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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, 2024

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)
Maryland26-0630461
(State or other jurisdiction of incorporation of organization)(I.R.S. Employer Identification Number)
630 Fifth Avenue, Ste 2400
New York, New York10111
(Address of Principal Executive Offices)(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 Fixed-to-Floating Rate Cumulative Redeemable Preferred StockCIM PRBNew York Stock Exchange
7.75% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred StockCIM PRCNew York Stock Exchange
8.00% Series D Fixed-to-Floating Rate Cumulative 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 such files).

Yes þ No ☐

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a 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, 2024
Common Stock, $0.01 par value241,418,876















CHIMERA INVESTMENT CORPORATION

FORM 10-Q

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION
ITEM 1.
Notes to Consolidated Financial Statements (Unaudited)
ITEM 2.
ITEM 3.
ITEM 4
PART II. OTHER INFORMATION
ITEM 1.
ITEM 1A.
ITEM 2.
ITEM 6.
1




Part I - Financial Information

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, 2024December 31, 2023
Cash and cash equivalents$168,958 $221,684 
Non-Agency RMBS, at fair value (net of allowance for credit losses of $20 million and $19 million, respectively)
1,059,863 1,043,806 
Agency MBS, at fair value65,999 102,484 
Loans held for investment, at fair value11,074,519 11,397,046 
Accrued interest receivable81,147 76,960 
Other assets96,086 87,018 
Total assets (1)
$12,546,572 $12,928,998 
Liabilities:  
Secured financing agreements ($3.6 billion and $3.6 billion pledged as collateral, respectively, and includes $340 million and $374 million at fair value, respectively)
$2,384,678 $2,432,115 
Securitized debt, collateralized by Non-Agency RMBS ($244 million and $249 million pledged as collateral, respectively)
73,162 75,012 
Securitized debt at fair value, collateralized by Loans held for investment ($10.5 billion and $10.7 billion pledged as collateral, respectively)
7,336,345 7,601,881 
Payable for investments purchased6,135 158,892 
Accrued interest payable35,481 38,272 
Dividends payable54,849 54,552 
Accounts payable and other liabilities10,336 9,355 
Total liabilities (1)
$9,900,986 $10,370,079 
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 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, 241,417,867 and 241,360,656 shares issued and outstanding, respectively
2,415 2,414 
Additional paid-in-capital4,371,502 4,368,520 
Accumulated other comprehensive income185,447 185,668 
Cumulative earnings4,294,500 4,165,046 
Cumulative distributions to stockholders(6,208,650)(6,163,101)
Total stockholders' equity$2,645,586 $2,558,919 
Total liabilities and stockholders' equity$12,546,572 $12,928,998 
(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or 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, 2024, and December 31, 2023, total assets of consolidated VIEs were $10,299,963 and $10,501,840, respectively, and total liabilities of consolidated VIEs were $7,093,458 and $7,349,109, respectively. See Note 8 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, 2024March 31, 2023
Net interest income:
Interest income (1)
$186,574 $189,250 
Interest expense (2)
121,468 119,615 
Net interest income65,106 69,635 
Increase/(decrease) in provision for credit losses1,347 3,062 
Other investment gains (losses): 
Net unrealized gains (losses) on derivatives5,189 (8,551)
Realized gains (losses) on derivatives (34,134)
Periodic interest cost of swaps, net5,476 2,819 
Net gains (losses) on derivatives10,665 (39,866)
Net unrealized gains (losses) on financial instruments at fair value76,765 64,592 
Net realized gains (losses) on sales of investments(3,750)(5,264)
Gains (losses) on extinguishment of debt 2,309 
Other investment gains (losses)4,686 117 
Total other gains (losses)88,366 21,888 
Other expenses: 
Compensation and benefits9,213 10,491 
General and administrative expenses5,720 5,778 
Servicing and asset manager fees7,663 8,417 
Transaction expenses67 6,409 
Total other expenses22,663 31,095 
Income (loss) before income taxes129,462 57,366 
Income tax expense (benefit)8  
Net income (loss)$129,454 $57,366 
Dividends on preferred stock18,438 18,438 
Net income (loss) available to common shareholders$111,016 $38,928 
Net income (loss) per share available to common shareholders:
Basic$0.46 $0.17 
Diluted$0.45 $0.17 
Weighted average number of common shares outstanding:
Basic243,718,142 231,994,620 
Diluted245,154,643 235,201,614 
(1) Includes interest income of consolidated VIEs of $146,917 and $139,902 for the quarters ended March 31, 2024 and 2023, respectively. See Note 8 for further discussion.
(2) Includes interest expense of consolidated VIEs of $73,123 and $60,152 for the quarters ended March 31, 2024 and 2023, respectively. See Note 8 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, 2024March 31, 2023
Comprehensive income (loss): 
Net income (loss)$129,454 $57,366 
Other comprehensive income: 
Unrealized gains (losses) on available-for-sale securities, net(221)(5,905)
Reclassification adjustment for net realized losses (gains) included in net income 1,315 
Other comprehensive income (loss)(221)(4,590)
Comprehensive income (loss) before preferred stock dividends$129,233 $52,776 
Dividends on preferred stock$18,438 $18,438 
Comprehensive income (loss) available to common stock shareholders$110,795 $34,338 

