0001409493December 312020Q3false210130—10278038620—92682—100445—8—83—100643—62683213240—61066—13635—627550105300330700106200330750.23.021.852.551.552.451.346.613.257.994.54.507.007.001.555.561.903.622.153.522.593.353.063.463.263.513.193.303.193.20.153846133.3333.3333.3333.3333.3333.3300014094932020-01-012020-09-300001409493us-gaap:CommonStockMember2020-01-012020-09-300001409493us-gaap:PreferredClassAMember2020-01-012020-09-300001409493us-gaap:PreferredClassBMember2020-01-012020-09-300001409493us-gaap:SeriesCPreferredStockMember2020-01-012020-09-300001409493us-gaap:SeriesDPreferredStockMember2020-01-012020-09-30xbrli:shares00014094932020-10-31iso4217:USD00014094932020-09-3000014094932019-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-12-310001409493us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMembercim:SecuritizedLoansMember2020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMembercim:SecuritizedLoansMember2019-12-310001409493cim:SecuritizedLoansMembercim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493cim:SecuritizedLoansMembercim:LoansHeldForInvestmentAtFairValueMember2019-12-31iso4217:USDxbrli:sharesxbrli:pure0001409493us-gaap:PreferredClassAMember2019-01-012019-12-310001409493us-gaap:PreferredClassAMember2019-12-310001409493us-gaap:PreferredClassAMember2020-09-300001409493us-gaap:PreferredClassBMember2019-01-012019-12-310001409493us-gaap:PreferredClassBMember2020-09-300001409493us-gaap:PreferredClassBMember2019-12-310001409493us-gaap:SeriesCPreferredStockMember2019-01-012019-12-310001409493us-gaap:SeriesCPreferredStockMember2020-09-300001409493us-gaap:SeriesCPreferredStockMember2019-12-310001409493us-gaap:SeriesDPreferredStockMember2019-01-012019-12-310001409493us-gaap:SeriesDPreferredStockMember2019-12-310001409493us-gaap:SeriesDPreferredStockMember2020-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMember2020-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMember2019-12-3100014094932020-07-012020-09-3000014094932019-07-012019-09-3000014094932019-01-012019-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:NonAgencyResidentialMortgageBackedSecuritiesAndSecuritizedLoansMember2020-07-012020-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:NonAgencyResidentialMortgageBackedSecuritiesAndSecuritizedLoansMember2019-07-012019-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:NonAgencyResidentialMortgageBackedSecuritiesAndSecuritizedLoansMember2020-01-012020-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:NonAgencyResidentialMortgageBackedSecuritiesAndSecuritizedLoansMember2019-01-012019-09-300001409493us-gaap:PreferredClassAMemberus-gaap:PreferredStockMember2020-06-300001409493us-gaap:PreferredClassBMemberus-gaap:PreferredStockMember2020-06-300001409493us-gaap:PreferredStockMemberus-gaap:SeriesCPreferredStockMember2020-06-300001409493us-gaap:SeriesDPreferredStockMemberus-gaap:PreferredStockMember2020-06-300001409493us-gaap:CommonStockMember2020-06-300001409493us-gaap:AdditionalPaidInCapitalMember2020-06-300001409493us-gaap:AccumulatedOtherComprehensiveIncomeMember2020-06-300001409493us-gaap:RetainedEarningsMember2020-06-300001409493us-gaap:AccumulatedDistributionsInExcessOfNetIncomeMember2020-06-3000014094932020-06-300001409493us-gaap:RetainedEarningsMember2020-07-012020-09-300001409493us-gaap:AccumulatedOtherComprehensiveIncomeMember2020-07-012020-09-300001409493us-gaap:CommonStockMember2020-07-012020-09-300001409493us-gaap:AdditionalPaidInCapitalMember2020-07-012020-09-300001409493us-gaap:AccumulatedDistributionsInExcessOfNetIncomeMember2020-07-012020-09-300001409493us-gaap:PreferredClassAMemberus-gaap:PreferredStockMember2020-09-300001409493us-gaap:PreferredClassBMemberus-gaap:PreferredStockMember2020-09-300001409493us-gaap:PreferredStockMemberus-gaap:SeriesCPreferredStockMember2020-09-300001409493us-gaap:SeriesDPreferredStockMemberus-gaap:PreferredStockMember2020-09-300001409493us-gaap:CommonStockMember2020-09-300001409493us-gaap:AdditionalPaidInCapitalMember2020-09-300001409493us-gaap:AccumulatedOtherComprehensiveIncomeMember2020-09-300001409493us-gaap:RetainedEarningsMember2020-09-300001409493us-gaap:AccumulatedDistributionsInExcessOfNetIncomeMember2020-09-300001409493us-gaap:PreferredClassAMemberus-gaap:PreferredStockMember2019-06-300001409493us-gaap:PreferredClassBMemberus-gaap:PreferredStockMember2019-06-300001409493us-gaap:PreferredStockMemberus-gaap:SeriesCPreferredStockMember2019-06-300001409493us-gaap:SeriesDPreferredStockMemberus-gaap:PreferredStockMember2019-06-300001409493us-gaap:CommonStockMember2019-06-300001409493us-gaap:AdditionalPaidInCapitalMember2019-06-300001409493us-gaap:AccumulatedOtherComprehensiveIncomeMember2019-06-300001409493us-gaap:RetainedEarningsMember2019-06-300001409493us-gaap:AccumulatedDistributionsInExcessOfNetIncomeMember2019-06-3000014094932019-06-300001409493us-gaap:RetainedEarningsMember2019-07-012019-09-300001409493us-gaap:AccumulatedOtherComprehensiveIncomeMember2019-07-012019-09-300001409493us-gaap:AdditionalPaidInCapitalMember2019-07-012019-09-300001409493us-gaap:AccumulatedDistributionsInExcessOfNetIncomeMember2019-07-012019-09-300001409493us-gaap:PreferredClassAMemberus-gaap:PreferredStockMember2019-09-300001409493us-gaap:PreferredClassBMemberus-gaap:PreferredStockMember2019-09-300001409493us-gaap:PreferredStockMemberus-gaap:SeriesCPreferredStockMember2019-09-300001409493us-gaap:SeriesDPreferredStockMemberus-gaap:PreferredStockMember2019-09-300001409493us-gaap:CommonStockMember2019-09-300001409493us-gaap:AdditionalPaidInCapitalMember2019-09-300001409493us-gaap:AccumulatedOtherComprehensiveIncomeMember2019-09-300001409493us-gaap:RetainedEarningsMember2019-09-300001409493us-gaap:AccumulatedDistributionsInExcessOfNetIncomeMember2019-09-3000014094932019-09-300001409493us-gaap:PreferredClassAMemberus-gaap:PreferredStockMember2019-12-310001409493us-gaap:PreferredClassBMemberus-gaap:PreferredStockMember2019-12-310001409493us-gaap:PreferredStockMemberus-gaap:SeriesCPreferredStockMember2019-12-310001409493us-gaap:SeriesDPreferredStockMemberus-gaap:PreferredStockMember2019-12-310001409493us-gaap:CommonStockMember2019-12-310001409493us-gaap:AdditionalPaidInCapitalMember2019-12-310001409493us-gaap:AccumulatedOtherComprehensiveIncomeMember2019-12-310001409493us-gaap:RetainedEarningsMember2019-12-310001409493us-gaap:AccumulatedDistributionsInExcessOfNetIncomeMember2019-12-310001409493us-gaap:RetainedEarningsMember2020-01-012020-09-300001409493us-gaap:AccumulatedOtherComprehensiveIncomeMember2020-01-012020-09-300001409493us-gaap:CommonStockMember2020-01-012020-09-300001409493us-gaap:AdditionalPaidInCapitalMember2020-01-012020-09-300001409493us-gaap:AccumulatedDistributionsInExcessOfNetIncomeMember2020-01-012020-09-300001409493us-gaap:PreferredClassAMemberus-gaap:PreferredStockMember2018-12-310001409493us-gaap:PreferredClassBMemberus-gaap:PreferredStockMember2018-12-310001409493us-gaap:PreferredStockMemberus-gaap:SeriesCPreferredStockMember2018-12-310001409493us-gaap:SeriesDPreferredStockMemberus-gaap:PreferredStockMember2018-12-310001409493us-gaap:CommonStockMember2018-12-310001409493us-gaap:AdditionalPaidInCapitalMember2018-12-310001409493us-gaap:AccumulatedOtherComprehensiveIncomeMember2018-12-310001409493us-gaap:RetainedEarningsMember2018-12-310001409493us-gaap:AccumulatedDistributionsInExcessOfNetIncomeMember2018-12-3100014094932018-12-310001409493us-gaap:RetainedEarningsMember2019-01-012019-09-300001409493us-gaap:AccumulatedOtherComprehensiveIncomeMember2019-01-012019-09-300001409493us-gaap:CommonStockMember2019-01-012019-09-300001409493us-gaap:AdditionalPaidInCapitalMember2019-01-012019-09-300001409493us-gaap:AccumulatedDistributionsInExcessOfNetIncomeMember2019-01-012019-09-300001409493us-gaap:SeriesDPreferredStockMemberus-gaap:PreferredStockMember2019-01-012019-09-300001409493cim:AgencyMortgageBackedSecuritiesMember2020-01-012020-09-300001409493cim:AgencyMortgageBackedSecuritiesMember2019-01-012019-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-01-012020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-01-012019-09-300001409493cim:LoansHeldForInvestmentMember2020-01-012020-09-300001409493cim:LoansHeldForInvestmentMember2019-01-012019-09-30cim:subsidiary0001409493us-gaap:ResidentialMortgageBackedSecuritiesMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMember2020-09-300001409493us-gaap:ResidentialMortgageBackedSecuritiesMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMember2020-09-300001409493us-gaap:ResidentialMortgageBackedSecuritiesMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMember2020-09-300001409493us-gaap:ResidentialMortgageBackedSecuritiesMembercim:AgencyResidentialMortgageBackedSecuritiesMember2020-09-300001409493us-gaap:ResidentialMortgageBackedSecuritiesMembercim:AgencyInterestOnlyResidentialMortgageBackedSecuritiesMember2020-09-300001409493cim:AgencyCommercialMortgageBackedSecuritiesMemberus-gaap:CommercialMortgageBackedSecuritiesMember2020-09-300001409493cim:AgencyCommercialMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:CommercialMortgageBackedSecuritiesMember2020-09-300001409493us-gaap:ResidentialMortgageBackedSecuritiesMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMember2019-12-310001409493us-gaap:ResidentialMortgageBackedSecuritiesMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMember2019-12-310001409493us-gaap:ResidentialMortgageBackedSecuritiesMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMember2019-12-310001409493us-gaap:ResidentialMortgageBackedSecuritiesMembercim:AgencyResidentialMortgageBackedSecuritiesMember2019-12-310001409493us-gaap:ResidentialMortgageBackedSecuritiesMembercim:AgencyInterestOnlyResidentialMortgageBackedSecuritiesMember2019-12-310001409493cim:AgencyCommercialMortgageBackedSecuritiesMemberus-gaap:CommercialMortgageBackedSecuritiesMember2019-12-310001409493cim:AgencyCommercialMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:CommercialMortgageBackedSecuritiesMember2019-12-31cim:security0001409493cim:AgencyPassThroughMortgageBackedSecuritiesMember2020-09-300001409493cim:AgencyPassThroughMortgageBackedSecuritiesMember2019-12-310001409493srt:CumulativeEffectPeriodOfAdoptionAdjustmentMember2020-06-300001409493srt:CumulativeEffectPeriodOfAdoptionAdjustmentMember2019-12-310001409493cim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMember2020-09-300001409493us-gaap:MeasurementInputDiscountRateMemberus-gaap:CreditQualityIndicatorUpdatedQuarterlyMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMembersrt:WeightedAverageMember2020-09-300001409493us-gaap:MeasurementInputDefaultRateMemberus-gaap:CreditQualityIndicatorUpdatedQuarterlyMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMembersrt:WeightedAverageMember2020-09-300001409493us-gaap:MeasurementInputLossSeverityMemberus-gaap:CreditQualityIndicatorUpdatedQuarterlyMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMembersrt:WeightedAverageMember2020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMembercim:AAACreditRatingMember2020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMembercim:AAACreditRatingMember2019-12-310001409493cim:AACreditRatingMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-09-300001409493cim:AACreditRatingMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMembercim:ACreditRatingMember2020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMembercim:ACreditRatingMember2019-12-310001409493cim:BBBCreditRatingMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-09-300001409493cim:BBBCreditRatingMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMembercim:BBCreditRatingMember2020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMembercim:BBCreditRatingMember2019-12-310001409493cim:BCreditRatingMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-09-300001409493cim:BCreditRatingMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMembercim:BelowBorNotRatedMember2020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMembercim:BelowBorNotRatedMember2019-12-310001409493srt:MinimumMembercim:AltaMember2020-01-012020-09-300001409493srt:MaximumMembercim:AltaMember2020-01-012020-09-300001409493cim:NonAgencyResidentialMBSDeemedToBeEquivalentToAltAQualityMember2020-09-300001409493cim:NonAgencyResidentialMBSDeemedToBeEquivalentToAltAQualityMember2019-12-310001409493cim:NonAgencyResidentialMbsDeemedToBeEquivalentToPrimeQualityMember2020-09-300001409493cim:NonAgencyResidentialMbsDeemedToBeEquivalentToPrimeQualityMember2019-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-09-302020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-12-312019-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMemberstpr:CA2020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMemberstpr:CA2019-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMemberstpr:NY2020-09-300001409493stpr:FLcim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-12-310001409493stpr:FLcim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMemberstpr:NY2019-12-310001409493stpr:TXcim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-09-300001409493stpr:TXcim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-07-012020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-07-012019-