EARN 10-Q

Ellington Credit Co (EARN)

10-Q 2020-11-09 For: 2020-09-30

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Added on April 12, 2026

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Maryland						46-0687599
(State or Other Jurisdiction of Incorporation or Organization)						(I.R.S. Employer Identification No.)


PART I. Financial Information
Item 1. Consolidated Financial Statements (unaudited)			3
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations			34
Item 3. Quantitative and Qualitative Disclosures about Market Risk			52
Item 4. Controls and Procedures			54
PART II. Other Information
Item 1. Legal Proceedings			55
Item 1A. Risk Factors			55
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds			55
Item 6. Exhibits			56


	September 30, 2020		December 31, 2019
(In thousands except for share amounts)
ASSETS
Cash and cash equivalents	$	61,193	$	35,351
Mortgage-backed securities, at fair value	1,113,620		1,401,778
Other investments, at fair value	5,290		—
Due from brokers	49,530		34,596
Financial derivatives–assets, at fair value	1,738		4,180
Reverse repurchase agreements	20,013		2,084
Receivable for securities sold	7,191		5,500
Interest receivable	4,562		5,016
Other assets	380		604
Total Assets	$	1,263,517	$	1,489,109
LIABILITIES AND SHAREHOLDERS' EQUITY
LIABILITIES
Repurchase agreements	$	1,061,640	$	1,296,272
Payable for securities purchased	5,308		19,433
Due to brokers	669		33
Financial derivatives–liabilities, at fair value	7,916		2,047
U.S. Treasury securities sold short, at fair value	19,986		2,070
Dividend payable	3,454		3,488
Accrued expenses	1,077		588
Management fee payable to affiliate	611		605
Interest payable	455		3,729
Total Liabilities	1,101,116		1,328,265
SHAREHOLDERS' EQUITY
Preferred shares, par value $0.01 per share, 100,000,000 shares authorized; (0 shares issued and outstanding, respectively)	—		—
Common shares, par value $0.01 per share, 500,000,000 shares authorized; (12,334,636 and 12,455,758 shares issued and outstanding, respectively)	123		124
Additional paid-in-capital	229,551		230,358
Accumulated deficit	(67,273)		(69,638)
Total Shareholders' Equity	162,401		160,844
Total Liabilities and Shareholders' Equity	$	1,263,517	$	1,489,109


	Three-Month Period Ended				Nine-Month Period Ended
	September 30, 2020		September 30, 2019		September 30, 2020		September 30, 2019
(In thousands except for per share amounts)
INTEREST INCOME (EXPENSE)
Interest income	$	7,776	$	10,485	$	21,146	$	35,237
Interest expense	(819)		(8,820)		(9,249)		(28,038)
Total net interest income	6,957		1,665		11,897		7,199
EXPENSES
Management fees to affiliate	611		582		1,731		1,759
Professional fees	237		216		1,043		652
Compensation expense	140		132		433		394
Insurance expense	82		74		239		221
Other operating expenses	336		341		979		987
Total expenses	1,406		1,345		4,425		4,013
OTHER INCOME (LOSS)
Net realized gains (losses) on securities	4,987		1,564		11,255		1,308
Net realized gains (losses) on financial derivatives	(648)		(1,862)		(15,599)		(22,723)
Change in net unrealized gains (losses) on securities	(4,575)		9,058		17,883		45,540
Change in net unrealized gains (losses) on financial derivatives	2,803		(5,351)		(8,293)		(14,761)
Total other income (loss)	2,567		3,409		5,246		9,364
NET INCOME (LOSS)	$	8,118	$	3,729	$	12,718	$	12,550
NET INCOME (LOSS) PER COMMON SHARE:
Basic and Diluted	$	0.66	$	0.30	$	1.03	$	1.01


