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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 September 30, 2018
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
395679181_ivrmainimageinblacka05.jpg

(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 every Interactive Data File required to be submitted 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 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
 
  
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 October 31, 2018, there were 111,652,661 outstanding shares of common stock of Invesco Mortgage Capital Inc.


Table of Contents


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.


Table of Contents


PART I
ITEM 1.
FINANCIAL STATEMENTS
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED BALANCE SHEETS
(Unaudited)
  
As of
 $ in thousands except share amounts
September 30, 2018
 
December 31, 2017
ASSETS
 
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,473,413 and $17,560,811, respectively)
18,336,825

 
18,190,754

Commercial loans, held-for-investment
31,707

 
191,808

Cash and cash equivalents
108,223

 
88,381

Restricted cash
300

 
620

Due from counterparties
26,380

 

Investment related receivable (including pledged securities of $449,289 and $0, respectively)
528,223

 
73,217

Derivative assets, at fair value
46,214

 
6,896

Other assets
145,015

 
105,580

Total assets
19,222,887

 
18,657,256

LIABILITIES AND EQUITY
 
 
 
Liabilities:
 
 
 
Repurchase agreements
14,378,518

 
14,080,801

Secured loans
1,650,000

 
1,650,000

Exchangeable senior notes, net

 
143,231

Derivative liabilities, at fair value
13,982

 
32,765

Dividends and distributions payable
50,205

 
50,193

Investment related payable
559,398

 
5,191

Accrued interest payable
25,624

 
17,845

Collateral held payable
47,687

 
7,327

Accounts payable and accrued expenses
1,620

 
2,200

Due to affiliate
10,430

 
10,825

Total liabilities
16,737,464

 
16,000,378

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

7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock: 11,500,000 shares issued and outstanding ($287,500 aggregate liquidation preference)
278,108

 
278,108

Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 111,652,661 and 111,624,159 shares issued and outstanding, respectively
1,116

 
1,116

Additional paid in capital
2,385,218

 
2,384,356

Accumulated other comprehensive income
174,553

 
261,029

Retained earnings (distributions in excess of earnings)
(663,007
)
 
(579,334
)
Total stockholders’ equity
2,461,204

 
2,630,491

Non-controlling interest
24,219

 
26,387

Total equity
2,485,423

 
2,656,878

Total liabilities and equity
19,222,887

 
18,657,256

The accompanying notes are an integral part of these condensed consolidated financial statements.

 
1
 


Table of Contents


INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS
(Unaudited) 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
$ in thousands, except share amounts
2018
 
2017
 
2018
 
2017
Interest Income

 

 

 

Mortgage-backed and credit risk transfer securities
160,416

 
134,138

 
456,967

 
374,038

Commercial and other loans
1,672

 
6,251

 
9,945

 
18,036

Total interest income
162,088

 
140,389

 
466,912

 
392,074

Interest Expense
 
 
 
 
 
 
 
Repurchase agreements
81,763

 
45,907

 
210,737

 
111,926

Secured loans
9,490

 
5,544

 
24,888

 
13,492

Exchangeable senior notes

 
2,724

 
1,621

 
11,236

Total interest expense
91,253

 
54,175

 
237,246

 
136,654

Net interest income
70,835

 
86,214

 
229,666

 
255,420

Other Income (loss)

 

 

 

Gain (loss) on investments, net
(207,910
)
 
(11,873
)
 
(404,657
)
 
(2,551
)
Equity in earnings (losses) of unconsolidated ventures
1,084

 
408

 
2,778

 
(1,280
)
Gain (loss) on derivative instruments, net
87,672

 
1,955

 
288,208

 
(46,096
)
Realized and unrealized credit derivative income (loss), net
4,975

 
(2,930
)
 
8,875

 
38,428

Net loss on extinguishment of debt

 
(1,344
)
 
(26
)
 
(6,581
)
Other investment income (loss), net
1,068

 
2,313

 
2,010

 
6,175

Total other income (loss)
(113,111
)
 
(11,471
)
 
(102,812
)
 
(11,905
)
Expenses
 
 
 
 
 
 
 
Management fee – related party
10,105

 
9,557

 
30,428

 
27,385

General and administrative
1,673

 
1,697

 
4,954

 
5,389

Total expenses
11,778

 
11,254

 
35,382

 
32,774

Net income (loss)
(54,054
)
 
63,489

 
91,472

 
210,741

Net income (loss) attributable to non-controlling interest
(681
)
 
800

 
1,153

 
2,656

Net income (loss) attributable to Invesco Mortgage Capital Inc.
(53,373
)
 
62,689

 
90,319

 
208,085

Dividends to preferred stockholders
11,107

 
13,562

 
33,320

 
24,994

Net income (loss) attributable to common stockholders
(64,480
)
 
49,127

 
56,999

 
183,091

Earnings per share:
 
 


 


 


Net income (loss) attributable to common stockholders
 
 

 

 

Basic
(0.58
)
 
0.44

 
0.51

 
1.64

Diluted
(0.58
)
 
0.43

 
0.51

 
1.59

The accompanying notes are an integral part of these condensed consolidated financial statements.

