MARYLAND | 26-0630461 | |
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) |
Class | Outstanding at July 31, 2018 |
Common Stock, $0.01 par value | 187,006,450 |
Consolidated Statements of Financial Condition as of June 30, 2018 (Unaudited) and December 31, 2017 (Derived from the audited consolidated financial statements as of December 31, 2017) | |
Consolidated Statements of Operations (Unaudited) for the quarters and six months ended June 30, 2018 and 2017 | |
Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and six months ended June 30, 2018 and 2017 | |
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the six months ended June 30, 2018 and 2017 | |
Consolidated Statements of Cash Flows (Unaudited) for the six months ended June 30, 2018 and 2017 | |
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds | |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
(Unaudited) | ||||||
June 30, 2018 | December 31, 2017 | |||||
Assets: | ||||||
Cash and cash equivalents | $ | 90,671 | $ | 63,569 | ||
Non-Agency RMBS, at fair value | 2,593,422 | 2,851,316 | ||||
Agency MBS, at fair value | 6,989,329 | 4,364,828 | ||||
Loans held for investment, at fair value | 13,246,521 | 13,678,263 | ||||
Accrued interest receivable | 106,877 | 100,789 | ||||
Other assets | 106,594 | 114,391 | ||||
Derivatives, at fair value, net | 129,341 | 48,914 | ||||
Total assets (1) | $ | 23,262,755 | $ | 21,222,070 | ||
Liabilities: | ||||||
Repurchase agreements ($10.6 billion and $8.8 billion, pledged as collateral, respectively) | $ | 9,127,048 | $ | 7,250,452 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.3 billion and $1.6 billion pledged as collateral, respectively) | 179,742 | 205,780 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($13.0 billion and $13.3 billion pledged as collateral, respectively) | 9,340,368 | 9,388,657 | ||||
Payable for investments purchased | 784,425 | 567,440 | ||||
Accrued interest payable | 71,405 | 61,888 | ||||
Dividends payable | 95,807 | 95,365 | ||||
Accounts payable and other liabilities | 13,818 | 17,191 | ||||
Derivatives, at fair value, net | — | 320 | ||||
Total liabilities (1) | $ | 19,612,613 | $ | 17,587,093 | ||
Commitments and Contingencies (See Note 15) | ||||||
Stockholders' Equity: | ||||||
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized: | ||||||
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference) | $ | 58 | $ | 58 | ||
8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively ($325,000 liquidation preference) | 130 | 130 | ||||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,006,450 and 187,809,288 shares issued and outstanding, respectively | 1,870 | 1,878 | ||||
Additional paid-in-capital | 3,816,631 | 3,826,691 | ||||
Accumulated other comprehensive income | 671,651 | 796,902 | ||||
Cumulative earnings | 3,324,968 | 2,967,852 | ||||
Cumulative distributions to stockholders | (4,165,166 | ) | (3,958,534 | ) | ||
Total stockholders' equity | $ | 3,650,142 | $ | 3,634,977 | ||
Total liabilities and stockholders' equity | $ | 23,262,755 | $ | 21,222,070 |
CHIMERA INVESTMENT CORPORATION | |||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||||||
(dollars in thousands, except share and per share data) | |||||||||||||
(Unaudited) | |||||||||||||
For the Quarters Ended | For the Six Months Ended | ||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||
Net interest income: | |||||||||||||
Interest income (1) | $ | 306,436 | $ | 288,644 | $ | 603,567 | $ | 539,988 | |||||
Interest expense (2) | 161,266 | 137,955 | 310,518 | 248,186 | |||||||||
Net interest income | 145,170 | 150,689 | 293,049 | 291,802 | |||||||||
Other-than-temporary impairments: | |||||||||||||
Total other-than-temporary impairment losses | (805 | ) | (749 | ) | (1,099 | ) | (3,462 | ) | |||||
Portion of loss recognized in other comprehensive income | (8,326 | ) | (12,760 | ) | (9,190 | ) | (28,748 | ) | |||||
