3 unchanged sentences
We have evaluated, with the participation of our principal executive officer and principal financial officer, the effectiveness of our disclosure controls and procedures as of December 31, 2020.
−Removed: Based upon our evaluation, our principal executive officer and principal financial officer concluded that our disclosure controls and procedures were effective to provide reasonable assurance that information required to be disclosed by us in the reports that we file or submit under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the
−Removed: applicable rules and forms, and that it is accumulated and communicated to our management, including our principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.
+Added: Based upon our evaluation, our principal executive officer and principal financial officer concluded that our disclosure controls and procedures were effective to provide reasonable assurance that information required to be disclosed by us in the reports that we file or submit under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to our management, including our principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.
There are inherent limitations to the effectiveness of any system of disclosure controls and procedures, including the possibility of human error and the circumvention or overriding of the controls and procedures.
53 unchanged sentences
4.3 Specimen 7.75% Series B Fixed-to-Floating Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.1 to the Registrant’s Registration Statement on Form 8-A, filed with the SEC on September 8, 2014.
−Removed: Indenture, dated March 12, 2013, by and among IAS Operating Partnership LP, as issuer, Invesco Mortgage Capital Inc., as guarantor, and The Bank of New York Mellon Trust Company, N.A., as trustee, including the form of 5.00% Exchangeable Senior Notes due 2018 and the related guarantee, incorporated by reference to Exhibit 4.1 to our Current Report on Form 8-K, filed with the SEC on March 15, 2013.
4.4 Specimen 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.5 to the Registrant’s Registration Statement on Form 8-A, filed with the SEC on August 11, 2017.
4.5 Description of Invesco Mortgage Capital Inc.
+Added: Securities , incorporated b y reference to Exhibit 4.6 to ou r Annual Report on Form 10-K , filed with the SEC on February 19, 202 0
10.1 Management Agreement, dated as of July 1, 2009, among Invesco Advisers, Inc.
4 unchanged sentences
10.3 Second Amendment to Management Agreement, dated as of July 1, 2015, by and among Invesco Advisers, Inc., Invesco Mortgage Capital Inc., and IAS Operating Partnership LP., incorporated by reference to Exhibit 10.1 to our Quarterly Report on Form 10-Q, filed with the SEC on August 17, 2015.
+Added: 10.4 Third Amendment to Management Agreement, dated as of November 6, 2019, by and among Invesco Advisers, Inc., Invesco Mortgage Capital Inc., and IAS Operating Partnership LP., incorporated by reference to Exhibit 10.1 to our Quarterly Report on Form 10-Q, filed with the SEC on November 7, 2019
§ 10.5 Invesco Mortgage Capital Inc.
6 unchanged sentences
and JonesTrading Institutional Services LLC, incorporated by reference to Exhibit 1.1 to our Current Report on Form 8-K, filed with the SEC on March 19, 2019
−Removed: Third Amendment to Management Agreement, dated as of November 6, 2019, by and among Invesco Advisers, Inc., Invesco Mortgage Capital Inc., and IAS Operating Partnership LP., incorporated by reference to Exhibit 10.1 to our Quarterly Report on Form 10-Q, filed with the SEC on November 7, 2019
+Added: 10.9 Equity Distribution Agreement, dated November 30, 2020, among Invesco Mortgage Capital Inc., IAS Operating Partnership LP, Invesco Advisers, Inc.
+Added: and JMP Securities LLC, incorporated by reference to Exhibit 1.1 to our Current Report on Form 8-K, filed with the SEC on November 30, 2020
21.1 Subsidiaries of the Registrant.
71 unchanged sentences
These estimated future cash flows are utilized at the time of purchase in determining the effective interest rate.
−Removed: Over the life of the investments, management updates these estimated future cash flows to compute a revised yield based on the current amortized cost of the investment.
+Added: Over the life of the investments, management updates these estimated future cash flows to compute a revised yield based on the current amortized cost of the investment, unless those changes are reflected in an allowance for credit losses.
+Added: In situations where an allowance for credit losses is limited by the fair value of the investment, the yield is computed as the rate that equates expected future cash flows to the current fair value of the investment.
In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including but not limited to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations.
−Removed: The principal considerations for our determination that performing procedures relating to interest income recognition on certain MBS where the Company may not recover substantially all of their initial investment is a critical audit matter are (i) there was significant judgment by management to estimate the cash flows of these investments, which included significant assumptions related to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations).
−Removed: This in turn led to a high degree of auditor subjectivity, judgment and effort in performing procedures to evaluate the audit evidence obtained related to the cash flow estimates and related effective interest yields, and (ii) the audit effort involved the use of professionals with specialized skill and knowledge to assist in performing these procedures and evaluating the audit evidence obtained from these procedures.
+Added: The principal considerations for our determination that performing procedures relating to interest income recognition on certain MBS where the Company may not recover substantially all of their initial investment is a critical audit matter are the significant judgment by management to estimate the cash flows of these investments, which included significant assumptions related to the rate and timing of principal payments;
+Added: this in turn led to a high degree of auditor subjectivity, judgment and effort in performing procedures to evaluate the audit evidence obtained related to the cash flow estimates and related effective interest yields, and the audit effort involved the use of professionals with specialized skill and knowledge.
Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our overall opinion on the consolidated financial statements.
These procedures included testing the effectiveness of controls relating to interest income, including the updating of cash flows and related effective interest yields for these MBS where substantially all of their initial investment may not be recovered.
−Removed: These procedures also included, among others, testing the calculation of the effective interest yield for MBS where substantially all of their initial investment may not be recovered and testing of the classification of the investments to be categorized as such upon acquisition.
+Added: These procedures also included, among others, (i) testing the calculation of the effective interest yield for MBS where substantially all of their initial investment may not be recovered and (ii) testing of the classification of the investments to be categorized as such upon acquisition.
For a sample of MBS securities where substantially all of their initial investment may not be recovered, professionals with specialized skill and knowledge were used to assist in developing an independent range of effective interest yields and comparison of management’s estimated yield to the independently developed ranges to evaluate the reasonableness of the estimate.
−Removed: Developing the independent yield involved testing the completeness, accuracy, and relevance of data provided by management and evaluating the reasonableness of management’s cash flows estimates, including assumptions related to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations).
+Added: Developing the independent yield involved testing the completeness and accuracy of data provided by management and evaluating the reasonableness of management’s cash flows estimates, including assumptions related to the rate and timing of principal payments.
/s/ PricewaterhouseCoopers LLP
5 unchanged sentences
CONSOLIDATED BALANCE SHEETS
−Removed: December 31, 2019
−Removed: December 31, 2018
+Added: December 31, 2020 December 31, 2019
$ in thousands except share amounts
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $ 7,614,935 and $ 21,132,742 , respectively;
+Added: net of allowance for credit losses of $ 1,768 as of December 31, 2020)
+Added: 8,172,182 21,771,786
Cash and cash equivalents 148,011 172,507
3 unchanged sentences
Derivative assets, at fair value 10,004 18,533
+Added: Other assets (including pledged security of $ 44,654 as of December 31, 2019)
+Added: 41,163 166,180
+Added: Total assets 8,632,851 22,346,545
LIABILITIES AND STOCKHOLDERS' EQUITY
15 unchanged sentences
5,600,000 shares issued and outstanding ($ 140,000 aggregate liquidation preference)
+Added: 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)
+Added: 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)
+Added: 278,108 278,108
Common Stock, par value $ 0.01 per share;
11 unchanged sentences
Years Ended December 31,
+Added: 2020 2019 2018
$ in thousands except share data
11 unchanged sentences
Gain (loss) on investments, net ( 961,938 ) 624,466 ( 327,700 )
−Removed: Equity in earnings (losses) of unconsolidated ventures
+Added: (Increase) decrease in provision for credit losses ( 1,768 ) — —
+Added: Equity in earnings of unconsolidated ventures 1,163 2,224 3,402
Gain (loss) on derivative instruments, net ( 851,050 ) ( 534,755 ) ( 5,277 )
Realized and unrealized credit derivative income (loss), net ( 35,312 ) 8,343 ( 151 )
−Removed: Net loss on extinguishment of debt
+Added: Net gain (loss) on extinguishment of debt 14,742 — ( 26 )
Other investment income (loss), net 2,137 3,950 2,860
4 unchanged sentences
Net income (loss) ( 1,674,352 ) 364,101 ( 70,536 )
−Removed: Net income (loss) attributable to non-controlling interest
+Added: Net income attributable to non-controlling interest — — 254
Net income (loss) attributable to Invesco Mortgage Capital Inc.
+Added: ( 1,674,352 ) 364,101 ( 70,790 )
Dividends to preferred stockholders 44,426 44,426 44,426
2 unchanged sentences
Net income (loss) attributable to common stockholders
+Added: Basic ( 9.89 ) 2.42 ( 1.03 )
+Added: Diluted ( 9.89 ) 2.42 ( 1.03 )
Weighted average number of shares of common stock:
+Added: Basic 173,730,389 132,305,568 111,637,035
+Added: Diluted 173,730,389 132,317,853 111,637,035
The accompanying notes are an integral part of these consolidated financial statements.
3 unchanged sentences
Years Ended December 31,
+Added: 2020 2019 2018
+Added: $ in thousands
Net income (loss) ( 1,674,352 ) 364,101 ( 70,536 )
2 unchanged sentences
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net 13,940 9,072 193,162
+Added: Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses 1,768 — —
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense ( 23,794 ) ( 23,729 ) ( 25,839 )
10 unchanged sentences
Attributable to Common Stockholders
−Removed: In thousands except share amounts
−Removed: Preferred Stock
−Removed: Preferred Stock
−Removed: Preferred Stock
+Added: $ in thousands except share amounts Series A
+Added: Preferred Stock Series B
+Added: Preferred Stock Series C
+Added: Preferred Stock Common Stock Additional
+Added: Capital Accumulated
Comprehensive
−Removed: Income (loss)
−Removed: Retained earnings (Distributions
+Added: Income (loss) Retained earnings (Distributions
+Added: of earnings) Total
Stockholders’
+Added: Interest Total
+Added: 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
−Removed: Net income (loss)
−Removed: Other comprehensive income (loss)
−Removed: Proceeds from issuance of preferred stock, net of offering costs
+Added: Net loss — — — — — — — — — — ( 70,790 ) ( 70,790 ) 254 ( 70,536 )
+Added: Other comprehensive loss — — — — — — — — — ( 42,315 ) — ( 42,315 ) ( 1,233 ) ( 43,548 )
+Added: Repurchase of shares of common stock — — — — — — ( 75,100 ) ( 1 ) ( 1,143 ) — — ( 1,144 ) — ( 1,144 )
+Added: Stock awards — — — — — — 35,937 — — — — — — —
Common stock dividends — — — — — — — — — — ( 187,537 ) ( 187,537 ) — ( 187,537 )
2 unchanged sentences
Amortization of equity-based compensation — — — — — — — — 561 — — 561 9 570
+Added: Purchase of OP Units from non-controlling interest — — — — — — — — ( 798 ) 2,100 — 1,302 ( 23,066 ) ( 21,764 )
Rebalancing of ownership percentage of non-controlling interest — — — — — — — — 556 ( 1 ) — 555 ( 555 ) —
Balance at December 31, 2018 5,600,000 135,356 6,200,000 149,860 11,500,000 278,108 111,584,996 1,115 2,383,532 220,813 ( 882,087 ) 2,286,697 — 2,286,697
−Removed: Net income (loss)
−Removed: Other comprehensive income (loss)
−Removed: Repurchase of shares of common stock
+Added: Net income — — — — — — — — — — 364,101 364,101 — 364,101
+Added: Other comprehensive income — — — — — — — — — 68,150 — 68,150 — 68,150
+Added: Proceeds from issuance of common stock, net of offering costs — — — — — — 32,640,260 328 508,598 — — 508,926 — 508,926
+Added: Stock awards — — — — — — 31,101 — — — — — — —
Common stock dividends — — — — — — — — — — ( 252,071 ) ( 252,071 ) — ( 252,071 )
−Removed: Common unit dividends
Preferred stock dividends — — — — — — — — — — ( 44,426 ) ( 44,426 ) — ( 44,426 )
Amortization of equity-based compensation — — — — — — — — 522 — — 522 — 522
−Removed: Purchase of OP units from non-controlling interest
−Removed: Rebalancing of ownership percentage of non-controlling interest
Balance at December 31, 2019 5,600,000 135,356 6,200,000 149,860 11,500,000 278,108 144,256,357 1,443 2,892,652 288,963 ( 814,483 ) 2,931,899 — 2,931,899
−Removed: Net income (loss)
−Removed: Other comprehensive income (loss)
+Added: Cumulative effect of adoption of new accounting principle — — — — — — — — — — 342 342 — 342
+Added: Net loss — — — — — — — — — — ( 1,674,352 ) ( 1,674,352 ) — ( 1,674,352 )
+Added: Other comprehensive loss — — — — — — — — — ( 230,358 ) — ( 230,358 ) — ( 230,358 )
Proceeds from issuance of common stock, net of offering costs — — — — — — 42,549,740 425 420,312 — — 420,737 — 420,737
+Added: Stock awards — — — — — — 77,500 1 — — — 1 — 1
Common stock dividends — — — — — — 16,338,511 163 74,071 — ( 111,436 ) ( 37,202 ) — ( 37,202 )
6 unchanged sentences
CONSOLIDATED STATEMENTS OF CASH FLOWS
−Removed: Years Ended December 31,
+Added: $ in thousands Years Ended December 31,
+Added: 2020 2019 2018
Cash Flows from Operating Activities
5 unchanged sentences
(Gain) loss on investments, net 961,938 ( 624,466 ) 327,700
+Added: Increase (decrease) in provision for credit losses 1,768 — —
(Gain) loss from investments in unconsolidated ventures in excess of distributions received 229 ( 490 ) 392
Other amortization ( 23,276 ) ( 23,207 ) ( 25,184 )
−Removed: Net loss on extinguishment of debt
+Added: Net (gain) loss on extinguishment of debt ( 14,742 ) — 26
(Gain) loss on foreign currency transactions, net — — 1,038
Changes in operating assets and liabilities:
−Removed: Increase in operating assets
−Removed: Increase in operating liabilities
+Added: (Increase) decrease in operating assets 51,645 ( 8,096 ) ( 155 )
+Added: Increase (decrease) in operating liabilities ( 49,463 ) 6,189 20,484
Net cash provided by operating activities 170,459 343,359 304,264
5 unchanged sentences
Proceeds from sale of mortgage-backed and credit risk transfer securities 25,028,464 3,311,884 4,749,807
+Added: Payment on the sale of credit derivatives ( 31,353 ) — —
Settlement (termination) of futures, forwards, swaps, and TBAs, net ( 844,577 ) ( 597,077 ) ( 2,830 )
+Added: Redemption of Federal Home Loan Bank of Indianapolis stock 74,250 — —
Net change in due from counterparties and collateral held payable on derivative instruments 1,093 ( 3,174 ) ( 3,994 )
1 unchanged sentence
Origination and advances of commercial loans, net of origination fees — — ( 1,677 )
−Removed: Net cash (used in) provided by investing activities
+Added: Net cash provided by (used in) investing activities 11,554,509 ( 4,324,231 ) 621,551
Cash Flows from Financing Activities
1 unchanged sentence
Repurchase of common stock — — ( 1,144 )
−Removed: Proceeds from issuance of preferred stock
+Added: Principal repayments of secured loans ( 1,650,000 ) — —
Proceeds from repurchase agreements 75,698,735 131,624,461 136,573,821
−Removed: Principal repayments of repurchase agreements
−Removed: ( 127,694,642
−Removed: ( 137,052,138
−Removed: ( 143,964,490
+Added: Principal repayments of repurchase agreements and related fees ( 85,987,597 ) ( 127,694,642 ) ( 137,052,138 )
Extinguishment of exchangeable senior notes — — ( 143,433 )
3 unchanged sentences
Payments of dividends and distributions ( 137,499 ) ( 271,234 ) ( 234,374 )
−Removed: Net cash provided by (used in) financing activities
+Added: Net cash (used in) provided by financing activities ( 11,621,886 ) 4,134,757 ( 879,199 )
Net change in cash, cash equivalents and restricted cash 103,082 153,885 46,616
6 unchanged sentences
Dividends and distributions declared not paid 18,970 74,841 49,578
−Removed: (Decrease) increase in unsettled to-be-announced ( “ TBA ” ) securities and related payable
−Removed: Net change in investment related receivable (payable) excluding TBA securities
−Removed: Net change in repurchase agreements, not settled
+Added: Increase (decrease) in Agency CMBS purchase commitments ( 99,557 ) ( 32,530 ) 132,087
+Added: Net change in investment related receivable (payable) excluding Agency CMBS purchase commitments 266 5,724 ( 2,999 )
Change in foreign currency translation adjustment on other investments ( 1,144 ) 1,158 447
+Added: Dividend paid in common stock 74,234 — —
The accompanying notes are an integral part of these consolidated financial statements.
4 unchanged sentences
Invesco Mortgage Capital Inc.
−Removed: (the “Company”, “we”) is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities (“MBS”) and other mortgage-related assets.
−Removed: We are externally managed and advised by Invesco Advisers, Inc.
−Removed: (our “Manager”), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd.
−Removed: (“Invesco”), a leading independent global investment management firm.
−Removed: We conduct our business through IAS Operating Partnership L.P.