 
2
 


Table of Contents


INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(Unaudited)
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
$ in thousands
2018
 
2017
 
2018
 
2017
Net income (loss)
(54,054
)
 
63,489

 
91,472

 
210,741

Other comprehensive income (loss):
 
 
 
 
 
 
 
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net
(40,554
)
 
19,089

 
(220,800
)
 
75,011

Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net
134,280

 
7

 
153,406

 
1,508

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense
(6,422
)
 
(6,438
)
 
(19,859
)
 
(19,105
)
Currency translation adjustments on investment in unconsolidated venture
(1,126
)
 
807

 
(328
)
 
331

Total other comprehensive income (loss)
86,178

 
13,465

 
(87,581
)
 
57,745

Comprehensive income (loss)
32,124

 
76,954

 
3,891

 
268,486

Less: Comprehensive (income) loss attributable to non-controlling interest
(405
)
 
(970
)
 
(48
)
 
(3,384
)
Less: Dividends to preferred stockholders
(11,107
)
 
(13,562
)
 
(33,320
)
 
(24,994
)
Comprehensive income (loss) attributable to common stockholders
20,612

 
62,422

 
(29,477
)
 
240,108


The accompanying notes are an integral part of these condensed consolidated financial statements.


 
3
 


Table of Contents


INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENT OF EQUITY
For the nine months ended September 30, 2018
(Unaudited)
 
 
 
 
 
 
 
 
 
 
 
 
Attributable to Common Stockholders
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Additional
Paid in
Capital
 
Accumulated
Other
Comprehensive
Income (Loss)
 
Retained
Earnings
(Distributions
in excess of
earnings)
 
Total
Stockholders’
Equity
 
Non-
Controlling
Interest
 
 
 
Series A
Preferred Stock
 
Series B
Preferred Stock
 
Series C
Preferred Stock
 
 
 
 
$ in thousands 
except
share amounts
 
 
 
Common Stock
 
Total
Equity
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
 
 
 
 
 
Balance at December 31, 2017
5,600,000

 
135,356

 
6,200,000

 
149,860

 
11,500,000

 
278,108

 
111,624,159

 
1,116

 
2,384,356

 
261,029

 
(579,334
)
 
2,630,491

 
26,387

 
2,656,878

Net income

 

 

 

 

 

 

 

 

 

 
90,319

 
90,319

 
1,153

 
91,472

Other comprehensive loss

 

 

 

 

 

 

 

 

 
(86,476
)
 

 
(86,476
)
 
(1,105
)
 
(87,581
)
Stock awards

 

 

 

 

 

 
28,502

 

 

 

 

 

 

 

Common stock dividends

 

 

 

 

 

 

 

 

 

 
(140,672
)
 
(140,672
)
 

 
(140,672
)
Common unit dividends

 

 

 

 

 

 

 

 

 

 

 

 
(1,796
)
 
(1,796
)
Preferred stock dividends

 

 

 

 

 

 

 

 

 

 
(33,320
)
 
(33,320
)
 

 
(33,320
)
Amortization of equity-based compensation

 

 

 

 

 

 

 

 
436

 

 

 
436

 
6

 
442

Rebalancing of ownership percentage of non-controlling interest

 

 

 

 

 

 

 

 
426

 

 

 
426

 
(426
)
 

Balance at September 30, 2018
5,600,000

 
135,356

 
6,200,000

 
149,860

 
11,500,000

 
278,108

 
111,652,661

 
1,116

 
2,385,218

 
174,553

 
(663,007
)
 
2,461,204

 
24,219

 
2,485,423

The accompanying notes are an integral part of this condensed consolidated financial statement.


 
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INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
  
Nine Months Ended September 30,
$ in thousands
2018
 
2017
Cash Flows from Operating Activities
 
 
 
Net income
91,472

 
210,741

Adjustments to reconcile net income to net cash provided by operating activities:
 
 
 
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net
37,263

 
53,612

Realized and unrealized (gain) loss on derivative instruments, net
(307,594
)
 
(14,217
)
Realized and unrealized (gain) loss on credit derivatives, net
8,034

 
(20,904
)
(Gain) loss on investments, net
404,657

 
2,551

Loss from investments in unconsolidated ventures in excess of distributions received
320

 
1,925

Other amortization
(19,332
)
 
(17,702
)
Net loss on extinguishment of debt
26

 
6,581

(Gain) loss on foreign currency transactions, net
1,038

 
(3,715
)
Changes in operating assets and liabilities:
 
 
 
Increase in operating assets
(1,140
)
 
(9,713
)
Decrease (increase) in operating liabilities
6,974

 
(4,985
)
Net cash provided by operating activities
221,718

 
204,174

Cash Flows from Investing Activities
 
 
 