Net other-than-temporary credit impairment losses | (9,131 | ) | (13,509 | ) | (10,289 | ) | (32,210 | ) | |||||
Other investment gains (losses): | |||||||||||||
Net unrealized gains (losses) on derivatives | 25,895 | 5,802 | 107,314 | 10,698 | |||||||||
Realized gains (losses) on terminations of interest rate swaps | — | (16,143 | ) | — | (16,143 | ) | |||||||
Net realized gains (losses) on derivatives | (1,393 | ) | (11,481 | ) | 11,693 | (20,839 | ) | ||||||
Net gains (losses) on derivatives | 24,502 | (21,822 | ) | 119,007 | (26,284 | ) | |||||||
Net unrealized gains (losses) on financial instruments at fair value | (18,364 | ) | 67,762 | (3,898 | ) | 140,005 | |||||||
Net realized gains (losses) on sales of investments | 2,167 | 4,541 | 2,167 | 9,708 | |||||||||
Gains (losses) on extinguishment of debt | 387 | (48,014 | ) | 10,057 | (48,014 | ) | |||||||
Total other gains (losses) | 8,692 | 2,467 | 127,333 | 75,415 | |||||||||
Other expenses: | |||||||||||||
Compensation and benefits | 8,689 | 7,671 | 17,100 | 15,227 | |||||||||
General and administrative expenses | 5,860 | 4,585 | 11,349 | 8,625 | |||||||||
Servicing fees | 9,943 | 10,890 | 21,277 | 20,478 | |||||||||
Deal expenses | 2,095 | 1,345 | 3,183 | 12,698 | |||||||||
Total other expenses | 26,587 | 24,491 | 52,909 | 57,028 | |||||||||
Income (loss) before income taxes | 118,144 | 115,156 | 357,184 | $ | 277,979 | ||||||||
Income taxes | 36 | 139 | 68 | $ | 155 | ||||||||
Net income (loss) | $ | 118,108 | $ | 115,017 | $ | 357,116 | $ | 277,824 | |||||
Dividend on preferred stock | 9,400 | 9,400 | 18,800 | 14,683 | |||||||||
Net income (loss) available to common shareholders | $ | 108,708 | $ | 105,617 | $ | 338,316 | $ | 263,141 | |||||
Net income (loss) per share available to common shareholders: | |||||||||||||
Basic | $ | 0.58 | $ | 0.56 | $ | 1.81 | $ | 1.40 | |||||
Diluted | $ | 0.58 | $ | 0.56 | $ | 1.80 | $ | 1.40 | |||||
Weighted average number of common shares outstanding: | |||||||||||||
Basic | 186,994,743 | 187,779,406 | 187,272,469 | 187,770,626 | |||||||||
Diluted | 187,422,145 | 188,142,551 | 187,738,443 | 188,169,093 | |||||||||
Dividends declared per share of common stock | $ | 0.50 | $ | 0.50 | $ | 1.00 | $ | 1.00 | |||||
CHIMERA INVESTMENT CORPORATION | ||||||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | ||||||||||||
(dollars in thousands, except share and per share data) | ||||||||||||
(Unaudited) | ||||||||||||
For the Quarters Ended | For the Six Months Ended | |||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | |||||||||
Comprehensive income (loss): | ||||||||||||
Net income (loss) | $ | 118,108 | $ | 115,017 | $ | 357,116 | $ | 277,824 | ||||
Other comprehensive income: | ||||||||||||
Unrealized gains (losses) on available-for-sale securities, net | (42,341 | ) | 41,655 | (131,157 | ) | 37,744 | ||||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 9,131 | 13,509 | 10,289 | 32,210 | ||||||||
Reclassification adjustment for net realized losses (gains) included in net income | (4,383 | ) | (2,591 | ) | (4,383 | ) | (7,777 | ) | ||||
Other comprehensive income (loss) | (37,593 | ) | 52,573 | (125,251 | ) | 62,177 | ||||||
Comprehensive income (loss) before preferred stock dividends | $ | 80,515 | $ | 167,590 | $ | 231,865 | $ | 340,001 | ||||
Dividends on preferred stock | $ | 9,400 | $ | 9,400 | $ | 18,800 | $ | 14,683 | ||||
Comprehensive income (loss) available to common stock shareholders | $ | 71,115 | $ | 158,190 | $ | 213,065 | $ | 325,318 |
CHIMERA INVESTMENT CORPORATION | ||||||||||||||||||||||||
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY | ||||||||||||||||||||||||
(dollars in thousands, except per share data) | ||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Series A Preferred Stock Par Value | Series B Preferred Stock Par Value | Common Stock Par Value | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||
