> l \pThe Free Software Foundation B=PF0*8X@"1 Helvetica1Courier1Courier New1Courier New1 Helvetica$#,##0_);($#,##0)$#,##0_);[Red]($#,##0)$#,##0.00_);($#,##0.00)$#,##0.00_);[Red]($#,##0.00)**_($* #,##0_);_($* (#,##0);_($* ""_);_(@_)*)'_(* #,##0_);_(* (#,##0);_(* ""_);_(@_)5,2_($* #,##0.00_);_($* (#,##0.00);_($* ""??_);_(@_)2+/_(* #,##0.00_);_(* (#,##0.00);_(* ""??_);_(@_)2$#,##0.00;[Red]$#,##0.003$#,##0.00;[Red]($#,##0.00)4$#,##0;[Red]($#,##00)50.00%;[Red](0.00%)60%;[Red](0%)7#,##0.00;[Red](#,##0.00)8#,##0;[Red](#,##0) + ) , * Ј ~~ ؈ ~~#؈ ~~ ؈ ~~8#܈ ~~4#܈ ~~<#܈ ~~3#܈ ~~7#܈ ~~#؈ ~~83ffff̙̙3f3fff3f3f33333f33&HAMERICAN CAPITAL MORTGAGE INVES#TABLE OF CONTENTS"Z8CONSOLIDATED BALANCE SHEETS&+^CONSOLIDATED STATEMENTS OF OPER#CONSOLIDATED STATEMENTS (1)#]CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesmNote 4 Agency S (1)Note 4 Agency S (2),0Note 4 Agency S (3)CNote 4 Agency S (4)#` 12Realized Gains and Losses
yPledged AssetsPledged Assets (1)Pledged Assets (2)"ÿNote 5 NonAgency SecuritiesH (1)#W 15Realized Gains and Losses
,Pledged Assets (3)DInvestment Activity~U
Notes Payable&f 17Income from Investments in Ry 17Income from (1)&Note 7 Repurchase Agreements anNote 7 Repurchase (1)&t 19Note 8 Derivatives and Other% 19Note 8 Derivatives and (1)% 19Note 8 Derivatives and (2)%$ 19Note 8 Derivatives and (3)%(1 19Note 8 Derivatives and (4)$KInterest Rate Swap Agreementso_Interest Rate Swap (1)uInterest Rate Swap (2)&tInterest Rate Swaption Agreemen"Interest Rate Swaption (1)Ǻ 23TBA Securities&VOffsetting of Financial Assets &z 25Offsetting of Financial Liab&Note 10 Fair Value Measurements*Note 10 Fair Value (1)DNote 10 Fair Value (2)YNote 10 Fair Value (3)o (2)&Note 11 Mortgage Servicing Righ% (3)'Note 12 Other Assets&hNote 13 Accounts Payable and Ot"Net Income per Common Share&6Trends and Recent Market Impact$Trends and Recent Market (1)*FINANCIAL CONDITIONZ>FINANCIAL CONDI (1)~] 38Agency RMBSʆ 38Agency RMBS (1) 38Agency RMBS (2)E (4)x 41TBA Investmentsg 41TBA Investme (1)e 42NonAgency Investments: (5)PW (6)q (7) (8)= (9)
(10)# 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)EFinancing and H (4)#[Financing and H (5)!WrNonGAAP Financial Measures&ū 50Interest Income and Asset Yi" 50Interest Income and (1)
G Leverage&Interest Expense and Cost of Fu%Interest Expense and Cost (1)3
(11)#?JServicing Income and Expense&Md 54Healthcare Real Estate Incom&bwRealized and Unrealized Gain Lo#Realized and Unrealized (1)&Ѩ 56Gain Loss on Other Derivativ!Dividends and Income Taxes
(1)
Key Statisticsu0 Key Statistics (1)&Z 60 61Net Spread and Dollar Rol Repurchase AgreementsD Interest Rate Risk 68Spread Risk 71Item 6 Exhibits
l "
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }%}$ }
MTGE Investment Corp.10Q
08/05/20162*AMERICAN CAPITAL MORTGAGE INVESTMENT CORP.
Maryland
450907772'(State or other jurisdiction of(I.R.S. Employer&incorporation or organization)Identification No.)
