MARYLAND | 26-0630461 | |
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) |
Class | Outstanding at September 30, 2018 |
Common Stock, $0.01 par value | 187,006,943 |
Consolidated Statements of Financial Condition as of September 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 nine months ended September 30, 2018 and 2017 | |
Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and nine months ended September 30, 2018 and 2017 | |
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the nine months ended September 30, 2018 and 2017 | |
Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 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) | ||||||
September 30, 2018 | December 31, 2017 | |||||
Assets: | ||||||
Cash and cash equivalents | $ | 121,046 | $ | 63,569 | ||
Non-Agency RMBS, at fair value | 2,507,707 | 2,851,316 | ||||
Agency MBS, at fair value | 9,406,092 | 4,364,828 | ||||
Loans held for investment, at fair value | 12,729,559 | 13,678,263 | ||||
Accrued interest receivable | 114,798 | 100,789 | ||||
Other assets | 145,655 | 114,391 | ||||
Derivatives, at fair value, net | 155,069 | 48,914 | ||||
Total assets (1) | $ | 25,179,926 | $ | 21,222,070 | ||
Liabilities: | ||||||
Repurchase agreements ($12.6 billion and $8.8 billion, pledged as collateral, respectively) | $ | 11,143,102 | $ | 7,250,452 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.1 billion and $1.6 billion pledged as collateral, respectively) | 167,718 | 205,780 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($12.5 billion and $13.3 billion pledged as collateral, respectively) | 8,826,879 | 9,388,657 | ||||
Payable for investments purchased | 903,424 | 567,440 | ||||
Accrued interest payable | 110,228 | 61,888 | ||||
Dividends payable | 96,809 | 95,365 | ||||
Accounts payable and other liabilities | 18,585 | 17,191 | ||||
Derivatives, at fair value, net | — | 320 | ||||
Total liabilities (1) | $ | 21,266,745 | $ | 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 | ||||
7.75% Series C cumulative redeemable: 10,400,000 and 0 shares issued and outstanding, respectively ($260,000 liquidation preference) | 104 | — | ||||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,006,943 and 187,809,288 shares issued and outstanding, respectively | 1,870 | 1,878 | ||||
Additional paid-in-capital | 4,069,868 | 3,826,691 | ||||
Accumulated other comprehensive income | 627,936 | 796,902 | ||||
Cumulative earnings | 3,482,287 | 2,967,852 | ||||
Cumulative distributions to stockholders | (4,269,072 | ) | (3,958,534 | ) | ||
Total stockholders' equity | $ | 3,913,181 | $ | 3,634,977 | ||
Total liabilities and stockholders' equity | $ | 25,179,926 | $ | 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 Nine Months Ended | ||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | ||||||||||
Net interest income: | |||||||||||||
Interest income (1) | $ | 321,715 | $ | 296,813 | $ | 925,282 | $ | 836,801 | |||||
Interest expense (2) | 174,671 | 140,358 | 485,189 | 388,544 | |||||||||
Net interest income | 147,044 | 156,455 | 440,093 | 448,257 | |||||||||
Other-than-temporary impairments: | |||||||||||||
Total other-than-temporary impairment losses | (772 | ) | (784 | ) | (1,871 | ) | (4,245 | ) | |||||
Portion of loss recognized in other comprehensive income | (6,461 | ) | (10,684 | ) | (15,651 | ) | (39,431 | ) | |||||