Balance, December 31, 2016 | $ | 58 | $ | — | $ | 1,877 | $ | 3,508,779 | $ | 718,106 | $ | 2,443,184 | $ | (3,548,471 | ) | $ | 3,123,533 | |||||||
Net income (loss) | — | — | — | — | — | 277,824 | — | 277,824 | ||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | 62,177 | — | — | 62,177 | ||||||||||||||||
Stock based compensation | — | — | 1 | 1,602 | — | — | — | 1,603 | ||||||||||||||||
Common dividends declared | — | — | — | — | — | — | (188,196 | ) | (188,196 | ) | ||||||||||||||
Preferred dividends declared | — | — | — | — | — | — | (14,683 | ) | (14,683 | ) | ||||||||||||||
Issuance of preferred stock | — | 130 | — | 314,299 | — | — | — | 314,429 | ||||||||||||||||
Balance, June 30, 2017 | $ | 58 | $ | 130 | $ | 1,878 | $ | 3,824,680 | $ | 780,283 | $ | 2,721,008 | $ | (3,751,350 | ) | $ | 3,576,687 | |||||||
Balance, December 31, 2017 | $ | 58 | $ | 130 | $ | 1,878 | $ | 3,826,691 | $ | 796,902 | $ | 2,967,852 | $ | (3,958,534 | ) | $ | 3,634,977 | |||||||
Net income (loss) | — | — | — | — | — | 357,116 | — | 357,116 | ||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | (125,251 | ) | — | — | (125,251 | ) | ||||||||||||||
Repurchase of common stock | — | — | (8 | ) | (14,826 | ) | — | — | — | (14,834 | ) | |||||||||||||
Stock based compensation | — | — | — | 4,766 | — | — | — | 4,766 | ||||||||||||||||
Common dividends declared | — | — | — | — | — | — | (187,832 | ) | (187,832 | ) | ||||||||||||||
Preferred dividends declared | — | — | — | — | — | — | (18,800 | ) | (18,800 | ) | ||||||||||||||
Balance, June 30, 2018 | $ | 58 | $ | 130 | $ | 1,870 | $ | 3,816,631 | $ | 671,651 | $ | 3,324,968 | $ | (4,165,166 | ) | $ | 3,650,142 |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS | ||||||
(dollars in thousands) | ||||||
(Unaudited) | ||||||
For the Six Months Ended | ||||||
June 30, 2018 | June 30, 2017 | |||||
Cash Flows From Operating Activities: | ||||||
Net income | $ | 357,116 | $ | 277,824 | ||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||||
(Accretion) amortization of investment discounts/premiums, net | 11,301 | (8,397 | ) | |||
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net | (5,911 | ) | 8,433 | |||
Amortization of swaption premium | 1,157 | 4,385 | ||||
Net unrealized losses (gains) on derivatives | (107,314 | ) | (10,698 | ) | ||
Margin (paid) received on derivatives | 19,171 | 2,161 | ||||
Net unrealized losses (gains) on financial instruments at fair value | 3,898 | (140,005 | ) | |||
Net realized losses (gains) on sales of investments | (2,167 | ) | (9,708 | ) | ||
Net other-than-temporary credit impairment losses | 10,289 | 32,210 | ||||
(Gain) loss on extinguishment of debt | (10,057 | ) | 48,014 | |||
Equity-based compensation expense | 4,766 | 1,603 | ||||
Changes in operating assets: | ||||||
Decrease (increase) in accrued interest receivable, net | (6,088 | ) | (18,382 | ) | ||
Decrease (increase) in other assets | 23,711 | (7,121 | ) | |||
Changes in operating liabilities: | ||||||
Increase (decrease) in accounts payable and other liabilities | (3,374 | ) | (3,249 | ) | ||
Increase (decrease) in accrued interest payable, net | 9,518 | 6,186 | ||||
Net cash provided by (used in) operating activities | $ | 306,016 | $ | 183,256 | ||
Cash Flows From Investing Activities: | ||||||
Agency MBS portfolio: | ||||||
Purchases | $ | (2,764,785 | ) | $ | (260,518 | ) |
Sales | 172 | 141,191 | ||||
Principal payments | 205,093 | 220,882 | ||||
Non-Agency RMBS portfolio: | ||||||
Purchases | (70,043 | ) | (5,663 | ) | ||
Sales | 10,407 | 5,045 | ||||
Principal payments | 327,923 | 263,804 | ||||
Loans held for investment: | ||||||
Purchases | (924,283 | ) | (4,515,440 | ) | ||
Sales | 379,002 | — | ||||
Principal payments | 944,146 | 808,067 | ||||