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(Twk_SG#E9=PF0*8X>
@
l $67
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}:}
$
MTGE Investment Corp.10Q
08/05/2016TABLE OF CONTENTS %
PART I. FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,
$Management's Discussion and Analysis~
80of Financial Condition and Results of OperationsItem 3.0(Quantitative and Qualitative Disclosures~
about Market RiskItem 4.Controls and Procedures~
"PART II. OTHER INFORMATIONItem 1.Legal Proceedings~
Item 1A.Risk Factors~
Item 2./'Unregistered Sales of Equity Securities~
and Use of ProceedsItem 3.'Defaults upon Senior Securities~
Item 4.Mine Safety Disclosures~
Item 5.Other Information~
Item 6.Exhibits~
"
Signatures~
&D
lxl`<Q G#UF !"# $!____________________________1")Created by Morningstar Document Research.0#(http://documentresearch.morningstar.com/<=PF0*8X>
@*##""!!
l CbNZ[
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }:}$
C
MTGE Investment Corp.10Q
08/05/2016#CONSOLIDATED BALANCE SHEETS
June 30, 2016
December 31, 2015(unaudited)Assets:3
+Agency securities, at fair value (including~
8
~
]
80pledged securities of $2,967,087 and $3,174,675,
respectively)7/Nonagency securities, at fair value (including~
"M~
_80pledged securities of $1,101,553 and $1,435,931,
respectively)/'U.S. Treasury securities, at fair value~
0((including pledged securities of $33,525and $0, respectively)Land~
~D5Buildings, furniture, fixtures and equipment,~
n'net of accumulated depreciation!Cash and cash equivalents~
v~
U
,$Restricted cash and cash equivalents~
~
RInterest receivable~
~
( Derivative assets, at fair value~
b~
^&Receivable for securities sold~
(6.Receivable under reverse repurchase agreements~
R~
J00(Mortgage servicing rights, at fair value~
&A~
D
lznbVm6j)D !"#$%&'()*+,./0123456789:;<=>? Other assets~
Z ~
Z !Total assets~
!F<!!~
!N!"Liabilities:"""#Repurchase agreements~
###~
#.#'$Federal Home Loan Bank advances~
$$$~
$R$%Secured debt~
%R%%%%(& Payable for securities purchased~
&&&&&'%Derivative liabilities, at fair value~
'''~
''(Dividend payable~
(/((~
(;(0)(Obligation to return securities borrowed~
)))~
)F<),*$under reverse repurchase agreements,+
at fair value6,.Accounts payable and other accrued liabilities~
,p,,~
,\,Total liabilities~
+~
j .Equity:...0/(Preferred stock, $0.01 par value; 50,000///0shares authorized:1%8.125% Series A Cumulative Redeemable~
1<11~
1<102(Preferred Stock; 2,200 shares issued and53outstanding (aggregate liquidation preference4of $55,000).5&Common stock, $0.01 par value; 300,000~
5*55~
5r536+shares authorized, 45,798 and 47,626 shares,7$issued and outstanding, respectively"8Additional paidin capital~
8D88~
8E89Retained deficit~
9j99~
9B;9!:Total stockholders equity~
:29::~
:"~<: ;Noncontrolling interests~
;
;;;;<Total equity~
<:9<<~
<"~<<$=Total liabilities and equity~
=F<==~
=N=>?D5lPHG'z F#c@AB$@____________________________1A)Created by Morningstar Document Research.0B(http://documentresearch.morningstar.com/
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETSCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }y<}$
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MTGE Investment Corp.10Q
08/05/2016%CONSOLIDATED STATEMENTS OF OPERATIONS
+
#For the Three Months Ended June 30,
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }+}
}$ }} )$
!********** *
***
*******************MTGE Investment Corp.10Q
08/05/2016)!CONSOLIDATED STATEMENTS OF EQUITY
Preferred Stock
Common Stock
Additional
Retained
Noncontrolling Interests
Total Equity
PaidinEarnings (Deficit)SharesAmountShares
AmountCapital"
Balance, December 31, 2014~
b"
~
<
~
v
~
~
'I
~
JZ
!