Net other-than-temporary credit impairment losses | (7,233 | ) | (11,468 | ) | (17,522 | ) | (43,676 | ) | |||||
Other investment gains (losses): | |||||||||||||
Net unrealized gains (losses) on derivatives | 71,197 | 9,204 | 178,511 | 19,902 | |||||||||
Realized gains (losses) on terminations of interest rate swaps | — | — | — | (16,143 | ) | ||||||||
Net realized gains (losses) on derivatives | 2,881 | (7,841 | ) | 14,573 | (28,680 | ) | |||||||
Net gains (losses) on derivatives | 74,078 | 1,363 | 193,084 | (24,921 | ) | ||||||||
Net unrealized gains (losses) on financial instruments at fair value | (34,306 | ) | 19,042 | (38,204 | ) | 159,047 | |||||||
Net realized gains (losses) on sales of investments | (6,123 | ) | 1 | (3,956 | ) | 9,709 | |||||||
Gains (losses) on extinguishment of debt | 9,263 | (1 | ) | 19,320 | (48,016 | ) | |||||||
Total other gains (losses) | 42,912 | 20,405 | 170,244 | 95,819 | |||||||||
Other expenses: | |||||||||||||
Compensation and benefits | 8,642 | 7,533 | 25,741 | 22,759 | |||||||||
General and administrative expenses | 5,615 | 4,537 | 16,964 | 13,162 | |||||||||
Servicing fees | 9,766 | 10,715 | 31,044 | 31,193 | |||||||||
Deal expenses | 1,372 | 3,357 | 4,555 | 16,054 | |||||||||
Total other expenses | 25,395 | 26,142 | 78,304 | 83,168 | |||||||||
Income (loss) before income taxes | 157,328 | 139,250 | 514,511 | 417,232 | |||||||||
Income taxes | 7 | 18 | 76 | 172 | |||||||||
Net income (loss) | $ | 157,321 | $ | 139,232 | $ | 514,435 | $ | 417,060 | |||||
Dividend on preferred stock | 9,960 | 9,400 | 28,760 | 24,083 | |||||||||
Net income (loss) available to common shareholders | $ | 147,361 | $ | 129,832 | $ | 485,675 | $ | 392,977 | |||||
Net income (loss) per share available to common shareholders: | |||||||||||||
Basic | $ | 0.79 | $ | 0.69 | $ | 2.59 | $ | 2.09 | |||||
Diluted | $ | 0.79 | $ | 0.69 | $ | 2.59 | $ | 2.09 | |||||
Weighted average number of common shares outstanding: | |||||||||||||
Basic | 187,006,777 | 187,779,794 | 187,182,932 | 187,773,715 | |||||||||
Diluted | 187,584,958 | 188,192,111 | 187,705,831 | 188,176,757 | |||||||||
Dividends declared per share of common stock | $ | 0.50 | $ | 0.50 | $ | 1.50 | $ | 1.50 | |||||
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 Nine Months Ended | |||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||
Comprehensive income (loss): | ||||||||||||
Net income (loss) | $ | 157,321 | $ | 139,232 | $ | 514,435 | $ | 417,060 | ||||
Other comprehensive income: | ||||||||||||
Unrealized gains (losses) on available-for-sale securities, net | (50,728 | ) | 21,370 | (181,885 | ) | 59,114 | ||||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 7,233 | 11,468 | 17,522 | 43,676 | ||||||||
Reclassification adjustment for net realized losses (gains) included in net income | (220 | ) | (1 | ) | (4,603 | ) | (7,778 | ) | ||||
Other comprehensive income (loss) | (43,715 | ) | 32,837 | (168,966 | ) | 95,012 | ||||||
Comprehensive income (loss) before preferred stock dividends | $ | 113,606 | $ | 172,069 | $ | 345,469 | $ | 512,072 | ||||
Dividends on preferred stock | $ | 9,960 | $ | 9,400 | $ | 28,760 | $ | 24,083 | ||||
Comprehensive income (loss) available to common stock shareholders | $ | 103,646 | $ | 162,669 | $ | 316,709 | $ | 487,989 |