Purchase of mortgage-backed and credit risk transfer securities
(4,996,460
)
 
(5,480,222
)
(Contributions to) distributions from investments in unconsolidated ventures, net
1,107

 
9,023

Change in other assets
(41,094
)
 
(3,457
)
Principal payments from mortgage-backed and credit risk transfer securities
1,597,052

 
1,758,781

Proceeds from sale of mortgage-backed and credit risk transfer securities
2,836,065

 
625,540

Proceeds from/ (payments for) settlement or termination of forwards, swaps, futures and TBAs, net
249,492

 
(5,808
)
Net change in due from counterparties and collateral held payable
13,980

 
1,255

Principal payments from commercial loans held-for-investment
160,809

 

Origination and advances of commercial loans, net of origination fees
(1,677
)
 
(3,754
)
Net cash used in investing activities
(180,726
)
 
(3,098,642
)
Cash Flows from Financing Activities
 
 
 
Proceeds from issuance of preferred stock, net of issuance cost

 
278,411

Due from counterparties - secured loans

 
(1,550
)
Proceeds from repurchase agreements
108,342,902

 
107,218,532

Principal repayments of repurchase agreements
(108,044,996
)
 
(104,288,947
)
Extinguishment of exchangeable senior notes
(143,433
)
 
(247,454
)
Payments of deferred costs
(167
)
 

Payments of dividends and distributions
(175,776
)
 
(152,782
)
Net cash (used in) provided by financing activities
(21,470
)
 
2,806,210

Net change in cash, cash equivalents and restricted cash
19,522

 
(88,258
)
Cash, cash equivalents and restricted cash, beginning of period
89,001

 
161,788

Cash, cash equivalents and restricted cash, end of period
108,523

 
73,530

Supplement Disclosure of Cash Flow Information
 
 
 
Interest paid
248,824

 
159,982

Non-cash Investing and Financing Activities Information
 
 
 
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities
(67,394
)
 
76,519

Dividends and distributions declared not paid
50,205

 
59,909

Net change in investment related payable (receivable)
(100,061
)
 
(141,085
)
Net change in repurchase agreements, not settled
(189
)
 
(1,416
)
Change in due from counterparties and collateral held payable

 
86,450

The accompanying notes are an integral part of these condensed consolidated financial statements.

 
5
 


Table of Contents


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 September 30, 2018, 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");
Commercial mortgage-backed securities (“CMBS”) 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 CMBS");
RMBS that are not guaranteed by a U.S. government agency ("non-Agency RMBS");
CMBS that are not guaranteed by a U.S. government agency (“non-Agency CMBS”);
Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT");
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, 2017.
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.
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.

 
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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, 2017, other than the significant accounting policy disclosed below.
Restricted Cash
Restricted cash represents cash posted with the Federal Home Loan Bank of Indianapolis ("FHLBI") as collateral for secured loans and cash posted with counterparties as collateral for various derivative instruments.  Cash held by counterparties as collateral is legally restricted and is not available for general corporate purposes.
Accounting Pronouncements Recently Adopted

Effective January 1, 2018, we adopted the accounting guidance that amends certain aspects of recognition, measurement, presentation, and disclosure of financial assets and liabilities. The standard requires that all equity investments, other than those accounted for as equity method investments, be measured at fair value with changes recognized in income. As of January 1, 2018, we had three types of equity investments: investments in unconsolidated ventures, an investment in an exchange traded fund, and an investment in FHLBI stock. Our investments in unconsolidated ventures are accounted for as equity method investments, and our investment in an exchange-traded fund is measured at fair value with changes recognized in income. While the standard eliminates the cost method for equity investments without readily determinable fair values, it does allow an election to record equity investments without readily determinable fair values at cost, less impairment, and plus or minus adjustments for observable price changes. We have elected to record our investment in FHLBI stock at cost, less impairment. As such, the adoption of this accounting guidance did not impact our financial condition or results of operations. The standard also amends certain disclosure requirements for financial instruments. Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" for a tabular summary of the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type.
Effective January 1, 2018, we adopted the accounting guidance intended to reduce diversity in how restricted cash and certain transactions are classified in the statement of cash flows. The new guidance requires that the statement of cash flows explains the difference during the period in the total of cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents. We adopted the accounting standard on a retrospective basis, which required us to restate our statement of cash flows for the nine months ended September 30, 2017. The adoption resulted in a $21.7 million decrease in net cash provided by operating activities, $22.9 million decrease in net cash used in investing activities and $1.3 million decrease in net cash provided by financing activities. We included restricted cash of $300,000 as of September 30, 2018 and $620,000 as of December 31, 2017 in our reconciliation of cash, cash equivalents and restricted cash on the condensed consolidated statements of cash flows.
Pending Accounting Pronouncements
In June 2016, new accounting guidance was issued for reporting credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost, and require entities to record allowances for available-for-sale debt securities rather than reduce the carrying amount, as they do today under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans. We are required to adopt the new guidance in the first quarter of 2020 by recording a cumulative effect adjustment to retained earnings as of January 1, 2020. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements.
In June 2018, new accounting guidance was issued that aligns the measurement and classification for stock-based payments to non-employees with the guidance for stock-based payments to employees. Under the new guidance, the measurement of equity-classified non-employee awards will be fixed at the grant date. We are required to adopt the new guidance in the first quarter of 2019 by recording a cumulative effect adjustment to retained earnings as of January 1, 2019. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements.

