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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#܈ ~~9#܈ ~~3#܈ ~~7#܈ ~~#؈ ~~83ffff̙̙3f3fff3f3f33333f33fMTGE INVESTMENT CORPE#TABLE OF CONTENTS"8CONSOLIDATED BALANCE SHEETS&^CONSOLIDATED STATEMENTS OF OPER&ƙCONSOLIDATED STATEMENTS OF EQUI&$CONSOLIDATED STATEMENTS OF CASHNote 4 Agency Securities#V
Note 4 Agency Securities (1)#&!Note 4 Agency Securities (2)#M9Note 4 Agency Securities (3)#MNote 4 Agency Securities (4)#i 12Realized Gains and LossesPledged AssetsЙPledged Assets (1)Pledged Assets (2)"Note 5 NonAgency Securities_ (1)# 15Realized Gains and Losses6Pledged Assets (3)[OInvestment Activityd`
Notes Payable&q 17Income from Healthcare Real %V 17Income from Healthcare (1)&̘Note 7 Repurchase Agreements an&Note 7 Repurchase Agreement (1)& 19Note 8 Derivatives and Other&q 19Note 8 Derivatives and O (1)& 19Note 8 Derivatives and O (2)&& 19Note 8 Derivatives and O (3)&@ 19Note 8 Derivatives and O (4)&Z 21Interest Rate Swap Agreement&n 21Interest Rate Swap Agree (1)&S 21Interest Rate Swap Agree (2)& 22Interest Rate Swaption Agree&; 22Interest Rate Swaption A (1)TBA Securities&SOffsetting of Financial Assets &Offsetting of Financial Liabili&}! 25Note 10 Fair Value Measureme&< 25Note 10 Fair Value Measu (1)&V 25Note 10 Fair Value Measu (2)&7l 25Note 10 Fair Value Measu (3) (2)&Note 11 Mortgage Servicing Righ (3)9Note 12 Other Assets&Note 13 Accounts Payable and Ot"Net Income per Common Share&Trends and Recent Market Impact&&Trends and Recent Market Im (1)]? 37FINANCIAL CONDITION!S 37FINANCIAL CONDITION (1)Xr 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2)y (4) 41TBA Investments
41TBA Investments (1)#2 42NonAgency InvestmentsN (5)Wk (6) (7) (8)ʳ (9) (10)# 45Mortgage Servicing Rights 46Financing and Hedging#
46Financing and Hedging (1)#{, 46Financing and Hedging (2)#C 46Financing and Hedging (3)Z (11)p (12)!NNonGAAP Financial Measures&1 51Interest Income and Asset Yi& 51Interest Income and Asse (1)
Leverage&Interest Expense and Cost of Fu&5Interest Expense and Cost o (1)K (13)#bServicing Income and Expense& 55Healthcare Real Estate Incom&kRealized and Unrealized Gain Lo&JRealized and Unrealized Gai (1)&M 57Gain Loss on Other Derivativ!9Dividends and Income Taxes6 (14)' Key StatisticsJ Key Statistics (1)&u 61 62Net Spread and Dollar Rol Repurchase Agreementsl Interest Rate Risk 69Spread Risk6 72Item 6 Exhibits
l "
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }%}$ }
MTGE Investment Corp.10Q
11/08/2016MTGE 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/(Tth\8ZNB=PF0*8X>
@
l $618
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }}:}
$
MTGE Investment Corp.10Q
11/08/2016TABLE 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>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }:}$
C
MTGE Investment Corp.10Q
11/08/2016#CONSOLIDATED BALANCE SHEETS
September 30, 2016
December 31, 2015(unaudited)Assets:3
+Agency securities, at fair value (including~
N:
~
]
80pledged securities of $2,760,377 and $3,174,675,
respectively)7/Nonagency securities, at fair value (including~
JrN~
_80pledged securities of $1,170,038 and $1,435,931,
respectively)/'U.S. Treasury securities, at fair value~
N /'(including pledged securities of $4,995and $0, respectively)Land~
~D 5Buildings, furniture, fixtures and equipment,~
'net of accumulated depreciation!Cash and cash equivalents~
~
U
,$Restricted cash and cash equivalents~
~
RInterest receivable~
Z~
( Derivative assets, at fair value~
f~
^&Receivable for securities sold~
" ~
(6.Receivable under reverse repurchase agreements~
:*
~
J00(Mortgage servicing rights, at fair value~
~
D
lznbVh1~e#x= !"#$%&'()*+,./0123456789:;<=>? Other assets~
~
Z !Total assets~
!6+!!~
!N!"Liabilities:"""#Repurchase agreements~
#:##~
#.#'$Federal Home Loan Bank advances~
$$$~
$R$%Secured debt~
%%% %%(& Payable for securities purchased~
&&& &&'%Derivative liabilities, at fair value~
'm''~
''(Dividend payable~
(/((~
(;(0)(Obligation to return securities borrowed~
)&
))~
)F<),*$under reverse repurchase agreements,+
at fair value6,.Accounts payable and other accrued liabilities~
,*,,~
,\,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~
8nD88~
8E89Retained deficit~
9" 99~
9B;9":Total stockholders? equity~
:r<::~
:"~<: ;Noncontrolling interests~
;
;; ;;<Total equity~
<z<<<~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }y<}$
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MTGE Investment Corp.10Q
11/08/2016%CONSOLIDATED STATEMENTS OF OPERATIONS
0
(For the Three Months Ended September 30,
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }a/}
}$ }} )$
#********** *
