MARYLAND
|
|
26-0630461
|
(State or other jurisdiction of incorporation or organization)
|
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(IRS Employer Identification No.)
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Class
|
Outstanding at April 30, 2018
|
Common Stock, $0.01 par value
|
186,970,122
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
|
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CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
March 31, 2018
|
December 31, 2017
|
||||
Assets:
|
|
|
||||
Cash and cash equivalents
|
$
|
100,752
|
|
$
|
63,569
|
|
Non-Agency RMBS, at fair value
|
2,760,711
|
|
2,851,316
|
|
||
Agency MBS, at fair value
|
4,557,799
|
|
4,364,828
|
|
||
Loans held for investment, at fair value
|
13,619,995
|
|
13,678,263
|
|
||
Accrued interest receivable
|
98,669
|
|
100,789
|
|
||
Other assets
|
99,631
|
|
114,391
|
|
||
Derivatives, at fair value, net
|
93,171
|
|
48,914
|
|
||
Total assets
(1)
|
$
|
21,330,728
|
|
$
|
21,222,070
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($8.7 billion and $8.8 billion, pledged as collateral, respectively)
|
$
|
7,202,924
|
|
$
|
7,250,452
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.5 billion and $1.6 billion pledged as collateral, respectively)
|
194,967
|
|
205,780
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($13.2 billion and $13.3 billion pledged as collateral, respectively)
|
9,321,154
|
|
9,388,657
|
|
||
Payable for investments purchased
|
766,250
|
|
567,440
|
|
||
Accrued interest payable
|
69,929
|
|
61,888
|
|
||
Dividends payable
|
95,335
|
|
95,365
|
|
||
Accounts payable and other liabilities
|
9,426
|
|
17,191
|
|
||
Derivatives, at fair value, net
|
—
|
|
320
|
|
||
Total liabilities
(1)
|
$
|
17,659,985
|
|
$
|
17,587,093
|
|
|
|
|
|
|
||
Commitments and Contingencies (See Note 15)
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|
|
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|
||
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|
||
Stockholders' Equity:
|
|
|
|
|
||
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:
|
|
|
|
|
||
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference)
|
$
|
58
|
|
$
|
58
|
|
8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively ($325,000 liquidation preference)
|
130
|
|
130
|
|
||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 186,969,715 and 187,809,288 shares issued and outstanding, respectively
|
1,870
|
|
1,878
|
|
||
Additional paid-in-capital
|
3,814,391
|
|
3,826,691
|
|
||
Accumulated other comprehensive income
|
709,244
|
|
796,902
|
|
||
Cumulative earnings
|
3,206,859
|
|
2,967,852
|
|
||
Cumulative distributions to stockholders
|
(4,061,809
|
)
|
(3,958,534
|
)
|
||
Total stockholders' equity
|
$
|
3,670,743
|
|
$
|
3,634,977
|
|
Total liabilities and stockholders' equity
|
