Maryland
|
|
26-0630461
|
(State or other jurisdiction of incorporation or organization)
|
|
(IRS Employer Identification No.)
|
Title of Each Class
|
Trading Symbol(s)
|
Name of Each Exchange on Which Registered
|
|
|
|
Common Stock, par value $0.01 per share
|
CIM
|
New York Stock Exchange
|
8.00% Series A Cumulative Redeemable Preferred Stock
|
CIM PRA
|
New York Stock Exchange
|
8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
|
CIM PRB
|
New York Stock Exchange
|
7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
|
CIM PRC
|
New York Stock Exchange
|
8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
|
CIM PRD
|
New York Stock Exchange
|
Class
|
Outstanding at July 31, 2020
|
Common Stock, $0.01 par value
|
232,020,857
|
|
|
|
|
|
|
|
|
|
|
|
|
Consolidated Statements of Financial Condition as of June 30, 2020 (Unaudited) and December 31, 2019 (Derived from the audited consolidated financial statements as of December 31, 2019)
|
|
|
|
Consolidated Statements of Operations (Unaudited) for the quarters and six months ended June 30, 2020 and 2019
|
|
|
|
Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and six months ended June 30, 2020 and 2019
|
|
|
|
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and six months ended June 30, 2020 and 2019
|
|
|
|
Consolidated Statements of Cash Flows (Unaudited) for the six months ended June 30, 2020 and 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
|
|
|
|
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
June 30, 2020
|
December 31, 2019
|
||||
Cash and cash equivalents
|
$
|
302,553
|
|
$
|
109,878
|
|
Non-Agency RMBS, at fair value (net of allowance for credit losses of $2 million and $0 million, respectively)
|
2,184,170
|
|
2,614,408
|
|
||
Agency RMBS, at fair value
|
107,263
|
|
6,490,293
|
|
||
Agency CMBS, at fair value
|
2,612,344
|
|
2,850,717
|
|
||
Loans held for investment, at fair value
|
13,036,833
|
|
14,292,815
|
|
||
Receivable for investments sold
|
—
|
|
446,225
|
|
||
Accrued interest receivable
|
89,387
|
|
116,423
|
|
||
Other assets
|
115,601
|
|
194,301
|
|
||
Derivatives, at fair value, net
|
—
|
|
3,611
|
|
||
Total assets (1)
|
$
|
18,448,151
|
|
$
|
27,118,671
|
|
Liabilities:
|
|
|
|
|
||
Secured financing agreements ($7.8 billion and $15.4 billion pledged as collateral, respectively)
|
$
|
5,944,201
|
|
$
|
13,427,545
|
|
Securitized debt, collateralized by Non-Agency RMBS ($524 million and $598 million pledged as collateral, respectively)
|
124,414
|
|
133,557
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($12.2 billion and $12.1 billion pledged as collateral, respectively)
|
8,530,111
|
|
8,179,608
|
|
||
Long Term Debt
|
71,600
|
|
—
|
|
||
Payable for investments purchased
|
246,770
|
|
1,256,337
|
|
||
Accrued interest payable
|
41,336
|
|
63,600
|
|
||
Dividends payable
|
75,554
|
|
98,568
|
|
||
Accounts payable and other liabilities
|
18,286
|
|
6,163
|
|
||
Total liabilities (1)
|
$
|
15,052,272
|
|
$
|
23,165,378
|
|
|
|
|
|
|
||
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, 232,003,526 and 187,226,081 shares issued and outstanding, respectively
|
2,320
|
|
1,873
|
|
||
Additional paid-in-capital
|
4,515,043
|
|
4,275,963
|
|
||
Accumulated other comprehensive income
|
537,510
|
|