	Common Shares	Common Shares, par value		Preferred Shares	Preferred Shares, par value		Additional Paid-in-Capital		Accumulated (Deficit) Earnings		Total
(In thousands except for share amounts)
BALANCE, December 31, 2019	12,455,758	$	124	—	$	—	$	230,358	$	(69,638)	$	160,844
Share based compensation							59				59
Repurchase of common shares	(136,142)	(1)					(985)				(986)
Dividends declared(1)									(3,449)		(3,449)
Net income (loss)									(16,745)		(16,745)
BALANCE, March 31, 2020	12,319,616	123		—	—		229,432		(89,832)		139,723
Share based compensation							59				59
Dividends declared(1)									(3,450)		(3,450)
Net income (loss)									21,345		21,345
BALANCE, June 30, 2020	12,319,616	$	123	—	$	—	$	229,491	$	(71,937)	$	157,677
Issuance of restricted shares	15,020	—		—	—		—				—
Share based compensation							60				60
Dividends declared(1)									(3,454)		(3,454)
Net income (loss)									8,118		8,118
BALANCE, September 30, 2020	12,334,636	$	123	—	$	—	$	229,551	$	(67,273)	$	162,401

BALANCE, December 31, 2018	12,507,213	$	125	—	$	—	$	230,888	$	(77,191)	$	153,822
Share based compensation							53				53
Repurchase of common shares	(40,110)	—					(414)				(414)
Dividends declared(1)									(4,239)		(4,239)
Net income (loss)									8,928		8,928
BALANCE, March 31, 2019	12,467,103	125		—	—		230,527		(72,502)		158,150
Share based compensation							53				53
Dividends declared(1)									(3,491)		(3,491)
Net income (loss)									(107)		(107)
BALANCE, June 30, 2019	12,467,103	$	125	—	$	—	$	230,580	$	(76,100)	$	154,605
Issuance of restricted shares	15,024	—		—	—		—				—
Share based compensation							55				55
Repurchase of common shares	(33,706)	(1)		—	—		(332)		—		(333)
Dividends declared(1)									(3,485)		(3,485)
Net income (loss)									3,729		3,729
BALANCE, September 30, 2019	12,488,421	$	124	—	$	—	$	230,303	$	(75,856)	$	154,571


☒			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934


☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934


	Nine-Month Period Ended September 30,
	2020		2019
(In thousands)
Cash flows provided by (used in) operating activities:
Net income (loss)	$	12,718	$	12,550
Reconciliation of net income (loss) to net cash provided by (used in) operating activities:
Net realized (gains) losses on securities	(11,255)		(1,308)
Change in net unrealized (gains) losses on securities	(17,883)		(45,540)
Net realized (gains) losses on financial derivatives	15,599		22,723
Change in net unrealized (gains) losses on financial derivatives	8,293		14,761
Amortization of premiums and accretion of discounts, net	11,131		10,065
Share based compensation	178		161
(Increase) decrease in assets:
Interest receivable	454		480
Other assets	224		(96)
Increase (decrease) in liabilities:
Accrued expenses	489		(157)
Interest payable	(3,274)		(581)
Management fees payable to affiliate	6		3
Net cash provided by (used in) operating activities	16,680		13,061
Cash flows provided by (used in) investing activities:
Purchases of securities	(855,117)		(1,308,549)
Proceeds from sale of securities	950,772		1,400,018
Principal repayments of mortgage-backed securities	192,149		146,230
Proceeds from investments sold short	245,699		513,084
Repurchase of investments sold short	(230,529)		(476,800)
Proceeds from disposition of financial derivatives	18,570		13,928
Purchase of financial derivatives	(34,404)		(36,634)
Payments made on reverse repurchase agreements	(4,302,533)		(5,158,083)
Proceeds from reverse repurchase agreements	4,284,605		5,115,454
Due from brokers, net	(8,305)		(14,969)
Due to brokers, net	643		(182)
Net cash provided by (used in) investing activities	261,550		193,497


ELLINGTON RESIDENTIAL MORTGAGE REIT
CONSOLIDATED STATEMENT OF CASH FLOWS (CONTINUED)
(UNAUDITED)