−Removed: (the “Operating Partnership”) and have one operating segment.
−Removed: Prior to November 30, 2018, a wholly-owned subsidiary of Invesco owned approximately 1.3 % of the Operating Partnership.
−Removed: See Note 14 - “Non-Controlling Interest - Operating Partnership” for information regarding redemption of Operating Partnership Units (“OP Units”) previously held by Invesco.
−Removed: We primarily invest in:
+Added: (the “Company”, “we”) is a Maryland corporation primarily focused on investing in, financing and managing mortgage-backed securities (“MBS”) and other mortgage-related assets.
+Added: We have historically invested in:
• Residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S.
1 unchanged sentence
• Commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S.
−Removed: government agency such as Ginnie Mae or a federally chartered corporation such as Freddie Mac or Freddie Mac (collectively “Agency CMBS”);
+Added: government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively “Agency CMBS”);
• RMBS that are not guaranteed by a U.S.
5 unchanged sentences
• Other real estate-related financing agreements.
+Added: We conduct our business through IAS Operating Partnership L.P.
+Added: (the “Operating Partnership”) and have one operating segment.
+Added: We are externally managed and advised by Invesco Advisers, Inc.
+Added: (our “Manager”), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd.
+Added: (“Invesco”), a leading independent global investment management firm.
We elected to be taxed as a real estate investment trust (“REIT”) for U.S.
−Removed: federal income tax purposes under the provisions of the Internal Revenue Code of 1986 commencing with our taxable year ended December 31, 2009.
+Added: federal income tax purposes under the provisions of the Internal Revenue Code of 1986.
To maintain our REIT qualification, we are generally required to distribute at least 90 % of our REIT taxable income to our stockholders annually.
−Removed: We operate our business in a manner that permits exclusion from the “Investment Company” definition under the Investment Company Act of 1940.
+Added: We operate our business in a manner that permits our 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
−Removed: Our consolidated financial statements have been prepared in accordance with U.S.
+Added: Our consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“U.S.
GAAP”) and consolidate the financial statements of the Company and our controlled subsidiaries.
4 unchanged sentences
GAAP requires management to make estimates and assumptions that affect the amounts reported in our consolidated financial statements and accompanying notes.
−Removed: 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, provision for loan losses and other-than-temporary impairment charges.
+Added: 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 and allowances for credit losses.
Actual results may differ from those estimates.
4 unchanged sentences
Gains and losses arising on revaluation are included in other investment income (loss), net on the consolidated statements of operations.
−Removed: During the years ended December 31, 2018 and 2017 we incurred foreign currency losses of $ 930,000 and gains of $ 4.1 million , respectively, primarily related to the revaluation of a commercial loan investment denominated in Pound Sterling.
+Added: During the year ended December 31, 2018 we incurred foreign currency losses of $ 930,000 primarily related to the revaluation
+Added: of a commercial loan investment denominated in Pound Sterling.
This commercial loan was repaid by the borrower during 2018.
18 unchanged sentences
We and the pricing service continuously monitor market indicators and economic events to determine whether they may have an impact on our valuations.
−Removed: The pricing service values interest rate swaps under the income approach using valuation models.
−Removed: The significant inputs in these models are readily available in public markets or can be derived from observable market transactions for substantially the full terms of the contracts.
−Removed: The pricing service values U.S.
−Removed: Treasury futures (“futures”), currency forward contracts and to-be-announced securities (“TBAs”) under the market approach through the use of quoted market prices available in an active market.
+Added: The pricing service values interest rate swaps, U.S.
+Added: Treasury futures (“futures”), currency forward contracts and to-be-announced securities (“TBAs”) under the market approach through the use of quoted prices available in an active market.
Overrides of prices from pricing services are rare in the current market environment for the assets we hold.
9 unchanged sentences
In addition, we perform due diligence procedures on all pricing services on at least an annual basis.
−Removed: A questionnaire is sent to pricing services which requests information such as changes in methodologies, business recovery preparedness, internal
−Removed: controls and confirmation that evaluations are generated based on market data.
+Added: A questionnaire is sent to pricing services which requests information such as changes in methodologies, business recovery preparedness, internal controls and confirmation that evaluations are generated based on market data.
Physical visits are also made to each pricing service's office.
+Added: An independent pricing service values our commercial loan using a discounted cash flow analysis.
+Added: The yield used in the discounted cash flow analysis is determined by comparing the features of the loan to the interest rates and terms required by lenders in the new loan origination market for similar loans and the yield required by investors acquiring mezzanine loans in the secondary market as well as a comparison of current market and collateral conditions to those present at origination.
As described in Note 10 - “Fair Value of Financial Instruments,” we evaluate the source used to fair value our assets and liabilities and make a determination on its categorization within the fair value hierarchy.
If the price of a security is obtained from quoted prices for identical instruments in active markets, the security is classified as a level 1 security.
−Removed: If the price of a security is obtained from quoted prices for similar instruments or model-derived valuations whose inputs are observable, the security is classified as a level 2 security.
+Added: If the price of a security is obtained from quoted prices for similar instruments or model-derived valuations whose inputs are observable, the
+Added: security is classified as a level 2 security.
If the inputs appear to be unobservable, the security would be classified as a level 3 security.
2 unchanged sentences
We record our purchases of MBS and GSE CRTs on the trade date and report these securities at fair value as described above in the Fair Value Measurements section of this Note 2 to our consolidated financial statements.
−Removed: Although we generally intend to hold most of our MBS and GSE CRTs until maturity, we may sell any of these securities prior to maturity as part of our overall management of our investment portfolio.
+Added: Although we generally intend to hold most MBS and GSE CRTs until maturity, we may sell any of these securities prior to maturity as part of our overall management of our investment portfolio.
Approximately $ 8.1 billion ( 99 %) of our MBS and GSE CRTs are accounted for under the fair value option as of December 31, 2020 (December 31, 2019:
3 unchanged sentences
We elected the fair value option for all MBS purchased on or after September 1, 2016, GSE CRTs purchased on or after August 24, 2015 and all RMBS interest-only securities.
−Removed: We classify the remaining balance of our MBS and GSE CRTs as available-for-sale ( $ 4.4 billion or 20 % as of December 31, 2019 ;
+Added: We classify the remaining balance of our MBS and GSE CRTs as available-for-sale ($ 116.9 million or 1 % as of December 31, 2020;
$ 4.4 billion or 20 % as of December 31, 2019).
2 unchanged sentences
Realized gains and losses from sales of MBS are determined based upon the specific identification method.
−Removed: GSE CRTs purchased prior to August 24, 2015 are reported at fair value but are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded derivative.
−Removed: Unrealized gains or losses arising from changes in fair value of the debt host contract, excluding other-than-temporary impairment, are recognized in accumulated other comprehensive income until sale or disposition of the investment.
−Removed: Upon sale or disposition of the debt host contract, the cumulative gain or loss previously reported in stockholders’ equity is recognized in income.
+Added: GSE CRTs purchased before August 24, 2015 were reported at fair value but are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded derivative.
+Added: Unrealized gains or losses arising from changes in fair value of the debt host contract, excluding other-than-temporary impairment, were recognized in accumulated other comprehensive income until sale or disposition of the investment.
+Added: Upon sale or disposition of the debt host contract, the cumulative gain or loss previously reported in stockholders’ equity was recognized in income.
+Added: Realized and unrealized gains or losses arising from changes in fair value of the embedded derivative were recognized in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations.
+Added: We elect the fair value option for GSE CRTs purchased on or after August 24, 2015 due to the complexities associated with bifurcation of GSE CRTs into a debt host contract and an embedded derivative.
Realized gains and losses from sales of GSE CRTs are determined based upon the specific identification method.
−Removed: Realized and unrealized gains or losses arising from changes in fair value of the embedded derivative are recognized in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations.
−Removed: We elected the fair value option for GSE CRTs purchased on or after August 24, 2015 due to the complexities associated with bifurcation of GSE CRTs into a debt host contract and an embedded derivative.
Our interest income recognition policies for MBS and GSE CRTs are described below in the Interest Income Recognition section of this Note 2 to our consolidated financial statements.
−Removed: Other-Than-Temporary-Impairment
−Removed: We consider our portfolio of Agency RMBS and Agency CMBS to be of high credit quality under applicable accounting guidance.
−Removed: For non-Agency CMBS, non-Agency RMBS and GSE CRTs, we do not rely on ratings from third party agencies to determine the credit quality of the investment.
−Removed: We use internal models that analyze the loans underlying each security and evaluate factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration to estimate the expected future cash flows.
+Added: Allowances for Credit Losses on Available-for-Sale Securities
+Added: We are not required to measure expected credit losses for situations in which historic credit loss information, adjusted for current conditions and reasonable and supportable forecasts, results in an expectation that nonpayment of the amortized cost basis is zero.
+Added: We consider our Agency portfolio to have zero loss expectation because (i) there have been no historical credit losses, (ii) full and timely payment of principal and interest is guaranteed by the GSEs and (iii) the yields, while not risk free, generally trade based on prepayment and liquidity risk as opposed to credit risk.
+Added: For non-Agency RMBS and non-Agency CMBS, we use a discounted cash flow method to estimate and recognize an allowance for credit losses.
+Added: We calculate the allowance for credit losses as the difference between the investment's amortized cost basis and expected cash flows discounted at the effective interest rate used to recognize interest income on the investment.
+Added: In developing an expectation of credit losses, we use internal models that analyze the loans underlying each investment and evaluate factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration.
We place reliance on these internal models in determining credit quality.
−Removed: While non-Agency CMBS, non-Agency RMBS and GSE CRTs with expected future losses would generally be purchased at a discount to par, the potential for a significant adverse change in expected cash flows remains.
−Removed: We therefore evaluate each security in an unrealized loss position for other-than-temporary impairment at least quarterly.
−Removed: The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors.
−Removed: Consideration is given to (i) our intent to sell the security and whether it is more likely than not that we will be required to sell the security before recovery of its amortized cost and (ii) the financial condition and near-term prospects of recovery in fair value of the security.
−Removed: This 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.
−Removed: Underlying loan
−Removed: characteristics reviewed include, but are not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration.
−Removed: We recognize in earnings and reflect as a reduction in the cost basis of the security the amount of any other-than-temporary impairment related to credit losses or impairments on securities that we intend to sell or for which it is more likely than not that we will need to sell before recoveries.
−Removed: The amount of the other-than-temporary impairment on debt securities related to other factors is recorded consistent with changes in the fair value of all other available-for-sale securities as a component of consolidated stockholders’ equity in other comprehensive income or loss with no change to the cost basis of the security.
+Added: We record an allowance for credit losses as a contra-asset on the consolidated balance sheets and a provision for credit losses in the consolidated statements of operations.
+Added: Credit losses are accreted into earnings over time at the effective interest rate used to recognize interest income.
+Added: Subsequent favorable or adverse changes in the amount of expected credit losses are recognized immediately in earnings.
+Added: If the allowance for credit losses has been reduced to zero, we reflect the remaining favorable changes as a prospective adjustment to the effective interest rate of the investment.
+Added: The allowance for credit losses is limited to the amount by which the investment’s amortized cost exceeds fair value.
+Added: When the allowance for credit losses is limited, the effective interest rate used to recognize interest income and accrete credit losses is prospectively adjusted.
+Added: We do not record an allowance for credit losses when an investment’s fair value exceeds its amortized cost.
+Added: Recoveries of amounts previously written off relating to improvements in cash flows are recognized in earnings when received.
+Added: We record provisions for credit losses, reductions in provisions for credit losses, accretion of credit losses, and recoveries of amounts previously written off within (increase) decrease in provision for credit losses in our consolidated statements of operations.
+Added: When we determine that we intend to sell, or more likely than not will be required to sell, an available-for-sale security in an unrealized loss position before we recover its amortized cost, we write off any allowance for credit losses and write down the investment’s amortized cost to its fair value.
+Added: We record the write off of the allowance for credit losses and write down of the available-for-sale security within gain (loss) on investments, net in our consolidated statements of operations.
+Added: We present accrued interest receivable separately from our investment portfolio on our consolidated balance sheets.
+Added: We do not estimate an allowance for credit losses on accrued interest receivable because we write off accrued interest receivable as a reduction to interest income if it is not received when due.
Commercial Loans Held-For-Investment
−Removed: We carry commercial loans held-for-investment at amortized cost, net of any provision for loan losses.
−Removed: An individual loan is considered impaired when it is deemed probable that the Company will not be able to recover its investment and any other anticipated future payments.
−Removed: We generally consider the following factors in evaluating whether a commercial loan is impaired:
−Removed: Loan-to-value ratios;
−Removed: The most recent financial information available for each loan and associated properties, including net operating income, debt service coverage ratios, occupancy rates, rent rolls, as well as any other factors we consider relevant, including, but not limited to, specific loan trigger events that would indicate an adverse change in expected cash flows or payment delinquency;
−Removed: Economic trends, both macroeconomic as well as those directly affecting the properties associated with the loans, and the supply and demand trends in the market in which the subject property is located;
−Removed: The loan sponsor or borrowing entity’s ability to ensure that properties associated with the loan are managed and operated sufficiently.
−Removed: When an individual commercial loan is deemed to be impaired, we record a provision to reduce the carrying value of the loan to the current present value of expected future cash flows discounted at the loan’s effective interest rate, or if the loan is collateral dependent, we reduce the carrying value to the estimated fair value of the collateral, with a corresponding charge to provision for loan losses on our consolidated statements of operations.
+Added: As of January 1, 2020, we report our one commercial loan at fair value as described in the Fair Value Measurements section of this Note 2 to the consolidated financial statements with changes in fair value reported within gain (loss) on investments, net in our consolidated statements of operations.
+Added: Before January 1 2020, we carried commercial loans held-for-investment at amortized cost, net of any provision for loan losses.
Interest Income Recognition
4 unchanged sentences
We estimate future expected cash flows at the time of purchase and determine the effective interest rate based on these estimated cash flows and our purchase price.
−Removed: Over the life of the investments, we update these estimated future cash flows and compute a revised yield based on the current amortized cost of the investment.
+Added: Over the life of the investments, we update these estimated future cash flows and compute a revised yield based on the current amortized cost of the investment, unless those changes are reflected in an allowance for credit losses.
+Added: In situations where an allowance for credit losses is limited by the fair value of the investment, we compute the yield as the rate that equates expected future cash flows to the current fair value of the investment.
In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including but not limited to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations.
These uncertainties and contingencies are difficult to predict and are subject to future events that may impact our estimate and our interest income.
−Removed: Changes in our original or most recent cash flow projections may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities.
−Removed: For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security and the security's yield is revised prospectively.
+Added: Changes in our original or most recent cash flow projections may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities, including write-offs of amortized cost when certain amounts are deemed uncollectible.
+Added: For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security, unless those changes are reflected in an allowance for credit losses, and the security's yield is revised prospectively.
For Agency RMBS and Agency CMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows.
1 unchanged sentence
Credit Risk Transfer Securities
−Removed: Interest income on GSE CRTs purchased prior to August 24, 2015 is accrued based on the coupon rate of the debt host contract which reflects the credit risk of GSE unsecured senior debt with a similar maturity.
−Removed: Premiums or discounts associated with the purchase of GSE CRTs are amortized or accreted into interest income over the life of the debt host contract using the effective interest method.
−Removed: The difference between the coupon rate on the hybrid instrument and the coupon rate on the debt host
−Removed: contract is considered premium income associated with the embedded derivative and is recorded in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations.
+Added: Interest income on GSE CRTs purchased before August 24, 2015 was accrued based on the coupon rate of the debt host contract which reflected the credit risk of GSE unsecured senior debt with a similar maturity.
+Added: Premiums or discounts associated with the purchase of GSE CRTs were amortized or accreted into interest income over the life of the debt host contract using the effective interest method.
+Added: The difference between the coupon rate on the hybrid instrument and the coupon rate on the debt host contract was considered premium income associated with the embedded derivative and was recorded in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations.
Interest income on GSE CRTs purchased on or after August 24, 2015 is based on estimated future cash flows.
1 unchanged sentence
We recognize interest income from commercial and other loans when earned and deemed collectible, or until a loan becomes past due based on the terms of the loan agreement.
−Removed: Any related origination fees, net of origination cost are amortized into interest income using the effective interest method over the life of the loan.
+Added: Any related origination fees or costs on commercial and others loans for which we have elected the fair value option are recognized immediately in earnings.
+Added: Before our decision to elect the fair value option for commercial and other loans, any related origination fees, net of origination cost were amortized into interest income using the effective interest method over the life of the loan.
Interest received after a loan becomes past due or impaired is used to reduce the outstanding loan principal balance.
−Removed: When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status.
+Added: When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on
+Added: accrual status.
Alternately, loans that have been individually impaired may be placed back on accrual status if restructured and after the loan is considered re-performing.
5 unchanged sentences
Restricted Cash
−Removed: 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.
+Added: Restricted cash represents cash posted with counterparties as collateral for various derivative instruments.
Cash posted with counterparties as collateral is not available for general corporate purposes.
+Added: As of December 31, 2019, restricted cash also included cash posted with the Federal Home Loan Bank of Indianapolis ("FHLBI").
+Added: During the year ended December 31, 2020, we fully repaid our outstanding secured loans from the FHLBI and terminated our membership.
Due from Counterparties / Collateral Held Payable
5 unchanged sentences
Investment related receivable consists of receivables for mortgage-backed and credit risk transfer securities that we have sold but have not settled with the buyer and accrued interest and principal paydowns on mortgage-backed and credit risk transfer securities.