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 | Series C 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) | — | — | — | — | — | — | 417,060 | — | 417,060 | ||||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | — | 95,012 | — | — | 95,012 | ||||||||||||||||||
Stock based compensation | — | — | — | 1 | 2,754 | — | — | — | 2,755 | ||||||||||||||||||
Common dividends declared | — | — | — | — | — | — | — | (282,275 | ) | (282,275 | ) | ||||||||||||||||
Preferred dividends declared | — | — | — | — | — | — | — | (24,083 | ) | (24,083 | ) | ||||||||||||||||
Issuance of preferred stock | — | 130 | — | — | 314,299 | — | — | — | 314,429 | ||||||||||||||||||
Balance, September 30, 2017 | $ | 58 | $ | 130 | $ | — | $ | 1,878 | $ | 3,825,832 | $ | 813,118 | $ | 2,860,244 | $ | (3,854,829 | ) | $ | 3,646,431 | ||||||||
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) | — | — | — | — | — | — | 514,435 | — | 514,435 | ||||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | — | (168,966 | ) | — | — | (168,966 | ) | ||||||||||||||||
Repurchase of common stock | — | — | — | (8 | ) | (14,826 | ) | — | — | — | (14,834 | ) | |||||||||||||||
Stock based compensation | — | — | — | — | 6,571 | — | — | — | 6,571 | ||||||||||||||||||
Common dividends declared | — | — | — | — | — | — | — | (281,778 | ) | (281,778 | ) | ||||||||||||||||
Preferred dividends declared | — | — | — | — | — | — | — | (28,760 | ) | (28,760 | ) | ||||||||||||||||
Issuance of preferred stock | — | — | 104 | — | 251,432 | — | — | — | 251,536 | ||||||||||||||||||
Balance, September 30, 2018 | $ | 58 | $ | 130 | $ | 104 | $ | 1,870 | $ | 4,069,868 | $ | 627,936 | $ | 3,482,287 | $ | (4,269,072 | ) | $ | 3,913,181 |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS | ||||||
(dollars in thousands) | ||||||
(Unaudited) | ||||||
For the Nine Months Ended | ||||||
September 30, 2018 | September 30, 2017 | |||||
Cash Flows From Operating Activities: | ||||||
Net income | $ | 514,435 | $ | 417,060 | ||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||||
(Accretion) amortization of investment discounts/premiums, net | 22,421 | (17,269 | ) | |||
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net | (9,957 | ) | 6,649 | |||
Amortization of swaption premium | 1,316 | 5,468 | ||||
Net unrealized losses (gains) on derivatives | (178,511 | ) | (19,902 | ) | ||
Margin (paid) received on derivatives | 27,653 | (3,948 | ) | |||
Net unrealized losses (gains) on financial instruments at fair value | 38,204 | (159,047 | ) | |||
Net realized losses (gains) on sales of investments | 3,956 | (9,709 | ) | |||
Net other-than-temporary credit impairment losses | 17,522 | 43,676 | ||||
(Gain) loss on extinguishment of debt | (19,320 | ) | 48,016 | |||
Equity-based compensation expense | 6,571 | 2,755 | ||||
Changes in operating assets: | ||||||
Decrease (increase) in accrued interest receivable, net | (14,009 | ) | (19,738 | ) | ||
Decrease (increase) in other assets | 24,568 | (5,076 | ) | |||
Changes in operating liabilities: | ||||||
Increase (decrease) in accounts payable and other liabilities | 6,468 | 4,635 | ||||
Increase (decrease) in accrued interest payable, net | 48,426 | 15,631 | ||||
Net cash provided by (used in) operating activities | $ | 489,743 | $ | 309,201 | ||
Cash Flows From Investing Activities: | ||||||