	Nine-Month Period Ended September 30,
	2020		2019
Cash flows provided by (used in) financing activities:
Repurchase of common shares	(986)		(747)
Dividends paid	(10,387)		(11,982)
Borrowings under repurchase agreements	1,932,531		1,256,876
Repayments of repurchase agreements	(2,167,163)		(1,400,453)
Due from brokers, net	(6,383)		(17,723)
Due to brokers, net	—		(926)
Cash provided by (used in) financing activities	(252,388)		(174,955)
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS	25,842		31,603
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD	35,351		18,585
CASH AND CASH EQUIVALENTS, END OF PERIOD	$	61,193	$	50,188
Supplemental disclosure of cash flow information:
Interest paid	$	12,524	$	28,619
Dividends payable	3,454		3,485


($ in thousands)							Gross Unrealized						Weighted Average
	Current Principal		Unamortized Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon(1)	Yield	Life (Years)(2)
Agency RMBS:
15-year fixed-rate mortgages	$	80,451	$	2,655	$	83,106	$	3,145	$	(38)	$	86,213	3.38%	2.25%	3.41
20-year fixed-rate mortgages	36,481		1,276		37,757		176		—		37,933		2.16%	1.40%	5.13
30-year fixed-rate mortgages	781,388		36,790		818,178		36,782		(517)		854,443		3.91%	2.53%	4.14
Adjustable rate mortgages	22,518		493		23,011		579		—		23,590		3.51%	2.38%	2.99
Reverse mortgages	67,233		4,048		71,281		2,965		—		74,246		3.93%	2.39%	4.92
Interest only securities	n/a		n/a		14,640		333		(2,358)		12,615		3.26%	4.29%	3.39
Total Agency RMBS	988,071		45,262		1,047,973		43,980		(2,913)		1,089,040		3.72%	2.48%	4.04
Non-Agency RMBS	32,062		(10,069)		21,993		2,587		—		24,580		1.81%	6.94%	6.94
Total RMBS	$	1,020,133	$	35,193	$	1,069,966	$	46,567	$	(2,913)	$	1,113,620	3.67%	2.57%	4.12


($ in thousands)	Agency RMBS						Agency Interest Only Securities						Non-Agency RMBS
Estimated Weighted Average Life(1)	Fair Value		Amortized Cost		Weighted Average Coupon(2)		Fair Value		Amortized Cost		Weighted Average Coupon(2)		Fair Value		Amortized Cost		Weighted Average Coupon(2)
Less than three years	$	170,537	$	166,842	3.76	%	$	3,835	$	4,691	4.71	%	$	3,786	$	3,543	4.16	%
Greater than three years and less than seven years	856,988		820,031		3.83	%	8,683		9,849		2.76	%	9,605		7,958		0.94	%
Greater than seven years and less than eleven years	30,980		29,868		3.09	%	97		100		0.24	%	8,168		7,544		0.77	%
Greater than eleven years	17,920		16,592		3.62	%	—		—		—	%	3,021		2,948		4.68	%
Total	$	1,076,425	$	1,033,333	3.79	%	$	12,615	$	14,640	3.26	%	$	24,580	$	21,993	1.81	%


	Three-Month Period Ended September 30, 2020						Nine-Month Period Ended September 30, 2020
($ in thousands)	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	10,638	$	(3,447)	$	7,191	$	35,149	$	(15,622)	$	19,527
Non-Agency RMBS	186		380		566		437		761		1,198
Total	$	10,824	$	(3,067)	$	7,757	$	35,586	$	(14,861)	$	20,725


(In thousands)
Description	Level 1		Level 2		Level 3		Total
Assets:
Mortgage-backed securities, at fair value:
Agency RMBS:
15-year fixed-rate mortgages	$	—	$	86,213	$	—	$	86,213
20-year fixed-rate mortgages	—		37,933		—		37,933
30-year fixed-rate mortgages	—		854,443		—		854,443
Adjustable rate mortgages	—		23,590		—		23,590
Reverse mortgages	—		74,246		—		74,246
Interest only securities	—		7,880		4,735		12,615
Non-Agency RMBS	—		10,335		14,245		24,580
Mortgage-backed securities, at fair value	—		1,094,640		18,980		1,113,620
Other investments, at fair value:
Preferred equity securities	316		—		—		316
U.S. Treasury securities	—		4,974		—		4,974
Total other investments, at fair value	316		4,974		—		5,290
Financial derivatives–assets, at fair value:
TBAs	—		1,028		—		1,028
Interest rate swaps	—		710		—		710
Total financial derivatives–assets, at fair value	—		1,738		—		1,738
Total mortgage-backed securities, other investments, and financial derivatives–assets, at fair value	$	316	$	1,101,352	$	18,980	$	1,120,648
Liabilities:
U.S. Treasury securities sold short, at fair value	$	—	$	(19,986)	$	—	$	(19,986)
Financial derivatives–liabilities, at fair value:
TBAs	—		(665)		—		(665)
Interest rate swaps	—		(6,895)		—		(6,895)
Futures	(356)		—		—		(356)
Total financial derivatives–liabilities, at fair value	(356)		(7,560)		—		(7,916)
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value	$	(356)	$	(27,546)	$	—	$	(27,902)