+Added: Accrued interest receivable was $ 15.6 million and $ 67.6 million as of December 31, 2020 and 2019, respectively.
Investment related payable consists of liabilities for mortgage-backed and credit risk transfer securities that we have purchased but have not settled with the seller.
8 unchanged sentences
Secured Loans
−Removed: Our wholly-owned subsidiary, IAS Services LLC, is a member of the Federal Home Loan Bank of Indianapolis (“FHLBI”).
−Removed: As a member of the FHLBI, IAS Services LLC has borrowed funds from the FHLBI in the form of secured advances.
−Removed: FHLBI advances are treated as secured financing transactions and are carried at their contractual amounts.
+Added: Our wholly-owned subsidiary, IAS Services LLC, was a member of the FHLBI.
+Added: As a member of the FHLBI, IAS Services LLC borrowed funds from the FHLBI in the form of secured advances.
+Added: FHLBI advances were treated as secured financing transactions and carried at their contractual amounts.
+Added: IAS Services LLC was dissolved in December 2020.
Dividends Payable
2 unchanged sentences
We calculate basic earnings (loss) per share by dividing net income (loss) attributable to common stockholders for the period by the weighted-average number of shares of our common stock outstanding for that period.
−Removed: Diluted earnings per share takes into account the effect of dilutive instruments, such as OP Units, exchangeable senior notes, and unvested restricted stock awards and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding.
+Added: Diluted earnings per share takes into account the effect of dilutive instruments, such as Operating Partnership Units (“OP Units”), exchangeable senior notes, and unvested restricted stock awards and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding.
Share-Based Compensation
5 unchanged sentences
Comprehensive Income
−Removed: Our comprehensive income consists of net income, as presented in the consolidated statements of operations, adjusted for unrealized gains and losses on MBS purchased prior to September 1, 2016 and the debt host contract associated with GSE CRTs purchased prior to August 24, 2015;
+Added: Our comprehensive income consists of net income, as presented in the consolidated statements of operations, adjusted for unrealized gains and losses on MBS purchased before September 1, 2016 and the debt host contract associated with GSE CRTs purchased before August 24, 2015;
+Added: reclassification of unrealized losses on available-for-sale securities to (increase) decrease in provision for credit losses;
reclassification of amortization of net deferred gains and losses on de-designated interest rate swaps to repurchase agreements interest expense and currency translation adjustments on an investment in an unconsolidated venture.
−Removed: Unrealized gains and losses on our MBS purchased prior to September 1, 2016 and the debt host contract associated with GSE CRTs purchased prior to August 24, 2015 are reclassified into net income upon their sale.
+Added: Unrealized gains and losses on our MBS purchased before September 1, 2016 and the debt host contract associated with GSE CRTs purchased before August 24, 2015 were reclassified into net income upon their sale.
Accounting for Derivative Financial Instruments
4 unchanged sentences
Net interest paid or received under our interest rate swaps is also recognized in gain (loss) on derivative instruments, net in our consolidated statements of operations.
−Removed: Prior to 2014, we applied hedge accounting to our interest rate swap agreements.
+Added: Before 2014, we applied hedge accounting to our interest rate swap agreements.
Effective December 31, 2013, we voluntarily discontinued hedge accounting for our interest rate swap agreements by de-designating the interest rate swaps as cash flow hedges.
As long as we expect the forecasted transactions that were being hedged (i.e., rollovers of our repurchase agreement borrowings) to still occur, the balance recorded in accumulated other comprehensive income (loss) (“AOCI”) from the interest rate swap activity through December 31, 2013 will remain in AOCI and be recognized in our consolidated statements of operations as interest expense over the remaining term of the interest rate swaps.
−Removed: We are a party to hybrid financial instruments that contain embedded derivative instruments.
−Removed: For securities that we did not elect the fair value option, we assess at inception, whether the economic characteristics of the embedded derivative instruments are clearly and closely related to the economic characteristics of the remaining component of the financial
−Removed: instrument (i.e., the debt host contract), whether the financial instrument is remeasured to fair value through earnings and whether a separate instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument.
−Removed: When it is determined that (1) the embedded instrument possesses economic characteristics that are not clearly and closely related to the economic characteristics of the debt host contract, (2) the financial instrument is not remeasured to fair value through earnings and (3) a separate instrument with the same terms would qualify as a derivative instrument, the embedded instrument qualifies as an embedded derivative that is separated from the debt host contract.
−Removed: The embedded derivative is recorded at fair value, and changes in fair value are recorded in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations.
−Removed: We evaluate the terms and conditions of our holdings of futures contracts, currency forward contracts and to-be-announced (“TBA”) securities to determine if an instrument has the characteristics of an investment or should be considered a derivative under U.S.
+Added: Prior to December 31, 2020, we were a party to hybrid financial instruments that contained embedded derivative instruments and for which we did not elect the fair value option.
+Added: We assessed at inception whether the economic characteristics of the embedded derivative instruments were clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the debt host contract), whether the financial instrument was remeasured to fair value through earnings and whether a separate instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument.
+Added: When it was determined that (1) the embedded instrument possessed economic characteristics that were not clearly and closely related to the economic characteristics of the debt host contract, (2) the financial instrument was not remeasured to fair value through earnings and (3) a separate instrument with the same terms would qualify
+Added: as a derivative instrument, the embedded instrument qualified as an embedded derivative that was separated from the debt host contract.
+Added: The embedded derivative was recorded at fair value, and changes in fair value were recorded in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations.
+Added: We evaluate the terms and conditions of our holdings of futures contracts, currency forward contracts and TBAs to determine if an instrument has the characteristics of an investment or should be considered a derivative under U.S.
Accordingly, futures contracts, currency forward contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in gain (loss) on derivative instruments, net in the consolidated statements of operations.
8 unchanged sentences
REIT taxable income will generally differ from net income because the determination of REIT taxable income is based on tax regulations and not financial accounting principles.
−Removed: We have elected or applied to elect to treat two of our subsidiaries as taxable REIT subsidiaries (“TRSs”).
+Added: We have elected to treat two of our subsidiaries as taxable REIT subsidiaries (“TRSs”).
In general, TRSs may hold assets and engage in activities that we cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business.
8 unchanged sentences
Accounting Pronouncements Recently Adopted
−Removed: Effective January 1, 2019, we adopted the accounting guidance that aligns the measurement and classification for stock-based payments to non-employees with the guidance for stock-based payments to employees.
−Removed: Under the new guidance, the measurement of equity-classified non-employee awards is fixed at the grant date.
−Removed: The implementation of the guidance did not have a material impact on our financial statements.
−Removed: Pending Accounting Pronouncements
−Removed: In June 2016, new accounting guidance was issued for reporting credit losses for assets measured at amortized cost and available-for-sale securities.
−Removed: 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.
−Removed: The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost and requires 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.
−Removed: The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans.
−Removed: We are required to adopt the new guidance as of January 1, 2020.
+Added: On January 1, 2020, we adopted the accounting guidance that changes how entities report credit losses for assets measured at amortized cost and available-for-sale securities.
+Added: The new guidance significantly changes how entities measure credit losses for most financial assets, including loans, that are not measured at fair value through net income.
+Added: The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost and requires entities to record credit allowances for available-for-sale debt securities rather than reduce the carrying amount, as they previously did under the other-than-temporary impairment model.
+Added: The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans and requires that entities record an adjustment to retained earnings on January 1, 2020 for the cumulative effect of adopting the new guidance.
+Added: We were not required to record a cumulative effect adjustment to retained earnings because all of our purchased credit-impaired securities were in an unrealized gain position as of the implementation date.
The new guidance specifically excludes available-for-sale securities measured at fair value through net income.
−Removed: The Company elected the fair value option for all MBS purchased on or after September 1, 2016 and GSE CRTs purchased on or after August 24, 2015.
−Removed: Accordingly, the impact of the new guidance on accounting for our debt securities is limited to the
−Removed: approximately $ 4.4 billion of MBS and GSE CRT securities that we purchased prior to election of the fair value option and hold as of December 31, 2019.
−Removed: We are not required to record an allowance for credit losses on January 1, 2020 for our purchased credit deteriorated securities because all of our purchased credit deteriorated securities were in an unrealized gain position as of December 31, 2019.
−Removed: We have one commercial loan as of December 31, 2019 that is carried at amortized cost.
−Removed: We will implement the new guidance for this loan on a modified retrospective basis by electing the fair value option.
−Removed: The implementation of the new guidance will not have a material impact on our financial statements.
+Added: We elected the fair value option for all MBS purchased on or after September 1, 2016 and GSE CRTs purchased on or after August 24, 2015.
+Added: Accordingly, the impact of the new guidance on accounting for our debt securities is limited to those securities purchased before election of the fair value option and held on January 1, 2020.
+Added: For further information on the composition of our investment portfolio, see Note 4 - "Mortgage Backed and Credit Risk Transfer Securities".
+Added: During the year ended December 31, 2020, we recorded $ 94.1 million of impairment on non-Agency securities that we intended to sell or more likely than not would be required to sell before we recovered the amortized cost basis of the security.
+Added: We recorded the impairment within gain (loss) on investments, net in our consolidated statements of operations.
+Added: As of December 31, 2020, we have recorded a $ 1.8 million allowance for credit losses.
+Added: We had one commercial loan as of December 31, 2019 that was measured at amortized cost.
+Added: We implemented the new guidance for this loan by electing the fair value option and recording a cumulative effect adjustment to increase retained earnings by $ 342,000 on January 1, 2020.
+Added: During the year ended December 31, 2020, we recognized $ 1.2 million of unrealized losses on our commercial loan in our consolidated statement of operations.
+Added: Pending Accounting Pronouncements
+Added: In January 2021, the Financial Accounting Standards Board expanded existing accounting guidance for evaluating the effects of reference rate reform on financial reporting.
+Added: The new guidance expands the temporary optional expedients and exceptions to U.S.
+Added: GAAP for contract modifications, hedge accounting and other relationships that reference London Interbank Overnight Financing Rate ("LIBOR") to apply to all derivative instruments affected by the market-wide change in the interest rates used for discounting, margining or contract price alignment (commonly referred to as the discounting transition).
+Added: The guidance can be applied as of January 1, 2020.
+Added: We will evaluate our contracts that are eligible for modification relief and may apply the elections prospectively as needed.
+Added: We are currently evaluating what impact the guidance will have 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 December 31, 2020 is presented in the table below.
−Removed: $ in thousands
−Removed: Company's Maximum Risk of Loss
+Added: $ in thousands Carrying
+Added: Amount Company's Maximum Risk of Loss
Non-Agency CMBS 109,583 109,583
1 unchanged sentence
Investments in unconsolidated ventures 16,408 16,408
+Added: Total 137,724 137,724
Refer to Note 4 - “Mortgage-Backed and Credit Risk Transfer Securities” and Note 5 - “Other Assets” for additional details regarding these investments.
Note 4 – Mortgage-Backed and Credit Risk Transfer Securities
+Added: During the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic and sold a substantial portion of our MBS and GSE CRT portfolio to generate liquidity and reduce leverage.
+Added: We resumed investing in Agency RMBS in July 2020.
The following tables summarize our MBS and GSE CRT portfolio by asset type at December 31, 2020 and 2019.
December 31, 2020
−Removed: $ in thousands
−Removed: Principal/ Notional
−Removed: 15 year fixed-rate
+Added: $ in thousands Principal/ Notional
+Added: Balance Unamortized
+Added: (Discount) Amortized
+Added: Cost Allowance for Credit Losses Unrealized
+Added: (Loss), net Fair
+Added: Value Period-
30 year fixed-rate 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 %
1 unchanged sentence
Agency-CMO (2)
−Removed: Agency CMBS (3)
+Added: 19,634 ( 19,634 ) — — — — — %
Non-Agency CMBS 112,549 ( 5,791 ) 106,758 ( 1,768 ) 4,593 109,583 9.40 %
Non-Agency RMBS (3)(4)(5)
−Removed: *Adjustable-rate mortgage (“ARM”)
+Added: 790,627 ( 779,660 ) 10,967 — 766 11,733 7.83 %
+Added: Total 8,557,917 ( 413,441 ) 8,144,476 ( 1,768 ) 29,474 8,172,182 1.97 %
(1) Period-end weighted average yield is based on amortized cost as of December 31, 2020 and incorporates future prepayment and loss assumptions.
−Removed: Agency collateralized mortgage obligation (“Agency-CMO”) includes interest-only securities (“Agency IO”), which represent 56.3 % of principal/notional balance, 6.4 % of amortized cost and 6.4 % of fair value.
−Removed: Includes unsettled TBA securities with an amortized cost of approximately $ 99.3 million .
−Removed: Non-Agency CMBS includes interest-only securities which represent of 13.1 % principal/notional balance, 0.3 % of amortized cost and 0.3 % of fair value.
−Removed: Non-Agency RMBS held by us is 37.0 % variable rate, 57.7 % fixed rate and 5.3 % floating rate based on fair value.
−Removed: Coupon payments on variable instruments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based up a spread to a reference index.
+Added: (2) All Agency collateralized mortgage obligation (“Agency-CMO”) are interest-only securities (“Agency IO”).
+Added: (3) Non-Agency RMBS is 31.8 % variable rate, 67.3 % fixed rate and 0.9 % floating rate based on fair value.
+Added: Coupon payments on variable rate investments are based upon changes in the underlying Hybrid adjustable-rate mortgage ("ARM") loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.
(4) Of the total discount in non-Agency RMBS, $ 2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.
(5) Non-Agency RMBS includes interest-only securities ("non-Agency IO”) which represent 98.8 % of principal/notional balance, 49.3 % of amortized cost and 41.5 % of fair value.
−Removed: 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.
December 31, 2019
−Removed: $ in thousands
−Removed: Principal/ Notional
+Added: $ in thousands Principal/ Notional
+Added: Balance Unamortized
+Added: (Discount) Amortized
+Added: Cost Unrealized
+Added: (Loss), net Fair Value Period-
15 year fixed-rate 280,426 1,666 282,092 10,322 292,414 3.34 %
30 year fixed-rate 9,911,339 308,427 10,219,766 304,454 10,524,220 3.62 %
+Added: Hybrid ARM 55,024 602 55,626 1,267 56,893 3.46 %
Total Agency RMBS pass-through 10,246,789 310,695 10,557,484 316,043 10,873,527 3.61 %
Agency-CMO (2)
+Added: 883,122 ( 467,840 ) 415,282 12,230 427,512 3.54 %
+Added: Agency CMBS (3)
+Added: 4,561,276 75,299 4,636,575 131,355 4,767,930 3.01 %
Non-Agency CMBS (4)
+Added: 4,464,525 ( 772,295 ) 3,692,230 131,244 3,823,474 5.16 %
Non-Agency RMBS (5)(6)(7)
−Removed: Period-end weighted average yield based on amortized cost as of December 31, 2018 and incorporates future prepayment and loss assumptions.
−Removed: Agency collateralized mortgage obligation (“Agency-CMO”) includes interest-only securities (“Agency IO”), which represent 73.6 % of principal/notional balance, 13.5 % of amortized cost and 12.4 % of fair value.
+Added: 2,340,119 ( 1,487,603 ) 852,516 103,155 955,671 6.98 %
+Added: 858,244 19,945 878,189 45,483 923,672 2.78 %
+Added: Total 23,354,075 ( 2,321,799 ) 21,032,276 739,510 21,771,786 3.85 %
+Added: (1) Period-end weighted average yield is based on amortized cost as of December 31, 2019 and incorporates future prepayment and loss assumptions.
+Added: (2) Agency-CMO includes Agency IO which represent 56.3 % of principal/notional balance, 6.4 % of amortized cost and 6.4 % of fair value.
+Added: (3) Includes Agency CMBS purchase commitments with a fair value of approximately $ 96.2 million.
(4) Non-Agency CMBS includes interest-only securities which represent 13.1 % of principal/notional balance, 0.3 % of amortized cost and 0.3 % of fair value.
−Removed: Non-Agency RMBS held by us is 43.5 % variable rate, 50.7 % fixed rate and 5.8 % floating rate based on fair value.
−Removed: Coupon payments on variable instruments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based up a spread to a reference index.
+Added: (5) Non-Agency RMBS is 37.0 % variable rate, 57.7 % fixed rate and 5.3 % floating rate based on fair value.
+Added: Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.
(6) Of the total discount in non-Agency RMBS, $ 120.2 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.
−Removed: Non-Agency RMBS includes interest-only securities (“non-Agency IO”) which represent 55.4 % of principal/notional balance, 2.3 % of amortized cost and 2.4 % of fair value.
+Added: (7) Non-Agency RMBS includes non-Agency IO which represent 56.2 % of principal/notional balance, 1.9 % of amortized cost and 1.3 % of fair value.
(8) 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 December 31, 2020 and December 31, 2019.
−Removed: 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.
+Added: We have elected the fair value option for all of our RMBS interest-only securities, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015.
As of December 31, 2020 and December 31, 2019, approximately 99 % and 80 %, respectively, of our MBS and GSE CRTs are accounted for under the fair value option.
−Removed: December 31, 2019
−Removed: December 31, 2018
−Removed: $ in thousands
−Removed: Available-for-sale Securities
−Removed: Securities under Fair Value Option
−Removed: Available-for-sale Securities
−Removed: Securities under Fair Value Option
+Added: Our percentage of MBS and GSE CRTs accounted for under the fair value option increased as of December 31, 2020 due to a change in portfolio composition.