708,336
|
|
||
Cumulative earnings
|
3,367,330
|
|
3,793,040
|
|
||
Cumulative distributions to stockholders
|
(5,026,696
|
)
|
(4,826,291
|
)
|
||
Total stockholders' equity
|
$
|
3,395,879
|
|
$
|
3,953,293
|
|
Total liabilities and stockholders' equity
|
$
|
18,448,151
|
|
$
|
27,118,671
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||
(Unaudited)
|
||||||||||||
|
For the Quarters Ended
|
For the Six Months Ended
|
||||||||||
|
June 30, 2020
|
June 30, 2019
|
June 30, 2020
|
June 30, 2019
|
||||||||
Net interest income:
|
|
|
|
|
||||||||
Interest income (1)
|
$
|
245,922
|
|
$
|
339,914
|
|
$
|
546,189
|
|
$
|
690,303
|
|
Interest expense (2)
|
129,256
|
|
198,110
|
|
271,339
|
|
401,060
|
|
||||
Net interest income
|
116,666
|
|
141,804
|
|
274,850
|
|
289,243
|
|
||||
|
|
|
|
|
|
|
|
|
||||
Increase/(decrease) in provision for credit losses
|
(4,497
|
)
|
—
|
|
1,817
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
|
||||
Net other-than-temporary credit impairment losses
|
—
|
|
—
|
|
—
|
|
(4,853
|
)
|
||||
|
|
|
|
|
|
|
|
|
||||
Other investment gains (losses):
|
|
|
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
—
|
|
(132,171
|
)
|
201,000
|
|
(221,486
|
)
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
—
|
|
(95,211
|
)
|
(463,966
|
)
|
(203,257
|
)
|
||||
Net realized gains (losses) on derivatives
|
—
|
|
(9,697
|
)
|
(41,086
|
)
|
(16,974
|
)
|
||||
Net gains (losses) on derivatives
|
—
|
|
(237,079
|
)
|
(304,052
|
)
|
(441,717
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
(171,921
|
)
|
190,748
|
|
(432,809
|
)
|
391,561
|
|
||||
Net realized gains (losses) on sales of investments
|
26,380
|
|
(7,526
|
)
|
102,234
|
|
1,077
|
|
||||
Gains (losses) on extinguishment of debt
|
459
|
|
(608
|
)
|
459
|
|
(608
|
)
|
||||
Total other gains (losses)
|
(145,082
|
)
|
(54,465
|
)
|
(634,168
|
)
|
(49,687
|
)
|
||||
|
|
|
|
|
|
|
|
|
||||
Other expenses:
|
|
|
|
|
|
|
|
|||||
Compensation and benefits
|
10,255
|
|
12,114
|
|
23,190
|
|
26,484
|
|
||||
General and administrative expenses
|
6,562
|
|
6,217
|
|
12,239
|
|
12,019
|
|
||||
Servicing fees
|
9,473
|
|
9,280
|
|
19,462
|
|
18,243
|
|
||||
Transaction expenses
|
4,710
|
|
813
|
|
9,616
|
|
895
|
|
||||
Total other expenses
|
31,000
|
|
28,424
|
|
64,507
|
|
57,641
|
|
||||
Income (loss) before income taxes
|
(54,919
|
)
|
58,915
|
|
(425,642
|
)
|
177,062
|
|
||||
Income taxes
|
36
|
|
155
|
|
68
|
|
155
|
|
||||
Net income (loss)
|
$
|
(54,955
|
)
|
$
|
58,760
|
|
$
|
(425,710
|
)
|
$
|
176,907
|
|
|
|
|
|
|
|
|
|
|
||||
Dividends on preferred stock
|
18,438
|
|
18,438
|
|
36,875
|
|
35,829
|
|
||||
|
|
|
|
|
|
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
(73,393
|
)
|
$
|
40,322
|
|
$
|
(462,585
|
)
|
$
|
141,078
|
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|
|
||||
Basic
|
$
|
(0.37
|
)
|
$
|
0.22
|
|
$
|
(2.39
|
)
|
$
|
0.75
|
|
Diluted
|
$
|
(0.37
|
)
|
$
|
0.21
|
|
$
|
(2.39
|
)
|
$
|
0.75
|
|
|
|
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
||||
Basic
|
199,282,790
|
|
187,153,007
|
|
193,150,696
|
|
187,132,842
|
|
||||
Diluted
|
199,282,790
|
|
188,271,483
|
|
193,150,696
|
|
188,254,266
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||
(Unaudited)
|
||||||||||||
|
|
|
|
|
