,800
|
|
|
$
|
5.45
|
|
|
2,058,099
|
|
|
$
|
6.57
|
|
|
RSUs vested but not settled at end of year
|
617,518
|
|
|
$
|
7.45
|
|
|
293,800
|
|
|
$
|
5.83
|
|
|
911,318
|
|
|
$
|
6.93
|
|
|
RSUs unvested at end of year
|
576,781
|
|
|
$
|
7.30
|
|
|
570,000
|
|
|
$
|
5.25
|
|
|
1,146,781
|
|
|
$
|
6.28
|
|
|
|
For the Year Ended December 31, 2015
|
|||||||||||||||||||
|
|
RSUs With
Service
Condition
|
|
Weighted
Average
Grant Date
Fair Value
|
|
RSUs With
Market and
Service
Conditions
|
|
Weighted
Average
Grant Date
Fair Value
|
|
Total
RSUs
|
|
Total
Weighted Average Grant Date Fair Value |
|||||||||
|
Outstanding at beginning of year:
|
769,174
|
|
|
$
|
7.55
|
|
|
449,300
|
|
|
$
|
5.61
|
|
|
1,218,474
|
|
|
$
|
6.84
|
|
|
Granted
(3)
|
390,804
|
|
|
7.96
|
|
|
291,250
|
|
|
5.73
|
|
|
682,054
|
|
|
7.01
|
|
|||
|
Settled
|
(17,298
|
)
|
|
6.60
|
|
|
—
|
|
|
—
|
|
|
(17,298
|
)
|
|
6.60
|
|
|||
|
Cancelled/forfeited
|
(3,750
|
)
|
|
7.97
|
|
|
(3,750
|
)
|
|
5.73
|
|
|
(7,500
|
)
|
|
6.85
|
|
|||
|
Outstanding at end of year
|
1,138,930
|
|
|
$
|
7.71
|
|
|
736,800
|
|
|
$
|
5.66
|
|
|
1,875,730
|
|
|
$
|
6.90
|
|
|
RSUs vested but not settled at end of year
|
554,023
|
|
|
$
|
7.83
|
|
|
175,500
|
|
|
$
|
5.21
|
|
|
729,523
|
|
|
$
|
7.20
|
|
|
RSUs unvested at end of year
|
584,907
|
|
|
$
|
7.59
|
|
|
561,300
|
|
|
$
|
5.80
|
|
|
1,146,207
|
|
|
$
|
6.71
|
|
|
|
For the Year Ended December 31,
|
|||||||||||||||||||
|
|
2017
|
|
2016
|
|
2015
|
|||||||||||||||
|
|
Shares of
Restricted
Stock
|
|
Weighted
Average
Grant Date
Fair Value
(1)
|
|
Shares of
Restricted
Stock
|
|
Weighted
Average
Grant Date
Fair Value
(1)
|
|
Shares of
Restricted
Stock
|
|
Weighted
Average
Grant Date
Fair Value
(1)
|
|||||||||
|
Outstanding at beginning of year:
|
28,968
|
|
|
$
|
7.12
|
|
|
110,920
|
|
|
$
|
7.41
|
|
|
243,948
|
|
|
$
|
7.48
|
|
|
Granted
|
214,859
|
|
|
8.06
|
|
|
487,216
|
|
|
7.66
|
|
|
497,007
|
|
|
6.83
|
|
|||
|
Vested
(2)
|
(243,827
|
)
|
|
7.95
|
|
|
(567,851
|
)
|
|
7.64
|
|
|
(629,212
|
)
|
|
6.98
|
|
|||
|
Cancelled/forfeited
|
—
|
|
|
—
|
|
|
(1,317
|
)
|
|
7.12
|
|
|
(823
|
)
|
|
7.74
|
|
|||
|
Outstanding at end of year
|
—
|
|
|
$
|
—
|
|
|
28,968
|
|
|
$
|
7.12
|
|
|
110,920
|
|
|
$
|
7.41
|
|
|
|
|
For the Year Ended December 31,
|
||||
|
|
|
2016
|
|
2015
|
||
|
|
|
Number of Dividend Equivalent Rights
|
||||
|
Outstanding at beginning of year:
|
|
8,215
|
|
|
24,402
|
|
|
Granted
|
|
—
|
|
|
—
|
|
|
Cancelled, forfeited or expired
|
|
(8,215
|
)
|
|
(16,187
|
)
|
|
Outstanding at end of year
|
|
—
|
|
|
8,215
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
RSUs
(1)
|
|
$
|
6,098
|
|
|
$
|
4,792
|
|
|
$
|
3,377
|
|
|
Restricted shares of common stock
|
|
1,935
|
|
|
4,326
|
|
|
4,373
|
|
|||
|
Dividend equivalent rights
|
|
—
|
|
|
44
|
|
|
82
|
|
|||
|
Total
|
|
$
|
8,033
|
|
|
$
|
9,162
|
|
|
$
|
7,832
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
|
2015
|
||||||
|
Non-employee directors
|
|
$
|
171
|
|
|
$
|
231
|