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, 2024
 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, 2023$58 $130 $104 $80 $2,414 $4,368,520 $185,668 $4,165,046 $(6,163,101)$2,558,919 
Net income (loss)— — — — — — — 129,454 — 129,454 
Other comprehensive income (loss)— — — — — — (221)— — (221)
Stock based compensation— — — — 1 2,982 — — — 2,983 
Common dividends declared— — — — — — — — (27,111)(27,111)
Preferred dividends declared— — — — — — — — (18,438)(18,438)
Balance, March 31, 2024$58 $130 $104 $80 $2,415 $4,371,502 $185,447 $4,294,500 $(6,208,650)$2,645,586 
For the Quarter Ended March 31, 2023
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, 2022$58 $130 $104 $80 $2,318 $4,318,388 $229,345 $4,038,942 $(5,922,562)$2,666,803 
Net income (loss)— — — — — — — 57,366 — 57,366 
Other comprehensive income (loss)— — — — — — (4,590)— — (4,590)
Stock based compensation— — — — 3 2,415 — — — 2,418 
Common dividends declared— — — — — — — — (54,172)(54,172)
Preferred dividends declared— — — — — — — — (18,438)(18,438)
Balance, March 31, 2023$58 $130 $104 $80 $2,321 $4,320,803 $224,755 $4,096,308 $(5,995,172)$2,649,387 

See accompanying notes to financial statements.
5










CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
(Unaudited)
 For the Quarters Ended
 March 31, 2024March 31, 2023
Cash Flows From Operating Activities:
Net income (loss)$129,454 $57,366 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net5,753 3,468 
Accretion (amortization) of deferred financing costs, debt issuance costs, and Securitized debt discounts/premiums, net3,942 7,143 
Net unrealized losses (gains) on derivatives(5,189)8,551 
Proceeds (payments) for derivative settlements(2,800)(17,509)
Margin (paid) received on derivatives6,622 35,128 
Net unrealized losses (gains) on financial instruments at fair value(76,765)(64,592)
Net realized losses (gains) on sales of investments3,750 5,264 
Other investment (gains) losses(4,686)(117)
Net increase (decrease) in provision for credit losses1,347 3,062 
(Gain) loss on extinguishment of debt (2,309)
Equity-based compensation expense2,982 2,418 
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net(4,185)(11,254)
Decrease (increase) in other assets(1,143)981 
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities984 2,051 
Increase (decrease) in accrued interest payable, net(2,792)790 
Net cash provided by (used in) operating activities$57,274 $30,441 
Cash Flows From Investing Activities:
Agency MBS portfolio:  
Purchases$ $(888)
Sales34,672 167,675 
Principal payments118 355 
Non-Agency RMBS portfolio: 
Purchases(33,594) 
Sales  
Principal payments18,672 19,122 
Loans held for investment: 
Purchases(77,596)(589,984)
Sales  
Principal payments306,064 321,711 
Net cash provided by (used in) investing activities$248,336 $(82,009)
Cash Flows From Financing Activities:
Proceeds from secured financing agreements$6,149,125 $8,457,223 
Payments on secured financing agreements(6,189,537)(8,699,286)
Proceeds from securitized debt borrowings, collateralized by Loans held for investment 944,095 
Payments on securitized debt borrowings, collateralized by Loans held for investment(272,668)(609,370)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS(5)(28)
Common dividends paid(26,813)(54,836)
Preferred dividends paid(18,438)(18,438)
6










Net cash provided by (used in) financing activities$(358,336)$19,360 
Net increase (decrease) in cash and cash equivalents(52,726)(32,208)
Cash and cash equivalents at beginning of period221,684 264,600 
Cash and cash equivalents at end of period$168,958 $232,392 
Supplemental disclosure of cash flow information:
Interest received$188,140 $181,464 
Interest paid$120,317 $111,682 
Non-cash investing activities: 
Payable for investments purchased$6,135 $660,047 
Net change in unrealized gain (loss) on available-for sale securities$(221)$(5,905)
Non-cash financing activities: 
   Dividends declared, not yet paid$54,849 $63,880 

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 is an internally managed REIT that is primarily engaged, through its subsidiaries, in the business of investing in a diversified portfolio of mortgage assets, including residential mortgage loans, Agency RMBS, Non-Agency RMBS, Agency CMBS, and other real estate-related assets. The following defines certain of the commonly used terms in this Quarterly Report on Form 10-Q: Agency refers to a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae; MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans; Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency; Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively; Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency. IO refers to Interest-only securities.

