Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 _______________________________________________ FORM 10-Q _______________________________________________ (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 2019 OR ☐ 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 Inve ...

PART I FINANCIAL INFORMATION [Financial Statements](index=3&type=section&id=Item%201.%20Financial%20Statements) This section presents the unaudited condensed consolidated financial statements, showing total assets increased to $22.0 billion and net income reached $134.9 million for the six months ended June 30, 2019 [Condensed Consolidated Balance Sheets](index=3&type=section&id=Condensed%20Consolidated%20Balance%20Sheets) Total assets increased to $22.0 billion, primarily driven by mortgage-backed securities and financed by repurchase agreements, with stockholders' equity rising to $2.7 billion | Balance Sheet Highlights ($ in thousands) | June 30, 2019 | December 31, 2018 | | :--- | :--- | :--- | | **Total Assets** | **$22,038,078** | **$17,813,505** | | Mortgage-backed securities, at fair value | $21,536,047 | $17,396,642 | | **Total Liabilities** | **$19,367,977** | **$15,526,808** | | Repurchase agreements | $17,075,065 | $13,602,484 | | **Total Stockholders' Equity** | **$2,670,101** | **$2,286,697** | [Condensed Consolidated Statements of Operations](index=4&type=section&id=Condensed%20Consolidated%20Statements%20of%20Operations) Net income attributable to common stockholders was $134.9 million, influenced by a $570.6 million net gain on investments offset by a $546.2 million net loss on derivatives | ($ in thousands, except per share) | Six Months Ended June 30, 2019 | Six Months Ended June 30, 2018 | | :--- | :--- | :--- | | Net Interest Income | $147,040 | $158,831 | | Gain (loss) on investments, net | $570,564 | $(196,747) | | Gain (loss) on derivative instruments, net | $(546,193) | $200,536 | | Net Income Attributable to Common Stockholders | $134,913 | $121,479 | | Diluted EPS | $1.08 | $1.08 | [Condensed Consolidated Statements of Comprehensive Income](index=5&type=section&id=Condensed%20Consolidated%20Statements%20of%20Comprehensive%20Income) Comprehensive income attributable to common stockholders significantly improved to $232.1 million, driven by net income and unrealized gains on mortgage-backed securities | ($ in thousands) | Six Months Ended June 30, 2019 | Six Months Ended June 30, 2018 | | :--- | :--- | :--- | | Net Income | $157,126 | $145,526 | | Total other comprehensive income (loss) | $97,200 | $(173,759) | | Comprehensive income (loss) | $254,326 | $(28,233) | | Comprehensive income (loss) attributable to common stockholders | $232,113 | $(50,089) | [Condensed Consolidated Statements of Equity](index=6&type=section&id=Condensed%20Consolidated%20Statements%20of%20Equity) Total stockholders' equity increased to $2.67 billion, primarily due to net income, other comprehensive income, and common stock issuance proceeds - Stockholders' equity grew to **$2.67 billion** at June 30, 2019, up from **$2.29 billion** at the start of the year[18](index=18&type=chunk) - Key drivers of the equity increase were net income (**$157.1 million**), other comprehensive income (**$97.2 million**), and net proceeds from common stock issuance (**$266.7 million** for the six months)[18](index=18&type=chunk)[24](index=24&type=chunk) [Condensed Consolidated Statements of Cash Flows](index=8&type=section&id=Condensed%20Consolidated%20Statements%20of%20Cash%20Flows) Net cash provided by operating activities was $157.0 million, while investing activities used $3.7 billion, largely funded by $3.6 billion from financing activities | ($ in thousands) | Six Months Ended June 30, 2019 | | :--- | :--- | | Net cash provided by operating activities | $157,002 | | Net cash (used in) investing activities | $(3,749,403) | | Net cash provided by financing activities | $3,611,675 | | **Net change in cash** | **$19,274** | [Notes to Condensed Consolidated Financial Statements](index=9&type=section&id=Notes%20to%20Condensed%20Consolidated%20Financial%20Statements) The notes detail the $21.5 billion MBS and CRT portfolio, financed by $17.1 billion in repurchase agreements, and the use of $12.5 billion notional interest rate swaps for hedging - The company's investment portfolio of MBS and GSE CRT securities totaled **$21.5 billion** at fair value as of June 30, 2019, a substantial increase from **$17.4 billion** at year-end 2018[41](index=41&type=chunk)[42](index=42&type=chunk) - Total borrowings stood at **$18.7 billion**, consisting of **$17.1 billion** in repurchase agreements and **$1.65 billion** in secured loans[85](index=85&type=chunk) - The company uses derivative instruments to manage risk, with interest rate swaps having a notional amount of **$12.5 billion** as of June 30, 2019[106](index=106&type=chunk)[110](index=110&type=chunk) - A public offering of **16.1 million** shares of common stock was completed on February 7, 2019, generating net proceeds of approximately **$249.5 million**[159](index=159&type=chunk) [Management's Discussion and Analysis of Financial Condition and Results of Operations](index=38&type=section&id=Item%202.