 
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Note 3 - Variable Interest Entities ("VIEs")
Our maximum risk of loss in VIEs in which we are not the primary beneficiary at September 30, 2018 is presented in the table below.
$ in thousands
Carrying Amount
 
Company's Maximum Risk of Loss
Non-Agency CMBS
3,270,768

 
3,270,768

Non-Agency RMBS
1,158,712

 
1,158,712

Investments in unconsolidated ventures
24,217

 
24,217

Total
4,453,697

 
4,453,697

Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 6 - "Other Assets" for additional details regarding these investments.

 
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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 September 30, 2018 and December 31, 2017.
September 30, 2018
 
 
 
 
 
 
 
 
 
 
 
$ in thousands
Principal/ Notional
Balance
 
Unamortized
Premium
(Discount)
 
Amortized
Cost
 
Unrealized
Gain/
(Loss), net
 
Fair
Value
 
Period-
end
Weighted
Average
Yield (1)
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate
594,301

 
11,144

 
605,445

 
(3,286
)
 
602,159

 
3.08
%
30 year fixed-rate
10,444,475

 
339,322

 
10,783,797

 
(284,747
)
 
10,499,050

 
3.46
%
ARM*
146,287

 
467

 
146,754

 
(1,676
)
 
145,078

 
2.69
%
Hybrid ARM*
1,011,695

 
19,333

 
1,031,028

 
(21,005
)
 
1,010,023

 
2.68
%
Total Agency RMBS pass-through
12,196,758

 
370,266

 
12,567,024

 
(310,714
)
 
12,256,310

 
3.37
%
Agency-CMO (2)
922,228

 
(684,283
)
 
237,945

 
(13,795
)
 
224,150

 
3.25
%
Agency CMBS
578,952

 
11,995

 
590,947

 
(6,259
)
 
584,688

 
3.39
%
Non-Agency CMBS (3)
3,995,236

 
(715,867
)
 
3,279,369

 
(8,601
)
 
3,270,768

 
5.05
%
Non-Agency RMBS (4)(5)(6)
2,832,999

 
(1,796,118
)
 
1,036,881

 
121,831

 
1,158,712

 
7.26
%
GSE CRT (7)
737,487

 
22,182

 
759,669

 
82,528

 
842,197

 
2.91
%
Total
21,263,660

 
(2,791,825
)
 
18,471,835

 
(135,010
)
 
18,336,825

 
3.76
%
* Adjustable-rate mortgage ("ARM")
 
(1)
Period-end weighted average yield is based on amortized cost as of September 30, 2018 and incorporates future prepayment and loss assumptions.
(2)
Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 78.7% of principal/notional balance, 16.6% of amortized cost and 15.5% of fair value.
(3)
Non-Agency CMBS includes interest-only securities which represent 15.2% of principal/notional balance, 0.4% of amortized cost and 0.5% of fair value.
(4)
Non-Agency RMBS held by us is 46.6% variable rate, 47.1% fixed rate and 6.3% floating rate based on fair value.
(5)
Of the total discount in non-Agency RMBS, $198.5 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.
(6)
Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 56.2% of principal/notional balance, 2.5% of amortized cost and 2.5% of fair value.
(7)
GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net.


 
9
 


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December 31, 2017
 
 
 
 
 
 
 
 
 
 
$ in thousands
Principal/Notional
Balance
 
Unamortized
Premium
(Discount)
 
Amortized
Cost
 
Unrealized
Gain/
(Loss), net
 
Fair
Value
 
Period-
end
Weighted
Average
Yield (1)
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate
2,917,307

 
119,120

 
3,036,427

 
(61,645
)
 
2,974,782

 
2.17
%
30 year fixed-rate
7,354,211

 
295,977

 
7,650,188

 
(9,648
)
 
7,640,540

 
3.09
%
ARM
238,486

 
1,609

 
240,095

 
1,105

 
241,200

 
2.60
%
Hybrid ARM
1,696,148

 
26,066

 
1,722,214

 
(2,829
)
 
1,719,385

 
2.54
%
Total Agency RMBS pass-through
12,206,152

 
442,772

 
12,648,924

 
(73,017
)
 
12,575,907

 
2.79
%
Agency-CMO (2)
1,226,539

 
(942,290
)
 
284,249

 
(10,306
)
 