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 twelve 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 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.

During 2022, the Company exchanged its interest in Kah Capital Management, LLC for an interest in Kah Capital Holdings, LLC, which is accounted for as an equity method investment in other assets on the Statement of Financial Condition at March 31, 2024. Kah Capital Holdings, LLC is the parent of Kah Capital Management, LLC. The Company paid $138 thousand and $142 thousand for mortgage asset servicing oversight fees to Kah Capital Management during the quarters ended March 31, 2024 and 2023, respectively. These fees are reported within Other Expenses on the Consolidated Statement of Operations. The Company has made a $75 million capital commitment to a fund managed by Kah Capital Management, LLC. During the quarter ended March 31, 2024 the Company funded an additional $10 million towards that commitment, which brought its total funding to $56 million, leaving an unfunded commitment of $19 million. The Company's investment in this fund is accounted for as an equity method investment in other assets on the Consolidated Statement of Financial Condition. The Company records any gains and losses associated with its equity method investments in other investment gains (losses) on the Consolidated Statement of Operations.


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 transactions are recorded on the trade date.

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
8










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.
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 8 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 in 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 8 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 (Notes 4 and 5), secured financing agreements (Notes 5 and 6), and securitized debt (Notes 5 and 7). 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, 2023, other than the significant accounting policies discussed below.

9










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, 2024 or December 31, 2023.

(e) Recent Accounting Pronouncements

The Company has evaluated the accounting standards updates ("ASUs"), issued by Financial Accounting Standards Board ("FASB") during the first quarter of 2024 and determined that none of the recently issued ASUs are applicable to the Company.


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 the Company's MBS investments as of March 31, 2024 and December 31, 2023.
March 31, 2024
(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$1,057,200 $16,024 $(575,728)$497,496 $(16,491)$664,282 $189,895 $(6,618)$183,277 
Subordinated610,429 3,583 (281,892)332,120 (3,416)314,254 17,469 (31,919)(14,450)
Interest-only2,819,698 157,077  157,077  81,327 14,386 (90,136)(75,750)
Agency RMBS       
Interest-only388,676 19,490  19,490  14,867 198 (4,821)(4,623)
Agency CMBS
Project loans48,651 622  49,273  43,706  (5,567)(5,567)
Interest-only474,631 7,366  7,366  7,426 1,100 (1,040)60 
Total$5,399,285 $204,162 $(857,620)$1,062,822 $(19,907)$1,125,862 $223,048 $(140,101)$82,947 
10










December 31, 2023
(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$1,073,632 $14,641 $(582,640)$505,633 $(15,052)$676,128 $192,528 $(6,981)$185,547 
Subordinated583,049 3,609 (286,247)300,411 (3,508)276,903 16,548 (36,548)(20,000)
Interest-only2,874,680 157,871  157,871  90,775 14,394 (81,490)(67,096)
Agency RMBS        
Interest-only392,284 19,238  19,238  15,023 862 (5,077)(4,215)
Agency CMBS
Project loans86,572 1,248  87,820  79,179  (8,641)(8,641)
Interest-only478,239 7,766  7,766  8,282 1,307 (791)516 
Total$5,488,456 $204,373 $(868,887)$1,078,739 $(18,560)$1,146,290 $225,639 $(139,528)$86,111 

The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2024 and December 31, 2023. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses.

March 31, 2024
(dollars in thousands)
 Unrealized Loss Position for Less than 12 MonthsUnrealized Loss Position for 12 Months or MoreTotal
 Estimated Fair ValueUnrealized LossesNumber of PositionsEstimated Fair ValueUnrealized LossesNumber of PositionsEstimated Fair ValueUnrealized LossesNumber of Positions
Non-Agency RMBS         
Senior$46,803 $(283)13 $45,625 $(6,335)8 $92,429 $(6,618)21 
Subordinated25,720 (630)4 189,006 (31,289)35214,726 (31,919)39
Interest-only20,615 (6,983)3029,047 (83,153)10549,662 (90,136)135
Agency RMBS       
Interest-only1,278 (8)19,526 (4,813)8 10,803 (4,821)9
Agency CMBS
Project loans5,149 (1,065)3 38,557 (4,502)3243,706 (5,567)35
Interest-only4,284 (760)3 131 (280)2 4,415 (1,040)5
Total$103,849 $(9,729)54$311,892 $(130,372)190$415,741 $(140,101)244 
11