|
|
$
|
(59
|
)
|
|
Total
|
|
$
|
171
|
|
|
$
|
231
|
|
|
$
|
(59
|
)
|
|
|
|
December 31, 2017
|
|
December 31, 2016
|
||||||||||||
|
(In Thousands)
|
|
Undistributed
Income
Deferred
(1)
|
|
Liability Under
Deferred Plans
|
|
Undistributed
Income
Deferred
(1)
|
|
Liability Under
Deferred Plans
|
||||||||
|
Non-employee directors
|
|
$
|
1,688
|
|
|
$
|
2,056
|
|
|
$
|
1,066
|
|
|
$
|
1,263
|
|
|
Total
|
|
$
|
1,688
|
|
|
$
|
2,056
|
|
|
$
|
1,066
|
|
|
$
|
1,263
|
|
|
(In Thousands)
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
||||||||
|
Agency MBS
|
|
$
|
—
|
|
|
$
|
2,824,681
|
|
|
$
|
—
|
|
|
$
|
2,824,681
|
|
|
Non-Agency MBS
|
|
—
|
|
|
3,533,966
|
|
|
—
|
|
|
3,533,966
|
|
||||
|
CRT securities
|
|
—
|
|
|
664,403
|
|
|
—
|
|
|
664,403
|
|
||||
|
Term notes backed by MSR related collateral
|
|
—
|
|
|
—
|
|
|
381,804
|
|
|
381,804
|
|
||||
|
Residential whole loans, at fair value
|
|
—
|
|
|
—
|
|
|
1,325,115
|
|
|
1,325,115
|
|
||||
|
Securities obtained and pledged as collateral
|
|
504,062
|
|
|
—
|
|
|
—
|
|
|
504,062
|
|
||||
|
Swaps
|
|
—
|
|
|
679
|
|
|
—
|
|
|
679
|
|
||||
|
Total assets carried at fair value
|
|
$
|
504,062
|
|
|
$
|
7,023,729
|
|
|
$
|
1,706,919
|
|
|
$
|
9,234,710
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Swaps
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Obligation to return securities obtained as collateral
|
|
504,062
|
|
|
—
|
|
|
—
|
|
|
504,062
|
|
||||
|
Total liabilities carried at fair value
|
|
$
|
504,062
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
504,062
|
|
|
(In Thousands)
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Agency MBS
|
|
$
|
—
|
|
|
$
|
3,738,497
|
|
|
$
|
—
|
|
|
$
|
3,738,497
|
|
|
Non-Agency MBS, including MBS transferred to consolidated VIEs
|
|
—
|
|
|
5,684,836
|
|
|
—
|
|
|
5,684,836
|
|
||||
|
CRT securities
|
|
—
|
|
|
404,850
|
|
|
—
|
|
|
404,850
|
|
||||
|
Term notes backed by MSR related collateral
|
|
—
|
|
|
140,980
|
|
|
—
|
|
|
140,980
|
|
||||
|
Residential whole loans, at fair value
|
|
—
|
|
|
—
|
|
|
814,682
|
|
|
814,682
|
|
||||
|
Securities obtained and pledged as collateral
|
|
510,767
|
|
|
—
|
|
|
—
|
|
|
510,767
|
|
||||
|
Swaps
|
|
—
|
|
|
233
|
|
|
—
|
|
|
233
|
|
||||
|
Total assets carried at fair value
|
|
$
|
510,767
|
|
|
$
|
9,969,396
|
|
|
$
|
814,682
|
|
|
$
|
11,294,845
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
|
Swaps
|
|
$
|
—
|
|
|
$
|
46,954
|
|
|
$
|
—
|
|
|
$
|
46,954
|
|
|
Obligation to return securities obtained as collateral
|
|
510,767
|
|
|
—
|
|
|
—
|
|
|
510,767
|
|
||||
|
Total liabilities carried at fair value
|
|
$
|
510,767
|
|
|
$
|
46,954
|
|
|
$
|
—
|
|
|
$
|
557,721
|
|
|
|
|
Residential Whole Loans, at Fair Value
|
||||||
|
|
|
For the Year Ended December 31,
|
||||||
|
(In Thousands)
|
|
2017
|
|
2016
|
||||
|
Balance at beginning of period
|
|
$
|
814,682
|
|
|
$
|
623,276
|
|
|
Purchases and capitalized advances
|
|
683,735
|
|
|
316,407
|
|
||
|
