Attached files
file | filename |
---|---|
EX-32.2 - EXHIBIT 32.2 - Invesco Mortgage Capital Inc. | ivr20170331ex322.htm |
EX-32.1 - EXHIBIT 32.1 - Invesco Mortgage Capital Inc. | ivr20170331ex321.htm |
EX-31.2 - EXHIBIT 31.2 - Invesco Mortgage Capital Inc. | ivr20170331ex312.htm |
EX-31.1 - EXHIBIT 31.1 - Invesco Mortgage Capital Inc. | ivr20170331ex311.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_______________________________________________
FORM 10-Q
_______________________________________________
(Mark One)
ý | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended March 31, 2017
OR
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission file number 001-34385

(Exact Name of Registrant as Specified in Its Charter)
_______________________________________________
Maryland | 26-2749336 | |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) | |
1555 Peachtree Street, N.E., Suite 1800 Atlanta, Georgia | 30309 | |
(Address of Principal Executive Offices) | (Zip Code) |
(404) 892-0896
(Registrant’s Telephone Number, Including Area Code)
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ý No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes ý No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one):
Large Accelerated filer | ý | Accelerated filer | o | ||||
Non-Accelerated filer | o | (Do not check if a smaller reporting company) | Smaller reporting company | o | |||
Emerging growth company | o |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o No ý
As of May 1, 2017, there were 111,604,609 outstanding shares of common stock of Invesco Mortgage Capital Inc.
INVESCO MORTGAGE CAPITAL INC.
TABLE OF CONTENTS
Page | ||
Item 1. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
Item 1. | ||
Item 1A. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
Item 5. | ||
Item 6. |
PART I
ITEM 1. | FINANCIAL STATEMENTS |
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED BALANCE SHEETS
(Unaudited)
As of | |||||
$ in thousands except share amounts | March 31, 2017 | December 31, 2016 | |||
ASSETS | |||||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,562,355 and $14,422,198, respectively) | 15,921,097 | 14,981,331 | |||
Commercial loans, held-for-investment | 275,944 | 273,355 | |||
Cash and cash equivalents | 55,877 | 161,788 | |||
Due from counterparties | — | 86,450 | |||
Investment related receivable | 285,910 | 43,886 | |||
Accrued interest receivable | 49,703 | 46,945 | |||
Derivative assets, at fair value | 5,799 | 3,186 | |||
Other assets | 112,957 | 109,297 | |||
Total assets | 16,707,287 | 15,706,238 | |||
LIABILITIES AND EQUITY | |||||
Liabilities: | |||||
Repurchase agreements | 12,289,899 | 11,160,669 | |||
Secured loans | 1,650,000 | 1,650,000 | |||
Exchangeable senior notes | 248,530 | 397,041 | |||
Derivative liabilities, at fair value | 45,623 | 134,228 | |||
Dividends and distributions payable | 50,928 | 50,924 | |||
Investment related payable | 72,572 | 9,232 | |||
Accrued interest payable | 11,206 | 21,066 | |||
Collateral held payable | 3,732 | 1,700 | |||
Accounts payable and accrued expenses | 1,821 | 1,534 | |||
Due to affiliate | 9,346 | 9,660 | |||
Total liabilities | 14,383,657 | 13,436,054 | |||
Commitments and contingencies (See Note 16): | |||||
Equity: | |||||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized: | |||||
7.75% Series A Cumulative Redeemable Preferred Stock: 5,600,000 shares issued and outstanding ($140,000 aggregate liquidation preference) | 135,356 | 135,356 | |||
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock: 6,200,000 shares issued and outstanding ($155,000 aggregate liquidation preference) | 149,860 | 149,860 | |||
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 111,604,609 and 111,594,595 shares issued and outstanding, respectively | 1,116 | 1,116 | |||
Additional paid in capital | 2,380,053 | 2,379,863 | |||
Accumulated other comprehensive income | 303,765 | 293,668 | |||
Retained earnings (distributions in excess of earnings) | (675,815 | ) | (718,303 | ) | |
Total stockholders’ equity | 2,294,335 | 2,241,560 | |||
Non-controlling interest | 29,295 | 28,624 | |||
Total equity | 2,323,630 | 2,270,184 | |||
Total liabilities and equity | 16,707,287 | 15,706,238 |
The accompanying notes are an integral part of these condensed consolidated financial statements.
1 |
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS
(Unaudited)
Three Months Ended March 31, | |||||
$ in thousands, except share amounts | 2017 | 2016 | |||
Interest Income | |||||
Mortgage-backed and credit risk transfer securities | 118,873 | 122,246 | |||
Commercial loans | 5,764 | 4,893 | |||
Total interest income | 124,637 | 127,139 | |||
Interest Expense | |||||
Repurchase agreements | 29,947 | 41,800 | |||
Secured loans | 3,413 | 2,715 | |||
Exchangeable senior notes | 5,008 | 5,613 | |||
Total interest expense | 38,368 | 50,128 | |||
Net interest income | 86,269 | 77,011 | |||
Other Income (loss) | |||||
Gain (loss) on investments, net | (1,853 | ) | 11,601 | ||
Equity in earnings (losses) of unconsolidated ventures | (1,534 | ) | 1,061 | ||
Gain (loss) on derivative instruments, net | 5,462 | (238,543 | ) | ||
Realized and unrealized credit derivative income (loss), net | 19,955 | 8,410 | |||
Net loss on extinguishment of debt | (4,711 | ) | — | ||
Other investment income (loss), net | 1,329 | (318 | ) | ||
Total other income (loss) | 18,648 | (217,789 | ) | ||
Expenses | |||||
Management fee – related party | 8,801 | 9,512 | |||
General and administrative | 2,084 | 2,037 | |||
Total expenses | 10,885 | 11,549 | |||
Net income (loss) | 94,032 | (152,327 | ) | ||
Net income (loss) attributable to non-controlling interest | 1,186 | (1,883 | ) | ||
Net income (loss) attributable to Invesco Mortgage Capital Inc. | 92,846 | (150,444 | ) | ||
Dividends to preferred stockholders | 5,716 | 5,716 | |||
Net income (loss) attributable to common stockholders | 87,130 | (156,160 | ) | ||
Earnings (loss) per share: | |||||
Net income (loss) attributable to common stockholders | |||||
Basic | 0.78 | (1.38 | ) | ||
Diluted | 0.73 | (1.38 | ) | ||
Dividends declared per common share | 0.40 | 0.40 |
The accompanying notes are an integral part of these condensed consolidated financial statements.