Agency MBS portfolio: | ||||||
Purchases | $ | (5,319,958 | ) | $ | (1,000,336 | ) |
Sales | 16,184 | 693,207 | ||||
Principal payments | 346,476 | 332,140 | ||||
Non-Agency RMBS portfolio: | ||||||
Purchases | (73,149 | ) | (7,978 | ) | ||
Sales | 19,928 | 5,045 | ||||
Principal payments | 440,722 | 459,854 | ||||
Loans held for investment: | ||||||
Purchases | (1,339,514 | ) | (5,835,799 | ) | ||
Sales | 754,806 | — | ||||
Principal payments | 1,430,802 | 1,298,855 | ||||
Net cash provided by (used in) investing activities | $ | (3,723,703 | ) | $ | (4,055,012 | ) |
Cash Flows From Financing Activities: | ||||||
Proceeds from repurchase agreements | $ | 49,599,400 | $ | 29,079,905 | ||
Payments on repurchase agreements | (45,705,850 | ) | (27,970,987 | ) | ||
Net proceeds from preferred stock offerings | 251,536 | 314,429 | ||||
Payments on repurchase of common stock | (14,834 | ) | — | |||
Proceeds from securitized debt borrowings, collateralized by loans held for investment | 1,434,765 | 4,159,073 | ||||
Payments on securitized debt borrowings, collateralized by loans held for investment | (1,927,854 | ) | (1,564,489 | ) | ||
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (36,633 | ) | (103,415 | ) | ||
Common dividends paid | (280,893 | ) | (281,832 | ) | ||
Preferred dividends paid | (28,200 | ) | (26,532 | ) | ||
Net cash provided by (used in) financing activities | $ | 3,291,437 | $ | 3,606,152 |
Net increase (decrease) in cash and cash equivalents | 57,477 | (139,659 | ) | |||
Cash and cash equivalents at beginning of period | 63,569 | 177,714 | ||||
Cash and cash equivalents at end of period | $ | 121,046 | $ | 38,055 | ||
Supplemental disclosure of cash flow information: | ||||||
Interest received | $ | 933,693 | $ | 799,808 | ||
Interest paid | $ | 446,806 | $ | 366,284 | ||
Non-cash investing activities: | ||||||
Payable for investments purchased | $ | 903,424 | $ | 733,142 | ||
Receivable for investments sold | $ | — | $ | 11,235 | ||
Net change in unrealized gain (loss) on available-for sale securities | $ | (168,966 | ) | $ | 95,012 | |
Retained beneficial interests | $ | 39,844 | $ | — | ||
Non-cash financing activities: | ||||||
Dividends declared, not yet paid | $ | 96,809 | $ | 95,000 |
CHIMERA INVESTMENT CORPORATION NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
September 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 | $ | 2,413,931 | $ | 566 | $ | (1,148,263 | ) | $ | 1,266,234 | $ | 1,974,805 | $ | 708,877 | $ | (306 | ) | $ | 708,571 | ||||||
Senior, interest-only | 5,844,053 | 297,221 | — | 297,221 | 242,244 | 22,612 | (77,589 | ) | (54,977 | ) | ||||||||||||||
Subordinated | 379,077 | 8,985 | (169,497 | ) | 218,565 | 278,022 | 59,949 | (492 | ) | 59,457 | ||||||||||||||
Subordinated, interest-only | 244,298 | 10,648 | — | 10,648 | 12,636 | 2,081 | (93 | ) | 1,988 | |||||||||||||||
Agency MBS | ||||||||||||||||||||||||
Residential | 6,730,675 | 214,066 | — | 6,944,741 | 6,811,047 | 1,029 | (134,723 | ) | (133,694 | ) | ||||||||||||||
Commercial | 2,532,460 | 55,295 | (4,542 | ) | 2,583,213 | 2,475,531 | 216 | (107,898 | ) | (107,682 | ) | |||||||||||||
Interest-only | 2,865,073 | 123,635 | — | 123,635 | 119,514 | 862 | (4,983 | ) | (4,121 | ) | ||||||||||||||