Changes in fair value recorded in Net gain on residential whole
loans held at fair value
|
|
33,617
|
|
|
31,254
|
|
||
|
Collection of principal, net of liquidation gains/losses
|
|
(87,072
|
)
|
|
(66,694
|
)
|
||
|
Repurchases
|
|
(2,716
|
)
|
|
(2,909
|
)
|
||
|
Transfers to REO
|
|
(117,131
|
)
|
|
(86,652
|
)
|
||
|
Balance at end of period
|
|
$
|
1,325,115
|
|
|
$
|
814,682
|
|
|
|
|
Term Notes Backed by MSR Related Collateral
|
||||||
|
|
|
Year Ended December 31,
|
||||||
|
(In Thousands)
|
|
2017
(1)
|
|
2016
|
||||
|
Balance at beginning of period
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Purchases
|
|
381,000
|
|
|
—
|
|
||
|
Collection of principal
|
|
(140,980
|
)
|
|
—
|
|
||
|
Changes in unrealized gain/losses
|
|
804
|
|
|
—
|
|
||
|
Transfers from Level 2 to Level 3
(1)
|
|
140,980
|
|
|
—
|
|
||
|
Balance at end of period
|
|
$
|
381,804
|
|
|
—
|
|
|
|
|
|
December 31, 2017
|
|
|
||||||||||
|
(Dollars in Thousands)
|
|
Fair Value
(1)
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Weighted Average
(2)
|
|
Range
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Residential whole loans, at fair value
|
|
$
|
358,871
|
|
|
Discounted cash flow
|
|
Discount rate
|
|
5.5
|
%
|
|
4.5-13.0%
|
|
|
|
|
|
|
|
|
Prepayment rate
|
|
4.1
|
%
|
|
1.15-15.1%
|
|||
|
|
|
|
|
|
|
Default rate
|
|
2.9
|
%
|
|
0.0-6.5%
|
|||
|
|
|
|
|
|
|
Loss severity
|
|
13.8
|
%
|
|
0.0-100.0%
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
$
|
592,940
|
|
|
Liquidation model
|
|
Discount rate
|
|
8.0
|
%
|
|
6.1-50.0%
|
|
|
|
|
|
|
|
|
Annual change in home prices
|
|
2.5
|
%
|
|
(8.0)-8.8%
|
|||
|
|
|
|
|
|
|
Liquidation timeline (in years)
|
|
1.6
|
|
|
0.1-4.5
|
|||
|
|
|
|
|
|
|
Current value of underlying properties
(3)
|
|
$
|
772
|
|
|
$0-$9,900
|
||
|
Total
|
|
$
|
951,811
|
|
|
|
|
|
|
|
|
|
||
|
|
|
December 31, 2016
|
||||||||||||
|
(Dollars in Thousands)
|
|
Fair Value
(1)
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Weighted Average
(2)
|
|
Range
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Residential whole loans, at fair value
|
|
$
|
253,287
|
|
|
Discounted cash flow
|
|
Discount rate
|
|
6.6
|
%
|
|
5.0-7.7%
|
|
|
|
|
|
|
|
|
Prepayment rate
|
|
7.6
|
%
|
|
0.0-12.0%
|
|||
|
|
|
|
|
|
|
Default rate
|
|
2.9
|
%
|
|
0.0-9.7%
|
|||
|
|
|
|
|
|
|
Loss severity
|
|
13.0
|
%
|
|
0.0-77.5%
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
$
|
516,014
|
|
|
Liquidation model
|
|
Discount rate
|
|
7.7
|
%
|
|
6.8-26.9%
|
|
|
|
|
|
|
|
|
Annual change in home prices
|
|
1.7
|
%
|
|
(9.2)-7.7%
|
|||
|
|
|
|
|
|
|
Liquidation timeline (in years)
|
|
1.6
|
|
|
0.1-4.4
|
|||
|
|
|
|
|
|
|
Current value of underlying properties
(3)
|
|
$
|
634
|
|
|
$5-$4,900
|
||
|
Total
|
|
$
|
769,301
|
|
|
|
|
|
|
|
|
|
||
|
(1)
|
Excludes approximately
$373.3 million
and
$45.4 million
of loans for which management considers the purchase price continues to reflect the fair value of such loans at
December 31, 2017
and
2016
, respectively.