***
*******************MTGE Investment Corp.10Q
11/08/2016)!CONSOLIDATED STATEMENTS OF EQUITY
Preferred Stock
Common Stock
Additional
Retained
Noncontrolling Interests
Total Equity
PaidinEarnings (Deficit)SharesAmountShares
AmountCapital"
Balance, December 31, 2014~
b"
~
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~
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~
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~
~
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~
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~
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$Preferred dividends declared   

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#Balance, September 30, 2016~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUINote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016%CONSOLIDATED STATEMENTS OF CASH FLOWS
/
'For the Nine Months Ended September 30,~
~
~%CASH FLOWS FROM OPERATING ACTIVITIES:
Net income (loss)~
\
~
.&Adjustments to reconcile net income to1)net cash flows from operating activities:80Amortization of net premium on agency securities~
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~
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{%Unrealized loss (gain) on securities,~
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~
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%^%*&"Purchases of nonagency securities~
&L&&~
&&/''Purchases of MSR, net of purchase price '''~
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*"*2+*Principal collections on agency securities~
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+j+6,.Principal collections on nonagency securities~
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 5.Net proceeds (payments) on reverse repurchase~
...~
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2"22 223
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4R44~
4rR4'5Other investing cash flows, net~
5Μ55~
5F526* Net cash flows from investing activities~
6>66~
6D607(CASH FLOWS USED IN FINANCING ACTIVITIES:7778Dividends paid~
8e88~
8Z849,Net payments for repurchase of common shares~
9b99~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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11/08/2016!Note 4. Agency Securities
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (4) 12Realized Gains and LossesPledged AssetsPledged Assets (1)Pledged Assets (2)Note 5 NonAgency Securities
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Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }0}$
MTGE Investment Corp.10Q
11/08/2016!Note 4. Agency Securities
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016!Note 4. Agency Securities
December 31, 2015
Fannie MaeFreddie Mac
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Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016!Note 4. Agency Securities
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11/08/2016!Note 4. Agency Securities
September 30, 2016
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11/08/2016$ 12Realized Gains and Losses
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MTGE Investment Corp.10Q
11/08/2016Pledged Assets
September 30, 2016Agency RMBS Pledged:
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11/08/2016Pledged Assets
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MTGE Investment Corp.10Q
11/08/2016Pledged Assets
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MTGE Investment Corp.10Q
11/08/2016%Note 5. NonAgency Securities
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MTGE Investment Corp.10Q
11/08/2016
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MTGE Investment Corp.10Q
11/08/2016
September 30, 2016
December 31, 2015
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11/08/2016$ 15Realized Gains and Losses
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11/08/2016Pledged Assets
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11/08/2016Investment Activity
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }6}$
MTGE Investment Corp.10Q
11/08/2016
Notes Payable
/
'For the Nine Months Ended September 30,~
Beginning balance
$
Debt issued
~
*
5Deferred financing costs, net of amortization~
Principal repayments~
"Ending balance~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/0pd(t7RF:=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }$}$
MTGE Investment Corp.10Q
11/08/201691 17Income from Healthcare Real Estate Investments
0
(For the Three Months Ended September 30,
/
'For the Nine Months Ended September 30,~
~
Lease income~
~
"
Rental income
~
*
~
%Healthcare real estate income~
%~
*4Interest expense~
~
Depreciation~
~
Acquisition costs~
~~
Tenant expenses~
*
~