2 |
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(Unaudited)
Three Months Ended March 31, | |||||
$ in thousands | 2017 | 2016 | |||
Net income (loss) | 94,032 | (152,327 | ) | ||
Other comprehensive income (loss): | |||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | 16,289 | 121,460 | |||
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 850 | (10,544 | ) | ||
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (6,298 | ) | 12,924 | ||
Currency translation adjustments on investment in unconsolidated venture | (615 | ) | (49 | ) | |
Total other comprehensive income (loss) | 10,226 | 123,791 | |||
Comprehensive income (loss) | 104,258 | (28,536 | ) | ||
Less: Comprehensive income (loss) attributable to non-controlling interest | (1,315 | ) | 341 | ||
Less: Dividends to preferred stockholders | (5,716 | ) | (5,716 | ) | |
Comprehensive income (loss) attributable to common stockholders | 97,227 | (33,911 | ) |
The accompanying notes are an integral part of these condensed consolidated financial statements.
3 |
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENT OF EQUITY
For the three months ended March 31, 2017
(Unaudited)
Attributable to Common Stockholders | |||||||||||||||||||||||||||||||||||
Additional Paid in Capital | Accumulated Other Comprehensive Income | Retained Earnings (Distributions in excess of earnings) | Total Stockholders’ Equity | Non- Controlling Interest | |||||||||||||||||||||||||||||||
Series A Preferred Stock | Series B Preferred Stock | ||||||||||||||||||||||||||||||||||
$ in thousands except share amounts | Common Stock | Total Equity | |||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||
Balance at December 31, 2016 | 5,600,000 | 135,356 | 6,200,000 | 149,860 | 111,594,595 | 1,116 | 2,379,863 | 293,668 | (718,303 | ) | 2,241,560 | 28,624 | 2,270,184 | ||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | — | — | 92,846 | 92,846 | 1,186 | 94,032 | |||||||||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | — | — | — | 10,097 | — | 10,097 | 129 | 10,226 | |||||||||||||||||||||||
Stock awards | — | — | — | — | 10,014 | — | — | — | — | — | — | — | |||||||||||||||||||||||
Common stock dividends | — | — | — | — | — | — | — | — | (44,642 | ) | (44,642 | ) | — | (44,642 | ) | ||||||||||||||||||||
Common unit dividends | — | — | — | — | — | — | — | — | — | — | (570 | ) | (570 | ) | |||||||||||||||||||||
Preferred stock dividends | — | — | — | — | — | — | — | — | (5,716 | ) | (5,716 | ) | — | (5,716 | ) | ||||||||||||||||||||
Amortization of equity-based compensation | — | — | — | — | — | — | 115 | — | — | 115 | 1 | 116 | |||||||||||||||||||||||
Rebalancing of ownership percentage of non-controlling interest | — | — | — | — | — | — | 75 | — | — | 75 | (75 | ) | — | ||||||||||||||||||||||
Balance at March 31, 2017 | 5,600,000 | 135,356 | 6,200,000 | 149,860 | 111,604,609 | 1,116 | 2,380,053 | 303,765 | (675,815 | ) | 2,294,335 | 29,295 | 2,323,630 |
The accompanying notes are an integral part of this condensed consolidated financial statement.
4 |
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
Three Months Ended March 31, | |||||
$ in thousands | 2017 | 2016 | |||
Cash Flows from Operating Activities | |||||
Net income (loss) | 94,032 | (152,327 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net | 27,196 | 24,048 | |||
Amortization of commercial loan origination fees | (82 | ) | (59 | ) | |
Unrealized (gain) loss on derivative instruments, net | (13,438 | ) | 166,467 | ||
Unrealized (gain) loss on credit derivatives, net | (14,148 | ) | (3,016 | ) | |
(Gain) loss on investments, net | 1,853 | (11,601 | ) | ||
Realized (gain) loss on derivative instruments, net | (14,918 | ) | 42,985 | ||
Realized (gain) loss on credit derivatives, net | — | 920 | |||
Equity in (earnings) losses of unconsolidated ventures | 1,534 | (1,061 | ) | ||
Amortization of equity-based compensation | 116 | 117 | |||
Amortization of deferred securitization and financing costs | 528 | 614 | |||
Amortization of net deferred losses on de-designated interest rate swaps | (6,298 | ) | 12,924 | ||
Net loss on extinguishment of debt | 4,711 | — | |||
(Gain) loss on foreign currency transactions, net | (513 | ) | 1,125 | ||
Changes in operating assets and liabilities: | |||||
(Increase) decrease in operating assets | (2,618 | ) | 2,249 | ||
Decrease in operating liabilities | (7,103 | ) | (4,527 | ) | |
Net cash provided by operating activities | 70,852 | 78,858 | |||
Cash Flows from Investing Activities | |||||
Purchase of mortgage-backed and credit risk transfer securities | (1,846,444 | ) | (47,716 | ) | |
(Contributions to) distributions from investment in unconsolidated ventures, net | (2,410 | ) | (116 | ) | |
Purchase of exchange-traded fund | (3,508 | ) | — | ||
Principal payments from mortgage-backed and credit risk transfer securities | 553,882 | 528,138 | |||
Proceeds from sale of mortgage-backed and credit risk transfer securities | 180,809 | 684,345 | |||
Payments on sale of credit derivatives | — | (920 | ) | ||
Proceeds from/ (payments for) settlement or termination of forwards, swaps and swaptions, net | 14,918 | (37,228 | ) | ||
Origination and advances of commercial loans, net of origination fees | (2,014 | ) | (69,830 | ) | |
Net cash provided by (used in) investing activities | (1,104,767 | ) | 1,056,673 | ||
Cash Flows from Financing Activities | |||||
Proceeds from issuance of common stock | — | 35 | |||
Repurchase of common stock | — | (25,000 | ) | ||
Due from counterparties | — | (116,766 | ) | ||
Change in collateral held payable | 2,032 | (4,900 | ) | ||
Proceeds from repurchase agreements | 30,147,699 | 29,578,250 | |||
Principal repayments of repurchase agreements | (29,017,053 | ) | (30,517,139 | ) | |
Proceeds from secured loans | — | 125,000 | |||
Principal repayments of secured loans | — | (125,000 | ) | ||
Principal repayments of exchangeable senior notes | (153,750 | ) | — | ||
Payments of deferred costs | — | (140 | ) | ||
Payments of dividends and distributions | (50,924 | ) | (51,734 | ) | |
Net cash provided by (used in) financing activities | 928,004 | (1,137,394 | ) | ||
Net change in cash and cash equivalents | (105,911 | ) | (1,863 | ) | |
Cash and cash equivalents, beginning of period | 161,788 | 53,199 | |||
Cash and cash equivalents, end of period | 55,877 | 51,336 | |||