+Added: During the first half of 2020, we sold MBS and GSE CRTs previously accounted for as available-for-sale securities to generate liquidity and reduce leverage given unprecedented market conditions as a result of the COVID-19 pandemic.
+Added: We resumed investing in Agency RMBS in July 2020 and elected the fair value option for these securities.
+Added: December 31, 2020 December 31, 2019
+Added: $ in thousands Available-for-sale Securities Securities under Fair Value Option Total
+Added: Fair Value Available-for-sale Securities Securities under Fair Value Option Total
15 year fixed-rate — — — 98,666 193,748 292,414
30 year fixed-rate — 8,050,866 8,050,866 754,590 9,769,630 10,524,220
+Added: Hybrid ARM — — — 31,522 25,371 56,893
Total Agency RMBS pass-through — 8,050,866 8,050,866 884,778 9,988,749 10,873,527
+Added: Agency-CMO — — — 146,733 280,779 427,512
+Added: Agency CMBS — — — — 4,767,930 4,767,930
Non-Agency CMBS 109,583 — 109,583 2,150,991 1,672,483 3,823,474
Non-Agency RMBS 7,267 4,466 11,733 715,479 240,192 955,671
+Added: GSE CRT — — — 507,445 416,227 923,672
+Added: Total 116,850 8,055,332 8,172,182 4,405,426 17,366,360 21,771,786
The components of the carrying value of our MBS and GSE CRT portfolio at December 31, 2020 and 2019 are presented below.
−Removed: December 31, 2019
−Removed: December 31, 2018
−Removed: $ in thousands
−Removed: CRT Securities
−Removed: Interest-Only Securities
−Removed: CRT Securities
−Removed: Interest-Only Securities
+Added: December 31, 2020 December 31, 2019
+Added: $ in thousands MBS and GSE
+Added: CRT Securities Interest-Only Securities Total MBS and GSE
+Added: CRT Securities Interest-Only Securities Total
Principal/notional balance 7,757,491 800,426 8,557,917 20,957,410 2,396,665 23,354,075
1 unchanged sentence
Unamortized discount ( 10,067 ) ( 795,018 ) ( 805,085 ) ( 419,983 ) ( 2,342,319 ) ( 2,762,302 )
+Added: Allowance for credit losses ( 1,768 ) — ( 1,768 ) — — —
Gross unrealized gains (1)
+Added: 34,539 103 34,642 807,324 4,782 812,106
Gross unrealized losses (1)
+Added: ( 4,527 ) ( 641 ) ( 5,168 ) ( 66,064 ) ( 6,532 ) ( 72,596 )
+Added: Fair value 8,167,312 4,870 8,172,182 21,719,190 52,596 21,771,786
(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.
2 unchanged sentences
The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of December 31, 2020 and 2019.
−Removed: $ in thousands
−Removed: December 31, 2019
−Removed: December 31, 2018
+Added: $ in thousands December 31, 2020 December 31, 2019
Less than one year 22,112 268,536
1 unchanged sentence
Greater than or equal to five years 2,846,153 13,666,630
+Added: Total 8,172,182 21,771,786
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 December 31, 2020 and 2019.
−Removed: December 31, 2019
−Removed: Less than 12 Months
−Removed: 12 Months or More
−Removed: $ in thousands
−Removed: Number of Securities
−Removed: Number of Securities
−Removed: Number of Securities
−Removed: 15 year fixed-rate
+Added: December 31, 2020 Less than 12 Months 12 Months or More Total
+Added: $ in thousands Fair
+Added: Value Unrealized
+Added: Losses Number of Securities Fair
+Added: Value Unrealized
+Added: Losses Number of Securities Fair
+Added: Value Unrealized
+Added: Losses Number of Securities
30 year fixed-rate 1,496,279 ( 4,108 ) 20 — — — 1,496,279 ( 4,108 ) 20
Total Agency RMBS pass-through (1)
−Removed: Agency-CMO (2)
−Removed: Agency CMBS (3)
+Added: 1,496,279 ( 4,108 ) 20 — — — 1,496,279 ( 4,108 ) 20
Non-Agency CMBS (2)
+Added: 27,069 ( 419 ) 1 — — — 27,069 ( 419 ) 1
Non-Agency RMBS (3)
−Removed: Includes Agency RMBS with a fair value of $ 271.3 million for which the fair value option has been elected.
−Removed: These securities have unrealized losses of $ 268,000 .
−Removed: Includes Agency IO with fair value of $ 11.1 million for which the fair value option has been elected.
−Removed: These Agency IO have unrealized losses of $ 2.3 million .
−Removed: Fair value option has been elected for all Agency CMBS that are in an unrealized loss position.
−Removed: Includes non-Agency CMBS with a fair value of $ 181.5 million for which the fair value option has been elected.
−Removed: These securities have unrealized losses of $ 2.8 million .
−Removed: Includes non-Agency RMBS and non-Agency IO with a fair value of $ 17.6 million and $ 8.5 million , respectively, for which the fair value option has been elected.
−Removed: These securities have unrealized losses of $ 261,000 and $ 3.7 million , respectively.
−Removed: Fair value option has been elected for all GSE CRT that are in an unrealized loss position.
−Removed: December 31, 2018
−Removed: Less than 12 Months
−Removed: 12 Months or More
−Removed: $ in thousands
−Removed: Number of Securities
−Removed: Number of Securities
−Removed: Number of Securities
+Added: 2,681 ( 438 ) 6 1,612 ( 203 ) 7 4,293 ( 641 ) 13
+Added: Total 1,526,029 ( 4,965 ) 27 1,612 ( 203 ) 7 1,527,641 ( 5,168 ) 34
+Added: (1) Fair value option has been elected for all Agency RMBS in an unrealized loss position.
+Added: (2) Unrealized losses on non-Agency CMBS are included in accumulated other comprehensive income.
+Added: These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis.
+Added: (3) Fair value option has been elected for all non-Agency RMBS in an unrealized loss position.
+Added: December 31, 2019 Less than 12 Months 12 Months or More Total
+Added: $ in thousands Fair
+Added: Value Unrealized
+Added: Losses Number of Securities Fair
+Added: Value Unrealized
+Added: Losses Number of Securities Fair
+Added: Value Unrealized
+Added: Losses Number of Securities
15 year fixed-rate 957 ( 1 ) 2 362 ( 3 ) 4 1,319 ( 4 ) 6
30 year fixed-rate 255,649 ( 207 ) 3 34,009 ( 256 ) 5 289,658 ( 463 ) 8
+Added: Hybrid ARM 434 ( 2 ) 1 1,524 ( 46 ) 3 1,958 ( 48 ) 4
Total Agency RMBS pass-through (1)
+Added: 257,040 ( 210 ) 6 35,895 ( 305 ) 12 292,935 ( 515 ) 18
Agency-CMO (2)
+Added: 67,875 ( 1,194 ) 15 6,155 ( 1,513 ) 13 74,030 ( 2,707 ) 28
+Added: Agency CMBS (3)
+Added: 1,743,800 ( 50,521 ) 58 — — — 1,743,800 ( 50,521 ) 58
Non-Agency CMBS (4)
+Added: 203,129 ( 2,783 ) 19 101,021 ( 11,425 ) 7 304,150 ( 14,208 ) 26
Non-Agency RMBS (5)
−Removed: Includes Agency RMBS with a fair value of $ 6.1 billion for which the fair value option has been elected.
−Removed: These securities have unrealized losses of $ 130.2 million .
+Added: 26,283 ( 3,935 ) 14 12,199 ( 636 ) 2 38,482 ( 4,571 ) 16
+Added: 77,044 ( 74 ) 4 — — — 77,044 ( 74 ) 4
+Added: Total 2,375,171 ( 58,717 ) 116 155,270 ( 13,879 ) 34 2,530,441 ( 72,596 ) 150
+Added: (1) Includes Agency RMBS with a fair value of $ 271.3 million for which the fair value option has been elected.
+Added: These securities have unrealized losses of $ 268,000 .
(2) Includes Agency IO and Agency-CMO with fair value of $ 11.1 million and $ 25.8 million, respectively, for which the fair value option has been elected.
These Agency IO and Agency-CMO securities have unrealized losses of $ 2.3 million and $ 134,000 , respectively.
+Added: (3) Fair value option has been elected for all securities in an unrealized loss position.
(4) Includes non-Agency CMBS with a fair value of $ 181.5 million for which the fair value option has been elected.
1 unchanged sentence
(5) Includes non-Agency RMBS and non-Agency IO with a fair value of $ 17.6 million and $ 8.5 million, respectively, for which the fair value option has been elected.
−Removed: These securities have unrealized losses of $ 79,000 and $ 269,000 , respectively.
+Added: These securities have unrealized losses of $ 261,000 and $ 3.7 million, respectively.
(6) Fair value option has been elected for all GSE CRT that are in an unrealized loss position.
−Removed: Gross unrealized losses on our Agency RMBS, Agency CMBS and CMO were $ 51.5 million at December 31, 2019 ( December 31, 2018 :
−Removed: $ 159.3 million ).
−Removed: Due to the inherent credit quality of Agency RMBS, Agency CMBS and Agency CMO, we determined that at December 31, 2019 , any unrealized losses on these securities are not other than temporary.
−Removed: Gross unrealized losses on our Agency IO, non-Agency RMBS, GSE CRT and non-Agency CMBS were $ 21.1 million at December 31, 2019 ( December 31, 2018 :
−Removed: $ 51.9 million ).
−Removed: We do 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.
−Removed: These investment securities are included in our assessment for other-than-temporary-impairment (“OTTI”) on a quarterly basis.
−Removed: We assess our investment securities for OTTI on a quarterly basis.
−Removed: 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.
−Removed: Underlying loan characteristics reviewed include, but are not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration.
+Added: On January 1, 2020, we adopted accounting guidance that requires us to estimate an allowance for credit losses on available-for-sale securities in unrealized loss positions.
+Added: As of December 31, 2020, we have recorded an allowance for credit losses of $ 1.8 million on non-Agency CMBS on our consolidated balance sheet.
+Added: We recorded a $ 1.8 million provision for credit losses within (increase) decrease in provision for credit losses on our consolidated statement of operations during the year ended December 31, 2020.
+Added: Additionally, we recorded impairments of $ 94.1 million on our consolidated statement of operations during the year ended December 31, 2020 because we intended to sell or more likely than not would be required to sell the securities before recovery of amortized cost basis.
+Added: The following table presents a roll-forward of our allowance for credit losses.
+Added: $ in thousands Year Ended December 31,
+Added: Beginning allowance for credit losses —
+Added: Additions to the allowance for credit losses on securities for which credit losses were not previously recorded ( 1,768 )
+Added: Ending allowance for credit losses ( 1,768 )
+Added: Before January 1, 2020, we assessed our investment securities for other-than-temporary impairment ("OTTI") on a quarterly basis.
+Added: When the fair value of an investment was 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 included a determination of estimated future cash flows through an evaluation of the characteristics of the underlying loans and the structural features of the investment.
+Added: Underlying loan characteristics reviewed included, but were not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration.
The following table represents OTTI included in earnings for the years ended December 31, 2019 and 2018.
3 unchanged sentences
Non-Agency RMBS (1)
+Added: Total 7,731 7,846
(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 consolidated statements of operations because we account for these securities under the fair value option.
−Removed: As of December 31, 2019 , 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 years ended December 31, 2020, 2019 and 2018.
3 unchanged sentences
Gross realized losses on sale of investments ( 1,020,696 ) ( 16,682 ) ( 218,910 )
+Added: Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments ( 101,138 ) — —
Other-than-temporary impairment losses — ( 7,731 ) ( 7,846 )
−Removed: Net unrealized gains (losses) on MBS accounted for under the fair value option
−Removed: Net unrealized gains (losses) on GSE CRT accounted for under the fair value option
+Added: Net unrealized gains (losses) on MBS and GSE CRT accounted for under the fair value option ( 492,047 ) 624,158 ( 101,697 )
+Added: Net unrealized gains (losses) on commercial loan and loan participation interest ( 1,164 ) — —
+Added: Realized loss on loan participation interest ( 3,808 ) — —
Net unrealized gains (losses) on trading securities — — ( 21 )
1 unchanged sentence
The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the years ended December 31, 2020, 2019 and 2018.
−Removed: 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.
+Added: GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option of $ 6.3 million, $ 20.8 million and $ 22.5 million for the years ended December 31, 2020, 2019 and 2018, respectively, that is recorded as realized and unrealized credit derivative income (loss), net.
For the Year ended December 31, 2020
−Removed: $ in thousands
−Removed: Amortization)/ Discount Accretion
+Added: $ in thousands Coupon
+Added: Interest Net (Premium
+Added: Amortization)/ Discount Accretion Interest
+Added: Agency RMBS 161,845 ( 32,737 ) 129,108
+Added: Agency CMBS 35,822 ( 1,744 ) 34,078
Non-Agency CMBS 76,068 14,721 90,789
Non-Agency RMBS 13,895 1,107 15,002
+Added: GSE CRT 10,232 ( 2,560 ) 7,672
+Added: Other 751 — 751
+Added: Total 298,613 ( 21,213 ) 277,400
For the Year ended December 31, 2019
−Removed: $ in thousands
−Removed: Net (Premium Amortization)/Discount Accretion
+Added: $ in thousands Coupon
+Added: Interest Net (Premium Amortization)/Discount Accretion Interest
+Added: Agency RMBS 488,650 ( 76,676 ) 411,974
+Added: Agency CMBS 88,462 ( 4,712 ) 83,750
Non-Agency CMBS 163,326 15,347 178,673
Non-Agency RMBS 52,857 13,164 66,021
+Added: GSE CRT 37,032 ( 7,842 ) 29,190
+Added: Other 3,049 — 3,049
+Added: Total 833,376 ( 60,719 ) 772,657
For the Year ended December 31, 2018
−Removed: $ in thousands
−Removed: Net (Premium Amortization)/Discount Accretion
+Added: $ in thousands Coupon
+Added: Interest Net (Premium Amortization)/Discount Accretion Interest
+Added: Agency RMBS 441,757 ( 80,750 ) 361,007
+Added: Agency CMBS 10,546 ( 591 ) 9,955
Non-Agency CMBS 151,562 6,682 158,244
Non-Agency RMBS 55,116 19,968 75,084
+Added: GSE CRT 29,142 ( 3,071 ) 26,071
+Added: Other 1,117 — 1,117
+Added: Total 689,240 ( 57,762 ) 631,478
Note 5 – Other Assets
The following table summarizes our other assets as of December 31, 2020 and 2019:
−Removed: $ in thousands
−Removed: December 31, 2019
−Removed: December 31, 2018
+Added: $ in thousands December 31, 2020 December 31, 2019
+Added: FHLBI stock — 74,250
Loan participation interest — 44,654
−Removed: Commercial loans, held-for-investment
+Added: Commercial loan, held-for-investment 23,098 24,055
Investments in unconsolidated ventures 16,408 21,998
Prepaid expenses and other assets 1,657 1,223
−Removed: IAS Services LLC, our wholly-owned captive insurance subsidiary, is required to purchase and hold FHLBI stock as a condition of membership in the FHLBI.
−Removed: The stock is recorded at cost.
−Removed: In August 2018, we acquired a participation interest in a secured loan collateralized by mortgage servicing rights.
−Removed: The secured loan is due in August 2020 and is subject to a one year extension at the borrower's option.
−Removed: The participation interest bears interest at a floating rate based on LIBOR plus a spread.
−Removed: The weighted average asset yield for the participation interest was 5.82 % as of December 31, 2019 and 6.06 % as of December 31, 2018 .
−Removed: We elected to account for the investment using the fair value option.
−Removed: Refer to Note 15 - “Commitments and Contingencies” for additional details regarding our unfunded commitment on this loan participation interest.
−Removed: As of December 31, 2019 , our commercial loan portfolio consisted of one commercial loan that matures in February 2021.
−Removed: two commercial loans with a weighted average maturity of 1.7 years ).
−Removed: The loans had a weighted average coupon rate of 10.19 % as of December 31, 2019 and 10.69 % as of December 31, 2018 .
−Removed: The loans were not impaired, and we have not recorded an allowance for loan losses as of December 31, 2019 and December 31, 2018 based on our analysis of credit quality factors as described in Note 2 - “Summary of Significant Accounting Policies”.
+Added: Total 41,163 166,180
+Added: IAS Services LLC, our wholly-owned captive insurance subsidiary, was required to purchase and hold FHLBI stock as a condition of membership in the FHLBI.
+Added: During the year ended December 31, 2020, FHLBI fully redeemed our stock at cost in connection with the repayment of our secured loans.
+Added: We terminated our FHLBI membership in the third quarter of 2020.
+Added: IAS Services LLC was dissolved in December 2020.
+Added: We sold our participation interest in a secured loan collateralized by mortgage servicing rights for $ 21.6 million in April 2020.
+Added: We recorded a realized loss of $ 3.8 million upon sale of the participation interest.
+Added: The weighted average asset yield for the participation interest was 5.82 % as of December 31, 2019.
+Added: We have an investment in a commercial loan that matures in February 2021.
+Added: Refer to Note 16 – “Subsequent Events” for additional information on the contractual maturity of our commercial loan.
