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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549 
_______________________________________________ 
FORM 10-Q 
_______________________________________________
(Mark One)
ý
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2018
OR 
o
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from                  to                 
Commission file number 001-34385
ivrmainimageinblacka05.jpg

(Exact Name of Registrant as Specified in Its Charter)
_______________________________________________
Maryland
 
26-2749336
(State or Other Jurisdiction of
Incorporation or Organization)
 
(I.R.S. Employer
Identification No.)
 
 
1555 Peachtree Street, N.E., Suite 1800
Atlanta, Georgia
 
30309
(Address of Principal Executive Offices)
 
(Zip Code)
(404) 892-0896
(Registrant’s Telephone Number, Including Area Code) 
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  ý    No  o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  ý    No  o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one): 
Large Accelerated filer
 
ý
 
  
Accelerated filer
 
o
Non-Accelerated filer
 
o
(Do not check if a smaller reporting company)
  
Smaller reporting company
 
o
 
 
 
 
 
Emerging growth company
 
o
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes  o    No  ý
As of August 3, 2018, there were 111,643,188 outstanding shares of common stock of Invesco Mortgage Capital Inc.

Table of Contents


INVESCO MORTGAGE CAPITAL INC.
TABLE OF CONTENTS
 
 
 
Page
 
 
 
Item 1.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Item 2.
 
 
 
Item 3.
 
 
 
Item 4.
 
 
 
 
 
Item 1.
 
 
 
Item 1A.
 
 
 
Item 2.
 
 
 
Item 3.
 
 
 
Item 4.
 
 
 
Item 5.
 
 
 
Item 6.

Table of Contents


PART I
ITEM 1.
FINANCIAL STATEMENTS
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED BALANCE SHEETS
(Unaudited)
  
As of
 $ in thousands except share amounts
June 30, 2018
 
December 31, 2017
ASSETS
 
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,047,937 and $17,560,811, respectively)
17,583,187

 
18,190,754

Commercial loans, held-for-investment
127,607

 
191,808

Cash and cash equivalents
70,254

 
88,381

Restricted cash
—

 
620

Due from counterparties
7,255

 
—

Investment related receivable
70,839

 
73,217

Derivative assets, at fair value
47,509

 
6,896

Other assets
108,124

 
105,580

Total assets
18,014,775

 
18,657,256

LIABILITIES AND EQUITY
 
 
 
Liabilities:
 
 
 
Repurchase agreements
13,702,321

 
14,080,801

Secured loans
1,650,000

 
1,650,000

Exchangeable senior notes, net
—

 
143,231

Derivative liabilities, at fair value
6,071

 
32,765

Dividends and distributions payable
50,201

 
50,193

Investment related payable
23,562

 
5,191

Accrued interest payable
18,886

 
17,845

Collateral held payable
39,748

 
7,327

Accounts payable and accrued expenses
1,705

 
2,200

Due to affiliate
10,558

 
10,825

Total liabilities
15,503,052

 
16,000,378

Commitments and contingencies (See Note 16):

 

Equity:
 
 
 
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized:
 
 
 
7.75% Series A Cumulative Redeemable Preferred Stock: 5,600,000 shares issued and outstanding ($140,000 aggregate liquidation preference)
135,356

 
135,356

7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock: 6,200,000 shares issued and outstanding ($155,000 aggregate liquidation preference)
149,860

 
149,860

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

 
278,108

Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 111,643,188 and 111,624,159 shares issued and outstanding, respectively
1,116

 
1,116

Additional paid in capital
2,384,902

 
2,384,356

Accumulated other comprehensive income
89,461

 
261,029

Retained earnings (distributions in excess of earnings)
(551,632
)
 
(579,334
)
Total stockholders’ equity
2,487,171

 
2,630,491

Non-controlling interest
24,552

 
26,387

Total equity
2,511,723

 
2,656,878

Total liabilities and equity
18,014,775

 
18,657,256

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

 
1
 

Table of Contents


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

 

 

 

Mortgage-backed and credit risk transfer securities
147,548

 
121,027

 
296,551

 
239,900

Commercial loans
4,051

 
6,021

 
8,273

 
11,785

Total interest income
151,599

 
127,048

 
304,824

 
251,685

Interest Expense
 
 
 
 
 
 
 
Repurchase agreements
69,389

 
36,072

 
128,974

 
66,019

Secured loans
8,471

 
4,535

 
15,398

 
7,948

Exchangeable senior notes
—

 
3,504

 
1,621

 
8,512

Total interest expense
77,860

 
44,111

 
145,993

 
82,479

Net interest income
73,739

 
82,937

 
158,831

 
169,206

Other Income (loss)

 

 

 

Gain (loss) on investments, net
(36,377
)
 
11,175

 
(196,747
)
 
9,322

Equity in earnings (losses) of unconsolidated ventures
798

 
(154
)
 