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-01-012020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-01-012019-09-300001409493cim:AgencyResidentialMortgageBackedSecuritiesMember2020-07-012020-09-300001409493cim:AgencyResidentialMortgageBackedSecuritiesMember2019-07-012019-09-300001409493cim:AgencyResidentialMortgageBackedSecuritiesMember2020-01-012020-09-300001409493cim:AgencyResidentialMortgageBackedSecuritiesMember2019-01-012019-09-300001409493cim:AgencyCommercialMortgageBackedSecuritiesMember2020-07-012020-09-300001409493cim:AgencyCommercialMortgageBackedSecuritiesMember2019-07-012019-09-300001409493cim:AgencyCommercialMortgageBackedSecuritiesMember2020-01-012020-09-300001409493cim:AgencyCommercialMortgageBackedSecuritiesMember2019-01-012019-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-01-012020-03-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:LoansHeldForInvestmentAtFairValueMember2018-12-310001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:LoansHeldForInvestmentAtFairValueMember2020-01-012020-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:LoansHeldForInvestmentAtFairValueMember2019-01-012019-12-310001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493cim:LoansHeldForInvestmentAtFairValueMember2020-01-012020-09-300001409493cim:LoansHeldForInvestmentAtFairValueMember2020-07-012020-09-300001409493cim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493cim:LoansHeldForInvestmentAtFairValueMember2019-01-012019-12-310001409493cim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493cim:SeasonedSubprimeResidentialMortgageLoansMembercim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493cim:SeasonedSubprimeResidentialMortgageLoansMembercim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493cim:SeasonedSubprimeResidentialMortgageLoansMember2020-01-012020-09-30cim:loan0001409493cim:SeasonedSubprimeResidentialMortgageLoansMembercim:LoansHeldForInvestmentAtFairValueMember2020-09-302020-09-300001409493cim:SeasonedSubprimeResidentialMortgageLoansMembercim:LoansHeldForInvestmentAtFairValueMember2019-12-312019-12-310001409493cim:SeasonedSubprimeResidentialMortgageLoansMemberstpr:CAcim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493cim:SeasonedSubprimeResidentialMortgageLoansMemberstpr:CAcim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493stpr:FLcim:SeasonedSubprimeResidentialMortgageLoansMembercim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493stpr:FLcim:SeasonedSubprimeResidentialMortgageLoansMembercim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493stpr:NYcim:SeasonedSubprimeResidentialMortgageLoansMembercim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493stpr:NYcim:SeasonedSubprimeResidentialMortgageLoansMembercim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493cim:SeasonedSubprimeResidentialMortgageLoansMemberstpr:PAcim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493cim:SeasonedSubprimeResidentialMortgageLoansMemberstpr:OHcim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493cim:SeasonedSubprimeResidentialMortgageLoansMembercim:LoansHeldForInvestmentAtFairValueMemberstpr:VA2020-09-300001409493cim:SeasonedSubprimeResidentialMortgageLoansMemberstpr:PAcim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493us-gaap:ResidentialPortfolioSegmentMemberus-gaap:FinancingReceivables30To59DaysPastDueMember2020-09-300001409493us-gaap:ResidentialPortfolioSegmentMemberus-gaap:FinancingReceivables60To89DaysPastDueMember2020-09-300001409493us-gaap:ResidentialPortfolioSegmentMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2020-09-300001409493cim:BankruptcyMemberus-gaap:ResidentialPortfolioSegmentMember2020-09-300001409493cim:ForeclosureMemberus-gaap:ResidentialPortfolioSegmentMember2020-09-300001409493us-gaap:ResidentialPortfolioSegmentMembercim:LossMitigationMember2020-09-300001409493cim:RealEstateOwnedMemberus-gaap:ResidentialPortfolioSegmentMember2020-09-300001409493us-gaap:ResidentialPortfolioSegmentMember2020-09-300001409493us-gaap:ResidentialPortfolioSegmentMemberus-gaap:FinancingReceivables30To59DaysPastDueMember2019-12-310001409493us-gaap:ResidentialPortfolioSegmentMemberus-gaap:FinancingReceivables60To89DaysPastDueMember2019-12-310001409493us-gaap:ResidentialPortfolioSegmentMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2019-12-310001409493cim:BankruptcyMemberus-gaap:ResidentialPortfolioSegmentMember2019-12-310001409493cim:ForeclosureMemberus-gaap:ResidentialPortfolioSegmentMember2019-12-310001409493us-gaap:ResidentialPortfolioSegmentMembercim:LossMitigationMember2019-12-310001409493cim:RealEstateOwnedMemberus-gaap:ResidentialPortfolioSegmentMember2019-12-310001409493us-gaap:ResidentialPortfolioSegmentMember2019-12-310001409493cim:SeasonedSubprimeResidentialMortgageLoansMemberus-gaap:EstimateOfFairValueFairValueDisclosureMember2020-09-300001409493cim:SeasonedSubprimeResidentialMortgageLoansMemberus-gaap:EstimateOfFairValueFairValueDisclosureMember2019-12-310001409493cim:InvestmentswithDifferenceBetweenModelPriceandThirdPartyPriceMemberus-gaap:MortgageBackedSecuritiesMember2020-09-300001409493cim:InvestmentswithDifferenceBetweenModelPriceandThirdPartyPriceMemberus-gaap:MortgageBackedSecuritiesMembercim:InternalAssessmentMember2020-09-300001409493cim:InvestmentswithDifferenceBetweenModelPriceandThirdPartyPriceMembercim:ThirdPartyAssessmentMemberus-gaap:MortgageBackedSecuritiesMember2020-09-300001409493cim:InvestmentswithDifferenceBetweenModelPriceandThirdPartyPriceMemberus-gaap:MortgageBackedSecuritiesMember2019-12-310001409493cim:InvestmentswithDifferenceBetweenModelPriceandThirdPartyPriceMemberus-gaap:MortgageBackedSecuritiesMembercim:InternalAssessmentMember2019-12-310001409493cim:InvestmentswithDifferenceBetweenModelPriceandThirdPartyPriceMembercim:ThirdPartyAssessmentMemberus-gaap:MortgageBackedSecuritiesMember2019-12-310001409493cim:SecuritizedLoansHeldForInvestmentMembercim:InvestmentswithDifferenceBetweenModelPriceandThirdPartyPriceMembercim:InternalAssessmentMember2019-12-310001409493cim:InvestmentswithDifferenceBetweenModelPriceandThirdPartyPriceMembercim:SecuritizedLoansHeldForInvestmentMember2019-12-310001409493cim:SecuritizedLoansHeldForInvestmentMembercim:InvestmentswithDifferenceBetweenModelPriceandThirdPartyPriceMembercim:ThirdPartyAssessmentMember2019-12-310001409493cim:SubordinatedResidentialMortgageBackedSecuritiesMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-09-300001409493cim:SubordinatedResidentialMortgageBackedSecuritiesMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-12-310001409493cim:SeniorResidentialMortgageBackedSecuritiesInterestOnlyMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-09-300001409493cim:SeniorResidentialMortgageBackedSecuritiesInterestOnlyMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-12-310001409493cim:AgencyResidentialMortgageBackedSecuritiesMembercim:ResidentialPassthroughSecuritiesMember2020-09-300001409493cim:AgencyResidentialMortgageBackedSecuritiesMembercim:ResidentialPassthroughSecuritiesMember2019-12-310001409493us-gaap:InterestOnlyStripMembercim:AgencyResidentialMortgageBackedSecuritiesMember2020-09-300001409493us-gaap:InterestOnlyStripMembercim:AgencyResidentialMortgageBackedSecuritiesMember2019-12-310001409493cim:AgencyCommercialMortgageBackedSecuritiesMembercim:CommercialProjectLoansMember2020-09-300001409493cim:AgencyCommercialMortgageBackedSecuritiesMembercim:CommercialProjectLoansMember2019-12-310001409493us-gaap:InterestOnlyStripMembercim:AgencyCommercialMortgageBackedSecuritiesMember2020-09-300001409493us-gaap:InterestOnlyStripMembercim:AgencyCommercialMortgageBackedSecuritiesMember2019-12-310001409493cim:LoansHeldForInvestmentMember2020-09-300001409493cim:LoansHeldForInvestmentMember2019-12-310001409493us-gaap:SecuredDebtMember2020-09-300001409493us-gaap:SecuredDebtMember2019-12-310001409493cim:SeniorResidentialMortgageBackedSecuritiesMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-07-012020-09-300001409493cim:SeniorResidentialMortgageBackedSecuritiesMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-07-012019-09-300001409493cim:SeniorResidentialMortgageBackedSecuritiesMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-01-012020-09-300001409493cim:SeniorResidentialMortgageBackedSecuritiesMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-01-012019-09-300001409493cim:SubordinatedResidentialMortgageBackedSecuritiesMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-07-012020-09-300001409493cim:SubordinatedResidentialMortgageBackedSecuritiesMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-07-012019-09-300001409493cim:SubordinatedResidentialMortgageBackedSecuritiesMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-01-012020-09-300001409493cim:SubordinatedResidentialMortgageBackedSecuritiesMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-01-012019-09-300001409493cim:SeniorResidentialMortgageBackedSecuritiesInterestOnlyMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-07-012020-09-300001409493cim:SeniorResidentialMortgageBackedSecuritiesInterestOnlyMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-07-012019-09-300001409493cim:SeniorResidentialMortgageBackedSecuritiesInterestOnlyMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-01-012020-09-300001409493cim:SeniorResidentialMortgageBackedSecuritiesInterestOnlyMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-01-012019-09-300001409493cim:AgencyResidentialMortgageBackedSecuritiesMembercim:ResidentialPassthroughSecuritiesMember2020-07-012020-09-300001409493cim:AgencyResidentialMortgageBackedSecuritiesMembercim:ResidentialPassthroughSecuritiesMember2019-07-012019-09-300001409493cim:AgencyResidentialMortgageBackedSecuritiesMembercim:ResidentialPassthroughSecuritiesMember2020-01-012020-09-300001409493cim:AgencyResidentialMortgageBackedSecuritiesMembercim:ResidentialPassthroughSecuritiesMember2019-01-012019-09-300001409493us-gaap:InterestOnlyStripMembercim:AgencyResidentialMortgageBackedSecuritiesMember2020-07-012020-09-300001409493us-gaap:InterestOnlyStripMembercim:AgencyResidentialMortgageBackedSecuritiesMember2019-07-012019-09-300001409493us-gaap:InterestOnlyStripMembercim:AgencyResidentialMortgageBackedSecuritiesMember2020-01-012020-09-300001409493us-gaap:InterestOnlyStripMembercim:AgencyResidentialMortgageBackedSecuritiesMember2019-01-012019-09-300001409493cim:AgencyCommercialMortgageBackedSecuritiesMembercim:CommercialProjectLoansMember2020-07-012020-09-300001409493cim:AgencyCommercialMortgageBackedSecuritiesMembercim:CommercialProjectLoansMember2019-07-012019-09-300001409493cim:AgencyCommercialMortgageBackedSecuritiesMembercim:CommercialProjectLoansMember2020-01-012020-09-300001409493cim:AgencyCommercialMortgageBackedSecuritiesMembercim:CommercialProjectLoansMember2019-01-012019-09-300001409493us-gaap:InterestOnlyStripMembercim:AgencyCommercialMortgageBackedSecuritiesMember2020-07-012020-09-300001409493us-gaap:InterestOnlyStripMembercim:AgencyCommercialMortgageBackedSecuritiesMember2019-07-012019-09-300001409493us-gaap:InterestOnlyStripMembercim:AgencyCommercialMortgageBackedSecuritiesMember2020-01-012020-09-300001409493us-gaap:InterestOnlyStripMembercim:AgencyCommercialMortgageBackedSecuritiesMember2019-01-012019-09-300001409493cim:LoansHeldForInvestmentMember2020-07-012020-09-300001409493cim:LoansHeldForInvestmentMember2019-07-012019-09-300001409493cim:LoansHeldForInvestmentMember2020-01-012020-09-300001409493cim:LoansHeldForInvestmentMember2019-01-012019-09-300001409493us-gaap:SecuredDebtMember2020-07-012020-09-300001409493us-gaap:SecuredDebtMember2019-07-012019-09-300001409493us-gaap:SecuredDebtMember2020-01-012020-09-300001409493us-gaap:SecuredDebtMember2019-01-012019-09-300001409493us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2020-09-300001409493us-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMember2020-09-300001409493us-gaap:FairValueMeasurementsRecurringMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:FairValueMeasurementsRecurringMember2020-09-300001409493us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2019-12-310001409493us-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMember2019-12-310001409493us-gaap:FairValueMeasurementsRecurringMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:FairValueMeasurementsRecurringMember2019-12-310001409493cim:SecuritizedDebtLoansHeldForInvestmentAtFairValueMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2019-12-310001409493cim:SecuritizedDebtLoansHeldForInvestmentAtFairValueMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2020-01-012020-09-300001409493cim:SecuritizedDebtLoansHeldForInvestmentAtFairValueMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2018-12-310001409493cim:SecuritizedDebtLoansHeldForInvestmentAtFairValueMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2018-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-01-012019-12-310001409493cim:SecuritizedDebtLoansHeldForInvestmentAtFairValueMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2019-01-012019-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-01-012020-03-310001409493us-gaap:MeasurementInputDiscountRateMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputPrepaymentRateMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputDefaultRateMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputLossSeverityMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputDiscountRateMembersrt:WeightedAverageMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputPrepaymentRateMembersrt:WeightedAverageMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputDefaultRateMembersrt:WeightedAverageMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputLossSeverityMembersrt:WeightedAverageMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputDiscountRateMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputPrepaymentRateMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputDefaultRateMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputLossSeverityMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputDiscountRateMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputPrepaymentRateMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputDefaultRateMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputLossSeverityMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputDiscountRateMembersrt:WeightedAverageMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputPrepaymentRateMembersrt:WeightedAverageMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputDefaultRateMembersrt:WeightedAverageMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputLossSeverityMembersrt:WeightedAverageMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputDiscountRateMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputPrepaymentRateMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputDefaultRateMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputLossSeverityMembersrt:WeightedAverageMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputDiscountRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2020-09-300001409493us-gaap:MeasurementInputPrepaymentRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2020-09-300001409493us-gaap:MeasurementInputDefaultRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2020-09-300001409493us-gaap:MeasurementInputLossSeverityMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2020-09-300001409493us-gaap:MeasurementInputPrepaymentRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2019-12-310001409493us-gaap:MeasurementInputDefaultRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2019-12-310001409493us-gaap:MeasurementInputLossSeverityMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2019-12-310001409493us-gaap:BaseRateMemberus-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493us-gaap:BaseRateMemberus-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493us-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493us-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493cim:OwnerOccupiedMemberus-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493cim:OwnerOccupiedMemberus-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493cim:InvestorOccupancyMemberus-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493cim:InvestorOccupancyMemberus-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493us-gaap:FairValueInputsLevel3Membercim:SecondaryOccupancyMembercim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493us-gaap:FairValueInputsLevel3Membercim:SecondaryOccupancyMembercim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493us-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMembersrt:SingleFamilyMember2020-09-300001409493us-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMembersrt:SingleFamilyMember2019-12-310001409493cim:ManufacturedHousingMemberus-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493cim:ManufacturedHousingMemberus-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493srt:MultifamilyMemberus-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMember2020-09-300001409493srt:MultifamilyMemberus-gaap:FairValueInputsLevel3Membercim:LoansHeldForInvestmentAtFairValueMember2019-12-310001409493us-gaap:CarryingReportedAmountFairValueDisclosureMemberus-gaap:FairValueInputsLevel2Member2020-09-300001409493us-gaap:FairValueInputsLevel2Memberus-gaap:EstimateOfFairValueFairValueDisclosureMember2020-09-300001409493us-gaap:CarryingReportedAmountFairValueDisclosureMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:EstimateOfFairValueFairValueDisclosureMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:CarryingReportedAmountFairValueDisclosureMemberus-gaap:FairValueInputsLevel2Member2019-12-310001409493us-gaap:FairValueInputsLevel2Memberus-gaap:EstimateOfFairValueFairValueDisclosureMember2019-12-310001409493us-gaap:CarryingReportedAmountFairValueDisclosureMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:EstimateOfFairValueFairValueDisclosureMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MinimumMemberus-gaap:MeasurementInputDiscountRateMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputDiscountRateMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MinimumMemberus-gaap:MeasurementInputPrepaymentRateMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputPrepaymentRateMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputDefaultRateMembersrt:MinimumMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputDefaultRateMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MinimumMemberus-gaap:MeasurementInputLossSeverityMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputLossSeverityMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MinimumMemberus-gaap:MeasurementInputDiscountRateMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputDiscountRateMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MinimumMemberus-gaap:MeasurementInputPrepaymentRateMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputPrepaymentRateMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputDefaultRateMembersrt:MinimumMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputDefaultRateMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MinimumMemberus-gaap:MeasurementInputLossSeverityMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputLossSeverityMembercim:NonAgencySeniorMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MinimumMemberus-gaap:MeasurementInputDiscountRateMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputDiscountRateMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MinimumMemberus-gaap:MeasurementInputPrepaymentRateMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputPrepaymentRateMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputDefaultRateMembersrt:MinimumMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputDefaultRateMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MinimumMemberus-gaap:MeasurementInputLossSeverityMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputLossSeverityMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MinimumMemberus-gaap:MeasurementInputDiscountRateMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputDiscountRateMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MinimumMemberus-gaap:MeasurementInputPrepaymentRateMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputPrepaymentRateMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputDefaultRateMembersrt:MinimumMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputDefaultRateMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MinimumMemberus-gaap:MeasurementInputLossSeverityMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputLossSeverityMembercim:NonAgencySeniorMortgageBackedSecuritiesInterestOnlyAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MinimumMemberus-gaap:MeasurementInputDiscountRateMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputDiscountRateMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MinimumMemberus-gaap:MeasurementInputPrepaymentRateMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputPrepaymentRateMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493us-gaap:MeasurementInputDefaultRateMembersrt:MinimumMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputDefaultRateMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MinimumMemberus-gaap:MeasurementInputLossSeverityMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputLossSeverityMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2020-09-300001409493srt:MinimumMemberus-gaap:MeasurementInputDiscountRateMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputDiscountRateMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MinimumMemberus-gaap:MeasurementInputPrepaymentRateMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputPrepaymentRateMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493us-gaap:MeasurementInputDefaultRateMembersrt:MinimumMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputDefaultRateMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MinimumMemberus-gaap:MeasurementInputLossSeverityMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputLossSeverityMembercim:NonAgencySubordinatedMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:FairValueInputsLevel3Member2019-12-310001409493srt:MinimumMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2020-09-300001409493srt:MinimumMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2020-09-300001409493us-gaap:MeasurementInputDefaultRateMembersrt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputDefaultRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2020-09-300001409493srt:MinimumMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2020-09-300001409493srt:MaximumMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2020-09-300001409493srt:MinimumMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2019-12-310001409493srt:MinimumMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2019-12-310001409493us-gaap:MeasurementInputDefaultRateMembersrt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputDefaultRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2019-12-310001409493srt:MinimumMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2019-12-310001409493srt:MaximumMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Memberus-gaap:SecuredDebtMember2019-12-310001409493cim:CreditAgreementMemberus-gaap:SecuredDebtMember2020-09-300001409493srt:MinimumMemberus-gaap:WarehouseAgreementBorrowingsMember2020-01-012020-09-300001409493srt:MaximumMemberus-gaap:WarehouseAgreementBorrowingsMember2020-01-012020-09-300001409493cim:NotSubjecttoAdditionalMarginRequirementsMember2020-09-300001409493cim:SecuredDebtSubjecttoAutomaticStayProvisionsMember2020-09-300001409493cim:AgencyResidentialMortgageBackedSecuritiesMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:AgencyResidentialMortgageBackedSecuritiesMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:AgencyCommercialMortgageBackedSecuritiesMember2020-09-300001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:AgencyCommercialMortgageBackedSecuritiesMember2019-12-310001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:NonAgencyResidentialMortgageBackedSecuritiesAndLoansHeldForInvestmentMember2020-09-300001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:NonAgencyResidentialMortgageBackedSecuritiesAndLoansHeldForInvestmentMember2019-12-310001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:AgencyResidentialMortgageBackedSecuritiesMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-302020-09-300001409493cim:AgencyResidentialMortgageBackedSecuritiesMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-312019-12-310001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:AgencyCommercialMortgageBackedSecuritiesMember2020-09-302020-09-300001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:AgencyCommercialMortgageBackedSecuritiesMember2019-12-312019-12-310001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:NonAgencyResidentialMortgageBackedSecuritiesAndLoansHeldForInvestmentMember2020-09-302020-09-300001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:NonAgencyResidentialMortgageBackedSecuritiesAndLoansHeldForInvestmentMember2019-12-312019-12-310001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-302020-09-300001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-312019-12-310001409493us-gaap:MaturityOvernightMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493us-gaap:MaturityOvernightMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMemberus-gaap:MaturityUpTo30DaysMember2020-09-300001409493srt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMemberus-gaap:MaturityUpTo30DaysMember2020-09-300001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMemberus-gaap:MaturityUpTo30DaysMember2019-12-310001409493srt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMemberus-gaap:MaturityUpTo30DaysMember2019-12-310001409493cim:MaturityPeriodTwoMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodTwoMembersrt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodTwoMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodTwoMembersrt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodThreeMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodThreeMembersrt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodThreeMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodThreeMembersrt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodFourMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodFourMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodFiveMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodFiveMembersrt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodFiveMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodFiveMembersrt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodSixMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodSixMembersrt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodSixMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodSixMembersrt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodSevenMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodSevenMembersrt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodSevenMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodSevenMembersrt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:MaturityPeriodEightMember2020-09-300001409493srt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:MaturityPeriodEightMember2020-09-300001409493us-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:MaturityPeriodEightMember2019-12-310001409493cim:MaturityPeriodNineMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodNineMembersrt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodNineMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodNineMembersrt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493srt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493srt:WeightedAverageMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493us-gaap:WarehouseAgreementBorrowingsMember2020-09-300001409493us-gaap:AssetPledgedAsCollateralMemberus-gaap:StockholdersEquityTotalMembercim:GoldmanSachsMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMemberus-gaap:CreditConcentrationRiskMember2020-01-012020-09-300001409493cim:GoldmanSachsMember2020-09-300001409493srt:MinimumMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMemberus-gaap:MaturityUpTo30DaysMember2020-09-300001409493srt:MaximumMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMemberus-gaap:MaturityUpTo30DaysMember2020-09-300001409493cim:MaturityPeriodTwoMembersrt:MinimumMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493srt:MaximumMembercim:MaturityPeriodTwoMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodThreeMembersrt:MinimumMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493srt:MaximumMembercim:MaturityPeriodThreeMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493srt:MinimumMembercim:MaturityPeriodFiveMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493srt:MaximumMembercim:MaturityPeriodFiveMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493cim:MaturityPeriodSixMembersrt:MinimumMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493srt:MaximumMembercim:MaturityPeriodSixMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493srt:MinimumMembercim:MaturityPeriodSevenMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493srt:MaximumMembercim:MaturityPeriodSevenMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493srt:MinimumMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:MaturityPeriodEightMember2020-09-300001409493srt:MaximumMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMembercim:MaturityPeriodEightMember2020-09-300001409493srt:MinimumMembercim:MaturityPeriodNineMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493srt:MaximumMembercim:MaturityPeriodNineMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2020-09-300001409493srt:MinimumMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMemberus-gaap:MaturityUpTo30DaysMember2019-12-310001409493srt:MaximumMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMemberus-gaap:MaturityUpTo30DaysMember2019-12-310001409493cim:MaturityPeriodTwoMembersrt:MinimumMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493srt:MaximumMembercim:MaturityPeriodTwoMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodThreeMembersrt:MinimumMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493srt:MaximumMembercim:MaturityPeriodThreeMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493srt:MinimumMembercim:MaturityPeriodFiveMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493srt:MaximumMembercim:MaturityPeriodFiveMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:MaturityPeriodSixMembersrt:MinimumMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493srt:MaximumMembercim:MaturityPeriodSixMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493srt:MinimumMembercim:MaturityPeriodSevenMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493srt:MaximumMembercim:MaturityPeriodSevenMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493srt:MinimumMembercim:MaturityPeriodNineMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493srt:MaximumMembercim:MaturityPeriodNineMemberus-gaap:SecuritiesSoldUnderAgreementsToRepurchaseMember2019-12-310001409493cim:SecuritizedLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-09-300001409493cim:SecuritizedLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-12-310001409493cim:SecuritizedLoansMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-01-012020-09-300001409493cim:SecuritizedLoansMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-07-012020-09-300001409493cim:SecuritizedLoansMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-07-012019-09-300001409493cim:SecuritizedLoansMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-09-300001409493cim:SecuritizedLoansMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2019-01-012019-09-300001409493cim:SecuritizedLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:SecuredDebtMember2020-09-300001409493cim:SecuritizedLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:SecuredDebtMember2019-12-310001409493cim:SecuritizedLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-01-012020-09-300001409493cim:SecuritizedLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembercim:NonAgencyResidentialMortgageBackedSecuritiesMember2020-07-012020-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:SecuredDebtMember2020-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:SecuredDebtMember2019-12-310001409493cim:SecuritizedLoansMember2020-09-300001409493cim:ConvertibleSeniorNotesdue2023Memberus-gaap:ConvertibleDebtMember2020-04-300001409493cim:ConvertibleSeniorNotesdue2023Memberus-gaap:ConvertibleDebtMember2020-04-012020-04-300001409493cim:ConvertibleSeniorNotesdue2023Memberus-gaap:ConvertibleDebtMember2020-01-012020-09-300001409493cim:ConvertibleSeniorNotesdue2023Memberus-gaap:ConvertibleDebtMember2020-09-300001409493us-gaap:CommonStockMember2020-04-072020-04-070001409493us-gaap:SubprimeMemberus-gaap:ResidentialMortgageMember2020-07-012020-09-300001409493us-gaap:SubprimeMemberus-gaap:ResidentialMortgageMember2020-01-012020-09-300001409493us-gaap:SubprimeMemberus-gaap:ResidentialMortgageMember2019-01-012019-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2020-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMember2020-07-012020-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMember2019-07-012019-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMember2020-01-012020-09-300001409493us-gaap:VariableInterestEntityPrimaryBeneficiaryMember2019-01-012019-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMembersrt:MinimumMemberus-gaap:VariableInterestEntityNotPrimaryBeneficiaryMember2020-09-300001409493srt:MaximumMembercim:NonAgencyResidentialMortgageBackedSecuritiesMemberus-gaap:VariableInterestEntityNotPrimaryBeneficiaryMember2020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMemberus-gaap:VariableInterestEntityNotPrimaryBeneficiaryMember2020-09-300001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMembersrt:MinimumMemberus-gaap:VariableInterestEntityNotPrimaryBeneficiaryMember2019-12-310001409493srt:MaximumMembercim:NonAgencyResidentialMortgageBackedSecuritiesMemberus-gaap:VariableInterestEntityNotPrimaryBeneficiaryMember2019-12-310001409493cim:NonAgencyResidentialMortgageBackedSecuritiesMemberus-gaap:VariableInterestEntityNotPrimaryBeneficiaryMember2019-12-310001409493us-gaap:VariableInterestEntityNotPrimaryBeneficiaryMember2020-09-300001409493us-gaap:VariableInterestEntityNotPrimaryBeneficiaryMember2019-12-310001409493us-gaap:InterestRateSwapMember2020-09-300001409493us-gaap:FutureMember2020-09-300001409493us-gaap:InterestRateSwapMember2019-12-310001409493us-gaap:FutureMember2019-12-310001409493us-gaap:InterestRateSwapMember2020-07-012020-09-300001409493us-gaap:InterestRateSwapMember2019-07-012019-09-300001409493us-gaap:FutureMember2020-07-012020-09-300001409493us-gaap:FutureMember2019-07-012019-09-300001409493us-gaap:SwaptionMember2020-07-012020-09-300001409493us-gaap:SwaptionMember2019-07-012019-09-300001409493us-gaap:InterestRateSwapMember2020-01-012020-09-300001409493us-gaap:InterestRateSwapMember2019-01-012019-09-300001409493us-gaap:FutureMember2020-01-012020-09-300001409493us-gaap:FutureMember2019-01-012019-09-300001409493us-gaap:SwaptionMember2020-01-012020-09-300001409493us-gaap:SwaptionMember2019-01-012019-09-3000014094932019-01-012019-12-310001409493us-gaap:PreferredClassAMember2019-07-012019-09-300001409493us-gaap:PreferredClassAMember2020-07-012020-09-300001409493us-gaap:PreferredClassAMember2019-01-012019-09-300001409493us-gaap:PreferredClassBMember2019-07-012019-09-300001409493us-gaap:PreferredClassBMember2020-07-012020-09-300001409493us-gaap:PreferredClassBMember2019-01-012019-09-300001409493us-gaap:SeriesCPreferredStockMember2019-07-012019-09-300001409493us-gaap:SeriesCPreferredStockMember2020-07-012020-09-300001409493us-gaap:SeriesCPreferredStockMember2019-01-012019-09-300001409493us-gaap:SeriesDPreferredStockMember2020-07-012020-09-300001409493us-gaap:SeriesDPreferredStockMember2019-07-012019-09-300001409493us-gaap:SeriesDPreferredStockMember2019-01-012019-09-3000014094932020-03-310001409493cim:RegularDividendMember2020-07-012020-09-300001409493cim:RegularDividendMember2020-01-012020-09-300001409493cim:RegularDividendMember2019-07-012019-09-300001409493cim:RegularDividendMember2019-01-012019-09-300001409493cim:CreditAgreementMemberus-gaap:SecuredDebtMember2020-06-080001409493cim:WarrantSharesMemberus-gaap:CommonStockMember2020-06-080001409493cim:WarrantSharesMember2020-01-012020-09-300001409493us-gaap:CommonStockMember2020-06-080001409493us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2019-12-310001409493us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2020-01-012020-09-300001409493us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2020-09-300001409493us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2018-12-310001409493us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2019-01-012019-09-300001409493us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2019-09-300001409493us-gaap:ReclassificationOutOfAccumulatedOtherComprehensiveIncomeMemberus-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2020-01-012020-09-300001409493us-gaap:ReclassificationOutOfAccumulatedOtherComprehensiveIncomeMemberus-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2019-01-012019-09-300001409493cim:TwoThousandAndSevenEquityIncentivePlanMemberus-gaap:RestrictedStockMember2020-01-012020-09-300001409493cim:TwoThousandAndSevenEquityIncentivePlanMemberus-gaap:RestrictedStockMember2020-09-30cim:installment0001409493cim:StockAwardDeferralProgramMember2020-01-012020-09-300001409493cim:PerformanceShareUnitsMember2020-01-012020-09-300001409493us-gaap:RestrictedStockUnitsRSUMembercim:TwoThousandAndSevenEquityIncentivePlanMember2020-01-012020-09-300001409493us-gaap:RestrictedStockUnitsRSUMember2020-07-012020-09-300001409493us-gaap:RestrictedStockUnitsRSUMember2019-07-012019-09-300001409493us-gaap:RestrictedStockUnitsRSUMember2020-01-012020-09-300001409493us-gaap:RestrictedStockUnitsRSUMember2019-01-012019-09-300001409493srt:MinimumMembercim:PerformanceShareUnitsMember2020-01-012020-09-300001409493srt:MaximumMembercim:PerformanceShareUnitsMember2020-01-012020-09-300001409493cim:PerformanceShareUnitsMember2019-01-012019-09-300001409493cim:DefinedContribution401KPlanMember2020-07-012020-09-300001409493srt:MaximumMembercim:DefinedContribution401KPlanMember2020-07-012020-09-300001409493cim:DefinedContribution401KPlanMember2019-07-012019-09-300001409493cim:DefinedContribution401KPlanMember2020-01-012020-09-300001409493cim:DefinedContribution401KPlanMember2019-01-012019-09-300001409493us-gaap:RestrictedStockUnitsRSUMemberus-gaap:ShareBasedCompensationAwardTrancheOneMember2020-01-012020-09-300001409493us-gaap:ShareBasedCompensationAwardTrancheOneMembercim:PerformanceShareUnitsMember2020-01-012020-09-300001409493us-gaap:RestrictedStockUnitsRSUMemberus-gaap:ShareBasedCompensationAwardTrancheTwoMember2020-01-012020-09-300001409493us-gaap:ShareBasedCompensationAwardTrancheTwoMembercim:PerformanceShareUnitsMember2020-01-012020-09-300001409493us-gaap:ShareBasedCompensationAwardTrancheThreeMemberus-gaap:RestrictedStockUnitsRSUMember2020-01-012020-09-300001409493us-gaap:ShareBasedCompensationAwardTrancheThreeMembercim:PerformanceShareUnitsMember2020-01-012020-09-300001409493cim:HainsPointMember2020-01-012020-09-3000014094932020-09-302020-09-30