273,943

 
2.91
%
Non-Agency CMBS (3)
3,879,775

 
(704,097
)
 
3,175,678

 
40,739

 
3,216,417

 
4.92
%
Non-Agency RMBS (4)(5)(6)
2,785,704

 
(1,661,683
)
 
1,124,021

 
133,587

 
1,257,608

 
7.19
%
GSE CRT (7)
757,183

 
24,306

 
781,489

 
85,390

 
866,879

 
2.45
%
Total
20,855,353

 
(2,840,992
)
 
18,014,361

 
176,393

 
18,190,754

 
3.42
%
 
(1)
Period-end weighted average yield is based on amortized cost as of December 31, 2017 and incorporates future prepayment and loss assumptions.
(2)
Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 81.8% of principal (notional) balance, 20.9% of amortized cost and 18.7% of fair value.
(3)
Non-Agency CMBS includes interest-only securities which represent 15.8% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value.
(4)
Non-Agency RMBS held by us is 52.2% variable rate, 37.8% fixed rate, and 10.0% floating rate based on fair value.
(5)
Of the total discount in non-Agency RMBS, $195.3 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.
(6)
Non-Agency RMBS includes interest-only securities, which represent 51.5% of principal/notional balance, 2.0% of amortized cost and 1.8% of fair value.
(7)
GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net.
The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of September 30, 2018 and December 31, 2017. We have elected the fair value option for all of our RMBS IOs, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of September 30, 2018 and December 31, 2017, approximately 61% and 36%, respectively, of our MBS and GSE CRTs are accounted for under the fair value option.
 
September 30, 2018
 
December 31, 2017
$ in thousands
Available-for-sale Securities
 
Securities under Fair Value Option
 
Total
Fair Value
 
Available-for-sale Securities
 
Securities under Fair Value Option
 
Total
Fair Value
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate
369,459

 
232,700

 
602,159

 
2,842,440

 
132,342

 
2,974,782

30 year fixed-rate
1,569,998

 
8,929,052

 
10,499,050

 
2,467,871

 
5,172,669

 
7,640,540

ARM
145,078

 

 
145,078

 
241,200

 

 
241,200

Hybrid ARM
979,057

 
30,966

 
1,010,023

 
1,719,385

 

 
1,719,385

Total RMBS Agency pass-through
3,063,592

 
9,192,718

 
12,256,310

 
7,270,896

 
5,305,011

 
12,575,907

Agency-CMO
171,954

 
52,196

 
224,150

 
203,351

 
70,592

 
273,943

Agency CMBS

 
584,688

 
584,688

 

 

 

Non-Agency CMBS
2,241,109

 
1,029,659

 
3,270,768

 
2,376,413

 
840,004

 
3,216,417

Non-Agency RMBS
1,015,963

 
142,749

 
1,158,712

 
1,236,178

 
21,430

 
1,257,608

GSE CRT
611,163

 
231,034

 
842,197

 
635,537

 
231,342

 
866,879

Total
7,103,781

 
11,233,044

 
18,336,825

 
11,722,375

 
6,468,379

 
18,190,754


 
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The components of the carrying value of our MBS and GSE CRT portfolio at September 30, 2018 and December 31, 2017 are presented below. 
 
September 30, 2018
$ in thousands
MBS and GSE CRT Securities
 
Interest-Only Securities
 
Total
Principal/ notional balance
18,495,706

 
2,767,954

 
21,263,660

Unamortized premium
449,797

 

 
449,797

Unamortized discount
(551,097
)
 
(2,690,525
)
 
(3,241,622
)
Gross unrealized gains (1)
243,555

 
7,682

 
251,237

Gross unrealized losses (1)
(379,122
)
 
(7,125
)
 
(386,247
)
Fair value
18,258,839

 
77,986

 
18,336,825

 
December 31, 2017
$ in thousands
MBS and GSE CRT Securities
 
Interest-Only Securities
 
Total
Principal/ notional balance
17,974,390

 
2,880,963

 
20,855,353

Unamortized premium
521,626

 

 
521,626

Unamortized discount
(577,344
)
 
(2,785,274
)
 
(3,362,618
)
Gross unrealized gains (1)
336,543

 
5,113

 
341,656

Gross unrealized losses (1)
(155,146
)
 
(10,117
)
 
(165,263
)
Fair value
18,100,069

 
90,685

 
18,190,754

(1)
Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three and nine months ended September 30, 2018 and 2017 is provided below within this Note 4.
The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of September 30, 2018 and December 31, 2017
$ in thousands
September 30, 2018
 
December 31, 2017
Less than one year
135,685

 
135,559

Greater than one year and less than five years
4,097,807

 
7,934,836

Greater than or equal to five years
14,103,333

 
10,120,359

Total
18,336,825

 
18,190,754



 
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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 September 30, 2018 and December 31, 2017.
September 30, 2018
  
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
442,294

 
(4,202
)
 
75

 
13,153

 
(311
)
 