|
|
(2)
|
Amounts are weighted based on the fair value of the underlying loan.
|
|
(3)
|
The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately
$336,000
and
$320,000
as of
December 31, 2017
and
2016
, respectively.
|
|
Residential Whole Loans
|
|
December 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||||
|
(In Thousands)
|
|
Fair Value
|
|
Unpaid Principal Balance
|
|
Difference
|
|
Fair Value
|
|
Unpaid Principal Balance
|
|
Difference
|
||||||||||||
|
Residential whole loans, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Total loans
|
|
$
|
1,325,115
|
|
|
$
|
1,562,373
|
|
|
$
|
(237,258
|
)
|
|
$
|
814,682
|
|
|
$
|
966,174
|
|
|
$
|
(151,492
|
)
|
|
Loans 90 days or more past due
|
|
$
|
840,572
|
|
|
$
|
1,027,818
|
|
|
$
|
(187,246
|
)
|
|
$
|
570,025
|
|
|
$
|
695,282
|
|
|
$
|
(125,257
|
)
|
|
|
|
December 31, 2017
|
|
December 31, 2016
|
||||||||||||
|
(In Thousands)
|
|
Carrying
Value
|
|
Estimated
Fair Value
|
|
Carrying
Value
|
|
Estimated
Fair Value
|
||||||||
|
Financial Assets:
|
|
|
|
|
|
|
|
|
||||||||
|
Agency MBS
|
|
$
|
2,824,681
|
|
|
$
|
2,824,681
|
|
|
$
|
3,738,497
|
|
|
$
|
3,738,497
|
|
|
Non-Agency MBS, including MBS transferred to consolidated VIEs
|
|
3,533,966
|
|
|
3,533,966
|
|
|
5,684,836
|
|
|
5,684,836
|
|
||||
|
CRT securities
|
|
664,403
|
|
|
664,403
|
|
|
404,850
|
|
|
404,850
|
|
||||
|
MSR related assets
|
|
492,080
|
|
|
493,026
|
|
|
226,780
|
|
|
226,780
|
|
||||
|
Residential whole loans, at carrying value
|
|
908,516
|
|
|
988,688
|
|
|
590,540
|
|
|
621,548
|
|
||||
|
Residential whole loans, at fair value
|
|
1,325,115
|
|
|
1,325,115
|
|
|
814,682
|
|
|
814,682
|
|
||||
|
Securities obtained and pledged as collateral
|
|
504,062
|
|
|
504,062
|
|
|
510,767
|
|
|
510,767
|
|
||||
|
Cash and cash equivalents
|
|
449,757
|
|
|
449,757
|
|
|
260,112
|
|
|
260,112
|
|
||||
|
Restricted cash
|
|
13,307
|
|
|
13,307
|
|
|
58,463
|
|
|
58,463
|
|
||||
|
Swaps
|
|
679
|
|
|
679
|
|
|
233
|
|
|
233
|
|
||||
|
Financial Liabilities (1):
|
|
|
|
|
|
|
|
|
||||||||
|
Repurchase agreements
|
|
6,614,701
|
|
|
6,623,255
|
|
|
8,472,268
|
|
|
8,472,078
|
|
||||
|
FHLB advances
|
|
—
|
|
|
—
|
|
|
215,000
|
|
|
215,000
|
|
||||
|
Obligation to return securities obtained as collateral
|
|
504,062
|
|
|
504,062
|
|
|
510,767
|
|
|
510,767
|
|
||||
|
Securitized debt
|
|
363,944
|
|
|
366,109
|
|
|
—
|
|
|
—
|
|
||||
|
Senior Notes
|
|
96,773
|
|
|
103,729
|
|
|
96,733
|
|
|
101,111
|
|
||||
|
Swaps
|
|
—
|
|
|
—
|
|
|
46,954
|
|
|
46,954
|
|
||||
|
(Dollars in Thousands)
|
|
December 2017
|
|
June 2017
|
||||
|
Name of Trust (Consolidated as a VIE)
