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Maryland
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27-0312904
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(State or Other Jurisdiction of
Incorporation or Organization)
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(I.R.S. Employer
Identification No.)
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590 Madison Avenue, 36th Floor
New York, New York
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10022
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(Address of Principal Executive Offices)
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(Zip Code)
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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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Page
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PART I - FINANCIAL INFORMATION
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PART II - OTHER INFORMATION
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March 31,
2015 |
|
December 31,
2014 |
||||
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ASSETS
|
(unaudited)
|
|
|
||||
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Available-for-sale securities, at fair value
|
$
|
14,342,845
|
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$
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14,341,102
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Trading securities, at fair value
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2,010,000
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1,997,656
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Residential mortgage loans held-for-sale, at fair value
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568,582
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535,712
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Residential mortgage loans held-for-investment in securitization trusts, at fair value
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2,170,206
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1,744,746
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||
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Commercial real estate loans held-for-investment
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45,556
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|
|
—
|
|
||
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Mortgage servicing rights, at fair value
|
410,229
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|
452,006
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Cash and cash equivalents
|
1,020,338
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1,005,792
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Restricted cash
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441,158
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336,771
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Accrued interest receivable
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62,516
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65,529
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Due from counterparties
|
30,723
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35,625
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Derivative assets, at fair value
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362,646
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380,791
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||
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Other assets
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213,256
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|
|
188,579
|
|
||
|
Total Assets
(1)
|
$
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21,678,055
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$
|
21,084,309
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|
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LIABILITIES AND STOCKHOLDERS’ EQUITY
|
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||||
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Liabilities
|
|
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||||
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Repurchase agreements
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$
|
13,094,878
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$
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12,932,463
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Collateralized borrowings in securitization trusts, at fair value
|
1,400,571
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1,209,663
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|
||
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Federal Home Loan Bank advances
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2,625,000
|
|
|
2,500,000
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|
||
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Derivative liabilities, at fair value
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155,149
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|
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90,233
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|
||
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Due to counterparties
|
186,352
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|
|
124,206
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|
||
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Dividends payable
|
95,307
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|
|
95,263
|
|
||
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Other liabilities
|
59,303
|
|
|
64,439
|
|
||
|
Total liabilities
(1)
|
17,616,560
|
|
|
17,016,267
|
|
||
|
Stockholders’ Equity
|
|
|
|
||||
|
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized; no shares issued and outstanding
|
—
|
|
|
—
|
|
||
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Common stock, par value $0.01 per share; 900,000,000 shares authorized and 366,566,133 and 366,395,920 shares issued and outstanding, respectively
|
3,666
|
|
|
3,664
|
|
||
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Additional paid-in capital
|
3,813,914
|
|
|
3,811,027
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|
||
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Accumulated other comprehensive income
|
849,858
|
|
|
855,789
|
|
||
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Cumulative earnings
|
1,287,338
|
|
|
1,195,536
|
|
||
|
Cumulative distributions to stockholders
|
(1,893,281
|
)
|
|
(1,797,974
|
)
|
||
|
Total stockholders’ equity
|
4,061,495
|
|
|
4,068,042
|
|
||
|
Total Liabilities and Stockholders’ Equity
|
$
|
21,678,055
|
|
|
$
|
21,084,309
|
|
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(1)
|
The condensed consolidated balance sheets include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations of these VIEs, and liabilities of the consolidated VIEs for which creditors do not have recourse to Two Harbors Investment Corp. At
March 31, 2015
and
December 31, 2014
, assets of the VIEs totaled
$2,227,499
and
$1,754,943
, and liabilities of the VIEs totaled
$1,411,375
and
$1,219,821
, respectively. See
Note 3
-
Variable Interest Entities
for additional information.
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Three Months Ended
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||||||
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March 31,
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||||||
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2015
|
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2014
|
||||
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(unaudited)
|
||||||
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Interest income:
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|
||||
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Available-for-sale securities
|
$
|
135,525
|
|
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$
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123,913
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Trading securities
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4,695
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|
|
1,926
|
|
||
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Residential mortgage loans held-for-sale
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4,271
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4,586
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Residential mortgage loans held-for-investment in securitization trusts
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18,237
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7,893
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Commercial real estate loans held-for-investment
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44
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—
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Cash and cash equivalents
|
197
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217
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||
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Total interest income
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162,969
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138,535
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||
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Interest expense:
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Repurchase agreements
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20,565
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20,572
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Collateralized borrowings in securitization trusts
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10,708
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5,353
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Federal Home Loan Bank advances
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2,230
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153
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|
||
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Total interest expense
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33,503
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26,078
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||
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Net interest income
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129,466
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|
112,457
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|
||
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Other-than-temporary impairments:
|
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|
|
||||
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Total other-than-temporary impairment losses
|
(127
|
)
|
|
(212
|
)
|
||
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Non-credit portion of loss recognized in other comprehensive (loss) income
|
—
|
|
|
—
|
|
||
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Net other-than-temporary credit impairment losses
|
(127
|
)
|
|
(212
|
)
|
||
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Other income:
|
|
|
|
||||
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Gain (loss) on investment securities
|
129,457
|
|
|
(38,655
|
)
|
||
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Loss on interest rate swap and swaption agreements
|
(126,443
|
)
|
|
(105,528
|
)
|
||
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Gain on other derivative instruments
|
2,967
|
|
|
5,801
|
|
||
|
Gain (loss) on residential mortgage loans held-for-sale
|
9,092
|
|
|
(3,181
|
)
|
||
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Servicing income
|
32,087
|
|
|
30,441
|
|
||
|
Loss on servicing asset
|
(52,403
|
)
|
|
(32,760
|
)
|
||
|
Other (loss) income
|
(1,857
|
)
|
|
460
|
|
||
|
Total other loss
|
(7,100
|
)
|
|
(143,422
|
)
|
||
|
Expenses:
|
|
|
|
||||
|
Management fees
|
12,721
|
|
|
12,111
|
|
||
|
Securitization deal costs
|
2,611
|
|
|
—
|
|
||
|
Servicing expenses
|
6,716
|
|
|
5,225
|
|
||
|
Other operating expenses
|
16,055
|
|
|
14,534
|
|
||
|
Total expenses
|
38,103
|
|
|
31,870
|
|
||
|
Income (loss) before income taxes
|
84,136
|
|
|
(63,047
|
)
|
||
|
Benefit from income taxes
|
(10,657
|
)
|
|
(33,902
|
)
|
||
|
Net income (loss)
|
$
|
94,793
|
|
|
$
|
(29,145
|
)
|
|
Basic and diluted earnings (loss) per weighted average common share
|
$
|
0.26
|
|
|
$
|
(0.08
|
)
|
|
Dividends declared per common share
|
$
|
0.26
|
|
|
$
|
0.26
|
|
|
Basic and diluted weighted average number of shares of common stock outstanding
|
366,507,657
|
|
|
365,611,890
|
|
||
|
|
Three Months Ended
|
||||||
|
|
March 31,
|
||||||
|
|
2015
|
|
2014
|
||||
|
|
(unaudited)
|
||||||
|
Comprehensive income:
|
|
|
|
||||
|
Net income (loss)
|
$
|
94,793
|
|
|
$
|
(29,145
|
)
|
|
Other comprehensive (loss) income:
|
|
|
|
||||
|
Unrealized (loss) gain on available-for-sale securities, net
|
(5,931
|
)
|
|
181,735
|
|
||
|
Other comprehensive (loss) income
|
(5,931
|
)
|
|
181,735
|
|
||
|
Comprehensive income
|
$
|
88,862
|
|
|
$
|
152,590
|
|
|
|
Common Stock
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
|
Shares
|
|
Amount
|
|
Additional Paid-in Capital
|
|
Accumulated Other Comprehensive Income
|
|
Cumulative Earnings
|
|
Cumulative Distributions to Stockholders
|
|
Total Stockholders’ Equity
|
|||||||||||||
|
|
|
|
|
|
|
|
(unaudited)
|
|
|
|
|
|
|
|||||||||||||
|
Balance, December 31, 2013
|
364,935,168
|
|
|
$
|
3,649
|
|
|
$
|
3,795,372
|
|
|
$
|
444,735
|
|
|
$
|
1,028,397
|
|
|
$
|
(1,417,158
|
)
|
|
$
|
3,854,995
|
|
|
Net loss
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(29,145
|
)
|
|
—
|
|
|
(29,145
|
)
|
||||||
|
Other comprehensive income before reclassifications
|
—
|
|
|
—
|
|
|
—
|
|
|
138,343
|
|
|
—
|
|
|
—
|
|
|
138,343
|
|
||||||
|
Amounts reclassified from accumulated other comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
43,392
|
|
|
—
|
|
|
—
|
|
|
43,392
|
|
||||||
|
Net other comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
181,735
|
|
|
—
|
|
|
—
|
|
|
181,735
|
|
||||||
|
Issuance of common stock, net of offering costs
|
10,780
|
|
|
—
|
|
|
110
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
110
|
|
||||||
|
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(95,172
|
)
|
|
(95,172
|
)
|
||||||
|
Non-cash equity award compensation
|
1,100,097
|
|
|
11
|
|
|
6,470
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6,481
|
|
||||||
|
Balance, March 31, 2014
|
366,046,045
|
|
|
$
|
3,660
|
|
|
$
|
3,801,952
|
|
|
$
|
626,470
|
|
|
$
|
999,252
|
|
|
$
|
(1,512,330
|
)
|
|
$
|
3,919,004
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Balance, December 31, 2014
|
366,395,920
|
|
|
$
|
3,664
|
|
|
$
|
3,811,027
|
|
|
$
|
855,789
|
|
|
$
|
1,195,536
|
|
|
$
|
(1,797,974
|
)
|
|
$
|
4,068,042
|
|
|
Cumulative effect of adoption of new accounting principle
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,991
|
)
|
|
—
|
|
|
(2,991
|
)
|
||||||
|
Adjusted balance, January 1, 2015
|
366,395,920
|
|
|
3,664
|
|
|
3,811,027
|
|
|
855,789
|
|
|
1,192,545
|
|
|
(1,797,974
|
)
|
|
4,065,051
|
|
||||||
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
94,793
|
|
|
—
|
|
|
94,793
|
|
||||||
|
Other comprehensive income before reclassifications
|
—
|
|
|
—
|
|
|
—
|
|
|
93,877
|
|
|
—
|
|
|
—
|
|
|
93,877
|
|
||||||
|
Amounts reclassified from accumulated other comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
(99,808
|
)
|
|
—
|
|
|
—
|
|
|
(99,808
|
)
|
||||||
|
Net other comprehensive loss
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,931
|
)
|
|
—
|
|
|
—
|
|
|
(5,931
|
)
|
||||||
|
Issuance of common stock, net of offering costs
|
19,412
|
|
|
—
|
|
|
200
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
200
|
|
||||||
|
Common dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(95,307
|
)
|
|
(95,307
|
)
|
||||||
|
Non-cash equity award compensation
|
150,801
|
|
|
2
|
|
|
2,687
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,689
|
|
||||||
|
Balance, March 31, 2015
|
366,566,133
|
|
|
$
|
3,666
|
|
|
$
|
3,813,914
|
|
|
$
|
849,858
|
|
|
$
|
1,287,338
|
|
|
$
|
(1,893,281
|
)
|
|
$
|
4,061,495
|
|
|
|
Three Months Ended
|
||||||
|
|
March 31,
|
||||||
|
|
2015
|
|
2014
|
||||
|
Cash Flows From Operating Activities:
|
(unaudited)
|
||||||
|
Net income (loss)
|
$
|
94,793
|
|
|
$
|
(29,145
|
)
|
|
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities:
|
|
|
|
||||
|
Amortization of premiums and discounts on investment securities, net
|
7,554
|
|
|
(26
|
)
|
||
|
Other-than-temporary impairment losses
|
127
|
|
|
212
|
|
||
|
Realized and unrealized (gains) losses on investment securities, net
|
(129,457
|
)
|
|
38,655
|
|
||
|
(Gain) loss on residential mortgage loans held-for-sale
|
(9,092
|
)
|
|
3,181
|
|
||
|
Loss (gain) on residential mortgage loans held-for-investment and collateralized borrowings in securitization trusts
|
2,919
|
|
|
(313
|
)
|
||
|
Loss on servicing asset
|
52,403
|
|
|
32,760
|
|
||
|
(Gain) loss on termination and option expiration of interest rate swaps and swaptions
|
(11,775
|
)
|
|
1,240
|
|
||
|
Unrealized loss on interest rate swaps and swaptions
|
110,693
|
|
|
90,452
|
|
||
|
Unrealized (gain) loss on other derivative instruments
|
(4,425
|
)
|
|
1,162
|
|
||
|
Equity based compensation
|
2,689
|
|
|
6,481
|
|
||
|
Depreciation of fixed assets
|
319
|
|
|
207
|
|
||
|
Amortization of intangible assets
|
—
|
|
|
400
|
|
||
|
Purchases of residential mortgage loans held-for-sale
|
(662,064
|
)
|
|
(28,867
|
)
|
||
|
Proceeds from sales of residential mortgage loans held-for-sale
|
23,831
|
|
|
402,298
|
|
||
|
Proceeds from repayment of residential mortgage loans held-for-sale
|
24,947
|
|
|
7,334
|
|
||
|
Net change in assets and liabilities:
|
|
|
|
|
|||
|
Decrease in accrued interest receivable
|
3,013
|
|
|
3,579
|
|
||
|
Increase in deferred income taxes, net
|
(11,537
|
)
|
|
(41,799
|
)
|
||
|
Increase in income taxes receivable
|
(293
|
)
|
|
(321
|
)
|
||
|
Decrease/(increase) in prepaid and fixed assets
|
25
|
|
|
(400
|
)
|
||
|
Decrease/(increase) in other receivables
|
396
|
|
|
(10,516
|
)
|
||
|
Increase in servicing advances
|
(3,347
|
)
|
|
(5,416
|
)
|
||
|
Decrease in accrued interest payable
|
(5,353
|
)
|
|
(4,208
|
)
|
||
|
(Decrease)/increase in income taxes payable
|
(1,342
|
)
|
|
7,084
|
|
||
|
Increase in accrued expenses and other liabilities
|
1,560
|
|
|
3,795
|
|
||
|
Net cash (used in) provided by operating activities
|
$
|
(513,416
|
)
|
|
$
|
477,829
|
|
|
|
Three Months Ended
|
||||||
|
|
March 31,
|
||||||
|
|
2015
|
|
2014
|
||||
|
Cash Flows From Investing Activities:
|
(unaudited)
|
||||||
|
Purchases of available-for-sale securities
|
$
|
(1,084,742
|
)
|
|
$
|
(1,274,784
|
)
|
|
Proceeds from sales of available-for-sale securities
|
900,107
|
|
|
814,872
|
|
||
|
Principal payments on available-for-sale securities
|
286,393
|
|
|
224,982
|
|
||
|
Short sales and purchases of other derivative instruments
|
(34,834
|
)
|
|
(12,902
|
)
|
||
|
Proceeds from sales of other derivative instruments, net
|
23,428
|
|
|
26,416
|
|
||
|
Purchases of trading securities
|
—
|
|
|
(98,219
|
)
|
||
|
Proceeds from sales of trading securities
|
—
|
|
|
98,582
|
|
||
|
Proceeds from repayment of residential mortgage loans held-for-investment in securitization trusts
|
160,853
|
|
|
13,280
|
|
||
|
Purchases of commercial real estate loans held-for-investment
|
(45,556
|
)
|
|
—
|
|
||
|
Purchases of mortgage servicing rights, net of purchase price adjustments
|
(10,399
|
)
|
|
4,979
|
|
||
|
Purchases of Federal Home Loan Bank stock
|
(10,240
|
)
|
|
(18,579
|
)
|
||
|
Purchases of equity investments
|
—
|
|
|
(3,000
|
)
|
||
|
Increase/(decrease) in due to counterparties, net
|
67,048
|
|
|
(172,830
|
)
|
||
|
(Increase)/decrease in restricted cash
|
(104,387
|
)
|
|
181,445
|
|
||
|
Net cash provided by (used in) investing activities
|
147,671
|
|
|
(215,758
|
)
|
||
|
Cash Flows From Financing Activities:
|
|
|
|
||||
|
Proceeds from repurchase agreements
|
14,782,724
|
|
|
70,826,091
|
|
||
|
Principal payments on repurchase agreements
|
(14,620,309
|
)
|
|
(71,055,364
|
)
|
||
|
Proceeds from issuance of collateralized borrowings in securitization trusts
|
310,173
|
|
|
33,483
|
|
||
|
Principal payments on collateralized borrowings in securitization trusts
|
(122,232
|
)
|
|
(15,923
|
)
|
||
|
Proceeds from Federal Home Loan Bank advances
|
125,000
|
|
|
464,476
|
|
||
|
Proceeds from issuance of common stock, net of offering costs
|
200
|
|
|
110
|
|
||
|
Dividends paid on common stock
|
(95,263
|
)
|
|
—
|
|
||
|
Net cash provided by financing activities
|
380,293
|
|
|
252,873
|
|
||
|
Net increase in cash and cash equivalents
|
14,546
|
|
|
514,944
|
|
||
|
Cash and cash equivalents at beginning of period
|
1,005,792
|
|
|
1,025,487
|
|
||
|
Cash and cash equivalents at end of period
|
$
|
1,020,338
|
|
|
$
|
1,540,431
|
|
|
|
Three Months Ended
|
||||||
|
|
March 31,
|
||||||
|
|
2015
|
|
2014
|
||||
|
Supplemental Disclosure of Cash Flow Information:
|
(unaudited)
|
||||||
|
Cash paid for interest
|
$
|
28,623
|
|
|
$
|
30,286
|
|
|
Cash paid for taxes
|
$
|
2,511
|
|
|
$
|
1,134
|
|
|
Noncash Investing and Financing Activities:
|
|
|
|
||||
|
Transfers of residential mortgage loans held-for-sale to residential mortgage loans held-for-investment in securitization trusts
|
$
|
589,255
|
|
|
$
|
—
|
|
|
Additions to mortgage servicing rights due to sale of residential mortgage loans held-for-sale
|
$
|
227
|
|
|
$
|
—
|
|
|
Cumulative effect of adoption of new accounting principle
|
$
|
(2,991
|
)
|
|
$
|
—
|
|
|
Cash dividends declared but not paid at end of period
|
$
|
95,307
|
|
|
$
|
95,172
|
|
|
Reconciliation of residential mortgage loans held-for-sale:
|
|
|
|
||||
|
Residential mortgage loans held-for-sale at beginning of period
|
$
|
535,712
|
|
|
$
|
544,581
|
|
|
Purchases of residential mortgage loans held-for-sale
|
662,064
|
|
|
28,867
|
|
||
|
Transfers to residential mortgage loans held-for-investment in securitization trusts
|
(589,255
|
)
|
|
—
|
|
||
|
Proceeds from sales of residential mortgage loans held-for-sale
|
(23,831
|
)
|
|
(402,298
|
)
|
||
|
Proceeds from repayment of residential mortgage loans held-for-sale
|
(24,947
|
)
|
|
(7,334
|
)
|
||
|
Realized and unrealized gains (losses) on residential mortgage loans held-for-sale
|
8,839
|
|
|
(2,795
|
)
|
||
|
Residential mortgage loans held-for-sale at end of period
|
$
|
568,582
|
|
|
$
|
161,021
|
|
|
|
March 31, 2015
|
||||||||||||||||||||||
|
|
|
|
|
|
|
|
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets
(1)
|
|
|
||||||||||||||
|
(in thousands)
|
Gross Amounts of Recognized Assets (Liabilities)
|
|
Gross Amounts Offset in the Condensed Consolidated Balance Sheets
|
|
Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
Net Amount
|
||||||||||||
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Derivative assets
|
$
|
455,084
|
|
|
$
|
(92,438
|
)
|
|
$
|
362,646
|
|
|
$
|
(155,149
|
)
|
|
$
|
—
|
|
|
$
|
207,497
|
|
|
Total Assets
|
$
|
455,084
|
|
|
$
|
(92,438
|
)
|
|
$
|
362,646
|
|
|
$
|
(155,149
|
)
|
|
$
|
—
|
|
|
$
|
207,497
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Repurchase agreements
|
$
|
(13,094,878
|
)
|
|
$
|
—
|
|
|
$
|
(13,094,878
|
)
|
|
$
|
13,094,878
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Derivative liabilities
|
(247,587
|
)
|
|
92,438
|
|
|
(155,149
|
)
|
|
155,149
|
|
|
—
|
|
|
—
|
|
||||||
|
Total Liabilities
|
$
|
(13,342,465
|
)
|
|
$
|
92,438
|
|
|
$
|
(13,250,027
|
)
|
|
$
|
13,250,027
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
December 31, 2014
|
||||||||||||||||||||||
|
|
|
|
|
|
|
|
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets
(1)
|
|
|
||||||||||||||
|
(in thousands)
|
Gross Amounts of Recognized Assets (Liabilities)
|
|
Gross Amounts Offset in the Condensed Consolidated Balance Sheets
|
|
Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
Net Amount
|
||||||||||||
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Derivative assets
|
$
|
443,490
|
|
|
$
|
(62,699
|
)
|
|
$
|
380,791
|
|
|
$
|
(90,233
|
)
|
|
$
|
—
|
|
|
$
|
290,558
|
|
|
Total Assets
|
$
|
443,490
|
|
|
$
|
(62,699
|
)
|
|
$
|
380,791
|
|
|
$
|
(90,233
|
)
|
|
$
|
—
|
|
|
$
|
290,558
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Repurchase agreements
|
$
|
(12,932,463
|
)
|
|
$
|
—
|
|
|
$
|
(12,932,463
|
)
|
|
$
|
12,932,463
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Derivative liabilities
|
(152,932
|
)
|
|
62,699
|
|
|
(90,233
|
)
|
|
90,233
|
|
|
—
|
|
|
—
|
|
||||||
|
Total Liabilities
|
$
|
(13,085,395
|
)
|
|
$
|
62,699
|
|
|
$
|
(13,022,696
|
)
|
|
$
|
13,022,696
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
(1)
|
Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets.