$
|
21,330,728
|
|
$
|
21,222,070
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
For the Quarters Ended
|
|||||
|
March 31, 2018
|
March 31, 2017
|
||||
Net interest income:
|
|
|
||||
Interest income
(1)
|
$
|
297,132
|
|
$
|
251,344
|
|
Interest expense
(2)
|
149,251
|
|
110,231
|
|
||
Net interest income
|
147,881
|
|
141,113
|
|
||
Other-than-temporary impairments:
|
|
|
|
|
||
Total other-than-temporary impairment losses
|
(294
|
)
|
(2,713
|
)
|
||
Portion of loss recognized in other comprehensive income
|
(864
|
)
|
(15,988
|
)
|
||
Net other-than-temporary credit impairment losses
|
(1,158
|
)
|
(18,701
|
)
|
||
Other investment gains (losses):
|
|
|
|
|
||
Net unrealized gains (losses) on derivatives
|
81,419
|
|
4,896
|
|
||
Net realized gains (losses) on derivatives
|
13,085
|
|
(9,358
|
)
|
||
Net gains (losses) on derivatives
|
94,504
|
|
(4,462
|
)
|
||
Net unrealized gains (losses) on financial instruments at fair value
|
14,466
|
|
72,243
|
|
||
Net realized gains (losses) on sales of investments
|
—
|
|
5,167
|
|
||
Gains (losses) on extinguishment of debt
|
9,670
|
|
—
|
|
||
Total other gains (losses)
|
118,640
|
|
72,948
|
|
||
|
|
|
|
|
||
Other expenses:
|
|
|
|
|
||
Compensation and benefits
|
8,411
|
|
7,556
|
|
||
General and administrative expenses
|
5,489
|
|
4,040
|
|
||
Servicing fees
|
11,334
|
|
9,588
|
|
||
Deal expenses
|
1,088
|
|
11,353
|
|
||
Total other expenses
|
26,322
|
|
32,537
|
|
||
Income (loss) before income taxes
|
239,041
|
|
162,823
|
|
||
Income taxes
|
34
|
|
16
|
|
||
Net income (loss)
|
$
|
239,007
|
|
$
|
162,807
|
|
|
|
|
|
|
||
Dividend on preferred stock
|
9,400
|
|
5,283
|
|
||
|
|
|
|
|
||
Net income (loss) available to common shareholders
|
$
|
229,607
|
|
$
|
157,524
|
|
|
|
|
|
|
||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
||
Basic
|
$
|
1.22
|
|
$
|
0.84
|
|
Diluted
|
$
|
1.22
|
|
$
|
0.84
|
|
|
|
|
|
|
||
Weighted average number of common shares outstanding:
|
|
|
|
|
||
Basic
|
187,553,281
|
|
187,761,748
|
|
||
Diluted
|
188,176,753
|
|
188,195,061
|
|
||
|
|
|
|
|
||
Dividends declared per share of common stock
|
$
|
0.50
|
|
$
|
0.50
|
|
|
|
|
|
|
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, 2018
|
March 31, 2017
|
||||
Comprehensive income (loss):
|
|
|
||||
Net income (loss)
|
$
|
239,007
|
|
$
|
162,807
|
|
Other comprehensive income:
|
|
|
||||
Unrealized gains (losses) on available-for-sale securities, net
|
(88,816
|
)
|
(3,910
|
)
|
||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
1,158
|
|
18,701
|
|
||
Reclassification adjustment for net realized losses (gains) included in net income
|
—
|
|
(5,186
|
)
|
||
Other comprehensive income (loss)
|
(87,658
|
)
|
9,605
|
|
||
Comprehensive income (loss) before preferred stock dividends
|
$
|
151,349
|
|
$
|
172,412
|
|
Dividends on preferred stock