Total | $ | 21,009,567 | $ | 710,416 | $ | (1,322,302 | ) | $ | 11,444,257 | $ | 11,913,799 | $ | 795,626 | $ | (326,084 | ) | $ | 469,542 |
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 Nine Months Ended | |||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||
Balance at beginning of period | $ | 1,266,640 | $ | 1,383,188 | $ | 1,303,590 | $ | 1,550,110 | ||||
Purchases | 4,444 | 8,196 | 10,178 | 18,380 | ||||||||
Yield income earned | (57,078 | ) | (66,042 | ) | (174,595 | ) | (202,618 | ) | ||||
Reclassification (to) from non-accretable difference | 32,022 | 53,884 | 113,517 | 15,777 | ||||||||
Sales and deconsolidation | (1,733 | ) | (17,755 | ) | (8,395 | ) | (20,178 | ) | ||||
Balance at end of period | $ | 1,244,295 | $ | 1,361,471 | $ | 1,244,295 | $ | 1,361,471 |
For the Nine Months Ended | For the Year Ended | |||||
September 30, 2018 | December 31, 2017 | |||||
(dollars in thousands) | ||||||
Outstanding principal balance: | ||||||
Beginning of period | $ | 2,673,350 | $ | 3,138,265 | ||
End of period | $ | 2,378,436 | $ | 2,673,350 | ||
Amortized cost: | ||||||
Beginning of period | $ | 1,381,839 | $ | 1,695,079 | ||
End of period | $ | 1,180,207 | $ | 1,381,839 |
September 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 Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | ||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
Senior | $ | 37,480 | $ | (306 | ) | 2 | $ | — | $ | — | — | $ | 37,480 | $ | (306 | ) | 2 | |||||||||
Senior, interest-only | 33,026 | (5,155 | ) | 34 | 87,805 | (72,434 | ) | 93 | 120,831 | (77,589 | ) | 127 | ||||||||||||||
Subordinated | 16,590 | (492 | ) | 10 | — | — | 6 | 16,590 | (492 | ) | 16 | |||||||||||||||
Subordinated, interest-only | 408 | (31 | ) | 2 | 386 | (62 | ) | 1 | 794 | (93 | ) | 3 | ||||||||||||||
Agency MBS | ||||||||||||||||||||||||||
Residential | 4,889,446 | (30,727 | ) | 68 | 1,794,683 | (103,996 | ) | 106 | 6,684,129 | (134,723 | ) | 174 | ||||||||||||||
Commercial | 2,033,817 | (82,812 | ) | 608 | 414,565 | (25,086 | ) | 150 | 2,448,382 | (107,898 | ) | 758 | ||||||||||||||
Interest-only | 8,472 | (197 | ) | 4 | 41,016 | (4,786 | ) | 14 | 49,488 | (4,983 | ) | 18 | ||||||||||||||
Total | $ | 7,019,239 | $ | (119,720 | ) | 728 | $ | 2,338,455 | $ | (206,364 | ) | 370 | $ | 9,357,694 | $ | (326,084 | ) | 1,098 |
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 Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | ||||||||||||||||||
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 Quarters Ended | For the Nine Months Ended | ||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | ||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||
Total other-than-temporary impairment losses | $ | (772 | ) | $ | (784 | ) | $ | (1,871 | ) | $ | (4,245 | ) | |
Portion of loss recognized in other comprehensive income (loss) | (6,461 | ) | (10,684 | ) | (15,651 | ) | (39,431 | ) | |||||
Net other-than-temporary credit impairment losses | $ | (7,233 | ) | $ | (11,468 | ) | $ | (17,522 | ) | $ | (43,676 | ) |
For the Quarters Ended | For the Nine Months Ended | |||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||
(dollars in thousands) | ||||||||||||
Cumulative credit loss beginning balance | $ | 582,661 | $ | 571,639 | $ | 591,521 | $ | 556,485 | ||||
Additions: | ||||||||||||
Other-than-temporary impairments not previously recognized | 4,929 | — | 6,069 | 12,399 | ||||||||