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Residential mortgage loans held-for-investment in securitization trusts
|
$
|
2,170,206
|
|
|
$
|
1,744,746
|
|
|
Commercial real estate loans held-for-investment
|
45,556
|
|
|
—
|
|
||
|
Accrued interest receivable
|
11,737
|
|
|
10,197
|
|
||
|
Total Assets
|
$
|
2,227,499
|
|
|
$
|
1,754,943
|
|
|
Collateralized borrowings in securitization trusts
|
$
|
1,400,571
|
|
|
$
|
1,209,663
|
|
|
Accrued interest payable
|
4,152
|
|
|
3,678
|
|
||
|
Other liabilities
|
6,652
|
|
|
6,480
|
|
||
|
Total Liabilities
|
$
|
1,411,375
|
|
|
$
|
1,219,821
|
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Mortgage-backed securities:
|
|
|
|
||||
|
Agency
|
|
|
|
||||
|
Federal Home Loan Mortgage Corporation
|
$
|
2,641,286
|
|
|
$
|
2,418,546
|
|
|
Federal National Mortgage Association
|
6,802,084
|
|
|
6,768,875
|
|
||
|
Government National Mortgage Association
|
2,083,548
|
|
|
2,104,896
|
|
||
|
Non-Agency
|
2,815,927
|
|
|
3,048,785
|
|
||
|
Total mortgage-backed securities
|
$
|
14,342,845
|
|
|
$
|
14,341,102
|
|
|
|
March 31, 2015
|
||||||||||
|
(in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||
|
Face Value
|
$
|
13,492,873
|
|
|
$
|
3,858,345
|
|
|
$
|
17,351,218
|
|
|
Unamortized premium
|
701,133
|
|
|
—
|
|
|
701,133
|
|
|||
|
Unamortized discount
|
|
|
|
|
|
||||||
|
Designated credit reserve
|
—
|
|
|
(747,384
|
)
|
|
(747,384
|
)
|
|||
|
Net, unamortized
|
(2,939,997
|
)
|
|
(871,983
|
)
|
|
(3,811,980
|
)
|
|||
|
Amortized Cost
|
11,254,009
|
|
|
2,238,978
|
|
|
13,492,987
|
|
|||
|
Gross unrealized gains
|
299,826
|
|
|
578,482
|
|
|
878,308
|
|
|||
|
Gross unrealized losses
|
(26,917
|
)
|
|
(1,533
|
)
|
|
(28,450
|
)
|
|||
|
Carrying Value
|
$
|
11,526,918
|
|
|
$
|
2,815,927
|
|
|
$
|
14,342,845
|
|
|
|
December 31, 2014
|
||||||||||
|
(in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||
|
Face Value
|
$
|
13,421,555
|
|
|
$
|
4,291,872
|
|
|
$
|
17,713,427
|
|
|
Unamortized premium
|
676,641
|
|
|
—
|
|
|
676,641
|
|
|||
|
Unamortized discount
|
|
|
|
|
|
||||||
|
Designated credit reserve
|
—
|
|
|
(927,605
|
)
|
|
(927,605
|
)
|
|||
|
Net, unamortized
|
(3,009,782
|
)
|
|
(967,368
|
)
|
|
(3,977,150
|
)
|
|||
|
Amortized Cost
|
11,088,414
|
|
|
2,396,899
|
|
|
13,485,313
|
|
|||
|
Gross unrealized gains
|
238,291
|
|
|
653,529
|
|
|
891,820
|
|
|||
|
Gross unrealized losses
|
(34,388
|
)
|
|
(1,643
|
)
|
|
(36,031
|
)
|
|||
|
Carrying Value
|
$
|
11,292,317
|
|
|
$
|
3,048,785
|
|
|
$
|
14,341,102
|
|
|
|
March 31, 2015
|
||||||||||
|
(in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||
|
Adjustable Rate
|
$
|
124,939
|
|
|
$
|
2,340,052
|
|
|
$
|
2,464,991
|
|
|
Fixed Rate
|
11,401,979
|
|
|
475,875
|
|
|
11,877,854
|
|
|||
|
Total
|
$
|
11,526,918
|
|
|
$
|
2,815,927
|
|
|
$
|
14,342,845
|
|
|
|
December 31, 2014
|
||||||||||
|
(in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||
|
Adjustable Rate
|
$
|
128,285
|
|
|
$
|
2,558,832
|
|
|
$
|
2,687,117
|
|
|
Fixed Rate
|
11,164,032
|
|
|
489,953
|
|
|
11,653,985
|
|
|||
|
Total
|
$
|
11,292,317
|
|
|
$
|
3,048,785
|
|
|
$
|
14,341,102
|
|
|
|
Three Months Ended March 31,
|
||||||||||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||||||||||
|
(in thousands)
|
Designated Credit Reserve
|
|
Unamortized Net Discount
|
|
Total
|
|
Designated Credit Reserve
|
|
Unamortized Net Discount
|
|
Total
|
||||||||||||
|
Beginning balance at January 1
|
$
|
(927,605
|
)
|
|
$
|
(967,368
|
)
|
|
$
|
(1,894,973
|
)
|
|
$
|
(1,234,449
|
)
|
|
$
|
(1,071,559
|
)
|
|
$
|
(2,306,008
|
)
|
|
Acquisitions
|
1,183
|
|
|
(935
|
)
|
|
248
|
|
|
(16,678
|
)
|
|
(18,254
|
)
|
|
(34,932
|
)
|
||||||
|
Accretion of net discount
|
—
|
|
|
27,465
|
|
|
27,465
|
|
|
—
|
|
|
31,831
|
|
|
31,831
|
|
||||||
|
Realized credit losses
|
3,727
|
|
|
—
|
|
|
3,727
|
|
|
3,868
|
|
|
—
|
|
|
3,868
|
|
||||||
|
Reclassification adjustment for other-than-temporary impairments
|
1,789
|
|
|
—
|
|
|
1,789
|
|
|
(212
|
)
|
|
—
|
|
|
(212
|
)
|
||||||
|
Transfers from (to)
|
41,092
|
|
|
(41,092
|
)
|
|
—
|
|
|
22,639
|
|
|
(22,639
|
)
|
|
—
|
|
||||||
|
Sales, calls, other
|
132,430
|
|
|
109,947
|
|
|
242,377
|
|
|
28,034
|
|
|
16,819
|
|
|
44,853
|
|
||||||
|
Ending balance at March 31
|
$
|
(747,384
|
)
|
|
$
|
(871,983
|
)
|
|
$
|
(1,619,367
|
)
|
|
$
|
(1,196,798
|
)
|
|
$
|
(1,063,802
|
)
|
|
$
|
(2,260,600
|
)
|
|
|
Unrealized Loss Position for
|
||||||||||||||||||||||
|
|
Less than 12 Months
|
|
12 Months or More
|
|
Total
|
||||||||||||||||||
|
(in thousands)
|
Estimated Fair Value
|
|
Gross Unrealized Losses
|
|
Estimated Fair Value
|
|
Gross Unrealized Losses
|
|
Estimated Fair Value
|
|
Gross Unrealized Losses
|
||||||||||||
|
March 31, 2015
|
$
|
1,075,418
|
|
|
$
|
(6,006
|
)
|
|
$
|
1,276,019
|
|
|
$
|
(22,444
|
)
|
|
$
|
2,351,437
|
|
|
$
|
(28,450
|
)
|
|
December 31, 2014
|
$
|
413,102
|
|
|
$
|
(3,146
|
)
|
|
$
|
1,323,688
|
|
|
$
|
(32,885
|
)
|
|
$
|
1,736,790
|
|
|
$
|
(36,031
|
)
|
|
|
Three Months Ended
|
||||||
|
|
March 31,
|
||||||
|
(in thousands)
|
2015
|
|
2014
|
||||
|
Cumulative credit loss at beginning of period
|
$
|
(8,241
|
)
|
|
$
|
(9,467
|
)
|
|
Additions:
|
|
|
|
||||
|
Other-than-temporary impairments not previously recognized
|
—
|
|
|
(91
|
)
|
||
|
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
(127
|
)
|
|
(121
|
)
|
||
|
Reductions:
|
|
|
|
||||
|
Decreases related to other-than-temporary impairments on securities paid down
|
—
|
|
|
464
|
|
||
|
Decreases related to other-than-temporary impairments on securities sold
|
1,916
|
|
|
—
|
|
||
|
Cumulative credit loss at end of period
|
$
|
(6,452
|
)
|
|
$
|
(9,215
|
)
|
|
|
Three Months Ended
|
||||||
|
|
March 31,
|
||||||
|
(in thousands)
|
2015
|
|
2014
|
||||
|
Gross realized gains
|
$
|
117,688
|
|
|
$
|
7,209
|
|
|
Gross realized losses
|
(220
|
)
|
|
(45,997
|
)
|
||
|
Total realized gains (losses) on sales, net
|
$
|
117,468
|
|
|
$
|
(38,788
|
)
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Unpaid principal balance
|
$
|
569,553
|
|
|
$
|
534,101
|
|
|
Fair value adjustment
|
(971
|
)
|
|
1,611
|
|
||
|
Carrying value
|
$
|
568,582
|
|
|
$
|
535,712
|
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Unpaid principal balance
|
$
|
2,112,775
|
|
|
$
|
1,699,748
|
|
|
Fair value adjustment
|
57,431
|
|
|
44,998
|
|
||
|
Carrying value
|
$
|
2,170,206
|
|
|
$
|
1,744,746
|
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Unpaid principal balance
|
$
|
45,900
|
|
|
$
|
—
|
|
|
Unamortized discount
|
(344
|
)
|
|
—
|
|
||
|
Carrying value
|
$
|
45,556
|
|
|
$
|
—
|
|
|
|
Three Months Ended
|
||||||
|
|
March 31,
|
||||||
|
(in thousands)
|
2015
|
|
2014
|
||||
|
Balance at beginning of period
|
$
|
452,006
|
|
|
$
|
514,402
|
|
|
Additions from purchases of servicing rights
|
4,324
|
|
|
1,280
|
|
||
|
Additions from sales of residential mortgage loans
|
227
|
|
|
—
|
|
||
|
Changes in fair value due to:
|
|
|
|
||||
|
Changes in valuation inputs or assumptions used in the valuation model
|
(43,089
|
)
|
|
(20,250
|
)
|
||
|
Other changes in fair value
(1)
|
(9,314
|
)
|
|
(12,510
|
)
|
||
|
Other changes
(2)
|
6,075
|
|
|
(6,259
|
)
|
||
|
Balance at end of period
|
$
|
410,229
|
|
|
$
|
476,663
|
|
|
(1)
|
Other changes in fair value primarily represents changes due to the realization of expected cash flows.
|
|
(2)
|
Other changes includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral.
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Weighted average prepayment speed:
|
13.1
|
%
|
|
11.9
|
%
|
||
|
Impact on fair value of 10% adverse change
|
$
|
(18,050
|
)
|
|
$
|
(14,012
|
)
|
|
Impact on fair value of 20% adverse change
|
$
|
(34,459
|
)
|
|
$
|
(31,640
|
)
|
|
Weighted average delinquency:
|
4.6
|
%
|
|
5.6
|
%
|
||
|
Impact on fair value of 10% adverse change
|
$
|
(2,461
|
)
|
|
$
|
(3,616
|
)
|
|
Impact on fair value of 20% adverse change
|
$
|
(4,513
|
)
|
|
$
|
(6,780
|
)
|
|
Weighted average discount rate:
|
9.9
|
%
|
|
9.5
|
%
|
||
|
Impact on fair value of 10% adverse change
|
$
|
(14,358
|
)
|
|
$
|
(16,272
|
)
|
|
Impact on fair value of 20% adverse change
|
$
|
(27,896
|
)
|
|
$
|
(31,640
|
)
|
|
|
Three Months Ended
|
||||||
|
|
March 31,
|
||||||
|
(in thousands)
|
2015
|
|
2014
|
||||
|
Servicing fee income
|
$
|
31,237
|
|
|
$
|
29,871
|
|
|
Ancillary fee income
|
564
|
|
|
463
|
|
||
|
Float income
|
286
|
|
|
107
|
|
||
|
Total
|
$
|
32,087
|
|
|
$
|
30,441
|
|
|
(dollars in thousands)
|
March 31, 2015
|
|
December 31, 2014
|
||||||||||
|
|
Number of Loans
|
|
Unpaid Principal Balance
|
|
Number of Loans
|
|
Unpaid Principal Balance
|
||||||
|
Residential mortgage loans held-for-sale
|
1,210
|
|
|
$
|
569,553
|
|
|
1,008
|
|
|
$
|
534,101
|
|
|
Residential mortgage loans held-for-investment in securitization trusts
|
465
|
|
|
341,824
|
|
|
487
|
|
|
358,458
|
|
||
|
Mortgage servicing rights
(1)
|
220,033
|
|
|
43,974,908
|
|
|
224,073
|
|
|
44,949,061
|
|
||
|
Total serviced mortgage assets
|
221,708
|
|
|
$
|
44,886,285
|
|
|
225,568
|
|
|
$
|
45,841,620
|
|
|
(1)
|
Includes residential mortgage loans held-for-investment in securitization trusts for which the Company is the named servicing administrator.
