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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

             QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
FOR THE QUARTERLY PERIOD ENDED: March 31, 2021
OR
             TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
FOR THE TRANSITION PERIOD FROM _______________ TO _________________
COMMISSION FILE NUMBER: 1-33796

CHIMERA INVESTMENT CORPORATION
(Exact name of Registrant as specified in its Charter) 
Maryland 26-0630461
(State or other jurisdiction of incorporation or organization)  (IRS Employer Identification No.)
                                                                                                                                             

520 Madison Avenue 32nd Floor
New York, New York
(Address of principal executive offices)
10022
(Zip Code)
(888) 895-6557
(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:
Title of Each ClassTrading Symbol(s)Name of Each Exchange on Which Registered
  
Common Stock, par value $0.01 per shareCIMNew York Stock Exchange
8.00% Series A Cumulative Redeemable Preferred StockCIM PRANew York Stock Exchange
8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred StockCIM PRBNew York Stock Exchange
7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred StockCIM PRCNew York Stock Exchange
8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred StockCIM PRDNew York Stock Exchange
Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days:
Yes þ No ☐




Indicate by check mark whether the Registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (Section 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes þ No ☐

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, non-accelerated filer, a smaller reporting company, or an emerging growth company. See definition of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and "emerging growth company" in Rule 12b-2 of the Exchange Act.
Large accelerated filer þ Accelerated filer Non-accelerated filer Smaller reporting company
Emerging growth company

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act)
Yes No þ


Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the last practicable date:
ClassOutstanding at April 30, 2021
Common Stock, $0.01 par value230,555,167





CHIMERA INVESTMENT CORPORATION

FORM 10-Q

TABLE OF CONTENTS
Part I. FINANCIAL INFORMATION
Item 1. Consolidated Financial Statements:
Consolidated Statements of Financial Condition as of March 31, 2021 (Unaudited) and December 31, 2020 (Derived from the audited consolidated financial statements as of December 31, 2020)
Consolidated Statements of Operations (Unaudited) for the quarters ended March 31, 2021 and 2020
Consolidated Statements of Comprehensive Income (Unaudited) for the quarters ended March 31, 2021 and 2020
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters ended March 31, 2021 and 2020
Consolidated Statements of Cash Flows (Unaudited) for the quarters ended March 31, 2021 and 2020
Notes to Consolidated Financial Statements (Unaudited)
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
Item 3. Quantitative and Qualitative Disclosures about Market Risk
Item 4. Controls and Procedures
Part II.  OTHER INFORMATION
Item 1. Legal Proceedings
Item 1A. Risk Factors
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
Item 6. Exhibits
SIGNATURES




1


Part I
Item 1. Consolidated Financial Statements

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
(Unaudited)
March 31, 2021December 31, 2020
Cash and cash equivalents$317,489 $269,090 
Non-Agency RMBS, at fair value (net of allowance for credit losses of $54 thousand and $180 thousand, respectively)
2,013,478 2,150,714 
Agency RMBS, at fair value86,354 90,738 
Agency CMBS, at fair value1,355,289 1,740,368 
Loans held for investment, at fair value12,808,012 13,112,129 
Accrued interest receivable77,562 81,158 
Other assets41,078 78,822 
Total assets (1)
$16,699,262 $17,523,019 
Liabilities:  
Secured financing agreements ($5.7 billion and $6.7 billion pledged as collateral, respectively)
$4,045,912 $4,636,847 
Securitized debt, collateralized by Non-Agency RMBS ($479 million and $505 million pledged as collateral, respectively)
107,367 113,433 
Securitized debt at fair value, collateralized by loans held for investment ($12.1 billion and $12.4 billion pledged as collateral, respectively)
8,734,372 8,711,677 
Long term debt51,772 51,623 
Payable for investments purchased76,534 106,169 
Accrued interest payable24,855 40,950 
Dividends payable77,355 77,213 
Accounts payable and other liabilities14,597 5,721 
Total liabilities (1)
$13,132,764 $13,743,633 
Commitments and Contingencies (See Note 16)
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 shares issued and outstanding, respectively ($260,000 liquidation preference)
104 104 
8.00% Series D cumulative redeemable: 8,000,000 shares issued and outstanding, respectively ($200,000 liquidation preference)
80 80 
Common stock: par value $0.01 per share; 500,000,000 shares authorized, 230,553,340 and 230,556,760 shares issued and outstanding, respectively
2,306 2,306 
Additional paid-in-capital4,320,419 4,538,029 
Accumulated other comprehensive income493,651 558,096 
Cumulative earnings4,039,485 3,881,894 
Cumulative distributions to stockholders(5,289,735)(5,201,311)
Total stockholders' equity$3,566,498 $3,779,386 
Total liabilities and stockholders' equity$16,699,262 $17,523,019 
(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of March 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $11,736,522 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $8,113,248 and $8,063,110, respectively. See Note 9 for further discussion.