&Healthcare real estate expense~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real !Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }}$
MTGE Investment Corp.10Q
11/08/201691 17Income from Healthcare Real Estate Investments
September 30, 2016~
~
~
~
G~
~
I
~
~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }!}$ } }$}$ } }
$ } }$}$ }
MTGE Investment Corp.10Q
11/08/2016F>Note 7. Repurchase Agreements and Other Financing Arrangements
September 30, 2016
December 31, 2015Weighted Average
Weighted AverageCollateral Type
Borrowings
Interest Rate Days
Borrowings
Interest RateDays
Outstanding
to Maturity
Outstanding
to MaturityAgency securities~
=
ףp=? %~
~
333333? %~
Nonagency securities~
z 5{Gz@ %~
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~
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n U.S. Treasury securities~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }!}$ } }$}$ } }
$ } }$}$ }
MTGE Investment Corp.10Q
11/08/2016F>Note 7. Repurchase Agreements and Other Financing Arrangements
September 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~
B<333333? %~
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~
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~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }}$
MTGE Investment Corp.10Q
11/08/20163+ 19Note 8. Derivatives and Other Securities
September 30, 2016
December 31, 2015Interest rate swaps~
~
B1Interest rate swaptions~
~
TBA securities
~
H
~
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F U.S. Treasury futures ~
( Derivative assets, at fair value~
f~
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/20163+ 19Note 8. Derivatives and Other Securities
0
(For the Three Months Ended September 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
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~
Zj~
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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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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/20163+ 19Note 8. Derivatives and Other Securities
/
'For the Nine Months Ended September 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~
~
"~
~
<~
~
F3Interest rate swaptions ~
~
~
~
TBA securities ~
~
9
~
~
U.S. Treasury securities ~
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.
~
ƫ~
U.S. Treasury futures ~
n ~
~
~
&Short sales of U.S. Treasuries ~
r0~
*
~
{~
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~
Z Interest only swaps ~
~
^
~
~
Credit default swaps ~
~
V
~
B~
Credit default option   
~
: 
FHLB stock ~
: 
  
Total~
~
~
~
<~
_~
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
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MTGE Investment Corp.10Q
11/08/20163+ 19Note 8. Derivatives and Other Securities
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MTGE Investment Corp.10Q
11/08/20163+ 19Note 8. Derivatives and Other Securities
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MTGE Investment Corp.10Q
11/08/2016( 21Interest Rate Swap Agreements
September 30, 2016
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11/08/2016( 21Interest Rate Swap Agreements
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MTGE Investment Corp.10Q
11/08/2016( 21Interest Rate Swap Agreements
December 31, 2015Notional
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MTGE Investment Corp.10Q
11/08/2016,$ 22Interest Rate Swaption Agreements
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MTGE Investment Corp.10Q
11/08/2016,$ 22Interest Rate Swaption Agreements
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11/08/2016TBA Securities
September 30, 2016
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }7}$
MTGE Investment Corp.10Q
11/08/2016=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
September 30, 2016
0(Interest rate swaps and swaptions (2)(3)~
$ ~
~
~
$6.Receivable under reverse repurchase agreements~
:*
 ~
:*
~
>s~
b 
Total~
2D
$ ~
2D
~
Y~
b
$
December 31, 2015
%Interest rate swaps and swaptions (2)~
O
$ ~
O
~
n~
~
V6.Receivable under reverse repurchase agreements~
J0  ~
J0
~
n7~
N 
Total~
.
$ ~
.
~
~
R~
V$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/:l`TH<?%w_CN=PF0*8X>
@1
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets ! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }}$
MTGE Investment Corp.10Q
11/08/2016G?Offsetting 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
September 30, 2016
"Interest rate swaps (2)(3)~
*,
$ ~
*,
~
~
R
$Repurchase agreements~
:  ~
:
~
>s~
A 
FHLB advances~
 ~
~
rK 
Total~
_
$ ~
_
~
Y~
NF/
$
December 31, 2015
Interest rate swaps (2)~
e
$ ~
e
~
n~
$Repurchase agreements~
.  ~
.