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Restricted cash balances held by trading counterparties:
|
|
|
|
||||
|
For securities and loan trading activity
|
$
|
17,250
|
|
|
$
|
12,000
|
|
|
For derivatives trading activity
|
333,602
|
|
|
211,989
|
|
||
|
As restricted collateral for repurchase agreements and Federal Home Loan Bank advances
|
89,959
|
|
|
112,435
|
|
||
|
Total restricted cash balances held by trading counterparties
|
440,811
|
|
|
336,424
|
|
||
|
Restricted cash balance pursuant to letter of credit on office lease
|
347
|
|
|
347
|
|
||
|
Total
|
$
|
441,158
|
|
|
$
|
336,771
|
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Accrued Interest Receivable:
|
|
|
|
||||
|
U.S. Treasuries
|
$
|
3,674
|
|
|
$
|
8,084
|
|
|
Mortgage-backed securities:
|
|
|
|
||||
|
Agency
|
|
|
|
||||
|
Federal Home Loan Mortgage Corporation
|
9,210
|
|
|
8,734
|
|
||
|
Federal National Mortgage Association
|
22,315
|
|
|
22,392
|
|
||
|
Government National Mortgage Association
|
10,137
|
|
|
10,290
|
|
||
|
Non-Agency
|
3,765
|
|
|
3,835
|
|
||
|
Total mortgage-backed securities
|
45,427
|
|
|
45,251
|
|
||
|
Residential mortgage loans held-for-sale
|
1,678
|
|
|
1,997
|
|
||
|
Residential mortgage loans held-for-investment in securitization trusts
|
11,693
|
|
|
10,197
|
|
||
|
Commercial real estate loans held-for-investment
|
44
|
|
|
—
|
|
||
|
Total
|
$
|
62,516
|
|
|
$
|
65,529
|
|
|
(in thousands)
|
|
March 31, 2015
|
||||||||||||||
|
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||||
|
Trading instruments
|
|
Fair Value
|
|
Notional
|
|
Fair Value
|
|
Notional
|
||||||||
|
Inverse interest-only securities
|
|
$
|
189,875
|
|
|
$
|
1,106,210
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Interest rate swap agreements
|
|
49,485
|
|
|
9,614,000
|
|
|
(126,063
|
)
|
|
10,315,000
|
|
||||
|
Credit default swaps
|
|
—
|
|
|
—
|
|
|
(1,460
|
)
|
|
125,000
|
|
||||
|
Swaptions, net
|
|
108,348
|
|
|
11,600,000
|
|
|
(3,840
|
)
|
|
1,360,000
|
|
||||
|
TBAs
|
|
—
|
|
|
—
|
|
|
(17,930
|
)
|
|
2,496,000
|
|
||||
|
Put and call options for TBAs, net
|
|
—
|
|
|
—
|
|
|
(5,776
|
)
|
|
2,500,000
|
|
||||
|
Constant maturity swaps
|
|
1,236
|
|
|
3,000,000
|
|
|
—
|
|
|
—
|
|
||||
|
Markit IOS total return swaps
|
|
12,299
|
|
|
877,529
|
|
|
—
|
|
|
—
|
|
||||
|
Forward purchase commitments
|
|
1,403
|
|
|
598,009
|
|
|
(80
|
)
|
|
109,295
|
|
||||
|
Total
|
|
$
|
362,646
|
|
|
$
|
26,795,748
|
|
|
$
|
(155,149
|
)
|
|
$
|
16,905,295
|
|
|
(in thousands)
|
|
December 31, 2014
|
||||||||||||||
|
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||||
|
Trading instruments
|
|
Fair Value
|
|
Notional
|
|
Fair Value
|
|
Notional
|
||||||||
|
Inverse interest-only securities
|
|
$
|
188,592
|
|
|
$
|
1,168,226
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Interest rate swap agreements
|
|
55,471
|
|
|
9,569,000
|
|
|
(65,392
|
)
|
|
9,015,000
|
|
||||
|
Credit default swaps
|
|
—
|
|
|
—
|
|
|
(1,672
|
)
|
|
125,000
|
|
||||
|
Swaptions, net
|
|
121,591
|
|
|
9,550,000
|
|
|
(4,999
|
)
|
|
2,860,000
|
|
||||
|
TBAs
|
|
10,350
|
|
|
875,000
|
|
|
(17,687
|
)
|
|
2,200,000
|
|
||||
|
Put and call options for TBAs, net
|
|
90
|
|
|
2,000,000
|
|
|
—
|
|
|
—
|
|
||||
|
Constant maturity swaps
|
|
2,013
|
|
|
12,000,000
|
|
|
(483
|
)
|
|
2,000,000
|
|
||||
|
Markit IOS total return swaps
|
|
1,387
|
|
|
598,459
|
|
|
—
|
|
|
—
|
|
||||
|
Forward purchase commitments
|
|
1,297
|
|
|
554,838
|
|
|
—
|
|
|
—
|
|
||||
|
Total
|
|
$
|
380,791
|
|
|
$
|
36,315,523
|
|
|
$
|
(90,233
|
)
|
|
$
|
16,200,000
|
|
|
(in thousands)
|
|
|
|
|
|
|
||||
|
Trading Instruments
|
|
Location of Gain/(Loss) Recognized in Income on Derivatives
|
|
Amount of Gain/(Loss) Recognized in Income on Derivatives
|
||||||
|
|
|
|
|
Three Months Ended March 31,
|
||||||
|
|
|
|
|
2015
|
|
2014
|
||||
|
Interest rate risk management
|
|
|
|
|
|
|
||||
|
TBAs
(1)
|
|
Gain (loss) on other derivative instruments
|
|
$
|
(27,958
|
)
|
|
$
|
(17,903
|
)
|
|
Put and call options for TBAs
(1)
|
|
Gain (loss) on other derivative instruments
|
|
2,535
|
|
|
(1,705
|
)
|
||
|
Constant maturity swaps
(1)
|
|
Gain (loss) on other derivative instruments
|
|
6,090
|
|
|
11,531
|
|
||
|
Short U.S. Treasuries
(1)
|
|
Gain (loss) on other derivative instruments
|
|
—
|
|
|
—
|
|
||
|
Interest rate swap agreements - Receivers
(1)
|
|
Gain (loss) on interest rate swap and swaption agreements
|
|
42,326
|
|
|
40,979
|
|
||
|
Interest rate swap agreements - Payers
(1)
|
|
Gain (loss) on interest rate swap and swaption agreements
|
|
(52,559
|
)
|
|
(13,420
|
)
|
||
|
Swaptions
(1)
|
|
Gain (loss) on interest rate swap and swaption agreements
|
|
(18,506
|
)
|
|
(112,558
|
)
|
||
|
Markit IOS total return swaps
(1)
|
|
Gain (loss) on other derivative instruments
|
|
3,132
|
|
|
(1,725
|
)
|
||
|
Interest rate swap agreements - Payers
(2)
|
|
Gain (loss) on interest rate swap and swaption agreements
|
|
(97,704
|
)
|
|
(20,529
|
)
|
||
|
Credit risk management
|
|
|
|
|
|
|
||||
|
Credit default swaps - Receive protection
(3)
|
|
Gain (loss) on other derivative instruments
|
|
(93
|
)
|
|
1,981
|
|
||
|
Non-risk management
|
|
|
|
|
|
|
||||
|
TBAs
|
|
Gain (loss) on other derivative instruments
|
|
—
|
|
|
(4,701
|
)
|
||
|
Inverse interest-only securities
|
|
Gain (loss) on other derivative instruments
|
|
19,261
|
|
|
18,323
|
|
||
|
Forward purchase commitments
|
|
(Loss) gain on residential mortgage loans held-for-sale
|
|
970
|
|
|
(417
|
)
|
||
|
Total
|
|
|
|
$
|
(122,506
|
)
|
|
$
|
(100,144
|
)
|
|
(1)
|
Includes derivative instruments held to mitigate interest rate risk associated with the Company’s investment portfolio.
|
|
(2)
|
Includes derivative instruments held to mitigate interest rate risk associated with the Company’s repurchase agreements and FHLB advances.
|
|
(3)
|
Includes derivative instruments held to mitigate credit risk associated with the Company’s non-Agency RMBS and residential mortgage loans held-for-sale.
|
|
(in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Three Months Ended
March 31, |
Beginning of Period Notional Amount
|
|
Additions
|
|
Settlement, Termination, Expiration or Exercise
|
|
End of Period Notional Amount
|
|
Average Notional Amount
|
|
Realized Gain (Loss), net
(1)
|
||||||||||||
|
2015
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Inverse interest-only securities
|
$
|
1,168,226
|
|
|
$
|
—
|
|
|
$
|
(62,016
|
)
|
|
$
|
1,106,210
|
|
|
$
|
1,138,468
|
|
|
$
|
—
|
|
|
Interest rate swap agreements
|
18,584,000
|
|
|
5,620,000
|
|
|
(4,275,000
|
)
|
|
19,929,000
|
|
|
18,238,389
|
|
|
(1,070
|
)
|
||||||
|
Credit default swaps
|
125,000
|
|
|
—
|
|
|
—
|
|
|
125,000
|
|
|
125,000
|
|
|
—
|
|
||||||
|
Swaptions, net
|
12,410,000
|
|
|
5,550,000
|
|
|
(5,000,000
|
)
|
|
12,960,000
|
|
|
12,851,667
|
|
|
12,845
|
|
||||||
|
TBAs, net
|
(1,325,000
|
)
|
|
(6,933,000
|
)
|
|
5,762,000
|
|
|
(2,496,000
|
)
|
|
2,121,700
|
|
|
(17,364
|
)
|
||||||
|
Put and call options for TBAs, net
|
2,000,000
|
|
|
250,000
|
|
|
(4,750,000
|
)
|
|
(2,500,000
|
)
|
|
8,333
|
|
|
(3,047
|
)
|
||||||
|
Constant maturity swaps
|
14,000,000
|
|
|
6,000,000
|
|
|
(17,000,000
|
)
|
|
3,000,000
|
|
|
6,988,889
|
|
|
6,384
|
|
||||||
|
Markit IOS total return swaps
|
598,459
|
|
|
676,633
|
|
|
(397,563
|
)
|
|
877,529
|
|
|
875,346
|
|
|
4,202
|
|
||||||
|
Forward purchase commitments
|
554,838
|
|
|
1,128,634
|
|
|
(976,168
|
)
|
|
707,304
|
|
|
648,343
|
|
|
943
|
|
||||||
|
Total
|
$
|
48,115,523
|
|
|
$
|
12,292,267
|
|
|
$
|
(26,698,747
|
)
|
|
$
|
33,709,043
|
|
|
$
|
42,996,135
|
|
|
$
|
2,893
|
|
|
2014
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Inverse interest-only securities
|
$
|
1,525,845
|
|
|
$
|
—
|
|
|
$
|
(113,471
|
)
|
|
$
|
1,412,374
|
|
|
$
|
1,470,667
|
|
|
$
|
193
|
|
|
Interest rate swap agreements
|
19,619,000
|
|
|
2,944,148
|
|
|
(900,000
|
)
|
|
21,663,148
|
|
|
19,156,878
|
|
|
(22
|
)
|
||||||
|
Credit default swaps
|
427,073
|
|
|
—
|
|
|
(302,073
|
)
|
|
125,000
|
|
|
179,418
|
|
|
(13,705
|
)
|
||||||
|
Swaptions, net
|
5,130,000
|
|
|
3,900,000
|
|
|
470,000
|
|
|
9,500,000
|
|
|
8,979,111
|
|
|
(1,219
|
)
|
||||||
|
TBAs, net
|
603,000
|
|
|
(892,000
|
)
|
|
(733,000
|
)
|
|
(1,022,000
|
)
|
|
(526,444
|
)
|
|
11,853
|
|
||||||
|
Put and call options for TBAs, net
|
—
|
|
|
1,500,000
|
|
|
—
|
|
|
1,500,000
|
|
|
255,556
|
|
|
—
|
|
||||||
|
Constant maturity swaps
|
10,000,000
|
|
|
8,000,000
|
|
|
(8,000,000
|
)
|
|
10,000,000
|
|
|
10,000,000
|
|
|
3,887
|
|
||||||
|
Markit IOS total return swaps
|
49,629
|
|
|
197,012
|
|
|
(2,654
|
)
|
|
243,987
|
|
|
153,910
|
|
|
—
|
|
||||||
|
Forward purchase commitments
|
12,063
|
|
|
185,950
|
|
|
(44,376
|
)
|
|
153,637
|
|
|
38,913
|
|
|
(30
|
)
|
||||||
|
Total
|
$
|
37,366,610
|
|
|
$
|
15,835,110
|
|
|
$
|
(9,625,574
|
)
|
|
$
|
43,576,146
|
|
|
$
|
39,708,009
|
|
|
$
|
957
|
|
|
(1)
|
Excludes net interest paid or received in full settlement of the net interest spread liability.
|
|
|
As of March 31, 2015
|
||||||||||||||||||
|
|
|
|
|
|
|
|
Net Carrying Value
(4)
|
||||||||||||
|
(in thousands)
|
Notional Amount
(1)
|
|
Cost Basis
(2)
|
|
Market Value
(3)
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||
|
Purchase contracts
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Sale contracts
|
(2,496,000
|
)
|
|
(2,635,765
|
)
|
|
(2,653,695
|
)
|
|
—
|
|
|
(17,930
|
)
|
|||||
|
TBAs, net
|
$
|
(2,496,000
|
)
|
|
$
|
(2,635,765
|
)
|
|
$
|
(2,653,695
|
)
|
|
$
|
—
|
|
|
$
|
(17,930
|
)
|
|
|
As of December 31, 2014
|
||||||||||||||||||
|
|
|
|
|
|
|
|
Net Carrying Value
(4)
|
||||||||||||
|
(in thousands)
|
Notional Amount
(1)
|
|
Cost Basis
(2)
|
|
Market Value
(3)
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||||
|
Purchase contracts
|
$
|
875,000
|
|
|
$
|
862,868
|
|
|
$
|
873,218
|
|
|
$
|
10,350
|
|
|
$
|
—
|
|
|
Sale contracts
|
(2,200,000
|
)
|
|
(2,294,813
|
)
|
|
(2,312,500
|
)
|
|
—
|
|
|
(17,687
|
)
|
|||||
|
TBAs, net
|
$
|
(1,325,000
|
)
|
|
$
|
(1,431,945
|
)
|
|
$
|
(1,439,282
|
)
|
|
$
|
10,350
|
|
|
$
|
(17,687
|
)
|
|
(1)
|
Notional amount represents the face amount of the underlying Agency RMBS.
|
|
(2)
|
Cost basis represents the forward price to be paid/(received) for the underlying Agency RMBS.
|
|
(3)
|
Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period-end.
|
|
(4)
|
Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the condensed consolidated balance sheets.
|
|
(notional and dollars in thousands)
|
|
|
|
|
|
|
|
|
|||||||||||
|
March 31, 2015
|
|||||||||||||||||||
|
Determination Date
|
|
Average Strike Swap Rate
|
|
Notional Amount
|
|
Fair Value
|
|
Upfront Premium Paid
|
|
Unrealized Gain/(Loss)
|
|||||||||
|
April 2015
|
|
0.564
|
%
|
|
$
|
3,000,000
|
|
|
$
|
1,236
|
|
|
$
|
—
|
|
|
$
|
1,236
|
|
|
Total
|
|
0.564
|
%
|
|
$
|
3,000,000
|
|
|
$
|
1,236
|
|
|
$
|
—
|
|
|
$
|
1,236
|
|
|
(notional and dollars in thousands)
|
|
|
|
|
|
|
|
|
|||||||||||
|
December 31, 2014
|
|||||||||||||||||||
|
Determination Date
|
|
Average Strike Swap Rate
|
|
Notional Amount
|
|
Fair Value
|
|
Upfront Premium Paid
|
|
Unrealized Gain/(Loss)
|
|||||||||
|
January 2015
|
|
0.538
|
%
|
|
$
|
7,000,000
|
|
|
$
|
1,502
|
|
|
$
|
—
|
|
|
$
|
1,502
|
|
|
February 2015
|
|
0.572
|
%
|
|
2,000,000
|
|
|
(13
|
)
|
|
—
|
|
|
(13
|
)
|
||||
|
March 2015
|
|
0.552
|
%
|
|
5,000,000
|
|
|
41
|
|
|
—
|
|
|
41
|
|
||||
|
Total
|
|
0.548
|
%
|
|
$
|
14,000,000
|
|
|
$
|
1,530
|
|
|
$
|
—
|
|
|
$
|
1,530
|
|
|
(notional in thousands)
|
|
|
|
|
|
|
|||||||
|
March 31, 2015
|
|||||||||||||
|
Swaps Maturities
|
|
Notional Amounts
|
|
Average Fixed Pay Rate
|
|
Average Receive Rate
|
|
Average Maturity (Years)
|
|||||
|
2017
|
|
$
|
2,000,000
|
|
|
1.070
|
%
|
|
0.254
|
%
|
|
2.29
|
|
|
2018
|
|
2,040,000
|
|
|
1.563
|
%
|
|
0.265
|
%
|
|
3.69
|
|
|
|
2019 and Thereafter
|
|
1,210,000
|
|
|
2.164
|
%
|
|
0.265
|
%
|
|
5.83
|
|
|
|
Total
|
|
$
|
5,250,000
|
|
|
1.514
|
%
|
|
0.261
|
%
|
|
3.65
|
|
|
(notional in thousands)
|
|
|
|
|
|
|
|||||||
|
December 31, 2014
|
|||||||||||||
|
Swaps Maturities
|
|
Notional Amounts
|
|
Average Fixed Pay Rate
|
|
Average Receive Rate
|
|
Average Maturity (Years)
|
|||||
|
2017
|
|
$
|
2,000,000
|
|
|
1.070
|
%
|
|
0.229
|
%
|
|
2.54
|
|
|
2018
|
|
2,040,000
|
|
|
1.563
|
%
|
|
0.238
|
%
|
|
3.94
|
|
|
|
2019 and Thereafter
|
|
900,000
|
|
|
2.378
|
%
|
|
0.255
|
%
|
|
6.24
|
|
|
|
Total
|
|
$
|
4,940,000
|
|
|
1.512
|
%
|
|
0.237
|
%
|
|
3.80
|
|
|
(notional in thousands)
|
|
|
|
|
|
|
|||||||
|
March 31, 2015
|
|||||||||||||
|
Swaps Maturities
|
|
Notional Amounts
|
|
Average Pay Rate
|
|
Average Fixed Receive Rate
|
|
Average Maturity (Years)
|
|||||
|
2018
|
|
$
|
575,000
|
|
|
0.262
|
%
|
|
1.440
|
%
|
|
3.64
|
|
|
2019 and Thereafter
|
|
1,889,000
|
|
|
0.263
|
%
|
|
2.588
|
%
|
|
8.35
|
|
|
|
Total
|
|
$
|
2,464,000
|
|
|
0.263
|
%
|
|
2.320
|
%
|
|
7.25
|
|
|
(notional in thousands)
|
|
|
|
|
|
|
|||||||
|
December 31, 2014
|
|||||||||||||
|
Swaps Maturities
|
|
Notional Amounts
|
|
Average Pay Rate
|
|
Average Fixed Receive Rate
|
|
Average Maturity (Years)
|
|||||
|
2018
|
|
$
|
575,000
|
|
|
0.231
|
%
|
|
1.440
|
%
|
|
3.89
|
|
|
2019 and Thereafter
|
|
1,579,000
|
|
|
0.239
|
%
|
|
2.794
|
%
|
|
9.19
|
|
|
|
Total
|
|
$
|
2,154,000
|
|
|
0.237
|
%
|
|
2.433
|
%
|
|
7.77
|
|
|
(notional in thousands)
|
|
|
|
|
|
|
|||||||
|
March 31, 2015
|
|||||||||||||
|
Swaps Maturities
|
|
Notional Amount
|
|
Average Fixed Pay Rate
|
|
Average Receive Rate
|
|
Average Maturity (Years)
|
|||||
|
2016
|
|
$
|
3,400,000
|
|
|
0.644
|
%
|
|
0.268
|
%
|
|
1.37
|
|
|
2017
|
|
4,285,000
|
|
|
1.075
|
%
|
|
0.266
|
%
|
|
2.35
|
|
|
|
2018
|
|
2,800,000
|
|
|
1.145
|
%
|
|
0.266
|
%
|
|
2.93
|
|
|
|
2019 and Thereafter
|
|
1,730,000
|
|
|
2.350
|
%
|
|
0.260
|
%
|
|
7.80
|
|
|
|
Total
|
|
$
|
12,215,000
|
|
|
1.152
|
%
|
|
0.266
|
%
|
|
2.98
|
|
|
(notional in thousands)
|
|
|
|
|
|
|
|||||||
|
December 31, 2014
|
|||||||||||||
|
Swaps Maturities
|
|
Notional Amount
|
|
Average Fixed Pay Rate
|
|
Average Receive Rate
|
|
Average Maturity (Years)
|
|||||
|
2016
|
|
$
|
4,100,000
|
|
|
0.667
|
%
|
|
0.249
|
%
|
|
1.65
|
|
|
2017
|
|
5,285,000
|
|
|
1.063
|
%
|
|
0.248
|
%
|
|
2.55
|
|
|
|
2018
|
|
625,000
|
|
|
0.945
|
%
|
|
0.233
|
%
|
|
3.08
|
|
|
|
2019 and Thereafter
|
|
1,480,000
|
|
|
2.408
|
%
|
|
0.235
|
%
|
|
7.70
|
|
|
|
Total
|
|
$
|
11,490,000
|
|
|
1.089
|
%
|
|
0.246
|
%
|
|
2.92
|
|
|
March 31, 2015
|