					Range
Description	Fair Value		Valuation Technique	Significant Unobservable Input	Min			Max			Weighted Average(1)
	(In thousands)
Non-Agency RMBS	$	13,106	Market quotes	Non-Binding Third-Party Valuation	$	42.04		$	89.62		$	81.11
Agency RMBS–Interest Only Securities	612		Market quotes	Non-Binding Third-Party Valuation	7.93			13.32			11.31
Non-Agency RMBS	1,139		Discounted Cash Flows	Yield	1.3		%	23.4		%	12.5		%
				Projected Collateral Prepayments	37.3		%	57.5		%	50.0		%
				Projected Collateral Losses	3.2		%	7.2		%	5.0		%
				Projected Collateral Recoveries	9.1		%	25.0		%	15.1		%
				Projected Collateral Scheduled Amortization	26.6		%	32.3		%	29.9		%
											100.0		%
Agency RMBS–Interest Only Securities	4,123		Option Adjusted Spread ("OAS")	LIBOR OAS (2)(3)	0			1,246			587
				Projected Collateral Prepayments	26.2		%	93.7		%	80.6		%
				Projected Collateral Scheduled Amortization	6.3		%	73.8		%	19.4		%
											100.0		%


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2022	$	119,347	$	(2,274)	0.97	%	0.25	%	2.04
2023	77,591		(1,730)		0.96		0.25		2.70
2027	60,448		(467)		0.57		0.24		6.82
2042	10,303		(1,626)		1.81		0.25		22.18
2049	3,633		(760)		1.89		0.26		29.08
2050	792		45		0.90		0.27		29.79
Total	$	272,114	$	(6,812)	0.92	%	0.25	%	4.49


($ in thousands)							Gross Unrealized						Weighted Average
	Current Principal		Unamortized Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon(1)	Yield	Life (Years)(2)
Agency RMBS:
15-year fixed-rate mortgages	$	173,350	$	3,498	$	176,848	$	4,424	$	(41)	$	181,231	3.45%	2.89%	4.06
20-year fixed-rate mortgages	1,276		80		1,356		29		—		1,385		5.00%	3.34%	5.09
30-year fixed-rate mortgages	996,451		45,099		1,041,550		19,676		(2,348)		1,058,878		4.18%	3.12%	6.71
Adjustable rate mortgages	32,122		927		33,049		264		(58)		33,255		3.79%	2.41%	4.20
Reverse mortgages	91,560		6,847		98,407		1,549		(22)		99,934		4.53%	2.73%	5.66
Interest only securities	n/a		n/a		17,795		648		(199)		18,244		3.22%	9.11%	3.97
Total Agency RMBS	1,294,759		56,451		1,369,005		26,590		(2,668)		1,392,927		3.99%	3.12%	5.92
Non-Agency RMBS	10,947		(4,023)		6,924		1,928		(1)		8,851		3.73%	13.48%	5.93
Total RMBS	$	1,305,706	$	52,428	$	1,375,929	$	28,518	$	(2,669)	$	1,401,778	3.98%	3.17%	5.92