Supplement Disclosure of Cash Flow Information | |||||
Interest paid | 51,058 | 43,110 | |||
Non-cash Investing and Financing Activities Information | |||||
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities | (17,139 | ) | 110,916 | ||
Dividends and distributions declared not paid | 50,928 | 50,917 | |||
Net change in investment related payable (receivable) | 174,217 | 131,413 | |||
Net change in repurchase agreements, not settled | (1,416 | ) | — | ||
Swap terminated, not settled | — | 4,272 | |||
Change in due from counterparties | 86,450 | (7,109 | ) |
The accompanying notes are an integral part of these condensed consolidated financial statements.
5 |
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
Note 1 – Organization and Business Operations
Invesco Mortgage Capital Inc. (the “Company”, "we") is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities and mortgage loans. We are externally managed and advised by Invesco Advisers, Inc. (our "Manager"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. ("Invesco"), a leading independent global investment management firm. We conduct our business through IAS Operating Partnership LP (the “Operating Partnership”), as its sole general partner. As of March 31, 2017, we owned 98.7% of the Operating Partnership, and a wholly-owned subsidiary of Invesco owned the remaining 1.3%. We have one operating segment.
We primarily invest in:
• | Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association, or a federally chartered corporation such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation (collectively "Agency RMBS"); |
• | RMBS that are not guaranteed by a U.S. government agency (“non-Agency RMBS”); |
• | Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT"); |
• | Commercial mortgage-backed securities ("CMBS"); |
• | Residential and commercial mortgage loans; and |
• | Other real estate-related financing agreements. |
We elected to be taxed as a real estate investment trust (“REIT”) for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986 commencing with our taxable year ended December 31, 2009. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits exclusion from the "Investment Company" definition under the Investment Company Act of 1940.
Note 2 – Summary of Significant Accounting Policies
Basis of Presentation and Consolidation
Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2016.
The condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented.
Revision of Previously Issued Financial Statements
During the second quarter of 2016, we corrected errors in our accounting for premiums and discounts associated with non-Agency RMBS not of high credit quality. We concluded that the errors were immaterial to our interim report on Form 10-Q for the quarter ended March 31, 2016. We have revised our financial statements for the quarter ended March 31, 2016 in this filing on Form 10-Q.
Refer to Note 17 - "Revision of Previously Issued Financial Statements" for additional details.
Use of Estimates
The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities, allowance for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates.
6 |
Significant Accounting Policies
There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016.
Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements
In January 2016, the FASB issued guidance to improve certain aspects of classification and measurement of financial instruments, including significant revisions in accounting related to the classification and measurement of investments in equity securities and presentation of certain fair value changes for financial liabilities when the fair value option is elected. The guidance also amends certain disclosure requirements associated with the fair value of financial instruments. We are required to adopt the new guidance in the first quarter of 2018. Early adoption is permitted. We have determined that this new accounting standard will not have an impact on our financial condition or results of operations but will simplify financial statement disclosures.
In June 2016, the FASB issued an amendment to the guidance on reporting credit losses for assets measured at amortized cost and available-for-sale securities. We are required to adopt the new guidance in the first quarter of 2020. Early adoption is permitted. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements, as well as available transition methods.
In August 2016, the FASB issued new guidance that is intended to reduce diversity in practice in how certain transactions are classified in the statement of cash flows. Additionally, in November 2016, the FASB issued new guidance on classification and presentation of changes in restricted cash on the statement of cash flows. We are required to adopt the new accounting standards in the first quarter of 2018 using a retrospective transition method for each period presented. Early adoption is permitted, provided that all of the amendments are adopted in the same period. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements.
In March 2017, the FASB issued new guidance which will affect entities that hold investments in callable debt securities that have an amortized cost basis in excess of the amount that is repayable by the issuer at the earliest call date (that is, at a premium). The new guidance will shorten the amortization period for certain callable debt securities held at a premium, requiring the premium to be amortized to the earliest call date. The new guidance does not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. We are required to adopt the new guidance in the first quarter of 2019 using a modified retrospective method. Early adoption is permitted. We are evaluating the potential impacts of the new guidance on our consolidated financial statements.
Note 3 – Variable Interest Entities ("VIEs")
Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2017 is presented in the table below.
$ in thousands | Carrying Amount | Company's Maximum Risk of Loss | |||
CMBS | 2,669,070 | 2,669,070 | |||
Non-Agency RMBS | 1,774,088 | 1,774,088 | |||
Investments in unconsolidated ventures | 33,336 | 33,336 | |||
Total | 4,476,494 | 4,476,494 |
Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 6 - "Other Assets" for additional details regarding these investments.