~
n7~
j0 
FHLB advances~
R  ~
R
~

Total~
$ ~
~
~
"
$$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/>0bVJ>20i_\bm$ +=PF0*8X>
@=
l :
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }0}$
MTGE Investment Corp.10Q
11/08/2016+# 25Note 10. Fair Value Measurements
September 30, 2016Level 1Level 2
Level 3
TotalAssets
Agency securities
$
~
N:
$
~
N:
Nonagency securities ~
JrN

~
JrN U.S. Treasury securities~
N 

~
NDerivative assets ~
f

~
f
MSR assets   ~
~
Total~
N~
r ~
~
w
Liabilities
Derivative liabilities
$~
m
$
~
m0(Obligation to return securities borrowed~
&


~
&
+#under reverse repurchase agreements
Total~
&
~
m
$
~
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D~rfZNLT.{&C=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }0}$
MTGE Investment Corp.10Q
11/08/2016+# 25Note 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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D~rfZNMU6uDzK=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }a/}$
MTGE Investment Corp.10Q
11/08/2016+# 25Note 10. Fair Value Measurements
/
'For the Nine Months Ended September 30,~
#MSR Under Secured FinancingPurchased MSR (2)
Total MSR'
Balance as of December 31, 2015
~
~
&S
~
&Losses included in net income:
Realized losses ~
~
Unrealized losses ~
8 ~
8/'Total net losses included in net income ~
z ~
zDispositions~
*8  ~
*8( Balance as of September 30, 2016
$~
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6~rfZNgAb=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }U5}$
MTGE Investment Corp.10Q
11/08/2016+# 25Note 10. Fair Value Measurements
/
'For the Nine Months Ended September 30,~
~'MSR Under Secured Financing (1)Purchased MSR (2)
Total MSR'
Balance as of December 31, 2014
~
~
V
~
"
&Losses included in net income:
Realized losses~
~
~
vk!Unrealized gains (losses)~
~
~
/'Total net losses included in net income~
~
L ~
nG4,Purchases, net of purchase price adjustments ~
~
( Balance as of September 30, 2015~
b~
>C ~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6 ~rfZNgA3}U=PF0*8X>
@
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }}$ }I }$ }y
} $ }
I
MTGE Investment Corp.10Q
11/08/2016
September 30, 2016"Unobservable Level 3 Input
Fair ValueMinimumWeighted
MaximumAverage
Purchased MSR:
~
Constant prepayment rate
11.1%
11.3%
11.5%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}qqeY1=PF0*8X>
@2
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (3) (2) (3)Note 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }2}$
MTGE Investment Corp.10Q
11/08/2016*"Note 11. Mortgage Servicing Rights
/
'For the Nine Months Ended September 30,~
~
~Beginning balance~
&S~
V'
Additions from purchases of MSR

~
%Changes in fair value due to:2*Changes in valuation inputs or assumptions~
8~
used in valuation model'Other changes in fair value (1)~
~
Ending balance~
~
>C$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4sg[OXy {^=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (3) (2)!Note 11 Mortgage Servicing RighNote 12 Other Assets!Note 13 Accounts Payable and OtNet Income per Common Share!Trends and Recent Market Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }a/}$
MTGE Investment Corp.10Q
11/08/2016
0
(For the Three Months Ended September 30,
/
'For the Nine Months Ended September 30,~
~
~ ~
~
~Servicing fee income~
^;~
~
~
w
%Incentive, ancillary and other income
~
~
3
~
.6
~
Servicing income~
=~
~
~
B
/'Employee compensation and benefit costs~
V~
{ ~
~
:fFacility costs~
r~
J& ~
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11/08/2016Note 12. Other Assets
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11/08/2016?7Note 13. Accounts Payable and Other Accrued Liabilities
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11/08/2016#Net Income per Common Share
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11/08/2016( Trends and Recent Market Impacts
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MTGE Investment Corp.10Q
11/08/2016( Trends and Recent Market Impacts
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MTGE Investment Corp.10Q
11/08/2016 37FINANCIAL CONDITION
September 30, 2016
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MTGE Investment Corp.10Q
11/08/2016 37FINANCIAL CONDITION
September 30, 2016
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MTGE Investment Corp.10Q
11/08/2016 38Agency RMBS
September 30, 2016
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016 38Agency RMBS
December 31, 2015
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016 38Agency RMBS
September 30, 2016
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016
December 31, 2015
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016 41TBA Investments
September 30, 2016Notional Amount (1)Cost Basis (2)