||||||||
|
For the Quarters Ended
|
For the Six Months Ended
|
||||||||||
|
June 30, 2020
|
June 30, 2019
|
June 30, 2020
|
June 30, 2019
|
||||||||
Comprehensive income (loss):
|
|
|
|
|
||||||||
Net income (loss)
|
$
|
(54,955
|
)
|
$
|
58,760
|
|
$
|
(425,710
|
)
|
$
|
176,907
|
|
Other comprehensive income:
|
|
|
|
|
||||||||
Unrealized gains (losses) on available-for-sale securities, net (1)
|
61,399
|
|
58,833
|
|
(137,805
|
)
|
85,218
|
|
||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
—
|
|
—
|
|
—
|
|
4,853
|
|
||||
Reclassification adjustment for net realized losses (gains) included in net income
|
(26,380
|
)
|
7,269
|
|
(33,021
|
)
|
22,187
|
|
||||
Other comprehensive income (loss)
|
35,019
|
|
66,102
|
|
(170,826
|
)
|
112,258
|
|
||||
Comprehensive income (loss) before preferred stock dividends
|
$
|
(19,936
|
)
|
$
|
124,862
|
|
$
|
(596,536
|
)
|
$
|
289,165
|
|
Dividends on preferred stock
|
$
|
18,438
|
|
$
|
18,438
|
|
$
|
36,875
|
|
$
|
35,829
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
(38,374
|
)
|
$
|
106,424
|
|
$
|
(633,411
|
)
|
$
|
253,336
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||||||||||||||||||||
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
|
||||||||||||||||||||||||||||||
(dollars in thousands, except per share data)
|
||||||||||||||||||||||||||||||
(Unaudited)
|
||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||
For the Quarter Ended June 30, 2020
|
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Series A Preferred Stock Par Value
|
Series B Preferred Stock Par Value
|
Series C Preferred Stock Par Value
|
Series D Preferred Stock Par Value
|
Common
Stock Par Value |
Additional Paid-in Capital
|
Accumulated Other Comprehensive Income
|
Cumulative Earnings
|
Cumulative Distributions to Stockholders
|
Total
|
||||||||||||||||||||
Balance, March 31, 2020
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
80
|
|
$
|
1,860
|
|
$
|
4,255,054
|
|
$
|
502,491
|
|
$
|
3,422,285
|
|
$
|
(4,938,208
|
)
|
$
|
3,243,854
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(54,955
|
)
|
—
|
|
(54,955
|
)
|
||||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
35,019
|
|
—
|
|
—
|
|
35,019
|
|
||||||||||
Settlement of Convertible Debt
|
—
|
|
—
|
|
—
|
|
—
|
|
460
|
|
292,349
|
|
—
|
|
—
|
|
—
|
|
292,809
|
|
||||||||||
Purchase of Capped Call
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(33,750
|
)
|
—
|
|
—
|
|
—
|
|
(33,750
|
)
|
||||||||||
Stock based compensation
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
1,390
|
|
—
|
|
—
|
|
—
|
|
1,390
|
|
||||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(70,050
|
)
|
(70,050
|
)
|
||||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(18,438
|
)
|
(18,438
|
)
|
||||||||||
Balance, June 30, 2020
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
80
|
|
$
|
2,320
|
|
$
|
4,515,043
|
|
$
|
537,510
|
|
$
|
3,367,330
|
|
$
|
(5,026,696
|
)
|
$
|
3,395,879
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
For the Quarter Ended June 30, 2019
|
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Series A Preferred Stock Par Value
|
Series B Preferred Stock Par Value
|
Series C Preferred Stock Par Value
|
Series D Preferred Stock Par Value
|
Common
Stock Par Value |