7 |
Note 4 – Mortgage-Backed and Credit Risk Transfer Securities
The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of March 31, 2017 and December 31, 2016.
March 31, 2017 | |||||||||||||||||||||||
$ in thousands | Principal/ Notional Balance | Unamortized Premium (Discount) | Amortized Cost | Unrealized Gain/ (Loss), net | Fair Value | Net Weighted Average Coupon (1) | Period- end Weighted Average Yield (2) | Quarterly Weighted Average Yield (3) | |||||||||||||||
Agency RMBS: | |||||||||||||||||||||||
15 year fixed-rate | 3,328,574 | 143,271 | 3,471,845 | (53,614 | ) | 3,418,231 | 3.10 | % | 2.19 | % | 2.03 | % | |||||||||||
30 year fixed-rate | 4,262,025 | 218,000 | 4,480,025 | 12,299 | 4,492,324 | 4.04 | % | 2.95 | % | 2.64 | % | ||||||||||||
ARM* | 283,979 | 2,258 | 286,237 | 4,453 | 290,690 | 2.69 | % | 2.61 | % | 2.31 | % | ||||||||||||
Hybrid ARM | 2,050,405 | 31,786 | 2,082,191 | 19,128 | 2,101,319 | 2.69 | % | 2.53 | % | 2.29 | % | ||||||||||||
Total Agency pass-through(4) | 9,924,983 | 395,315 | 10,320,298 | (17,734 | ) | 10,302,564 | 3.41 | % | 2.60 | % | 2.36 | % | |||||||||||
Agency-CMO(5) | 1,548,330 | (1,226,067 | ) | 322,263 | (2,545 | ) | 319,718 | 2.10 | % | 2.01 | % | 0.58 | % | ||||||||||
Non-Agency RMBS(6)(7)(8) | 3,530,751 | (1,854,807 | ) | 1,675,944 | 98,144 | 1,774,088 | 2.20 | % | 5.72 | % | 5.58 | % | |||||||||||
GSE CRT(9)(10) | 772,404 | 25,885 | 798,289 | 57,368 | 855,657 | 2.82 | % | 2.31 | % | 2.15 | % | ||||||||||||
CMBS(11)(12) | 3,201,930 | (591,152 | ) | 2,610,778 | 58,292 | 2,669,070 | 3.80 | % | 4.39 | % | 4.20 | % | |||||||||||
Total | 18,978,398 | (3,250,826 | ) | 15,727,572 | 193,525 | 15,921,097 | 3.12 | % | 3.20 | % | 2.97 | % |
* Adjustable-rate mortgage ("ARM")
(1) | Net weighted average coupon as of March 31, 2017 is presented net of servicing and other fees. |
(2) | Period-end weighted average yield is based on amortized cost as of March 31, 2017 and incorporates future prepayment and loss assumptions. |
(3) | Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the average balance of the amortized cost of the investments. All yields are annualized. |
(4) | We have elected the fair value option for Agency RMBS purchased on or after September 1, 2016 which represent 17.6% of principal/notional balance, 17.4% of amortized cost and 17.4% of fair value. |
(5) | Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 84.7% of principal/notional balance, 25.8% of amortized cost and 25.8% of fair value. |
(6) | Non-Agency RMBS held by us is 47.3% fixed rate, 45.4% variable rate, and 7.3% floating rate based on fair value. |
(7) | Of the total discount in non-Agency RMBS, $252.7 million is non-accretable based on estimated future cash flows of the securities. |
(8) | Non-Agency RMBS includes interest-only securities which represent 45.4% of principal/notional balance, 1.6% of amortized cost and 1.4% of fair value. |
(9) | We have elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 25.8% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. |
(10) | GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. |
(11) | CMBS includes interest-only securities which represent 19.3% of principal/notional balance, 0.7% of amortized cost and 0.8% of fair value. |
(12) | We have elected the fair value option for CMBS purchased on or after September 1, 2016 which represent 9.0% of principal/notional balance, 7.9% of amortized cost and 7.7% of fair value. |
8 |
December 31, 2016 | |||||||||||||||||||||||
$ in thousands | Principal/Notional Balance | Unamortized Premium (Discount) | Amortized Cost | Unrealized Gain/ (Loss), net | Fair Value | Net Weighted Average Coupon (1) | Period- end Weighted Average Yield (2) | Quarterly Weighted Average Yield (3) | |||||||||||||||
Agency RMBS: | |||||||||||||||||||||||
15 year fixed-rate | 3,460,625 | 151,526 | 3,612,151 | (54,223 | ) | 3,557,928 | 3.11 | % | 2.19 | % | 1.99 | % | |||||||||||
30 year fixed-rate | 2,780,806 | 185,521 | 2,966,327 | 15,390 | 2,981,717 | 4.37 | % | 2.61 | % | 2.57 | % | ||||||||||||
ARM | 301,900 | 2,520 | 304,420 | 3,453 | 307,873 | 2.69 | % | 2.59 | % | 2.16 | % | ||||||||||||
Hybrid ARM | 2,423,152 | 42,360 | 2,465,512 | 8,789 | 2,474,301 | 2.70 | % | 2.52 | % | 2.02 | % | ||||||||||||
Total Agency pass-through(4) | 8,966,483 | 381,927 | 9,348,410 | (26,591 | ) | 9,321,819 | 3.37 | % | 2.42 | % | 2.20 | % | |||||||||||
Agency-CMO(5) | 1,712,120 | (1,368,916 | ) | 343,204 | 837 | 344,041 | 2.16 | % | 3.08 | % | 2.07 | % | |||||||||||
Non-Agency RMBS(6)(7)(8) | 3,838,314 | (1,934,269 | ) | 1,904,045 | 91,506 | 1,995,551 | 2.21 | % | 5.22 | % | 5.22 | % | |||||||||||