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#
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~
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u Stockbased compensation~
n
~
~
$Preferred dividends declared
~
~
!Common dividends declared
~
Z~
ZBalance, June 30, 2015~
b"~
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~
~
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~
~
D
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~
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~
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~
~
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~
~
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~
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~
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b"~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }:}$
K
MTGE Investment Corp.10Q
08/05/2016%CONSOLIDATED STATEMENTS OF CASH FLOWS
)
!For the Six Months Ended June 30,~
~
~%CASH FLOWS FROM OPERATING ACTIVITIES:
Net income (loss)~
6&
~
u
.&Adjustments to reconcile net income to1)net cash flows from operating activities:80Amortization of net premium on agency securities~
~
/'Accretion of net discount on nonagency~
~
securitiesDepreciation~
N*"Realization of cash flows from MSR~
I~
Q%Unrealized loss (gain) on securities,~
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08/05/2016!Note 4. Agency Securities
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MTGE Investment Corp.10Q
08/05/2016!Note 4. Agency Securities
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MTGE Investment Corp.10Q
08/05/2016!Note 4. Agency Securities
December 31, 2015
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MTGE Investment Corp.10Q
08/05/2016!Note 4. Agency Securities
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MTGE Investment Corp.10Q
08/05/2016!Note 4. Agency Securities
June 30, 2016
December 31, 2015
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08/05/2016$ 12Realized Gains and Losses
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MTGE Investment Corp.10Q
08/05/2016Pledged Assets
June 30, 2016Agency RMBS Pledged:
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08/05/2016Pledged Assets
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08/05/2016Pledged Assets
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08/05/2016%Note 5. NonAgency Securities
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08/05/2016
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08/05/2016
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08/05/2016Investment Activity
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MTGE Investment Corp.10Q
08/05/2016
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08/05/20163+ 17Income from Investments in Real Property
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
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(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$
MTGE Investment Corp.10Q
08/05/20163+ 17Income from Investments in Real Property
June 30, 2016~
~
Z#~
~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)Note 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }!}$ } }$}$ } }
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MTGE Investment Corp.10Q
08/05/2016F>Note 7. Repurchase Agreements and Other Financing Arrangements
June 30, 2016
December 31, 2015Weighted Average
Weighted AverageCollateral Type
Borrowings
Interest Rate Days
Borrowings
Interest RateDays
Outstanding
to Maturity
Outstanding
to MaturityAgency securities~
ڕ(\? %~
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~
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Nonagency securities~
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;? %~
N/AN/A#Total repurchase agreements~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements an! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }!}$ } }$}$ } }
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MTGE Investment Corp.10Q
08/05/2016F>Note 7. Repurchase Agreements and Other Financing Arrangements
June 30, 2016
December 31, 2015Weighted Average
Weighted Average
Borrowings
Interest Rate Days
Borrowings
Interest RateDays
Outstanding
to Maturity
Outstanding
to MaturityAgency and nonagency
1 month~
Gz? %~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1) 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$
MTGE Investment Corp.10Q
08/05/20163+ 19Note 8. Derivatives and Other Securities
June 30, 2016
December 31, 2015Interest rate swaps~
~
B1Interest rate swaptions~
2 ~
TBA securities
~
~
Interest only swaps~
NU.S. Treasury futures~
( Derivative assets, at fair value~
b~
^Interest rate swaps~
Y~
eTBA securities~
~
Credit default swaps~
60~
Interest only swaps~
2U.S. Treasury futures~
%Derivative liabilities, at fair value~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }a/}$
MTGE Investment Corp.10Q
08/05/20163+ 19Note 8. Derivatives and Other Securities
+
#For the Three Months Ended June 30,~
~
~%Realized Loss on Periodic Settlements.&Realized Loss on Other Derivatives and3+Unrealized Gain (Loss) on Other Derivatives%Realized Loss on Periodic Settlements.&Realized Loss on Other Derivatives and3+Unrealized Gain (Loss) on Other Derivatives
#
of Interest Rate Swaps, net
Securities, net
and Securities, net
#
of Interest Rate Swaps, net
Securities, net
and Securities, netInterest rate swaps~
v~
~
j
~
~
.~
Interest rate swaptions~
~
~
TBA securities~
M~
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~
"~
n U.S. Treasury securities~
~
~
~
U.S. Treasury futures~
%~
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~
6~
~9&Short sales of U.S. Treasuries~
n~
r
~
~
/'Agency mortgage REIT equity investments~
~
Mortgage options~
~
~
Z~
~Interest only swaps~
V
~
~
z~
vCredit default swaps~
~
~
~
Credit default option
~
R
FHLB stock~
&
Total~
v~
h~
~
~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }a/}$
MTGE Investment Corp.10Q
08/05/20163+ 19Note 8. Derivatives and Other Securities
)
!For the Six Months Ended June 30,~
~
~%Realized Loss on Periodic Settlements.&Realized Loss on Other Derivatives and3+Unrealized Gain (Loss) on Other Derivatives%Realized Loss on Periodic Settlements.&Realized Loss on Other Derivatives and3+Unrealized Gain (Loss) on Other Derivatives
#
of Interest Rate Swaps, net
Securities, net
and Securities, net
#
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Securities, net
and Securities, netInterest rate swaps~
~
ʨ~
~
~
bw~
1~
"pInterest rate swaptions~
~
~
~
TBA securities~
~
m
~
~
U.S. Treasury securities~
E~
~
~
zU.S. Treasury futures~
h~
bh
~
~
J&Short sales of U.S. Treasuries~
=~
~
~
/'Agency mortgage REIT equity investments~
Mortgage options~
~
ZInterest only swaps~
2~
~
~
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&Credit default swaps~
F~
~
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~
R
FHLB stock~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }$}$ }
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MTGE Investment Corp.10Q
08/05/20163+ 19Note 8. Derivatives and Other Securities
December 31, 2015
!