1,694

 
(1,688
)
Gain (loss) on derivative instruments, net
67,169

 
(53,513
)
 
200,536

 
(48,051
)
Realized and unrealized credit derivative income (loss), net
735

 
21,403

 
3,900

 
41,358

Net loss on extinguishment of debt
—

 
(526
)
 
(26
)
 
(5,237
)
Other investment income (loss), net
(2,160
)
 
2,533

 
942

 
3,862

Total other income (loss)
30,165

 
(19,082
)
 
10,299

 
(434
)
Expenses
 
 
 
 
 
 
 
Management fee – related party
10,102

 
9,027

 
20,323

 
17,828

General and administrative
1,525

 
1,608

 
3,281

 
3,692

Total expenses
11,627

 
10,635

 
23,604

 
21,520

Net income
92,277

 
53,220

 
145,526

 
147,252

Net income attributable to non-controlling interest
1,163

 
670

 
1,834

 
1,856

Net income attributable to Invesco Mortgage Capital Inc.
91,114

 
52,550

 
143,692

 
145,396

Dividends to preferred stockholders
11,106

 
5,716

 
22,213

 
11,432

Net income attributable to common stockholders
80,008

 
46,834

 
121,479

 
133,964

Earnings per share:
 
 


 


 


Net income attributable to common stockholders
 
 

 

 

Basic
0.72

 
0.42

 
1.09

 
1.20

Diluted
0.72

 
0.41

 
1.08

 
1.15

Dividends declared per common share
0.42

 
0.40

 
0.84

 
0.80

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

 
2
 

Table of Contents


INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(Unaudited)
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
$ in thousands
2018
 
2017
 
2018
 
2017
Net income
92,277

 
53,220

 
145,526

 
147,252

Other comprehensive income (loss):
 
 
 
 
 
 
 
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net
(47,929
)
 
39,633

 
(180,246
)
 
55,922

Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net
9,889

 
651

 
19,126

 
1,501

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense
(6,898
)
 
(6,369
)
 
(13,437
)
 
(12,667
)
Currency translation adjustments on investment in unconsolidated venture
486

 
139

 
798

 
(476
)
Total other comprehensive income (loss)
(44,452
)
 
34,054

 
(173,759
)
 
44,280

Comprehensive income (loss)
47,825

 
87,274

 
(28,233
)
 
191,532

Less: Comprehensive (income) loss attributable to non-controlling interest
(602
)
 
(1,099
)
 
357

 
(2,414
)
Less: Dividends to preferred stockholders
(11,106
)
 
(5,716
)
 
(22,213
)
 
(11,432
)
Comprehensive income (loss) attributable to common stockholders
36,117

 
80,459

 
(50,089
)
 
177,686


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


 
3
 

Table of Contents


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

 
135,356

 
6,200,000

 
149,860

 
11,500,000

 
278,108

 
111,624,159

 
1,116

 
2,384,356

 
261,029

 
(579,334
)
 
2,630,491

 
26,387

 
2,656,878

Net income
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
143,692

 
143,692

 
1,834

 
145,526

Other comprehensive income (loss)
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(171,568
)
 
—

 
(171,568
)
 
(2,191
)
 
(173,759
)
Stock awards
—

 
—

 
—

 
—

 
—

 
—

 
19,029

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Common stock dividends
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(93,777
)
 
(93,777
)
 
—

 
(93,777
)
Common unit dividends
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(1,197
)
 
(1,197
)
Preferred stock dividends
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(22,213
)
 
(22,213
)
 
—

 
(22,213
)
Amortization of equity-based compensation
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
262

 
—

 
—

 
262

 
3

 
265

Rebalancing of ownership percentage of non-controlling interest
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
284

 
—

 
—

 
284

 
(284
)
 
—

Balance at June 30, 2018
5,600,000

 
135,356

 
6,200,000

 
149,860

 
11,500,000

 
278,108

 
111,643,188

 
1,116

 
2,384,902

 
89,461

 
(551,632
)
 
2,487,171

 
24,552

 
2,511,723

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


 
4
 

Table of Contents


INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
  
Six Months Ended June 30,
$ in thousands
2018
 
2017
Cash Flows from Operating Activities
 
 
 
Net income
145,526

 
147,252

Adjustments to reconcile net income to net cash provided by operating activities:
 
 
 
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net
25,657

 
37,534

Realized and unrealized (gain) loss on derivative instruments, net
(217,159
)
 
5,191

Realized and unrealized (gain) loss on credit derivatives, net
7,371

 
(29,707
)
(Gain) loss on investments, net
196,747

 
(9,322
)
(Income) loss from investments in unconsolidated ventures in excess of distributions received
(1,150
)
 
2,106

Other amortization
(13,052
)
 
(11,656
)
Net loss on extinguishment of debt
26

 
5,237

(Gain) loss on foreign currency transactions, net
1,099

 
(2,229
)
Changes in operating assets and liabilities:
 
 
 