Additional Paid-in Capital
|
Accumulated Other Comprehensive Income
|
Cumulative Earnings
|
Cumulative Distributions to Stockholders
|
Total
|
||||||||||||||||||||
Balance, March 31, 2019
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
80
|
|
$
|
1,871
|
|
$
|
4,268,063
|
|
$
|
672,988
|
|
$
|
3,497,636
|
|
$
|
(4,487,753
|
)
|
$
|
3,953,177
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
58,760
|
|
—
|
|
58,760
|
|
||||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
66,102
|
|
—
|
|
—
|
|
66,102
|
|
||||||||||
Stock based compensation
|
—
|
|
—
|
|
—
|
|
—
|
|
1
|
|
3,938
|
|
—
|
|
—
|
|
—
|
|
3,939
|
|
||||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(94,590
|
)
|
(94,590
|
)
|
||||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(18,438
|
)
|
(18,438
|
)
|
||||||||||
Balance, June 30, 2019
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
80
|
|
$
|
1,872
|
|
$
|
4,272,001
|
|
$
|
739,090
|
|
$
|
3,556,396
|
|
$
|
(4,600,781
|
)
|
$
|
3,968,950
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
For the Six Months Ended June 30, 2020
|
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Series A Preferred Stock Par Value
|
Series B Preferred Stock Par Value
|
Series C Preferred Stock Par Value
|
Series D 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, 2019
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
80
|
|
$
|
1,873
|
|
$
|
4,275,963
|
|
$
|
708,336
|
|
$
|
3,793,040
|
|
$
|
(4,826,291
|
)
|
$
|
3,953,293
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(425,710
|
)
|
—
|
|
(425,710
|
)
|
||||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(170,826
|
)
|
—
|
|
—
|
|
(170,826
|
)
|
||||||||||
Repurchase of common stock
|
—
|
|
—
|
|
—
|
|
—
|
|
(14
|
)
|
(22,052
|
)
|
—
|
|
—
|
|
—
|
|
(22,066
|
)
|
||||||||||
Settlement of Convertible Debt
|
—
|
|
—
|
|
—
|
|
—
|
|
460
|
|
292,349
|
|
—
|
|
—
|
|
—
|
|
292,809
|
|
||||||||||
Purchase of Capped Call
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(33,750
|
)
|
—
|
|
—
|
|
—
|
|
(33,750
|
)
|
||||||||||
Stock based compensation
|
—
|
|
—
|
|
—
|
|
—
|
|
1
|
|
2,533
|
|
—
|
|
—
|
|
—
|
|
2,534
|
|
||||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(163,530
|
)
|
(163,530
|
)
|
||||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(36,875
|
)
|
(36,875
|
)
|
||||||||||
Balance, June 30, 2020
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
80
|
|
$
|
2,320
|
|
$
|
4,515,043
|
|
$
|
537,510
|
|
$
|
3,367,330
|
|
$
|
(5,026,696
|
)
|
$
|
3,395,879
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Six Months Ended June 30, 2019
|
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Series A Preferred Stock Par Value
|
Series B Preferred Stock Par Value
|
Series C Preferred Stock Par Value
|
Series D 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, 2018
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
—
|
|
$
|
1,871
|
|
$
|
4,072,093
|
|
$
|
626,832
|
|
$
|
3,379,489
|
|
$
|
(4,376,748
|
)
|
$
|
3,703,829
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
176,907
|
|
—
|
|
176,907
|
|
||||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
112,258
|
|
—
|
|
—
|
|
112,258
|
|
||||||||||
Stock based compensation
|
—
|
|
—
|
|
—
|
|
—
|
|
1
|
|
6,620
|
|
—
|
|
—
|
|
—
|
|