Net cash provided by (used in) investing activities | $ | (1,892,368 | ) | $ | (3,342,632 | ) |
Cash Flows From Financing Activities: | ||||||
Proceeds from repurchase agreements | $ | 31,403,682 | $ | 16,994,467 | ||
Payments on repurchase agreements | (29,525,962 | ) | (16,341,218 | ) | ||
Net proceeds from preferred stock offerings | — | 314,429 | ||||
Payments on repurchase of common stock | (14,834 | ) | — | |||
Proceeds from securitized debt borrowings, collateralized by loans held for investment | 1,170,009 | 3,532,918 | ||||
Payments on securitized debt borrowings, collateralized by loans held for investment | (1,188,154 | ) | (1,074,027 | ) | ||
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (25,097 | ) | (71,089 | ) | ||
Common dividends paid | (187,390 | ) | (187,943 | ) | ||
Preferred dividends paid | (18,800 | ) | (17,132 | ) | ||
Net cash provided by (used in) financing activities | $ | 1,613,454 | $ | 3,150,405 | ||
Net increase (decrease) in cash and cash equivalents | 27,102 | (8,971 | ) |
Cash and cash equivalents at beginning of period | 63,569 | 177,714 | ||||
Cash and cash equivalents at end of period | $ | 90,671 | $ | 168,743 | ||
Supplemental disclosure of cash flow information: | ||||||
Interest received | $ | 608,779 | $ | 513,210 | ||
Interest paid | $ | 306,911 | $ | 233,568 | ||
Non-cash investing activities: | ||||||
Payable for investments purchased | $ | 784,425 | $ | 1,046,720 | ||
Net change in unrealized gain (loss) on available-for sale securities | $ | (125,251 | ) | $ | 62,177 | |
Non-cash financing activities: | ||||||
Common dividends declared, not yet paid | $ | 95,807 | $ | 94,809 |
CHIMERA INVESTMENT CORPORATION NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
June 30, 2018 | ||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||
Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||
Senior | $ | 2,522,667 | $ | 628 | $ | (1,180,560 | ) | $ | 1,342,735 | $ | 2,063,786 | $ | 721,524 | $ | (473 | ) | $ | 721,051 | ||||||
Senior, interest-only | 5,282,885 | 302,960 | — | 302,960 | 252,324 | 26,074 | (76,710 | ) | (50,636 | ) | ||||||||||||||
Subordinated | 365,499 | 9,842 | (170,202 | ) | 205,139 | 266,830 | 61,963 | (272 | ) | 61,691 | ||||||||||||||
Subordinated, interest-only | 206,557 | 9,279 | — | 9,279 | 10,482 | 1,830 | (627 | ) | 1,203 | |||||||||||||||
Agency MBS | ||||||||||||||||||||||||
Residential | 4,527,730 | 167,342 | — | 4,695,072 | 4,612,920 | 9,528 | (91,680 | ) | (82,152 | ) | ||||||||||||||
Commercial | 2,300,891 | 52,422 | (4,509 | ) | 2,348,804 | 2,273,508 | 944 | (76,240 | ) | (75,296 | ) | |||||||||||||
Interest-only | 3,010,512 | 109,938 | — | 109,938 | 102,901 | 954 | (7,991 | ) | (7,037 | ) | ||||||||||||||
Total | $ | 18,216,741 | $ | 652,411 | $ | (1,355,271 | ) | $ | 9,013,927 | $ | 9,582,751 | $ | 822,817 | $ | (253,993 | ) | $ | 568,824 |
December 31, 2017 | ||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||
Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||
Senior | $ | 2,733,926 | $ | 540 | $ | (1,257,103 | ) | $ | 1,477,363 | $ | 2,231,415 | $ | 754,234 | $ | (182 | ) | $ | 754,052 | ||||||
Senior, interest-only | 4,862,461 | 262,996 | — | 262,996 | 210,850 | 15,761 | (67,907 | ) | (52,146 | ) | ||||||||||||||
Subordinated | 501,455 | 10,571 | (177,206 | ) | 334,820 | 401,225 | 66,704 | (299 | ) | 66,405 | ||||||||||||||
Subordinated, interest-only | 201,378 | 7,369 | — | 7,369 | 7,826 | 902 | (445 | ) | 457 | |||||||||||||||
Agency MBS | ||||||||||||||||||||||||
Residential | 2,227,128 | 123,245 | — | 2,350,373 | 2,322,180 | 5,706 | (33,899 | ) | (28,193 | ) | ||||||||||||||
Commercial | 1,894,594 | 47,430 | (4,685 | ) | 1,937,339 | 1,938,281 | 17,041 | (16,099 | ) | 942 | ||||||||||||||
Interest-only | 3,021,840 | 111,277 | — | 111,277 | 104,367 | 834 | (7,744 | ) | (6,910 | ) | ||||||||||||||