GSE CRT(9)(10) | 707,899 | 24,320 | 732,219 | 35,981 | 768,200 | 2.38 | % | 1.51 | % | 1.24 | % | ||||||||||||
CMBS(11)(12) | 3,050,747 | (559,857 | ) | 2,490,890 | 60,830 | 2,551,720 | 3.80 | % | 4.21 | % | 4.17 | % | |||||||||||
Total | 18,275,563 | (3,456,795 | ) | 14,818,768 | 162,563 | 14,981,331 | 3.05 | % | 3.05 | % | 2.87 | % |
(1) | Net weighted average coupon as of December 31, 2016 is presented net of servicing and other fees. |
(2) | Period-end weighted average yield is based on amortized cost as of December 31, 2016 and incorporates future prepayment and loss assumptions. |
(3) | Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the average of the amortized cost of the investments. All yields are annualized. |
(4) | We have elected the fair value option for Agency RMBS purchased on or after September 1, 2016 which represent 4.3% of principal/notional balance, 4.3% of amortized cost and 4.2% of fair value. |
(5) | Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities ("Agency IO"), which represent 85.5% of principal (notional) balance, 26.8% of amortized cost and 21.7% of fair value. |
(6) | Non-Agency RMBS held by us is 45.5% variable rate, 47.2% fixed rate, and 7.3% floating rate based on fair value. |
(7) | Of the total discount in non-Agency RMBS, $252.5 million is non-accretable based on estimated future cash flows of the securities. |
(8) | Non-Agency RMBS includes interest-only securities, which represent 43.5% of principal/notional balance, 1.5% of amortized cost and 1.3% of fair value. |
(9) | We have elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 19.2% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. |
(10) | GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. |
(11) | CMBS includes interest-only securities which represent 20.3% of principal/notional balance, 0.8% of amortized cost and 0.9% of fair value. |
(12) | We have elected the fair value option for CMBS purchased on or after September 1, 2016 which represent 0.4% of principal/notional balance, 0.6% of amortized cost and 0.5% of fair value. |
The following table summarizes our non-Agency RMBS portfolio by asset type based on fair value as of March 31, 2017 and December 31, 2016.
$ in thousands | March 31, 2017 | % of Non-Agency | December 31, 2016 | % of Non-Agency | |||||||
Prime | 855,877 | 48.2 | % | 889,658 | 44.6 | % | |||||
Alt-A | 431,426 | 24.3 | % | 447,213 | 22.4 | % | |||||
Re-REMIC | 265,607 | 15.0 | % | 364,301 | 18.2 | % | |||||
Subprime/reperforming | 221,178 | 12.5 | % | 294,379 | 14.8 | % | |||||
Total Non-Agency | 1,774,088 | 100.0 | % | 1,995,551 | 100.0 | % |
9 |
The following table summarizes the credit enhancement provided to our re-securitization of real estate mortgage investment conduit ("Re-REMIC") holdings as of March 31, 2017 and December 31, 2016.
Percentage of Re-REMIC Holdings at Fair Value | |||||
Re-REMIC Subordination(1) | March 31, 2017 | December 31, 2016 | |||
0% - 10% | 23.8 | % | 17.6 | % | |
10% - 20% | 4.0 | % | 7.4 | % | |
20% - 30% | 9.9 | % | 13.5 | % | |
30% - 40% | 19.1 | % | 15.7 | % | |
40% - 50% | 21.7 | % | 27.0 | % | |
50% - 60% | 19.7 | % | 16.1 | % | |
60% - 70% | 1.8 | % | 2.7 | % | |
Total | 100.0 | % | 100.0 | % |
(1) | Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by us by any junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying securities represented by any junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying securities in excess of the subordination amount would result in principal losses on the Re-REMIC tranche held by us. 45.0% of our Re-REMIC holdings are not senior tranches. |
The components of the carrying value of our MBS and GSE CRT portfolio at March 31, 2017 and December 31, 2016 are presented below.
$ in thousands | March 31, 2017 | December 31, 2016 | |||
Principal balance | 18,978,398 | 18,275,563 | |||
Unamortized premium | 485,364 | 476,314 | |||
Unamortized discount | (3,736,190 | ) | (3,933,109 | ) | |
Gross unrealized gains | 329,271 | 302,099 | |||
Gross unrealized losses | (135,746 | ) | (139,536 | ) | |
Fair value | 15,921,097 | 14,981,331 |
The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of March 31, 2017 and December 31, 2016.
$ in thousands | March 31, 2017 | December 31, 2016 | |||
Less than one year | 109,860 | 121,076 | |||
Greater than one year and less than five years | 6,842,335 | 6,719,923 | |||
Greater than or equal to five years | 8,968,902 | 8,140,332 | |||
Total | 15,921,097 | 14,981,331 |
10 |
The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at March 31, 2017 and December 31, 2016.