Additions/ Long Positions
Expirations/
June 30, 2016Notional%Terminations/ Short Positions
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Amount
Interest rate swaps~
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~
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~
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~
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~
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~
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~
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B~
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~
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b
~
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B
~
~
Interest only swaps~
s~
z
~
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
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(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }$}$ }}$ }}
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MTGE Investment Corp.10Q
08/05/20163+ 19Note 8. Derivatives and Other Securities
December 31, 2014
!
Additions/ Long Positions
Expirations/
June 30, 2015Notional%Terminations/ Short Positions
NotionalAmount
Amount
Interest rate swaps~
b
~
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~
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Interest rate swaptions~
!~
~
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~
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~
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U.S. Treasuries~
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N
~
U.S. Treasury futures~
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~
B
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~
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~
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~
B
~
~
Interest only swaps~
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~
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Credit default swaps~
~
B
~
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~
r
Credit default options~
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~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }$}$ }}$
MTGE Investment Corp.10Q
08/05/2016%Interest Rate Swap Agreements
June 30, 2016
December 31, 2015Interest Rate SwapsBalance Sheet LocationNotional Amount
Fair ValueNotional Amount
Fair Value!Interest rate swap assets( Derivative assets, at fair value~
~
~
"@,~
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Interest rate swap liabilities

%Derivative liabilities, at fair value
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }a/} $ }
}$}$ }
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MTGE Investment Corp.10Q
08/05/2016%Interest Rate Swap Agreements
June 30, 2016Notional
Fair Value
Weighted Average/'Current Maturity Date for Interest RateAmount
Fixed
ReceiveMaturity
Swaps (1)
Pay Rate (2)
Rate (3)
(Years)
3 years~
BP~
n
HzG? %
{Gz? %?> 3 to 5 years~
b
~
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(\@ %
{Gz? %@
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }a/} $ }
}$}$ }
}$}$ }y
MTGE Investment Corp.10Q
08/05/2016%Interest Rate Swap Agreements
December 31, 2015Notional
Fair Value
Weighted Average/'Current Maturity Date for Interest RateAmount
Fixed
ReceiveMaturity
Swaps (4)
Pay Rate (2)
Rate (3)
(Years)
3 years~
4~
q=
ףp? %
=
ףp=? %?> 3 to 5 years~
!~
Q? %
zG? %333333@> 5 to 7 years~
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q=
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Gz@ %
333333? %@
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)Interest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }$} $ }
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MTGE Investment Corp.10Q
08/05/2016)!Interest Rate Swaption Agreements
June 30, 2016OptionUnderlying Swap&Current Option Expiration DateCost
Fair Value ,
$Weighted Average Years to ExpirationNotional AmountPay Rate%Weighted Average Term (Years)
3 months~
6~
b
?~
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*~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption Agreemen 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }$} $ }
+}$ } }$}$ }y#
MTGE Investment Corp.10Q
08/05/2016)!Interest Rate Swaption Agreements
December 31, 2015OptionUnderlying Swap&Current Option Expiration DateCost
Fair Value ,
$Weighted Average Years to ExpirationNotional AmountPay Rate%Weighted Average Term (Years)
3 months~
6~
n
?~
B
~
%~
"> 3 to 12 months~
r
333333?~
Q@ %~
>12 to 24 months~
*~
:
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Gz @ %~
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u~
?~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1)!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }7}$
MTGE Investment Corp.10Q
08/05/2016 23TBA Securities
June 30, 2016
December 31, 20156.Purchase and Sale Contracts for TBA SecuritiesNotionalFair
Notional
Fair
Amount (1) Value (2)
Amount (1)
Value (2)
TBA assets
"Purchase of TBA securities~
+~
g ~
P
~
Sale of TBA securities~
2~
J ~
:Y
~
Total TBA assets~
b%~
~
ʩ
~
TBA liabilities
"Purchase of TBA securities~
J~
~
o
~
Sale of TBA securities~
bn~
~
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~
Total TBA liabilities~
~
F ~
~
Total net TBA~
r~
*z ~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }7}$
MTGE Investment Corp.10Q
08/05/2016=5Offsetting of Financial Assets and Derivative Assets:
*
"Gross Amounts of Recognized Assets
0
(Gross Amounts Offset in the Consolidated
Net Amounts Presented
4
,Gross Amounts Not Offset in the Consolidated
Balance Sheets *
"in the Consolidated Balance Sheets
Balance Sheets
Financial InstrumentsCollateral Received (1)
Net Amount
June 30, 2016
0(Interest rate swaps and swaptions (2)(3)~
2 ~
~
2
~
~
2~
6.Receivable under reverse repurchase agreements~
R ~
R
~
Total~
(~
~
(
~
R~
2~
December 31, 2015
%Interest rate swaps and swaptions (2)~
O~
~
O
~
n~
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V6.Receivable under reverse repurchase agreements~
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~
n7~
N
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.