+Added: The loan had a weighted average coupon rate of 8.65 % as of December 31, 2020 ( 10.19 % as of December 31, 2019 ).
+Added: As discussed in Note 2 - “Summary of Significant Accounting Policies”, we elected the fair value option for this loan on January 1, 2020.
+Added: We recorded unrealized losses of $ 1.2 million on this loan in our consolidated statement of operations during the year ended December 31, 2020 based on a discounted cash flow valuation prepared by an independent pricing service.
+Added: We previously reported this loan on our consolidated balance sheet at amortized cost.
We have invested in unconsolidated ventures that are managed by an affiliate of our Manager.
2 unchanged sentences
Note 6 – Borrowings
−Removed: We finance the majority of our investment portfolio through repurchase agreements and secured loans.
+Added: We have historically financed the majority of our investment portfolio through repurchase agreements and secured loans.
+Added: We fully repaid our secured loans during the year ended December 31, 2020.
The following tables summarize certain characteristics of our borrowings at December 31, 2020 and 2019.
Refer to Note 7 - “Collateral Positions” for collateral pledged and held under our repurchase agreements and secured loans.
−Removed: $ in thousands
December 31, 2020
−Removed: Period-end Weighted Average
−Removed: Interest Rate
−Removed: Weighted Average
−Removed: Remaining Maturity
−Removed: Repurchase Agreements:
−Removed: Non-Agency CMBS
−Removed: Non-Agency RMBS
−Removed: Loan Participation Interest
−Removed: Total Repurchase Agreements
−Removed: Secured Loans
+Added: $ in thousands Amount
+Added: Outstanding Weighted
+Added: Rate Weighted
+Added: Repurchase Agreements - Agency RMBS 7,228,699 0.21 % 14
Total Borrowings 7,228,699 0.21 % 14
−Removed: $ in thousands
December 31, 2019
−Removed: Period-end Weighted Average
−Removed: Interest Rate
−Removed: Weighted Average
−Removed: Remaining Maturity
+Added: $ in thousands Amount
+Added: Outstanding Weighted
+Added: Rate Weighted
Repurchase Agreements:
+Added: Agency RMBS 9,666,964 1.95 % 46
+Added: Agency CMBS 4,246,359 1.95 % 43
Non-Agency CMBS 2,041,968 2.71 % 14
Non-Agency RMBS 790,412 2.65 % 16
+Added: GSE CRT 753,110 2.70 % 13
Loan Participation Interest 33,490 3.22 % 240
2 unchanged sentences
Total Borrowings 19,182,303 2.09 % 172
−Removed: The following table shows the aggregate amount of maturities of our outstanding borrowings:
−Removed: $ in thousands
−Removed: December 31, 2019
Repurchase Agreements
−Removed: Our repurchase agreements generally bear interest at a contractually agreed upon rate and generally have maturities ranging from one month to six months .
−Removed: Our repurchase agreement that is collateralized by a loan participation interest bears interest at a floating rate based on LIBOR plus a spread and matures in August 2020 .
+Added: In the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic.
+Added: We received an unusually high number of margin calls from our repurchase agreement counterparties during March 2020 following significant spread widening in both Agency and non-Agency securities.
+Added: As a result, we were unable to meet margin calls and were not in compliance with all of the financial covenants of our repurchase agreements as of March 31, 2020.
+Added: While certain of our repurchase agreement counterparties permitted our repurchase agreements to remain outstanding while we were not in compliance, other counterparties seized and sold securities that we had posted as collateral for our repurchase agreements.
+Added: As of May 7, 2020, we repaid all of our repurchase agreements that may have been in default.
+Added: Gains and losses associated with the termination of these repurchase agreements are reported as a net gain (loss) on extinguishment of debt in our consolidated statement of operations.
+Added: We resumed financing the purchase of Agency RMBS with repurchase agreements in July 2020.
+Added: These repurchase agreements generally bear interest at a contractually agreed upon rate and have maturities of approximately one month .
Repurchase agreements are accounted for as secured borrowings since we maintain effective control of the financed assets.
−Removed: Repurchase agreements are subject to certain financial covenants.
−Removed: We were in compliance with these covenants at December 31, 2019 .
−Removed: Our repurchase agreement collateral ratio (MBS, GSE CRTs and a loan participation interest pledged as collateral/ amount outstanding) was 109 % as of December 31, 2019 (December 31, 2018 :
+Added: The repurchase agreements are subject to certain financial covenants.
+Added: We were in compliance with all of these covenants as of December 31, 2020.
Secured Loans
−Removed: Our wholly-owned captive insurance subsidiary, IAS Services LLC, is a member of the FHLBI.
−Removed: As a member of the FHLBI, IAS Services LLC has borrowed funds from the FHLBI in the form of secured loans.
−Removed: As of December 31, 2019 , IAS Services LLC, had $ 1.65 billion in outstanding secured loans from the FHLBI.
−Removed: These secured loans have floating rates that are based on the three-month FHLB swap rate plus a spread.
−Removed: For the year ended December 31, 2019 , IAS Services LLC had weighted average borrowings of $ 1.65 billion with a weighted average borrowing rate of 2.52 % and a weighted average maturity of 4.3 years.
−Removed: The Federal Housing Finance Agency’s (“FHFA”) final rule governing Federal Home Loan Bank membership (the “FHFA Rule”) became effective on February 19, 2016.
−Removed: The FHFA Rule permits existing captive insurance companies, such as IAS Services LLC, to remain members until February 2021.
−Removed: New advances or renewals that mature after February 2021 are prohibited.
−Removed: The FHLBI has indicated it will honor the contractual maturity dates of existing advances to IAS Services LLC.
−Removed: The ability to maintain our existing advances from the FHLBI is subject to our continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with FHLBI and FHFA rules.
−Removed: We were in compliance with all of the financial provisions of these agreements as of December 31, 2019 .
−Removed: As discussed in Note 5 - “Other Assets,” IAS Services LLC is required to purchase and hold a certain amount of FHLBI stock, which is based, in part, upon the outstanding principal balance of secured loans from the FHLBI.
+Added: During the year ended December 31, 2020, IAS Services LLC, our former wholly-owned captive insurance subsidiary, fully repaid its outstanding secured loans from the FHLBI.
+Added: In April 2020, the FHLBI modified the terms of our secured loans because we were not in compliance with all of the financial covenants of our secured loan agreements as of March 31, 2020.
+Added: The modified loan terms required repayment of our secured loans by December 2020 but allowed for prepayment at any time without penalty.
+Added: These loans had a variable rate based on the FHLBI's short-term cost of funds.
+Added: For the year ended December 31, 2020, weighted average borrowings under our secured loans were $ 587.1 million with a weighted average borrowing rate of 1.47 %.
Exchangeable Senior Notes
−Removed: During the year ended December 31, 2018, we retired $ 143.4 million of our Exchangeable Senior Notes (the "Notes") for a repurchase price of $ 143.4 million and realized a net loss on extinguishment of debt of $ 26,000 .
−Removed: During the year ended December 31, 2017, we retired $ 256.6 million of the Notes for a repurchase price of $ 262.1 million and realized a net loss on extinguishment of debt of $ 6.8 million .
+Added: During the year ended December 31, 2018, we retired $ 143.4 million of our Exchangeable Senior Notes for a repurchase price of $ 143.4 million and realized a net loss on extinguishment of debt of $ 26,000 .
Note 7 – Collateral Positions
−Removed: The following table summarizes the fair value of collateral that we have pledged under our repurchase agreements, secured loans, interest rate swaps, futures contracts and currency forward contracts as of December 31, 2019 and 2018 .
+Added: The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, secured loans, interest rate swaps, currency forward contracts, and TBAs as of December 31, 2020 and 2019.
Refer to Note 2 - “Summary of Significant Accounting Policies - Fair Value Measurements” for a description of how we determine fair value.
MBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our consolidated balance sheets.
−Removed: Loan participation interest collateral pledged is included in other assets on our consolidated balance sheets.
−Removed: Cash collateral pledged on secured loans, centrally cleared swaps, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our consolidated balance sheets.
−Removed: Cash collateral pledged on repurchase agreements, futures contracts and TBA securities that are accounted for as derivatives is classified as due from counterparties on our consolidated balance sheets.
−Removed: TBA securities that are recorded as mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets cannot be pledged as collateral until these securities settle.
−Removed: We held approximately $ 99.3 million and $ 131.8 million of these securities as of December 31, 2019 and 2018 , respectively.
−Removed: Cash collateral held on bilateral swaps and repurchase agreements that is not restricted for use is included in cash and cash equivalents on our consolidated balance sheets and the liability to return the collateral is included in collateral held payable.
+Added: Loan participation interest collateral pledged was included in other assets on our consolidated balance sheets.
+Added: Cash collateral pledged on secured loans, centrally cleared interest rate swaps and currency forward contracts is classified as restricted cash on our consolidated balance sheets.
+Added: Cash collateral pledged on repurchase agreements and TBAs accounted for as derivatives is classified as due from counterparties on our consolidated balance sheets.
+Added: Agency CMBS purchase commitments that are recorded as mortgage-backed and credit risk transfer securities on our consolidated balance sheets cannot be pledged as collateral until these securities settle.
+Added: We held approximately $ 96.2 million of these securities as of December 31, 2019.
+Added: We did no t have any Agency CMBS purchase commitments as of December 31, 2020.
+Added: Cash collateral held on repurchase agreements that is not restricted for use is included in cash and cash equivalents on our consolidated balance sheets and the liability to return the collateral is included in collateral held payable.
Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral.
As of December 31, 2020 and 2019, we did not recognize any non-cash collateral held on our consolidated balance sheets.
−Removed: $ in thousands
−Removed: Collateral Pledged
−Removed: December 31, 2019
−Removed: December 31, 2018
+Added: $ in thousands As of
+Added: Collateral Pledged December 31, 2020 December 31, 2019
Repurchase Agreements:
+Added: Agency RMBS 7,614,935 10,187,555
+Added: Agency CMBS — 4,446,384
Non-Agency CMBS — 2,549,841
Non-Agency RMBS — 943,176
+Added: GSE CRT — 918,117
Loan participation interest — 44,654
+Added: Cash 700 32,568
Total repurchase agreements collateral pledged 7,615,635 19,122,295
Secured Loans:
+Added: Agency RMBS — 621,471
Non-Agency CMBS — 1,276,418
1 unchanged sentence
Total secured loans collateral pledged — 1,898,489
−Removed: Interest Rate Swaps, Futures Contracts and Currency Forward Contracts:
+Added: Interest Rate Swaps, Currency Forward Contracts and TBAs:
+Added: Agency RMBS — 189,780
Restricted cash 244,573 116,395
−Removed: Total interest rate swaps, futures contracts and currency forward contracts collateral pledged
+Added: Total interest rate swaps, currency forward contracts and TBAs collateral pledged 244,951 306,175
Total collateral pledged:
1 unchanged sentence
Loan participation interest — 44,654
+Added: Cash 1,078 32,568
Restricted cash 244,573 116,995
Total collateral pledged 7,860,586 21,326,959
−Removed: Collateral Held
−Removed: December 31, 2019
−Removed: December 31, 2018
+Added: Collateral Held December 31, 2020 December 31, 2019
Repurchase Agreements:
+Added: Cash 1,916 10
Non-cash collateral 4,226 181
Total repurchase agreements collateral held 6,142 191
−Removed: Interest Rate Swaps:
−Removed: Total interest rate swap collateral held
+Added: Interest Rate Swaps and TBAs:
+Added: Cash 1,630 160
+Added: Total interest rate swap and currency forward contracts collateral held 1,630 160
Total collateral held:
+Added: Cash 3,546 170
Non-cash collateral 4,226 181
4 unchanged sentences
Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value.
−Removed: We would be required to provide additional collateral to meet margin calls if the value of pledged assets declined.
+Added: We would be required to provide additional collateral to fund margin calls if the value of pledged assets declined.
We intend to maintain a level of liquidity that will enable us to meet margin calls.
+Added: As of December 31, 2020, our repurchase agreement collateral ratio (MBS pledged as collateral/ amount outstanding) was 105 %.
+Added: As of December 31, 2019, our repurchase agreement collateral ratio (MBS, GSE CRTs and a loan participation interest pledged as collateral/ amount outstanding) was 109 %.
Secured Loans
−Removed: The ability to borrow from the FHLBI is subject to our continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with FHLBI and FHFA rules.
−Removed: Collateral pledged with the FHLBI is held in trust for the benefit of the FHLBI and is not commingled with our other assets.
−Removed: The FHLBI does not have the right to resell or repledge collateral posted unless an event of default occurs.
−Removed: The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value as determined by the FHLBI in its sole discretion.
−Removed: IAS Services LLC would be required to provide additional collateral to meet margin calls if the value of pledged assets declines.
+Added: Collateral pledged with the FHLBI was held in trust for the benefit of the FHLBI and was not commingled with our other assets.
+Added: The FHLBI retained the right to mark the underlying collateral for FHLBI advances to fair value as determined by the FHLBI in its sole discretion.
+Added: We repaid the outstanding balance of our secured loans during the year ended December 31, 2020 and did not have any secured loans outstanding as of December 31, 2020.
Interest Rate Swaps
−Removed: As of December 31, 2019, all of our interest rate swaps are centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange (“CME”) and LCH Limited (“LCH”) through a Futures Commission Merchant (“FCM”).
+Added: As of December 31, 2020 and 2019, all of our interest rate swaps are centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange (“CME”) and LCH Limited (“LCH”) through a Futures Commission Merchant (“FCM”).
We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM.
1 unchanged sentence
Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our consolidated statements of operations.
−Removed: Our FCM agreements include cross default provisions, and we were in compliance with all of the financial provisions of these agreements as of December 31, 2019 .
−Removed: Prior to December 31, 2019, we also had bilateral interest rate swaps that were governed by International Swaps and Derivatives Association agreements that provided for bilateral collateral pledging based on our counterparties' market value.
−Removed: The counterparties had the right to repledge the collateral posted, but had the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the interest rate swaps changed.
−Removed: Futures Contracts
−Removed: We are required to pledge initial margin and daily variation margin for our futures contracts that is based on the fair value of our contracts as determined by our FCM.
−Removed: Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash of securities.
−Removed: Daily variation margin for futures contracts is characterized as settlement of the futures contract itself rather than collateral and is recorded as gain(loss) on derivative instruments, net in our consolidated statements of operations.
−Removed: We had no futures contracts as of December 31, 2019 .
−Removed: Currency Forward Contracts
−Removed: Our currency forward contract provides for bilateral collateral pledging based on market value as determined by our counterparty.
−Removed: Collateral pledged with our currency forward counterparty is segregated in our books and records and can be in the form of cash or securities.
−Removed: Our counterparty has the right to repledge the collateral posted, but has the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the currency forward contract changes.
+Added: Our FCM agreements include cross default provisions.
+Added: TBAs and Currency Forward Contracts
+Added: Our TBAs and currency forward contracts provide for bilateral collateral pledging based on market value as determined by our counterparties.
+Added: Collateral pledged with our TBA and currency forward counterparties is segregated in our books and records and can be in the form of cash or securities.
+Added: Our counterparties have the right to repledge the collateral posted and have the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the contracts changes.
Note 8 – Derivatives and Hedging Activities
6 unchanged sentences
The following table summarizes changes in the notional amount of our derivative instruments during 2020:
−Removed: $ in thousands
−Removed: Notional Amount as of December 31, 2018
−Removed: Notional Amount as
+Added: $ in thousands Notional Amount as of December 31, 2019 Additions Settlement,
+Added: or Exercise Notional Amount as
of December 31, 2020
Interest Rate Swaps 14,000,000 101,025,000 ( 108,725,000 ) 6,300,000
−Removed: Futures Contracts
Currency Forward Contracts
+Added: 23,111 103,381 ( 93,408 ) 33,084
Credit Derivatives
−Removed: Refer to Note 7 - “Collateral Positions” for further information regarding our collateral pledged to and received from our interest rate swap counterparties.
+Added: 464,966 — ( 464,966 ) —
+Added: TBA Purchase Contracts
+Added: — 8,800,000 ( 7,100,000 ) 1,700,000
+Added: TBA Sale Contracts
+Added: — ( 5,600,000 ) 5,600,000 —
+Added: Total 14,488,077 104,328,381 ( 110,783,374 ) 8,033,084
+Added: Refer to Note 7 - “Collateral Positions” for further information regarding our collateral pledged to and received from our derivative counterparties.
Interest Rate Swaps
1 unchanged sentence
At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time.
−Removed: In addition, our secured loans have floating interest rates.
−Removed: As such, we are exposed to changing interest rates.
Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposures to interest rate movements.
To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy.
−Removed: Interest rate swaps involve making fixed-rate payments to counterparty in exchange for the receipt of variable-rate amounts over the life of the agreements without exchange of the underlying notional amount.
+Added: Under the terms of our interest rate swap contracts, we make fixed-rate payments to a counterparty in exchange for the receipt of variable-rate amounts over the life of the agreements without exchange of the underlying notional amount.
Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements.
4 unchanged sentences
As of December 31, 2020, $ 52.1 million (2019:
−Removed: $ 99.6 million ) of net unrealized gains on discontinued cash flow hedges are still included in accumulated other comprehensive income.