(Increase) decrease in operating assets
2,267

 
(2,497
)
Increase (decrease) in operating liabilities
435

 
(3,016
)
Net cash provided by operating activities
147,767

 
138,893

Cash Flows from Investing Activities
 
 
 
Purchase of mortgage-backed and credit risk transfer securities
(1,213,558
)
 
(2,533,663
)
(Contributions to) distributions from investments in unconsolidated ventures, net
(1,077
)
 
7,408

Change in other assets
—

 
(3,457
)
Principal payments from mortgage-backed and credit risk transfer securities
1,061,392

 
1,081,479

Proceeds from sale of mortgage-backed and credit risk transfer securities
387,726

 
572,616

Proceeds from/ (payments for) settlement or termination of forwards, swaps and futures, net
149,852

 
(25,311
)
Net change in due from counterparties and collateral held payable
25,165

 
1,771

Principal payments from commercial loans held-for-investment
64,814

 
—

Origination and advances of commercial loans, net of origination fees
(1,677
)
 
(3,170
)
Net cash provided by (used in) investing activities
472,637

 
(902,327
)
Cash Flows from Financing Activities
 
 
 
Due from counterparties - secured loans
—

 
(1,246
)
Proceeds from repurchase agreements
72,281,324

 
63,154,822

Principal repayments of repurchase agreements
(72,659,696
)
 
(62,200,623
)
Extinguishment of exchangeable senior notes
(143,433
)
 
(185,386
)
Payments of deferred costs
(167
)
 
—

Payments of dividends and distributions
(117,179
)
 
(101,852
)
Net cash (used in) provided by financing activities
(639,151
)
 
665,715

Net change in cash, cash equivalents and restricted cash
(18,747
)
 
(97,719
)
Cash, cash equivalents and restricted cash, beginning of period
89,001

 
161,788

Cash, cash equivalents and restricted cash, end of period
70,254

 
64,069

Supplement Disclosure of Cash Flow Information
 
 
 
Interest paid
158,027

 
97,003

Non-cash Investing and Financing Activities Information
 
 
 
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities
(161,120
)
 
57,423

Dividends and distributions declared not paid
50,201

 
50,930

Net change in investment related payable (receivable)
(18,871
)
 
(163,489
)
Net change in repurchase agreements, not settled
(108
)
 
4,081

Change in due from counterparties and collateral held payable
—

 
86,450

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

 
5
 

Table of Contents


INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
Note 1 – Organization and Business Operations
Invesco Mortgage Capital Inc. (the "Company", "we") is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities and mortgage loans. We are externally managed and advised by Invesco Advisers, Inc. (our "Manager"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. ("Invesco"), a leading independent global investment management firm. We conduct our business through IAS Operating Partnership LP (the "Operating Partnership"), as its sole general partner. As of June 30, 2018, we owned 98.7% of the Operating Partnership, and a wholly-owned subsidiary of Invesco owned the remaining 1.3%. We have one operating segment.
We primarily invest in:
•
Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association, or a federally chartered corporation such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation (collectively "Agency RMBS");
•
Commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association or a federally chartered corporation such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation (collectively "Agency CMBS");
•
RMBS that are not guaranteed by a U.S. government agency ("non-Agency RMBS");
•
CMBS that are not guaranteed by a U.S. government agency (“non-Agency CMBS”);
•
Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT");
•
Residential and commercial mortgage loans; and
•
Other real estate-related financing agreements.
We elected to be taxed as a real estate investment trust ("REIT") for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986 commencing with our taxable year ended December 31, 2009. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits exclusion from the "Investment Company" definition under the Investment Company Act of 1940.
Note 2 – Summary of Significant Accounting Policies
Basis of Presentation and Consolidation
Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2017.
The condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented.
Use of Estimates
The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities, allowance for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates.

 
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Table of Contents


Significant Accounting Policies
There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2017, other than the significant accounting policy disclosed below.
Restricted Cash
Restricted cash represents cash posted with the Federal Home Loan Bank of Indianapolis ("FHLBI") as collateral for secured loans and cash posted with counterparties as collateral for various derivative instruments.  Cash held by counterparties as collateral is legally restricted and is not available for general corporate purposes.
Accounting Pronouncements Recently Adopted