~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets !Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$
MTGE Investment Corp.10Q
08/05/2016JB 25Offsetting of Financial Liabilities and Derivative Liabilities:
/
'Gross Amounts of Recognized Liabilities
0
(Gross Amounts Offset in the Consolidated
Net Amounts Presented
4
,Gross Amounts Not Offset in the Consolidated
Balance Sheets *
"in the Consolidated Balance Sheets
Balance Sheets
Financial InstrumentsCollateral Pledged (1)
Net Amount
June 30, 2016
"Interest rate swaps (2)(3)~
Y~
~
Y
~
~
v~
Repurchase agreements~
~
~
~
69
FHLB advances~
~
~
rK
Total~
~
~
~
R~
$~
December 31, 2015
Interest rate swaps (2)~
e~
~
e
~
n~
~
Repurchase agreements~
. ~
.
~
n7~
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FHLB advances~
R ~
R
~
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~
~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial LiabNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }0}$
MTGE Investment Corp.10Q
08/05/2016( Note 10. Fair Value Measurements
June 30, 2016Level 1Level 2
Level 3
TotalAssets
Agency securities
~
~
8
~
~
8
Nonagency securities~
"M
~
"M U.S. Treasury securities~
~
Derivative assets~
b
~
b
MSR assets ~
&A
~
&A
Total~
~
~
&A
~
&
Liabilities
Derivative liabilities~
~
~
~
0(Obligation to return securities borrowed~
~
+#under reverse repurchase agreements
Total~
~
~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }0}$
MTGE Investment Corp.10Q
08/05/2016( Note 10. Fair Value Measurements
December 31, 2015Level 1Level 2
Level 3
TotalAssets
Agency securities
~
~
]
~
~
]
Nonagency securities~
_
~
_Derivative assets~
^
~
^
MSR assets ~
~
Total~
~
# ~
~
)
Liabilities
Derivative liabilities~
~
~
~
0(Obligation to return securities borrowed~
F<
~
F<+#under reverse repurchase agreements!MSR financing liabilities ~
~
Total~
F<~
~
~
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Dui]QPX=~MV=PF0*8X>
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l X
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }a/}$
MTGE Investment Corp.10Q
08/05/2016( Note 10. Fair Value Measurements
.
&For the Six Months Ended June 30, 2016'MSR Under Secured Financing (1)Purchased MSR (2)
Total MSR'Balance as of December 31, 2015~
~
&S ~
&
Losses included in net income:
Realized losses~
> ~
>Unrealized losses~
7 ~
7/'Total net losses included in net income~
~
Dispositions~
*8 ~
*8#Balance as of June 30, 2016~
~
&A ~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }U5}$
MTGE Investment Corp.10Q
08/05/2016( Note 10. Fair Value Measurements
.