−Removed: As of December 31, 2019 , we had interest rate swaps with the following maturities outstanding:
−Removed: $ in thousands
−Removed: As of December 31, 2019
−Removed: Notional Amount (1)
−Removed: Weighted Average Fixed Pay Rate
−Removed: Weighted Average Receive Rate
−Removed: Weighted Average Years to Maturity
−Removed: $ in thousands
−Removed: As of December 31, 2018
−Removed: Notional Amount (2)
−Removed: Weighted Average Fixed Pay Rate
−Removed: Weighted Average Receive Rate
−Removed: Weighted Average Years to Maturity
−Removed: Notional amount includes $ 10.7 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $ 3.3 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of December 31, 2019 .
+Added: $ 75.9 million) of net unrealized gains on discontinued cash flow hedges are still included in accumulated other comprehensive income and will be reclassified to interest expense, repurchase agreements over a period of time through December 15, 2023.
+Added: As of December 31, 2020 and 2019, we had interest rate swaps with the following maturities outstanding:
+Added: $ in thousands As of December 31, 2020
+Added: Maturities Notional Amount (1)
+Added: Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity
+Added: 2024 1,000,000 0.16 % 0.15 % 3.6
+Added: 2025 1,250,000 0.23 % 0.15 % 4.6
+Added: Thereafter 4,050,000 0.53 % 0.15 % 8.1
+Added: Total 6,300,000 0.41 % 0.15 % 6.7
+Added: $ in thousands As of December 31, 2019
+Added: Maturities Notional Amount (2)
+Added: Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity
+Added: 2020 1,900,000 1.67 % 1.84 % 0.6
+Added: 2021 2,500,000 1.40 % 1.77 % 1.3
+Added: 2022 800,000 1.53 % 1.91 % 2.9
+Added: 2023 2,400,000 1.44 % 1.72 % 3.9
+Added: 2024 900,000 1.49 % 1.76 % 4.8
+Added: Thereafter 5,500,000 1.44 % 1.78 % 9.5
+Added: Total 14,000,000 1.47 % 1.79 % 5.2
+Added: (1) Notional amount includes $ 6.3 billion of interest rate swaps that receive variable payments based on 1-month LIBOR as of December 31, 2020.
(2) Notional amount includes $ 10.7 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $ 3.3 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of December 31, 2019.
−Removed: TBAs, Futures and Currency Forward Contracts
−Removed: We purchase or sell certain TBAs and futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our investment portfolio.
−Removed: We recognize realized and unrealized gains and losses associated with the purchases or sales of TBAs and futures contracts in gain (loss) on derivative instruments, net in our consolidated statements of operations.
+Added: Futures and Currency Forward Contracts
+Added: We purchase or sell futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our investment portfolio.
+Added: We recognize realized and unrealized gains and losses associated with the purchases or sales of futures contracts in gain (loss) on derivative instruments, net in our consolidated statements of operations.
+Added: We did not have any futures contracts outstanding as of December 31, 2020 and December 31, 2019.
We use currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our investments denominated in foreign currencies.
3 unchanged sentences
Credit Derivatives
−Removed: Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded credit derivative.
−Removed: Embedded derivatives associated with GSE CRTs are recorded within mortgage-backed and credit risk transfer securities, at fair value, on our consolidated balance sheets.
−Removed: As of December 31, 2019 and 2018 , terms of the GSE CRT embedded derivatives are:
−Removed: $ in thousands
−Removed: December 31, 2019
−Removed: December 31, 2018
+Added: Our GSE CRTs purchased before August 24, 2015 were accounted for as hybrid financial instruments consisting of a debt host contract and an embedded credit derivative.
+Added: Embedded derivatives associated with GSE CRTs were recorded within mortgage-backed and credit risk transfer securities, at fair value, on our consolidated balance sheets.
+Added: We did not hold any GSE CRTs that were accounted for as hybrid financial instruments as of December 31, 2020.
+Added: As of December 31, 2019, terms of the GSE CRT embedded derivatives were:
+Added: $ in thousands December 31, 2019
Fair value amount 10,281
1 unchanged sentence
Maximum potential amount of future undiscounted payments 464,966
+Added: We primarily use TBAs that we do not intend to physically settle on the contractual settlement date as an alternative means of investing in and financing Agency RMBS.
+Added: The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of December 31, 2020.
+Added: We did not hold any such instruments as of December 31, 2019.
+Added: $ in thousands As of December 31, 2020
+Added: Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value
+Added: TBA purchase contracts 1,700,000 1,772,211 1,782,104 9,893
+Added: Net TBA derivatives 1,700,000 1,772,211 1,782,104 9,893
Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet
1 unchanged sentence
$ in thousands
−Removed: Derivative Assets
−Removed: Derivative Liabilities
−Removed: As of December 31, 2019
−Removed: As of December 31, 2018
−Removed: As of December 31, 2019
−Removed: As of December 31, 2018
−Removed: Interest Rate Swaps Asset
−Removed: Interest Rate Swaps Liability
−Removed: Currency Forward Contracts
−Removed: Currency Forward Contracts
−Removed: Futures Contracts
−Removed: Futures Contracts
−Removed: Total Derivative Assets
−Removed: Total Derivative Liabilities
+Added: Derivative Assets Derivative Liabilities
+Added: As of December 31, 2020 As of December 31, 2019 As of December 31, 2020 As of December 31, 2019
+Added: Sheet Fair Value Fair Value Balance
+Added: Sheet Fair Value Fair Value
+Added: Interest Rate Swaps Asset — 18,533 Interest Rate Swaps Liability 5,537 —
+Added: Currency Forward Contracts 111 — Currency Forward Contracts 807 352
+Added: TBAs 9,893 — TBAs — —
+Added: Total Derivative Assets 10,004 18,533 Total Derivative Liabilities 6,344 352
Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement
The tables below present the effect of our credit derivatives on our consolidated statements of operations for the years ended December 31, 2020, 2019 and 2018.
−Removed: $ in thousands
−Removed: Year ended December 31, 2019
+Added: $ in thousands Year ended December 31, 2020
not designated as
−Removed: hedging instrument
−Removed: Realized gain (loss), net
−Removed: GSE CRT embedded derivative coupon interest
−Removed: gain (loss), net
−Removed: Realized and unrealized credit derivative income (loss), net
+Added: hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized
+Added: gain (loss), net Realized and unrealized credit derivative income (loss), net
GSE CRT Embedded Derivatives ( 31,354 ) 6,323 ( 10,281 ) ( 35,312 )
−Removed: $ in thousands
−Removed: Year ended December 31, 2018
+Added: $ in thousands Year ended December 31, 2019
not designated as
−Removed: hedging instrument
−Removed: Realized gain (loss), net
−Removed: GSE CRT embedded derivative coupon interest
−Removed: gain (loss), net
−Removed: Realized and unrealized credit derivative income (loss), net
+Added: hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized
+Added: gain (loss), net Realized and unrealized credit derivative income (loss), net
GSE CRT Embedded Derivatives — 20,833 ( 12,490 ) 8,343
−Removed: $ in thousands
−Removed: Year ended December 31, 2017
+Added: $ in thousands Year Ended December 31, 2018
not designated as
−Removed: hedging instrument
−Removed: Realized gain (loss), net
−Removed: GSE CRT embedded derivative coupon interest
−Removed: gain (loss), net
−Removed: Realized and unrealized credit derivative income (loss), net
+Added: hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized
+Added: gain (loss), net Realized and unrealized credit derivative income (loss), net
GSE CRT Embedded Derivatives — 22,478 ( 22,629 ) ( 151 )
The following tables summarize the effect of interest rate swaps, futures contracts, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the consolidated statements of operations for the years ended December 31, 2020, 2019 and 2018.
−Removed: $ in thousands
−Removed: Year ended December 31, 2019
+Added: $ in thousands Year ended December 31, 2020
not designated as
−Removed: hedging instrument
−Removed: Realized gain (loss) on derivative instruments, net
−Removed: Contractual net
−Removed: interest income (expense)
−Removed: gain (loss), net
−Removed: Gain (loss) on derivative instruments, net
+Added: hedging instrument Realized gain (loss) on derivative instruments, net Contractual net
+Added: interest income (expense) Unrealized
+Added: gain (loss), net Gain (loss) on derivative instruments, net
Interest Rate Swaps ( 857,753 ) 8,047 ( 24,068 ) ( 873,774 )
−Removed: Future Contracts
Currency Forward Contracts ( 1,301 ) — ( 345 ) ( 1,646 )
−Removed: $ in thousands
−Removed: Year ended December 31, 2018
+Added: TBAs 14,477 — 9,893 24,370
+Added: Total ( 844,577 ) 8,047 ( 14,520 ) ( 851,050 )
+Added: $ in thousands Year ended December 31, 2019
not designated as
−Removed: hedging instrument
−Removed: Realized gain (loss) on derivative instruments, net
−Removed: Contractual net
−Removed: interest income (expense)
−Removed: gain (loss), net
−Removed: Gain (loss) on derivative instruments, net
+Added: hedging instrument Realized gain (loss) on derivative instruments, net Contractual net
+Added: interest income (expense) Unrealized
+Added: gain (loss), net Gain (loss) on derivative instruments, net
Interest Rate Swaps ( 440,626 ) 35,840 18,826 ( 385,960 )
1 unchanged sentence
Currency Forward Contracts 1,478 — ( 180 ) 1,298
−Removed: $ in thousands
−Removed: Year ended December 31, 2017
+Added: Total ( 597,077 ) 35,840 26,482 ( 534,755 )
+Added: $ in thousands Year ended December 31, 2018
not designated as
−Removed: hedging instrument
−Removed: Realized gain (loss) on derivative instruments, net
−Removed: Contractual net
−Removed: interest income (expense)
−Removed: gain (loss), net
−Removed: Gain (loss) on derivative instruments, net
+Added: hedging instrument Realized gain (loss) on derivative instruments, net Contractual net
+Added: interest income (expense) Unrealized
+Added: gain (loss), net Gain (loss) on derivative instruments, net
Interest Rate Swaps 81,417 ( 20,015 ) 24,358 85,760
+Added: Future Contracts ( 86,318 ) — ( 7,836 ) ( 94,154 )
Currency Forward Contracts 2,088 — 1,046 3,134
+Added: TBAs ( 17 ) — — ( 17 )
+Added: Total ( 2,830 ) ( 20,015 ) 17,568 ( 5,277 )
Note 9 – Offsetting Assets and Liabilities
3 unchanged sentences
The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral.
−Removed: Our derivative asset of $ 18.5 million ( December 31, 2018 :
−Removed: derivative liability of $ 13.2 million ) at December 31, 2019 related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin.
−Removed: Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans
+Added: Our derivative liability of $ 5.5 million at December 31, 2020 (December 31, 2019:
+Added: asset of $ 18.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin.
As of December 31, 2020
1 unchanged sentence
Consolidated Balance Sheets
−Removed: $ in thousands
+Added: $ in thousands Gross
+Added: Assets (Liabilities) Gross
Offset in the
−Removed: of Liabilities
−Removed: Balance Sheets
−Removed: Instruments (1)
+Added: Sheets Net Amounts
+Added: of Assets (Liabilities)
+Added: Balance Sheets Financial
Cash Collateral
+Added: (Received) Pledged Net Amount
Derivatives (1) (2)
−Removed: Repurchase Agreements (3)
−Removed: Secured Loans (4)
−Removed: Offsetting of Derivative Assets
−Removed: As of December 31, 2018
−Removed: Gross Amounts Not Offset in the
−Removed: Consolidated Balance Sheets
−Removed: $ in thousands
−Removed: Offset in the
−Removed: Balance Sheets
+Added: 10,004 — 10,004 ( 111 ) ( 1,630 ) 8,263
+Added: Total Assets 10,004 — 10,004 ( 111 ) ( 1,630 ) 8,263
Derivatives (1) (2)
−Removed: Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans
+Added: ( 807 ) — ( 807 ) 111 610 ( 86 )
+Added: Repurchase Agreements (3)
+Added: ( 7,228,699 ) — ( 7,228,699 ) 7,228,699 — —
+Added: Total Liabilities ( 7,229,506 ) — ( 7,229,506 ) 7,228,810 610 ( 86 )
As of December 31, 2019
1 unchanged sentence
Consolidated Balance Sheets
−Removed: $ in thousands
+Added: $ in thousands Gross
+Added: Assets (Liabilities) Gross
Offset in the
−Removed: of Liabilities
−Removed: Balance Sheets
−Removed: Instruments (1)
+Added: Sheets Net Amounts
+Added: of Assets (Liabilities)
+Added: Balance Sheets Financial
+Added: Instruments Cash Collateral
+Added: (Received) Pledged Net Amount
Derivatives (1) (2)
+Added: ( 352 ) — ( 352 ) — 320 ( 32 )
Repurchase Agreements (3)
+Added: ( 17,532,303 ) — ( 17,532,303 ) 17,532,303 — —
Secured Loans (4)
−Removed: Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives.
−Removed: The fair value of securities pledged against our derivatives was $ 189.8 million at December 31, 2019 ( December 31, 2018 :
−Removed: $ 159.9 million ), of which $ 189.8 million ( December 31, 2018 :
−Removed: $ 158.3 million ) relates to initial margin pledged on centrally cleared interest rate swaps.
−Removed: Centrally cleared interest rate swaps are excluded from the tables above.
−Removed: Cash collateral received on our derivatives was $ 160,000 and $ 18.1 million at December 31, 2019 and December 31, 2018 , respectively.
−Removed: Cash collateral pledged by us on our futures contracts and interest rate swaps was $ 116.4 million and $ 13.5 million at December 31, 2019 and December 31, 2018 , respectively.
−Removed: Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at December 31, 2019 and December 31, 2018 , respectively.
+Added: ( 1,650,000 ) — ( 1,650,000 ) 1,650,000 — —
+Added: Total Liabilities ( 19,182,655 ) — ( 19,182,655 ) 19,182,303 320 ( 32 )
+Added: (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received.
+Added: (2) The fair value of securities pledged as initial margin against our centrally cleared swaps was $ 189.8 million as of December 31, 2019.
+Added: Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $ 245.0 million and $ 116.4 million at December 31, 2020 and December 31, 2019, respectively.
+Added: Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above.
+Added: We held cash collateral on our derivatives of $ 1.6 million and $ 160,000 as of December 31, 2020 and December 31, 2019, respectively.
(3) The fair value of securities pledged against our borrowing under repurchase agreements was $ 7.6 billion and $ 19.1 billion at December 31, 2020 and December 31, 2019, respectively.
−Removed: We pledged cash collateral of $ 32.6 million and held cash collateral of $ 10,000 under repurchase agreements as of December 31, 2019 .
−Removed: The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $ 1.9 billion and $ 1.9 billion at December 31, 2019 and December 31, 2018 , respectively.
−Removed: Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at December 31, 2018 , subject to a netting arrangement.
+Added: We pledged cash collateral of $ 700,000 and $ 32.6 million under repurchase agreements as of December 31, 2020 and December 31, 2019, respectively.
+Added: We held cash collateral of $ 1.9 million and $ 10,000 under repurchase agreements as of December 31, 2020 and December 31, 2019, respectively.
+Added: (4) The fair value of securities pledged against borrowings under our secured loans was $ 1.9 billion at December 31, 2019.
+Added: We pledged cash collateral against secured loans of $ 600,000 as of December 31, 2019.
Note 10 – Fair Value of Financial Instruments
10 unchanged sentences
Fair Value Measurements Using:
−Removed: $ in thousands
−Removed: NAV as a practical expedient (3)
+Added: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3)
Mortgage-backed and credit risk transfer securities (1)
+Added: — 8,172,182 — — 8,172,182
Derivative assets — 10,004 — — 10,004
Other assets (4)
+Added: — — 23,098 16,408 39,506
+Added: Total assets — 8,182,186 23,098 16,408 8,221,692
Derivative liabilities — 6,344 — — 6,344
2 unchanged sentences
Fair Value Measurements Using:
−Removed: $ in thousands
−Removed: NAV as a practical expedient (3)
+Added: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3)
Mortgage-backed and credit risk transfer securities (1)(2)
+Added: — 21,761,505 10,281 — 21,771,786
Derivative assets — 18,533 — — 18,533
Other assets (4)
+Added: — — 44,654 21,998 66,652
+Added: Total assets — 21,780,038 54,935 21,998 21,856,971
Derivative liabilities — 352 — — 352
1 unchanged sentence
(1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - “Mortgage-Backed and Credit Risk Transfer Securities.”
−Removed: Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative.
−Removed: The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3.
−Removed: As of December 31, 2019 , the net embedded derivative asset position of $ 10.3 million includes $ 19.5 million of embedded derivatives in an asset position and $ 9.2 million of embedded derivatives in a liability position.
+Added: (2) Our GSE CRTs purchased before August 24, 2015 were accounted for as hybrid financial instruments with an embedded derivative.
+Added: The hybrid financial instruments consisted of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3.
+Added: We did not hold any GSE CRTs accounted for as hybrid financial instruments as of December 31, 2020.
As of December 31, 2019, the net embedded derivative asset position of $ 10.3 million includes $ 19.5 million of embedded derivatives in an asset position and $ 9.2 million of embedded derivatives in a liability position.
(3) Investments in unconsolidated ventures are valued using the net asset value (“NAV”) as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds.
−Removed: As of December 31, 2019 and December 31, 2018 , the weighted average remaining term of investments in unconsolidated ventures is 2.2 years and 2.6 years, respectively.
−Removed: Includes $44.7 million and $55.0 million of a loan participation interest as of December 31, 2019 and December 31, 2018 , respectively.