March 31, 2017
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||
$ in thousands | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | |||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||
15 year fixed-rate | 2,674,548 | (65,750 | ) | 123 | 62,208 | (1,287 | ) | 18 | 2,736,756 | (67,037 | ) | 141 | ||||||||||||||
30 year fixed-rate | 1,531,154 | (18,908 | ) | 62 | 527,591 | (18,801 | ) | 27 | 2,058,745 | (37,709 | ) | 89 | ||||||||||||||
ARM | 22,748 | (4 | ) | 2 | — | — | — | 22,748 | (4 | ) | 2 | |||||||||||||||
Hybrid ARM | 675,408 | (3,219 | ) | 49 | 5,415 | (36 | ) | 3 | 680,823 | (3,255 | ) | 52 | ||||||||||||||
Total Agency pass-through(1) | 4,903,858 | (87,881 | ) | 236 | 595,214 | (20,124 | ) | 48 | 5,499,072 | (108,005 | ) | 284 | ||||||||||||||
Agency-CMO(2) | 139,050 | (6,246 | ) | 26 | 25,773 | (1,492 | ) | 5 | 164,823 | (7,738 | ) | 31 | ||||||||||||||
Non-Agency RMBS | 210,776 | (4,911 | ) | 34 | 279,410 | (5,060 | ) | 34 | 490,186 | (9,971 | ) | 68 | ||||||||||||||
GSE CRT | — | — | — | — | — | — | — | — | — | |||||||||||||||||
CMBS(3) | 570,812 | (9,447 | ) | 54 | 19,950 | (585 | ) | 5 | 590,762 | (10,032 | ) | 59 | ||||||||||||||
Total | 5,824,496 | (108,485 | ) | 350 | 920,347 | (27,261 | ) | 92 | 6,744,843 | (135,746 | ) | 442 |
(1) | Amounts disclosed include Agency RMBS with a fair value of $901.1 million for which the fair value option has been elected. Such securities have unrealized losses of $6.4 million. |
(2) | Fair value includes unrealized losses on Agency IO of $4.6 million and unrealized losses on CMO of $3.2 million. |
(3) | Amounts disclosed includes CMBS with a fair value of $176.1 million for which the fair value option has been elected. Such securities have unrealized losses of $3.3 million. |
December 31, 2016
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||
$ in thousands | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | |||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||
15 year fixed-rate | 2,781,777 | (66,506 | ) | 127 | 65,964 | (1,556 | ) | 17 | 2,847,741 | (68,062 | ) | 144 | ||||||||||||||
30 year fixed-rate | 747,719 | (15,409 | ) | 45 | 547,763 | (18,004 | ) | 27 | 1,295,482 | (33,413 | ) | 72 | ||||||||||||||
ARM | 120,540 | (326 | ) | 9 | 1,091 | (7 | ) | 1 | 121,631 | (333 | ) | 10 | ||||||||||||||
Hybrid ARM | 1,356,687 | (9,922 | ) | 99 | 252 | (4 | ) | 2 | 1,356,939 | (9,926 | ) | 101 | ||||||||||||||
Total Agency pass-through(1) | 5,006,723 | (92,163 | ) | 280 | 615,070 | (19,571 | ) | 47 | 5,621,793 | (111,734 | ) | 327 | ||||||||||||||
Agency-CMO(2) | 163,114 | (3,812 | ) | 28 | 22,792 | (952 | ) | 3 | 185,906 | (4,764 | ) | 31 | ||||||||||||||
Non-Agency RMBS | 287,647 | (7,861 | ) | 42 | 497,863 | (6,671 | ) | 36 | 785,510 | (14,532 | ) | 78 | ||||||||||||||
GSE CRT(3) | — | — | — | 35,935 | (969 | ) | 3 | 35,935 | (969 | ) | 3 | |||||||||||||||
CMBS(4) | 401,016 | (6,733 | ) | 36 | 47,219 | (804 | ) | 6 | 448,235 | (7,537 | ) | 42 | ||||||||||||||
Total | 5,858,500 | (110,569 | ) | 386 | 1,218,879 | (28,967 | ) | 95 | 7,077,379 | (139,536 | ) | 481 |
(1) | Amounts disclosed include Agency RMBS with a fair value of $149.7 million for which the fair value option has been elected. Such securities have unrealized losses of $4.0 million. |
(2) | Fair value includes unrealized losses on Agency IO of $3.0 million unrealized losses and unrealized losses on CMO of $1.7 million. |
(3) | Fair value includes unrealized losses on both the debt host contract and the embedded derivative. |
(4) | Amounts disclosed includes CMBS with a fair value of $13.9 million for which the fair value option has been elected. Such securities have unrealized losses of $613,000. |
11 |
Gross unrealized losses on our Agency RMBS and CMO were $108.0 million and $3.2 million, respectively, at March 31, 2017. Due to the inherent credit quality of Agency RMBS and CMO, we determined that at March 31, 2017, any unrealized losses on our Agency RMBS and CMO portfolio are not other than temporary.
Gross unrealized losses on our Agency IO, non-Agency RMBS, GSE CRT and CMBS were $24.6 million at March 31, 2017. We did not consider these unrealized losses to be credit related, but rather due to non-credit related factors such as interest rate spreads, prepayment speeds, and market fluctuations. These investment securities are included in our assessment for other-than-temporary impairment on a quarterly basis.
We assess our investment securities for other-than-temporary impairment on a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either “temporary” or “other-than-temporary.” This analysis includes a determination of estimated future cash flows through an evaluation of the characteristics of the underlying loans and the structural features of the investment. Underlying loan characteristics reviewed include, but are not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration.
We recorded $532,000 and $5.7 million in other-than-temporary impairments ("OTTI") on RMBS interest-only and non-Agency RMBS securities during the three months ended March 31, 2017 and 2016, respectively. As we have previously elected the fair value option for RMBS interest-only securities, the OTTI was recorded as a reclassification from an unrealized to a realized loss within gain (loss) on investments, net on the condensed consolidated statements of operations. As of March 31, 2017, we did not intend to sell the securities and determined that it was not more likely than not that we will be required to sell the securities.
The following table presents the changes in OTTI included in earnings for the three months ended March 31, 2017 and 2016.
$ in thousands | Three Months ended March 31, 2017 | Three Months ended March 31, 2016 | |||
Cumulative credit loss at beginning of period | 8,909 | — | |||
Additions: | |||||
Other-than-temporary impairments not previously recognized | 349 | 5,683 | |||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 183 | — | |||
Cumulative credit loss at end of period | 9,441 | 5,683 |
The following table summarizes the changes in accumulated other comprehensive income (loss) related to our GSE CRT debt host contracts and available-for-sale MBS for the three months ended March 31, 2017 and 2016. We reclassify unrealized gains and losses from other comprehensive income to gain (loss) on investments, net when we sell our investments.
The table excludes MBS and GSE CRT that are accounted for under the fair value option. As of March 31, 2017, $2.3 billion or 14.6% of our MBS and GSE CRT are accounted for under the fair value option.