&For the Six Months Ended June 30, 2015'MSR Under Secured Financing (1)Purchased MSR (2)
Total MSR'Balance as of December 31, 2014~
~
V ~
"&
Losses included in net income:
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*~
> ~
fUnrealized losses~
~
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20(Total net gains (losses) included in net~
~
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z ~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$ }I }$ }y
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MTGE Investment Corp.10Q
08/05/2016
June 30, 2016"Unobservable Level 3 Input
Fair ValueMinimumWeighted
MaximumAverage
Purchased MSR:
~
&A
Constant prepayment rate
10.2%
11.2%
12.0%Constant default rate0.2%0.3%
0.4%
Discount rate8.3%8.8%
9.3%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/0}qvj^6=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2) (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }2}$
MTGE Investment Corp.10Q
08/05/2016*"Note 11. Mortgage Servicing Rights
)
!For the Six Months Ended June 30,~
~
~Beginning balance~
&S~
V'
Additions from purchases of MSR
~
z
%Changes in fair value due to:2*Changes in valuation inputs or assumptions~
7~
used in valuation model'Other changes in fair value (1)~
>~
>Ending balance~
&A~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing RighNote 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
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(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }a/}$
MTGE Investment Corp.10Q
08/05/2016
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#For the Three Months Ended June 30,
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!For the Six Months Ended June 30,~
~
~ ~
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~
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~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
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(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$
MTGE Investment Corp.10Q
08/05/2016Note 12. Other Assets
June 30, 2016
December 31, 2015Servicing advances~
~
QFHLB membership stock~
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other AssetsNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }$4}$
MTGE Investment Corp.10Q
08/05/2016?7Note 13. Accounts Payable and Other Accrued Liabilities
June 30, 2016
December 31, 2015Cash collateral held~
j(~
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~
*
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~
B
~
F
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~
3+Other accounts payable and accrued expenses~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and Ot!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
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(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }y<}$
MTGE Investment Corp.10Q
08/05/2016#Net Income per Common Share
+
#For the Three Months Ended June 30,
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!For the Six Months Ended June 30,~
~
~ ~
~
~3+Weighted average common shares calculation:
8
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~
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~
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08/05/2016( Trends and Recent Market Impacts
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MTGE Investment Corp.10Q
08/05/2016( Trends and Recent Market Impacts
4
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08/05/2016FINANCIAL CONDITION
June 30, 2016
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08/05/2016FINANCIAL CONDITION
June 30, 2016
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08/05/2016 38Agency RMBS
June 30, 2016
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08/05/2016 38Agency RMBS
December 31, 2015
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MTGE Investment Corp.10Q
08/05/2016 38Agency RMBS
June 30, 2016
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Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }I"}
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MTGE Investment Corp.10Q
08/05/2016
December 31, 2015
Fair ValueAmortized Cost Basis
Par Value
Weighted Average
Coupon
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Projected CPR
HARP (1)
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$
MTGE Investment Corp.10Q
08/05/2016 41TBA Investments
June 30, 2016Notional Amount (1)Cost Basis (2)
Market
Net Carrying Value (4)
Value (3)
15 Year
2.5%~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$
MTGE Investment Corp.10Q
08/05/2016 41TBA Investments
December 31, 2015Notional Amount (1)Cost Basis (2)
Market
Net Carrying Value (4)
Value (3)
15 Year
2.5%~
~
~
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~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$ } }$}$ } }$
MTGE Investment Corp.10Q
08/05/2016! 42NonAgency Investments
June 30, 2016FairGross Unrealized
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Coupon (1)
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Prime
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$ } }$}$ } }$
MTGE Investment Corp.10Q
08/05/2016
December 31, 2015FairGross Unrealized
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Value
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~
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
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(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }} $ }
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MTGE Investment Corp.10Q
08/05/2016
June 30, 2016
December 31, 2015
Weighted AverageWeighted AverageWeighted Average Life
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
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(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }0}}$}$ }$}$
MTGE Investment Corp.10Q
08/05/2016
Credit Rating (1)
June 30, 2016
December 31, 2015AAA %~
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Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
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MTGE Investment Corp.10Q
08/05/2016
June 30, 2016Fair'Weighted Average Purchase Price
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Value
Collateral AttributesCurrent Performance
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(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
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MTGE Investment Corp.10Q
08/05/2016
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MTGE Investment Corp.10Q
08/05/2016
June 30, 2016
December 31, 2015
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08/05/2016$ 45Mortgage Servicing Rights
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08/05/2016Financing and Hedging
June 30, 2016
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MTGE Investment Corp.10Q
08/05/2016Financing and Hedging
June 30, 2016
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08/05/2016Financing and Hedging
June 30, 2016Notional
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08/05/2016Financing and Hedging
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08/05/2016Financing and Hedging
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08/05/2016Financing and Hedging
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
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(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }y<}$
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MTGE Investment Corp.10Q
08/05/2016#NonGAAP Financial Measures
+
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures 50Interest Income and (1)
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(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$ } }$}$ } }$}$
MTGE Investment Corp.10Q
08/05/2016+# 50Interest Income and Asset Yields
+
#For the Three Months Ended June 30,~
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~Average Amortized CostWeighted Average Yield Interest Income
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi
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(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$ } }$}$ } }$}$
MTGE Investment Corp.10Q
08/05/2016+# 50Interest Income and Asset Yields
)
!For the Six Months Ended June 30,~
~
~Average Amortized CostWeighted Average Yield Interest Income
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
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(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$
MTGE Investment Corp.10Q
08/05/2016
0
(For the Three Months Ended June 30, 2016
2
*For the Six Months Ended June 30, 2016 vs.vs 2015
~
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1) !Interest Expense and Cost of Fu Interest Expense and Cost (1)
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MTGE Investment Corp.10Q
08/05/2016Leverage
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&Repurchase Agreements and Advances (1)
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&Average Leverage During the Period (2)
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~
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
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(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }a/}$ }}$ }}$
MTGE Investment Corp.10Q
08/05/2016*"Interest Expense and Cost of Funds
+
#For the Three Months Ended June 30,~
~
~AverageRate"Adjusted Cost of Funds (1)AverageRate"Adjusted Cost of Funds (1)
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$
Balance / Effective Notional/'Repurchase agreements and FHLB advances~
]
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.