|
|
MFA 2017-NPL1, LLC
|
|
MFA 2017-RPL 1
|
||||
|
Aggregate unpaid principal balance of residential whole loans sold
|
|
$
|
401,076
|
|
|
$
|
219,848
|
|
|
Face amount of Senior Bonds issued by the VIE and purchased by third-party investors
|
|
$
|
235,000
|
|
|
$
|
147,847
|
|
|
Outstanding amount of Senior Bonds at December 31, 2017
|
|
$
|
233,683
|
|
|
$
|
132,602
|
|
|
Weighted average fixed rate for Senior Bonds issued
|
|
3.35
|
%
|
(1)
|
2.753
|
%
|
||
|
Face amount of Senior Support Certificates received by the Company
(2)
|
|
$
|
55,000
|
|
|
$
|
72,001
|
|
|
Cash received
|
|
$
|
235,000
|
|
|
$
|
147,845
|
|
|
(1)
|
The Senior Bond sold in connection with this securitization transaction contains a contractual coupon step-up feature whereby the coupon increases by
300
basis points at
36 months
from issuance if the bond is not redeemed before such date.
|
|
(2)
|
Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions.
|
|
•
|
Whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and
|
|
•
|
Whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE.
|
|
|
|
2017 Quarter Ended
|
||||||||||||||
|
(In Thousands, Except per Share Amounts)
|
|
March 31
|
|
June 30
|
|
September 30
|
|
December 31
|
||||||||
|
Interest income
|
|
$
|
117,257
|
|
|
$
|
110,157
|
|
|
$
|
105,133
|
|
|
$
|
100,901
|
|
|
Interest expense
|
|
(50,349
|
)
|
|
(49,022
|
)
|
|
(49,275
|
)
|
|
(48,495
|
)
|
||||
|
Net interest income
|
|
66,908
|
|
|
61,135
|
|
|
55,858
|
|
|
52,406
|
|
||||
|
Net impairment losses recognized in earnings
|
|
(414
|
)
|
|
(618
|
)
|
|
—
|
|
|
—
|
|
||||
|
Net gain on residential whole loans held at fair value
|
|
13,773
|
|
|
16,208
|
|
|
18,679
|
|
|
41,359
|
|
||||
|
Net gain on sales of MBS and U.S. Treasury securities
|
|
9,708
|
|
|
5,889
|
|
|
14,933
|
|
|
9,047
|
|
||||
|
Other income
|
|
4,512
|
|
|
14,847
|
|
|
(4,515
|
)
|
|
14,579
|
|
||||
|
Operating and other expense
|
|
(16,427
|
)
|
|
(17,526
|
)
|
|
(21,150
|
)
|
|
(16,798
|
)
|
||||
|
Net income
|
|
78,060
|
|
|
79,935
|
|
|
63,805
|
|
|
100,593
|
|
||||
|
Preferred stock dividends
|
|
(3,750
|
)
|
|
(3,750
|
)
|
|
(3,750
|
)
|
|
(3,750
|
)
|
||||
|
Net income available to common stock and participating securities
|
|
$
|
74,310
|
|
|
$
|
76,185
|
|
|
$
|
60,055
|
|
|
$
|
96,843
|
|
|
Earnings per Common Share - Basic and Diluted
|
|
$
|
0.20
|
|
|
$
|
0.20
|
|
|
$
|
0.15
|
|
|
$
|
0.24
|
|
|
|
|
2016 Quarter Ended
|
||||||||||||||
|
(In Thousands, Except per Share Amounts)
|
|
March 31
|
|
June 30
|
|
September 30
|
|
December 31
|
||||||||
|
Interest income
|
|
$
|
117,418
|
|
|
$
|
114,507
|
|
|
$
|