$ in thousands | Three Months ended March 31, 2017 | Three Months ended March 31, 2016 | |||
Accumulated other comprehensive income (loss) from MBS and GSE CRT securities: | |||||
Unrealized gain (loss) on MBS and GSE CRT at beginning of period | 146,301 | 177,799 | |||
Unrealized gain (loss) on MBS and GSE CRT | 16,289 | 121,460 | |||
Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net | 850 | (10,544 | ) | ||
Balance at the end of period | 163,440 | 288,715 |
12 |
The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2017 and 2016.
$ in thousands | Three Months ended March 31, 2017 | Three Months ended March 31, 2016 | |||
Gross realized gain on sale of investments | 904 | 13,015 | |||
Gross realized loss on sale of investments | (1,911 | ) | (2,471 | ) | |
Other-than-temporary impairment losses | (532 | ) | (5,683 | ) | |
Net unrealized gains and losses on MBS accounted for under the fair value option | (3,602 | ) | 6,676 | ||
Net unrealized gains and losses on GSE CRT accounted for under the fair value option | 3,279 | 64 | |||
Net unrealized gains and losses on trading securities | 9 | — | |||
Total gain (loss) on investments, net | (1,853 | ) | 11,601 |
The following table presents components of interest income recognized on our MBS and GSE CRT portfolio for the three months ended March 31, 2017 and 2016. GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net.
For the three months ended March 31, 2017
$ in thousands | Coupon Interest | Net (Premium Amortization)/Discount Accretion | Interest Income | |||||
Agency | 91,231 | (28,578 | ) | 62,653 | ||||
Non-Agency | 20,614 | 4,387 | 25,001 | |||||
GSE CRT | 4,487 | (371 | ) | 4,116 | ||||
CMBS | 29,676 | (2,634 | ) | 27,042 | ||||
Other | 61 | — | 61 | |||||
Total | 146,069 | (27,196 | ) | 118,873 |
For the three months ended March 31, 2016
$ in thousands | Coupon Interest | Net (Premium Amortization)/Discount Accretion | Interest Income | |||||
Agency | 85,771 | (24,185 | ) | 61,586 | ||||
Non-Agency | 25,849 | 3,844 | 29,693 | |||||
GSE CRT | 2,197 | (767 | ) | 1,430 | ||||
CMBS | 32,264 | (2,940 | ) | 29,324 | ||||
Other | 213 | — | 213 | |||||
Total | 146,294 | (24,048 | ) | 122,246 |
13 |
Note 5 – Commercial Loans Held-for-Investment
The following table summarizes commercial loans held-for-investment as of March 31, 2017 and December 31, 2016 that we purchased or originated.
March 31, 2017
$ in thousands | Number of loans | Principal Balance | Unamortized (fees)/ costs, net | Carrying value | Weighted Average Coupon | Weighted Average Years to Maturity (1) | ||||||||||
Mezzanine loans | 10 | 276,175 | (231 | ) | 275,944 | 8.29 | % | 1.5 | ||||||||
Total | 10 | 276,175 | (231 | ) | 275,944 | 8.29 | % | 1.5 |
December 31, 2016
$ in thousands | Number of loans | Principal Balance | Unamortized (fees)/ costs, net | Carrying value | Weighted Average Coupon | Weighted Average Years to Maturity (1) | ||||||||||
Mezzanine loans | 10 | 273,666 | (311 | ) | 273,355 | 8.14 | % | 1.6 | ||||||||
Total | 10 | 273,666 | (311 | ) | 273,355 | 8.14 | % | 1.6 |
(1) | Weighted average years to maturity is based on the contractual maturity date. Certain loans may contain either an option to prepay or an option to extend beyond their contractual maturity dates as specified in the respective loan agreements. |
These loans were not impaired, and no allowance for loan loss has been recorded as of March 31, 2017 and December 31, 2016 based on our analysis of credit quality factors as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016.
Note 6 – Other Assets
The following table summarizes our other assets as of March 31, 2017 and December 31, 2016.
$ in thousands | March 31, 2017 | December 31, 2016 | |||
FHLBI stock | 74,250 | 74,250 | |||
Investments in unconsolidated ventures | 33,336 | 33,301 | |||
Investment in exchange-traded fund | 4,017 | 500 | |||
Prepaid expenses and other assets | 1,354 | 1,246 | |||
Total | 112,957 | 109,297 |
IAS Services LLC, our wholly-owned subsidiary, is required to purchase and hold FHLBI stock as a condition of membership in the Federal Home Loan Bank of Indianapolis ("FHLBI"). The stock is recorded at cost.
We have invested in unconsolidated ventures that are managed by an affiliate of our Manager. The unconsolidated ventures invest in our target assets. Refer to Note 16 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures.
We have invested in an exchange-traded fund that is managed by an affiliate of our Manager. The exchange-traded fund invests in our target assets.
14 |
Note 7 – Borrowings
We finance the majority of our investment portfolio through repurchase agreements, secured loans and exchangeable senior notes. The following table summarizes certain characteristics of our borrowings at March 31, 2017 and December 31, 2016. Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans.