Total | $ | 15,442,782 | $ | 563,428 | $ | (1,438,994 | ) | $ | 6,481,537 | $ | 7,216,144 | $ | 861,182 | $ | (126,575 | ) | $ | 734,607 |
For the Quarters Ended | For the Six Months Ended | |||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | |||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||
Balance at beginning of period | $ | 1,293,996 | $ | 1,513,416 | $ | 1,303,590 | $ | 1,550,110 | ||||
Purchases | 5,734 | 1,969 | 5,734 | 10,185 | ||||||||
Yield income earned | (57,786 | ) | (67,750 | ) | (117,517 | ) | (136,577 | ) | ||||
Reclassification (to) from non-accretable difference | 31,471 | (62,059 | ) | 81,496 | (38,107 | ) | ||||||
Sales and deconsolidation | (6,775 | ) | (2,388 | ) | (6,663 | ) | (2,423 | ) | ||||
Balance at end of period | $ | 1,266,640 | $ | 1,383,188 | $ | 1,266,640 | $ | 1,383,188 |
For the Six Months Ended | For the Year Ended | |||||
June 30, 2018 | December 31, 2017 | |||||
(dollars in thousands) | ||||||
Outstanding principal balance: | ||||||
Beginning of period | $ | 2,673,350 | $ | 3,138,265 | ||
End of period | $ | 2,476,421 | $ | 2,673,350 | ||
Amortized cost: | ||||||
Beginning of period | $ | 1,381,839 | $ | 1,695,079 | ||
End of period | $ | 1,249,140 | $ | 1,381,839 |
June 30, 2018 | ||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||
Unrealized Loss Position for Less than 12 Months | Unrealized Loss Position for 12 Months or More | Total | ||||||||||||||||||||||||
Estimated Fair Value | Unrealized Losses | Number of Securities | Estimated Fair Value | Unrealized Losses | Number of Securities | Estimated Fair Value | Unrealized Losses | Number of Securities | ||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
Senior | $ | 43,709 | $ | (473 | ) | 3 | $ | — | $ | — | — | $ | 43,709 | $ | (473 | ) | 3 | |||||||||
Senior, interest-only | 25,400 | (4,391 | ) | 31 | 103,442 | (72,319 | ) | 104 | 128,842 | (76,710 | ) | 135 | ||||||||||||||
Subordinated | 1,016 | (272 | ) | 5 | — | — | 6 | 1,016 | (272 | ) | 11 | |||||||||||||||
Subordinated, interest-only | 112 | (18 | ) | 1 | 704 | (609 | ) | 3 | 816 | (627 | ) | 4 | ||||||||||||||
Agency MBS | ||||||||||||||||||||||||||
Residential | 1,618,829 | (23,966 | ) | 36 | 1,318,668 | (67,714 | ) | 94 | 2,937,497 | (91,680 | ) | 130 | ||||||||||||||
Commercial | 1,713,531 | (60,698 | ) | 506 | 321,813 | (15,542 | ) | 114 | 2,035,344 | (76,240 | ) | 620 | ||||||||||||||
Interest-only | 12,375 | (689 | ) | 7 | 48,211 | (7,302 | ) | 20 | 60,586 | (7,991 | ) | 27 | ||||||||||||||
Total | $ | 3,414,972 | $ | (90,507 | ) | 589 | $ | 1,792,838 | $ | (163,486 | ) | 341 | $ | 5,207,810 | $ | (253,993 | ) | 930 |
December 31, 2017 | ||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||
Unrealized Loss Position for Less than 12 Months | Unrealized Loss Position for 12 Months or More | Total | ||||||||||||||||||||||||
Estimated Fair Value | Unrealized Losses | Number of Securities | Estimated Fair Value | Unrealized Losses | Number of Securities | Estimated Fair Value | Unrealized Losses | Number of Securities | ||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
Senior | $ | 35,229 | $ | (182 | ) | 1 | $ | — | $ | — | — | $ | 35,229 | $ | (182 | ) | 1 | |||||||||
Senior, interest-only | 28,129 | (1,724 | ) | 27 | 120,120 | (66,183 | ) | 120 | 148,249 | (67,907 | ) | 147 | ||||||||||||||
Subordinated | 235 | (38 | ) | 7 | 6,261 | (261 | ) | 5 | 6,496 | (299 | ) | 12 | ||||||||||||||
Subordinated, interest-only | — | — | — | 945 | (445 | ) | 3 | 945 | (445 | ) | 3 | |||||||||||||||
Agency MBS | ||||||||||||||||||||||||||
Residential | 660,103 | (5,197 | ) | 21 | 1,471,464 | (28,702 | ) | 93 | 2,131,567 | (33,899 | ) | 114 | ||||||||||||||
Commercial | 830,889 | (11,695 | ) | 176 | 161,980 | (4,404 | ) | 91 | 992,869 | (16,099 | ) | 267 | ||||||||||||||
Interest-only | 15,142 | (641 | ) | 7 | 57,875 | (7,103 | ) | 24 | 73,017 | (7,744 | ) | 31 | ||||||||||||||