6,621
|
|
||||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(188,204
|
)
|
(188,204
|
)
|
||||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(35,829
|
)
|
(35,829
|
)
|
||||||||||
Issuance of preferred stock
|
—
|
|
—
|
|
—
|
|
80
|
|
—
|
|
193,288
|
|
—
|
|
—
|
|
—
|
|
193,368
|
|
||||||||||
Balance, June 30, 2019
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
80
|
|
$
|
1,872
|
|
$
|
4,272,001
|
|
$
|
739,090
|
|
$
|
3,556,396
|
|
$
|
(4,600,781
|
)
|
$
|
3,968,950
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS
|
||||||
(dollars in thousands)
|
||||||
|
For the Six Months Ended
|
|||||
|
June 30, 2020
|
June 30, 2019
|
||||
Cash Flows From Operating Activities:
|
||||||
Net income (loss)
|
$
|
(425,710
|
)
|
$
|
176,907
|
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
|
||||||
(Accretion) amortization of investment discounts/premiums, net
|
60,974
|
|
29,557
|
|
||
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net
|
(35,148
|
)
|
(14,327
|
)
|
||
Amortization of swaption premium
|
—
|
|
559
|
|
||
Net unrealized losses (gains) on derivatives
|
(201,000
|
)
|
221,486
|
|
||
Margin (paid) received on derivatives
|
325,594
|
|
(157,052
|
)
|
||
Net unrealized losses (gains) on financial instruments at fair value
|
432,809
|
|
(391,561
|
)
|
||
Net realized losses (gains) on sales of investments
|
(102,234
|
)
|
(1,077
|
)
|
||
Net increase (decrease) in provision for credit losses
|
1,817
|
|
—
|
|
||
Net other-than-temporary credit impairment losses
|
—
|
|
4,853
|
|
||
(Gain) loss on extinguishment of debt
|
(459
|
)
|
608
|
|
||
Equity-based compensation expense
|
2,534
|
|
6,621
|
|
||
Changes in operating assets:
|
|
|
|
|
||
Decrease (increase) in accrued interest receivable, net
|
27,718
|
|
2,048
|
|
||
Decrease (increase) in other assets
|
(56,146
|
)
|
(2,166
|
)
|
||
Changes in operating liabilities:
|
|
|
|
|
||
Increase (decrease) in accounts payable and other liabilities
|
12,123
|
|
2,646
|
|
||
Increase (decrease) in accrued interest payable, net
|
(24,765
|
)
|
(26,156
|
)
|
||
Net cash provided by (used in) operating activities
|
$
|
18,107
|
|
$
|
(147,054
|
)
|
Cash Flows From Investing Activities:
|
||||||
Agency MBS portfolio:
|
|
|
|
|
||
Purchases
|
$
|
(292,379
|
)
|
$
|
(2,374,316
|
)
|
Sales
|
6,466,990
|
|
1,919,230
|
|
||
Principal payments
|
596,564
|
|
605,724
|
|
||
Non-Agency RMBS portfolio:
|
|
|
|
|
||
Purchases
|
(19,503
|
)
|
(265,062
|
)
|
||
Sales
|
141,912
|
|
5,167
|
|
||
Principal payments
|
124,351
|
|
196,261
|
|
||
Loans held for investment:
|
|
|
|
|
||
Purchases
|
(884,708
|
)
|
(1,137,244
|
)
|
||
Sales
|
—
|
|
705,653
|
|
||
Principal payments
|
895,764
|
|
806,677
|
|
||
Net cash provided by (used in) investing activities
|
$
|
7,028,991
|
|
$
|
462,090
|
|
Cash Flows From Financing Activities:
|
||||||
Proceeds from secured financing agreements
|
$
|
57,804,851
|
|
$
|
57,358,115
|
|
Payments on secured financing agreements
|
(65,275,151
|
)
|
(56,874,303
|
)
|
||
Net proceeds from preferred stock offerings
|
—
|
|
193,368
|
|
||
Payments on repurchase of common stock
|
(22,066
|
)
|
—
|
|
||
Proceeds from securitized debt borrowings, collateralized by loans held for investment
|
1,462,500
|
|
—
|
|
||