Effective January 1, 2018, we adopted the accounting guidance that amends certain aspects of recognition, measurement, presentation, and disclosure of financial assets and liabilities. The standard requires that all equity investments, other than those accounted for as equity method investments, be measured at fair value with changes recognized in income. As of January 1, 2018, we had three types of equity investments: investments in unconsolidated ventures, an investment in an exchange traded fund, and an investment in FHLBI stock. Our investments in unconsolidated ventures are accounted for as equity method investments, and our investment in an exchange-traded fund is measured at fair value with changes recognized in income. While the standard eliminates the cost method for equity investments without readily determinable fair values, it does allow an election to record equity investments without readily determinable fair values at cost, less impairment, and plus or minus adjustments for observable price changes. We have elected to record our investment in FHLBI stock at cost, less impairment. As such, the adoption of this accounting guidance did not impact our financial condition or results of operations. The standard also amends certain disclosure requirements for financial instruments. Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" for a tabular summary of the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type.
Effective January 1, 2018, we adopted the accounting guidance intended to reduce diversity in how restricted cash and certain transactions are classified in the statement of cash flows. The new guidance requires that the statement of cash flows explains the difference during the period in the total of cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents. We adopted the accounting standard on a retrospective basis, which required us to restate our statement of cash flows for the six months ended June 30, 2017. The adoption resulted in a $15.5 million decrease in net cash provided by operating activities, $17.3 million decrease in net cash used in investing activities and $1.8 million decrease in net cash provided by financing activities. We included restricted cash of $620,000 as of December 31, 2017 in our reconciliation of cash, cash equivalents and restricted cash on the condensed consolidated statements of cash flows. We did not have any restricted cash as of June 30, 2018.
Pending Accounting Pronouncements
In June 2016, new accounting guidance was issued for reporting credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost, and require entities to record allowances for available-for-sale debt securities rather than reduce the carrying amount, as they do today under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans. We are required to adopt the new guidance in the first quarter of 2020 by recording a cumulative effect adjustment to retained earnings as of January 1, 2020. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements.
In June 2018, new accounting guidance was issued that aligns the measurement and classification for stock-based payments to non-employees with the guidance for stock-based payments to employees. Under the new guidance, the measurement of equity-classified non-employee awards will be fixed at the grant date. We are required to adopt the new guidance in the first quarter of 2019 by recording a cumulative effect adjustment to retained earnings as of January 1, 2019. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements.

 
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Note 3 - Variable Interest Entities ("VIEs")
Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2018 is presented in the table below.
$ in thousands
Carrying Amount
 
Company's Maximum Risk of Loss
Non-Agency CMBS
3,151,237

 
3,151,237

Non-Agency RMBS
1,220,076

 
1,220,076

Investments in unconsolidated ventures
28,997

 
28,997

Total
4,400,310

 
4,400,310

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

 
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Note 4 – Mortgage-Backed and Credit Risk Transfer Securities
The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of June 30, 2018 and December 31, 2017.
June 30, 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
$ in thousands
Principal/ Notional
Balance
 
Unamortized
Premium
(Discount)
 
Amortized
Cost
 
Unrealized
Gain/
(Loss), net
 
Fair
Value
 
Period-
end
Weighted
Average
Yield (1)
 
Quarterly
Weighted
Average
Yield (2)
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate
2,532,605

 
85,680

 
2,618,285

 
(95,101
)
 
2,523,184

 
2.32
%
 
1.99
%
30 year fixed-rate
7,602,464

 
284,277

 
7,886,741

 
(221,602
)
 
7,665,139

 
3.14
%
 
2.95
%
ARM*
215,178

 
1,300

 
216,478

 
(1,677
)
 
214,801

 
2.58
%
 
2.43
%
Hybrid ARM
1,566,739

 
23,143

 
1,589,882

 
(22,831
)
 
1,567,051

 
2.56
%
 
2.28
%
Total Agency RMBS pass-through
11,916,986

 
394,400

 
12,311,386

 
(341,211
)
 
11,970,175

 
2.88
%
 
2.65
%
Agency-CMO (3)
995,408

 
(745,565
)
 
249,843

 
(11,027
)
 
238,816

 
3.26
%
 
3.04
%
Agency CMBS
150,268

 
1,940

 
152,208

 
19

 
152,227

 
3.46
%
 
3.63
%
Non-Agency CMBS (4)
3,871,603

 
(700,887
)
 
3,170,716

 
(19,479
)
 
3,151,237

 
5.02
%
 
4.95
%
Non-Agency RMBS (5)(6)(7)
2,945,105

 
(1,851,911
)
 
1,093,194

 
126,882

 
1,220,076

 
7.09
%
 
7.12
%
GSE CRT (8)
744,545

 
22,913

 
767,458

 
83,198

 
850,656

 
2.81
%
 
3.37
%
Total
20,623,915

 
(2,879,110
)
 
17,744,805

 
(161,618
)
 
17,583,187

 
3.53
%
 
3.36
%
* Adjustable-rate mortgage ("ARM")
 
(1)
Period-end weighted average yield is based on amortized cost as of June 30, 2018 and incorporates future prepayment and loss assumptions.
(2)
Quarterly weighted average yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the average balance of the amortized cost of the investments. All yields are annualized.
(3)
Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 79.3% of principal/notional balance, 17.0% of amortized cost and 16.1% of fair value.
(4)
Non-Agency CMBS includes interest-only securities which represent 15.7% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value.
(5)
Non-Agency RMBS held by us is 47.6% variable rate, 46.0% fixed rate and 6.4% floating rate based on fair value.
(6)
Of the total discount in non-Agency RMBS, $190.7 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.
(7)
Non-Agency RMBS includes interest-only securities ("Non-Agency IO") which represent 55.7% of principal/notional balance, 2.4% of amortized cost and 2.3% 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.