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }a/}$ }}$ }}$
MTGE Investment Corp.10Q
08/05/2016*"Interest Expense and Cost of Funds
)
!For the Six Months Ended June 30,~
~
~AverageRate"Adjusted Cost of Funds (1)AverageRate"Adjusted Cost of Funds (1)
$
Balance / Effective Notional
$
Balance / Effective Notional/'Repurchase agreements and FHLB advances~
1.02%~
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~
&
0.63%~
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eb
0.80%~
fc
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Gf
1.05%~
$Total adjusted cost of funds
1.36%~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
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(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }a/}$
MTGE Investment Corp.10Q
08/05/2016
0
(For the Three Months Ended June 30, 2016
2
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MTGE Investment Corp.10Q
08/05/2016>6Realized and Unrealized Gain (Loss) on Securities, Net
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08/05/2016>6Realized and Unrealized Gain (Loss) on Securities, Net
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MTGE Investment Corp.10Q
08/05/2016
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(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
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(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }6}$
'
MTGE Investment Corp.10Q
08/05/2016Key Statistics
+
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key Statistics! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }:}$ }$}$ }$} $ }$}
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MTGE Investment Corp.10Q
08/05/2016Key Statistics
+
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!For the Six Months Ended June 30,~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)Repurchase AgreementsInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }U5}$
0
MTGE Investment Corp.10Q
08/05/2016/' 60 61Net Spread and Dollar Roll Income
+
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^!AMERICAN CAPITAL MORTGAGE INVESTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPERCONSOLIDATED STATEMENTS (1)CONSOLIDATED STATEMENTS (2)Note 4 Agency SecuritiesNote 4 Agency S (1)Note 4 Agency S (2)Note 4 Agency S (3)Note 4 Agency S (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolInterest Rate Risk 68Spread Risk 71Item 6 ExhibitsU }}$ }}$ }2
MTGE Investment Corp.10Q
08/05/2016Repurchase Agreements
June 30, 2016Counterparty Region Number of Counterparties2*Percentage of Repurchase Agreement Funding
North America~
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Asia
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*21%
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase Agreements 68Spread Risk 71Item 6 ExhibitsU }U}$ }U}$}$ } }$}$ } } $
MTGE Investment Corp.10Q
08/05/2016Interest Rate Risk %
Interest Rate Sensitivity (1)&Percentage Change in ProjectedChange in Interest RateNet Interest Income (2)Portfolio Value (3) (4)Net Asset Value (3) (5)
June 30, 2016
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 71Item 6 ExhibitsU }2}$ }U}$}$ }U}$
MTGE Investment Corp.10Q
08/05/2016 68Spread Risk #
RMBS Spread Sensitivity (1)&Percentage Change in Projected2*Change in RMBS Spread: Agency / NonAgency&Portfolio Market Value (2) (3) Net Asset
Value (2) (4)
June 30, 201625 / 50 basis pointsffffff? %@ %10 / 25 basis points333333? %@ %+10 / +25 basis points333333 % %+25 / +50 basis pointsffffff % %December 31, 201525 / 50 basis points333333? %!@ %10 / 25 basis points? %333333@ %+10 / +25 basis points %333333 %+25 / +50 basis points333333 %! %$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/> 0{oc{N^nbV.=PF0*8X>
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Investments in R 17Income from (1)!Note 7 Repurchase Agreements anNote 7 Repurchase (1)! 19Note 8 Derivatives and Other 19Note 8 Derivatives and (1) 19Note 8 Derivatives and (2) 19Note 8 Derivatives and (3) 19Note 8 Derivatives and (4)Interest Rate Swap AgreementsInterest Rate Swap (1)Interest Rate Swap (2)!Interest Rate Swaption AgreemenInterest Rate Swaption (1) 23TBA Securities!Offsetting of Financial Assets ! 25Offsetting of Financial Liab!Note 10 Fair Value MeasurementsNote 10 Fair Value (1)Note 10 Fair Value (2)Note 10 Fair Value (3) (2)!Note 11 Mortgage Servicing Righ (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market ImpactTrends and Recent Market (1)FINANCIAL CONDITIONFINANCIAL CONDI (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investme (1) 42NonAgency Investments (5) (6) (7) (8) (9)
(10) 45Mortgage Servicing RightsFinancing and HedgingFinancing and H (1)Financing and H (2)Financing and H (3)Financing and H (4)Financing and H (5)NonGAAP Financial Measures! 50Interest Income and Asset Yi 50Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1)
(11)Servicing Income and Expense! 54Healthcare Real Estate Incom!Realized and Unrealized Gain LoRealized and Unrealized (1)! 56Gain Loss on Other DerivativDividends and Income Taxes
(1)Key StatisticsKey Statistics (1)! 60 61Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 68Spread RiskU }}$ }y<
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MTGE Investment Corp.10Q
08/05/2016 71Item 6. Exhibits
Exhibit No.