23

 
455,447

 
(4,513
)
 
98

30 year fixed-rate
7,109,826

 
(156,950
)
 
248

 
2,538,629

 
(134,979
)
 
84

 
9,648,455

 
(291,929
)
 
332

ARM
76,597

 
(688
)
 
6

 
45,981

 
(1,197
)
 
9

 
122,578

 
(1,885
)
 
15

Hybrid ARM
491,065

 
(8,070
)
 
52

 
459,728

 
(13,770
)
 
66

 
950,793

 
(21,840
)
 
118

Total Agency RMBS pass-through (1)
8,119,782

 
(169,910
)
 
381

 
3,057,491

 
(150,257
)
 
182

 
11,177,273

 
(320,167
)
 
563

Agency-CMO (2)
116,495

 
(7,696
)
 
31

 
93,933

 
(8,179
)
 
20

 
210,428

 
(15,875
)
 
51

Agency CMBS (3)
584,688

 
(6,259
)
 
12

 

 

 

 
584,688

 
(6,259
)
 
12

Non-Agency CMBS (4)
1,569,147

 
(21,167
)
 
108

 
513,211

 
(19,198
)
 
39

 
2,082,358

 
(40,365
)
 
147

Non-Agency RMBS (5)
247,068

 
(2,981
)
 
26

 
57,666

 
(600
)
 
11

 
304,734

 
(3,581
)
 
37

Total
10,637,180

 
(208,013
)
 
558

 
3,722,301

 
(178,234
)
 
252

 
14,359,481

 
(386,247
)
 
810

(1)
Amounts disclosed includes Agency RMBS with a fair value of $8.7 billion for which the fair value option has been elected. Such securities have unrealized losses of $250.2 million.
(2)
Amounts disclosed includes Agency IO and Agency-CMO with fair value of $22.6 million and $17.4 million, respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.8 million and $1.2 million, respectively.
(3)
Fair value option has been elected for all Agency CMBS.
(4)
Amounts disclosed includes non-Agency CMBS with a fair value of $652.5 million for which the fair value option has been elected. Such securities have unrealized losses of $13.8 million.
(5)
Amounts disclosed includes non-Agency RMBS and non-Agency IO with a fair value of $115.1 million and $8.4 million, respectively for which the fair value option has been elected. Such securities have unrealized losses of $1.1 million and $368,000, respectively.


 
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December 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
111,020

 
(321
)
 
26

 
2,406,021

 
(67,285
)
 
133

 
2,517,041

 
(67,606
)
 
159

30 year fixed-rate
3,677,576

 
(20,730
)
 
107

 
963,547

 
(27,158
)
 
56

 
4,641,123

 
(47,888
)
 
163

ARM
101,173

 
(902
)
 
12

 

 

 

 
101,173

 
(902
)
 
12

Hybrid ARM
614,321

 
(4,189
)
 
73

 
517,642

 
(8,091
)
 
47

 
1,131,963

 
(12,280
)
 
120

Total Agency RMBS pass-through (1)
4,504,090

 
(26,142
)
 
218

 
3,887,210

 
(102,534
)
 
236

 
8,391,300

 
(128,676
)
 
454

Agency-CMO (2)
75,299

 
(10,433
)
 
44

 
81,988

 
(2,309
)
 
5

 
157,287

 
(12,742
)
 
49

Non-Agency CMBS (3)
892,553

 
(17,612
)
 
81

 
135,139

 
(3,792
)
 
12

 
1,027,692

 
(21,404
)
 
93

Non-Agency RMBS (4)
84,439

 
(709
)
 
15

 
96,263

 
(1,732
)
 
11

 
180,702

 
(2,441
)
 
26

Total
5,556,381

 
(54,896
)
 
358

 
4,200,600

 
(110,367
)
 
264

 
9,756,981

 
(165,263
)
 
622

(1)
Amounts disclosed includes Agency RMBS with a fair value of $3.4 billion for which the fair value option has been elected. Such securities have unrealized losses of $22.8 million.
(2)
Amounts disclosed includes Agency IO and Agency-CMO with fair value of $36.5 million and $9.5 million, respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $10.1 million and $88,000, respectively.
(3)
Amounts disclosed includes non-Agency CMBS with a fair value of $596.0 million for which the fair value option has been elected. Such securities have unrealized losses of $8.9 million.
(4)
Amounts disclosed includes non-Agency IO with a fair value of $530,000 for which the fair value option has been elected. Such securities have unrealized losses of $39,000.
Gross unrealized losses on our Agency RMBS, Agency CMBS and CMO were $335.5 million at September 30, 2018 (December 31, 2017: $131.3 million). Due to the inherent credit quality of Agency RMBS, Agency CMBS and Agency-CMO, we determined that at September 30, 2018 and December 31, 2017, any unrealized losses on these securities are not other than temporary.
Gross unrealized losses on our Agency IO, non-Agency RMBS and non-Agency CMBS were $50.7 million at September 30, 2018 (December 31, 2017: $33.9 million). We did not consider these unrealized losses to be credit related, but rather due to non-credit related factors such as interest rates, prepayment speeds, and market fluctuations. These investment securities are included in our assessment for other-than-temporary impairment ("OTTI") on a quarterly basis.
We assess our investment securities for OTTI 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.
The following table summarizes OTTI included in earnings for the three and nine months ended September 30, 2018 and 2017:
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
$ in thousands
2018
 