$ in thousands | March 31, 2017 | |||||||
Weighted | ||||||||
Weighted | Average | |||||||
Average | Remaining | |||||||
Amount | Interest | Maturity | ||||||
Outstanding | Rate | (days) | ||||||
Repurchase Agreements: | ||||||||
Agency RMBS | 9,335,954 | 1.00 | % | 19 | ||||
Non-Agency RMBS | 1,297,265 | 2.27 | % | 29 | ||||
GSE CRT | 624,270 | 2.41 | % | 18 | ||||
CMBS | 1,032,410 | 2.11 | % | 21 | ||||
Total Repurchase Agreements | 12,289,899 | 1.30 | % | 20 | ||||
Secured Loans | 1,650,000 | 0.94 | % | 2,592 | ||||
Exchangeable Senior Notes (1) | 250,000 | 5.00 | % | 349 | ||||
Total Borrowings | 14,189,899 | 1.32 | % | 325 |
$ in thousands | December 31, 2016 | |||||||
Weighted | ||||||||
Weighted | Average | |||||||
Average | Remaining | |||||||
Amount | Interest | Maturity | ||||||
Outstanding | Rate | (days) | ||||||
Repurchase Agreements: | ||||||||
Agency RMBS | 8,148,220 | 0.93 | % | 32 | ||||
Non-Agency RMBS | 1,519,859 | 2.06 | % | 28 | ||||
GSE CRT | 547,872 | 2.25 | % | 16 | ||||
CMBS | 944,718 | 1.86 | % | 16 | ||||
Total Repurchase Agreements | 11,160,669 | 1.23 | % | 30 | ||||
Secured Loans | 1,650,000 | 0.74 | % | 2,682 | ||||
Exchangeable Senior Notes (1) | 400,000 | 5.00 | % | 439 | ||||
Total Borrowings | 13,210,669 | 1.28 | % | 373 |
(1) | The carrying value of exchangeable senior notes is $248.5 million and $397.0 million as of March 31, 2017 and December 31, 2016, respectively. The carrying value is net of debt issuance costs of $1.5 million and $3.0 million as of March 31, 2017 and December 31, 2016, respectively. |
The following table shows the aggregate amount of maturities of our outstanding borrowings:
$ in thousands | As of March 31, | |
2018 | 12,539,899 | |
2019 | — | |
2020 | 300,000 | |
2021 | 100,000 | |
2022 | — | |
Thereafter | 1,250,000 | |
Total | 14,189,899 |
15 |
The following tables summarize certain characteristics of our repurchase agreements and secured loans at March 31, 2017 and December 31, 2016.
March 31, 2017 | ||||||||
$ in thousands | Amount Outstanding | Percent of Total Amount Outstanding | MBS and GSE CRT Pledged as Collateral (1) | |||||
Repurchase Agreement Counterparties: | ||||||||
HSBC Securities (USA) Inc | 1,435,609 | 10.3 | % | 1,504,531 | ||||
ING Financial Market LLC | 1,367,581 | 9.8 | % | 1,449,055 | ||||
Pierpont Securities LLC | 1,174,293 | 8.4 | % | 1,235,839 | ||||
Royal Bank of Canada | 1,101,290 | 7.9 | % | 1,297,732 | ||||
Mitsubishi UFJ Securities (USA), Inc. | 706,479 | 5.1 | % | 747,029 | ||||
Industrial and Commercial Bank of China Financial Services LLC | 649,721 | 4.7 | % | 685,868 | ||||
Scotia Capital | 615,633 | 4.4 | % | 645,427 | ||||
E D & F Man Capital Markets Inc | 535,907 | 3.8 | % | 567,809 | ||||
South Street Securities LLC | 511,931 | 3.7 | % | 538,155 | ||||
JP Morgan Securities Inc. | 450,553 | 3.2 | % | 522,448 | ||||
KGS-Alpha Capital Markets, L.P. | 422,352 | 3.0 | % | 447,141 | ||||
Societe Generale | 399,239 | 2.9 | % | 514,425 | ||||
Goldman, Sachs & Co. | 394,291 | 2.8 | % | 510,037 | ||||
Citigroup Global Markets Inc. | 383,440 | 2.8 | % | 491,145 | ||||
Natixis, New York Branch | 346,827 | 2.5 | % | 374,779 | ||||
Guggenheim Liquidity Services, LLC | 339,976 | 2.4 | % | 358,674 | ||||
BNP Paribas Securities Corp. | 294,341 | 2.1 | % | 330,253 | ||||
Daiwa Capital Markets America Inc | 233,117 | 1.7 | % | 249,468 | ||||
All other counterparties(2) | 927,319 | 6.7 | % | 1,133,144 | ||||
Total Repurchase Agreement Counterparties | 12,289,899 | 88.2 | % | 13,602,959 | ||||
Secured Loans Counterparty: | ||||||||
FHLBI | 1,650,000 | 11.8 | % | 1,917,029 | ||||
Total | 13,939,899 | 100.0 | % | 15,519,988 |
(1) | Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016. |
(2) | Represents amounts outstanding with seven counterparties. |
16 |
December 31, 2016 | ||||||||
$ in thousands | Amount Outstanding | Percent of Total Amount Outstanding | MBS and GSE CRT Pledged as Collateral (1) | |||||
Repurchase Agreement Counterparties: | ||||||||
HSBC Securities (USA) Inc | 1,401,966 | 11.2 | % | 1,468,793 | ||||
ING Financial Market LLC | 1,142,200 | 8.9 | % | 1,216,492 | ||||
Royal Bank of Canada | 1,098,631 | 8.6 | % | 1,293,336 | ||||
Industrial and Commercial Bank of China Financial Services LLC | 707,616 | 5.5 | % | 748,503 | ||||
Mitsubishi UFJ Securities (USA), Inc. | 703,382 | 5.5 | % | 740,404 | ||||
Pierpont Securities LLC | 681,853 | 5.3 | % | 717,663 | ||||
South Street Securities LLC | 675,660 | 5.3 | % | 713,330 | ||||
Goldman, Sachs & Co. | 486,430 | 3.8 | % | 623,400 | ||||
Scotia Capital | 479,105 | 3.7 | % | 500,578 | ||||
JP Morgan Securities Inc. | 477,947 | 3.7 | % | 554,494 | ||||
KGS-Alpha Capital Markets, L.P. | 441,541 | 3.4 | % | 475,858 | ||||
Citigroup Global Markets Inc. | 427,185 | 3.3 | % | 534,875 | ||||
E D & F Man Capital Markets Inc. | 405,615 | 3.2 | % | 430,896 | ||||
Guggenheim Liquidity Services, LLC | 356,149 | 2.8 | % | 377,030 | ||||
Natixis, New York Branch | 336,202 | 2.6 | % | 362,432 | ||||
Societe Generale | 325,393 | 2.5 | % | 427,200 | ||||
BNP Paribas Securities Corp. | 307,641 | 2.4 | % | 346,484 | ||||
All other counterparties(2) | 706,153 | 5.4 | % | 912,536 | ||||
Total Repurchase Agreement Counterparties: | 11,160,669 |