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2020	$	86,000	$	148	1.60	%	1.97	%	0.32
2021	161,581		(134)		1.79		1.92		1.55
2022	74,370		292		1.54		1.91		2.92
2023	84,373		(1,223)		1.97		1.91		3.61
2024	19,073		246		1.46		2.04		4.76
2025	106,812		1,129		1.56		1.92		5.91
2026	28,502		402		1.57		1.91		6.92
2027	35,550		547		1.61		1.92		7.91
2029	170		2		1.72		1.90		9.89
2042	10,303		501		1.81		1.91		22.93
2048	630		(157)		3.18		1.92		28.93
2049	3,633		158		1.89		1.94		29.84
Total	$	610,997	$	1,911	1.69	%	1.93	%	3.87


Description	Notional Amount		Fair Value		Remaining Months to Expiration
($ in thousands)
Long Contracts:
U.S. Treasury Futures	$	6,600	$	(7)	2.73
Short Contracts:
U.S. Treasury Futures	(120,500)		(349)		2.87
Total, net	$	(113,900)	$	(356)	2.88


Description	Notional Amount		Fair Value		Remaining Months to Expiration
($ in thousands)
Long Contracts:
U.S. Treasury Futures	$	4,100	$	(96)	2.84
Short Contracts:
U.S. Treasury Futures	(37,500)		434		2.72
Total, net	$	(33,400)	$	338	2.71


	September 30, 2020								December 31, 2019
TBA Securities	Notional Amount(1)		Cost Basis(2)		Market Value(3)		Net Carrying Value(4)		Notional Amount (1)		Cost Basis(2)		Market Value(3)		Net Carrying Value(4)
(In thousands)
Purchase contracts:
Assets	$	181,290	$	188,460	$	189,014	$	554	$	26,877	$	27,087	$	27,135	$	48
Liabilities	178,140		186,841		186,481		(360)		43,570		45,629		45,558		(71)
	359,430		375,301		375,495		194		70,447		72,716		72,693		(23)
Sale contracts:
Assets	(399,878)		(425,151)		(424,677)		474		(82,520)		(85,124)		(85,050)		74
Liabilities	(151,975)		(159,465)		(159,770)		(305)		(164,435)		(170,779)		(171,012)		(233)
	(551,853)		(584,616)		(584,447)		169		(246,955)		(255,903)		(256,062)		(159)
Total TBA securities, net	$	(192,423)	$	(209,315)	$	(208,952)	$	363	$	(176,508)	$	(183,187)	$	(183,369)	$	(182)


Derivative Type	Nine-Month Period Ended September 30, 2020		Year Ended December 31, 2019
	(In thousands)
Interest rate swaps	$	422,847	$	651,793
TBAs	593,533		474,555
Futures	95,600		114,277
Options	—		1,492


	Three-Month Period Ended September 30, 2020
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(271)	$	(3,077)	$	(3,348)	$	(148)	$	4,103	$	3,955
TBAs			3,213		3,213				(1,172)		(1,172)
Futures			(513)		(513)				20		20
Total	$	(271)	$	(377)	$	(648)	$	(148)	$	2,951	$	2,803


	Nine-Month Period Ended September 30, 2020
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(161)	$	(9,360)	$	(9,521)	$	(401)	$	(7,743)	$	(8,144)
TBAs			528		528				545		545
Futures			(6,606)		(6,606)				(694)		(694)
Total	$	(161)	$	(15,438)	$	(15,599)	$	(401)	$	(7,892)	$	(8,293)


Description	Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1)		Financial Instruments Available for Offset		Financial Instruments Transferred or Pledged as Collateral(2)(3)		Cash Collateral (Received) Pledged(2)(3)		Net Amount
(In thousands)
Assets:
Financial derivatives–assets	$	1,738	$	(1,584)	$	—	$	—	$	154
Reverse repurchase agreements	20,013		(20,013)		—		—		—
Liabilities:
Financial derivatives–liabilities	(7,916)		1,584		—		6,250		(82)
Repurchase agreements	(1,061,640)		20,013		1,010,320		31,307		—


	Three-Month Period Ended September 30,				Nine-Month Period Ended September 30,
(In thousands except for share amounts)	2020		2019		2020		2019
Numerator:
Net income (loss)	$	8,118	$	3,729	$	12,718	$	12,550
Denominator:
Basic and diluted weighted average shares outstanding	12,323,044		12,459,478		12,359,007		12,464,800
Basic and diluted earnings per share	$	0.66	$	0.30	$	1.03	$	1.01