|
$
|
9,400
|
|
$
|
5,283
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
141,949
|
|
$
|
167,129
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||||||||||||||
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
|
||||||||||||||||||||||||
(dollars in thousands, except per share data)
|
||||||||||||||||||||||||
(Unaudited)
|
||||||||||||||||||||||||
|
Series A Preferred Stock Par Value
|
Series B Preferred Stock Par Value
|
Common
Stock Par Value |
Additional Paid-in Capital
|
Accumulated Other Comprehensive Income
|
Cumulative Earnings
|
Cumulative Distributions to Stockholders
|
Total
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||||||||
Balance, December 31, 2016
|
$
|
58
|
|
$
|
—
|
|
$
|
1,877
|
|
$
|
3,508,779
|
|
$
|
718,106
|
|
$
|
2,443,184
|
|
$
|
(3,548,471
|
)
|
$
|
3,123,533
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
162,807
|
|
—
|
|
162,807
|
|
||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
9,605
|
|
—
|
|
—
|
|
9,605
|
|
||||||||
Stock based compensation
|
—
|
|
—
|
|
1
|
|
1,119
|
|
—
|
|
—
|
|
—
|
|
1,120
|
|
||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(94,123
|
)
|
(94,123
|
)
|
||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(5,283
|
)
|
(5,283
|
)
|
||||||||
Issuance of preferred stock
|
—
|
|
130
|
|
—
|
|
314,299
|
|
—
|
|
—
|
|
—
|
|
314,429
|
|
||||||||
Balance, March 31, 2017
|
$
|
58
|
|
$
|
130
|
|
$
|
1,878
|
|
$
|
3,824,197
|
|
$
|
727,711
|
|
$
|
2,605,991
|
|
$
|
(3,647,877
|
)
|
$
|
3,512,088
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
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)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
239,007
|
|
—
|
|
239,007
|
|
||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
(87,658
|
)
|
—
|
|
—
|
|
(87,658
|
)
|
||||||||
Repurchase of common stock
|
—
|
|
—
|
|
(8
|
)
|
(14,826
|
)
|
—
|
|
—
|
|
—
|
|
(14,834
|
)
|
||||||||
Stock based compensation
|
—
|
|
—
|
|
—
|
|
2,526
|
|
—
|
|
—
|
|
—
|
|
2,526
|
|
||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(93,875
|
)
|
(93,875
|
)
|
||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(9,400
|
)
|
(9,400
|
)
|
||||||||
Balance, March 31, 2018
|
$
|
58
|
|
$
|
130
|
|
$
|
1,870
|
|
$
|
3,814,391
|
|
$
|
709,244
|
|
$
|
3,206,859
|
|
$
|
(4,061,809
|
)
|
$
|
3,670,743
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS
|
||||||
(dollars in thousands)
|
||||||
(Unaudited)
|
||||||
|
For the Quarters Ended
|
|||||
|
March 31, 2018
|
March 31, 2017
|
||||
Cash Flows From Operating Activities:
|
||||||
Net income
|
$
|
239,007
|
|
$
|
162,807
|
|
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
|
||||||
(Accretion) amortization of investment discounts/premiums, net
|
2,521
|
|
(13,712
|
)
|
||
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net
|
(693
|
)
|
5,109
|
|
||