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Net Carrying Value (4)
Value (3)
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }}$
MTGE Investment Corp.10Q
11/08/2016 41TBA Investments
December 31, 2015Notional Amount (1)Cost Basis (2)
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Net Carrying Value (4)
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Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016! 42NonAgency Investments
September 30, 2016FairGross Unrealized
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Losses
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
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MTGE Investment Corp.10Q
11/08/2016
December 31, 2015FairGross Unrealized
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Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016
September 30, 2016
December 31, 2015
Weighted AverageWeighted AverageWeighted Average Life
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MTGE Investment Corp.10Q
11/08/2016
Credit Rating (1)
September 30, 2016
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MTGE Investment Corp.10Q
11/08/2016
September 30, 2016Fair'Weighted Average Purchase Price
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MTGE Investment Corp.10Q
11/08/2016
December 31, 2015Fair'Weighted Average Purchase Price
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Collateral AttributesCurrent Performance
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Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016
September 30, 2016
December 31, 2015
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MTGE Investment Corp.10Q
11/08/2016$ 45Mortgage Servicing Rights
September 30, 2016
December 31, 2015/'Unpaid principal balance (in thousands)~
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MTGE Investment Corp.10Q
11/08/2016 46Financing and Hedging
September 30, 2016
December 31, 2015Weighted Average
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MTGE Investment Corp.10Q
11/08/2016 46Financing and Hedging
September 30, 2016
December 31, 2015Weighted Average
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Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }a/} $ }
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MTGE Investment Corp.10Q
11/08/2016 46Financing and Hedging
September 30, 2016Notional
Fair Value
Weighted Average/'Current Maturity Date for Interest RateAmount
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016 46Financing and Hedging
December 31, 2015Notional
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }$} $ }
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MTGE Investment Corp.10Q
11/08/2016
September 30, 2016OptionUnderlying Swap&Current Option Expiration DateCost
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }$} $ }
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MTGE Investment Corp.10Q
11/08/2016
December 31, 2015OptionUnderlying Swap&Current Option Expiration DateCost
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016#NonGAAP Financial Measures
0
(For the Three Months Ended September 30,
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016+# 51Interest Income and Asset Yields
0
(For the Three Months Ended September 30,~
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Average Amortized CostWeighted Average YieldInterest Income
Agency RMBS (1)
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Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi
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MTGE Investment Corp.10Q
11/08/2016+# 51Interest Income and Asset Yields
/
'For the Nine Months Ended September 30,~
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Average Amortized CostWeighted Average YieldInterest Income
Agency RMBS (1)
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }}$
MTGE Investment Corp.10Q
11/08/2016
0
(For the Three Months Ended September 30,
/
'For the Nine Months Ended September 30,2016 vs 2015
2016 vs. 2015Increase / (Decrease)$Due to Change in Average (1)
Increase / (Decrease)$Due to Change in Average (1)
Volume
Yield
Volume
YieldAgency RMBS~
~
: ~
~
ƻ~
~
ʳNonagency securities~
~
~
~
~
B~
Total~
~
ʸ ~
~
~
>~
z$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/0 }qEe=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1) !Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }a}
$ } }$}$ }0.}$ }y#}$ }0.}$ }}$ }}$ }
MTGE Investment Corp.10Q
11/08/2016Leverage
.
&Repurchase Agreements and Advances (1)
Average
.
&Average Leverage During the Period (2)
%
Leverage as of Period End (3)
.
&Adjusted Leverage as of Period End (4)
Interest
Quarter Ended( Average Daily Amount Outstanding( Maximum Daily Amount Outstanding !
Ending Amount Outstanding
!Rate as of Period End (1)
September 30, 2016
~
~
~
(\?