|||||||||||||||||||||||||
|
(notional and dollars in thousands)
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||||||||
|
Swaption
|
|
Expiration
|
|
Cost
|
|
Fair Value
|
|
Average Months to Expiration
|
|
Notional Amount
|
|
Average Pay Rate
|
|
Average Receive Rate
|
|
Average Term (Years)
|
|||||||||
|
Purchase contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Payer
|
|
≥ 6 Months
|
|
$
|
259,328
|
|
|
$
|
112,094
|
|
|
53.14
|
|
$
|
9,210,000
|
|
|
4.01
|
%
|
|
3M Libor
|
|
6.9
|
|
|
|
Total Payer
|
|
|
|
$
|
259,328
|
|
|
$
|
112,094
|
|
|
53.14
|
|
$
|
9,210,000
|
|
|
4.01
|
%
|
|
3M Libor
|
|
6.9
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Receiver
|
|
< 6 Months
|
|
$
|
26,013
|
|
|
$
|
6,914
|
|
|
3.99
|
|
$
|
4,550,000
|
|
|
3M Libor
|
|
1.40
|
%
|
|
6.7
|
|
|
|
Total Receiver
|
|
|
|
$
|
26,013
|
|
|
$
|
6,914
|
|
|
3.99
|
|
$
|
4,550,000
|
|
|
3M Libor
|
|
1.40
|
%
|
|
6.7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Sale contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Payer
|
|
≥ 6 Months
|
|
$
|
(81,248
|
)
|
|
$
|
(14,500
|
)
|
|
27.02
|
|
$
|
(800,000
|
)
|
|
3.44
|
%
|
|
3M Libor
|
|
10.0
|
|
|
|
Total Payer
|
|
|
|
$
|
(81,248
|
)
|
|
$
|
(14,500
|
)
|
|
27.02
|
|
$
|
(800,000
|
)
|
|
3.44
|
%
|
|
3M Libor
|
|
10.0
|
|
|
|
December 31, 2014
|
|||||||||||||||||||||||||
|
(notional and dollars in thousands)
|
|
Option
|
|
Underlying Swap
|
|||||||||||||||||||||
|
Swaption
|
|
Expiration
|
|
Cost
|
|
Fair Value
|
|
Average Months to Expiration
|
|
Notional Amount
|
|
Average Fixed Pay Rate
|
|
Average Receive Rate
|
|
Average Term (Years)
|
|||||||||
|
Purchase contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Payer
|
|
≥ 6 Months
|
|
$
|
255,358
|
|
|
$
|
130,120
|
|
|
56.62
|
|
$
|
8,210,000
|
|
|
4.12
|
%
|
|
3M Libor
|
|
7.4
|
|
|
|
Total Payer
|
|
|
|
$
|
255,358
|
|
|
$
|
130,120
|
|
|
56.62
|
|
$
|
8,210,000
|
|
|
4.12
|
%
|
|
3M Libor
|
|
7.4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Receiver
|
|
< 6 Months
|
|
$
|
10,715
|
|
|
$
|
6,462
|
|
|
3.38
|
|
$
|
5,000,000
|
|
|
3M Libor
|
|
1.35
|
%
|
|
5.0
|
|
|
|
Total Receiver
|
|
|
|
$
|
10,715
|
|
|
$
|
6,462
|
|
|
3.38
|
|
$
|
5,000,000
|
|
|
3M Libor
|
|
1.35
|
%
|
|
5.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Sale contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Payer
|
|
≥ 6 Months
|
|
$
|
(81,248
|
)
|
|
$
|
(19,990
|
)
|
|
30.02
|
|
$
|
(800,000
|
)
|
|
3.44
|
%
|
|
3M Libor
|
|
10.0
|
|
|
|
Total Payer
|
|
|
|
$
|
(81,248
|
)
|
|
$
|
(19,990
|
)
|
|
30.02
|
|
$
|
(800,000
|
)
|
|
3.44
|
%
|
|
3M Libor
|
|
10.0
|
|
|
|
(notional and dollars in thousands)
|
|
|
|
|
|
|||||||||||
|
March 31, 2015
|
||||||||||||||||
|
Maturity Date
|
|
Current Notional Amount
|
|
Fair Value
|
|
Upfront (Payable)/Receivable
|
|
Unrealized Gain/(Loss)
|
||||||||
|
January 12, 2043
|
|
$
|
(226,660
|
)
|
|
$
|
2,632
|
|
|
$
|
(1,953
|
)
|
|
$
|
679
|
|
|
January 12, 2044
|
|
(650,869
|
)
|
|
9,667
|
|
|
(13,177
|
)
|
|
(3,510
|
)
|
||||
|
Total
|
|
$
|
(877,529
|
)
|
|
$
|
12,299
|
|
|
$
|
(15,130
|
)
|
|
$
|
(2,831
|
)
|
|
(notional and dollars in thousands)
|
|
|
|
|
|
|||||||||||
|
December 31, 2014
|
||||||||||||||||
|
Maturity Date
|
|
Current Notional Amount
|
|
Fair Value
|
|
Upfront Payable
|
|
Unrealized Gain/(Loss)
|
||||||||
|
January 12, 2043
|
|
$
|
(411,281
|
)
|
|
$
|
763
|
|
|
$
|
(1,457
|
)
|
|
$
|
(694
|
)
|
|
January 12, 2044
|
|
(187,178
|
)
|
|
624
|
|
|
(275
|
)
|
|
349
|
|
||||
|
Total
|
|
$
|
(598,459
|
)
|
|
$
|
1,387
|
|
|
$
|
(1,732
|
)
|
|
$
|
(345
|
)
|
|
(notional and dollars in thousands)
|
|
|
|
|
|
|
|
|
||||||||||||
|
March 31, 2015
|
||||||||||||||||||||
|
Protection
|
Maturity Date
|
|
Average Implied Credit Spread
|
|
Current Notional Amount
|
|
Fair Value
|
|
Upfront (Payable)/Receivable
|
|
Unrealized Gain/(Loss)
|
|||||||||
|
Receive
|
June 20, 2016
|
|
105.50
|
|
|
$
|
(100,000
|
)
|
|
$
|
(1,145
|
)
|
|
$
|
(260
|
)
|
|
$
|
(1,405
|
)
|
|
|
December 20, 2016
|
|
496.00
|
|
|
(25,000
|
)
|
|
(315
|
)
|
|
(4,062
|
)
|
|
(4,377
|
)
|
||||
|
|
Total
|
|
183.60
|
|
|
$
|
(125,000
|
)
|
|
$
|
(1,460
|
)
|
|
$
|
(4,322
|
)
|
|
$
|
(5,782
|
)
|
|
(notional and dollars in thousands)
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2014
|
||||||||||||||||||||
|
Protection
|
Maturity Date
|
|
Average Implied Credit Spread
|
|
Current Notional Amount
|
|
Fair Value
|
|
Upfront (Payable)/Receivable
|
|
Unrealized Gain/(Loss)
|
|||||||||
|
Receive
|
June 20, 2016
|
|
105.50
|
|
|
$
|
(100,000
|
)
|
|
$
|
(1,350
|
)
|
|
$
|
(260
|
)
|
|
$
|
(1,610
|
)
|
|
|
December 20, 2016
|
|
496.00
|
|
|
(25,000
|
)
|
|
(322
|
)
|
|
(4,062
|
)
|
|
(4,384
|
)
|
||||
|
|
Total
|
|
183.60
|
|
|
$
|
(125,000
|
)
|
|
$
|
(1,672
|
)
|
|
$
|
(4,322
|
)
|
|
$
|
(5,994
|
)
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Face Value
|
$
|
1,106,210
|
|
|
$
|
1,168,226
|
|
|
Unamortized premium
|
—
|
|
|
—
|
|
||
|
Unamortized discount
|
|
|
|
||||
|
Designated credit reserve
|
—
|
|
|
—
|
|
||
|
Net, unamortized
|
(939,371
|
)
|
|
(991,715
|
)
|
||
|
Amortized Cost
|
166,839
|
|
|
176,511
|
|
||
|
Gross unrealized gains
|
22,317
|
|
|
14,162
|
|
||
|
Gross unrealized losses
|
(1,348
|
)
|
|
(4,269
|
)
|
||
|
Carrying Value
|
$
|
187,808
|
|
|
$
|
186,404
|
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Property and equipment at cost
|
$
|
4,988
|
|
|
$
|
4,849
|
|
|
Accumulated depreciation
(1)
|
(2,260
|
)
|
|
(1,941
|
)
|
||
|
Net property and equipment
|
2,728
|
|
|
2,908
|
|
||
|
Prepaid expenses
|
1,626
|
|
|
1,790
|
|
||
|
Income taxes receivable
|
293
|
|
|
—
|
|
||
|
Deferred tax assets, net
|
52,384
|
|
|
40,847
|
|
||
|
Servicing advances
|
30,837
|
|
|
27,490
|
|
||
|
Federal Home Loan Bank stock
|
110,250
|
|
|
100,010
|
|
||
|
Equity investments
|
3,000
|
|
|
3,000
|
|
||
|
Other receivables
|
12,138
|
|
|
12,534
|
|
||
|
Total other assets
|
$
|
213,256
|
|
|
$
|
188,579
|
|
|
(1)
|
Depreciation expense for the
three months ended
March 31, 2015
was
$0.3 million
.
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Accrued expenses
|
$
|
29,562
|
|
|
$
|
29,819
|
|
|
Accrued interest payable
|
18,419
|
|
|
23,772
|
|
||
|
Income taxes payable
|
33
|
|
|
1,375
|
|
||
|
Other
|
11,289
|
|
|
9,473
|
|
||
|
Total other liabilities
|
$
|
59,303
|
|
|
$
|
64,439
|
|
|
Level 1
|
Inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity.
|
|
Level 2
|
Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities.
|
|
Level 3
|
Unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation.
|
|
|
Recurring Fair Value Measurements
|
||||||||||||||
|
|
At March 31, 2015
|
||||||||||||||
|
(in thousands)
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
Assets
|
|
|
|
|
|
|
|
||||||||
|
Available-for-sale securities
|
$
|
—
|
|
|
$
|
14,342,845
|
|
|
$
|
—
|
|
|
$
|
14,342,845
|
|
|
Trading securities
|
2,010,000
|
|
|
—
|
|
|
—
|
|
|
2,010,000
|
|
||||
|
Residential mortgage loans held-for-sale
|
—
|
|
|
498,433
|
|
|
70,149
|
|
|
568,582
|
|
||||
|
Residential mortgage loans held-for-investment in securitization trusts
|
—
|
|
|
2,170,206
|
|
|
—
|
|
|
2,170,206
|
|
||||
|
Mortgage servicing rights
|
—
|
|
|
—
|
|
|
410,229
|
|
|
410,229
|
|
||||
|
Derivative assets
|
—
|
|
|
362,646
|
|
|
—
|
|
|
362,646
|
|
||||
|
Total assets
|
$
|
2,010,000
|
|
|
$
|
17,374,130
|
|
|
$
|
480,378
|
|
|
$
|
19,864,508
|
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
|
Collateralized borrowings in securitization trusts
|
$
|
—
|
|
|
$
|
1,400,571
|
|
|
$
|
—
|
|
|
$
|
1,400,571
|
|
|
Derivative liabilities
|
17,931
|
|
|
137,218
|
|
|
—
|
|
|
155,149
|
|
||||
|
Total liabilities
|
$
|
17,931
|
|
|
$
|
1,537,789
|
|
|
$
|
—
|
|
|
$
|
1,555,720
|
|
|
|
Recurring Fair Value Measurements
|
||||||||||||||
|
|
At December 31, 2014
|
||||||||||||||
|
(in thousands)
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
Assets
|
|
|
|
|
|
|
|
||||||||
|
Available-for-sale securities
|
$
|
—
|
|
|
$
|
14,341,102
|
|
|
$
|
—
|
|
|
$
|
14,341,102
|
|
|
Trading securities
|
1,997,656
|
|
|
—
|
|
|
—
|
|
|
1,997,656
|
|
||||
|
Residential mortgage loans held-for-sale
|
—
|
|
|
500,159
|
|
|
35,553
|
|
|
535,712
|
|
||||
|
Residential mortgage loans held-for-investment in securitization trusts
|
—
|
|
|
1,744,746
|
|
|
—
|
|
|
1,744,746
|
|
||||
|
Mortgage servicing rights
|
—
|
|
|
—
|
|
|
452,006
|
|
|
452,006
|
|
||||
|
Derivative assets
|
10,350
|
|
|
370,441
|
|
|
—
|
|
|
380,791
|
|
||||
|
Total assets
|
$
|
2,008,006
|
|
|
$
|
16,956,448
|
|
|
$
|
487,559
|
|
|
$
|
19,452,013
|
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
|
Collateralized borrowings in securitization trusts
|
$
|
—
|
|
|
$
|
1,209,663
|
|
|
$
|
—
|
|
|
$
|
1,209,663
|
|
|
Derivative liabilities
|
17,687
|
|
|
72,546
|
|
|
—
|
|
|
90,233
|
|
||||
|
Total liabilities
|
$
|
17,687
|
|
|
$
|
1,282,209
|
|
|
$
|
—
|
|
|
$
|
1,299,896
|
|
|
|
Level 3 Recurring Fair Value Measurements
|
|
||||||
|
|
Three Months Ended
|
|
||||||
|
|
March 31, 2015
|
|
||||||
|
(in thousands)
|
Residential Mortgage Loans Held-For-Sale
|
|
Mortgage Servicing Rights
|
|
||||
|
Beginning of period level 3 fair value
|
$
|
35,553
|
|
|
$
|
452,006
|
|
|
|
Gains (losses) included in net income (loss):
|
|
|
|
|
||||
|
Realized gains (losses)
|
5,121
|
|
|
(9,314
|
)
|
|
||
|
Unrealized gains (losses)
|
747
|
|
(1)
|
(43,089
|
)
|
(3)
|
||
|
Total net gains (losses) included in net income (loss)
|
5,868
|
|
|
(52,403
|
)
|
|
||
|
Other comprehensive income
|
—
|
|
|
—
|
|
|
||
|
Purchases
|
70,666
|
|
|
4,551
|
|
|
||
|
Sales
|
(23,909
|
)
|
|
—
|
|
|
||
|
Settlements
|
(18,029
|
)
|
|
6,075
|
|
|
||
|
Gross transfers into level 3
|
—
|
|
|
—
|
|
|
||
|
Gross transfers out of level 3
|
—
|
|
|
—
|
|
|
||
|
End of period level 3 fair value
|
$
|
70,149
|
|
|
$
|
410,229
|
|
|
|
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
|
$
|
900
|
|
(2)
|
$
|
(43,089
|
)
|
(4)
|
|
(1)
|
For the
three months ended
March 31, 2015
, the change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in gain (loss) on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income.
|
|
(2)
|
For the
three months ended
March 31, 2015
, the change in unrealized gains or losses on residential mortgage loans held-for-sale that were held at the end of the reporting period was recorded in gain (loss) on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income.
|
|
(3)
|
For the
three months ended
March 31, 2015
, the change in unrealized gains or losses on MSR was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income.
|
|
(4)
|
For the
three months ended
March 31, 2015
, the change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income.
|
|
As of March 31, 2015
|
|||||||||
|
Valuation Technique
|
|
Unobservable Input
(1)
|
|
Range
|
|
Weighted Average
|
|||
|
Discounted cash flow
|
|
Constant prepayment speed
|
|
11.0
|
-
|
15.0
|
%
|
|
13.1%
|
|
|
|
Delinquency
|
|
4.4
|
-
|
5.0
|
%
|
|
4.6%
|
|
|
|
Discount rate
|
|
8.5
|
-
|
11.2
|
%
|
|
9.9%
|
|
(1)
|
Significant increases/(decreases) in any of the inputs in isolation may result in significantly lower/(higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates.
|
|
(in thousands)
|
Changes included in the Condensed Consolidated Statements of Comprehensive Income
|
||||||||||||||||||||
|
Three Months Ended
March 31, |
Interest income (expense)
|
|
Gain (loss) on residential mortgage loans held-for-sale
|
|
Other (loss) income
|
|
Total included in net income (loss)
|
|
Change in fair value due to credit risk
|
||||||||||||
|
2015
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Residential mortgage loans held-for-sale
|
$
|
4,271
|
|
(1)
|
|
$
|
9,066
|
|
|
$
|
—
|
|
|
$
|
13,337
|
|
|
$
|
(242
|
)
|
(2)
|
|
Residential mortgage loans held-for-investment in securitization trusts
|
18,236
|
|
(1)
|
|
—
|
|
|
49
|
|
|
18,285
|
|
|
—
|
|
(3)
|
|||||
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Collateralized borrowings in securitization trusts
|
(10,708
|
)
|
|
|
—
|
|
|
(2,967
|
)
|
|
(13,675
|
)
|
|
—
|
|
(3)
|
|||||
|
Total
|
$
|
11,799
|
|
|
|
$
|
9,066
|
|
|
$
|
(2,918
|
)
|
|
$
|
17,947
|
|
|
$
|
(242
|
)
|
|
|
2014
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Residential mortgage loans held-for-sale
|
$
|
4,586
|
|
(1)
|
|
$
|
(2,764
|
)
|
|
$
|
—
|
|
|
$
|
1,822
|
|
|
$
|
33
|
|
(2)
|
|
Residential mortgage loans held-for-investment in securitization trusts
|
7,893
|
|
(1)
|
|
—
|
|
|
1,975
|
|
|
9,868
|
|
|
—
|
|
(3)
|
|||||
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Collateralized borrowings in securitization trusts
|
(5,353
|
)
|
|
|
—
|
|
|
(1,662
|
)
|
|
(7,015
|
)
|
|
—
|
|
(3)
|
|||||
|
Total
|
$
|
7,126
|
|
|
|
$
|
(2,764
|
)
|
|
$
|
313
|
|
|
$
|
4,675
|
|
|
$
|
33
|
|
|
|
(1)
|
Interest income on residential mortgage loans held-for-sale and residential mortgage loans held-for-investment in securitization trusts is measured by multiplying the unpaid principal balance on the loans by the coupon rate and the number of days of interest due.
|
|
(2)
|
The change in fair value due to credit risk on residential mortgage loans held-for-sale was quantified by holding yield constant in the cash flow model in order to isolate credit risk component.
|
|
(3)
|
The change in fair value on residential mortgage loans held-for-investment in securitization trusts and collateralized borrowings in securitization trusts was due entirely to changes in market interest rates.
|
|
|
March 31, 2015
|
|
December 31, 2014
|
||||||||||||
|
(in thousands)
|
Unpaid Principal Balance
|
|
Fair
Value
(1)
|
|
Unpaid Principal Balance
|
|
Fair
Value
(1)
|
||||||||
|
Residential mortgage loans held-for-sale
|
|
|
|
|
|
|
|
||||||||
|
Total loans
|
$
|
569,553
|
|
|
$
|
568,582
|
|
|
$
|
534,101
|
|
|
$
|
535,712
|
|
|
Nonaccrual loans
|
$
|
63,171
|
|
|
$
|
55,079
|
|
|
$
|
26,405
|
|
|
$
|
20,574
|
|
|
Loans 90+ days past due
|
$
|
60,030
|
|
|
$
|
52,165
|
|
|
$
|
25,263
|
|
|
$
|
19,675
|
|
|
Residential mortgage loans held-for-investment in securitization trusts
|
|
|
|
|
|
|
|
||||||||
|
Total loans
|
$
|
2,112,775
|
|
|
$
|
2,170,206
|
|
|
$
|
1,699,748
|
|
|
$
|
1,744,746
|
|
|
Nonaccrual loans
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Loans 90+ days past due
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Collateralized borrowings in securitization trusts
|
|
|
|
|
|
|
|
||||||||
|
Total borrowings
|
$
|
1,402,939
|
|
|
$
|
1,400,571
|
|
|
$
|
1,218,589
|
|
|
$
|
1,209,663
|
|
|
(1)
|
Excludes accrued interest receivable.