Reductions for securities sold or deconsolidated during the period | (1,032 | ) | (4,965 | ) | (5,980 | ) | (12,405 | ) | ||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 2,304 | 11,468 | 11,453 | 29,302 | ||||||||
Reductions for increases in cash flows expected to be collected over the remaining life of the securities | (2,237 | ) | (3,241 | ) | (16,438 | ) | (10,880 | ) | ||||
Cumulative credit impairment loss ending balance | $ | 586,625 | $ | 574,901 | $ | 586,625 | $ | 574,901 |
For the Nine Months Ended | ||
September 30, 2018 | September 30, 2017 | |
Loss Severity | ||
Weighted Average | 63% | 67% |
Range | 34% - 132% | 28% - 89% |
60+ days delinquent | ||
Weighted Average | 21% | 21% |
Range | 13% - 30% | 11% - 27% |
Credit Enhancement (1) | ||
Weighted Average | 24% | 15% |
Range | 0% - 55% | 0% - 50% |
3 Month CPR | ||
Weighted Average | 12% | 13% |
Range | 0% - 39% | 2% - 24% |
12 Month CPR | ||
Weighted Average | 12% | 13% |
Range | 1% - 28% | 4% - 19% |
September 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 | $ | 708,877 | $ | — | $ | 708,877 | $ | (306 | ) | $ | — | $ | (306 | ) | ||||
Senior, interest-only | — | 22,612 | 22,612 | — | (77,589 | ) | (77,589 | ) | ||||||||||
Subordinated | 56,780 | 3,169 | 59,949 | (290 | ) | (202 | ) | (492 | ) | |||||||||
Subordinated, interest-only | — | 2,081 | 2,081 | — | (93 | ) | (93 | ) | ||||||||||
Agency MBS | ||||||||||||||||||
Residential | 1,029 | — | 1,029 | (82,889 | ) | (51,834 | ) | (134,723 | ) | |||||||||
Commercial | 24 | 192 | 216 | (55,289 | ) | (52,609 | ) | (107,898 | ) | |||||||||
Interest-only | — | 862 | 862 | — | (4,983 | ) | (4,983 | ) | ||||||||||
Total | $ | 766,710 | $ | 28,916 | $ | 795,626 | $ | (138,774 | ) | $ | (187,310 | ) | $ | (326,084 | ) |
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 | ) |
September 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 | $ | 2,413,931 | $ | 52.46 | $ | 81.81 | 4.9 | % | 18.8 | % | |||
Senior, interest-only | 5,844,053 | 5.09 | 4.15 | 1.2 | % | 9.1 | % | ||||||
Subordinated | 379,077 | 57.66 | 73.34 | 4.3 | % | 11.0 | % | ||||||
Subordinated, interest-only | 244,298 | 4.36 | 5.17 | 1.2 | % | 16.1 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 6,730,675 | 103.18 | 101.19 | 4.0 | % | 3.5 | % | ||||||
Commercial pass-through | 2,532,460 | 102.00 | 97.75 | 3.6 | % | 3.4 | % | ||||||
Interest-only | 2,865,073 | 4.32 | 4.17 | 0.8 | % | 4.1 | % |
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 | % |
September 30, 2018 | December 31, 2017 | |||
AAA | 0.6 | % | — | % |
AA | — | % | — | % |
A | 0.3 | % | — | % |
BBB | 0.5 | % | 0.5 | % |
BB | 0.9 | % | 0.7 | % |
B | 0.5 | % | 0.6 | % |
Below B | 60.7 | % | 63.1 | % |
Not Rated | 36.5 | % | 35.1 | % |
Total | 100.0 | % | 100.0 | % |
September 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 | $ | 8,436 | $ | 546,137 | $ | 755,517 | $ | 664,715 | $ | 1,974,805 | |||||
Senior interest-only | 1,028 | 37,826 | 91,620 | 111,770 | 242,244 | ||||||||||
Subordinated | — | 42,800 | 119,021 | 116,201 | 278,022 | ||||||||||
Subordinated interest-only | — | 8,464 | 1,877 | 2,295 | 12,636 | ||||||||||
Agency MBS | |||||||||||||||
Residential | — | 358,386 | 6,437,979 | 14,682 | 6,811,047 | ||||||||||
Commercial | — | 15,565 | 27,791 | 2,432,175 | 2,475,531 | ||||||||||
