Quarterly report pursuant to Section 13 or 15(d)

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

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CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2016
Jun. 30, 2015
Jun. 30, 2016
Jun. 30, 2015
Interest income:        
Available-for-sale securities $ 101,512 $ 118,129 $ 180,940 $ 253,654
Trading securities 0 3,981 0 8,676
Residential mortgage loans held-for-sale 4,960 7,518 12,162 11,789
Residential mortgage loans held-for-investment in securitization trusts 34,499 21,830 67,270 40,067
Commercial real estate assets 13,300 850 24,372 894
Cash and cash equivalents 505 221 795 418
Total interest income 154,776 152,529 285,539 315,498
Interest expense:        
Repurchase agreements 22,697 19,398 38,726 39,963
Collateralized borrowings in securitization trusts 25,184 13,131 44,543 23,839
Federal Home Loan Bank advances 6,088 2,500 12,060 4,730
Total interest expense 53,969 35,029 95,329 68,532
Net interest income 100,807 117,500 190,210 246,966
Other-than-temporary impairments:        
Total other-than-temporary impairment losses (90) (170) (807) (297)
Non-credit portion of loss recognized in other comprehensive income (loss) 0 0 0 0
Net other-than-temporary credit impairment losses (90) (170) (807) (297)
Other (loss) income:        
Gain on investment securities 8,331 69,932 37,805 199,389
(Loss) gain on interest rate swap and swaption agreements (12,708) 44,952 (138,192) (81,491)
Loss on other derivative instruments (48,051) (5,484) (32,036) (2,517)
Gain (loss) on residential mortgage loans held-for-sale 7,734 (6,832) 18,537 2,260
Servicing income 35,816 30,516 69,949 62,603
(Loss) gain on servicing asset (76,535) 17,635 (177,975) (34,768)
Other loss (9,561) (16,609) (6,734) (18,466)
Total other (loss) income (94,974) 134,110 (228,646) 127,010
Expenses:        
Management fees 11,837 12,686 23,881 25,407
Securitization deal costs 429 2,484 4,161 5,095
Servicing expenses 7,576 5,899 15,437 12,615
Other operating expenses 17,644 15,827 32,500 31,882
Total expenses 37,486 36,896 75,979 74,999
(Loss) income before income taxes (31,743) 214,544 (115,222) 298,680
Benefit from income taxes (14,762) (6,957) (9,311) (17,614)
Net (loss) income $ (16,981) $ 221,501 $ (105,911) $ 316,294
Basic and diluted (loss) earnings per weighted average common share $ (0.05) $ 0.60 $ (0.30) $ 0.86
Dividends declared per common share $ 0.23 $ 0.26 $ 0.46 $ 0.52
Basic and diluted weighted average number of shares of common stock outstanding 347,597,955 367,074,131 348,516,985 366,792,459
Comprehensive income:        
Net (loss) income $ (16,981) $ 221,501 $ (105,911) $ 316,294
Other comprehensive income (loss), net of tax:        
Unrealized gain (loss) on available-for-sale securities 139,291 (218,826) 160,636 (224,757)
Other comprehensive income (loss) 139,291 (218,826) 160,636 (224,757)
Comprehensive income $ 122,310 $ 2,675 $ 54,725 $ 91,537