|
|
•
|
AFS securities, trading securities, residential mortgage loans held-for-sale, residential mortgage loans held-for-investment in securitization trusts, MSR, derivative assets and liabilities, and collateralized borrowings in securitization trusts are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the
Fair Value Measurements
section of this footnote.
|
|
•
|
Commercial real estate loans held-for-investment are carried at cost, net of any unamortized premiums or discounts, unless deemed impaired. Because the Company has not yet recorded any allowances for losses and the associated investment in the commercial real estate loan was settled on March 27, 2015, carrying value, or amortized cost, approximates fair value. The Company categorizes the fair value measurement of these assets as Level 2.
|
|
•
|
Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments. The Company categorizes the fair value measurement of these assets as Level 1.
|
|
•
|
As a condition to membership in the FHLB, the Company is required to purchase and hold a certain amount of FHLB stock, which is considered a non-marketable, long-term investment, and is carried at cost. Because this stock can only be redeemed or sold at its par value, and only to the FHLB, carrying value, or cost, approximates fair value. The Company categorizes the fair value measurement of these assets as Level 3.
|
|
•
|
Equity investments include cost method investments for which fair value is not estimated. Carrying value, or cost, approximates fair value. The Company categorizes the fair value measurement of these assets as Level 3.
|
|
•
|
The carrying value of repurchase agreements and FHLB advances that mature in less than one year generally approximates fair value due to the short maturities. The Company holds
$98.3 million
of repurchase agreements and
$2.6 billion
of FHLB advances that are considered long-term. The Company’s long-term repurchase agreements and FHLB advances have floating rates based on an index plus a spread and the credit spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these borrowings are at market and thus carrying value approximates fair value. The Company categorizes the fair value measurement of these liabilities as Level 2.
|
|
|
March 31, 2015
|
|
December 31, 2014
|
||||||||||||
|
(in thousands)
|
Carrying Value
|
|
Fair Value
|
|
Carrying Value
|
|
Fair Value
|
||||||||
|
Assets
|
|
|
|
|
|
|
|
||||||||
|
Available-for-sale securities
|
$
|
14,342,845
|
|
|
$
|
14,342,845
|
|
|
$
|
14,341,102
|
|
|
$
|
14,341,102
|
|
|
Trading securities
|
$
|
2,010,000
|
|
|
$
|
2,010,000
|
|
|
$
|
1,997,656
|
|
|
$
|
1,997,656
|
|
|
Residential mortgage loans held-for-sale
|
$
|
568,582
|
|
|
$
|
568,582
|
|
|
$
|
535,712
|
|
|
$
|
535,712
|
|
|
Residential mortgage loans held-for-investment in securitization trusts
|
$
|
2,170,206
|
|
|
$
|
2,170,206
|
|
|
$
|
1,744,746
|
|
|
$
|
1,744,746
|
|
|
Commercial real estate loans held-for-investment
|
$
|
45,556
|
|
|
$
|
45,556
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Mortgage servicing rights
|
$
|
410,229
|
|
|
$
|
410,229
|
|
|
$
|
452,006
|
|
|
$
|
452,006
|
|
|
Cash and cash equivalents
|
$
|
1,020,338
|
|
|
$
|
1,020,338
|
|
|
$
|
1,005,792
|
|
|
$
|
1,005,792
|
|
|
Restricted cash
|
$
|
441,158
|
|
|
$
|
441,158
|
|
|
$
|
336,771
|
|
|
$
|
336,771
|
|
|
Derivative assets
|
$
|
362,646
|
|
|
$
|
362,646
|
|
|
$
|
380,791
|
|
|
$
|
380,791
|
|
|
Federal Home Loan Bank stock
|
$
|
110,250
|
|
|
$
|
110,250
|
|
|
$
|
100,010
|
|
|
$
|
100,010
|
|
|
Equity investments
|
$
|
3,000
|
|
|
$
|
3,000
|
|
|
$
|
3,000
|
|
|
$
|
3,000
|
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
|
Repurchase agreements
|
$
|
13,094,878
|
|
|
$
|
13,094,878
|
|
|
$
|
12,932,463
|
|
|
$
|
12,932,463
|
|
|
Collateralized borrowings in securitization trusts
|
$
|
1,400,571
|
|
|
$
|
1,400,571
|
|
|
$
|
1,209,663
|
|
|
$
|
1,209,663
|
|
|
Federal Home Loan Bank advances
|
$
|
2,625,000
|
|
|
$
|
2,625,000
|
|
|
$
|
2,500,000
|
|
|
$
|
2,500,000
|
|
|
Derivative liabilities
|
$
|
155,149
|
|
|
$
|
155,149
|
|
|
$
|
90,233
|
|
|
$
|
90,233
|
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Short-term
|
$
|
12,996,589
|
|
|
$
|
12,839,242
|
|
|
Long-term
|
98,289
|
|
|
93,221
|
|
||
|
Total
|
$
|
13,094,878
|
|
|
$
|
12,932,463
|
|
|
(dollars in thousands)
|
|
March 31, 2015
|
|
December 31, 2014
|
||||||||||
|
Collateral Type
|
|
Amount Outstanding
|
|
Weighted Average Borrowing Rate
|
|
Amount Outstanding
|
|
Weighted Average Borrowing Rate
|
||||||
|
U.S. Treasuries
|
|
$
|
2,001,250
|
|
|
0.32
|
%
|
|
$
|
1,996,250
|
|
|
0.23
|
%
|
|
Agency RMBS
|
|
8,761,087
|
|
|
0.42
|
%
|
|
8,458,572
|
|
|
0.42
|
%
|
||
|
Non-Agency RMBS
(1)
|
|
2,187,369
|
|
|
1.81
|
%
|
|
2,324,395
|
|
|
1.79
|
%
|
||
|
Agency derivatives
|
|
133,611
|
|
|
1.01
|
%
|
|
138,133
|
|
|
0.99
|
%
|
||
|
Residential mortgage loans held-for-sale
|
|
11,561
|
|
|
2.58
|
%
|
|
15,113
|
|
|
3.03
|
%
|
||
|
Total
|
|
$
|
13,094,878
|
|
|
0.65
|
%
|
|
$
|
12,932,463
|
|
|
0.64
|
%
|
|
(1)
|
Includes repurchase agreements collateralized by retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
|||||
|
Within 30 days
|
$
|
3,490,440
|
|
|
|
$
|
3,979,317
|
|
|
30 to 59 days
|
4,030,473
|
|
|
|
4,595,425
|
|
||
|
60 to 89 days
|
1,508,512
|
|
|
|
903,286
|
|
||
|
90 to 119 days
|
826,026
|
|
|
|
434,550
|
|
||
|
120 to 364 days
|
2,139,888
|
|
|
|
1,929,164
|
|
||
|
Open maturity
(1)
|
1,001,250
|
|
|
|
997,500
|
|
||
|
One year and over
|
98,289
|
|
(2)
|
|
93,221
|
|
||
|
Total
|
$
|
13,094,878
|
|
|
|
$
|
12,932,463
|
|
|
(1)
|
Includes repurchase agreements collateralized by U.S. Treasuries with an open maturity period (
i.e.
, rolling 1-day maturity) renewable at the discretion of either party to the agreements.
|
|
(2)
|
One year and over includes repurchase agreements with a maturity date of
June 25, 2016
.
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Available-for-sale securities, at fair value
|
$
|
12,016,784
|
|
|
$
|
11,874,783
|
|
|
Trading securities, at fair value
|
2,010,000
|
|
|
1,997,656
|
|
||
|
Residential mortgage loans held-for-sale, at fair value
|
13,162
|
|
|
19,123
|
|
||
|
Net economic interests in consolidated securitization trusts
(1)
|
359,416
|
|
|
363,564
|
|
||
|
Cash and cash equivalents
|
14,669
|
|
|
14,117
|
|
||
|
Restricted cash
|
89,959
|
|
|
112,435
|
|
||
|
Due from counterparties
|
28,299
|
|
|
32,495
|
|
||
|
Derivative assets, at fair value
|
186,811
|
|
|
185,067
|
|
||
|
Total
|
$
|
14,719,100
|
|
|
$
|
14,599,240
|
|
|
(1)
|
Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
|
|
March 31, 2015
|
|
December 31, 2014
|
||||||||||||||||||||||||
|
(dollars in thousands)
|
Amount Outstanding
|
|
Net Counterparty Exposure
(1)
|
|
Percent of Equity
|
|
Weighted Average Days to Maturity
|
|
Amount Outstanding
|
|
Net Counterparty Exposure
(1)
|
|
Percent of Equity
|
|
Weighted Average Days to Maturity
|
||||||||||||
|
Royal Bank of Canada
|
$
|
1,284,065
|
|
|
$
|
344,167
|
|
|
8
|
%
|
|
73.1
|
|
|
$
|
1,373,549
|
|
|
$
|
401,194
|
|
|
10
|
%
|
|
83.8
|
|
|
Barclays Capital Inc.
|
799,269
|
|
|
298,274
|
|
|
7
|
%
|
|
45.2
|
|
|
1,346,085
|
|
|
365,879
|
|
|
9
|
%
|
|
50.5
|
|
||||
|
All other counterparties
(2) (3)
|
10,010,294
|
|
|
990,372
|
|
|
24
|
%
|
|
66.5
|
|
|
9,215,329
|
|
|
907,066
|
|
|
22
|
%
|
|
57.7
|
|
||||
|
Total
|
$
|
12,093,628
|
|
|
$
|
1,632,813
|
|
|
|
|
|
|
$
|
11,934,963
|
|
|
$
|
1,674,139
|
|
|
|
|
|
||||
|
(1)
|
Represents the net carrying value of the securities and residential mortgage loans held-for-sale sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. Payables due to broker counterparties for unsettled securities purchases are not included in the amounts presented above. However, at both
March 31, 2015
and
December 31, 2014
, the Company did not have any such payables.
|
|
(2)
|
Excludes
$1.0 billion
and
$997.5 million
of repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity as of
March 31, 2015
and
December 31, 2014
, respectively.
|
|
(3)
|
Represents amounts outstanding with
22
and
23
counterparties at
March 31, 2015
and
December 31, 2014
, respectively.
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
≤ 1 year
|
$
|
—
|
|
|
$
|
33,738
|
|
|
> 1 and ≤ 3 years
|
651,238
|
|
|
651,238
|
|
||
|
> 3 and ≤ 5 years
|
815,024
|
|
|
815,024
|
|
||
|
> 5 and ≤ 10 years
|
—
|
|
|
—
|
|
||
|
> 10 years
|
1,158,738
|
|
|
1,000,000
|
|
||
|
Total
|
$
|
2,625,000
|
|
|
$
|
2,500,000
|
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Available-for-sale securities, at fair value
|
$
|
2,158,907
|
|
|
$
|
2,284,532
|
|
|
Residential mortgage loans held-for-sale, at fair value
|
402,770
|
|
|
397,656
|
|
||
|
Net economic interests in consolidated securitization trusts
(1)
|
317,657
|
|
|
80,732
|
|
||
|
Total
|
$
|
2,879,334
|
|
|
$
|
2,762,920
|
|
|
(1)
|
Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Cash Dividend Per Share
|
||
|
March 18, 2015
|
|
March 31, 2015
|
|
April 21, 2015
|
|
$
|
0.26
|
|
|
December 16, 2014
|
|
December 30, 2014
|
|
January 20, 2015
|
|
$
|
0.26
|
|
|
September 16, 2014
|
|
September 30, 2014
|
|
October 21, 2014
|
|
$
|
0.26
|
|
|
June 17, 2014
|
|
July 2, 2014
|
|
July 22, 2014
|
|
$
|
0.26
|
|
|
March 17, 2014
|
|
March 31, 2014
|
|
April 21, 2014
|
|
$
|
0.26
|
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Available-for-sale securities, at fair value
|
|
|
|
||||
|
Unrealized gains
|
$
|
878,308
|
|
|
$
|
891,820
|
|
|
Unrealized losses
|
(28,450
|
)
|
|
(36,031
|
)
|
||
|
Accumulated other comprehensive income
|
$
|
849,858
|
|
|
$
|
855,789
|
|
|
(in thousands)
|
|
Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income
|
|
Amount Reclassified out of Accumulated Other Comprehensive Income
|
||||||
|
|
|
|
|
Three Months Ended March 31,
|
||||||
|
|
|
|
|
2015
|
|
2014
|
||||
|
Other-than-temporary-impairments on AFS securities
|
|
Total other-than-temporary impairment losses
|
|
$
|
127
|
|
|
$
|
212
|
|
|
Realized (gains) losses on sales of AFS securities
|
|
Gain (loss) on investment securities
|
|
(99,935
|
)
|
|
43,180
|
|
||
|
|
|
|
|
$
|
(99,808
|
)
|
|
$
|
43,392
|
|
|
|
Three Months Ended March 31,
|
||||||||||||
|
|
2015
|
|
2014
|
||||||||||
|
(in thousands)
|
Shares
|
|
Weighted Average Grant Date Fair Market Value
|
|
Shares
|
|
Weighted Average Grant Date Fair Market Value
|
||||||
|
Outstanding at Beginning of Period
|
2,002,406
|
|
|
$
|
10.32
|
|
|
1,024,459
|
|
|
$
|
11.22
|
|
|
Granted
|
206,275
|
|
|
10.30
|
|
|
1,103,162
|
|
|
9.79
|
|
||
|
Vested
|
(365,662
|
)
|
|
(9.79
|
)
|
|
—
|
|
|
—
|
|
||
|
Forfeited
|
(55,474
|
)
|
|
(10.19
|
)
|
|
(3,065
|
)
|
|
(9.79
|
)
|
||
|
Outstanding at End of Period
|
1,787,545
|
|
|
$
|
10.43
|
|
|
2,124,556
|
|
|
$
|
10.48
|
|
|
|
Three Months Ended March 31,
|
||||||
|
(in thousands, except share data)
|
2015
|
|
2014
|
||||
|
Numerator:
|
|
|
|
||||
|
Net income (loss)
|
$
|
94,793
|
|
|
$
|
(29,145
|
)
|
|
Denominator:
|
|
|
|
||||
|
Weighted average common shares outstanding
|
364,629,176
|
|
|
363,913,721
|
|
||
|
Weighted average restricted stock shares
|
1,878,481
|
|
|
1,698,169
|
|
||
|
Basic and diluted weighted average shares outstanding
|
366,507,657
|
|
|
365,611,890
|
|
||
|
Basic and Diluted Earnings (Loss) Per Share:
|
$
|
0.26
|
|
|
$
|
(0.08
|
)
|
|
•
|
Agency RMBS (which includes inverse interest-only Agency securities classified as “Agency Derivatives” for purposes of U.S. generally accepted accounting principles, or U.S. GAAP), meaning RMBS whose principal and interest payments are guaranteed by the Government National Mortgage Association (or Ginnie Mae), the Federal National Mortgage Association (or Fannie Mae), or the Federal Home Loan Mortgage Corporation (or Freddie Mac);
|
|
•
|
Non-Agency RMBS, meaning RMBS that are not issued or guaranteed by Ginnie Mae, Fannie Mae or Freddie Mac;
|
|
•
|
Residential mortgage loans;
|
|
•
|
MSR;
|
|
•
|
Commercial real estate assets; and
|
|
•
|
Other financial assets comprising approximately 5% to 10% of the portfolio.
|
|
|
As of
|
||||||||
|
|
March 31,
2015 |
|
December 31,
2014 |
|
September 30,
2014 |
|
June 30,
2014 |
|
March 31,
2014 |
|
Rates strategy
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS
|
45%
|
|
44%
|
|
44%
|
|
45%
|
|
45%
|
|
Mortgage servicing rights
|
10%
|
|
12%
|
|
12%
|
|
13%
|
|
13%
|
|
Credit strategy
|
|
|
|
|
|
|
|
|
|
|
Non-Agency RMBS
|
34%
|
|
34%
|
|
36%
|
|
36%
|
|
39%
|
|
Mortgage loan conduit/securitization
|
11%
|
|
10%
|
|
8%
|
|
6%
|
|
3%
|
|
|
Three Months Ended
|
||||||||
|
|
March 31,
2015 |
|
December 31,
2014 |
|
September 30,
2014 |
|
June 30,
2014 |
|
March 31,
2014 |
|
Average annualized portfolio yield
(1)
|
4.40%
|
|
4.46%
|
|
4.46%
|
|
4.64%
|
|
4.60%
|
|
Cost of financing
(2)
|
1.33%
|
|
1.55%
|
|
1.47%
|
|
1.26%
|
|
1.16%
|
|
Net portfolio yield
|
3.07%
|
|
2.91%
|
|
2.99%
|
|
3.38%
|
|
3.44%
|
|
(1)
|
Average annualized yield incorporates future prepayment, credit loss and other assumptions, all of which are estimates and subject to change.
|
|
(2)
|
Cost of financing includes swap interest rate spread.
|
|
•
|
changes in interest rates and the market value of our target assets;
|
|
•
|
changes in prepayment rates of mortgages underlying our target assets;
|
|
•
|
the occurrence, extent and timing of credit losses within our portfolio;
|
|
•
|
our exposure to adjustable-rate and negative amortization mortgage loans underlying our target assets;
|
|
•
|
the state of the credit markets and other general economic conditions, particularly as they affect the price of earning assets and the credit status of borrowers;
|
|
•
|
the concentration of the credit risks to which we are exposed;
|
|
•
|
legislative and regulatory actions affecting our business;
|
|
•
|
the availability and cost of our target assets;
|
|
•
|
the availability and cost of financing for our target assets, including repurchase agreement financing, lines of credit and financing through the FHLB;
|
|
•
|
declines in home prices;
|
|
•
|
increases in payment delinquencies and defaults on the mortgages comprising and underlying our target assets;
|
|
•
|
changes in liquidity in the market for real estate securities, the re-pricing of credit risk in the capital markets, inaccurate ratings of securities by rating agencies, rating agency downgrades of securities, and increases in the supply of real estate securities available-for-sale;
|
|
•
|
changes in the values of securities we own and the impact of adjustments reflecting those changes on our statements of comprehensive income and balance sheets, including our stockholders’ equity;
|
|
•
|
our ability to generate cash flow from our target assets;
|
|
•
|
changes in our investment, financing and hedging strategies and the new risks to which those changes may expose us;
|
|
•
|
changes in the competitive landscape within our industry, including changes that may affect our ability to attract and retain personnel;
|
|
•
|
our ability to build and maintain successful relationships with loan originators;
|
|
•
|
our ability to acquire mortgage loans in connection with our mortgage loan conduit program;
|
|
•
|
our ability to securitize the mortgage loans we acquire;
|
|
•
|
our exposure to legal and regulatory claims, including litigation arising from our involvement in securitization transactions and investments in MSR;
|
|
•
|
our ability to acquire MSR and successfully operate our seller-servicer subsidiary and oversee our subservicers;
|
|
•
|
our ability to successfully diversify our business into new asset classes, including commercial real estate debt, and manage the new risks to which they may expose us;
|
|
•
|
our ability to manage various operational and regulatory risks associated with our business;
|
|
•
|
interruptions in or impairments to our communications and information technology systems;
|
|
•
|
our ability to maintain appropriate internal controls over financial reporting;
|
|
•
|
our ability to establish, adjust and maintain appropriate hedges for the risks in our portfolio;
|
|
•
|
our ability to maintain our REIT qualification for U.S. federal income tax purposes; and
|
|
•
|
limitations imposed on our business due to our REIT status and our status as exempt from registration under the 1940 Act.