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: September 30, 2020
OR
             TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
FOR THE TRANSITION PERIOD FROM _______________ TO _________________
COMMISSION FILE NUMBER: 1-33796

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

520 Madison Avenue 32nd Floor
New York, New York
(Address of principal executive offices)
10022
(Zip Code)
(212) 626-2300
(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:
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

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days:
Yes þ No ☐




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

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

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

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


Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the last practicable date:
Class Outstanding at October 31, 2020
Common Stock, $0.01 par value 233,730,629




CHIMERA INVESTMENT CORPORATION

FORM 10-Q
TABLE OF CONTENTS
Part I. FINANCIAL INFORMATION
Item 1. Consolidated Financial Statements:
Consolidated Statements of Financial Condition as of September 30, 2020 (Unaudited) and December 31, 2019 (Derived from the audited consolidated financial statements as of December 31, 2019)
2
Consolidated Statements of Operations (Unaudited) for the quarters and nine months ended September 30, 2020 and 2019
4
Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and nine months ended September 30, 2020 and 2019
5
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and nine months ended September 30, 2020 and 2019
6
Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2020 and 2019
8
Notes to Consolidated Financial Statements (Unaudited)
10
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
47
Item 3. Quantitative and Qualitative Disclosures about Market Risk
70
Item 4. Controls and Procedures
77
Part II.  OTHER INFORMATION
Item 1. Legal Proceedings
77
Item 1A. Risk Factors
77
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
77
Item 6. Exhibits
78
SIGNATURES
80





1


Part I
Item 1. Consolidated Financial Statements

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
(Unaudited)
September 30, 2020 December 31, 2019
Cash and cash equivalents $ 325,717  $ 109,878 
Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and $0 thousand, respectively)
2,218,289  2,614,408 
Agency RMBS, at fair value 99,988  6,490,293 
Agency CMBS, at fair value 1,754,740  2,850,717 
Loans held for investment, at fair value 13,533,252  14,292,815 
Receivable for investments sold —  446,225 
Accrued interest receivable 86,727  116,423 
Other assets 75,155  194,301 
Derivatives, at fair value, net —  3,611 
Total assets (1)
$ 18,093,868  $ 27,118,671 
Liabilities:    
Secured financing agreements ($6.7 billion and $15.4 billion pledged as collateral, respectively)
$ 4,700,037  $ 13,427,545 
Securitized debt, collateralized by Non-Agency RMBS ($528 million and $598 million pledged as collateral, respectively)
117,904  133,557 
Securitized debt at fair value, collateralized by loans held for investment ($12.4 billion and $12.1 billion pledged as collateral, respectively)
8,757,449  8,179,608 
Long term debt 70,641  — 
Payable for investments purchased 614,583  1,256,337 
Accrued interest payable 36,451  63,600 
Dividends payable 76,362  98,568 
Accounts payable and other liabilities 23,899  6,163 
Total liabilities (1)
$ 14,397,326  $ 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, 232,190,087 and 187,226,081 shares issued and outstanding, respectively
2,322  1,873 
Additional paid-in-capital 4,517,819  4,275,963 
Accumulated other comprehensive income 554,981  708,336 
Cumulative earnings 3,734,659  3,793,040 
Cumulative distributions to stockholders (5,113,611) (4,826,291)
Total stockholders' equity $ 3,696,542  $ 3,953,293 
Total liabilities and stockholders' equity $ 18,093,868  $ 27,118,671 
(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of September 30, 2020, and December 31, 2019, total
2


assets of consolidated VIEs were $12,795,729 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $8,660,123 and $8,064,235, respectively. See Note 9 for further discussion.