−Removed: The loan participation interest is transferable and bears interest at a variable rate based on LIBOR plus a spread and resets daily.
−Removed: As a result, the cost of the loan participation interest approximates its fair value.
+Added: As of December 31, 2020 and December 31, 2019, the weighted average remaining term of our investments in unconsolidated ventures is 1.5 years and 2.2 years, respectively.
+Added: (4) Includes $ 44.7 million of a loan participation interest as of December 31, 2019 and $ 23.1 million of a commercial loan as of December 31, 2020.
+Added: We elected the fair value option for our commercial loan as of January 1, 2020 and valued the loan based on a third party appraisal as of December 31, 2020.
+Added: We sold our loan participation interest on April 1, 2020.
The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs:
−Removed: $ in thousands
−Removed: December 31, 2019
−Removed: December 31, 2018
+Added: $ in thousands December 31, 2020 December 31, 2019
Beginning balance 10,281 22,771
−Removed: Unrealized gains/(losses), net (1)
+Added: Sales and settlements 31,354 —
+Added: Total net credit derivative gains (losses) included in net income:
+Added: Realized credit derivative gains (losses), net ( 31,354 ) —
+Added: Unrealized credit derivative gains (losses), net (1)
+Added: ( 10,281 ) ( 12,490 )
Ending balance — 10,281
−Removed: Included in realized and unrealized credit derivative income (loss), net in the consolidated statements of operations are $ 12.5 million in net unrealized losses and $ 22.6 million in net unrealized losses attributable to assets still held as of December 31, 2019 and December 31, 2018 , respectively.
+Added: (1) Included in realized and unrealized credit derivative income (loss), net in the consolidated statements of operations is $ 12.5 million in net unrealized losses attributable to assets still held as of December 31, 2019, respectively.
The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs:
−Removed: $ in thousands
−Removed: December 31, 2019
−Removed: December 31, 2018
+Added: $ in thousands December 31, 2020 December 31, 2019
Beginning balance 44,654 54,981
Purchases/Advances — 7,962
+Added: Repayments ( 19,269 ) ( 18,289 )
+Added: Sales ( 21,577 ) —
+Added: Total net gains and losses included in net income:
+Added: Realized losses ( 3,808 ) —
Ending balance — 44,654
+Added: Realized losses on our loan participation interest are included in gain (loss) on investments, net in our consolidated statements of operations.
+Added: The following table shows a reconciliation of the beginning balance of our commercial loan and ending balance at fair value, which we have valued utilizing Level 3 inputs:
+Added: $ in thousands December 31, 2020
+Added: Beginning balance 24,055
+Added: Cumulative effect of adoption of new accounting principle 342
+Added: Repayments ( 136 )
+Added: Total net unrealized losses included in net income:
+Added: Unrealized losses ( 1,163 )
+Added: Ending balance 23,098
+Added: Unrealized losses on our commercial loan are included in gain (loss) on investments, net in our consolidated statements of operations.
The following tables summarize significant unobservable inputs used in the fair value measurement of our GSE CRT embedded derivatives:
Fair Value at
−Removed: $ in thousands
−Removed: December 31, 2019
−Removed: Valuation Technique
−Removed: Unobservable Input
−Removed: Weighted Average
−Removed: GSE CRT Embedded Derivatives
−Removed: Market Comparables, Vendor Pricing
−Removed: Weighted average life
−Removed: 1.1 - 4.2 years
−Removed: Fair Value at
−Removed: $ in thousands
−Removed: December 31, 2018
−Removed: Valuation Technique
−Removed: Unobservable Input
−Removed: Weighted Average
−Removed: GSE CRT Embedded Derivatives
−Removed: Market Comparables, Vendor Pricing
−Removed: Weighted average life
−Removed: 2.9 - 5.9 years
+Added: $ in thousands December 31, 2019 Valuation Technique Unobservable Input Range Weighted Average
+Added: GSE CRT Embedded Derivatives 10,281 Market Comparables, Vendor Pricing Weighted average life 1.1 - 4.2 years
These significant unobservable inputs change according to market conditions and security performance.
−Removed: We estimate the weighted average life of GSE CRTs in order to identify GSE corporate debt with a similar maturity.
+Added: We estimate the weighted average life of GSE CRTs to identify GSE corporate debt with a similar maturity.
We obtain our weighted average life estimates from a third party provider.
Although weighted average life is a significant input, changes in weighted average life may not have an explicit directional impact on the fair value measurement.
+Added: The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan:
+Added: Fair Value at Valuation Unobservable
+Added: $ in thousands December 31, 2020 Technique Input Rate
+Added: Commercial Loan 23,098 Discounted Cash Flow Discount rate 29.9 %
The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the consolidated balance sheets at December 31, 2020 and December 31, 2019:
−Removed: December 31, 2019
−Removed: December 31, 2018
−Removed: $ in thousands
+Added: December 31, 2020 December 31, 2019
+Added: $ in thousands Carrying
+Added: Value Estimated
+Added: Fair Value Carrying
+Added: Value Estimated
Financial Assets:
−Removed: Commercial loans, held-for-investment
+Added: Commercial loan, held-for-investment (1)
+Added: N/A N/A 24,055 24,397
+Added: FHLBI stock — — 74,250 74,250
+Added: Total — — 98,305 98,647
Financial Liabilities:
1 unchanged sentence
Secured loans — — 1,650,000 1,650,000
+Added: Total 7,228,699 7,228,719 19,182,303 19,184,344
+Added: (1) The carrying value and estimated fair value of our commercial loan as of December 31, 2020 are not applicable for disclosure in this table because we elected the fair value option for our commercial loan on January 1, 2020.
The following describes our methods for estimating the fair value for financial instruments not carried at fair value on the consolidated balance sheets.
−Removed: The estimated fair value of commercial loans held-for-investment, included in “Other assets” on our consolidated balance sheets, is a Level 3 fair value measurement.
−Removed: Subsequent to the origination or purchase, commercial loan investments are valued on a monthly basis by an independent third party valuation agent using a discounted cash flow technique.
−Removed: The estimated fair value of FHLBI stock, included in “Other assets” on our consolidated balance sheets, is a Level 3 fair value measurement.
−Removed: FHLBI stock may only be sold back to the FHLBI at its discretion at par.
−Removed: As a result, the cost of the FHLBI stock approximates its fair value.
+Added: • The estimated fair value of our commercial loan held-for-investment, included in “Other assets” on our consolidated balance sheets as of December 31, 2019, is a Level 3 fair value measurement.
+Added: The fair value was determined by an independent pricing service using a discounted cash flow analysis.
+Added: • The estimated fair value of FHLBI stock, included in “Other assets” on our consolidated balance sheets as of December 31, 2019, is a Level 3 fair value measurement.
+Added: The cost of the FHLBI stock approximated its fair value because it could only be sold back to the FHLBI at its discretion at par.
+Added: FHLBI redeemed our stock at cost in connection with the repayment of our secured loans.
+Added: We terminated our membership in FHLBI in the third quarter of 2020.
• The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique.
1 unchanged sentence
• The estimated fair value of secured loans is a Level 3 fair value measurement.
−Removed: The secured loans have floating rates based on an index plus a spread and the spread is typically consistent with those demanded in the market.
−Removed: Accordingly, the interest rates on these secured loans are at market, and thus the carrying amount approximates fair value.
+Added: As of December 31, 2019, the secured loans had floating rates based on an index plus a spread and the spread was typically consistent with those demanded in the market.
+Added: Accordingly, the interest rates on these secured loans were at market, and thus the carrying amount approximated fair value.
+Added: We fully repaid our secured loans during the year ended December 31, 2020.
Note 11 – Related Party Transactions
−Removed: We are externally managed and advised by Invesco Advisers, Inc.
−Removed: (our “Manager”), a wholly-owned subsidiary of Invesco Ltd.
Our Manager is at all times subject to the supervision and oversight of our Board of Directors and has only such functions and authority as we delegate to it.
−Removed: Our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel.
+Added: Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel.
Each of our officers is an employee of our Manager or one of its affiliates.
2 unchanged sentences
During the year ended December 31, 2020, we reimbursed our Manager $ 968,000 (2019:
−Removed: $ 801,000 ) for costs of support personnel that are fully dedicated to our business.
+Added: $ 779,000 ) for costs of support personnel.
We have invested $ 1.9 million as of December 31, 2020 (2019:
1 unchanged sentence
The investments are reported as cash and cash equivalents on our consolidated balance sheets as they are highly liquid and have original or remaining maturities of three months or less when purchased.
+Added: During the year ended December 31, 2020, we sold non-Agency CMBS to affiliates of our Manager for cash proceeds of $ 40.0 million and recognized a realized gain of $ 4.1 million.
Management Fee
Effective October 1, 2019, our management fee is equal to 1.50 % of our stockholders' equity per annum.
−Removed: For purposes of calculating the management fee, stockholders' equity is calculated as average month-end stockholder's equity for the prior calendar quarter as determined in accordance with U.S.
+Added: For purposes of calculating the management fee, stockholders' equity is calculated as average month-end stockholders' equity for the prior calendar quarter as determined in accordance with U.S.
Stockholders' equity may exclude one-time events due to changes in U.S.
GAAP and certain non-cash items upon approval by a majority of our independent directors.
−Removed: Prior to October 1, 2019, we paid our Manager a management fee equal to 1.50 % of our stockholders’ equity per annum.
−Removed: The fee was calculated and payable quarterly in arrears.
−Removed: For purposes of calculating the management fee, stockholders’ equity was equal to the sum of the net proceeds from all issuances of equity securities since inception including proceeds from the issuance of OP Units to an affiliate of our Manager, plus retained earnings at the end of the most recently completed calendar quarter (without taking into account any non-cash equity compensation expense incurred in then current or prior periods), less any amount paid to repurchase common stock since inception.
−Removed: Stockholders' equity excluded (i) any unrealized gains, losses or other items that did not affect realized net income (regardless of whether such items were included in other comprehensive income or loss, or in net income);
−Removed: (ii) cumulative net realized losses that were not attributable to permanently impaired investments and that related to the investments for which market movement was accounted for in other comprehensive income;
−Removed: provided, however, that such adjustment did not exceed cumulative unrealized net gains in other comprehensive income;
−Removed: (iii) one-time events pursuant to changes in U.S.
−Removed: and (iv) certain non-cash items after discussions between our Manager and our independent directors and approval by a majority of our independent directors.
We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager.
Expense Reimbursement
−Removed: We are required to reimburse our Manager for our operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs.
+Added: We are required to reimburse our Manager for operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs.
Our reimbursement obligation is not subject to any dollar limitation.
16 unchanged sentences
After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.289 % of the $ 25.00 liquidation preference per annum.
−Removed: Dividends are cumulative and payable quarterly in arrears, commencing with the first dividend payment date on December 27, 2017.
+Added: Dividends are cumulative and payable quarterly in arrears.
As of July 2017, we have the option to redeem shares of our Series A Preferred Stock for $ 25.00 per share, plus any accumulated and unpaid dividends through the date of redemption.
We have the option to redeem shares of our Series B Preferred Stock after December 27, 2024 and shares of our Series C Preferred Stock after September 27, 2027 for $ 25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption.
−Removed: Shares of Series B and Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company prior to those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control.
−Removed: In March 2019, we entered into an equity distribution agreement with a placement agent under which we may sell up to 7,000,000 shares of our preferred stock from time to time in at-the-market or privately negotiated transactions.
+Added: Shares of Series B and Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company before those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control.
+Added: As of December 31, 2020, we may sell up to 7,000,000 shares of our preferred stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent.
These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented).
−Removed: As of December 31, 2019 , we have not sold any shares of preferred stock under the equity distribution agreement.
−Removed: On February 7, 2019, we completed a public offering of 16,100,000 shares of common stock at the price of $ 15.73 per share.
−Removed: Total net proceeds were approximately $ 249.5 million after deducting offering costs.
−Removed: On August 16, 2019, we completed a public offering of 14,000,000 shares of common stock at the price of $ 15.86 per share.
−Removed: Total net proceeds were approximately $ 219.3 million after deducting offering costs.
−Removed: In March 2019, we amended our equity distribution agreement, dated December 18, 2017, with a placement agent under which we may sell up to 17,000,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions.
+Added: We have not sold any shares of preferred stock under the equity distribution agreement.
+Added: As of December 31, 2020, we may sell up to 37,610,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions.
These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented).
−Removed: During the year ended December 31, 2019 , we issued 2,540,260 shares of common stock under the equity distribution agreement for proceeds of $ 40.1 million , net of approximately $ 846,000 in commissions and fees.
−Removed: Redemption of OP Units and Repurchase of Shares Owned by Invesco
−Removed: On November 30, 2018, we redeemed the OP Units held by a wholly-owned Invesco subsidiary for $ 21.8 million .
−Removed: We also repurchased 75,100 shares of common stock owned by Invesco for $ 1.1 million .
−Removed: The redemption price for the OP Units and common stock was equal to the market value of an equivalent number of shares of our registered common stock.
−Removed: We accounted for the redemption of the OP Units as an equity transaction and did not recognize a gain or loss on the transaction.
−Removed: We reallocated the components of accumulated other comprehensive loss to us as summarized in the table below.
+Added: During the year ended December 31, 2020, we sold 21,849,740 shares (2019:
+Added: 2,540,260 shares) of common stock under our equity distribution agreements for proceeds of $ 73.7 million (2019:
+Added: $ 40.1 million) net of approximately $ 1.2 million (2019:
+Added: $ 846,000 ) in commissions and fees.
Share Repurchase Program
−Removed: During the year ended December 31, 2019 , we did not repurchase any shares of our common stock.
−Removed: During the year ended December 31, 2018 , we repurchased 75,100 shares of our common stock at a repurchase price of $ 15.23 per share for a net cost of $ 1.1 million as discussed above.
+Added: During the year ended December 31, 2020 and December 31, 2019, we did not repurchase any shares of our common stock.
+Added: During the year ended December 31, 2018, we repurchased 75,100 shares of our common stock as described in Note 14 “Note 14 - Non-Controlling Interest - Operating Partnership”.
As of December 31, 2020, we had authority to purchase 18,163,982 shares of our common stock through our share repurchase program.
−Removed: Share-Based Compensation
−Removed: In May 2019, we amended our Incentive Plan to extend the term of the plan until 2029 and to reduce the number of shares of common stock available for issuance under the Incentive Plan to 200,000 .
−Removed: We recognized compensation expense of approximately $ 450,000 ( 2018 :
−Removed: $ 453,000 ) related to awards to our independent directors for the year ended December 31, 2019 .
−Removed: During the year ended December 31, 2019 , we issued 27,665 shares ( 2018 :
−Removed: 27,697 shares;
−Removed: 25,006 shares) of common stock under the Incentive Plan to our independent directors.
−Removed: The awards vested immediately.
−Removed: We recognized compensation expense of approximately $ 72,000 ( 2018 :
−Removed: $ 138,000 ) for the year ended December 31, 2019 related to restricted stock units awarded to employees of our Manager and its affiliates under our Incentive Plan.
−Removed: At December 31, 2019 , there was approximately $ 131,000 of total unrecognized compensation cost related to restricted stock unit awards that is expected to be recognized over a period of up to 39 months, with a weighted-average remaining vesting period of 15 months.
−Removed: The following table summarizes the activity related to restricted stock units awarded to employees of our Manager and its affiliates for the year ended December 31, 2019 .