Amortization of swaption premium
|
727
|
|
3,303
|
|
||
Net unrealized losses (gains) on derivatives
|
(81,419
|
)
|
(4,896
|
)
|
||
Margin (paid) received on derivatives
|
43,891
|
|
4,974
|
|
||
Net unrealized losses (gains) on financial instruments at fair value
|
(14,466
|
)
|
(72,243
|
)
|
||
Net realized losses (gains) on sales of investments
|
—
|
|
(5,167
|
)
|
||
Net other-than-temporary credit impairment losses
|
1,158
|
|
18,701
|
|
||
(Gain) loss on extinguishment of debt
|
(9,670
|
)
|
—
|
|
||
Equity-based compensation expense
|
2,526
|
|
1,119
|
|
||
Changes in operating assets:
|
|
|
|
|
||
Decrease (increase) in accrued interest receivable, net
|
2,120
|
|
(19,972
|
)
|
||
Decrease (increase) in other assets
|
12,501
|
|
(30,275
|
)
|
||
Changes in operating liabilities:
|
|
|
|
|
||
Increase (decrease) in accounts payable and other liabilities
|
(7,766
|
)
|
(7,517
|
)
|
||
Increase (decrease) in accrued interest payable, net
|
8,041
|
|
18,929
|
|
||
Net cash provided by (used in) operating activities
|
$
|
198,478
|
|
$
|
61,160
|
|
Cash Flows From Investing Activities:
|
||||||
Agency MBS portfolio:
|
|
|
|
|
||
Purchases
|
$
|
(217,579
|
)
|
$
|
(113,599
|
)
|
Principal payments
|
109,645
|
|
115,237
|
|
||
Non-Agency RMBS portfolio:
|
|
|
|
|
||
Purchases
|
—
|
|
(5,663
|
)
|
||
Principal payments
|
96,988
|
|
127,929
|
|
||
Loans held for investment:
|
|
|
|
|
||
Purchases
|
(369,583
|
)
|
(4,165,322
|
)
|
||
Principal payments
|
443,755
|
|
324,851
|
|
||
Net cash provided by (used in) investing activities
|
$
|
63,226
|
|
$
|
(3,716,567
|
)
|
Cash Flows From Financing Activities:
|
||||||
Proceeds from repurchase agreements
|
$
|
13,951,070
|
|
$
|
6,551,098
|
|
Payments on repurchase agreements
|
(13,997,248
|
)
|
(6,300,798
|
)
|
||
Net proceeds from preferred stock offerings
|
—
|
|
314,429
|
|
||
Payments on repurchase of common stock
|
(14,834
|
)
|
—
|
|
||
Proceeds from securitized debt borrowings, collateralized by loans held for investment
|
509,066
|
|
3,457,535
|
|
||
Payments on securitized debt borrowings, collateralized by loans held for investment
|
(558,917
|
)
|
(331,290
|
)
|
||
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS
|
(10,353
|
)
|
(31,320
|
)
|
||
Common dividends paid
|
(93,905
|
)
|
(94,056
|
)
|
||
Preferred dividends paid
|
(9,400
|
)
|
(5,349
|
)
|
||
Net cash provided by (used in) financing activities
|
$
|
(224,521
|
)
|
$
|
3,560,249
|
|
Net increase (decrease) in cash and cash equivalents
|
37,183
|
|
(95,158
|
)
|
||
Cash and cash equivalents at beginning of period
|
63,569
|
|
177,714
|
|
||
Cash and cash equivalents at end of period
|
$
|
100,752
|
|
$
|
82,556
|
|
|
|
|
|
|
March 31, 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
|
$
|
2,627,375
|
|
$
|
867
|
|
$
|
(1,210,583
|
)
|
$
|
1,417,659
|
|
$
|
2,153,327
|
|
$
|
736,149
|
|