%
4.0x
3.7x
5.0x
June 30, 2016~
]~
~
p=
ף? %4.2x4.5x4.9xMarch 31, 2016~
2~
~
^
~
%4.4x4.4x4.6xDecember 31, 2015~
~
? ~
~
)\(? %4.4x4.4x4.5xSeptember 30, 2015~
W~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }a/}$ }}$ }}$
MTGE Investment Corp.10Q
11/08/2016*"Interest Expense and Cost of Funds
0
(For the Three Months Ended September 30,~
~
~AverageRate"Adjusted Cost of Funds (1)AverageRate"Adjusted Cost of Funds (1)
$
Balance / Effective Notional
$
Balance / Effective Notional/'Repurchase agreements and FHLB advances~
1.09%~
~
W
0.73%~
vInterest rate swaps~
co
0.44%~
~
\
0.99%~
F;$Total adjusted cost of funds
1.30%~
n
1.09%~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }a/}$ }}$ }}$
MTGE Investment Corp.10Q
11/08/2016*"Interest Expense and Cost of Funds
/
'For the Nine Months Ended September 30,~
~
~AverageRate"Adjusted Cost of Funds (1)AverageRate"Adjusted Cost of Funds (1)
$
Balance / Effective Notional
$
Balance / Effective Notional/'Repurchase agreements and FHLB advances~
Z
1.04%~
~
0.66%~
&aInterest rate swaps~
rf
0.67%~
J
~
c
1.03%~
$Total adjusted cost of funds
1.34%~
BO
1.02%~
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l 8a
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }a/}$
MTGE Investment Corp.10Q
11/08/2016
0
(For the Three Months Ended September 30,
/
'For the Nine Months Ended September 30,2016 vs 2015
2016 vs. 2015Increase / (Decrease)$Due to Change in Average (1)
Increase / (Decrease)$Due to Change in Average (1)
Volume
Rate
Volume
Rate/'Repurchase agreements and FHLB advances~
'~
* ~
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~
j~
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Interest rate swaps~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }a/}$
MTGE Investment Corp.10Q
11/08/2016$Servicing Income and Expense
0
(For the Three Months Ended September 30,
/
'For the Nine Months Ended September 30,~
~
~ ~
~
~Servicing fee income~
^;~
~
~
w
%Incentive, ancillary and other income
~
~
3
~
.6
~
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~
~
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/'Employee compensation and benefit costs~
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{ ~
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:fFacility costs~
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J& ~
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z*"Realization of cash flows from MSR~
,~
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{Other servicing costs~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }$}$
MTGE Investment Corp.10Q
11/08/20164, 55Healthcare Real Estate Income and Expense
0
(For the Three Months Ended September 30,
/
'For the Nine Months Ended September 30,~
~
Lease income~
~
"
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~
*
~
%Healthcare real estate income~
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*4Interest expense~
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*
~
&Healthcare real estate expense~
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1Net healthcare income~
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016>6Realized and Unrealized Gain (Loss) on Securities, Net
0
(For the Three Months Ended September 30,
/
'For the Nine Months Ended September 30,~
~
~ ~
~
~&Proceeds from agency RMBS sold~
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~
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~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase AgreementsInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }1}$
MTGE Investment Corp.10Q
11/08/2016>6Realized and Unrealized Gain (Loss) on Securities, Net
0
(For the Three Months Ended September 30,
/
'For the Nine Months Ended September 30,~
~
~ ~
~
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MTGE Investment Corp.10Q
11/08/2016?7 57Gain (Loss) on Other Derivatives and Securities, Net
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11/08/2016"Dividends and Income Taxes
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MTGE Investment Corp.10Q
11/08/2016
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MTGE Investment Corp.10Q
11/08/2016Key Statistics
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11/08/2016Key Statistics
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11/08/2016/' 61 62Net Spread and Dollar Roll Income