See accompanying notes to consolidated financial statements.
2










CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS
(dollars in thousands, except share and per share data)
(Unaudited)
 For the Quarters Ended
March 31, 2021March 31, 2020
Net interest income:
Interest income (1)
$243,127 $300,266 
Interest expense (2)
108,066 142,083 
Net interest income135,061 158,183 
Increase/(decrease) in provision for credit losses(126)6,314 
Other investment gains (losses): 
Net unrealized gains (losses) on derivatives 201,000 
Realized gains (losses) on terminations of interest rate swaps (463,966)
Net realized gains (losses) on derivatives (41,086)
Net gains (losses) on derivatives (304,052)
Net unrealized gains (losses) on financial instruments at fair value270,012 (260,887)
Net realized gains (losses) on sales of investments37,796 75,854 
Gains (losses) on extinguishment of debt(237,137) 
Total other gains (losses)70,671 (489,085)
Other expenses:  
Compensation and benefits13,439 12,934 
General and administrative expenses5,198 5,137 
Servicing and asset manager fees9,281 10,530 
Transaction expenses16,437 4,906 
Total other expenses44,355 33,507 
Income (loss) before income taxes161,503 (370,723)
Income taxes3,912 32 
Net income (loss)$157,591 $(370,755)
Dividends on preferred stock18,438 18,438 
Net income (loss) available to common shareholders$139,153 $(389,193)
Net income (loss) per share available to common shareholders:
Basic$0.60 $(2.08)
Diluted$0.54 $(2.08)
Weighted average number of common shares outstanding:
Basic230,567,231 187,018,602 
Diluted261,435,081 187,018,602 

(1) Includes interest income of consolidated VIEs of $158,100 and $174,681 for the quarters ended March 31, 2021 and 2020, respectively. See Note 9 to consolidated financial statements for further discussion.

(2) Includes interest expense of consolidated VIEs of $65,205 and $64,629 for the quarters ended March 31, 2021 and 2020, respectively. See Note 9 to consolidated financial statements for further discussion.

See accompanying notes to consolidated financial statements.











3










CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(Unaudited)
For the Quarters Ended
March 31, 2021March 31, 2020
Comprehensive income (loss): 
Net income (loss)$157,591 $(370,755)
Other comprehensive income: 
Unrealized gains (losses) on available-for-sale securities, net(38,652)(199,204)
Reclassification adjustment for net realized losses (gains) included in net income(25,793)(6,641)
Other comprehensive income (loss)(64,445)(205,845)
Comprehensive income (loss) before preferred stock dividends$93,146 $(576,600)
Dividends on preferred stock$18,438 $18,438 
Comprehensive income (loss) available to common stock shareholders$74,708 $(595,038)