	Notional Amount of Long TBAs		Notional Amount of Short TBAs		Fair Value of Mortgage-backed Securities		Net Short TBA Underlying Market Value(1)		Net Mortgage Assets-to-Equity Ratio
($ In thousands)
September 30, 2020	$	359,430	$	(551,853)	$	1,113,620	$	(208,952)	5.6:1
June 30, 2020	319,280		(529,888)		1,154,047		(229,102)		5.9:1
March 31, 2020	53,800		(303,388)		1,050,521		(266,536)		5.6:1
December 31, 2019	70,447		(246,955)		1,401,778		(183,369)		7.6:1
September 30, 2019	106,465		(301,223)		1,394,568		(202,014)		7.7:1


	Three-Month Period Ended
	September 30, 2019	June 30, 2020	March 31, 2020	December 31, 2019	September 30, 2019
Three-Month Constant Prepayment Rates	21.4%	18.0%	15.4%	14.9%	14.5%


		September 30, 2020					June 30, 2020(1)
	Coupon (%)	Current Principal		Fair Value		Weighted Average Loan Age (Months)	Current Principal		Fair Value		Weighted Average Loan Age (Months)
		(In thousands)					(In thousands)
Fixed-rate Agency RMBS:
15-year fixed-rate mortgages:
	2.50–2.99	$	14,513	$	15,319	44	$	1,700	$	1,717	15
	3.00–3.49	14,654		15,513		34	8,661		9,203		56
	3.50–3.99	27,347		29,501		47	28,144		30,171		46
	4.00–4.49	23,318		25,230		30	25,284		27,340		28
	4.50–4.99	619		650		132	702		738		129
Total 15-year fixed-rate mortgages		80,451		86,213		40	64,491		69,169		40
20-year fixed-rate mortgages:
	2.50–2.99	32,862		34,034		1	—		—		—
	3.00–3.49	2,552		2,706		7	—		—		—
	5.00–5.49	1,067		1,193		25	1,077		1,191		22
Total 20-year fixed-rate mortgages		36,481		37,933		2	1,077		1,191		22
30-year fixed-rate mortgages:
	2.50–2.99	7,682		8,159		3	5,100		5,394		1
	3.00–3.49	89,218		95,126		26	193,546		205,816		9
	3.50–3.99	257,745		280,207		49	172,848		188,847		54
	4.00–4.49	196,690		215,868		55	185,495		203,089		54
	4.50–4.99	162,685		179,597		45	177,959		195,351		42
	5.00–5.49	56,075		62,859		50	76,871		85,867		42
	5.50–5.99	8,250		9,286		45	9,071		10,158		44
	6.00–6.49	3,043		3,341		24	4,960		5,481		21

Total 30-year fixed-rate mortgages		781,388		854,443		46	825,850		900,003		39
Total fixed-rate Agency RMBS		$	898,320	$	978,589	44	$	891,418	$	970,363	39


	Three-Month Period Ended September 30,				Nine-Month Period Ended September 30,
(In thousands except for per share amounts)	2020		2019		2020		2019
Interest Income (Expense)
Interest income	$	7,776	$	10,485	$	21,146	$	35,237
Interest expense	(819)		(8,820)		(9,249)		(28,038)
Net interest income	6,957		1,665		11,897		7,199
Expenses
Management fees to affiliate	611		582		1,731		1,759
Other operating expenses	795		763		2,694		2,254
Total expenses	1,406		1,345		4,425		4,013
Other Income (Loss)
Net realized and change in net unrealized gains (losses) on securities	412		10,622		29,138		46,848
Net realized and change in net unrealized gains (losses) on financial derivatives	2,155		(7,213)		(23,892)		(37,484)
Total Other Income (Loss)	2,567		3,409		5,246		9,364
Net Income (Loss)	$	8,118	$	3,729	$	12,718	$	12,550
Net Income (Loss) Per Common Share	$	0.66	$	0.30	$	1.03	$	1.01