$
|
(481
|
)
|
$
|
735,668
|
|
Senior, interest-only
|
4,646,297
|
|
251,692
|
|
—
|
|
251,692
|
|
197,593
|
|
16,197
|
|
(70,296
|
)
|
(54,099
|
)
|
||||||||
Subordinated
|
495,128
|
|
10,319
|
|
(172,024
|
)
|
333,423
|
|
401,699
|
|
68,452
|
|
(176
|
)
|
68,276
|
|
||||||||
Subordinated, interest-only
|
196,208
|
|
7,225
|
|
—
|
|
7,225
|
|
8,092
|
|
1,388
|
|
(521
|
)
|
867
|
|
||||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
2,265,632
|
|
125,940
|
|
—
|
|
2,391,572
|
|
2,312,635
|
|
3,201
|
|
(82,138
|
)
|
(78,937
|
)
|
||||||||
Commercial
|
2,153,980
|
|
50,889
|
|
(4,600
|
)
|
2,200,269
|
|
2,147,644
|
|
3,042
|
|
(55,667
|
)
|
(52,625
|
)
|
||||||||
Interest-only
|
2,960,181
|
|
104,603
|
|
—
|
|
104,603
|
|
97,520
|
|
827
|
|
(7,910
|
)
|
(7,083
|
)
|
||||||||
Total
|
$
|
15,344,801
|
|
$
|
551,535
|
|
$
|
(1,387,207
|
)
|
$
|
6,706,443
|
|
$
|
7,318,510
|
|
$
|
829,256
|
|
$
|
(217,189
|
)
|
$
|
612,067
|
|
|
|
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
|
|||||
|
March 31, 2018
|
March 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Balance at beginning of period
|
$
|
1,303,590
|
|
$
|
1,550,110
|
|
Purchases
|
—
|
|
8,216
|
|
||
Yield income earned
|
(59,732
|
)
|
(68,827
|
)
|
||
Reclassification (to) from non-accretable difference
|
50,026
|
|
23,952
|
|
||
Sales and deconsolidation
|
112
|
|
(35
|
)
|
||
Balance at end of period
|
$
|
1,293,996
|
|
$
|
1,513,416
|
|
|
For the Quarter Ended
|
For the Year Ended
|
||||
|
March 31, 2018
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Outstanding principal balance:
|
|
|
||||
Beginning of period
|
$
|
2,673,350
|
|
$
|
3,138,265
|
|
End of period
|
$
|
2,581,229
|
|
$
|
2,673,350
|
|
Amortized cost:
|
|
|
|
|
||
Beginning of period
|
$
|
1,381,839
|
|
$
|
1,695,079
|
|
End of period
|
$
|
1,334,327
|
|
$
|
1,381,839
|
|
|
|
|
March 31, 2018
|
|
|
|
|
|
|
|||||||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|
|
|
||||||||||||||||||
|
Unrealized Loss Position for Less than 12 Months
|
|
Unrealized Loss Position for 12 Months or More
|
|
Total
|
|||||||||||||||||||||
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Senior
|
$
|
35,069
|
|
$
|
(481
|
)
|
1
|
|
|
$
|
—
|
|
$
|
—
|
|
—
|
|
|
$
|
35,069
|
|
$
|
(481
|
)
|
1
|
|
Senior, interest-only
|
27,994
|
|
(2,206
|
)
|
20
|
|
|
109,181
|
|
(68,090
|
)
|
118
|
|
|
137,175
|
|
(70,296
|
)
|
138
|
|
||||||
Subordinated
|
1,857
|
|
(85
|
)
|
11
|
|
|
4,186
|
|
(91
|
)
|
3
|
|
|
6,043
|
|
(176
|
)
|
14
|
|
||||||
Subordinated, interest-only
|
—
|
|
—
|
|
—
|
|
|
819
|
|
(521
|
)
|
3
|
|
|
819
|
|
(521
|
)
|
3
|
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential
|
746,346
|
|
(19,528
|
)
|
32
|
|
|
1,383,334
|
|
(62,610
|
)
|
94
|
|
|
2,129,680
|
|
(82,138
|
)
|
126
|
|
||||||
Commercial
|
1,584,221
|
|
(50,604
|
)
|
402
|
|
|
113,327
|
|
(5,063
|