2017
 
2018
 
2017
RMBS interest-only securities
702

 
4,959

 
7,100

 
8,835

Non-Agency RMBS (1)
35

 

 
85

 
754

Total
737

 
4,959

 
7,185

 
9,589

(1)
Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income.
OTTI on RMBS interest-only securities was recorded as a reclassification from an unrealized to realized loss within gain (loss) on investments, net on the condensed consolidated statements of operations because we account for these securities under

 
13
 


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the fair value option. As of September 30, 2018, 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 summarizes the components of our total gain (loss) on investments, net for the three and nine months ended September 30, 2018 and 2017.
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
$ in thousands
2018
 
2017
 
2018
 
2017
Gross realized gains on sale of investments
739

 

 
774

 
2,208

Gross realized losses on sale of investments
(141,454
)
 
(7
)
 
(162,251
)
 
(3,873
)
Other-than-temporary impairment losses
(737
)
 
(4,959
)
 
(7,185
)
 
(9,589
)
Net unrealized gains and losses on MBS accounted for under the fair value option
(66,831
)
 
(5,301
)
 
(236,967
)
 
(1,188
)
Net unrealized gains and losses on GSE CRT accounted for under the fair value option
377

 
(1,608
)
 
993

 
9,866

Net unrealized gains and losses on trading securities
(4
)
 
2

 
(21
)
 
25

Total gain (loss) on investments, net
(207,910
)
 
(11,873
)
 
(404,657
)
 
(2,551
)
The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three and nine months ended September 30, 2018 and 2017. GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net.
For the three months ended September 30, 2018
$ in thousands
Coupon
Interest
 
Net (Premium
Amortization)/Discount
Accretion
 
Interest
Income
Agency RMBS and CMBS
115,829

 
(20,850
)
 
94,979

Non-Agency CMBS
37,938

 
1,470

 
39,408

Non-Agency RMBS
14,106

 
4,831

 
18,937

GSE CRT
7,513

 
(731
)
 
6,782

Other
310

 

 
310

Total
175,696

 
(15,280
)
 
160,416

For the three months ended September 30, 2017
$ in thousands
Coupon
Interest
 
Net (Premium
Amortization)/Discount
Accretion
 
Interest
Income
Agency RMBS and CMBS
99,748

 
(26,155
)
 
73,593

Non-Agency CMBS
33,613

 
(591
)
 
33,022

Non-Agency RMBS
17,109

 
4,846

 
21,955

GSE CRT
6,021

 
(597
)
 
5,424

Other
144

 

 
144

Total
156,635

 
(22,497
)
 
134,138


 
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Table of Contents


For the nine months ended September 30, 2018
$ in thousands
Coupon
Interest
 
Net (Premium
Amortization)/Discount
Accretion
 
Interest
Income
Agency RMBS and CMBS
329,576

 
(66,347
)
 
263,229

Non-Agency CMBS
113,332

 
4,091

 
117,423

Non-Agency RMBS
41,313

 
15,167

 
56,480

GSE CRT
21,218

 
(2,124
)
 
19,094

Other
741

 

 
741

Total
506,180

 
(49,213
)
 
456,967

For the nine months ended September 30, 2017
$ in thousands
Coupon
Interest
 
Net (Premium
Amortization)/Discount
Accretion
 
Interest
Income
Agency RMBS and CMBS
282,958

 
(82,508
)
 
200,450

Non-Agency CMBS
94,795

 
(5,077
)
 
89,718

Non-Agency RMBS
55,854

 
12,967

 
68,821

GSE CRT
16,064

 
(1,315
)
 
14,749

Other
300

 

 
300

Total
449,971

 
(75,933
)
 
374,038

Note 5 – Commercial Loans Held-for-Investment
The following table summarizes purchased or originated commercial mezzanine loans held-for-investment as of September 30, 2018 and December 31, 2017.
$ in thousands
Number of
loans
 
Principal
Balance
 
Unamortized (fees)/
costs, net
 
Carrying
value
 
Weighted Average Coupon
 
Weighted Average Years to Maturity (1)
September 30, 2018
2

 
31,707

 

 
31,707

 
10.44
%
 
2.0
December 31, 2017
8

 
191,894

 
(86
)
 
191,808

 
8.52
%
 
1.2
(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 September 30, 2018 and December 31, 2017 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, 2017.
Note 6 – Other Assets
The following table summarizes our other assets as of September 30, 2018 and December 31, 2017.
$ in thousands
September 30, 2018
 
December 31, 2017
FHLBI stock
74,250

 
74,250

Loan participation interest
45,058

 

Investments in unconsolidated ventures
24,217

 
25,972

Investment in exchange-traded fund

 
3,979

Prepaid expenses and other assets
1,490

 
1,379

Total
145,015

 
105,580

IAS Services LLC, our wholly-owned subsidiary, is required to purchase and hold FHLBI stock as a condition of membership in the FHLBI. The stock is recorded at cost.