Payments on securitized debt borrowings, collateralized by loans held for investment
|
(920,083
|
)
|
(748,949
|
)
|
||
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS
|
(8,445
|
)
|
(13,792
|
)
|
||
Net proceeds from issuance of convertible debt
|
361,139
|
|
—
|
|
||
Purchase of capped call
|
(33,750
|
)
|
—
|
|
Common dividends paid
|
(186,543
|
)
|
(187,098
|
)
|
||
Preferred dividends paid
|
(36,875
|
)
|
(35,829
|
)
|
||
Net cash provided by (used in) financing activities
|
$
|
(6,854,423
|
)
|
$
|
(308,488
|
)
|
Net increase (decrease) in cash and cash equivalents
|
192,675
|
|
6,548
|
|
||
Cash and cash equivalents at beginning of period
|
109,878
|
|
47,486
|
|
||
Cash and cash equivalents at end of period
|
$
|
302,553
|
|
$
|
54,034
|
|
|
|
|
||||
Supplemental disclosure of cash flow information:
|
||||||
Interest received
|
$
|
634,199
|
|
$
|
721,909
|
|
Interest paid
|
$
|
328,753
|
|
$
|
441,557
|
|
Non-cash investing activities:
|
|
|
|
|
||
Payable for investments purchased
|
$
|
246,770
|
|
$
|
921,507
|
|
Receivable for investments sold
|
$
|
—
|
|
$
|
75,059
|
|
Net change in unrealized gain (loss) on available-for sale securities
|
$
|
(170,826
|
)
|
$
|
112,258
|
|
Retained beneficial interests
|
$
|
—
|
|
$
|
74,339
|
|
|
|
|
||||
Non-cash financing activities:
|
|
|
|
|
||
Dividends declared, not yet paid
|
$
|
75,554
|
|
$
|
97,091
|
|
Conversion of convertible debt
|
$
|
289,331
|
|
$
|
—
|
|
|
|
June 30, 2020
|
|
|
|
|
|||||||||||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|
|||||||||||||||||||||
|
Principal or Notional Value
|
Total Premium
|
Total Discount
|
Amortized Cost
|
Allowance for credit losses
|
Fair Value
|
Gross Unrealized Gains
|
Gross Unrealized Losses
|
Net Unrealized Gain/(Loss)
|
||||||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Senior
|
$
|
1,697,252
|
|
$
|
3,038
|
|
$
|
(820,859
|
)
|
$
|
879,431
|
|
$
|
(1,379
|
)
|
$
|
1,341,814
|
|
$
|
464,065
|
|
$
|
(303
|
)
|
$
|
463,762
|
|
Subordinated
|
893,311
|
|
8,132
|
|
(339,437
|
)
|
562,006
|
|
(438
|
)
|
522,655
|
|
51,707
|
|
(90,620
|
)
|
(38,913
|
)
|
|||||||||
Interest-only
|
6,380,154
|
|
275,025
|
|
—
|
|
275,025
|
|
—
|
|
319,701
|
|
90,965
|
|
(46,289
|
)
|
44,676
|
|
|||||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Pass-through
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
Interest-only
|
1,425,919
|
|
130,610
|
|
—
|
|
130,610
|
|
—
|
|
107,263
|
|
378
|
|
(23,725
|
)
|
(23,347
|
)
|
|||||||||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Project loans
|
2,297,301
|
|
43,061
|
|
(3,671
|
)
|
2,336,691
|
|
—
|
|
2,572,329
|
|
235,673
|
|
(35
|
)
|
235,638
|
|
|||||||||
Interest-only
|
1,690,539
|
|
40,504
|
|
—
|
|
40,504
|
|
—
|
|
40,015
|
|
2,050
|
|
(2,539
|
)
|
(489
|
)
|
|||||||||
Total
|
$
|
14,384,476
|
|
$
|
500,370
|
|
$
|
(1,163,967
|
)
|
$
|
4,224,267
|
|
$
|
(1,817
|
)
|
$
|
4,903,777
|
|
$
|
844,838
|
|
$
|
(163,511
|
)
|
$
|
681,327
|
|
|
|
December 31, 2019
|
|
|
|
|
||||||||||||||||||
|
|
(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
|
$
|
2,024,564
|
|
$
|
2,038
|
|
$
|
(953,916
|
)
|
$
|
1,072,686
|
|
$
|
1,700,911
|
|
$
|
628,518
|
|
$
|
(293
|
)
|
$
|
628,225
|
|
Subordinated
|
876,592
|
|
9,915
|
|
(332,913
|
)
|
553,594
|
|
624,598
|
|
76,272
|
|