112,716
|
|
|
$
|
112,809
|
|
|
Interest expense
|
|
(47,600
|
)
|
|
(47,720
|
)
|
|
(48,167
|
)
|
|
(49,868
|
)
|
||||
|
Net interest income
|
|
69,818
|
|
|
66,787
|
|
|
64,549
|
|
|
62,941
|
|
||||
|
Net impairment losses recognized in earnings
|
|
—
|
|
|
—
|
|
|
(485
|
)
|
|
—
|
|
||||
|
Net gain on residential whole loans held at fair value
|
|
12,348
|
|
|
15,742
|
|
|
19,639
|
|
|
$
|
14,876
|
|
|||
|
Net gain on sales of MBS and U.S. Treasury securities
|
|
9,745
|
|
|
9,241
|
|
|
7,083
|
|
|
9,768
|
|
||||
|
Other income
|
|
618
|
|
|
2,047
|
|
|
7,179
|
|
|
$
|
756
|
|
|||
|
Operating and other expense
|
|
(14,459
|
)
|
|
(14,867
|
)
|
|
(14,954
|
)
|
|
(15,704
|
)
|
||||
|
Net income
|
|
78,070
|
|
|
78,950
|
|
|
83,011
|
|
|
72,637
|
|
||||
|
Preferred stock dividends
|
|
(3,750
|
)
|
|
(3,750
|
)
|
|
(3,750
|
)
|
|
(3,750
|
)
|
||||
|
Net income available to common stock and participating securities
|
|
$
|
74,320
|
|
|
$
|
75,200
|
|
|
$
|
79,261
|
|
|
$
|
68,887
|
|
|
Earnings per Common Share - Basic and Diluted
|
|
$
|
0.20
|
|
|
$
|
0.20
|
|
|
$
|
0.21
|
|
|
$
|
0.18
|
|
|
Asset Type
|
|
Number
|
|
Interest
Rate
|
|
Maturity
Date Range
|
|
Balance Sheet Reported Amount
|
|
Principal Amount of Loans Subject to Delinquent Principal or Interest
|
|||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Residential Whole Loans, at Carrying Value
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Original loan balance $0 - $149,999
|
|
1,779
|
|
|
0.00% - 13.08%
|
|
9/15/2015-11/1/2057
|
|
$
|
124,818
|
|
|
$
|
17,107
|
|
|
Original loan balance $150,000 - $299,999
|
|
1,669
|
|
|
1.00% - 11.00%
|
|
5/1/2016-11/1/2064
|
|
269,846
|
|
|
33,693
|
|
||
|
Original loan balance $300,000 - $449,999
|
|
876
|
|
|
2.00% - 10.00%
|
|
3/1/2018-5/1/2062
|
|
255,520
|
|
|
26,974
|
|
||
|
Original loan balance greater than $449,999
|
|
468
|
|
|
1.88% - 9.50%
|
|
9/1/2018-12/1/2057
|
|
258,332
|
|
|
20,300
|
|
||
|
|
|
4,792
|
|
|
|
|
|
|
$
|
908,516
|
|
|
$
|
98,074
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Residential Whole Loans, at Fair Value
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Original loan balance $0 - $149,999
|
|
2,349
|
|
|
0.00% - 14.99%
|
|
7/2/2007-11/1/2057
|
|
$
|
169,575
|
|
|
$
|
118,572
|
|
|
Original loan balance $150,000 - $299,999
|
|
2,154
|
|
|
0.00% - 12.38%
|
|
7/1/2008-10/25/2057
|
|
346,425
|
|
|
262,686
|
|
||
|
Original loan balance $300,000 - $449,999
|
|
1,273
|
|
|
1.50% - 11.00%
|
|
7/1/2013-12/1/2057
|
|
373,112
|
|
|
271,908
|
|
||
|
Original loan balance greater than $449,999
|
|
738
|
|
|
1.00% - 10.88%
|
|
9/1/2013-11/1/2057
|