 
15
 


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In August 2018, we acquired a participation interest in a secured loan collateralized by mortgage servicing rights. The loan has a two year term subject to a one year extension option. The participation interest bears interest at a floating rate based on LIBOR plus a spread. The weighted average asset yield for the participation interest was 5.97% as of September 30, 2018. We elected to account for the investment using the fair value option. Refer to Note 16- "Commitments and Contingencies" for additional details regarding our unfunded commitment on this loan participation interest.
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 redeemed our investment in an exchange-traded fund that is managed by an affiliate of our Manager in the third quarter of 2018.
Note 7 – Borrowings
We have financed the majority of our investment portfolio through repurchase agreements, secured loans and exchangeable senior notes. The following tables summarize certain characteristics of our borrowings at September 30, 2018 and December 31, 2017. Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans.
$ in thousands
September 30, 2018
 
 
 
 
Weighted
 
 
Weighted
 
Average
 
 
Average
 
Remaining
Amount
 
Interest
 
Maturity
Outstanding
 
Rate
 
(days)
Repurchase Agreements:
 
 
 
 
 
Agency RMBS
10,693,221

 
2.29
%
 
42

Agency CMBS
559,258

 
2.28
%
 
61

Non-Agency CMBS
1,525,347

 
3.31
%
 
20

Non-Agency RMBS
876,406

 
3.36
%
 
26

GSE CRT
690,493

 
3.30
%
 
23

Loan participation interest
33,793

 
3.93
%
 
697

Total Repurchase Agreements
14,378,518

 
2.52
%
 
40

Secured Loans
1,650,000

 
2.38
%
 
2,044

Total Borrowings
16,028,518

 
2.50
%
 
246

$ in thousands
December 31, 2017
 
 
 
 
Weighted
 
 
Weighted
 
Average
 
 
Average
 
Remaining
Amount
 
Interest
 
Maturity
Outstanding
 
Rate
 
(days)
Repurchase Agreements:
 
 
 
 
 
Agency RMBS
11,111,755

 
1.58
%
 
25

Non-Agency CMBS
1,396,330

 
2.61
%
 
9

Non-Agency RMBS
915,225

 
2.77
%
 
31

GSE CRT
657,491

 
2.78
%
 
24

Total Repurchase Agreements
14,080,801

 
1.82
%
 
25

Secured Loans
1,650,000

 
1.52
%
 
2,317

Exchangeable Senior Notes (1)
143,410

 
5.00
%
 
74

Total Borrowings
15,874,211

 
1.82
%
 
263

(1)
The carrying value of exchangeable senior notes was $143.2 million as of December 31, 2017. The carrying value was net of unamortized debt issuance costs of $179,000 as of December 31, 2017.

 
16
 


Table of Contents


The following table shows the aggregate amount of maturities of our outstanding borrowings:
$ in thousands
As of
Borrowings maturing within:
September 30, 2018
10/1/2018 - 9/30/2019
14,344,725

10/1/2019 - 9/30/2020
333,793

10/1/2020 - 9/30/2021
100,000

10/1/2021 - 9/30/2022

10/1/2022 - 9/30/2023

Thereafter
1,250,000

Total
16,028,518

The following tables summarize certain characteristics of our repurchase agreements and secured loans at September 30, 2018 and December 31, 2017.
September 30, 2018
 
 
 
 
 
$ in thousands
Amount Outstanding
 
Percent of Total Amount Outstanding
 
Collateral Pledged (1)
Repurchase Agreement Counterparties:
 
 
 
 
 
HSBC
1,516,849

 
9.5
%
 
1,615,248

Mirae Asset Securities
1,461,790

 
9.1
%
 
1,544,998

ING Financial Market
1,421,007

 
8.9
%
 
1,519,860

E D & F Man Capital Markets
1,229,333

 
7.7
%
 
1,300,892

Royal Bank of Canada
1,162,208

 
7.1
%
 
1,374,230

Industrial and Commercial Bank of China
1,069,894

 
6.7
%
 
1,141,135

South Street Securities
740,686

 
4.6
%
 
780,219

Citigroup
737,250

 
4.6
%
 
859,223

MUFJ Securities
520,086

 
3.2
%
 
581,079

Amherst Pierpont Securities
476,763

 
3.0
%
 
511,652

Federal Home Loan Mortgage Corp
448,893

 
2.8
%
 
476,023