)
|
55
|
|
|
1,697,548
|
|
(55,667
|
)
|
457
|
|
||||||
Interest-only
|
13,338
|
|
(683
|
)
|
7
|
|
|
52,347
|
|
(7,227
|
)
|
23
|
|
|
65,685
|
|
(7,910
|
)
|
30
|
|
||||||
Total
|
$
|
2,408,825
|
|
$
|
(73,587
|
)
|
473
|
|
|
$
|
1,663,194
|
|
$
|
(143,602
|
)
|
296
|
|
|
$
|
4,072,019
|
|
$
|
(217,189
|
)
|
769
|
|
|
|
|
December 31, 2017
|
|
|
|
|
|
|
|||||||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|
|
|
||||||||||||||||||
|
Unrealized Loss Position for Less than 12 Months
|
|
Unrealized Loss Position for 12 Months or More
|
|
Total
|
|||||||||||||||||||||
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Senior
|
$
|
35,229
|
|
$
|
(182
|
)
|
1
|
|
|
$
|
—
|
|
$
|
—
|
|
—
|
|
|
$
|
35,229
|
|
$
|
(182
|
)
|
1
|
|
Senior, interest-only
|
28,129
|
|
(1,724
|
)
|
27
|
|
|
120,120
|
|
(66,183
|
)
|
120
|
|
|
148,249
|
|
(67,907
|
)
|
147
|
|
||||||
Subordinated
|
235
|
|
(38
|
)
|
7
|
|
|
6,261
|
|
(261
|
)
|
5
|
|
|
6,496
|
|
(299
|
)
|
12
|
|
||||||
Subordinated, interest-only
|
—
|
|
—
|
|
—
|
|
|
945
|
|
(445
|
)
|
3
|
|
|
945
|
|
(445
|
)
|
3
|
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential
|
660,103
|
|
(5,197
|
)
|
21
|
|
|
1,471,464
|
|
(28,702
|
)
|
93
|
|
|
2,131,567
|
|
(33,899
|
)
|
114
|
|
||||||
Commercial
|
830,889
|
|
(11,695
|
)
|
176
|
|
|
161,980
|
|
(4,404
|
)
|
91
|
|
|
992,869
|
|
(16,099
|
)
|
267
|
|
||||||
Interest-only
|
15,142
|
|
(641
|
)
|
7
|
|
|
57,875
|
|
(7,103
|
)
|
24
|
|
|
73,017
|
|
(7,744
|
)
|
31
|
|
||||||
Total
|
$
|
1,569,727
|
|
$
|
(19,477
|
)
|
239
|
|
|
$
|
1,818,645
|
|
$
|
(107,098
|
)
|
336
|
|
|
$
|
3,388,372
|
|
$
|
(126,575
|
)
|
575
|
|
|
For the Quarter Ended
|
|||||
|
March 31, 2018
|
March 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Total other-than-temporary impairment losses
|
$
|
(294
|
)
|
$
|
(2,713
|
)
|
Portion of loss recognized in other comprehensive income (loss)
|
(864
|
)
|
(15,988
|
)
|
||
Net other-than-temporary credit impairment losses
|
$
|
(1,158
|
)
|
$
|
(18,701
|
)
|
|
For the Quarters Ended
|
|||||
|
March 31, 2018
|
March 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Cumulative credit loss beginning balance
|
$
|
591,521
|
|
$
|
556,485
|
|
Additions:
|
|
|
|
|
||
Other-than-temporary impairments not previously recognized
|
1,140
|
|
—
|
|
||
Reductions for securities sold or deconsolidated during the period
|
(173
|
)
|
(7,443
|
)
|
||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
18
|
|
16,726
|
|
||
Reductions for increases in cash flows expected to be collected over the remaining life of the securities
|
(6,450
|
)
|
(7,539
|
)
|
||
Cumulative credit impairment loss ending balance
|
$
|
586,056
|
|
$
|
558,229
|
|
|
|
March 31, 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
|
$
|
736,149
|
|
$
|
—
|
|
$
|
736,149
|
|
$
|
(481
|
)
|
$
|
—
|
|
$
|
(481
|
)
|