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??^MTGE INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF OPER!CONSOLIDATED STATEMENTS OF EQUI!CONSOLIDATED STATEMENTS OF CASHNote 4 Agency SecuritiesNote 4 Agency Securities (1)Note 4 Agency Securities (2)Note 4 Agency Securities (3)Note 4 Agency Securities (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 Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolInterest Rate Risk 69Spread Risk 72Item 6 ExhibitsU }}$ }}$ }2
MTGE Investment Corp.10Q
11/08/2016Repurchase Agreements
September 30, 2016Counterparty Region Number of Counterparties2*Percentage of Repurchase Agreement Funding
North America~
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*18%
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1) (13)Servicing Income and Expense! 55Healthcare Real Estate Incom!Realized and Unrealized Gain Lo!Realized and Unrealized Gai (1)! 57Gain Loss on Other DerivativDividends and Income Taxes (14)Key StatisticsKey Statistics (1)! 61 62Net Spread and Dollar RolRepurchase Agreements 69Spread Risk 72Item 6 ExhibitsU }U}$ }U}$}$ } }$}$ } } $
MTGE Investment Corp.10Q
11/08/2016Interest 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)
September 30, 2016
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016 69Spread Risk #
RMBS Spread Sensitivity (1)&Percentage Change in Projected2*Change in RMBS Spread: Agency / NonAgency&Portfolio Market Value (2) (3) Net Asset
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(1) 15Realized Gains and LossesPledged Assets (3)Investment Activity
Notes Payable! 17Income from Healthcare Real 17Income from Healthcare (1)!Note 7 Repurchase Agreements an!Note 7 Repurchase Agreement (1)! 19Note 8 Derivatives and Other! 19Note 8 Derivatives and O (1)! 19Note 8 Derivatives and O (2)! 19Note 8 Derivatives and O (3)! 19Note 8 Derivatives and O (4)! 21Interest Rate Swap Agreement! 21Interest Rate Swap Agree (1)! 21Interest Rate Swap Agree (2)! 22Interest Rate Swaption Agree! 22Interest Rate Swaption A (1)TBA Securities!Offsetting of Financial Assets !Offsetting of Financial Liabili! 25Note 10 Fair Value Measureme! 25Note 10 Fair Value Measu (1)! 25Note 10 Fair Value Measu (2)! 25Note 10 Fair Value Measu (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 Impact!Trends and Recent Market Im (1) 37FINANCIAL CONDITION 37FINANCIAL CONDITION (1) 38Agency RMBS 38Agency RMBS (1) 38Agency RMBS (2) (4) 41TBA Investments 41TBA Investments (1) 42NonAgency Investments (5) (6) (7) (8) (9) (10) 45Mortgage Servicing Rights 46Financing and Hedging 46Financing and Hedging (1) 46Financing and Hedging (2) 46Financing and Hedging (3) (11) (12)NonGAAP Financial Measures! 51Interest Income and Asset Yi! 51Interest Income and Asse (1)
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MTGE Investment Corp.10Q
11/08/2016 72Item 6. Exhibits
Exhibit No.
Description@3+MTGE Investment Corp. Articles of Amendment,$and Restatement, effective September
30, 2016, filed herewith @2*MTGE Investment Corp. Amended and Restated%Bylaws, effective September 30, 2016,filed herewith*3.3/'Articles Supplementary of 8.125% Series0(A Cumulative Redeemable Preferred Stock,3+incorporated herein by reference to Exhibit3+3.3 of Form 8A (File No. 00135260), filed
May 16, 2014.ffffff@3+Form of Certificate for Common Stock, filedherewith@2*Instruments defining the rights of holders5of securities: See Article VI of our Articles4,of Amendment and Restatement, filed herewithDlvj^:c'f4u&8 !"#$%&'()*+,./0123456789:;<=>? 333333@ 2 *Instruments defining the rights of holders!!5!of securities: See Article VII of our Amended""+"#and Restated Bylaws, filed herewith###$*4.4$3$+Form of certificate representing the 8.125%%%0%(Series A Cumulative Redeemable Preferred&&/&'Stock, incorporated herein by reference''8'0to Exhibit 4.1 of Form 8A (File No. 00135260),(((filed May 16, 2014.)))
**10.1*1*)Amended and Restated Management Agreement++.+&by and among American Capital Mortgage,,3,+Investment Corp., American Capital Mortgage0(Investment TRS, LLC and American Capital..1.)MTGE Management, LLC, dated July 1, 2016,//3/+incorporated herein by reference to Exhibit0040,10.1 of Form 8K (File No. 00135260), filed111
July 8, 2016.2223?@373/Certification of CEO Pursuant to Section 302(a)44*4"of the SarbanesOxley Act of 2002.5556333333?@676/Certification of CFO Pursuant to Section 302(a)77*7"of the SarbanesOxley Act of 2002.888~
9909(Certification of CEO and CFO Pursuant to::0:(Section 906 of the SarbanesOxley Act of;;~
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