Total | $ | 1,569,727 | $ | (19,477 | ) | 239 | $ | 1,818,645 | $ | (107,098 | ) | 336 | $ | 3,388,372 | $ | (126,575 | ) | 575 |
For the Quarter Ended | For the Six Months Ended | ||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||
Total other-than-temporary impairment losses | $ | (805 | ) | $ | (749 | ) | $ | (1,099 | ) | $ | (3,462 | ) | |
Portion of loss recognized in other comprehensive income (loss) | (8,326 | ) | (12,760 | ) | (9,190 | ) | (28,748 | ) | |||||
Net other-than-temporary credit impairment losses | $ | (9,131 | ) | $ | (13,509 | ) | $ | (10,289 | ) | $ | (32,210 | ) |
For the Quarters Ended | For the Six Months Ended | |||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | |||||||||
(dollars in thousands) | ||||||||||||
Cumulative credit loss beginning balance | $ | 586,056 | $ | 558,229 | $ | 591,521 | $ | 556,485 | ||||
Additions: | ||||||||||||
Other-than-temporary impairments not previously recognized | — | 12,399 | 1,140 | 12,399 | ||||||||
Reductions for securities sold or deconsolidated during the period | (4,775 | ) | — | (4,948 | ) | (7,443 | ) | |||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 9,131 | 1,109 | 9,149 | 17,835 | ||||||||
Reductions for increases in cash flows expected to be collected over the remaining life of the securities | (7,751 | ) | (99 | ) | (14,201 | ) | (7,638 | ) | ||||
Cumulative credit impairment loss ending balance | $ | 582,661 | $ | 571,638 | $ | 582,661 | $ | 571,638 |
For the Six Months Ended | ||
June 30, 2018 | June 30, 2017 | |
Loss Severity | ||
Weighted Average | 66% | 62% |
Range | 34% - 132% | 28% - 67% |
60+ days delinquent | ||
Weighted Average | 23% | 19% |
Range | 16% - 30% | 11% - 25% |
Credit Enhancement (1) | ||
Weighted Average | 32% | 19% |
Range | 0% - 55% | 0% - 38% |
3 Month CPR | ||
Weighted Average | 10% | 12% |
Range | 0% - 39% | 2% - 24% |
12 Month CPR | ||
Weighted Average | 8% | 11% |
Range | 1% - 20% | 4% - 19% |
June 30, 2018 | ||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | |||||||||||||
Non-Agency RMBS | ||||||||||||||||||
Senior | $ | 721,524 | $ | — | $ | 721,524 | $ | (473 | ) | $ | — | $ | (473 | ) | ||||
Senior, interest-only | — | 26,074 | 26,074 | — | (76,710 | ) | (76,710 | ) | ||||||||||
Subordinated | 58,887 | 3,076 | 61,963 | (272 | ) | — | (272 | ) | ||||||||||
Subordinated, interest-only | — | 1,830 | 1,830 | — | (627 | ) | (627 | ) | ||||||||||
Agency MBS | ||||||||||||||||||
Residential | 2,316 | 7,212 | 9,528 | (70,382 | ) | (21,298 | ) | (91,680 | ) | |||||||||
Commercial | 686 | 258 | 944 | (40,635 | ) | (35,605 | ) | (76,240 | ) | |||||||||
Interest-only | — | 954 | 954 | — | (7,991 | ) | (7,991 | ) | ||||||||||
Total | $ | 783,413 | $ | 39,404 | $ | 822,817 | $ | (111,762 | ) | $ | (142,231 | ) | $ | (253,993 | ) |
December 31, 2017 | ||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | |||||||||||||
Non-Agency RMBS | ||||||||||||||||||
Senior | $ | 754,234 | $ | — | $ | 754,234 | $ | (182 | ) | $ | — | $ | (182 | ) | ||||
Senior, interest-only | — | 15,761 | 15,761 | — | (67,907 | ) | (67,907 | ) | ||||||||||
Subordinated | 62,989 | 3,715 | 66,704 | (102 | ) | (197 | ) | (299 | ) | |||||||||
Subordinated, interest-only | — | 902 | 902 | — | (445 | ) | (445 | ) | ||||||||||
Agency MBS | ||||||||||||||||||
Residential | 5,706 | — | 5,706 | (29,083 | ) | (4,816 | ) | (33,899 | ) | |||||||||
Commercial | 15,462 | 1,579 | 17,041 | (12,122 | ) | (3,977 | ) | (16,099 | ) | |||||||||
Interest-only | — | 834 | 834 | — | (7,744 | ) | (7,744 | ) | ||||||||||
Total | $ | 838,391 | $ | 22,791 | $ | 861,182 | $ | (41,489 | ) | $ | (85,086 | ) | $ | (126,575 | ) |
June 30, 2018 | |||||||||||||
Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | |||||||||
Non-Agency RMBS | |||||||||||||
Senior | $ | 2,522,667 | $ | 53.23 | $ | 81.81 | 4.8 | % | 17.7 | % | |||
Senior, interest-only | 5,282,885 | 5.73 | 4.78 | 1.4 | % | 9.1 | % | ||||||