Senior, interest-only
|
—
|
|
16,197
|
|
16,197
|
|
—
|
|
(70,296
|
)
|
(70,296
|
)
|
||||||
Subordinated
|
65,248
|
|
3,204
|
|
68,452
|
|
(91
|
)
|
(85
|
)
|
(176
|
)
|
||||||
Subordinated, interest-only
|
—
|
|
1,388
|
|
1,388
|
|
—
|
|
(521
|
)
|
(521
|
)
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
3,142
|
|
59
|
|
3,201
|
|
(64,913
|
)
|
(17,225
|
)
|
(82,138
|
)
|
||||||
Commercial
|
2,762
|
|
280
|
|
3,042
|
|
(32,572
|
)
|
(23,095
|
)
|
(55,667
|
)
|
||||||
Interest-only
|
—
|
|
827
|
|
827
|
|
—
|
|
(7,910
|
)
|
(7,910
|
)
|
||||||
Total
|
$
|
807,301
|
|
$
|
21,955
|
|
$
|
829,256
|
|
$
|
(98,057
|
)
|
$
|
(119,132
|
)
|
$
|
(217,189
|
)
|
|
|
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
|
)
|
|
March 31, 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
|
$
|
2,627,375
|
|
$
|
53.96
|
|
$
|
81.96
|
|
4.6
|
%
|
17.1
|
%
|
Senior, interest-only
|
4,646,297
|
|
5.42
|
|
4.25
|
|
1.3
|
%
|
7.0
|
%
|
|||
Subordinated
|
495,128
|
|
67.34
|
|
81.13
|
|
4.1
|
%
|
9.3
|
%
|
|||
Subordinated, interest-only
|
196,208
|
|
3.68
|
|
4.12
|
|
0.8
|
%
|
12.4
|
%
|
|||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||
Residential pass-through
|
2,265,632
|
|
105.56
|
|
102.07
|
|
3.9
|
%
|
3.0
|
%
|
|||
Commercial pass-through
|
2,153,980
|
|
102.15
|
|
99.71
|
|
3.6
|
%
|
3.3
|
%
|
|||
Interest-only
|
2,960,181
|
|
3.53
|
|
3.29
|
|
0.7
|
%
|
3.2
|
%
|
|
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
|
%
|
|
March 31, 2018
|
December 31, 2017
|
|
|
AAA
|
0.3
|
%
|
0.3
|
%
|
AA
|
0.5
|
%
|
0.3
|
%
|
A
|
0.5
|
%
|
0.6
|
%
|
BBB
|
1.7
|
%
|
1.9
|
%
|
BB
|
2.2
|
%
|
2.5
|
%
|
B
|
2.3
|
%
|
2.3
|
%
|
Below B
|
58.2
|
%
|
59.6
|
%
|
Not Rated
|
34.3
|
%
|
32.5
|
%
|
Total
|
100.0
|
%
|
100.0
|
%
|
|
March 31, 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
|
$
|
164
|
|
$
|
545,119
|
|
$
|
979,210
|
|
$
|
628,834
|
|
$
|
2,153,327
|
|
Senior interest-only
|
28
|
|
32,448
|
|
84,826
|
|
80,291
|
|
197,593
|
|
|||||
Subordinated
|
—
|
|
70,172
|
|
128,691
|
|
202,836
|
|
401,699
|
|
|||||
Subordinated interest-only
|
—
|
|
408
|
|
7,684
|
|
—
|
|
8,092
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
—
|
|
2,288,702
|
|
23,933
|
|
2,312,635
|
|
|||||
Commercial
|
—
|
|
15,764
|
|
19,377
|
|
2,112,503
|
|
2,147,644
|
|
|||||
Interest-only
|
—
|
|
68,737
|
|
24,227
|
|
4,556
|
|
97,520
|
|
|||||
Total fair value
|
$
|
192
|
|
$
|
732,648
|
|
$
|
3,532,717
|
|
$
|
3,052,953
|
|
$
|
7,318,510
|
|
Amortized cost
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
||||||
Senior
|
$
|
162
|
|
$
|
400,387
|
|
$
|
613,201
|
|
$
|
403,909
|
|
$
|
1,417,659
|
|
Senior interest-only
|
243
|
|
45,734
|
|
113,981
|
|
91,734
|
|
251,692
|
|
|||||
Subordinated
|
—
|
|
57,559
|
|
97,904
|
|
177,960
|
|
333,423
|
|
|||||
Subordinated interest-only
|
—
|
|
493
|
|
6,732
|
|
—
|
|
7,225