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses portfolio management, a 6.2% increase in book value per common share to $16.21, and core earnings of $0.46 per share for Q2 2019 - Book value per common share increased **6.2%** to **$16.21** as of June 30, 2019, from **$15.27** at December 31, 2018, primarily due to interest rate spread tightening[236](index=236&type=chunk) - The company shifted its portfolio, increasing holdings of 30-year fixed-rate Agency RMBS and Agency CMBS, funded by a **$249.5 million** common stock offering and sales of ARM and Hybrid ARM securities[188](index=188&type=chunk)[212](index=212&type=chunk)[213](index=213&type=chunk) - Core earnings, a non-GAAP measure, were **$0.46** per common share for Q2 2019, compared to **$0.41** for Q2 2018[301](index=301&type=chunk) - The company's repurchase agreement debt-to-equity ratio, a non-GAAP leverage measure, was **7.4x** as of June 30, 2019[323](index=323&type=chunk)[325](index=325&type=chunk) [Quantitative and Qualitative Disclosures About Market Risk](index=69&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20About%20Market%20Risk) The company identifies and manages market risks including interest rate and prepayment risk, with sensitivity analysis detailing their impact on portfolio value and net interest income - The main components of market risk are interest rate, principal prepayment, and market value risk[365](index=365&type=chunk) Interest Rate Sensitivity Analysis | Change in Interest Rates | % Change in Projected Net Interest Income | % Change in Projected Portfolio Value | | :--- | :--- | :--- | | +1.00% | (9.49)% | (1.28)% | | +0.50% | (1.53)% | (0.44)% | | -0.50% | (3.43)% | (0.14)% | | -1.00% | (24.02)% | (0.88)% | - The company actively manages risk through asset selection, sector allocation, regulating portfolio value-at-risk, and maintaining liquidity[373](index=373&type=chunk) [Controls and Procedures](index=72&type=section&id=Item%204.%20Controls%20and%20Procedures) Disclosure controls and procedures were deemed effective as of June 30, 2019, with no material changes to internal control over financial reporting - Management concluded that disclosure controls and procedures were effective as of June 30, 2019[389](index=389&type=chunk) - No material changes to internal control over financial reporting occurred during the quarter ended June 30, 2019[391](index=391&type=chunk) PART II OTHER INFORMATION [Legal Proceedings](index=73&type=section&id=Item%201.%20Legal%20Proceedings) The company was not involved in any material legal proceedings as of June 30, 2019 - The company reports no involvement in material legal proceedings as of the end of the quarter[394](index=394&type=chunk) [Risk Factors](index=73&type=section&id=Item%201A.%20Risk%20Factors) No material changes to previously disclosed risk factors were reported for the period - No material changes to the previously disclosed risk factors were reported for the period[395](index=395&type=chunk) [Unregistered Sales of Equity Securities and Use of Proceeds](index=73&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) The company did not repurchase any shares of its common stock during the three months ended June 30, 2019 - No common stock was repurchased during the second quarter of 2019[396](index=396&type=chunk) [Defaults Upon Senior Securities](index=73&type=section&id=Item%203.%20Defaults%20Upon%20Senior%20Securities) The company reported no defaults upon senior securities - None[397](index=397&type=chunk) [Other Information](index=73&type=section&id=Item%205.%20Other%20Information) The company reported no other information - None[399](index=399&type=chunk) [Exhibits](index=75&type=section&id=Item%206.%20Exhibits) This section provides a list of exhibits filed with the Form 10-Q, incorporated by reference

Table of Contents 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 March 31, 2019 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 (Exact Name of Registrant as Specified in Its Charter) _ ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-K (Mark One) ý ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2018 or ¨ 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 (Exact name of registrant as specified in its charter) (State or other jurisdiction of incorporation or organization) Maryland ...