See accompanying notes to consolidated financial statements.
4










CHIMERA INVESTMENT CORPORATION   
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
(dollars in thousands, except per share data)
(Unaudited)
For the Quarter Ended March 31, 2021
 Series A Preferred Stock Par ValueSeries B Preferred Stock Par ValueSeries C Preferred Stock Par ValueSeries D Preferred Stock Par ValueCommon
Stock Par
Value
Additional Paid-in CapitalAccumulated Other Comprehensive IncomeCumulative EarningsCumulative Distributions to StockholdersTotal
Balance, December 31, 2020$58 $130 $104 $80 $2,306 $4,538,029 $558,096 $3,881,894 $(5,201,311)$3,779,386 
Net income (loss)— — — — — — — 157,591 — 157,591 
Other comprehensive income (loss)— — — — — — (64,445)— — (64,445)
Repurchase of common stock— — — — (2)(1,826)— — — (1,828)
Settlement of warrants— — — — — (219,840)— — — (219,840)
Stock based compensation— — — — 2 4,056 — — — 4,058 
Common dividends declared— — — — — — — — (69,986)(69,986)
Preferred dividends declared— — — — — — — — (18,438)(18,438)
Balance, March 31, 2021$58 $130 $104 $80 $2,306 $4,320,419 $493,651 $4,039,485 $(5,289,735)$3,566,498 
For the Quarter Ended March 31, 2020
 Series A Preferred Stock Par ValueSeries B Preferred Stock Par ValueSeries C Preferred Stock Par ValueSeries D Preferred Stock Par ValueCommon
Stock Par
Value
Additional Paid-in CapitalAccumulated Other Comprehensive IncomeCumulative EarningsCumulative Distributions to StockholdersTotal
Balance, December 31, 2019$58 $130 $104 $80 $1,873 $4,275,963 $708,336 $3,793,040 $(4,826,291)$3,953,293 
Net income (loss)— — — — — — — (370,755)— (370,755)
Other comprehensive income (loss)— — — — — — (205,845)— — (205,845)
Repurchase of common stock— — — — (14)(22,051)— — — (22,065)
Stock based compensation— — — — 1 1,142 — — — 1,143 
Common dividends declared— — — — — — — — (93,479)(93,479)
Preferred dividends declared— — — — — — — — (18,438)(18,438)
Balance, March 31, 2020$58 $130 $104 $80 $1,860 $4,255,054 $502,491 $3,422,285 $(4,938,208)$3,243,854 

See accompanying notes to consolidated financial statements.
5










CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
(Unaudited)
 For the Quarters Ended
 March 31, 2021March 31, 2020
Cash Flows From Operating Activities:
Net income (loss)$157,591 $(370,755)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net13,260 36,319 
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net9,673 (18,318)
Net unrealized losses (gains) on derivatives (201,000)
Margin (paid) received on derivatives 325,594 
Net unrealized losses (gains) on financial instruments at fair value(270,012)260,887 
Net realized losses (gains) on sales of investments(37,796)(75,854)
Net increase (decrease) in provision for credit losses(126)6,314 
(Gain) loss on extinguishment of debt237,137  
Equity-based compensation expense4,058 1,143 
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net3,593 23,763 
Decrease (increase) in other assets12,042 (394,817)
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities8,877 6,417 
Increase (decrease) in accrued interest payable, net(16,096)(19,156)
Net cash provided by (used in) operating activities$122,201 $(419,463)
Cash Flows From Investing Activities:
Agency MBS portfolio:  
Purchases$(28,856)$(160,516)
Sales201,037 6,244,850 
Principal payments147,859 593,341 
Non-Agency RMBS portfolio: 
Purchases (19,503)
Sales32,459 33,797 
Principal payments63,311 67,518 
Loans held for investment: 
Purchases(1,069,554)(575,541)
Sales903,358  
Principal payments564,559 461,594 
Net cash provided by (used in) investing activities$814,173 $6,645,540 
Cash Flows From Financing Activities:
Proceeds from secured financing agreements$14,021,592 $38,210,544 
Payments on secured financing agreements(14,615,709)(44,491,093)
Payments on repurchase of common stock(1,828)(22,066)
Proceeds from securitized debt borrowings, collateralized by loans held for investment3,400,687 731,013 
Payments on securitized debt borrowings, collateralized by loans held for investment(3,379,096)(386,362)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS(5,499)(4,449)
Settlement of warrants(219,840) 
Common dividends paid(69,844)(93,613)
Preferred dividends paid(18,438)(18,438)
Net cash provided by (used in) financing activities$(887,975)$(6,074,464)
6










