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in million USD FY '08FY '09FY '10FY '11FY '12FY '13FY '14FY '15
Interest income
105
261
103
254
589
512
688
873
Interest expense
61
10
8
12
127
102
148
259
Net interest income
45
253
430
570
463
410
540
613
Total other-than-temporary impairment losses
0
-290
-41
-242
-48
-4
-9
-9
Portion of loss recognized in other comprehensive income
0
179
-91
-115
-85
-41
-55
-59
Net other-than-temporary credit impairment losses
0
-111
-132
-357
-132
-45
-64
-67
Net unrealized gains (losses) on derivatives
4
0
-10
-34
-9
34
-103
67
Realized gains (losses) on terminations of interest rate swaps
-10
0
0
0
0
0
0
-99
Net realized gains (losses) on derivatives
0
0
-6
-16
-20
-8
-83
-83
Net gains (losses) on derivatives
0
0
-16
-50
-30
27
-186
-115
Net unrealized gains (losses) on financial instruments at fair value
0
3
4
-15
1
-44
194
-158
Net realized gains (losses) on sales of investments
-144
119
17
54
85
68
92
77
Gain (loss) on deconsolidation
0
0
0
0
0
0
48
0
Gains (Losses) on Extinguishment of Debt
0
0
0
0
0
0
-2
-6
Realized losses on principal write-downs of Non-Agency RMBS
0
0
0
0
0
-18
0
0
Total other gains (losses)
-150
122
5
-11
56
32
145
-202
Net investment income (loss)
-106
264
303
202
0
0
0
0
Management fees
8
26
41
52
50
26
33
25
Expense recoveries from Manager
0
0
0
0
-5
-7
-9
-7
Net management fees
0
0
41
52
45
19
24
18
Provision for loan losses, net
2
3
7
5
0
-2
0
0
Compensation and benefits
0
0
0
0
0
0
0
11
General and administrative expenses
4
4
6
7
14
14
20
32
Servicing Fees of consolidated VIEs
0
0
0
0
0
3
10
25
Deal Expenses
0
0
0
0
0
0
1
8
Other (income) expense
14
33
54
65
59
0
-24
0
Total other expenses
0
0
0
0
0
34
31
93
INCOME (LOSS) BEFORE INCOME TAXES
-120
231
249
138
328
363
589
250
Income taxes
0
0
1
1
0
0
0
0
Net income
-120
231
248
137
328
363
589
250
Net income
-120
231
248
137
328
363
589
250
Remarks
restated on Nov 30, -1 n/a
calculated values,
restated on Nov 30, -1 n/a
calculated values,
restated on Dec 31, 2013 n/a
calculated values,
restated on Jun 4, 2014 n/a
calculated values,
restated on Mar 2, 2015 n/a
calculated values,
restated on Feb 25, 2016 n/a
calculated values,
restated on Feb 25, 2016 n/a
calculated values,
restated on Nov 30, -1 n/a
calculated values,
Balance SheetBS data quality: 0% (?)
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in million USD FY '08FY '09FY '10FY '11FY '12FY '13FY '14FY '15
Assets
Cash and cash equivalents
n/a
24
7
206
621
78
165
114
Senior ($484.1 million and $0 resulting from consolidation of VIEs)
n/a
2,022
0
0
0
0
0
0
Subordinated ($1.5 billion and $0 resulting from consolidation of VIEs)
n/a
376
0
0
0
0
0
0
Non-Agency RMBS, at fair value
n/a
0
0
0
0
3,774
3,404
3,676
Agency RMBS, at fair value
n/a
1,690
2,134
3,145
1,807
1,998
8,442
6,515
Securitized loans held for investment, net of allowance for loan losses of $0 million and $7 million, respectively
n/a
471
0
0
0
783
626
0
Securitized loans held for investment, at fair value
n/a
0
0
0
0
0
4,699
4,768
Receivable for investments sold
n/a
0
0
0
0
254
1,572
0
Accrued interest receivable
n/a
33
18
23
15
33
71
66
Other assets
n/a
1
1
1
14
8
173
190
Derivatives, at fair value, net
n/a
0
0
0
0
8
4
15
Subtotal
n/a
0
3,331
4,194
3,144
0
0
0
Total assets
n/a