|
|
(dollars in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||||||||
|
Agency
|
|
|
|
|
|
|
|
||||||
|
Fixed Rate
|
$
|
11,401,979
|
|
|
78.5
|
%
|
|
$
|
11,164,032
|
|
|
76.8
|
%
|
|
Hybrid ARMs
|
124,939
|
|
|
0.8
|
%
|
|
128,285
|
|
|
0.9
|
%
|
||
|
Total Agency
|
11,526,918
|
|
|
79.3
|
%
|
|
11,292,317
|
|
|
77.7
|
%
|
||
|
Agency Derivatives
|
187,808
|
|
|
1.3
|
%
|
|
186,404
|
|
|
1.3
|
%
|
||
|
Non-Agency
|
|
|
|
|
|
|
|
||||||
|
Senior
|
2,086,215
|
|
|
14.4
|
%
|
|
2,370,435
|
|
|
16.3
|
%
|
||
|
Mezzanine
|
722,159
|
|
|
5.0
|
%
|
|
670,421
|
|
|
4.6
|
%
|
||
|
Interest-only securities
|
7,553
|
|
|
—
|
%
|
|
7,929
|
|
|
0.1
|
%
|
||
|
Total Non-Agency
|
2,815,927
|
|
|
19.4
|
%
|
|
3,048,785
|
|
|
21.0
|
%
|
||
|
Total
|
$
|
14,530,653
|
|
|
|
|
$
|
14,527,506
|
|
|
|
||
|
|
As of March 31, 2015
|
|||||||||||||||||
|
|
Agency RMBS AFS
|
|
Agency Derivatives
|
|
Total Agency RMBS
|
|||||||||||||
|
(dollars in thousands)
|
Fixed Rate
|
|
Hybrid ARMs
|
|
|
|||||||||||||
|
Other low loan balances
|
$
|
4,836,060
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4,836,060
|
|
|
41
|
%
|
|
$85K Max Pools
|
1,819,689
|
|
|
—
|
|
|
—
|
|
|
1,819,689
|
|
|
16
|
%
|
||||
|
Home equity conversion mortgages
|
1,728,307
|
|
|
—
|
|
|
—
|
|
|
1,728,307
|
|
|
15
|
%
|
||||
|
2006 and subsequent vintages
|
1,336,743
|
|
|
28,366
|
|
|
—
|
|
|
1,365,109
|
|
|
12
|
%
|
||||
|
High LTV (predominantly MHA)
|
503,558
|
|
|
—
|
|
|
—
|
|
|
503,558
|
|
|
4
|
%
|
||||
|
Pre-pay lock-out or penalty-based
|
483,124
|
|
|
3,596
|
|
|
—
|
|
|
486,720
|
|
|
4
|
%
|
||||
|
Seasoned (2005 and prior vintages)
|
231,798
|
|
|
92,977
|
|
|
133,324
|
|
|
458,099
|
|
|
4
|
%
|
||||
|
2006 and subsequent vintages - discount
|
354,787
|
|
|
—
|
|
|
54,484
|
|
|
409,271
|
|
|
3
|
%
|
||||
|
Low FICO
|
107,913
|
|
|
—
|
|
|
—
|
|
|
107,913
|
|
|
1
|
%
|
||||
|
Total
|
$
|
11,401,979
|
|
|
$
|
124,939
|
|
|
$
|
187,808
|
|
|
$
|
11,714,726
|
|
|
100
|
%
|
|
|
As of December 31, 2014
|
|||||||||||||||||
|
|
Agency RMBS AFS
|
|
Agency Derivatives
|
|
Total Agency RMBS
|
|||||||||||||
|
(dollars in thousands)
|
Fixed Rate
|
|
Hybrid ARMs
|
|
|
|||||||||||||
|
Other low loan balances
|
$
|
3,815,603
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,815,603
|
|
|
33
|
%
|
|
$85K Max Pools
|
2,529,610
|
|
|
—
|
|
|
—
|
|
|
2,529,610
|
|
|
22
|
%
|
||||
|
Home equity conversion mortgages
|
1,740,830
|
|
|
—
|
|
|
—
|
|
|
1,740,830
|
|
|
15
|
%
|
||||
|
2006 and subsequent vintages
|
1,353,827
|
|
|
28,997
|
|
|
—
|
|
|
1,382,824
|
|
|
12
|
%
|
||||
|
High LTV (predominantly MHA)
|
515,428
|
|
|
—
|
|
|
—
|
|
|
515,428
|
|
|
5
|
%
|
||||
|
Pre-pay lock-out or penalty-based
|
492,333
|
|
|
3,670
|
|
|
—
|
|
|
496,003
|
|
|
4
|
%
|
||||
|
Seasoned (2005 and prior vintages)
|
254,921
|
|
|
95,618
|
|
|
130,961
|
|
|
481,500
|
|
|
4
|
%
|
||||
|
2006 and subsequent vintages - discount
|
347,618
|
|
|
—
|
|
|
55,443
|
|
|
403,061
|
|
|
4
|
%
|
||||
|
Low FICO
|
113,862
|
|
|
—
|
|
|
—
|
|
|
113,862
|
|
|
1
|
%
|
||||
|
Total
|
$
|
11,164,032
|
|
|
$
|
128,285
|
|
|
$
|
186,404
|
|
|
$
|
11,478,721
|
|
|
100
|
%
|
|
|
As of March 31, 2015
|
||||||||||||||
|
(in thousands)
|
Principal and Interest Securities
|
|
Interest-Only Securities
|
|
Total
|
||||||||||
|
|
Senior
|
|
Mezzanine
|
|
|
||||||||||
|
Face Value
|
$
|
2,766,475
|
|
|
$
|
820,414
|
|
|
$
|
271,456
|
|
|
$
|
3,858,345
|
|
|
Unamortized discount
|
|
|
|
|
|
|
|
||||||||
|
Designated credit reserve
|
(680,466
|
)
|
|
(66,918
|
)
|
|
—
|
|
|
(747,384
|
)
|
||||
|
Unamortized net discount
|
(464,741
|
)
|
|
(142,104
|
)
|
|
(265,138
|
)
|
|
(871,983
|
)
|
||||
|
Amortized Cost
|
$
|
1,621,268
|
|
|
$
|
611,392
|
|
|
$
|
6,318
|
|
|
$
|
2,238,978
|
|
|
|
As of December 31, 2014
|
||||||||||||||
|
(in thousands)
|
Principal and Interest Securities
|
|
Interest-Only Securities
|
|
Total
|
||||||||||
|
|
Senior
|
|
Mezzanine
|
|
|
||||||||||
|
Face Value
|
$
|
3,213,104
|
|
|
$
|
794,798
|
|
|
$
|
283,970
|
|
|
$
|
4,291,872
|
|
|
Unamortized discount
|
|
|
|
|
|
|
|
||||||||
|
Designated credit reserve
|
(843,106
|
)
|
|
(84,499
|
)
|
|
—
|
|
|
(927,605
|
)
|
||||
|
Unamortized net discount
|
(531,531
|
)
|
|
(158,465
|
)
|
|
(277,372
|
)
|
|
(967,368
|
)
|
||||
|
Amortized Cost
|
$
|
1,838,467
|
|
|
$
|
551,834
|
|
|
$
|
6,598
|
|
|
$
|
2,396,899
|
|
|
(in thousands, except share data)
|
|
Three Months Ended
|
||||||
|
Income Statement Data:
|
|
March 31,
|
||||||
|
|
|
2015
|
|
2014
|
||||
|
Interest income:
|
|
(unaudited)
|
||||||
|
Available-for-sale securities
|
|
$
|
135,525
|
|
|
$
|
123,913
|
|
|
Trading securities
|
|
4,695
|
|
|
1,926
|
|
||
|
Residential mortgage loans held-for-sale
|
|
4,271
|
|
|
4,586
|
|
||
|
Residential mortgage loans held-for-investment in securitization trusts
|
|
18,237
|
|
|
7,893
|
|
||
|
Commercial real estate loans held-for-investment
|
|
44
|
|
|
—
|
|
||
|
Cash and cash equivalents
|
|
197
|
|
|
217
|
|
||
|
Total interest income
|
|
162,969
|
|
|
138,535
|
|
||
|
Interest expense:
|
|
|
|
|
||||
|
Repurchase agreements
|
|
20,565
|
|
|
20,572
|
|
||
|
Collateralized borrowings in securitization trusts
|
|
10,708
|
|
|
5,353
|
|
||
|
Federal Home Loan Bank advances
|
|
2,230
|
|
|
153
|
|
||
|
Total interest expense
|
|
33,503
|
|
|
26,078
|
|
||
|
Net interest income
|
|
129,466
|
|
|
112,457
|
|
||
|
Other-than-temporary impairment losses
|
|
(127
|
)
|
|
(212
|
)
|
||
|
Other income:
|
|
|
|
|
||||
|
Gain (loss) on investment securities
|
|
129,457
|
|
|
(38,655
|
)
|
||
|
Loss on interest rate swap and swaption agreements
|
|
(126,443
|
)
|
|
(105,528
|
)
|
||
|
Gain on other derivative instruments
|
|
2,967
|
|
|
5,801
|
|
||
|
Gain (loss) on residential mortgage loans held-for-sale
|
|
9,092
|
|
|
(3,181
|
)
|
||
|
Servicing income
|
|
32,087
|
|
|
30,441
|
|
||
|
Loss on servicing asset
|
|
(52,403
|
)
|
|
(32,760
|
)
|
||
|
Other (loss) income
|
|
(1,857
|
)
|
|
460
|
|
||
|
Total other loss
|
|
(7,100
|
)
|
|
(143,422
|
)
|
||
|
Expenses:
|
|
|
|
|
||||
|
Management fees
|
|
12,721
|
|
|
12,111
|
|
||
|
Securitization deal costs
|
|
2,611
|
|
|
—
|
|
||
|
Servicing expenses
|
|
6,716
|
|
|
5,225
|
|
||
|
Other operating expenses
|
|
16,055
|
|
|
14,534
|
|
||
|
Total expenses
|
|
38,103
|
|
|
31,870
|
|
||
|
Income (loss) before income taxes
|
|
84,136
|
|
|
(63,047
|
)
|
||
|
Benefit from for income taxes
|
|
(10,657
|
)
|
|
(33,902
|
)
|
||
|
Net income (loss)
|
|
$
|
94,793
|
|
|
$
|
(29,145
|
)
|
|
Basic and diluted earnings (loss) per weighted average common share
|
|
$
|
0.26
|
|
|
$
|
(0.08
|
)
|
|
Dividends declared per common share
|
|
$
|
0.26
|
|
|
$
|
0.26
|
|
|
Basic and diluted weighted average number of shares of common stock
|
|
366,507,657
|
|
|
365,611,890
|
|
||
|
Comprehensive income:
|
|
|
|
|
||||
|
Net income (loss)
|
|
$
|
94,793
|
|
|
$
|
(29,145
|
)
|
|
Other comprehensive (loss) income:
|
|
|
|
|
||||
|
Unrealized (loss) gain on available-for-sale securities, net
|
|
(5,931
|
)
|
|
181,735
|
|
||
|
Other comprehensive (loss) income
|
|
(5,931
|
)
|
|
181,735
|
|
||
|
Comprehensive income
|
|
$
|
88,862
|
|
|
$
|
152,590
|
|
|
(in thousands)
|
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Balance Sheet Data:
|
|
|
||||||
|
|
|
(unaudited)
|
|
|
||||
|
|
|
|
|
|
||||
|
Available-for-sale securities
|
|
$
|
14,342,845
|
|
|
$
|
14,341,102
|
|
|
Total assets
|
|
$
|
21,678,055
|
|
|
$
|
21,084,309
|
|
|
Repurchase agreements
|
|
$
|
13,094,878
|
|
|
$
|
12,932,463
|
|
|
Federal Home Loan Bank advances
|
|
$
|
2,625,000
|
|
|
$
|
2,500,000
|
|
|
Total stockholders’ equity
|
|
$
|
4,061,495
|
|
|
$
|
4,068,042
|
|
|
|
Three Months Ended March 31, 2015
|
|
Three Months Ended March 31, 2014
|
||||||||||||||||||
|
(dollars in thousands)
|
Average Balance
(1)
|
|
Interest Income
|
|
Net Asset Yield
|
|
Average Balance
(1)
|
|
Interest Income
|
|
Net Asset Yield
|
||||||||||
|
Available-for-sale securities
|
$
|
13,440,272
|
|
|
$
|
135,525
|
|
|
4.0
|
%
|
|
$
|
11,836,627
|
|
|
$
|
123,913
|
|
|
4.2
|
%
|
|
Trading securities
|
1,996,467
|
|
|
4,695
|
|
|
0.9
|
%
|
|
999,576
|
|
|
1,926
|
|
|
0.8
|
%
|
||||
|
Residential mortgage loans held-for-sale
|
448,101
|
|
|
4,271
|
|
|
3.8
|
%
|
|
471,863
|
|
|
4,586
|
|
|
3.9
|
%
|
||||
|
Residential mortgage loans held-for-investment in securitization trusts
|
1,873,476
|
|
|
18,237
|
|
|
3.9
|
%
|
|
808,064
|
|
|
7,893
|
|
|
3.9
|
%
|
||||
|
Commercial real estate loans held-for-investment
|
2,531
|
|
|
44
|
|
|
7.0
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
|
|
17,760,847
|
|
|
162,772
|
|
|
3.7
|
%
|
|
14,116,130
|
|
|
138,318
|
|
|
3.9
|
%
|
||||
|
Agency derivatives
(2)
|
169,536
|
|
|
8,184
|
|
|
19.3
|
%
|
|
219,847
|
|
|
7,005
|
|
|
12.7
|
%
|
||||
|
Total
|
$
|
17,930,383
|
|
|
$
|
170,956
|
|
|
3.8
|
%
|
|
$
|
14,335,977
|
|
|
$
|
145,323
|
|
|
4.1
|
%
|
|
(1)
|
Average balance represents average amortized cost on AFS, trading securities and Agency Derivatives and average unpaid principal balance, adjusted for purchase price changes, on residential mortgage loans held-for-sale, residential mortgage loans held-for-investment in securitization trusts and commercial real estate loans held-for-investment.
|
|
(2)
|
Interest income on Agency Derivatives is included in gain on other derivative instruments on the statements of comprehensive income.
|
|
|
Three Months Ended March 31, 2015
|
|
Three Months Ended March 31, 2014
|
||||||||||||||
|
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
|
Agency
(1)
|
|
Non-Agency
|
|
Total
|
||||||
|
Gross yield/stated coupon
|
4.5
|
%
|
|
3.1
|
%
|
|
4.3
|
%
|
|
4.4
|
%
|
|
3.2
|
%
|
|
4.2
|
%
|
|
Net (premium amortization)/discount accretion
|
(1.3
|
)%
|
|
4.8
|
%
|
|
(0.3
|
)%
|
|
(1.3
|
)%
|
|
5.9
|
%
|
|
—
|
%
|
|
Net yield
(2)
|
3.2
|
%
|
|
7.9
|
%
|
|
4.0
|
%
|
|
3.1
|
%
|
|
9.1
|
%
|
|
4.2
|
%
|
|
(1)
|
Excludes Agency Derivatives. For the
three months ended
March 31, 2015
and
2014
, average annualized net yield on total Agency RMBS, including Agency Derivatives, was
3.5%
and
3.3%
, respectively.
|
|
(2)
|
These yields have not been adjusted for cost of delay and cost to carry purchase premiums.
|
|
|
Three Months Ended March 31, 2015
|
|
Three Months Ended March 31, 2014
|
||||||||||||||||||||
|
(dollars in thousands)
|
Agency
|
|
Non-Agency
|
|
Total
|
|
Agency
|
|
Non-Agency
|
|
Total
|
||||||||||||
|
Average amortized cost
|
$
|
11,140,030
|
|
|
$
|
2,300,242
|
|
|
$
|
13,440,272
|
|
|
$
|
9,683,320
|
|
|
$
|
2,153,308
|
|
|
$
|
11,836,628
|
|
|
Coupon interest
|
125,725
|
|
|
17,712
|
|
|
143,437
|
|
|
106,862
|
|
|
17,025
|
|
|
123,887
|
|
||||||
|
Net (premium amortization)/discount accretion
|
(35,377
|
)
|
|
27,465
|
|
|
(7,912
|
)
|
|
(31,805
|
)
|
|
31,831
|
|
|
26
|
|
||||||
|
Interest income
|
$
|
90,348
|
|
|
$
|
45,177
|
|
|
$
|
135,525
|
|
|
$
|
75,057
|
|
|
$
|
48,856
|
|
|
$
|
123,913
|
|
|
Net asset yield
|
3.2
|
%
|
|
7.9
|
%
|
|
4.0
|
%
|
|
3.1
|
%
|
|
9.1
|
%
|
|
4.2
|
%
|
||||||
|
(1)
|
Excludes Agency Derivatives. For the
three months ended
March 31, 2015
and
2014
, average annualized net yield on total Agency RMBS, including Agency Derivatives, was
3.5%
and
3.3%
, respectively.
|
|
|
Three Months Ended March 31, 2015
|
|
Three Months Ended March 31, 2014
|
||||||||||||||||||
|
(dollars in thousands)
|
Average Balance
(1)
|
|
Interest Expense
|
|
Cost of Funds
(2)
|
|
Average Balance
(1)
|
|
Interest Expense
|
|
Cost of Funds
(2)
|
||||||||||
|
Available-for-sale securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Agency
(3)
|
$
|
10,635,375
|
|
|
$
|
10,843
|
|
|
0.4
|
%
|
|
$
|
9,053,513
|
|
|
$
|
9,796
|
|
|
0.4
|
%
|
|
Non-Agency
|
1,937,275
|
|
|
8,921
|
|
|
1.8
|
%
|
|
1,855,007
|
|
|
8,996
|
|
|
1.9
|
%
|
||||
|
|
12,572,650
|
|
|
19,764
|
|
|
0.6
|
%
|
|
10,908,520
|
|
|
18,792
|
|
|
0.7
|
%
|
||||
|
Agency derivatives
|
135,202
|
|
|
337
|
|
|
1.0
|
%
|
|
162,290
|
|
|
423
|
|
|
1.0
|
%
|
||||
|
Trading securities
|
1,998,529
|
|
|
846
|
|
|
0.2
|
%
|
|
1,001,260
|
|
|
160
|
|
|
0.1
|
%
|
||||
|
Residential mortgage loans held-for-sale
|
408,388
|
|
|
443
|
|
|
0.4
|
%
|
|
183,194
|
|
|
1,350
|
|
|
2.9
|
%
|
||||
|
Residential mortgage loans held-for-investment in securitization trusts
(4)
|
1,702,130
|
|
|
12,113
|
|
|
2.8
|
%
|
|
687,675
|
|
|
5,353
|
|
|
3.1
|
%
|
||||
|
Total
|
$
|
16,816,899
|
|
|
$
|
33,503
|
|
|
0.8
|
%
|
|
$
|
12,942,939
|
|
|
$
|
26,078
|
|
|
0.8
|
%
|
|
(1)
|
Average balance represents average total repurchase agreements and FHLB advances on AFS securities, Agency Derivatives, trading securities and residential mortgage loans held-for-sale, and average collateralized borrowings for residential mortgage loans held-for-investment in securitization trusts.