(5,268
|
)
|
71,004
|
|
||||||||
Interest-only
|
7,458,653
|
|
301,170
|
|
—
|
|
301,170
|
|
288,899
|
|
51,481
|
|
(63,752
|
)
|
(12,271
|
)
|
||||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Pass-through
|
6,080,547
|
|
131,023
|
|
—
|
|
6,211,570
|
|
6,362,626
|
|
152,271
|
|
(1,215
|
)
|
151,056
|
|
||||||||
Interest-only
|
1,539,941
|
|
139,536
|
|
—
|
|
139,536
|
|
127,667
|
|
220
|
|
(12,089
|
)
|
(11,869
|
)
|
||||||||
Agency CMBS
|
|
|
|
|
|
|
|
|
||||||||||||||||
Project loans
|
2,621,938
|
|
52,681
|
|
(4,961
|
)
|
2,669,658
|
|
2,801,692
|
|
132,700
|
|
(666
|
)
|
132,034
|
|
||||||||
Interest-only
|
1,817,246
|
|
51,140
|
|
—
|
|
51,140
|
|
49,025
|
|
586
|
|
(2,701
|
)
|
(2,115
|
)
|
||||||||
Total
|
$
|
22,419,481
|
|
$
|
687,503
|
|
$
|
(1,291,790
|
)
|
$
|
10,999,354
|
|
$
|
11,955,418
|
|
$
|
1,042,048
|
|
$
|
(85,984
|
)
|
$
|
956,064
|
|
|
|
|
June 30, 2020
|
|
|
|
|
|
|
|||||||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|
|
|
||||||||||||||||||
|
Unrealized Loss Position for Less than 12 Months
|
|
Unrealized Loss Position for 12 Months or More
|
|
Total
|
|||||||||||||||||||||
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Positions
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Positions
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Positions
|
|||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Senior
|
$
|
16,375
|
|
$
|
(303
|
)
|
2
|
|
|
$
|
—
|
|
$
|
—
|
|
—
|
|
|
$
|
16,375
|
|
$
|
(303
|
)
|
2
|
|
Subordinated
|
376,359
|
|
(88,566
|
)
|
28
|
|
|
14,378
|
|
(2,054
|
)
|
12
|
|
|
390,737
|
|
(90,620
|
)
|
40
|
|
||||||
Interest-only
|
15,589
|
|
(5,026
|
)
|
26
|
|
|
37,951
|
|
(41,263
|
)
|
51
|
|
|
53,540
|
|
(46,289
|
)
|
77
|
|
||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Pass-through
|
—
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
||||||
Interest-only
|
76,605
|
|
(14,572
|
)
|
14
|
|
|
24,471
|
|
(9,153
|
)
|
8
|
|
|
101,076
|
|
(23,725
|
)
|
22
|
|
||||||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Project loans
|
24,755
|
|
(20
|
)
|
1
|
|
|
14,862
|
|
(15
|
)
|
2
|
|
|
39,617
|
|
(35
|
)
|
3
|
|
||||||
Interest-only
|
4,045
|
|
(281
|
)
|
4
|
|
|
5,071
|
|
(2,258
|
)
|
5
|
|
|
9,116
|
|
(2,539
|
)
|
9
|
|
||||||
Total
|
$
|
513,728
|
|
$
|
(108,768
|
)
|
75
|
|
|
$
|
96,733
|
|
$
|
(54,743
|
)
|
78
|
|
|
$
|
610,461
|
|
$
|
(163,511
|
)
|
153
|
|
|
|
|
December 31, 2019
|
|
|
|
|
|
|
|||||||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|
|
|
||||||||||||||||||
|
Unrealized Loss Position for Less than 12 Months
|
|
Unrealized Loss Position for 12 Months or More
|
|
Total
|
|||||||||||||||||||||
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Positions
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Positions
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Positions
|
|||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Senior
|
$
|
—
|
|
$
|
—
|
|
—
|
|
|
$
|
31,635
|
|
$
|
(293
|
)
|
1
|
|
|
$
|
31,635
|
|
$
|
(293
|
)
|
1
|
|
Subordinated
|
69,178
|
|
(5,064
|
)
|
9
|
|
|
1,836
|
|
(204
|
)
|
11
|
|
|
71,014
|
|
(5,268
|
)
|
20
|
|
||||||
Interest-only
|
50,376
|
|
(22,737
|
)
|
46
|
|
|
64,129
|
|
(41,015
|
)
|
66
|
|
|
114,505
|
|
(63,752
|
)
|
112
|
|