4,618
8,069
7,747
7,742
6,936
19,155
15,345
Liabilities and owners' equity
Repurchase agreements, RMBS ($8.8 billion and $9.3 billion pledged as collateral, respectively)
n/a
1,716 1716398000
1,600 1600078000
2,673 2672989000
1,528 1528025000
1,659 1658561000
8,455 8455381000
7,439 7439339000
Securitized debt, collateralized by Non-Agency RMBS ($2.1 billion and $2.5 billion pledged as collateral, respectively)
n/a
0 0
0 0
0 0
0 0
934 933732000
705 704915000
529 529415000
Repurchase agreements, Non-Agency RMBS ($0 and $249.4 million pledged as collateral, respectively)
n/a
259 259004000
209 208719000
0 0
0 0
0 0
0 0
0 0
Securitized debt, collateralized by loans held for investment ($0 million and $626 million pledged as collateral, respectively)
n/a
0 0
0 0
0 0
0 0
670 669981000
522 521997000
0 0
Securitized debt at fair value, collateralized by loans held for investment ($4.8 billion and $4.7 billion pledged as collateral, respectively)
n/a
390 390350000
0 0
0 0
0 0
0 0
3,868 3868366000
3,720 3720496000
Payable for investments purchased
n/a
0 0
128 127693000
0 0
0 0
0 0
1,845 1845282000
561 560641000
Accrued interest payable
n/a
3 3235000
2 1675000
3 3294000
2 2441000
7 6675000
32 31888000
37 37432000
Dividends payable
n/a
114 113788000
174 174445000
113 112937000
92 92431000
298 297904000
92 92483000
90 90097000
Accounts payable and other liabilities
n/a
0 472000
0 393000
2 1687000
1 1170000
2 1861000
2 2469000
11 11404000
Investment management fees payable
n/a
9 8519000
12 12422000
13 12958000
8 7675000
6 5658000
10 10357000
0 0
Derivatives, at fair value
n/a
0 0
10 9988000
44 44467000
54 53939000
30 30199000
14 14177000
10 9634000
Subtotal
n/a
0 0
2,135 2135413000
2,848 2848332000
1,686 1685681000
0 0
0 0
0 0
Total liabilities
n/a
2,492 2491766000
4,391 4390694000
4,700 4699516000
4,200 4200010000
3,605 3604571000
15,547 15547315000
12,398 12398458000
Commitments and Contingencies (See Note 16)
n/a
0 0
0 0
0 0
0 0
0 0
0 0
0 0
Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively
n/a
0 0
0 0
0 0
0 0
0 0
0 0
0 0
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,711,868 and 205,546,144 shares issued and outstanding, respectively
n/a
7 6693000
10 10261000
10 10267000
10 10268000
10 10272000
2 2055000
2 1877000
Additional paid-in-capital
n/a
2,291 2290614000
3,602 3601890000
3,604 3603739000
3,605 3604554000
3,605 3605241000
3,614 3614411000
3,367 3366568000
Accumulated other comprehensive income
n/a
-100 -99754000
680 680123000
433 433453000
990 989936000
991 990803000
1,047 1046680000
774 773791000
Accumulated deficit
n/a
-71 -70991000
-614 -613688000
-1,000 -999840000
-1,062 -1062279000
-1,275 -1274806000
-1,055 -1055456000
-1,196 -1196048000
Total stockholders' equity
n/a
2,127 2126562000
3,679 3678586000
3,048 3047619000
3,542 3542479000
3,332 3331510000
3,608 3607690000
2,946 2946188000
Total liabilities and stockholders' equity
n/a
4,618 4618328000
8,069 8069280000
7,747 7747135000
7,742 7742489000
6,936 6936081000
19,155 19155005000
15,345 15344646000
Remarks restated on n/a restated on Nov 30, -1 n/a restated on Mar 8, 2013 n/a restated on Nov 30, -1 n/a restated on Nov 30, -1 n/a restated on Mar 2, 2015 n/a restated on Feb 25, 2016 n/a restated on Nov 30, -1 n/a
Cash Flow StatementCF data quality: 0% (?)