Description*3.1,$American Capital Mortgage Investment4,Corp. Articles of Amendment and Restatement,
3
+incorporated herein by reference to Exhibit803.1 of Form 10Q for the quarter ended September530, 2011 (File No. 00135260), filed November 14, 2011.*3.2,$American Capital Mortgage Investment5Corp. Amended and Restated Bylaws, as amended/'by Amendments No. 1 and 2, incorporated2*herein by reference to Exhibit 3.2 of Form0(10Q for the quarter ended September 30,1)2015 (File No. 00135260), filed November6, 2015.*3.3/'Articles Supplementary of 8.125% Series0(A Cumulative Redeemable Preferred Stock,3+incorporated herein by reference to Exhibit3+3.3 of Form 8A (File No. 00135260), filed
May 16, 2014.D lvj^:dpC7P$e !"#$%&'()*+,./0123456789:;<=>? *4.1 : 2Form of Certificate for Common Stock, incorporated!!7!/herein by reference to Exhibit 4.1 of Amendment""2"*No. 3 to Form S11 (Registration Statement###%No. 333173238), filed July 20, 2011.$$$%*4.2%2%*Instruments defining the rights of holders&&5&of securities: See Article VI of our Articles''2'*of Amendment and Restatement, incorporated((2(*herein by reference to Exhibit 3.1 of Form))0)(10Q for the quarter ended September 30,**1*)2011 (File No. 00135260), filed November+++ 14, 2011.,,,*4.32*Instruments defining the rights of holders..5.of securities: See Article VII of our Amended//4/,and Restated Bylaws, as amended by Amendment00/0'No. 1, incorporated herein by reference1111)to Exhibit 3.2 of Amendment No. 4 to Form2252S11 (Registration Statement No. 333173238),333filed July 29, 2011.4445*4.4535+Form of certificate representing the 8.125%6606(Series A Cumulative Redeemable Preferred77/7'Stock, incorporated herein by reference88880to Exhibit 4.1 of Form 8A (File No. 00135260),999filed May 16, 2014.:::
;*10.1;,;$American Capital Mortgage Investment<<3<+Corp. Amended and Restated Equity Incentive===%Plan, as amended, incorporated herein>>1>)by reference to Exhibit 10.1 of Form 10Q??2?*for the quarter ended March 31, 2016 (FileDblSFY
o1[7MQ@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_@@*@"No. 00135260), filed May 5, 2016.AAA
B*10.2B1B)Amended and Restated Management AgreementCC.C&by and among American Capital MortgageDD3D+Investment Corp., American Capital MortgageEE0E(Investment TRS, LLC and American CapitalFF1F)MTGE Management, LLC, dated July 1, 2016,GG3G+incorporated herein by reference to ExhibitHH4H,10.1 of Form 8K (File No. 00135260), filedIII
July 8, 2016.JJJK?@K7K/Certification of CEO Pursuant to Section 302(a)LL*L"of the SarbanesOxley Act of 2002.MMMN333333?@N7N/Certification of CFO Pursuant to Section 302(a)OO*O"of the SarbanesOxley Act of 2002.PPP~
QQ0Q(Certification of CEO and CFO Pursuant toRR0R(Section 906 of the SarbanesOxley Act ofSS~
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