|
|
(2)
|
Cost of funds by investment type is based on the underlying investment type of the asset assigned as collateral. Cost of funds does not include the accrual and settlement of interest associated with interest rate swaps. In accordance with U.S. GAAP, those costs are included in loss on interest rate swap and swaption agreements in the consolidated statements of comprehensive income. For the
three months ended
March 31, 2015
and
2014
, our total average cost of funds on the assets assigned as collateral for repurchase agreements, FHLB advances and collateralized borrowings shown in the table above, including interest spread expense associated with interest rate swaps, was
1.5%
and
1.3%
, respectively.
|
|
(3)
|
Excludes Agency Derivatives. For the
three months ended
March 31, 2015
and
2014
, our average cost of funds on total Agency RMBS, including Agency Derivatives, was
0.4%
and
0.4%
. respectively.
|
|
(4)
|
Includes repurchase agreements collateralized by retained interests from our on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
|
|
Three Months Ended March 31, 2015
|
|
Three Months Ended March 31, 2014
|
||||||||||
|
(dollars in thousands)
|
Net Interest Income
|
|
Net Interest Rate Spread
(1)
|
|
Net Interest Income
|
|
Net Interest Rate Spread
(1)
|
||||||
|
Available-for-sale securities
|
|
|
|
|
|
|
|
||||||
|
Agency
(2)
|
$
|
79,505
|
|
|
2.8
|
%
|
|
$
|
65,261
|
|
|
2.7
|
%
|
|
Non-Agency
|
36,256
|
|
|
6.1
|
%
|
|
39,860
|
|
|
7.2
|
%
|
||
|
|
115,761
|
|
|
3.4
|
%
|
|
105,121
|
|
|
3.5
|
%
|
||
|
Trading securities
|
3,849
|
|
|
0.7
|
%
|
|
1,766
|
|
|
0.7
|
%
|
||
|
Residential mortgage loans held-for-sale
|
3,828
|
|
|
3.4
|
%
|
|
3,236
|
|
|
1.0
|
%
|
||
|
Residential mortgage loans held-for-investment in securitization trusts
(3)
|
6,123
|
|
|
1.1
|
%
|
|
2,540
|
|
|
0.8
|
%
|
||
|
Commercial real estate loans held-for-investment
|
44
|
|
|
7.0
|
%
|
|
—
|
|
|
—
|
%
|
||
|
|
129,605
|
|
|
2.8
|
%
|
|
112,663
|
|
|
3.1
|
%
|
||
|
Agency derivatives
(4)
|
7,848
|
|
|
18.3
|
%
|
|
6,582
|
|
|
11.7
|
%
|
||
|
Total
|
$
|
137,453
|
|
|
3.0
|
%
|
|
$
|
119,245
|
|
|
3.3
|
%
|
|
(1)
|
Net interest rate spread does not include the accrual and settlement of interest associated with interest rate swaps. In accordance with U.S. GAAP, those costs are included in loss on interest rate swap and swaption agreements in the consolidated statements of comprehensive income. For the
three months ended
March 31, 2015
and
2014
, our total average net interest rate spread on the assets shown in the table above, including interest spread expense associated with interest rate swaps, was
2.3%
and
2.8%
, respectively.
|
|
(2)
|
Excludes Agency Derivatives. For the
three months ended
March 31, 2015
and
2014
, our average annualized net interest rate spread on total Agency RMBS, including Agency Derivatives, was
3.1%
and
2.9%
, respectively.
|
|
(3)
|
Net of interest expense on repurchase agreements collateralized by retained interests from our on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
|
(4)
|
Interest income on Agency Derivatives is included in (loss) gain on other derivative instruments on the statements of comprehensive income, while interest expense on Agency Derivatives is included in interest expense on repurchase agreements on the statements of other comprehensive income.
|
|
(in thousands)
|
Three Months Ended March 31,
|
||||||
|
|
2015
|
|
2014
|
||||
|
Net interest spread
|
$
|
(27,525
|
)
|
|
$
|
(13,836
|
)
|
|
Early termination and option expiration gains (losses)
|
11,775
|
|
|
(1,240
|
)
|
||
|
Change in unrealized loss on interest rate swap and swaption agreements, at fair value
|
(110,693
|
)
|
|
(90,452
|
)
|
||
|
Loss on interest rate swap and swaption agreements
|
$
|
(126,443
|
)
|
|
$
|
(105,528
|
)
|
|
|
March 31, 2015
|
|||||||||||||||||||||||||||||
|
(dollars in thousands, except purchase price)
|
Principal/Current Face
|
|
Net (Discount)/ Premium
|
|
Amortized Cost
|
|
Unrealized Gain
|
|
Unrealized Loss
|
|
Carrying Value
|
|
Weighted Average Coupon Rate
|
|
Weighted Average Purchase Price
|
|||||||||||||||
|
Principal and interest securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
Fixed
|
$
|
10,216,462
|
|
|
$
|
663,433
|
|
|
$
|
10,879,895
|
|
|
$
|
274,409
|
|
|
$
|
(18,402
|
)
|
|
$
|
11,135,902
|
|
|
4.33
|
%
|
|
$
|
107.88
|
|
|
Hybrid/ARM
|
115,391
|
|
|
5,268
|
|
|
120,659
|
|
|
4,296
|
|
|
(16
|
)
|
|
124,939
|
|
|
3.52
|
%
|
|
$
|
106.09
|
|
||||||
|
Total P&I Securities
|
10,331,853
|
|
|
668,701
|
|
|
11,000,554
|
|
|
278,705
|
|
|
(18,418
|
)
|
|
11,260,841
|
|
|
4.32
|
%
|
|
$
|
107.86
|
|
||||||
|
Interest-only securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
Fixed
|
353,498
|
|
|
(314,564
|
)
|
|
38,934
|
|
|
5,805
|
|
|
(530
|
)
|
|
44,209
|
|
|
4.31
|
%
|
|
$
|
15.09
|
|
||||||
|
Fixed Other
(1)
|
2,807,522
|
|
|
(2,593,001
|
)
|
|
214,521
|
|
|
15,316
|
|
|
(7,969
|
)
|
|
221,868
|
|
|
1.63
|
%
|
|
$
|
9.24
|
|
||||||
|
Total
|
$
|
13,492,873
|
|
|
$
|
(2,238,864
|
)
|
|
$
|
11,254,009
|
|
|
$
|
299,826
|
|
|
$
|
(26,917
|
)
|
|
$
|
11,526,918
|
|
|
|
|
|
|||
|
(1)
|
Fixed Other represents weighted-average coupon interest-only securities that are not generally used for our interest-rate risk management purposes. These securities pay variable coupon interest based on the weighted average of the fixed rates of the underlying loans of the security, less the weighted average rates of the applicable issued principal and interest securities.
|
|
(in thousands)
|
March 31,
2015 |
||
|
0-12 months
|
$
|
123,573
|
|
|
13-36 months
|
1,366
|
|
|
|
Total
|
$
|
124,939
|
|
|
|
As of March 31, 2015
|
||||||||||||||||||||||||||
|
(in thousands)
|
Principal/current face
|
|
Accretable purchase discount
|
|
Credit reserve purchase discount
|
|
Amortized cost
|
|
Unrealized gain
|
|
Unrealized loss
|
|
Carrying value
|
||||||||||||||
|
Principal and interest securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
Senior
|
$
|
2,766,475
|
|
|
$
|
(464,741
|
)
|
|
$
|
(680,466
|
)
|
|
$
|
1,621,268
|
|
|
$
|
465,743
|
|
|
$
|
(796
|
)
|
|
$
|
2,086,215
|
|
|
Mezzanine
|
820,414
|
|
|
(142,104
|
)
|
|
(66,918
|
)
|
|
611,392
|
|
|
111,504
|
|
|
(737
|
)
|
|
722,159
|
|
|||||||
|
Total P&I Securities
|
3,586,889
|
|
|
(606,845
|
)
|
|
(747,384
|
)
|
|
2,232,660
|
|
|
577,247
|
|
|
(1,533
|
)
|
|
2,808,374
|
|
|||||||
|
Interest-only securities
|
271,456
|
|
|
(265,138
|
)
|
|
—
|
|
|
6,318
|
|
|
1,235
|
|
|
—
|
|
|
7,553
|
|
|||||||
|
Total
|
$
|
3,858,345
|
|
|
$
|
(871,983
|
)
|
|
$
|
(747,384
|
)
|
|
$
|
2,238,978
|
|
|
$
|
578,482
|
|
|
$
|
(1,533
|
)
|
|
$
|
2,815,927
|
|
|
|
March 31,
2015 |
|
|
AAA
|
6.8
|
%
|
|
AA
|
—
|
%
|
|
A
|
—
|
%
|
|
BBB
|
2.3
|
%
|
|
BB
|
0.9
|
%
|
|
B
|
4.7
|
%
|
|
Below B
|
70.4
|
%
|
|
Not rated
|
14.9
|
%
|
|
Total
|
100.0
|
%
|
|
|
At March 31, 2015
|
||||||||||
|
Non-Agency Principal and Interest (P&I) RMBS Characteristics
|
Senior Bonds
|
|
Mezzanine Bonds
|
|
Total P&I Bonds
|
||||||
|
Carrying Value (in thousands)
|
$
|
2,086,215
|
|
|
$
|
722,159
|
|
|
$
|
2,808,374
|
|
|
% of Non-Agency Portfolio
|
74.3
|
%
|
|
25.7
|
%
|
|
100.0
|
%
|
|||
|
Average Purchase Price
(1)
|
$
|
57.63
|
|
|
$
|
74.46
|
|
|
$
|
61.96
|
|
|
Average Coupon
|
2.5
|
%
|
|
2.6
|
%
|
|
2.6
|
%
|
|||
|
Average Fixed Coupon
|
4.1
|
%
|
|
5.5
|
%
|
|
4.1
|
%
|
|||
|
Average Floating Coupon
|
2.1
|
%
|
|
2.5
|
%
|
|
2.2
|
%
|
|||
|
Average Hybrid Coupon
|
5.2
|
%
|
|
—
|
%
|
|
5.2
|
%
|
|||
|
Collateral Attributes
|
|
|
|
|
|
||||||
|
Avg Loan Age (months)
|
92
|
|
|
80
|
|
|
89
|
|
|||
|
Avg Loan Size (in thousands)
|
$
|
380
|
|
|
$
|
460
|
|
|
$
|
399
|
|
|
Avg Original Loan-to-Value
|
69.8
|
%
|
|
72.8
|
%
|
|
70.6
|
%
|
|||
|
Avg Original FICO
(2)
|
633
|
|
|
686
|
|
|
646
|
|
|||
|
Current Performance
|
|
|
|
|
|
||||||
|
60+ day delinquencies
|
26.9
|
%
|
|
16.2
|
%
|
|
24.3
|
%
|
|||
|
Average Credit Enhancement
(3)
|
8.8
|
%
|
|
15.7
|
%
|
|
10.5
|
%
|
|||
|
3-Month CPR
(4)
|
3.5
|
%
|
|
10.4
|
%
|
|
5.1
|
%
|
|||
|
(1)
|
Average purchase price utilized carrying value for weighting purposes. If current face were utilized for weighting purposes, the average purchase price for senior, mezzanine, and total non-Agency RMBS, excluding our non-Agency interest-only portfolio, would be
$53.10
,
$71.05
, and
$57.21
, respectively, at
March 31, 2015
.
|
|
(2)
|
FICO represents a mortgage industry accepted credit score of a borrower, which was developed by Fair Isaac Corporation.
|
|
(3)
|
Average credit enhancement remaining on our non-Agency RMBS portfolio, which is the average amount of protection available to absorb future credit losses due to defaults on the underlying collateral.
|
|
(4)
|
Three-month CPR is reflective of the prepayment speed on the underlying securitization; however, it does not necessarily indicate the proceeds received on our investment tranche. Proceeds received for each security are dependent on the position of the individual security within the structure of each deal.
|
|
|
March 31, 2015
|
|||||||||||||||||||
|
(dollars in thousands)
|
Senior Bonds
|
|
Mezzanine Bonds
|
|
Total Bonds
|
|||||||||||||||
|
Collateral Type
|
Carrying Value
|
|
% of Senior Bonds
|
|
Carrying Value
|
|
% of Mezzanine Bonds
|
|
Carrying Value
|
|
% of Non-Agency Portfolio
|
|||||||||
|
Prime
|
$
|
285,669
|
|
|
13.7
|
%
|
|
$
|
142,789
|
|
|
19.8
|
%
|
|
$
|
428,458
|
|
|
15.2
|
%
|
|
Alt-A
|
78,160
|
|
|
3.7
|
%
|
|
23,597
|
|
|
3.3
|
%
|
|
101,757
|
|
|
3.6
|
%
|
|||
|
POA
|
171,120
|
|
|
8.2
|
%
|
|
30,162
|
|
|
4.2
|
%
|
|
201,282
|
|
|
7.2
|
%
|
|||
|
Subprime
|
1,551,266
|
|
|
74.4
|
%
|
|
343,190
|
|
|
47.5
|
%
|
|
1,894,456
|
|
|
67.5
|
%
|
|||
|
Other
|
—
|
|
|
—
|
%
|
|
182,421
|
|
|
25.2
|
%
|
|
182,421
|
|
|
6.5
|
%
|
|||
|
|
$
|
2,086,215
|
|
|
100.0
|
%
|
|
$
|
722,159
|
|
|
100.0
|
%
|
|
$
|
2,808,374
|
|
|
100.0
|
%
|
|
|
March 31, 2015
|
|||||||||||||||||||
|
(dollars in thousands)
|
Senior Bonds
|
|
Mezzanine Bonds
|
|
Total Bonds
|
|||||||||||||||
|
Coupon Type
|
Carrying Value
|
|
% of Senior Bonds
|
|
Carrying Value
|
|
% of Mezzanine Bonds
|
|
Carrying Value
|
|
% of Non-Agency Portfolio
|
|||||||||
|
Fixed Rate
|
$
|
452,482
|
|
|
21.7
|
%
|
|
$
|
23,393
|
|
|
3.2
|
%
|
|
$
|
475,875
|
|
|
16.9
|
%
|
|
Hybrid or Floating
|
1,633,733
|
|
|
78.3
|
%
|
|
698,766
|
|
|
96.8
|
%
|
|
2,332,499
|
|
|
83.1
|
%
|
|||
|
|
$
|
2,086,215
|
|
|
100.0
|
%
|
|
$
|
722,159
|
|
|
100.0
|
%
|
|
$
|
2,808,374
|
|
|
100.0
|
%
|
|
|
March 31, 2015
|
|||||||||||||||||||
|
(dollars in thousands)
|
Senior Bonds
|
|
Mezzanine Bonds
|
|
Total Bonds
|
|||||||||||||||
|
Origination Year
|
Carrying Value
|
|
% of Senior Bonds
|
|
Carrying Value
|
|
% of Mezzanine Bonds
|
|
Carrying Value
|
|
% of Non-Agency Portfolio
|
|||||||||
|
2006+
|
$
|
1,807,343
|
|
|
86.6
|
%
|
|
$
|
372,044
|
|
|
51.5
|
%
|
|
$
|
2,179,387
|
|
|
77.6
|
%
|
|
2002-2005
|
274,945
|
|
|
13.2
|
%
|
|
349,573
|
|
|
48.4
|
%
|
|
624,518
|
|
|
22.2
|
%
|
|||
|
Pre-2002
|
3,927
|
|
|
0.2
|
%
|
|
542
|
|
|
0.1
|
%
|
|
4,469
|
|
|
0.2
|
%
|
|||
|
|
$
|
2,086,215
|
|
|
100.0
|
%
|
|
$
|
722,159
|
|
|
100.0
|
%
|
|
$
|
2,808,374
|
|
|
100.0
|
%
|
|
|
March 31, 2015
|
||||||||||||||
|
(in thousands)
|
Unpaid Principal Balance
|
|
Fair Value - Purchase Price
|
|
Fair Value - Unrealized
|
|
Carrying Value
|
||||||||
|
Prime nonconforming residential mortgage loans
|
$
|
485,409
|
|
|
$
|
9,938
|
|
|
$
|
3,086
|
|
|
$
|
498,433
|
|
|
Credit sensitive residential mortgage loans
|
20,367
|
|
|
(6,201
|
)
|
|
(2,533
|
)
|
|
11,633
|
|
||||
|
Ginnie Mae buyout residential mortgage loans
|
63,777
|
|
|
(5,358
|
)
|
|
97
|
|
|
58,516
|
|
||||
|
Residential mortgage loans held-for-sale
|
$
|
569,553
|
|
|
$
|
(1,621
|
)
|
|
$
|
650
|
|
|
$
|
568,582
|
|
|
|
At March 31, 2015
|
||||||||||||||
|
|
Government FHA
(1)
|
|
Government VA/USDA
(1)
|
|
Conventional
(2)
|
|
Total
|
||||||||
|
Unpaid principal balance (in thousands)
|
$
|
8,659,658
|
|
|
$
|
2,939,030
|
|
|
$
|
32,376,220
|
|
|
$
|
43,974,908
|
|
|
Number of loans
|
58,848
|
|
|
15,517
|
|
|
145,668
|
|
|
220,033
|
|
||||
|
Average Coupon
|
4.4
|
%
|
|
3.9
|
%
|
|
3.8
|
%
|
|
3.9
|
%
|
||||
|
Avg Loan Age (months)
|
48
|
|
|
36
|
|
|
29
|
|
|
33
|
|
||||
|
Avg Loan Size (in thousands)
|
$
|
147
|
|
|
$
|
189
|
|
|
$
|
222
|
|
|
$
|
200
|
|
|
Avg Original Loan-to-Value
|
92.4
|
%
|
|
96.1
|
%
|
|
67.6
|
%
|
|
74.4
|
%
|
||||
|
Avg Original FICO
|
700
|
|
|
718
|
|
|
764
|
|
|
748
|
|
||||
|
60+ day delinquencies
|
4.7
|
%
|
|
2.6
|
%
|
|
0.3
|
%
|
|
1.3
|
%
|
||||
|
3-Month CPR
|
16.7
|
%
|
|
12.7
|
%
|
|
12.9
|
%
|
|
13.6
|
%
|
||||
|
(1)
|
Includes loans issued by Ginnie Mae.