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
—
|
|
2,366,843
|
|
24,729
|
|
2,391,572
|
|
|||||
Commercial
|
—
|
|
15,887
|
|
20,490
|
|
2,163,892
|
|
2,200,269
|
|
|||||
Interest-only
|
—
|
|
74,005
|
|
26,341
|
|
4,257
|
|
104,603
|
|
|||||
Total amortized cost
|
$
|
405
|
|
$
|
594,065
|
|
$
|
3,245,492
|
|
$
|
2,866,481
|
|
$
|
6,706,443
|
|
|
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
|
|
|
March 31, 2018
|
December 31, 2017
|
||||||
Weighted average maturity (years)
|
|
20.5
|
|
|
20.7
|
|
||
Weighted average amortized loan to value
(1)
|
|
64.3
|
%
|
|
64.4
|
%
|
||
Weighted average FICO
(2)
|
|
697
|
|
|
697
|
|
||
Weighted average loan balance (in thousands)
|
|
$
|
316
|
|
|
$
|
314
|
|
Weighted average percentage owner occupied
|
|
83.9
|
%
|
|
84.4
|
%
|
||
Weighted average percentage single family residence
|
|
65.6
|
%
|
|
66.3
|
%
|
||
Weighted average current credit enhancement
|
|
2.3
|
%
|
|
2.2
|
%
|
||
Weighted average geographic concentration of top four states
|
CA
|
31.6
|
%
|
CA
|
31.7
|
%
|
||
|
NY
|
8.8
|
%
|
NY
|
8.5
|
%
|
||
|
FL
|
8.4
|
%
|
FL
|
8.3
|
%
|
||
|
NJ
|
2.7
|
%
|
NJ
|
2.7
|
%
|
Origination Year
|
March 31, 2018
|
December 31, 2017
|
|
|
2003 and prior
|
5.1
|
%
|
3.6
|
%
|
2004
|
5.8
|
%
|
4.3
|
%
|
2005
|
18.9
|
%
|
20.8
|
%
|
2006
|
43.1
|
%
|
38.2
|
%
|
2007
|
25.8
|
%
|
30.4
|
%
|
2008
|
0.4
|
%
|
1.8
|
%
|
2009 and later
|
0.9
|
%
|
0.9
|
%
|
Total
|
100.0
|
%
|
100.0
|
%
|
|
For the Quarter Ended
|
|||||
|
March 31, 2018
|
March 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Proceeds from sales
|
$
|
—
|
|
$
|
20,063
|
|
|
|
|
||||
Gross realized gains
|
—
|
|
5,187
|
|
||
Gross realized losses
|
—
|
|
(20
|
)
|
||
Net realized gain (loss)
|
$
|
—
|
|
$
|
5,167
|
|
|
For the Quarter Ended
|
For the Year Ended
|
||||
|
March 31, 2018
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Balance, beginning of period
|
$
|
13,678,263
|
|
$
|
8,753,653
|
|
Purchases
|
369,583
|
|
6,539,765
|
|
||
Principal paydowns
|
(443,755
|
)
|
(1,788,409
|
)
|
||
Sales and settlements
|
(6,865
|
)
|
2,876
|
|
||
Net periodic accretion (amortization)
|
(18,826
|
)
|
(35,803
|
)
|
||
Change in fair value
|
41,595
|
|
206,181
|
|
||
Balance, end of period
|
$
|
13,619,995
|
|
$
|
13,678,263
|
|
Origination Year
|
March 31, 2018
|
December 31, 2017
|
|
|
2002 and prior
|
7.4
|
%
|
7.5
|
%
|
2003
|
6.7
|
%
|
6.7
|
%
|
2004
|
14.5
|
%
|
14.6
|
%
|
2005
|
20.1
|
%
|
20.4
|
%
|
2006
|
23.1
|
%
|
23.1
|
%
|
2007
|
18.8
|
%
|
19.0
|
%
|
2008
|
6.0
|
%
|
6.0
|
%
|
2009
|
0.8
|
%
|
0.7
|
%
|
2010 and later
|
2.6
|
%
|
2.0
|
%
|
Total
|
100.0
|
%
|
100.0
|
%
|
|
March 31, 2018
|
December 31, 2017
|
||||||
Number of loans
|
|
147,720
|
|
|
149,172
|
|
||
Weighted average maturity (years)
|
|
19.2
|
|
|
18.8
|
|
||
Weighted average loan to value
(1)
|
|
87.7
|
%
|