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

 
119,120

 
3,036,427

 
(61,645
)
 
2,974,782

 
2.17
%
 
1.98
%
30 year fixed-rate
7,354,211

 
295,977

 
7,650,188

 
(9,648
)
 
7,640,540

 
3.09
%
 
2.90
%
ARM
238,486

 
1,609

 
240,095

 
1,105

 
241,200

 
2.60
%
 
2.36
%
Hybrid ARM
1,696,148

 
26,066

 
1,722,214

 
(2,829
)
 
1,719,385

 
2.54
%
 
2.25
%
Total Agency RMBS pass-through
12,206,152

 
442,772

 
12,648,924

 
(73,017
)
 
12,575,907

 
2.79
%
 
2.58
%
Agency-CMO (3)
1,226,539

 
(942,290
)
 
284,249

 
(10,306
)
 
273,943

 
2.91
%
 
2.74
%
Non-Agency CMBS (4)
3,879,775

 
(704,097
)
 
3,175,678

 
40,739

 
3,216,417

 
4.92
%
 
4.77
%
Non-Agency RMBS (5)(6)(7)
2,785,704

 
(1,661,683
)
 
1,124,021

 
133,587

 
1,257,608

 
7.19
%
 
7.18
%
GSE CRT (8)
757,183

 
24,306

 
781,489

 
85,390

 
866,879

 
2.45
%
 
2.79
%
Total
20,855,353

 
(2,840,992
)
 
18,014,361

 
176,393

 
18,190,754

 
3.42
%
 
3.27
%
 
(1)
Period-end weighted average yield is based on amortized cost as of December 31, 2017 and incorporates future prepayment and loss assumptions.
(2)
Quarterly weighted average yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the average balance of the amortized cost of the investments. All yields are annualized.
(3)
Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 81.8% of principal (notional) balance, 20.9% of amortized cost and 18.7% of fair value.
(4)
Non-Agency CMBS includes interest-only securities which represent 15.8% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value.
(5)
Non-Agency RMBS held by us is 52.2% variable rate, 37.8% fixed rate, and 10.0% floating rate based on fair value.
(6)
Of the total discount in non-Agency RMBS, $195.3 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.
(7)
Non-Agency RMBS includes interest-only securities, which represent 51.5% of principal/notional balance, 2.0% of amortized cost and 1.8% of fair value.
(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 June 30, 2018 and December 31, 2017. We have elected the fair value option for all of our RMBS IOs, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of June 30, 2018 and December 31, 2017, approximately 41% and 36%, respectively, of our MBS and GSE CRTs are accounted for under the fair value option.
 
June 30, 2018
 
December 31, 2017
$ in thousands
Available-for-sale Securities
 
Securities under Fair Value Option
 
Total
Fair Value
 
Available-for-sale Securities
 
Securities under Fair Value Option
 
Total
Fair Value
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate
2,170,906

 
352,278

 
2,523,184

 
2,842,440

 
132,342

 
2,974,782

30 year fixed-rate
2,216,755

 
5,448,384

 
7,665,139

 
2,467,871

 
5,172,669

 
7,640,540

ARM*
214,801

 
—

 
214,801

 
241,200

 
—

 
241,200

Hybrid ARM
1,535,502

 
31,549

 
1,567,051

 
1,719,385

 
—

 
1,719,385

Total RMBS Agency pass-through
6,137,964

 
5,832,211

 
11,970,175

 
7,270,896

 
5,305,011

 
12,575,907

Agency-CMO
182,293

 
56,523

 
238,816

 
203,351

 
70,592

 
273,943

Agency CMBS
—

 
152,227

 
152,227

 
—

 
—

 
—

Non-Agency CMBS
2,294,341

 
856,896

 
3,151,237

 
2,376,413

 
840,004

 
3,216,417

Non-Agency RMBS
1,075,371

 
144,705

 
1,220,076

 
1,236,178

 
21,430

 
1,257,608

GSE CRT
619,553

 
231,103

 
850,656

 
635,537

 
231,342

 
866,879

Total
10,309,522

 
7,273,665

 
17,583,187

 
11,722,375

 
6,468,379

 
18,190,754


 
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The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2018 and December 31, 2017 are presented below. 
 