See accompanying notes to consolidated financial statements.
3


CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS
(dollars in thousands, except share and per share data)
(Unaudited)
  For the Quarters Ended For the Nine Months Ended
September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019
Net interest income:
Interest income (1)
$ 247,905  $ 330,144  $ 794,094  $ 1,020,448 
Interest expense (2)
124,557  188,551  395,897  589,611 
Net interest income 123,348  141,593  398,197  430,837 
Increase/(decrease) in provision for credit losses (1,650) —  167  — 
Net other-than-temporary credit impairment losses —  —  —  (4,853)
Other investment gains (losses):  
Net unrealized gains (losses) on derivatives —  31,620  201,000  (189,865)
Realized gains (losses) on terminations of interest rate swaps —  (148,114) (463,966) (351,372)
Net realized gains (losses) on derivatives —  (20,178) (41,086) (37,151)
Net gains (losses) on derivatives —  (136,672) (304,052) (578,388)
Net unrealized gains (losses) on financial instruments at fair value 260,766  130,825  (172,042) 522,386 
Net realized gains (losses) on sales of investments 65,041  1,596  167,275  2,673 
Gains (losses) on extinguishment of debt (55,794) —  (55,338) (608)
Total other gains (losses) 270,013  (4,251) (364,157) (53,937)
Other expenses:    
Compensation and benefits 10,287  12,191  33,476  38,675 
General and administrative expenses 6,811  6,528  19,050  18,569 
Servicing fees 8,898  8,881  28,359  27,125 
Transaction expenses 1,624  3,415  11,239  4,289 
Total other expenses 27,620  31,015  92,124  88,658 
Income (loss) before income taxes 367,391  106,327  (58,251) 283,389 
Income taxes 62  130  156 
Net income (loss) $ 367,329  $ 106,326  $ (58,381) $ 283,233 
Dividends on preferred stock 18,438  18,438  55,313  54,267 
Net income (loss) available to common shareholders $ 348,891  $ 87,888  $ (113,694) $ 228,966 
Net income (loss) per share available to common shareholders:
Basic $ 1.50  $ 0.47  $ (0.55) $ 1.22 
Diluted $ 1.32  $ 0.47  $ (0.55) $ 1.22 
Weighted average number of common shares outstanding:
Basic 232,127,224  187,158,167  206,237,705  187,141,377 
Diluted 265,346,359  188,440,171  206,237,705  188,331,109 

(1) Includes interest income of consolidated VIEs of $171,442 and $192,622 for the quarters ended September 30, 2020 and 2019, respectively and $515,250 and $600,436 for the nine months ended September 30, 2020 and 2019, respectively. See Note 9 to consolidated financial statements for further discussion.

(2) Includes interest expense of consolidated VIEs of $74,753 and $82,234 for the quarters ended September 30, 2020 and 2019, respectively and $210,198 and $260,790 for the nine months ended September 30, 2020 and 2019, respectively. See Note 9 to consolidated financial statements for further discussion.

See accompanying notes to consolidated financial statements.
4


CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(Unaudited)
For the Quarters Ended For the Nine Months Ended
September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019
Comprehensive income (loss):  
Net income (loss) $ 367,329  $ 106,326  $ (58,381) $ 283,233 
Other comprehensive income:  
Unrealized gains (losses) on available-for-sale securities, net (1)
40,470  29,980  (97,334) 115,198 
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 (22,999) —  (56,021) 22,187 
Other comprehensive income (loss) 17,471  29,980  (153,355) 142,238 
Comprehensive income (loss) before preferred stock dividends $ 384,800  $ 136,306  $ (211,736) $ 425,471 
Dividends on preferred stock $ 18,438  $ 18,438  $ 55,313  $ 54,267 
Comprehensive income (loss) available to common stock shareholders $ 366,362  $ 117,868  $ (267,049) $ 371,204 

(1) Quarter ended and nine months ended September 30, 2020 amounts includes $150 thousand and $15 million, respectively, of unrealized losses on AFS securities for which the Company has recognized an allowance for credit losses.
5


CHIMERA INVESTMENT CORPORATION   
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
(dollars in thousands, except per share data)
(Unaudited)
For the Quarter Ended September 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, June 30, 2020 $ 58  $ 130  $ 104  $ 80  $ 2,320  $ 4,515,043  $ 537,510  $ 3,367,330  $ (5,026,696) $ 3,395,879 
Net income (loss) —  —  —  —  —  —  —  367,329  —  367,329 
Other comprehensive income (loss) —  —  —  —  —  —  17,471  —  —  17,471 
Settlement of Convertible Debt —  —  —  —  1,198  —  —  —  1,200 
Stock based compensation —  —  —  —  —  1,578  —  —  —  1,578 
Common dividends declared —  —  —  —  —  —  —  —  (68,477) (68,477)
Preferred dividends declared —  —  —  —  —  —  —  —  (18,438) (18,438)
Balance, September 30, 2020 $ 58  $ 130  $ 104  $ 80  $ 2,322  $ 4,517,819  $ 554,981  $ 3,734,659  $ (5,113,611) $ 3,696,542 
For the Quarter Ended September 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, June 30, 2019 $ 58  $ 130  $ 104  $ 80  $ 1,872  $ 4,272,001  $ 739,090  $ 3,556,396  $ (4,600,781) $ 3,968,950 
Net income (loss) —  —  —  —  —  —  —  106,326  —  106,326 
Other comprehensive income (loss) —  —  —  —  —  —  29,980  —  —  29,980 
Stock based compensation —  —  —  —  —  2,720  —  —  —  2,720 
Common dividends declared —  —  —  —  —  —  —  —  (94,494) (94,494)
Preferred dividends declared —  —  —  —  —  —  —  —  (18,438) (18,438)
Balance, September 30, 2019 $ 58  $ 130  $ 104  $ 80  $ 1,872  $ 4,274,721  $ 769,070  $ 3,662,722  $ (4,713,713) $ 3,995,044 
For the Nine Months Ended September 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) —  —  —  —  —  —  —  (58,381) —  (58,381)
Other comprehensive income (loss) —  —  —  —  —  —  (153,355) —  —  (153,355)
Repurchase of common stock —  —  —  —  (15) (22,051) —  —  —  (22,066)
Settlement of Convertible Debt —  —  —  —  463  293,546  —  —  —  294,009 
Purchase of Capped Call —  —  —  —  —  (33,750) —  —  —  (33,750)
Stock based compensation —  —  —  —  4,111  —  —  —  4,112 
Common dividends declared —  —  —  —  —  —  —  —  (232,007) (232,007)
Preferred dividends declared —  —  —  —  —  —  —  —  (55,313) (55,313)
Balance, September 30, 2020 $ 58  $ 130  $ 104  $ 80  $ 2,322  $ 4,517,819  $ 554,981  $ 3,734,659  $ (5,113,611) $ 3,696,542 
6


For the Nine Months Ended September 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) —  —  —  —  —  —  —  283,233  —  283,233 
Other comprehensive income (loss) —  —  —  —  —  —  142,238  —  —  142,238 
Stock based compensation —  —  —  —  9,340  —  —  —  9,341 
Common dividends declared —  —  —  —  —  —  —  —  (282,698) (282,698)
Preferred dividends declared —  —  —  —  —  —  —  —  (54,267) (54,267)
Issuance of preferred stock —  —  —  80  —  193,288  —  —  —  193,368 
Balance, September 30, 2019 $ 58  $ 130  $ 104  $ 80  $ 1,872  $ 4,274,721  $ 769,070  $ 3,662,722  $ (4,713,713) $ 3,995,044 

See accompanying notes to consolidated financial statements.
7


CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
  For the Nine Months Ended
  September 30, 2020 September 30, 2019
Cash Flows From Operating Activities:
Net income (loss) $ (58,381) $ 283,233 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net 93,365  52,112 
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net (41,102) (22,207)
Amortization of swaption premium —  635 
Net unrealized losses (gains) on derivatives (201,000) 189,865 
Margin (paid) received on derivatives 325,594  (106,128)
Net unrealized losses (gains) on financial instruments at fair value 172,042  (522,386)
Net realized losses (gains) on sales of investments (167,275) (2,673)
Net increase (decrease) in provision for credit losses 167  — 
Net other-than-temporary credit impairment losses —  4,853 
(Gain) loss on extinguishment of debt 55,338  608 
Equity-based compensation expense 4,112  9,341 
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net 30,381  (2,160)
Decrease (increase) in other assets (22,507) (15,600)
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities 17,736  14,912 
Increase (decrease) in accrued interest payable, net (27,842) (29,172)
Net cash provided by (used in) operating activities $ 180,628  $ (144,767)
Cash Flows From Investing Activities:
Agency MBS portfolio:    
Purchases $ (385,014) $ (2,598,807)
Sales 7,201,313  1,919,230 
Principal payments 705,272  1,273,006 
Non-Agency RMBS portfolio:  
Purchases (22,859) (301,481)
Sales 142,534  38,603 
Principal payments 191,294  304,487 
Loans held for investment:  
Purchases (1,783,147) (3,001,701)
Sales 703,342  1,337,419 
Principal payments 1,384,331  1,240,505 
Net cash provided by (used in) investing activities $ 8,137,066  $ 211,261 
Cash Flows From Financing Activities:
Proceeds from secured financing agreements $ 74,264,849  $ 93,523,542 
Payments on secured financing agreements (83,030,677) (92,552,568)
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 2,061,895  374,600 
Payments on securitized debt borrowings, collateralized by loans held for investment (1,379,866) (1,138,025)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS (13,852) (19,059)
Net proceeds from issuance of convertible debt 361,139  — 
8


Purchase of capped call (33,750) — 
Common dividends paid (254,214) (280,677)
Preferred dividends paid (55,313) (54,267)
Net cash provided by (used in) financing activities $ (8,101,855) $ 46,914 
Net increase (decrease) in cash and cash equivalents 215,839  113,408 
Cash and cash equivalents at beginning of period 109,878  47,486 
Cash and cash equivalents at end of period $ 325,717  $ 160,894 
Supplemental disclosure of cash flow information:
Interest received $ 917,156  $ 1,070,399 
Interest paid $ 464,147  $ 640,990 
Non-cash investing activities:  
Payable for investments purchased $ 614,583  $ 1,484,572 
Net change in unrealized gain (loss) on available-for sale securities $ (153,355) $ 142,238 
Retained beneficial interests $ 21,943  $ 124,150 
Non-cash financing activities:  
   Dividends declared, not yet paid $ 76,362  $ 98,006 
Conversion of convertible debt $ 290,531  $ — 


See accompanying notes to consolidated financial statements.
9


CHIMERA INVESTMENT CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
1. Organization

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

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

2. Summary of the Significant Accounting Policies

(a) Basis of Presentation and Consolidation
The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States, or GAAP. In the opinion of the Company, all normal and recurring adjustments considered necessary for a fair presentation of its financial position, results of operations and cash flows have been included. Investment securities transactions are recorded on the trade date. Certain prior period amounts have been reclassified to conform to the current period's presentation.
The consolidated financial statements include the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities, or VIEs, in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation.
The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE.
The trusts are structured as entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain risks associated with being the sponsor and depositor of and the seller, directly or indirectly to, the securitizations entities.

Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause or the Company was determined to have power in connection with its involvement with the structure and design of the VIE.
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. 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.
10


The assets of securitization entities are comprised of residential mortgage backed securities (or RMBS), or residential mortgage loans. See Notes 3, 4 and 9 for further discussion of the characteristics of the securities and loans in the Company’s portfolio.
(b) Statements of Financial Condition Presentation
The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Retained beneficial interests of the consolidated securitization vehicles are eliminated on consolidation. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 9 for additional information related to the Company’s investments in consolidated securitization vehicles.
(c) Use of Estimates
The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. The Company has made significant estimates including in accounting for income recognition on Agency MBS, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans (Note 4), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Note 4 and 5), securitized debt (Note 5 and 7) and derivative instruments (Notes 5 and 10). Actual results could differ materially from those estimates.
(d) Significant Accounting Policies
There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2019, other than the significant accounting policies discussed below.
Interest Income Recognition and Allowance for Credit Losses
Investments in Non-agency RMBS securities
The Company considers its investments in Non-Agency RMBS as beneficial interests. Beneficial interests give the Company the right to receive all or portions of specified cash flows received by a trust or other entity. Beneficial interests held by the Company are created in connection with securitization transactions such as those involving mortgage loan obligations. Beneficial interests are accounted for in accordance with guidance in ASC 325-40 as amended by the ASU 2016-13. Beneficial interests classified as available-for-sale (AFS) record changes in fair value in other comprehensive income (OCI). Beneficial interests for which the Company has elected the fair value option (FVO) record changes in fair value in earnings.
Interest income on the Company’s beneficial interests is recognized using the interest method based on the Company's estimates of cash flows expected to be collected. The effective interest rate on these securities is based on the Company's estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, adjusts its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either favorable changes or adverse changes.
Adverse changes in the timing or amount of cash flows on beneficial interests classified as AFS could result in the Company recording an increase in the allowance for credit losses. The allowance for credit losses are calculated using a discounted cash flow (DCF) approach and is measured as the difference between the beneficial interest’s amortized cost and the estimate of cash flows expected to be collected discounted at the effective interest rate used to accrete the beneficial interest. The allowance for credit losses is recorded as a contra-asset and a reduction in earnings. The allowance for credit losses will be limited to the amount of the unrealized losses on the beneficial interest. Any allowance for credit losses in excess of the unrealized losses on the beneficial interests are accounted for as a prospective reduction of the effective interest rate. No allowance is recorded for beneficial interests in an unrealized gain position. Favorable changes in the DCF will result in a reduction in the allowance for credit losses, if any. Any reduction in allowance for credit losses is recorded in earnings. If the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective increase to the effective interest rate.
11


Beneficial interests for which other than temporary impairment (OTTI) had been recognized prior to the effective date of ASU 2016-13 shall apply the guidance in the update on a prospective basis. In addition, the yield used to accrete the beneficial interest on beneficial interests with prior OTTI will remain unchanged as a result of the adoption of ASU 2016-13. Recoveries of amounts previously written off relating to improvements in cash flows shall be recorded in income in the period received. Therefore, subsequent favorable changes in the DCF of the beneficial interests with prior OTTI will not be reflected as an adjustment to their yield used to accrete the discount. Subsequent adverse changes in the DCF will result in an increase to the allowance for credit losses, limited to the amount of the unrealized losses on the beneficial interest.
Credit losses recognized on beneficial interests will be accreted on a monthly basis at the rate used to recognize interest income, the effective interest rate. The accretion will be recorded as a reduction to interest income in the statement of operations.
The Company presents separately all accrued interest on the statement of financial position. Interest is accrued on all beneficial interests when due. Interest which is not received at the due date is written off when it becomes delinquent. As all interest not received when due is charged off against interest income, no allowance for accrued interest is required.
No allowances for credit losses are recognized on beneficial interests for which the Company has elected the fair value option. All favorable or adverse changes in the Company's estimates of cash flows expected to be collected results in a prospective increase or decrease in the effective interest rate used to recognize interest income.
Investments in agency MBS securities
The Company invests in pass-through mortgage-backed securities guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC) (collectively “Agency Securities”).
Interest income for Agency Securities for which changes in fair value are recorded in OCI, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security. This recalculation of the effective yield is updated on a monthly basis. Upon a recalculation of the effective yield, the investment in the security is adjusted to the amount that would have existed had the new effective yield been retrospectively applied since acquisition with a corresponding charge or credit to interest income. This adjustment is accounted for as a change in estimate with a cumulative effect adjustment on interest income as a result in the change in the yield. Prepayments are estimated using models generally accepted in the industry.
All securities carried at fair value with changes in fair value recorded in OCI need to be evaluated for expected losses, even if the risk of loss is considered remote. However, the Company is not required to measure expected credit losses on securities in which historical credit loss information adjusted for current conditions and reasonable and supportable forecasts results in an expectation that incurring a credit loss is zero. Based on the current facts and circumstances, the Company believes its investments Agency Securities would qualify for zero expected credit losses. The factors considered in reaching this conclusion include the long history of zero credit losses, the explicit guarantee by the US government (although limited for FNMA and FHLMC securities) and yields that, while not risk-free, generally trade based on market views of prepayment and liquidity risk (not credit risk).
Interest income on Agency Securities for which changes in fair value are recorded in earnings is recognized using the interest method based on the Company's estimates of cash flows expected to be collected. The effective interest rate on these securities is based on the Company's estimate of the projected cash flows. Changes in the amount or timing of cash flows as a result of changes in expected prepayments from those originally projected, or from those estimated at the last evaluation date, are reflected prospectively as an adjustment to the effective interest rate used to recognize interest income. This recalculation of the effective interest rate is updated on a monthly basis.
Long Term Debt
Convertible Notes

Convertible notes include unsecured convertible debt that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. Interest on the notes is payable semiannually until such time the notes mature or are converted or exchanged into shares. Any debt discounts or premiums are reported as an adjustment to the carrying amount of the debt liability and amortized into interest expense using the effective interest method. If converted by a holder, the holder of the notes would receive shares of our common stock. Deferred debt issuance costs are expenses associated with the issuance of long-term debt. These expenses typically include underwriting, legal, accounting, and other fees. Deferred debt issuance costs are included
12


in the carrying value of the related long-term debt issued and are amortized as an adjustment to interest expense using the effective interest method, based upon the actual and estimated repayment schedules of the related long-term debt issued.

When the conversion of debt occurs in accordance with debt terms, the unpaid principal balance of the convertible debt is recorded as additional paid in capital and the outstanding debt is considered repaid. Any unamortized issuance costs and unpaid accrued interest related to the converted notes are also credited to the additional paid in capital.

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 September 30, 2020 or December 31, 2019.

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.

(e) Recent Accounting Pronouncements
Financial Instruments - Credit Losses - (Topic 326)
On January 1, 2020 the Company adopted accounting standards update (or ASU) No. 2016-13, Measurement of Credit Losses on Financial Instruments. This update replaced the previous model for recognizing credit losses from an incurred credit loss model to a current expected credit loss (or CECL) model for financial instruments measured at amortized cost and required the Company to record an allowance for credit losses on available-for-sale (or AFS) debt securities for all expected (rather than incurred) credit losses of the asset rather than reduce the carrying amount, as the Company did under the OTTI model. This update also revised the accounting model for purchased credit-impaired debt securities. The changes in the allowance for credit losses created in accordance with this update have been recorded in earnings. Expected credit losses are limited to the amount of the unrealized loss on the debt securities impacted by the update.
The update did not have any impact on financial instruments which were carried at fair value with changes in fair value recorded in earnings. As all Loans held for investment are carried at fair value, with changes in fair value recorded in earnings, the update had no impact on the carrying value or revenue recognition of Loans held for investment.
On January 1, 2020, the effective date of the update, the Company was required to record a cumulative-effect adjustment related to financial instruments under the scope of this update to the statement of financial position. As all financial instruments impacted by the update, including all purchased credit impaired debt securities, were in an unrealized gain position as of the effective date, there was no impact on the financial statements at the transition date and no cumulative-effect adjustment was required.
In addition, the update superseded subtopic 310-30, Receivables - Loans and Debt Securities Acquired with Deteriorated Credit Quality. As of January 1, 2020, the Company accounted all investments previously classified as AFS and under subtopic 310-30, using the subtopic 326-30 Financial Instruments - Credit Losses; Available-for-Sale Debt Securities and subtopic 325-40, Investments -Other-Beneficial Interests in Securitized Financial Assets.
Reference Rate Reform (Topic 848)
In March 2020, the FASB issued ASU No. 2020-4, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this update apply only to contracts, hedging relationships, and other transactions that reference London Inter Bank Offering Rate (or LIBOR) or another reference rate expected to be discontinued because of reference rate reform. The amendments in this update are effective for all entities as of March 12, 2020 through December 31, 2022. An entity may elect to apply the amendments for contract modifications by Topic or Industry Subtopic as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020, or prospectively from a date within an interim period that includes or is subsequent to March 12, 2020, up to the date that the financial statements are available to be issued. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements.
Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40)
13


In August 2020, the FASB issued ASU No. 2020-6, Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity. The FASB issued this update to simplify the current guidance for convertible instruments and the derivatives scope exception for contracts in an entity’s own equity. Additionally, the amendments affect the diluted EPS calculation for instruments that may be settled in cash or shares and for convertible instruments. The update also provides for expanded disclosure requirements to increase transparency. The amendments in this update are effective for fiscal years beginning after December 15, 2021 including interim periods within those fiscal years. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements.