Subordinated | 365,499 | 56.13 | 73.00 | 4.0 | % | 10.8 | % | ||||||
Subordinated, interest-only | 206,557 | 4.49 | 5.07 | 0.9 | % | 11.8 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 4,527,730 | 103.70 | 101.88 | 4.0 | % | 3.4 | % | ||||||
Commercial pass-through | 2,300,891 | 102.08 | 98.81 | 3.6 | % | 3.4 | % | ||||||
Interest-only | 3,010,512 | 3.65 | 3.42 | 0.7 | % | 3.3 | % |
December 31, 2017 | |||||||||||||
Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | |||||||||
Non-Agency RMBS | |||||||||||||
Senior | $ | 2,733,926 | $ | 54.04 | $ | 81.62 | 4.6 | % | 16.7 | % | |||
Senior, interest-only | 4,862,461 | 5.41 | 4.34 | 1.3 | % | 8.0 | % | ||||||
Subordinated | 501,455 | 66.77 | 80.01 | 4.1 | % | 9.6 | % | ||||||
Subordinated, interest-only | 201,378 | 3.66 | 3.89 | 0.8 | % | 11.8 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 2,227,128 | 105.53 | 104.27 | 3.8 | % | 2.9 | % | ||||||
Commercial pass-through | 1,894,594 | 102.26 | 102.31 | 3.6 | % | 3.2 | % | ||||||
Interest-only | 3,021,840 | 3.68 | 3.45 | 0.7 | % | 3.4 | % |
June 30, 2018 | December 31, 2017 | |||
AAA | 0.3 | % | 0.3 | % |
AA | 0.9 | % | 0.3 | % |
A | 0.1 | % | 0.6 | % |
BBB | 1.4 | % | 1.9 | % |
BB | 2.0 | % | 2.5 | % |
B | 2.1 | % | 2.3 | % |
Below B | 57.8 | % | 59.6 | % |
Not Rated | 35.4 | % | 32.5 | % |
Total | 100.0 | % | 100.0 | % |
June 30, 2018 | |||||||||||||||
(dollars in thousands) | |||||||||||||||
Weighted Average Life | |||||||||||||||
Less than one year | Greater than one year and less than five years | Greater than five years and less than ten years | Greater than ten years | Total | |||||||||||
Fair value | |||||||||||||||
Non-Agency RMBS | |||||||||||||||
Senior | $ | 5,461 | $ | 536,951 | $ | 816,498 | $ | 704,876 | $ | 2,063,786 | |||||
Senior interest-only | 6 | 47,491 | 95,502 | 109,325 | 252,324 | ||||||||||
Subordinated | 3,891 | 44,590 | 126,300 | 92,049 | 266,830 | ||||||||||
Subordinated interest-only | — | 7,954 | 333 | 2,195 | 10,482 | ||||||||||
Agency MBS | |||||||||||||||
Residential | — | — | 4,600,496 | 12,424 | 4,612,920 | ||||||||||
Commercial | — | 15,663 | 19,123 | 2,238,722 | 2,273,508 | ||||||||||
Interest-only | 11,313 | 64,338 | 22,794 | 4,456 | 102,901 | ||||||||||
Total fair value | $ | 20,671 | $ | 716,987 | $ | 5,681,046 | $ | 3,164,047 | $ | 9,582,751 | |||||
Amortized cost | |||||||||||||||
Non-Agency RMBS | |||||||||||||||
Senior | $ | 5,347 | $ | 387,067 | $ | 489,371 | $ | 460,950 | $ | 1,342,735 | |||||
Senior interest-only | 102 | 60,821 | 120,956 | 121,081 | 302,960 | ||||||||||
Subordinated | 3,838 | 34,758 | 88,839 | 77,704 | 205,139 | ||||||||||
Subordinated interest-only | — | 6,270 | 838 | 2,171 | 9,279 | ||||||||||
Agency MBS | |||||||||||||||
Residential | — | — | 4,682,192 | 12,880 | 4,695,072 | ||||||||||
Commercial | — | 15,769 | 20,374 | 2,312,661 | 2,348,804 | ||||||||||
Interest-only | 11,264 | 69,648 | 24,895 | 4,131 | 109,938 | ||||||||||
Total amortized cost | $ | 20,551 | $ | 574,333 | $ | 5,427,465 | $ | 2,991,578 | $ | 9,013,927 |
December 31, 2017 | |||||||||||||||
(dollars in thousands) | |||||||||||||||
Weighted Average Life | |||||||||||||||
Less than one year | Greater than one year and less than five years | Greater than five years and less than ten years | Greater than ten years | Total | |||||||||||
Fair value | |||||||||||||||
Non-Agency RMBS | |||||||||||||||
Senior | $ | 2,179 | $ | 681,086 | $ | 910,234 | $ | 637,916 | $ | 2,231,415 | |||||
Senior interest-only | 19 | 54,107 | 72,702 | 84,022 | 210,850 | ||||||||||
Subordinated | — | 75,495 | 121,555 | 204,175 | 401,225 | ||||||||||
Subordinated interest-only | — | 7,165 | 661 | — | 7,826 | ||||||||||
Agency MBS | |||||||||||||||
Residential | — | 21,777 | 2,300,403 | — | 2,322,180 | ||||||||||
Commercial | — | 45,770 | 16,559 | 1,875,952 | 1,938,281 | ||||||||||