June 30, 2018
$ in thousands
MBS and GSE CRT Securities
 
Interest-Only Securities
 
Total
Principal/ notional balance
17,743,581

 
2,880,334

 
20,623,915

Unamortized premium
471,489

 
—

 
471,489

Unamortized discount
(552,058
)
 
(2,798,541
)
 
(3,350,599
)
Gross unrealized gains (1)
253,314

 
7,010

 
260,324

Gross unrealized losses (1)
(415,201
)
 
(6,741
)
 
(421,942
)
Fair value
17,501,125

 
82,062

 
17,583,187

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

 
2,880,963

 
20,855,353

Unamortized premium
521,626

 
—

 
521,626

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

 
5,113

 
341,656

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

 
90,685

 
18,190,754

(1)
Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 2018 and 2017 is provided later in this Note 4.
The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of June 30, 2018 and December 31, 2017. 
$ in thousands
June 30, 2018
 
December 31, 2017
Less than one year
135,350

 
135,559

Greater than one year and less than five years
6,166,267

 
7,934,836

Greater than or equal to five years
11,281,570

 
10,120,359

Total
17,583,187

 
18,190,754



 
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The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at June 30, 2018 and December 31, 2017.
June 30, 2018
  
Less than 12 Months
 
12 Months or More
 
Total
$ in thousands
Fair
Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair
Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair
Value
 
Unrealized
Losses
 
Number
of
Securities
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate
385,423

 
(5,524
)
 
87

 
1,780,406

 
(92,961
)
 
127

 
2,165,829

 
(98,485
)
 
214

30 year fixed-rate
5,930,551

 
(182,696
)
 
212

 
890,051

 
(50,074
)
 
58

 
6,820,602

 
(232,770
)
 
270

ARM
157,531

 
(2,230
)
 
17

 
530

 
(26
)
 
1

 
158,061

 
(2,256
)
 
18

Hybrid ARM
852,306

 
(12,652
)
 
94

 
436,416

 
(12,707
)
 
46

 
1,288,722

 
(25,359
)
 
140

Total Agency RMBS pass-through (1)
7,325,811

 
(203,102
)
 
410

 
3,107,403

 
(155,768
)
 
232

 
10,433,214

 
(358,870
)
 
642

Agency-CMO (2)
149,189

 
(9,756
)
 
43

 
71,796

 
(3,873
)
 
5

 
220,985

 
(13,629
)
 
48

Agency CMBS (3)
69,365

 
(78
)
 
1

 
—

 
—

 
—

 
69,365

 
(78
)
 
1

Non-Agency CMBS (4)
1,842,373

 
(35,757
)
 
136

 
207,220

 
(11,547
)
 
17

 
2,049,593

 
(47,304
)
 
153

Non-Agency RMBS (5)
250,751

 
(1,687
)
 
30

 
50,145

 
(374
)
 
7

 
300,896

 
(2,061
)
 
37

Total
9,637,489

 
(250,380
)
 
620

 
3,436,564

 
(171,562
)
 
261

 
13,074,053

 
(421,942
)
 
881

(1)
Amounts disclosed includes Agency RMBS with a fair value of $5.3 billion for which the fair value option has been elected. Such securities have unrealized losses of $177.0 million.
(2)
Amounts disclosed includes Agency IO and Agency-CMO with fair value of $22.4 million and $18.0 million, respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.5 million and $856,000, respectively.
(3)
Fair value option has been elected for all Agency CMBS.
(4)
Amounts disclosed includes Non-Agency CMBS with a fair value of $693.4 million for which the fair value option has been elected. Such securities have unrealized losses of $21.8 million.
(5)
Amounts disclosed includes Non-Agency RMBS and Non-Agency IO with a fair value of $111.2 million and $10.7 million, respectively for which the fair value option has been elected. Such securities have unrealized losses of $4,000 and $247,000, respectively.


 
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December 31, 2017
  
Less than 12 Months
 
12 Months or More
 
Total
$ in thousands
Fair
Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair
Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair
Value
 
Unrealized
Losses
 
Number
of
Securities
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate
111,020

 
(321
)
 
26

 
2,406,021

 
(67,285
)
 
133

 
2,517,041

 
(67,606
)
 
159

30 year fixed-rate
3,677,576

 
(20,730
)
 
107

 
963,547

 
(27,158
)
 
56

 
4,641,123

 
(47,888
)
 
163

ARM
101,173

 
(902
)
 
12

 
—

 
—

 
—

 
101,173

 
(902
)
 
12

Hybrid ARM
614,321

 
(4,189
)
 
73

 
517,642

 
(8,091
)
 
47

 
1,131,963

 
(12,280
)
 
120

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

 
(26,142
)
 
218

 
3,887,210

 
(102,534
)
 
236

 
8,391,300

 
(128,676
)
 
454

Agency-CMO (2)
75,299

 
(10,433
)
 
44

 
81,988

 
(2,309
)
 
5

 
157,287

 
(12,742
)
 
49

Non-Agency CMBS (3)
892,553

 
(17,612
)
 
81

 
135,139

 
(3,792
)
 
12

 
1,027,692

 
(21,404
)
 
93

Non-Agency RMBS (4)
84,439

 
(709
)
 
15

 
96,263

 
(1,732
)
 
11

 
180,702

 
(2,441
)
 