Interest-only | 48,247 | 51,701 | 19,566 | — | 119,514 | ||||||||||
Total fair value | $ | 57,711 | $ | 1,060,879 | $ | 7,453,371 | $ | 3,341,838 | $ | 11,913,799 | |||||
Amortized cost | |||||||||||||||
Non-Agency RMBS | |||||||||||||||
Senior | $ | 8,295 | $ | 399,944 | $ | 437,177 | $ | 420,818 | $ | 1,266,234 | |||||
Senior interest-only | 2,821 | 49,856 | 114,891 | 129,653 | 297,221 | ||||||||||
Subordinated | — | 31,679 | 86,181 | 100,705 | 218,565 | ||||||||||
Subordinated interest-only | — | 6,790 | 1,710 | 2,148 | 10,648 | ||||||||||
Agency MBS | |||||||||||||||
Residential | — | 361,065 | 6,568,266 | 15,410 | 6,944,741 | ||||||||||
Commercial | — | 15,649 | 29,525 | 2,538,039 | 2,583,213 | ||||||||||
Interest-only | 48,086 | 56,265 | 19,284 | — | 123,635 | ||||||||||
Total amortized cost | $ | 59,202 | $ | 921,248 | $ | 7,257,034 | $ | 3,206,773 | $ | 11,444,257 |
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 |
September 30, 2018 | December 31, 2017 | |||||||
Weighted average maturity (years) | 21.3 | 20.7 | ||||||
Weighted average amortized loan to value (1) | 63.3 | % | 64.4 | % | ||||
Weighted average FICO (2) | 712 | 697 | ||||||
Weighted average loan balance (in thousands) | $ | 315 | $ | 314 | ||||
Weighted average percentage owner occupied | 84.3 | % | 84.4 | % | ||||
Weighted average percentage single family residence | 62.6 | % | 66.3 | % | ||||
Weighted average current credit enhancement | 1.4 | % | 2.2 | % | ||||
Weighted average geographic concentration of top four states | CA | 33.5 | % | CA | 31.7 | % | ||
FL | 7.8 | % | NY | 8.5 | % | |||
NY | 7.4 | % | FL | 8.3 | % | |||
NJ | 2.2 | % | NJ | 2.7 | % |
Origination Year | September 30, 2018 | December 31, 2017 | ||
2003 and prior | 1.4 | % | 1.6 | % |
2004 | 1.6 | % | 0.9 | % |
2005 | 13.2 | % | 12.5 | % |
2006 | 48.3 | % | 46.4 | % |
2007 | 32.2 | % | 36.5 | % |
2008 | — | % | 0.6 | % |
2009 and later | 3.3 | % | 1.5 | % |
Total | 100.0 | % | 100.0 | % |
For the Quarters Ended | For the Nine Months Ended | |||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||
(dollars in thousands) | ||||||||||||
Proceeds from sales | $ | 32,050 | $ | 598,752 | $ | 64,601 | $ | 772,496 | ||||
Gross realized gains | 1,489 | 6,902 | 5,872 | 17,468 | ||||||||
Gross realized losses | (7,713 | ) | (6,901 | ) | (9,929 | ) | (7,759 | ) | ||||
Net realized gain (loss) | $ | (6,224 | ) | $ | 1 | $ | (4,057 | ) | $ | 9,709 |
For the Nine Months Ended | For the Year Ended | |||||
September 30, 2018 | December 31, 2017 | |||||
(dollars in thousands) | ||||||
Balance, beginning of period | $ | 13,678,263 | $ | 8,753,653 | ||
Purchases | 1,339,514 | 6,539,765 | ||||
Principal paydowns | (1,430,802 | ) | (1,788,409 | ) | ||
Sales and settlements | (808,314 | ) | 2,876 | |||
Net periodic accretion (amortization) | (66,254 | ) | (35,803 | ) | ||
Realized gains (losses) on sales and settlements | 101 | — | ||||
Change in fair value | 17,051 | 206,181 | ||||
Balance, end of period | $ | 12,729,559 | $ | 13,678,263 |
Origination Year | September 30, 2018 | December 31, 2017 | ||
2002 and prior | 7.4 | % | 7.5 | % |
2003 | 6.6 | % | 6.7 | % |
2004 | 13.9 | % | 14.6 | % |
2005 | 19.9 | % | 20.4 | % |
2006 | 23.0 | % | 23.1 | % |
2007 | 19.5 | % | 19.0 | % |
2008 | 6.1 | % | 6.0 | % |
2009 | 0.9 | % | 0.7 |