Interest-only | — | 74,490 | 25,271 | 4,606 | 104,367 | ||||||||||
Total fair value | $ | 2,198 | $ | 959,890 | $ | 3,447,385 | $ | 2,806,671 | $ | 7,216,144 | |||||
Amortized cost | |||||||||||||||
Non-Agency RMBS | |||||||||||||||
Senior | $ | 2,124 | $ | 493,965 | $ | 569,458 | $ | 411,816 | $ | 1,477,363 | |||||
Senior interest-only | 1,271 | 73,758 | 94,145 | 93,822 | 262,996 | ||||||||||
Subordinated | — | 61,987 | 91,044 | 181,789 | 334,820 | ||||||||||
Subordinated interest-only | — | 6,355 | 1,014 | — | 7,369 | ||||||||||
Agency MBS | |||||||||||||||
Residential | — | 22,069 | 2,328,304 | — | 2,350,373 | ||||||||||
Commercial | — | 47,170 | 17,176 | 1,872,993 | 1,937,339 | ||||||||||
Interest-only | — | 79,356 | 27,582 | 4,339 | 111,277 | ||||||||||
Total amortized cost | $ | 3,395 | $ | 784,660 | $ | 3,128,723 | $ | 2,564,759 | $ | 6,481,537 |
June 30, 2018 | December 31, 2017 | |||||||
Weighted average maturity (years) | 20.4 | 20.7 | ||||||
Weighted average amortized loan to value (1) | 63.3 | % | 64.4 | % | ||||
Weighted average FICO (2) | 703 | 697 | ||||||
Weighted average loan balance (in thousands) | $ | 324 | $ | 314 | ||||
Weighted average percentage owner occupied | 84.5 | % | 84.4 | % | ||||
Weighted average percentage single family residence | 65.7 | % | 66.3 | % | ||||
Weighted average current credit enhancement | 1.5 | % | 2.2 | % | ||||
Weighted average geographic concentration of top four states | CA | 32.4 | % | CA | 31.7 | % | ||
NY | 8.4 | % | NY | 8.5 | % | |||
FL | 8.1 | % | FL | 8.3 | % | |||
NJ | 2.6 | % | NJ | 2.7 | % |
Origination Year | June 30, 2018 | December 31, 2017 | ||
2003 and prior | 4.8 | % | 3.6 | % |
2004 | 6.5 | % | 4.3 | % |
2005 | 20.1 | % | 20.8 | % |
2006 | 39.4 | % | 38.2 | % |
2007 | 23.6 | % | 30.4 | % |
2008 | 0.3 | % | 1.8 | % |
2009 and later | 5.3 | % | 0.9 | % |
Total | 100.0 | % | 100.0 | % |
For the Quarter Ended | For the Six Months Ended | |||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | |||||||||
(dollars in thousands) | ||||||||||||
Proceeds from sales | $ | 32,551 | $ | 153,681 | $ | 32,551 | $ | 173,743 | ||||
Gross realized gains | 4,383 | 5,380 | 4,383 | 10,566 | ||||||||
Gross realized losses | (2,216 | ) | (839 | ) | (2,216 | ) | (858 | ) | ||||
Net realized gain (loss) | $ | 2,167 | $ | 4,541 | $ | 2,167 | $ | 9,708 |
For the Six Months Ended | For the Year Ended | |||||
June 30, 2018 | December 31, 2017 | |||||
(dollars in thousands) | ||||||
Balance, beginning of period | $ | 13,678,263 | $ | 8,753,653 | ||
Purchases | 924,283 | 6,539,765 | ||||
Principal paydowns | (944,146 | ) | (1,788,409 | ) | ||
Sales and settlements | (389,798 | ) | 2,876 | |||
Net periodic accretion (amortization) | (43,594 | ) | (35,803 | ) | ||
Change in fair value | 21,513 | 206,181 | ||||
Balance, end of period | $ | 13,246,521 | $ | 13,678,263 |
Origination Year | June 30, 2018 | December 31, 2017 | ||
2002 and prior | 7.5 | % | 7.5 | % |
2003 | 6.7 | % | 6.7 | % |
2004 | 14.4 | % | 14.6 | % |
2005 | 20.1 | % | 20.4 | % |
2006 | 23.3 | % | 23.1 | % |
2007 | 19.1 | % | 19.0 | % |
2008 | 6.0 | % | 6.0 | % |
2009 | 0.8 | % | 0.7 | % |
2010 and later | 2.1 | % | 2.0 | % |
Total | 100.0 | % | 100.0 | % |
June 30, 2018 | December 31, 2017 | |||||||
Number of loans | 144,451 | 149,172 | ||||||
Weighted average maturity (years) | 18.8 | 18.8 | ||||||
Weighted average loan to value (1) | 87.5 | % | 88.0 | % | ||||
Weighted average FICO (1) | 630 | 631 | ||||||
Weighted average loan balance (in thousands) | $ | 91 | $ | 91 | ||||
Weighted average percentage owner occupied | 92.8 | % | 95.0 | % | ||||
Weighted average percentage single family residence | 86.2 | % | 86.0 | % | ||||
Weighted average geographic concentration of top five states | CA | 9.1 | % | CA | 9.0 | % | ||
FL | 7.2 | % | FL | 7.2 | % | |||
OH | 6.0 | % | OH | 6.1 | % | |||
NY |