Net increase (decrease) in cash and cash equivalents48,399 151,613 
Cash and cash equivalents at beginning of period269,090 109,878 
Cash and cash equivalents at end of period$317,489 $261,491 
Supplemental disclosure of cash flow information:
Interest received$259,981 $359,664 
Interest paid$114,490 $178,292 
Non-cash investing activities: 
Payable for investments purchased$76,534 $699,164 
Net change in unrealized gain (loss) on available-for sale securities$(64,445)$(205,845)
Non-cash financing activities: 
   Dividends declared, not yet paid$77,355 $98,434 


See accompanying notes to consolidated financial statements.
7










CHIMERA INVESTMENT CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
1. Organization

Chimera Investment Corporation, or the Company, was organized in Maryland on June 1, 2007. The Company commenced operations on November 21, 2007 when it completed its initial public offering. The Company elected to be taxed as a real estate investment trust, or REIT, under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder, or the Code.

The Company conducts its operations through various subsidiaries including subsidiaries it treats as taxable REIT subsidiaries, or TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business. The Company currently has thirteen wholly owned direct subsidiaries: Chimera RMBS Whole Pool LLC and Chimera RMBS LLC formed in June 2009; CIM Trading Company LLC, or CIM Trading, formed in July 2010; Chimera Funding TRS LLC, or CIM Funding TRS, a TRS formed in October 2013, Chimera CMBS Whole Pool LLC and Chimera RMBS Securities LLC formed in March 2015; Chimera Insurance Company, LLC formed in July 2015; Chimera RR Holding LLC formed in April 2016, Anacostia LLC, a TRS formed in June 2018, NYH Funding LLC, a TRS formed in May 2019, Kali 2020 Holdings LLC formed in May 2020, Varuna Capital Partners LLC formed in September 2020 and Aarna Holdings LLC formed in November 2020.

The Company holds a significant, non-consolidated interest in Kah Capital Management, which is treated as an equity method investment. The Company paid $346 thousand and $250 thousand in fees to Kah Capital Management for investment services provided during the quarters ended March 31, 2021 and 2020, respectively.

2. Summary of the Significant Accounting Policies

(a) Basis of Presentation and Consolidation

The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States, or GAAP. In the opinion of the Company, all normal and recurring adjustments considered necessary for a fair presentation of its financial position, results of operations and cash flows have been included. Investment securities transactions are recorded on the trade date. Certain prior period amounts have been reclassified to conform to the current period's presentation.

The consolidated financial statements include the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities, or VIEs, in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation.

The Company uses securitization trusts considered to be VIEs in its securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE.

The trusts are structured as entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain risks associated with being the sponsor and depositor of and the seller, directly or indirectly to, the securitizations entities.

Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause or the Company was determined to have power in connection with its involvement with the structure and design of the VIE.
8










The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Consolidated Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. Generally, the securities retained by the Company are the most subordinate in the capital structure, which means those securities receive distributions after the senior securities have been paid. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool.
The assets of securitization entities are comprised of residential mortgage backed securities (or RMBS), or residential mortgage loans. See Notes 3, 4 and 9 for further discussion of the characteristics of the securities and loans in the Company’s portfolio.
(b) Statements of Financial Condition Presentation
The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Retained beneficial interests of the consolidated securitization vehicles are eliminated on consolidation. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 9 for additional information related to the Company’s investments in consolidated securitization vehicles.