||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Pass-through
|
11,398
|
|
(605
|
)
|
4
|
|
|
67,552
|
|
(610
|
)
|
5
|
|
|
78,950
|
|
(1,215
|
)
|
9
|
|
||||||
Interest-only
|
121,228
|
|
(12,089
|
)
|
22
|
|
|
—
|
|
—
|
|
—
|
|
|
121,228
|
|
(12,089
|
)
|
22
|
|
||||||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Project loans
|
41,971
|
|
(277
|
)
|
3
|
|
|
44,896
|
|
(389
|
)
|
4
|
|
|
86,867
|
|
(666
|
)
|
7
|
|
||||||
Interest-only
|
15,045
|
|
(295
|
)
|
6
|
|
|
9,930
|
|
(2,406
|
)
|
7
|
|
|
24,975
|
|
(2,701
|
)
|
13
|
|
||||||
Total
|
$
|
309,196
|
|
$
|
(41,067
|
)
|
90
|
|
|
$
|
219,978
|
|
$
|
(44,917
|
)
|
94
|
|
|
$
|
529,174
|
|
$
|
(85,984
|
)
|
184
|
|
|
For the Quarter Ended
|
For the Six Months Ended
|
||||
|
June 30, 2020
|
June 30, 2020
|
||||
|
(dollars in thousands)
|
(dollars in thousands)
|
||||
Beginning allowance for credit losses
|
$
|
6,314
|
|
$
|
—
|
|
|
|
|
||||
Transition impact from CECL standard
|
—
|
|
—
|
|
||
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded
|
247
|
|
6,561
|
|
||
Allowance on purchased financial assets with credit deterioration
|
—
|
|
—
|
|
||
Reductions for the securities sold during the period
|
(321
|
)
|
(321
|
)
|
||
Increase/(decrease) on securities with an allowance in the prior period
|
(2,703
|
)
|
(2,703
|
)
|
||
Write-offs charged against the allowance
|
(1,748
|
)
|
(1,748
|
)
|
||
Recoveries of amounts previously written off
|
28
|
|
28
|
|
||
|
|
|
||||
Ending allowance for credit losses
|
$
|
1,817
|
|
$
|
1,817
|
|
|
|
June 30, 2020
|
|
|
|
|||||||||||||
|
|
(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
|
$
|
464,065
|
|
$
|
—
|
|
$
|
464,065
|
|
$
|
(303
|
)
|
$
|
—
|
|
$
|
(303
|
)
|
Subordinated
|
44,026
|
|
7,681
|
|
51,707
|
|
(8,864
|
)
|
(81,756
|
)
|
(90,620
|
)
|
||||||
Interest-only
|
—
|
|
90,965
|
|
90,965
|
|
—
|
|
(46,289
|
)
|
(46,289
|
)
|
||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
||||||||
Pass-through
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Interest-only
|
—
|
|
378
|
|
378
|
|
—
|
|
(23,725
|
)
|
(23,725
|
)
|
||||||
Agency CMBS
|
|
|
|
|
|
|
||||||||||||
Project loans
|
38,621
|
|
197,052
|
|
235,673
|
|
(35
|
)
|
—
|
|
(35
|
)
|
||||||
Interest-only
|
—
|
|
2,050
|
|
2,050
|
|
—
|
|
(2,539
|
)
|
(2,539
|
)
|
||||||
Total
|
$
|
546,712
|
|
$
|
298,126
|
|
$
|
844,838
|
|
$
|
(9,202
|
)
|
$
|
(154,309
|
)
|
$
|
(163,511
|
)
|
|
|
December 31, 2019
|
|
|
|
|||||||||||||
|
|
(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
|
$
|
628,518
|
|
$
|
—
|
|
$
|
628,518
|
|
$
|
(293
|
)
|
$
|
—
|
|
$
|
(293
|
)
|
Subordinated
|
57,174
|
|
19,098
|
|
76,272
|
|
(55
|
)
|
(5,213
|
)
|
(5,268
|
)
|
||||||
Interest-only
|
—
|
|
51,481
|
|
51,481
|
|
—
|
|
(63,752
|
)
|
(63,752
|
)
|
||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Pass-through
|
—
|
|
152,271
|
|
152,271
|
|
—
|
|
(1,215
|
)
|
(1,215
|
)
|
||||||
Interest-only
|
—
|
|
220
|
|
220
|
|
—
|
|
(12,089
|
)
|
(12,089
|
)
|
||||||
Agency CMBS
|
|
|
|
|
|
|
||||||||||||
Project loans
|
23,643
|
|
109,057
|
|
132,700
|
|
(651
|
)
|
(15
|
)
|
(666
|
)
|
||||||
Interest-only
|
—
|
|
586
|
|
586
|
|
—
|
|
(2,701
|
)
|
(2,701
|
)
|
||||||
Total
|
$
|
709,335
|
|
$
|
332,713
|
|
$
|
1,042,048
|
|
$
|
(999
|
)
|
$
|
(84,985
|
)
|
$
|
(85,984
|
)
|
|