3. Mortgage-Backed Securities

The Company classifies its Non-Agency RMBS as senior, subordinated, or Interest-only. The Company also invests in Agency MBS which it classifies as Agency RMBS to include residential and residential interest-only MBS and Agency CMBS to include commercial and commercial interest-only MBS. Senior interests in Non-Agency RMBS are generally entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of Company's MBS investments as of September 30, 2020 and December 31, 2019.
September 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 $ 1,629,183  $ 3,224  $ (796,138) $ 836,269  $ (167) $ 1,332,900  $ 496,948  $ (150) $ 496,798 
Subordinated 915,631  8,285  (341,840) 582,076  —  591,356  62,703  (53,423) 9,280 
Interest-only 6,056,933  261,983  —  261,983  —  294,033  81,407  (49,357) 32,050 
Agency RMBS              
Pass-through —  —  —  —  —  —  —  —  — 
Interest-only 1,343,378  124,159  —  124,159  —  99,988  1,055  (25,226) (24,171)
Agency CMBS
Project loans 1,538,077  28,797  (877) 1,565,997  —  1,726,262  160,278  (13) 160,265 
Interest-only 1,383,665  26,179  —  26,179  —  28,478  2,692  (393) 2,299 
Total $ 12,866,867  $ 452,627  $ (1,138,855) $ 3,396,663  $ (167) $ 4,073,017  $ 805,083  $ (128,562) $ 676,521 
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 

14


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 September 30, 2020 and December 31, 2019. All available for sale securities in an unrealized loss position have been evaluated by the Company for current expected credit losses.
September 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 $ 18,493  $ (150) $ —  $ —  —  $ 18,493  $ (150)
Subordinated 313,860  (52,319) 18  16,464  (1,104) 14 330,324  (53,423) 32
Interest-only 24,670  (4,608) 20 29,308  (44,749) 48 53,978  (49,357) 68
Agency RMBS              
Pass-through —  —  —  —  —  —  —  —  — 
Interest-only 15,462  (3,887) 4 56,587  (21,339) 15  72,049  (25,226) 19
Agency CMBS
Project loans —  —  —  14,758  (13) 2 14,758  (13) 2
Interest-only 5,597  (393) —  —  —  5,597  (393) 7
Total $ 378,082  $ (61,357) 53 $ 117,117  $ (67,205) 79 $ 495,199  $ (128,562) 132 
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) $ 31,635  $ (293)
Subordinated 69,178  (5,064) 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) 67,552  (610) 5 78,950  (1,215)
Interest-only 121,228  (12,089) 22  —  —  —  121,228  (12,089) 22 
Agency CMBS
Project loans 41,971  (277) 44,896  (389) 4 86,867  (666)
Interest-only 15,045  (295) 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 

At September 30, 2020, the Company did not intend to sell any of its Agency and Non-Agency MBS 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 September 30, 2020.

Gross unrealized losses on the Company’s Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) were $12 thousand and $1 million as of September 30, 2020 and December 31, 2019, 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 September 30, 2020 and December 31, 2019, unrealized losses on its Agency MBS were temporary.
15



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, was $1 million at September 30, 2020. After evaluating the securities and recording the allowance for credit losses, we 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 we did not intend to sell the securities, it was not considered more likely than not that we would be forced to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused us to otherwise conclude that we would not recover the amortized cost. 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.

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), was $348 thousand at December 31, 2019. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of other-than-temporary and does not believe that these unrealized losses are credit related, but rather are due to other factors.

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 loss allowance on available-for-sale securities for the quarter and nine months ended September 30, 2020 is presented below.
For the Quarter Ended For the Nine Months Ended
September 30, 2020 September 30, 2020
(dollars in thousands) (dollars in thousands)
Beginning allowance for credit losses $ 1,817  $ — 
Transition impact from CECL standard —  — 
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 22  6,582 
Allowance on purchased financial assets with credit deterioration —  — 
Reductions for the securities sold during the period —  (321)
Increase/(decrease) on securities with an allowance in the prior period (1,074) (3,778)
Write-offs charged against the allowance (642) (2,389)
Recoveries of amounts previously written off 44  73 
Ending allowance for credit losses $ 167  $ 167 

The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of September 30, 2020.
September 30, 2020
(dollars in thousands)
   Prepay Rate CDR Loss Severity
   Amortized Cost Weighted Average Weighted Average Weighted Average
Non-Agency RMBS
Senior 18,809,643 10.8% 2.4% 51.3%

For the quarter ended September 30, 2020 the allowance for credit losses decreased as there was a reduction on expected losses and delinquencies for the period. The increase in the allowance for credit losses for the nine months ended September 30, 2020 is primarily due to increased expected losses and delinquencies as compared to the beginning of the year. In addition, certain Non-Agency RMBS positions, which had previously been in an unrealized gain position as of the prior year-end, are now in an unrealized loss position as of the end of the current period due to the decline in fair value. These Non-Agency RMBS positions
16


now in an unrealized loss have 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 September 30, 2020 and December 31, 2019.
September 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 $ 496,948  $ —  $ 496,948  $ (150) $ —  $ (150)
Subordinated 52,475  10,228  62,703  (445) (52,978) (53,423)
Interest-only —  81,407  81,407  —  (49,357) (49,357)
Agency RMBS        
Pass-through —  —  —  —  —  — 
Interest-only —  1,055  1,055  —  (25,226) (25,226)
Agency CMBS
Project loans 6,166  154,112  160,278  (13) —  (13)
Interest-only —  2,692  2,692  —  (393) (393)
Total $ 555,589  $ 249,494  $ 805,083  $ (608) $ (127,954) $ (128,562)
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)

Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile.

The following tables provide a summary of the Company’s MBS portfolio at September 30, 2020 and December 31, 2019.
17


  September 30, 2020
  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
$ 1,629,183  $ 51.33  81.81  4.5  % 16.5  %
Subordinated
915,631  63.57  64.58  3.6  % 6.3  %
Interest-only
6,056,933  4.33  4.85  1.5  % 16.8  %
Agency RMBS          
Interest-only 1,343,378  9.24  7.44  1.9  % 1.5  %
Agency CMBS
Project loans
1,538,077  101.82  112.24  4.1  % 3.9  %
Interest-only
1,383,665  1.89  2.06  0.7  % 7.9  %
(1) Bond Equivalent Yield at period end.
  December 31, 2019
  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
$ 2,024,564  $ 52.98  $ 84.01  5.0  % 20.8  %
Subordinated
876,592  63.15  71.25  3.7  % 6.9  %
Interest-only
7,458,653  4.04  3.87  1.1  % 8.4  %
Agency RMBS          
Pass-through
6,080,547  102.15  104.64  4.0  % 3.4  %
Interest-only
1,539,941  9.06  8.29  1.6  % 4.0  %
Agency CMBS
Project loans
2,621,938  101.82  106.86  3.7  % 3.6  %
Interest-only
1,817,246  2.81  2.70  0.7  % 4.7  %
(1) Bond Equivalent Yield at period end.

The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at September 30, 2020 and December 31, 2019.
  September 30, 2020 December 31, 2019
AAA 0.3  % 0.4  %
AA 0.1  % 0.1  %
A 1.2  % 0.9  %
BBB 1.8  % 1.6  %
BB 4.2  % 3.8  %
B 2.0  % 1.6  %
Below B or not rated 90.4  % 91.6  %
Total 100.0  % 100.0  %

Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at September 30, 2020 and December 31, 2019 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.
18


September 30, 2020
(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 $ 9,894  $ 365,604  $ 502,840  $ 454,562  $ 1,332,900 
Subordinated —  73,141  83,705  434,510  591,356 
Interest-only 3,380  156,082  132,305  2,266  294,033 
Agency RMBS          
Pass-through —  —  —  —  — 
Interest-only —  1,018  98,970  —  99,988 
Agency CMBS
Project loans 14,758  —  —  1,711,504  1,726,262 
Interest-only 705  23,978  3,795  —  28,478 
Total fair value $ 28,737  $ 619,823  $ 821,615  $ 2,602,842  $ 4,073,017 
Amortized cost          
Non-Agency RMBS          
Senior $ 6,264  $ 257,902  $ 288,351  $ 283,752  $ 836,269 
Subordinated —  60,669  66,813  454,594  582,076 
Interest-only 11,641  152,652  94,982  2,708  261,983 
Agency RMBS          
Pass-through —  —  —  —  — 
Interest-only —  1,979  122,180  —  124,159 
Agency CMBS
Project loans 14,771  —  —  1,551,226  1,565,997 
Interest-only 926  21,661  3,592  —  26,179 
Total amortized cost $ 33,602  $ 494,863  $ 575,918  $ 2,292,280  $ 3,396,663 
December 31, 2019
(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 $ 16,343  $ 450,185  $ 676,382  $ 558,001  $ 1,700,911 
Subordinated —  43,796  95,973  484,829  624,598 
Interest-only —  126,631  159,057  3,211  288,899 
Agency RMBS          
Pass-through —  5,939,408  421,539  1,679  6,362,626 
Interest-only —  1,614  126,053  —  127,667 
Agency CMBS
Project loans 15,065  —  29,385  2,757,242  2,801,692 
Interest-only —  20,528  28,497  —  49,025 
Total fair value $ 31,408  $ 6,582,162  $ 1,536,886  $ 3,804,962  $ 11,955,418 
Amortized cost          
Non-Agency RMBS          
Senior $ 15,206  $ 304,850  $ 409,958  $ 342,672  $ 1,072,686 
Subordinated —  29,085  86,033  438,476  553,594 
Interest-only —  150,221  148,889  2,060  301,170 
Agency RMBS          
Pass-through —  5,796,044  414,482  1,044  6,211,570 
Interest-only —  2,260  137,276  —  139,536 
Agency CMBS
Project loans 15,084  —  28,954  2,625,620  2,669,658 
Interest-only —  22,950  28,190  —  51,140 
Total amortized cost $ 30,290  $ 6,305,410  $ 1,253,782  $ 3,409,872  $ 10,999,354 
19



The Non-Agency RMBS portfolio is subject to credit risk. The Non-Agency RMBS portfolio is primarily collateralized by Alt-A first lien mortgages. An Alt-A mortgage is a type of U.S. mortgage that, for various reasons, is considered riskier than A-paper, or prime, and less risky than subprime, the riskiest category. Alt-A interest rates, which are determined by credit risk, therefore tend to be between those of prime and subprime home loans. Typically, Alt-A mortgages are characterized by borrowers with less than full documentation, lower credit scores and higher loan-to-value ratios. At origination of the loan, Alt-A mortgage securities are defined as Non-Agency RMBS where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) the FICO scores are greater than 720 and RMBS have 30% or less of the underlying collateral composed of full documentation loans. At September 30, 2020 and December 31, 2019, 51% and 58% of the Non-Agency RMBS collateral was classified as Alt-A, based on fair value. At September 30, 2020 and December 31, 2019, 11% and 12% of the Non-Agency RMBS collateral was classified as prime, respectively, based on fair value. The remaining Non-Agency RMBS collateral is classified as subprime.

The Non-Agency RMBS in the Portfolio have the following collateral characteristics at September 30, 2020 and December 31, 2019.
  September 30, 2020 December 31, 2019
Weighted average maturity (years)   22.9   23.6
Weighted average amortized loan to value (1)
  62.0  %   63.2  %
Weighted average FICO (2)
  714   719
Weighted average loan balance (in thousands)   $ 296    $ 313 
Weighted average percentage owner occupied