	Agency(1)						Non-Agency(1)						Total(1)
(In thousands)	Interest Income		Average Holdings		Yield		Interest Income		Average Holdings		Yield		Interest Income		Average Holdings		Yield
Three-month period ended September 30, 2020	$	7,191	$	1,064,940	2.70	%	$	566	$	33,472	6.76	%	$	7,757	$	1,098,412	2.82	%
Three-month period ended September 30, 2019	$	9,844	$	1,437,981	2.74	%	$	191	$	7,136	10.70	%	$	10,035	$	1,445,117	2.78	%


	Repurchase Agreements						Interest Rate Swaps(2)				Short U.S. Treasury Securities(2)				Total(2)
	Average Borrowed Funds		Interest Expense		Average Cost of Funds		Net periodic expense paid or payable		Average Cost of Funds		Interest expense		Average Cost of Funds		Interest and net periodic expense paid or payable		Average Cost of Funds
(In thousands)
Three-month period ended September 30, 2020	$	1,030,402	$	809	0.31	%	$	409	0.16	%	$	—	—	%	$	1,218	0.47	%
Three-month period ended September 30, 2019	$	1,369,722	$	8,641	2.50	%	$	(526)	(0.15)	%	$	176	0.05	%	$	8,291	2.40	%


Quarter Ended	Borrowings Outstanding at Quarter End		Average Borrowings Outstanding		Maximum Borrowings Outstanding at Any Month End
	(In thousands)
September 30, 2020	$	1,061,640	$	1,030,402	$	1,096,065
June 30, 2020	909,821		941,242		920,712
March 31, 2020(1)	1,109,342		1,281,507		1,308,377
December 31, 2019	1,296,272		1,301,270		1,319,839
September 30, 2019	1,337,984		1,369,722		1,374,080
June 30, 2019	1,442,043		1,412,434		1,442,043
March 31, 2019	1,427,147		1,422,333		1,427,147
December 31, 2018	1,481,561		1,456,905		1,481,561
September 30, 2018	1,500,632		1,506,855		1,515,617
June 30, 2018	1,537,216		1,530,734		1,537,216
March 31, 2018	1,589,319		1,588,515		1,590,790
December 31, 2017	1,597,206		1,614,096		1,643,683


(In thousands)	Estimated Change for a Decrease in Interest Rates by								Estimated Change for an Increase in Interest Rates by
	50 Basis Points				100 Basis Points				50 Basis Points				100 Basis Points
Category of Instruments	Market Value		% of Total Equity		Market Value		% of Total Equity		Market Value		% of Total Equity		Market Value		% of Total Equity
Agency RMBS, excluding TBAs	$	8,476	5.22	%	$	17,134	10.55	%	$	(8,294)	(5.10)	%	$	(16,407)	(10.10)	%
TBAs	(780)		(0.48)	%	(3,674)		(2.26)	%	(1,334)		(0.82)	%	(4,782)		(2.94)	%
Non-Agency RMBS	655		0.40	%	1,390		0.85	%	(574)		(0.35)	%	(1,067)		(0.66)	%
U.S. Treasury Securities, Interest Rate Swaps, and Futures	(9,167)		(5.64)	%	(18,694)		(11.51)	%	8,806		5.42	%	17,252		10.62	%
Corporate Securities and Derivatives on Corporate Securities	—		—	%	—		—	%	—		—	%	—		—	%
Repurchase and Reverse Repurchase Agreements	(446)		(0.28)	%	(456)		(0.28)	%	820		0.50	%	1,639		1.01	%
Total	$	(1,262)	(0.78)	%	$	(4,300)	(2.65)	%	$	(576)	(0.35)	%	$	(3,365)	(2.07)	%


Exhibit						Description
31.1						Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002

31.2						Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002

32.1*						Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002

32.2*						Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002

101.INS						Inline XBRL Instance Document

101.SCH						Inline XBRL Taxonomy Extension Schema

101.CAL						Inline XBRL Taxonomy Extension Calculation Linkbase

101.DEF						Inline XBRL Taxonomy Extension Definition Linkbase

101.LAB						Inline XBRL Taxonomy Extension Label Linkbase

101.PRE						Inline XBRL Taxonomy Extension Presentation Linkbase