|
|
(2)
|
Includes loans issued by Fannie Mae, Freddie Mac or private investors.
|
|
(dollars in thousands)
|
|
March 31, 2015
|
||||||||
|
Collateral Type
|
|
Amount Outstanding
|
|
Weighted Average Borrowing Rate
|
|
Weighted Average Haircut on Collateral Value
|
||||
|
U.S. Treasuries
|
|
$
|
2,001,250
|
|
|
0.32
|
%
|
|
0.5
|
%
|
|
Agency RMBS
|
|
10,773,639
|
|
|
0.41
|
%
|
|
5.9
|
%
|
|
|
Non-Agency RMBS
(1)
|
|
2,480,497
|
|
|
1.64
|
%
|
|
26.9
|
%
|
|
|
Agency Derivatives
|
|
133,611
|
|
|
1.01
|
%
|
|
26.5
|
%
|
|
|
Residential mortgage loans held-for-sale
|
|
330,881
|
|
|
0.43
|
%
|
|
21.1
|
%
|
|
|
Total
|
|
$
|
15,719,878
|
|
|
0.60
|
%
|
|
9.0
|
%
|
|
(1)
|
Includes repurchase agreements and FHLB advances collateralized by retained interests from the Company’s on-balance sheet securitizations which are eliminated in consolidation in accordance with U.S. GAAP.
|
|
(dollars in thousands)
|
Quarterly Average
(1)
|
|
End of Period Balance
(1)
|
|
Maximum Balance of Any Month-End
(1)
|
|
Total Borrowings to Equity Ratio
|
|||||||
|
For the Three Months Ended March 31, 2015
|
$
|
13,598,611
|
|
|
$
|
13,718,628
|
|
|
$
|
13,843,240
|
|
|
3.4
|
:1.0
|
|
For the Three Months Ended December 31, 2014
|
$
|
12,726,721
|
|
|
$
|
13,436,213
|
|
|
$
|
13,436,213
|
|
|
3.3
|
:1.0
|
|
For the Three Months Ended September 30, 2014
|
$
|
11,626,507
|
|
|
$
|
11,788,628
|
|
|
$
|
11,788,628
|
|
|
2.9
|
:1.0
|
|
For the Three Months Ended June 30, 2014
|
$
|
11,527,349
|
|
|
$
|
11,891,187
|
|
|
$
|
11,891,187
|
|
|
2.9
|
:1.0
|
|
For the Three Months Ended March 31, 2014
|
$
|
11,254,004
|
|
|
$
|
11,489,403
|
|
|
$
|
11,489,403
|
|
|
2.9
|
:1.0
|
|
(1)
|
Includes repurchase agreements and FHLB advances collateralized by RMBS AFS, residential mortgage loans held-for-sale and Agency Derivatives and excludes repurchase agreements collateralized by U.S. Treasuries and collateralized borrowings in securitization trusts.
|
|
(dollars in millions, except per share amounts)
|
Book Value
|
|
Common Shares Outstanding
|
|
Book Value Per Share
|
|||||
|
Stockholders' equity at December 31, 2014
|
$
|
4,068.0
|
|
|
366.4
|
|
|
$
|
11.10
|
|
|
Cumulative effect of adoption of new accounting principle
|
(3.0
|
)
|
|
|
|
|
||||
|
Adjusted stockholders’ equity at January 1, 2015
|
4,065.0
|
|
|
|
|
|
||||
|
GAAP net income:
|
|
|
|
|
|
|||||
|
Core Earnings, net of tax expense of $0.3 million
(1)
|
94.1
|
|
|
|
|
|
||||
|
Realized gains and losses, net of tax expense of $3.1 million
|
118.5
|
|
|
|
|
|
||||
|
Unrealized mark-to-market gains and losses, net of tax benefit of $14.0 million
|
(117.8
|
)
|
|
|
|
|
||||
|
Total GAAP net income
|
94.8
|
|
|
|
|
|
||||
|
Other comprehensive income
|
(5.9
|
)
|
|
|
|
|
||||
|
Dividend declaration
|
(95.3
|
)
|
|
|
|
|
||||
|
Other
|
2.7
|
|
|
0.2
|
|
|
|
|||
|
Balance before capital transactions
|
4,061.3
|
|
|
366.6
|
|
|
|
|
||
|
Issuance of common stock, net of offering costs
|
0.2
|
|
|
—
|
|
|
|
|||
|
Stockholders' equity at March 31, 2015
|
$
|
4,061.5
|
|
|
366.6
|
|
|
$
|
11.08
|
|
|
(1)
|
Core Earnings is a non-U.S. GAAP measure that we define as GAAP net income, excluding impairment losses, realized and unrealized gains or losses on the aggregate portfolio, amortization of business combination intangible assets, reserve expense for representation and warranty obligations on MSR and certain upfront costs related to securitization transactions. As defined, Core Earnings includes interest income or expense and premium income or loss on derivative instruments and servicing income, net of estimated amortization on MSR. Core Earnings is provided for purposes of comparability to other peer issuers.
|
|
|
March 31, 2015
|
|
December 31, 2014
|
||||||||||||||||||
|
(dollars in thousands)
|
Amount Outstanding
|
|
Net Counterparty Exposure
(1)
|
|
Percent of Funding
|
|
Amount Outstanding
|
|
Net Counterparty Exposure
(1)
|
|
Percent of Funding
|
||||||||||
|
North America
|
$
|
8,419,440
|
|
|
$
|
947,697
|
|
|
57.9
|
%
|
|
$
|
8,331,244
|
|
|
$
|
974,519
|
|
|
57.9
|
%
|
|
Europe
(2)
|
2,734,610
|
|
|
562,717
|
|
|
34.3
|
%
|
|
2,950,991
|
|
|
604,711
|
|
|
35.9
|
%
|
||||
|
Asia
(2)
|
1,940,828
|
|
|
127,136
|
|
|
7.8
|
%
|
|
1,650,228
|
|
|
103,571
|
|
|
6.2
|
%
|
||||
|
Total
|
$
|
13,094,878
|
|
|
$
|
1,637,550
|
|
|
100.0
|
%
|
|
$
|
12,932,463
|
|
|
$
|
1,682,801
|
|
|
100.0
|
%
|
|
(1)
|
Represents the net carrying value of the securities or residential mortgage loans sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. Payables due to broker counterparties for unsettled securities purchases are not included in the amounts presented above. However, at both
March 31, 2015
and
December 31, 2014
, we did not have any such payables.
|
|
(2)
|
Exposure to European and Asian domiciled banks and their U.S. subsidiaries.
|
|
(dollars in thousands)
|
|
|
|
|
|
|
|
|
|||||||||
|
As of March 31, 2015
|
|||||||||||||||||
|
Expiration Date
|
|
Committed
|
|
Amount Outstanding
|
|
Unused Capacity
|
|
Total Capacity
|
|
Eligible Collateral
|
|||||||
|
May 12, 2015
|
(1)
|
|
No
|
|
$
|
—
|
|
|
$
|
100,000
|
|
|
$
|
100,000
|
|
|
Prime nonconforming residential mortgage loans
|
|
May 21, 2015
|
(1)
|
|
No
|
|
$
|
11,561
|
|
|
$
|
188,439
|
|
|
$
|
200,000
|
|
|
Prime nonconforming residential mortgage loans
|
|
Credit sensitive residential mortgage loans
|
|||||||||||||||||
|
(1)
|
The facilities are set to mature on the stated expiration date, unless extended pursuant to their terms.
|
|
(a)
|
As of the last business day of each calendar quarter, total indebtedness to net worth must be less than the specified threshold ratio in the repurchase agreement. As of
March 31, 2015
, our debt to net worth, as defined, was
3.8
:1.0 while our threshold ratio, as defined, was
5.6
:1.0.
|
|
(b)
|
As of the last business day of each calendar quarter, liquidity must be greater than $100 million and the aggregate amount of unrestricted cash or cash equivalents must be greater than $35 million. As of
March 31, 2015
, our liquidity, as defined, was
$1.5 billion
and our total unrestricted cash and cash equivalents, as defined, was
$1.0 billion
.
|
|
(c)
|
As of the last business day of each calendar quarter, net worth must be greater than $1.75 billion. As of
March 31, 2015
, our net worth, as defined, was
$4.1 billion
.
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Available-for-sale securities, at fair value
|
$
|
14,175,691
|
|
|
$
|
14,159,315
|
|
|
Trading securities, at fair value
|
2,010,000
|
|
|
1,997,656
|
|
||
|
Residential mortgage loans held-for-sale, at fair value
|
415,933
|
|
|
416,779
|
|
||
|
Net economic interests in consolidated securitization trusts
(1)
|
677,073
|
|
|
367,468
|
|
||
|
Cash and cash equivalents
|
14,669
|
|
|
14,117
|
|
||
|
Restricted cash
|
89,959
|
|
|
112,435
|
|
||
|
Due from counterparties
|
28,299
|
|
|
38,200
|
|
||
|
Derivative assets, at fair value
|
186,811
|
|
|
185,067
|
|
||
|
Total
|
$
|
17,598,435
|
|
|
$
|
17,291,037
|
|
|
(1)
|
Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
|
|
(in thousands)
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
Within 30 days
|
$
|
3,490,440
|
|
|
$
|
4,013,055
|
|
|
30 to 59 days
(1)
|
4,030,473
|
|
|
4,595,425
|
|
||
|
60 to 89 days
|
1,508,512
|
|
|
903,286
|
|
||
|
90 to 119 days
|
826,026
|
|
|
434,550
|
|
||
|
120 to 364 days
|
2,139,888
|
|
|
1,929,164
|
|
||
|
One to three years
|
749,527
|
|
|
744,459
|
|
||
|
Three to five years
|
815,024
|
|
|
815,024
|
|
||
|
Five to ten years
|
—
|
|
|
—
|
|
||
|
Ten years and over
|
1,158,738
|
|
|
1,000,000
|
|
||
|
Open maturity
(2)
|
1,001,250
|
|
|
997,500
|
|
||
|
Total
|
$
|
15,719,878
|
|
|
$
|
15,432,463
|
|
|
(1)
|
As of
March 31, 2015
, 30 to 59 days includes the amounts outstanding under the uncommitted mortgage loan warehouse facilities.
|
|
(2)
|
Repurchase agreements collateralized by U.S. Treasuries include an open maturity period (
i.e.
, rolling 1-day maturity) renewable at the discretion of either party to the agreements.
|
|
•
|
Cash flows from operating activities.
For the
three months ended
March 31, 2015
, operating activities decreased our cash balances by approximately
$523.7 million
, primarily driven by purchases of residential mortgage loans held-for-sale.
|
|
•
|
Cash flows from investing activities
. For the
three months ended
March 31, 2015
, investing activities increased our cash balances by approximately
$157.9 million
, primarily driven by principal payments on AFS securities and residential mortgage loans held-for-investment in securitization trusts.
|
|
•
|
Cash flows from financing activities.
For the
three months ended
March 31, 2015
, financing activities increased our cash balance by approximately
$380.3 million
, resulting from the proceeds from repurchase agreements, FHLB advances and collateralized borrowings in securitization trusts to fund our RMBS and residential mortgage loan portfolios.
|
|
|
|
As of March 31, 2015
|
|
As of December 31, 2014
|
||||||||||||||||||||||||||
|
Index Type
|
|
Floating
|
|
Hybrid
(1)
|
|
Total
|
|
Index %
|
|
Floating
|
|
Hybrid
(1)
|
|
Total
|
|
Index %
|
||||||||||||||
|
CMT
|
|
$
|
1,397
|
|
|
$
|
113,006
|
|
|
$
|
114,403
|
|
|
4
|
%
|
|
$
|
1,121
|
|
|
$
|
115,619
|
|
|
$
|
116,740
|
|
|
4
|
%
|
|
LIBOR
|
|
2,539,401
|
|
|
39,215
|
|
|
2,578,616
|
|
|
93
|
%
|
|
2,762,807
|
|
|
42,530
|
|
|
2,805,337
|
|
|
93
|
%
|
||||||
|
Other
(2)
|
|
68,090
|
|
|
19,458
|
|
|
87,548
|
|
|
3
|
%
|
|
68,244
|
|
|
19,228
|
|
|
87,472
|
|
|
3
|
%
|
||||||
|
Total
|
|
$
|
2,608,888
|
|
|
$
|
171,679
|
|
|
$
|
2,780,567
|
|
|
100
|
%
|
|
$
|
2,832,172
|
|
|
$
|
177,377
|
|
|
$
|
3,009,549
|
|
|
100
|
%
|
|
(1)
|
“Hybrid” amounts reflect those assets with greater than twelve months to reset.
|
|
(2)
|
“Other” includes COFI, MTA and other indices.
|
|
|
Changes in Interest Rates
|
||||||||||||||
|
(dollars in thousands)
|
-100 bps
|
|
-50 bps
|
|
+50 bps
|
|
+100 bps
|
||||||||
|
Change in value of financial position:
|
|
|
|
|
|
|
|
||||||||
|
Available-for-sale securities
|
$
|
262,639
|
|
|
$
|
156,985
|
|
|
$
|
(277,892
|
)
|
|
$
|
(618,449
|
)
|
|
As a % of March 31, 2015 equity
|
6.4
|
%
|
|
3.9
|
%
|
|
(6.8
|
)%
|
|
(15.2
|
)%
|
||||
|
Trading securities
|
$
|
34,688
|
|
|
$
|
16,250
|
|
|
$
|
(22,500
|
)
|
|
$
|
(45,000
|
)
|
|
As a % of March 31, 2015 equity
|
0.8
|
%
|
|
0.4
|
%
|
|
(0.5
|
)%
|
|
(1.1
|
)%
|
||||
|
Residential mortgage loans held-for-sale
|
$
|
11,048
|
|
|
$
|
10,350
|
|
|
$
|
(14,733
|
)
|
|
$
|
(30,828
|
)
|
|
As a % of March 31, 2015 equity
|
0.3
|
%
|
|
0.2
|
%
|
|
(0.4
|
)%
|
|
(0.8
|
)%
|
||||
|
Residential mortgage loans held-for-investment in securitization trusts
|
$
|
45,821
|
|
|
$
|
44,455
|
|
|
$
|
(62,894
|
)
|
|
$
|
(130,037
|
)
|
|
As a % of March 31, 2015 equity
|
1.1
|
%
|
|
1.1
|
%
|
|
(1.5
|
)%
|
|
(3.2
|
)%
|
||||
|
Commercial real estate loans held-for-investment
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
As a % of March 31, 2015 equity
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
||||
|
Mortgage servicing rights
|
$
|
(165,436
|
)
|
|
$
|
(66,427
|
)
|
|
$
|
41,539
|
|
|
$
|
70,020
|
|
|
As a % of March 31, 2015 equity
|
(4.1
|
)%
|
|
(1.6
|
)%
|
|
1.0
|
%
|
|
1.7
|
%
|
||||
|
Derivatives, net
|
$
|
(207,782
|
)
|
|
$
|
(173,619
|
)
|
|
$
|
241,069
|
|
|
$
|
539,959
|
|
|
As a % of March 31, 2015 equity
|
(5.1
|
)%
|
|
(4.3
|
)%
|
|
5.9
|
%
|
|
13.3
|
%
|
||||
|
Repurchase Agreements
|
$
|
(5,634
|
)
|
|
$
|
(5,634
|
)
|
|
$
|
10,460
|
|
|
$
|
20,920
|
|
|
As a % of March 31, 2015 equity
|
(0.1
|
)%
|
|
(0.1
|
)%
|
|
0.3
|
%
|
|
0.5
|
%
|
||||
|
Collateralized borrowings in securitization trusts
|
$
|
(41,734
|
)
|
|
$
|
(32,799
|
)
|
|
$
|
42,153
|
|
|
$
|
87,055
|
|
|
As a % of March 31, 2015 equity
|
(1.0
|
)%
|
|
(0.8
|
)%
|
|
1.0
|
%
|
|
2.1
|
%
|
||||
|
Federal Home Loan Bank advances
|
$
|
(679
|
)
|
|
$
|
(679
|
)
|
|
$
|
1,259
|
|
|
$
|
2,519
|
|
|
As a % of March 31, 2015 equity
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
||||
|
Total Net Assets
|
$
|
(67,069
|
)
|
|
$
|
(51,118
|
)
|
|
$
|
(41,539
|
)
|
|
$
|
(103,841
|
)
|
|
As a % of March 31, 2015 total assets
|
(0.3
|
)%
|
|
(0.2
|
)%
|
|
(0.2
|
)%
|
|
(0.5
|
)%
|
||||
|
As a % of March 31, 2015 equity
|
(1.7
|
)%
|
|
(1.2
|
)%
|
|
(1.0
|
)%
|
|
(2.6
|
)%
|
||||
|
|
-100 bps
|
|
-50 bps
|
|
+50 bps
|
|
+100 bps
|
||||||||
|
Change in annualized net interest income:
|
$
|
(12,396
|
)
|
|
$
|
(12,115
|
)
|
|
$
|
10,733
|
|
|
$
|
21,466
|
|
|
% change in net interest income
|
(3.1
|
)%
|
|
(3.0
|
)%
|
|
2.6
|
%
|
|
5.3
|
%
|
||||
|
|
|
|
TWO HARBORS INVESTMENT CORP.
|
|
Dated:
|
May 7, 2015
|
By:
|
/s/ Thomas E. Siering
|
|
|
|
|
Thomas E. Siering
Chief Executive Officer, President and
Director (Principal Executive Officer)
|
|
Dated:
|
May 7, 2015
|
By:
|
/s/ Brad Farrell
|
|
|
|
|
Brad Farrell
Chief Financial Officer and Treasurer
(Principal Accounting and Financial Officer) |
|
Exhibit Number
|
|
Exhibit Index
|
|
3.1
|
|
Articles of Amendment and Restatement of Two Harbors Investment Corp. (incorporated by reference to Exhibit 99.1 to Annex B filed with Pre-effective Amendment No. 4 to the Company’s Registration Statement on Form S-4 (File No. 333-160199), filed with the SEC on October 8, 2009).
|
|
3.2
|
|
Articles of Amendment to the Articles of Amendment and Restatement of Two Harbors Investment Corp. (incorporated by reference to Exhibit 99.1 to the Company’s Current Report on Form 8-K, filed with the SEC on December 19, 2012).
|
|
3.3
|
|
Amended and Restated Bylaws of Two Harbors Investment Corp. (incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K, filed with the SEC on December 19, 2013).
|
|
31.1
|
|
Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (filed herewith)
|
|
31.2
|
|
Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (filed herewith)
|
|
32.1
|
|
Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (filed herewith)
|
|
32.2
|
|
Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (filed herewith)
|
|
101
|
|
Financial statements from the Quarterly Report on Form 10-Q of Two Harbors Investment Corp. for the quarter ended March 31, 2015, filed with the SEC on May 7, 2015, formatted in XBRL: (i) the Condensed Consolidated Balance Sheets, (ii) the Condensed Consolidated Statements of Comprehensive Income, (iii) the Condensed Consolidated Statements of Stockholders’ Equity, (iv) the Condensed Consolidated Statements of Cash Flows, and (v) the Notes to the Condensed Consolidated Financial Statements. (filed herewith)
|
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 |
|---|