December 31, 2023
(dollars in thousands)
 Unrealized Loss Position for Less than 12 MonthsUnrealized Loss Position for 12 Months or MoreTotal
 Estimated Fair ValueUnrealized LossesNumber of PositionsEstimated Fair ValueUnrealized LossesNumber of PositionsEstimated Fair ValueUnrealized LossesNumber of Positions
Non-Agency RMBS         
Senior$51,476 $(281)13 $42,859 $(6,700)6 $94,335 $(6,981)19 
Subordinated19,382 (1,467)5 181,822 (35,081)33201,204 (36,548)38 
Interest-only19,263 (4,035)27 36,731 (77,455)10555,994 (81,490)132 
Agency RMBS         
Interest-only   9,151 (5,077)8 9,151 (5,077)8 
Agency CMBS
Project loans43,827 (4,040)5 35,353 (4,601)3279,180 (8,641)37 
Interest-only2,601 (529)2 158 (262)22,759 (791)4 
Total$136,549 $(10,352)52$306,074 $(129,176)186$442,623 $(139,528)238 

At March 31, 2024, the Company did not intend to sell any of its Agency and Non-Agency MBS classified as available-for-sale that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these MBS investments before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of March 31, 2024.

The Company had $24 thousand and $23 thousand gross unrealized losses on its Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) as of March 31, 2024 and December 31, 2023, respectively. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at March 31, 2024 unrealized losses on its Agency MBS were temporary.

Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings), net of any allowance for credit losses, were $15 million and $18 million, at March 31, 2024 and December 31, 2023, respectively. After evaluating the securities and recording any allowance for credit losses, the Company concluded that the remaining unrealized losses reflected above were non-credit related and would be recovered from the securities' estimated future cash flows. The Company considered a number of factors in reaching this conclusion, including that it did not intend to sell the securities, it was not considered more likely than not that it would be required to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused the Company to otherwise conclude that it would not recover the amortized cost. The allowance for credit losses are calculated by comparing the estimated future cash flows of each security discounted at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to the net amortized cost basis. Significant judgment is used in projecting cash flows for Non-Agency RMBS.

The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are credit related based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the credit losses allowance on available-for-sale securities for the quarters ended March 31, 2024 and 2023 is presented below.

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For the Quarter Ended
March 31, 2024March 31, 2023
(dollars in thousands)
Beginning allowance for credit losses$18,560 $7,188 
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded705 597 
Allowance on purchased financial assets with credit deterioration  
Reductions for the securities sold during the period   
Increase/(decrease) on securities with an allowance in the prior period448 4,093 
Write-offs charged against the allowance(302)(1,631)
Recoveries of amounts previously written off496 4 
Ending allowance for credit losses$19,907 $10,251 

The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of March 31, 2024 and December 31, 2023.
March 31, 2024
(dollars in thousands)
  Prepay RateCDRLoss Severity
  Amortized CostWeighted AverageWeighted AverageWeighted Average
Non-Agency RMBS
Senior98,495 7.1%2.3%37.3%
Subordinated72,053 6.5%0.3%44.7%

December 31, 2023
(dollars in thousands)
  Prepay RateCDRLoss Severity
  Amortized CostWeighted AverageWeighted AverageWeighted Average
Non-Agency RMBS
Senior98,394 6.2%2.3%35.3%
Subordinated75,005 6.2%0.7%38.9%

The increase in the allowance for credit losses for the quarter ended March 31, 2024 is primarily due to increases in expected losses and delinquencies as compared to the same period of 2023. In addition, certain Non-Agency RMBS positions now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments.

The following tables present a summary of unrealized gains and losses at March 31, 2024 and December 31, 2023.
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March 31, 2024
  (dollars in thousands) 
Gross Unrealized Gain Included in Accumulated Other Comprehensive IncomeGross Unrealized Gain Included in Cumulative EarningsTotal Gross Unrealized GainGross Unrealized Loss Included in Accumulated Other Comprehensive IncomeGross Unrealized Loss Included in Cumulative EarningsTotal Gross Unrealized Loss
Non-Agency RMBS      
Senior$189,895 $ $189,895 $(5,231)$(1,388)$(6,618)
Subordinated10,826 6,643 17,469 (10,019)(21,900)(31,919)
Interest-only 14,386 14,386  (90,136)(90,136)
Agency RMBS    
Interest-only 198 198  (4,821)(4,821)
Agency CMBS
Project loans   (24)(5,543)(5,567)
Interest-only 1,100 1,100  (1,040)(1,040)
Total$200,721 $22,327 $223,048 $(15,274)$(124,827)$(140,101)

December 31, 2023
   (dollars in thousands)  
Gross Unrealized Gain Included in Accumulated Other Comprehensive IncomeGross Unrealized Gain Included in Cumulative EarningsTotal Gross Unrealized GainGross Unrealized Loss Included in Accumulated Other Comprehensive IncomeGross Unrealized Loss Included in Cumulative EarningsTotal Gross Unrealized Loss
Non-Agency RMBS      
Senior$192,528 $ $192,528 $(5,396)$(1,585)$(6,981)
Subordinated10,757 5,791