−Removed: Year Ended December 31,
−Removed: Restricted Stock Units
−Removed: Weighted Average Grant Date Fair Value
−Removed: Unvested at the beginning of the year
−Removed: Shares granted during the year
−Removed: Shares vested during the year
−Removed: Unvested at the end of the year
Accumulated Other Comprehensive Income
2 unchanged sentences
December 31, 2020
−Removed: $ in thousands
−Removed: Equity method investments
−Removed: Available-for-sale securities
−Removed: Derivatives and hedging
+Added: $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total
Total other comprehensive income (loss), net:
1 unchanged sentence
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 13,940 — 13,940
+Added: Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses 1,768 1,768
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 23,794 ) ( 23,794 )
5 unchanged sentences
December 31, 2019
−Removed: $ in thousands
−Removed: Equity method investments
−Removed: Available-for-sale securities
−Removed: Derivatives and hedging
+Added: $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total
Total other comprehensive income (loss), net:
6 unchanged sentences
Total other comprehensive income/(loss), net ( 1,158 ) 93,037 ( 23,729 ) 68,150
−Removed: Other comprehensive income/(loss) attributable to non-controlling interest
−Removed: Rebalancing of ownership percentage of non-controlling interest
−Removed: Purchase of OP units from non-controlling interest
AOCI balance at end of period ( 645 ) 213,701 75,907 288,963
1 unchanged sentence
We declared the following dividends during 2020 and 2019:
−Removed: $ in thousands, except per share amounts
−Removed: Dividends Declared
−Removed: Series A Preferred Stock
−Removed: Date of Payment
−Removed: December 16, 2019
−Removed: January 27, 2020
−Removed: September 16, 2019
−Removed: October 25, 2019
−Removed: June 17, 2019
−Removed: July 25, 2019
−Removed: March 18, 2019
−Removed: April 25, 2019
−Removed: December 14, 2018
−Removed: January 25, 2019
−Removed: September 14, 2018
−Removed: October 25, 2018
−Removed: June 15, 2018
−Removed: July 25, 2018
−Removed: March 15, 2018
−Removed: April 25, 2018
−Removed: $ in thousands, except per share amounts
−Removed: Dividends Declared
−Removed: Series B Preferred Stock
−Removed: Date of Payment
−Removed: November 5, 2019
−Removed: December 27, 2019
−Removed: August 1, 2019
−Removed: September 27, 2019
−Removed: June 27, 2019
−Removed: February 14, 2019
−Removed: March 27, 2019
−Removed: November 6, 2018
−Removed: December 27, 2018
−Removed: August 2, 2018
−Removed: September 27, 2018
−Removed: June 27, 2018
−Removed: February 15, 2018
−Removed: March 27, 2018
+Added: $ in thousands, except per share amounts Dividends Declared
+Added: Series A Preferred Stock Per Share In Aggregate Date of Payment
+Added: November 5, 2020 0.4844 2,713 January 25, 2021
+Added: September 10, 2020 0.4844 2,713 October 26, 2020
+Added: June 17, 2020 0.4844 2,712 July 27, 2020
+Added: March 17, 2020 0.4844 2,713 May 22, 2020
+Added: December 16, 2019 0.4844 2,712 January 27, 2020
+Added: September 16, 2019 0.4844 2,713 October 25, 2019
+Added: June 17, 2019 0.4844 2,712 July 25, 2019
+Added: March 18, 2019 0.4844 2,713 April 25, 2019
Dividends Declared
−Removed: Series C Preferred Stock
−Removed: Date of Payment
−Removed: November 5, 2019
−Removed: December 27, 2019
−Removed: August 1, 2019
−Removed: September 27, 2019
−Removed: June 27, 2019
−Removed: February 14, 2019
−Removed: March 27, 2019
−Removed: November 6, 2018
−Removed: December 27, 2018
−Removed: August 2, 2018
−Removed: September 27, 2018
−Removed: June 27, 2018
−Removed: February 15, 2018
−Removed: March 27, 2018
+Added: Series B Preferred Stock Per Share In Aggregate Date of Payment
+Added: November 5, 2020 0.4844 3,003 December 28, 2020
+Added: August 5, 2020 0.4844 3,003 September 28, 2020
+Added: May 9, 2020 0.4844 3,004 June 29, 2020
+Added: February 18, 2020 0.4844 3,003 May 22, 2020
+Added: November 5, 2019 0.4844 3,003 December 27, 2019
+Added: August 1, 2019 0.4844 3,003 September 27, 2019
+Added: May 3, 2019 0.4844 3,004 June 27, 2019
+Added: February 14, 2019 0.4844 3,003 March 27, 2019
Dividends Declared
−Removed: Date of Payment
−Removed: December 16, 2019
−Removed: January 28, 2020
−Removed: September 16, 2019
−Removed: October 28, 2019
−Removed: June 17, 2019
−Removed: July 26, 2019
−Removed: March 18, 2019
−Removed: April 26, 2019
−Removed: December 14, 2018
−Removed: January 28, 2019
−Removed: September 14, 2018
−Removed: October 26, 2018
−Removed: June 15, 2018
−Removed: July 26, 2018
−Removed: March 15, 2018
−Removed: April 26, 2018
+Added: Series C Preferred Stock Per Share In Aggregate Date of Payment
+Added: November 5, 2020 0.46875 5,391 December 28, 2020
+Added: August 5, 2020 0.46875 5,391 September 28, 2020
+Added: May 9, 2020 0.46875 5,390 June 29, 2020
+Added: February 18, 2020 0.46875 5,391 May 22, 2020
+Added: November 5, 2019 0.46875 5,391 December 27, 2019
+Added: August 1, 2019 0.46875 5,391 September 27, 2019
+Added: May 3, 2019 0.46875 5,390 June 27, 2019
+Added: February 14, 2019 0.46875 5,391 March 27, 2019
+Added: Common Stock Dividends Declared
+Added: Per Share In Aggregate Date of Payment
+Added: December 28, 2020 0.08 16,258 January 26, 2021
+Added: September 30, 2020 0.05 9,070 October 27, 2020
+Added: June 17, 2020 0.02 3,626 July 28, 2020
+Added: March 17, 2020 0.50 82,483 June 30, 2020
+Added: December 16, 2019 0.50 72,132 January 28, 2020
+Added: September 16, 2019 0.45 64,261 October 28, 2019
+Added: June 17, 2019 0.45 57,958 July 26, 2019
+Added: March 18, 2019 0.45 57,720 April 26, 2019
+Added: On May 9, 2020, our board of directors approved payment of our common stock dividend that was declared on March 17, 2020 in a combination of cash and shares of our common stock.
+Added: Stockholders had the opportunity to elect payment of the dividend all in cash or all in common shares, subject to a limit of 10 % or approximately $ 8.2 million of cash in the aggregate (excluding any cash paid in lieu of issuing fractional shares).
+Added: On June 30, 2020, we paid the dividend through the issuance of 16,338,511 shares of common stock and the payment of approximately $ 8.2 million in cash.
+Added: The number of shares included in the dividend was calculated based on the $ 4.5435 volume weighted average trading price of our common stock on the New York Stock Exchange on June 17, 18 and 19, 2020.
The following table sets forth the dividends declared per share of our preferred and common stock and their related tax characterization for the fiscal tax years ended December 31, 2020 and 2019.
Tax Characterization of Dividends
−Removed: Fiscal Tax Year
−Removed: Dividends Declared
−Removed: Ordinary Dividends
−Removed: Return of Capital
−Removed: Capital Gain Distribution
−Removed: Carry Forward
+Added: Fiscal Tax Year Dividends Declared Ordinary Dividends Return of Capital Capital Gain Distribution Carry Forward
Series A Preferred Stock Dividends
Fiscal tax year 2020 (1)
+Added: 1.937600 — 1.937600 — —
Fiscal tax year 2019 (2)
+Added: 1.937600 — 1.937600 — —
Series B Preferred Stock Dividends
6 unchanged sentences
Fiscal tax year 2020 (3)
+Added: 0.650000 — 0.570000 — 0.080000
Fiscal tax year 2019 (4)
−Removed: Excludes preferred stock dividend of $ 0.4844 per share declared on December 16, 2019 that has a record date of January 1, 2020 .
+Added: 1.850000 — 1.350000 — 0.500000
+Added: (1) Excludes preferred stock dividend of $ 0.4844 per share declared on November 5, 2020 that has a record date of January 1, 2021.
This dividend is a 2021 dividend for federal income tax purposes.
1 unchanged sentence
This dividend is a 2020 dividend for federal income tax purposes.
−Removed: Our fourth quarter dividend declared on December 16, 2019 that has a record date of December 27, 2019 was paid on January 28, 2020.
+Added: (3) Our fourth quarter dividend declared on December 28, 2020 that has a record date of January 12, 2021 was paid on January 26, 2021.
This dividend is a 2021 dividend for federal income tax purposes.
(4) Our fourth quarter dividend declared on December 16, 2019 that had a record date of December 27, 2019 was paid on January 28, 2020.
−Removed: A portion of this dividend, $ 0.301822 per share, was a 2019 dividend for tax purposes and treated as a return of capital.
+Added: This dividend is a 2020 dividend for federal income tax purposes and is characterized as a return of capital.
Note 13 – Earnings per Common Share
Earnings per share for the years ended December 31, 2020, 2019 and 2018 is computed as follows:
−Removed: In thousands except per share amounts
−Removed: Years Ended December 31,
+Added: In thousands except per share amounts Years Ended December 31,
+Added: 2020 2019 2018
Numerator (Income)
1 unchanged sentence
Net income (loss) available to common stockholders ( 1,718,778 ) 319,675 ( 115,216 )
−Removed: Effect of dilutive securities:
−Removed: Income allocated to exchangeable senior notes (1)
−Removed: Income (loss) allocated to non-controlling interest (2)
−Removed: Dilutive net income (loss) available to stockholders
Denominator (Weighted Average Shares)
3 unchanged sentences
Restricted stock awards — 12 —
−Removed: Non-controlling interest OP Units (2)
−Removed: Exchangeable senior notes (1)
Dilutive Shares 173,730 132,318 111,637
1 unchanged sentence
Net income (loss) attributable to common stockholders
−Removed: The Company repaid its exchangeable senior notes in March 2018.
−Removed: The Company redeemed all OP Units of the non-controlling interest holder in November 2018 as discussed in Note 14 - "Non-Controlling Interest - Operating Partnership".
−Removed: The following potential weighted average shares were excluded from diluted earnings per share for the year ended December 31, 2018 as the effect would be anti-dilutive:
+Added: Basic ( 9.89 ) 2.42 ( 1.03 )
+Added: Diluted ( 9.89 ) 2.42 ( 1.03 )
+Added: The following potential weighted average shares were excluded from diluted earnings per share as the effect would be anti-dilutive.
+Added: For the year ended December 31, 2020:
+Added: 11,017 for restricted stock awards.
+Added: For the year ended December 31, 2018:
14,404 for restricted stock awards, 1,184,373 for the exchangeable senior notes and 1,300,068 for non-controlling interest.
Note 14 – Non-controlling Interest – Operating Partnership
−Removed: Through November 30, 2018, non-controlling interest represented the aggregate ownership interest of a wholly-owned Invesco subsidiary in our Operating Partnership.
+Added: Through November 30, 2018, non-controlling interest represented an approximately 1.3 % aggregate ownership interest of a wholly-owned Invesco subsidiary in our Operating Partnership.
The ownership percentage was determined by dividing the number of OP Units held by the Unit Holders by the total number of dilutive shares of common stock.
3 unchanged sentences
On November 30, 2018, we redeemed all of the OP Units held by the non-controlling interest holder for $ 21.8 million.
−Removed: The redemption price for the OP Units was equal to the market value of an equivalent number of shares of our registered common stock.
+Added: We also repurchased 75,100 shares of common stock owned by Invesco for $ 1.1 million.
+Added: The redemption price for the OP Units and common stock was equal to the market value of an equivalent number of shares of our registered common stock.
+Added: We accounted for the redemption of the OP Units as an equity transaction and reallocated the components of accumulated other comprehensive income to us.
+Added: No gain or loss was recognized on the transaction.
The following table summarizes the effect of changes in our ownership interest in our Operating Partnership on our equity.
−Removed: Years ended December 31,
+Added: Year ended December 31,
$ in thousands 2018
5 unchanged sentences
common stockholders and transfers (to) from non-controlling interest ( 71,588 )
−Removed: Prior to redemption of the OP Units, income was allocated to the non-controlling interest based on the Unit Holders’ ownership percentage of the Operating Partnership.
−Removed: The following table presents the net income (loss) allocated and distributions paid to the Operating Partnership non-controlling interest for the years ended December 31, 2018 and 2017.
+Added: Before redemption of the OP Units, income was allocated to the non-controlling interest based on the Unit Holders’ ownership percentage of the Operating Partnership.
+Added: The following table presents the net income (loss) allocated and distributions paid to the Operating Partnership non-controlling interest for the year ended December 31, 2018.
Years ended December 31,
4 unchanged sentences
Commitments and contingencies may arise in the ordinary course of business.
−Removed: Our material off balance sheet commitments as of December 31, 2019 are discussed below.
+Added: Our material off balance sheet commitments and contingencies as of December 31, 2020 are discussed below.
As discussed in Note 5 - “Other Assets”, we have invested in unconsolidated ventures that are sponsored by an affiliate of our Manager.
2 unchanged sentences
As of December 31, 2020, our undrawn capital and purchase commitments were $ 6.8 million.
−Removed: As discussed in Note 5 - “Other Assets”, we have funded our portion of a commitment in a loan participation.
−Removed: The remainder of our commitment under the agreement will be funded over the remaining term of the loan based upon the financing needs of the borrower.
−Removed: As of December 31, 2019 , we have an unfunded commitment of $ 30.3 million .
−Removed: We have entered into agreements with financial institutions to guarantee certain obligations of our subsidiaries.
−Removed: We would be required to perform under these guarantees in the event of certain defaults.
−Removed: We have not had prior claims or losses under these contracts and expect the risk of loss to be remote.
−Removed: Note 16 – Summarized Quarterly Results of Operations (Unaudited)
−Removed: The following is a presentation of selected unaudited results of operations for the quarters ended.
−Removed: $ in thousands except share amounts
−Removed: Interest Income
−Removed: Mortgage-backed and credit risk transfer securities
−Removed: Commercial and other loans
−Removed: Total interest income
−Removed: Interest Expense
−Removed: Repurchase agreements
−Removed: Secured loans
−Removed: Exchangeable senior notes
−Removed: Total interest expense
−Removed: Net interest income
−Removed: Other income (loss)
−Removed: Gain (loss) on investments, net
−Removed: Equity in earnings of unconsolidated ventures
−Removed: Gain (loss) on derivative instruments, net
−Removed: Realized and unrealized credit derivative income (loss), net
−Removed: Net loss on extinguishment of debt
−Removed: Other investment income (loss), net
−Removed: Total other income (loss)
−Removed: Management fee – related party
−Removed: General and administrative
−Removed: Total expenses
−Removed: Net income (loss)
−Removed: Net income (loss) attributable to non-controlling interest
−Removed: Net income (loss) attributable to Invesco Mortgage Capital Inc.
−Removed: Dividends to preferred stockholders
−Removed: Net income (loss) attributable to common stockholders
−Removed: Earnings (loss) per share:
−Removed: Net income (loss) attributable to common stockholders
Note 16 – Subsequent Events
1 unchanged sentence
Total net proceeds were approximately $ 103.1 million after deducting estimated offering costs.
−Removed: Secured Loans
−Removed: We repaid $ 300.0 million of secured loans from the FHLBI upon their maturity on February 11, 2020 through a combination of available cash and additional repurchase agreement borrowings.
−Removed: We declared the following dividends on our Series B and Series C Preferred Stock on February 18, 2020 to our stockholders of record as of March 5, 2020:
−Removed: a Series B Preferred Stock dividend of $ 0.4844 per share payable on March 27, 2020 and a Series C Preferred Stock dividend of $ 0.46875 per share payable on March 27, 2020.
+Added: We declared the following dividends on February 19, 2021:
+Added: a Series A Preferred Stock dividend of $ 0.4844 per share payable on April 26, 2021 to our stockholders of record as of April 1, 2021, a Series B Preferred Stock dividend of $ 0.4844 per share payable on March 29, 2021 to our stockholders of record as of March 5, 2021, and a Series C Preferred Stock dividend of $ 0.46875 per share payable on March 29, 2021 to our stockholders of record on March 5, 2021.
+Added: Commercial Loan Modification
+Added: In February 2021, we received a request to modify the terms of our commercial loan and extend the contractual maturity of the commercial loan to February 2022.
+Added: We are currently negotiating the terms of the modification and expect to extend the term of the loan to February 28, 2022.
INVESCO MORTGAGE CAPITAL INC.
3 unchanged sentences
$ in thousands
−Removed: Property Type
−Removed: Interest Rate
−Removed: Maturity Date
−Removed: Periodic Payment Terms (1)
−Removed: Face Amount of Mortgages
−Removed: Carrying Amount of Mortgages
−Removed: Principal Amount of Loans Subject to Delinquent Principal or Interest
−Removed: Mezzanine Loan
+Added: Asset Type Property Type Location Interest Rate Maturity Date Periodic Payment Terms (1)
+Added: Prior Liens Face Amount of Mortgages Carrying Amount of Mortgages Principal Amount of Loans Subject to Delinquent Principal or Interest
+Added: Mezzanine Loan Hotel TX L + 8.5 %
+Added: 2/28/2021 I — 23,919 23,098 —
+Added: 23,919 23,098 (2) —
(1) Interest (“I”) only until stated maturity of the loan.
1 unchanged sentence
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
+Added: 2020 2019 2018
Beginning balance 24,055 31,582 191,808
2 unchanged sentences
Collection of principal 136 7,527 160,934
+Added: Unrealized loss, net 821 — —
Loss on foreign currency revaluation — — 1,060
5 unchanged sentences
Pursuant to the requirements of the Securities Exchange Act of 1934, this Report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
−Removed: Chief Executive Officer
−Removed: February 19, 2020
−Removed: (principal executive officer)
+Added: Signatures (1)
+Added: Anzalone Chief Executive Officer February 22, 2021
+Added: Anzalone (principal executive officer)
Lee Phegley, Jr.
−Removed: Chief Financial Officer
−Removed: February 19, 2020
+Added: Chief Financial Officer February 22, 2021
Lee Phegley, Jr.
1 unchanged sentence
/s/ Roseann M.
−Removed: Chief Accounting Officer
−Removed: February 19, 2020
−Removed: (principal accounting officer)
−Removed: February 19, 2020
+Added: Perlis Chief Accounting Officer February 22, 2021
+Added: Perlis (principal accounting officer)
+Added: Day Director February 22, 2021
/s/ Carolyn B.
−Removed: February 19, 2020
+Added: Handlon Director February 22, 2021
/s/ Edward J.
−Removed: February 19, 2020
−Removed: February 19, 2020
+Added: Hardin Director February 22, 2021
+Added: Director February 22, 2021
/s/ Dennis P.
−Removed: February 19, 2020
+Added: Lockhart Director February 22, 2021
/s/ Gregory G.
−Removed: February 19, 2020
−Removed: February 19, 2020
+Added: McGreevey Director February 22, 2021
+Added: Starr Director February 22, 2021
+Added: Zayicek was appointed to the Board of Directors on February 19, 2021 and accordingly did not sign this Report.
Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.