(c) Use of Estimates

The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. The Company has made significant estimates including in accounting for income recognition on Agency MBS, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans (Note 4), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Note 4 and 5), securitized debt (Note 5 and 7) and derivative instruments (Notes 5 and 10). Actual results could differ materially from those estimates.

(d) Significant Accounting Policies

There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2020, other than the significant accounting policies discussed below.

Fair Value Disclosure

A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements.

Income Taxes

The Company does not have any material unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of March 31, 2021 or December 31, 2020.

(e) Recent Accounting Pronouncements

Reference Rate Reform (Topic 848)

In March 2020, the FASB issued ASU No. 2020-4, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this update apply only to contracts, hedging relationships, and other transactions that reference London Inter Bank Offering Rate (or LIBOR) or another reference rate expected to be discontinued because of reference rate reform. The amendments in this update are effective for contracts held by the Company subject to
9










reference rate reform that fall within the scope of this update beginning immediately through December 31, 2022 at which time the transition is expected to be complete. The Company has not yet had any contracts modified to adopt reference rate reform. When a contract within the scope of this update is updated for reference rate reform, we will evaluate the impact in accordance with this update.

Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40)

In August 2020, the FASB issued ASU No. 2020-6, Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity. The FASB issued this update to simplify the current guidance for convertible instruments and the derivatives scope exception for contracts in an entity’s own equity. Additionally, the amendments affect the diluted EPS calculation for instruments that may be settled in cash or shares and for convertible instruments. The update also provides for expanded disclosure requirements to increase transparency. The amendments in this update are effective for the Company on January 1, 2022. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements.

3. Mortgage-Backed Securities

The Company classifies its Non-Agency RMBS as senior, subordinated, or Interest-only. The Company also invests in Agency MBS which it classifies as Agency RMBS to include residential and residential interest-only MBS and Agency CMBS to include commercial and commercial interest-only MBS. Senior interests in Non-Agency RMBS are generally entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of Company's MBS investments as of March 31, 2021 and December 31, 2020.
March 31, 2021
(dollars in thousands)
Principal or Notional ValueTotal PremiumTotal DiscountAmortized CostAllowance for credit lossesFair ValueGross Unrealized GainsGross Unrealized LossesNet Unrealized Gain/(Loss)
Non-Agency RMBS        
Senior$1,498,212 $3,923 $(748,648)$753,487 $(54)$1,202,495 $449,362 $(300)$449,062 
Subordinated857,925 6,902 (301,842)562,985  594,221 65,882 (34,646)31,236 
Interest-only4,850,934 229,963  229,963  216,762 43,519 (56,720)(13,201)
Agency RMBS       
Interest-only1,199,688 114,244  114,244  86,354 355 (28,245)(27,890)
Agency CMBS
Project loans1,196,682 21,438 (845)1,217,275  1,333,102 115,835 (8)115,827 
Interest-only1,114,212 19,952  19,952  22,187 2,681 (446)2,235 
Total$10,717,653 $396,422 $(1,051,335)$2,897,906 $(54)$3,455,121 $677,634 $(120,365)$557,269 
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December 31, 2020
(dollars in thousands)
Principal or Notional ValueTotal PremiumTotal DiscountAmortized CostAllowance for credit lossesFair ValueGross Unrealized GainsGross Unrealized LossesNet Unrealized Gain/(Loss)
Non-Agency RMBS        
Senior$1,560,135 $3,934 $(773,804)$790,265 $(180)$1,277,800 $487,963 $(248)$487,715 
Subordinated905,674 7,059 (347,056)565,677  610,655 83,007 (38,029)44,978 
Interest-only5,628,240 249,610  249,610  262,259 67,868 (55,219)12,649 
Agency RMBS        
Interest-only1,262,963 118,867  118,867  90,738 270 (28,399)(28,129)
Agency CMBS
Project loans1,527,621 28,559 (861)