26

Total
5,556,381

 
(54,896
)
 
358

 
4,200,600

 
(110,367
)
 
264

 
9,756,981

 
(165,263
)
 
622

(1)
Amounts disclosed includes Agency RMBS with a fair value of $3.4 billion for which the fair value option has been elected. Such securities have unrealized losses of $22.8 million.
(2)
Amounts disclosed includes Agency IO and Agency-CMO with fair value of $36.5 million and $9.5 million, respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $10.1 million and $88,000, respectively.
(3)
Amounts disclosed includes Non-Agency CMBS with a fair value of $596.0 million for which the fair value option has been elected. Such securities have unrealized losses of $8.9 million.
(4)
Amounts disclosed includes Non-Agency IO with a fair value of $530,000 for which the fair value option has been elected. Such securities have unrealized losses of $39,000.
Gross unrealized losses on our Agency RMBS, Agency CMBS and CMO were $366.1 million at June 30, 2018 (December 31, 2017: $131.3 million). Due to the inherent credit quality of Agency RMBS, Agency CMBS and Agency-CMO, we determined that at June 30, 2018 and December 31, 2017, any unrealized losses on these securities are not other than temporary.
Gross unrealized losses on our Agency IO, non-Agency RMBS and non-Agency CMBS were $55.9 million (December 31, 2017: $33.9 million) at June 30, 2018. We did not consider these unrealized losses to be credit related, but rather due to non-credit related factors such as interest rates, prepayment speeds, and market fluctuations. These investment securities are included in our assessment for other-than-temporary impairment on a quarterly basis.
We assess our investment securities for other-than-temporary impairment ("OTTI") on a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either "temporary" or "other-than-temporary." This analysis includes a determination of estimated future cash flows through an evaluation of the characteristics of the underlying loans and the structural features of the investment. Underlying loan characteristics reviewed include, but are not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration.
The following table summarizes OTTI included in earnings for the three and six months ended June 30, 2018 and 2017:
 
Three Months Ended June 30,
 
Six Months Ended June 30,
$ in thousands
2018
 
2017
 
2018
 
2017
RMBS interest-only securities
2,089

 
3,585

 
6,398

 
3,876

Non-Agency RMBS (1)
—

 
513

 
50

 
754

Total
2,089

 
4,098

 
6,448

 
4,630

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

 
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the fair value option. As of June 30, 2018, we did not intend to sell the securities and determined that it was not more likely than not that we will be required to sell the securities.
The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2018 and 2017.
 
Three Months Ended June 30,
 
Six Months Ended June 30,
$ in thousands
2018
 
2017
 
2018
 
2017
Gross realized gains on sale of investments
35

 
1,311

 
35

 
2,215

Gross realized losses on sale of investments
(11,560
)
 
(1,962
)
 
(20,797
)
 
(3,873
)
Other-than-temporary impairment losses
(2,089
)
 
(4,098
)
 
(6,448
)
 
(4,630
)
Net unrealized gains and losses on MBS accounted for under the fair value option
(22,941
)
 
7,715

 
(170,136
)
 
4,113

Net unrealized gains and losses on GSE CRT accounted for under the fair value option
182

 
8,195

 
616

 
11,474

Net unrealized gains and losses on trading securities
(4
)
 
14

 
(17
)
 
23

Total gain (loss) on investments, net
(36,377
)
 
11,175

 
(196,747
)
 
9,322

The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2018 and 2017. GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net.
For the three months ended June 30, 2018
$ in thousands
Coupon
Interest
 
Net (Premium
Amortization)/Discount
Accretion
 
Interest
Income
Agency RMBS and CMBS
105,430

 
(22,275
)
 
83,155

Non-Agency CMBS
38,101

 
1,195

 
39,296

Non-Agency RMBS
13,195

 
5,159

 
18,354

GSE CRT
7,180

 
(696
)
 
6,484

Other
259

 
—

 
259

Total
164,165

 
(16,617
)
 
147,548

For the three months ended June 30, 2017
$ in thousands
Coupon
Interest
 
Net (Premium
Amortization)/Discount
Accretion
 
Interest
Income
Agency RMBS and CMBS
91,979

 
(27,775
)
 
64,204

Non-Agency CMBS
31,506

 
(1,852
)
 
29,654

Non-Agency RMBS
18,131

 
3,734

 
21,865

GSE CRT
5,556

 
(347
)
 
5,209

Other
95

 
—

 
95

Total
147,267

 
(26,240
)
 
121,027


 
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For the six months ended June 30, 2018
$ in thousands
Coupon
Interest
 
Net (Premium
Amortization)/Discount
Accretion
 
Interest
Income
Agency RMBS and CMBS
213,747

 
(45,497
)
 
168,250

Non-Agency CMBS
75,394

 
2,621

 
78,015

Non-Agency RMBS
27,207

 
10,336

 
37,543

GSE CRT
13,705

 
(1,393
)
 