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in million USD FY '08FY '09FY '10FY '11FY '12FY '13FY '14FY '15
Net income
-120
231
248
137
328
363
589
250
(Accretion) amortization of investment discounts/premiums, net
0
-42
-66
-61
-67
-81
-73
4
Accretion (amortization) of securitized debt discounts/premiums, net
0
4
17
13
7
0
0
0
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net
0
0
0
0
9
18
12
17
Net unrealized losses (gains) on derivatives
-4
0
10
34
9
-34
103
-67
Realized loss (gain) on termination of interest rate swaps
10
0
0
0
0
0
0
0
Net realized losses (gains) on option contracts settled
0
0
0
0
0
0
1
0
Proceeds (payments) for derivative sales and settlements
0
0
0
0
0
0
-7
-13
Margin (paid) received on derivatives
0
0
0
0
0
0
-186
83
Net unrealized losses (gains) on financial instruments at fair value
0
-3
-4
15
-1
44
-194
158
Net realized losses (gains) on sales of investments
144
-119
-17
-54
-85
-68
-92
-77
Realized losses on principal write-downs of Non-Agency RMBS
0
0
0
0
0
18
0
0
(Gains) losses on deconsolidation
0
0
0
0
0
0
-48
0
Net other-than-temporary credit impairment losses
0
111
132
357
132
45
64
67
Restricted stock grants
1
0
0
0
0
0
0
0
(Gain) loss on extinguishment of debt
0
0
0
0
0
0
2
6
Provision for loan losses, net
2
3
7
5
0
-2
0
0
Equity-based compensation expense
0
1
1
1
0
1
1
2
Decrease (increase) in accrued interest receivable, net
-6
-23
-18
-1
9
6
-38
5
Decrease (increase) in other assets
-1
0
0
0
0
0
16
-43
Increase (decrease) in accounts payable and other liabilities
0
0
0
1
-1
1
1
9
Increase (decrease) in investment management fees and expenses payable to affiliate
1
6
4
1
-5
-2
5
-10
Increase (decrease) in accrued interest payable, net
2
1
8
0
-1
-4
25
6
Mortgage-Backed Securities portfolio, purchases
-1,483
0
0
0
0
0
0
0
Sales
567
0
0
0
0
0
0
0
Mortgage-Backed Securities portfolio, principal payments
174
0
0
0
0
0
0
0
Purchases
-735
0
0
0
0
0
0
0
Sales
91
0
0
0
0
0
0
0
Purchases
0
0
0
0
0
0
0
0
Principal payments
41
0
0
0
0
0
0
0
Reverse Repurchase Agreements
265
0
0
0
0
0
0
0
Restricted cash
1
0
0
0
0
0
0
0
Net cash provided by (used in) operating activities
31
169
322
448
335
305
183
396
Net cash provided by (used in) investing activities
-1,056
-2,810
-1,585
-114
989
305
-5,779
2,038
Proceeds from repurchase agreements
85,585
59,371
15,370
15,248
6,827
7,879
27,128
41,644
Payments on repurchase agreements
-85,294
-57,957
-15,537
-14,383
-7,972
-7,749
-20,331
-42,660
Net proceeds from common stock offerings to affiliates
26
90
0
0
0
0
0
0
Payments on repurchase of common stock
273
1,373
1,314
0
0
0
0
-250
Payment of deferred financing costs
0
0
0
0
-9
0
0
0
Proceeds from securitized debt borrowings, collateralized by loans held for investment
23
0
0
0
1,427
0
44
1,483
Payments on securitized debt borrowings, collateralized by loans held for investment
-38
-102
-106
-80
-471
-500
-341
-2,139
Proceeds from securitized debt borrowings, collateralized by Non-Agency RMBS
527
0
1,296
311
181
0
0
0
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS
0
0
-574
-646
-481
-415
-185
-182
Net payments on termination of interest rate swaps
-10
0
0
0
0
0
0
0
Net proceeds from direct purchase and dividend reinvestment
0
0
1
1
0
0
0
0
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS
0
0
0
0
0
0
-56
0
Common dividends paid
-23
-136
-517
-585
-411
-370
-575
-381
Net cash provided by (used in) financing activities
1,047
2,638
1,246
-134
-909
-1,153
5,683
-2,485
Net increase (decrease) in cash and cash equivalents
21
-3
-17
199
415
-544
87
-51
Remarks
restated on Nov 30, -1 n/a
calculated values,
restated on Nov 30, -1 n/a
calculated values,
restated on Dec 31, 2013 n/a
calculated values,
restated on Nov 30, -1 n/a
calculated values,
restated on Mar 2, 2015 n/a
calculated values,
restated on Feb 25, 2016 n/a
calculated values,
restated on Feb 25, 2016 n/a
calculated values,
restated on Nov 30, -1 n/a
calculated values,