|
436,003
|
|
|
374,652
|
|
||
|
|
|
6,514
|
|
|
|
|
|
|
$
|
1,325,115
|
|
|
$
|
1,027,818
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
|
|
11,306
|
|
|
|
|
|
|
$
|
2,233,631
|
|
|
$
|
1,125,892
|
|
|
|
|
For the Year Ended December 31, 2017
|
||||||
|
(In Thousands)
|
|
Residential Whole Loans, at Carrying Value
|
|
Residential Whole Loans, at Fair Value
|
||||
|
Beginning Balance
|
|
$
|
590,540
|
|
|
$
|
814,682
|
|
|
Additions during period:
|
|
|
|
|
||||
|
Purchases and capitalized advances
|
|
385,093
|
|
|
683,735
|
|
||
|
Discount accretion
|
|
5,477
|
|
|
N/A
|
|
||
|
Deductions during period:
|
|
|
|
|
||||
|
Cash collections for principal and liquidations
|
|
(63,521
|
)
|
|
(87,072
|
)
|
||
|
Changes in fair value recorded in Net gain on residential whole loans held at fair value
|
|
N/A
|
|
|
33,617
|
|
||
|
Provision for loan loss
|
|
660
|
|
|
N/A
|
|
||
|
Repurchases
|
|
—
|
|
|
(2,716
|
)
|
||
|
Transfer to REO
|
|
(9,733
|
)
|
|
(117,131
|
)
|
||
|
Ending Balance
|
|
$
|
908,516
|
|
|
$
|
1,325,115
|
|
|
|
MFA Financial, Inc.
|
||
|
|
|
|
|
|
Date: February 15, 2018
|
By
|
/s/
|
Stephen D. Yarad
|
|
|
|
Stephen D. Yarad
|
|
|
|
|
Chief Financial Officer
|
|
|
Date: February 15, 2018
|
By
|
/s/
|
Craig L. Knutson
|
|
|
|
Craig L. Knutson
|
|
|
|
|
President, Chief Executive Officer and Director
|
|
|
|
|
(Principal Executive Officer)
|
|
|
|
|
|
|
|
Date: February 15, 2018
|
By
|
/s/
|
Stephen D. Yarad
|
|
|
|
Stephen D. Yarad
|
|
|
|
|
Chief Financial Officer
|
|
|
|
|
(Principal Financial Officer)
|
|
|
|
|
|
|
|
Date: February 15, 2018
|
By
|
/s/
|
Kathleen A. Hanrahan
|
|
|
|
Kathleen A. Hanrahan
|
|
|
|
|
Senior Vice President and
|
|
|
|
|
Chief Accounting Officer
|
|
|
|
|
(Principal Accounting Officer)
|
|
|
|
|
|
|
|
Date: February 15, 2018
|
By
|
/s/
|
George H. Krauss
|
|
|
|
George H. Krauss
|
|
|
|
|
Chairman and Director
|
|
|
|
|
|
|
|
Date: February 15, 2018
|
By
|
/s/
|
Stephen R. Blank
|
|
|
|
Stephen R. Blank
|
|
|
|
|
Director
|
|
|
|
|
|
|
|
Date: February 15, 2018
|
By
|
/s/
|
James A. Brodsky
|
|
|
|
James A. Brodsky
|
|
|
|
|
Director
|
|
|
|
|
|
|
|
Date: February 15, 2018
|
By
|
/s/
|
Richard J. Byrne
|
|
|
|
Richard J. Byrne
|
|
|
|
|
Director
|
|
|
|
|
|
|
|
Date: February 15, 2018
|
By
|
/s/
|
Laurie Goodman
|
|
|
|
Laurie Goodman
|
|
|
|
|
Director
|
|
|
|
|
|
|
|
Date: February 15, 2018
|
By
|
/s/
|
Alan L. Gosule
|
|
|
|
Alan L. Gosule
|
|
|
|
|
Director
|
|
|
|
|
|
|
|
Date: February 15, 2018
|
By
|
/s/
|
Robin Josephs
|
|
|
|
Robin Josephs
|
|
|
|
|
Director
|
|
|
|
|
|
|
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 |
|---|