12,312

Other
431

 
—

 
431

Total
330,484

 
(33,933
)
 
296,551

For the six months ended June 30, 2017
$ in thousands
Coupon
Interest
 
Net (Premium
Amortization)/Discount
Accretion
 
Interest
Income
Agency RMBS and CMBS
183,210

 
(56,353
)
 
126,857

Non-Agency CMBS
61,182

 
(4,486
)
 
56,696

Non-Agency RMBS
38,745

 
8,121

 
46,866

GSE CRT
10,043

 
(718
)
 
9,325

Other
156

 
—

 
156

Total
293,336

 
(53,436
)
 
239,900

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

 
127,638

 
(31
)
 
127,607

 
8.96
%
 
0.7
December 31, 2017
8

 
191,894

 
(86
)
 
191,808

 
8.52
%
 
1.2
(1)
Weighted average years to maturity is based on the contractual maturity date. Certain loans may contain either an option to prepay or an option to extend beyond their contractual maturity dates as specified in the respective loan agreements.
These loans were not impaired, and no allowance for loan loss has been recorded as of June 30, 2018 and December 31, 2017 based on our analysis of credit quality factors as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2017.
Note 6 – Other Assets
The following table summarizes our other assets as of June 30, 2018 and December 31, 2017.
$ in thousands
June 30, 2018
 
December 31, 2017
FHLBI stock
74,250

 
74,250

Investments in unconsolidated ventures
28,997

 
25,972

Investment in exchange-traded fund
3,962

 
3,979

Prepaid expenses and other assets
915

 
1,379

Total
108,124

 
105,580

IAS Services LLC, our wholly-owned subsidiary, is required to purchase and hold FHLBI stock as a condition of membership in the FHLBI. The stock is recorded at cost.
We have invested in unconsolidated ventures that are managed by an affiliate of our Manager. The unconsolidated ventures invest in our target assets. Refer to Note 16 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures.

 
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We have invested in an exchange-traded fund that is managed by an affiliate of our Manager. The exchange-traded fund invests in our target assets.
Note 7 – Borrowings
We have financed the majority of our investment portfolio through repurchase agreements, secured loans and exchangeable senior notes. The following tables summarize certain characteristics of our borrowings at June 30, 2018 and December 31, 2017. Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans.
$ in thousands
June 30, 2018
 
 
 
 
Weighted
 
 
Weighted
 
Average
 
 
Average
 
Remaining
Amount
 
Interest
 
Maturity
Outstanding
 
Rate
 
(days)
Repurchase Agreements:
 
 
 
 
 
Agency RMBS
10,537,934

 
2.13
%
 
22

Agency CMBS
133,417

 
2.10
%
 
30

Non-Agency CMBS
1,450,627

 
3.25
%
 
23

Non-Agency RMBS
917,106

 
3.28
%
 
23

GSE CRT
663,237

 
3.18
%
 
23

Total Repurchase Agreements
13,702,321

 
2.38
%
 
23

Secured Loans
1,650,000

 
2.18
%
 
2,136

Total Borrowings
15,352,321

 
2.36
%
 
250

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

 
1.58
%
 
25

Non-Agency CMBS
1,396,330

 
2.61
%
 
9

Non-Agency RMBS
915,225

 
2.77
%
 
31

GSE CRT
657,491

 
2.78
%
 
24

Total Repurchase Agreements
14,080,801

 
1.82
%
 
25

Secured Loans
1,650,000

 
1.52
%
 
2,317

Exchangeable Senior Notes (1)
143,410

 
5.00
%
 
74

Total Borrowings
15,874,211

 
1.82
%
 
263

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

 
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The following table shows the aggregate amount of maturities of our outstanding borrowings:
$ in thousands
As of
Borrowings maturing within:
June 30, 2018
7/1/2018 - 6/30/2019
13,702,321

7/1/2019 - 6/30/2020
300,000

7/1/2020 - 6/30/2021
100,000

7/1/2021 - 6/30/2022
—

7/1/2022 - 6/30/2023
—

Thereafter
1,250,000

Total
15,352,321

The following tables summarize certain characteristics of our repurchase agreements and secured loans at June 30, 2018 and December 31, 2017.
June 30, 2018
 
 
 
 
 
$ in thousands
Amount Outstanding
 
Percent of Total Amount Outstanding
 
MBS and GSE CRT Pledged as Collateral (1)
Repurchase Agreement Counterparties:
 
 
 
 
 
HSBC
1,808,727

 
11.8
%
 
1,897,787

ING Financial Market
1,348,953

 
8.8
%
 
1,425,690

Royal Bank of Canada
1,024,743

 
6.7
%
 
1,232,629

E D & F Man Capital Markets
981,383

 
6.4
%
 
1,034,330

Industrial and Commercial Bank of China
964,543

 
6.3
%
 
1,018,444

Mirae Asset Securities
955,053

 
6.2
%