CHIMERA INVESTMENT CORP (Form: 10-Q, Received: 10/31/2019 16:19:47)

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

☑ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES

EXCHANGE ACT OF 1934

FOR THE QUARTERLY PERIOD ENDED: September 30, 2019

☐ 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 documents and 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 and posted 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 “accelerated filer,” “large 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 September 30, 2019
Common Stock, $0.01 par value	187,158,540

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, 2019 (Unaudited) and December 31, 2018 (Derived from the audited consolidated financial statements as of December 31, 2018)	2

Consolidated Statements of Operations (Unaudited) for the quarters and nine months ended September 30, 2019 and 2018	3

Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and nine months ended September 30, 2019 and 2018	4

Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and nine months ended September 30, 2019 and 2018	5

Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2019 and 2018	7

Notes to Consolidated Financial Statements (Unaudited)	9

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations	44

Item 3. Quantitative and Qualitative Disclosures about Market Risk	65

Item 4. Controls and Procedures	69



Part II. OTHER INFORMATION



Item 1. Legal Proceedings	70

Item 1A. Risk Factors	70

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	70

Item 6. Exhibits	70

SIGNATURES	72

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, 2019			December 31, 2018
Cash and cash equivalents	$	160,894		$	47,486
Non-Agency RMBS, at fair value	2,649,834			2,486,130
Agency MBS, at fair value	11,615,323			12,188,950
Loans held for investment, at fair value	13,101,728			12,572,581
Accrued interest receivable	125,601			123,442
Other assets	973,681			252,582
Derivatives, at fair value, net	5,228			37,468
Total assets ⁽¹⁾	$	28,632,289		$	27,708,639
Liabilities:
Repurchase agreements ($17.0 billion and $15.8 billion pledged as collateral, respectively)	$	15,002,106		$	14,030,465
Securitized debt, collateralized by Non-Agency RMBS ($612 million and $1.0 billion pledged as collateral, respectively)	139,163			159,955
Securitized debt at fair value, collateralized by loans held for investment ($11.5 billion and $12.3 billion pledged as collateral, respectively)	7,800,786			8,455,376
Payable for investments purchased	1,484,572			1,136,157
Accrued interest payable	81,232			110,402
Dividends payable	98,006			95,986
Accounts payable and other liabilities	31,380			16,469
Total liabilities ⁽¹⁾	$	24,637,245		$	24,004,810

Commitments and Contingencies (See Note 15)

Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference)	$	58		$	58
8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively ($325,000 liquidation preference)	130			130
7.75% Series C cumulative redeemable: 10,400,000 shares issued and outstanding, respectively ($260,000 liquidation preference)	104			104
8.00% Series D cumulative redeemable: 8,000,000 and 0 shares issued and outstanding, respectively ($200,000 liquidation preference)	80			—
Common stock: par value $0.01 per share; 500,000,000 and 300,000,000 shares authorized, 187,158,540 and 187,052,398 shares issued and outstanding, respectively	1,872			1,871
Additional paid-in-capital	4,274,721			4,072,093
Accumulated other comprehensive income	769,070			626,832
Cumulative earnings	3,662,722			3,379,489
Cumulative distributions to stockholders	(4,713,713		)	(4,376,748		)
Total stockholders' equity	$	3,995,044		$	3,703,829
Total liabilities and stockholders' equity	$	28,632,289		$	27,708,639

(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, 2019 and December 31, 2018, total assets of consolidated VIEs were $12,356,439 and $13,392,951, respectively, and total liabilities of consolidated VIEs were $7,972,942 and $8,652,158, respectively. See Note 8 for further discussion.

See accompanying notes to consolidated financial statements.



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, 2019			September 30, 2018			September 30, 2019			September 30, 2018
Net interest income:
Interest income ⁽¹⁾	$	330,144		$	321,715		$	1,020,448		$	925,282
Interest expense ⁽²⁾	188,551			174,671			589,611			485,189
Net interest income	141,593			147,044			430,837			440,093
Other-than-temporary impairments:
Total other-than-temporary impairment losses	—			(772		)	(801		)	(1,871		)
Portion of loss recognized in other comprehensive income	—			(6,461		)	(4,052		)	(15,651		)
Net other-than-temporary credit impairment losses	—			(7,233		)	(4,853		)	(17,522		)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives	31,620			71,197			(189,865		)	178,511
Realized gains (losses) on terminations of interest rate swaps	(148,114		)	—			(351,372		)	—
Net realized gains (losses) on derivatives	(20,178		)	2,881			(37,151		)	14,573
Net gains (losses) on derivatives	(136,672		)	74,078			(578,388		)	193,084
Net unrealized gains (losses) on financial instruments at fair value	130,825			(34,306		)	522,386			(38,204		)
Net realized gains (losses) on sales of investments	1,596			(6,123		)	2,673			(3,956		)
Gains (losses) on extinguishment of debt	—			9,263			(608		)	19,320
Total other gains (losses)	(4,251		)	42,912			(53,937		)	170,244

Other expenses:
Compensation and benefits	12,191			8,642			38,675			25,741
General and administrative expenses	6,528			5,576			18,569			16,351
Servicing fees	8,881			9,766			27,125			31,044
Transaction expenses	3,415			1,411			4,289			5,168
Total other expenses	31,015			25,395			88,658			78,304
Income (loss) before income taxes	106,327			157,328			283,389			514,511
Income taxes	1			7			156			76
Net income (loss)	$	106,326		$	157,321		$	283,233		$	514,435

Dividends on preferred stock	18,438			9,960			54,267			28,760

Net income (loss) available to common shareholders	$	87,888		$	147,361		$	228,966		$	485,675

Net income (loss) per share available to common shareholders:
Basic	$	0.47		$	0.79		$	1.22		$	2.59
Diluted	$	0.47		$	0.79		$	1.22		$	2.59

Weighted average number of common shares outstanding:
Basic	187,158,167			187,006,777			187,141,377			187,182,932
Diluted	188,440,171			187,584,958			188,331,109			187,705,831

(1) Includes interest income of consolidated VIEs of $192,622 and $223,948 for the quarters ended September 30, 2019 and 2018, respectively, and $600,436 and $688,720 for the nine months ended September 30, 2019 and 2018, respectively. See Note 8 to consolidated financial statements for further discussion.

(2) Includes interest expense of consolidated VIEs of $82,234 and $99,622 for the quarters ended September 30, 2019 and 2018, respectively, and $260,790 and $298,744 for the nine months ended September 30, 2019 and 2018, respectively. See Note 8 to consolidated financial statements for further discussion.

See accompanying notes to consolidated financial statements.



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, 2019		September 30, 2018			September 30, 2019		September 30, 2018
Comprehensive income (loss):
Net income (loss)	$	106,326	$	157,321		$	283,233	$	514,435
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	29,980		(50,728		)	115,198		(181,885		)
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses	—		7,233			4,853		17,522
Reclassification adjustment for net realized losses (gains) included in net income	—		(220		)	22,187		(4,603		)
Other comprehensive income (loss)	29,980		(43,715		)	142,238		(168,966		)
Comprehensive income (loss) before preferred stock dividends	$	136,306	$	113,606		$	425,471	$	345,469
Dividends on preferred stock	$	18,438	$	9,960		$	54,267	$	28,760
Comprehensive income (loss) available to common stock shareholders	$	117,868	$	103,646		$	371,204	$	316,709



CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
(dollars in thousands, except per share data)
(Unaudited)

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 Quarter Ended September 30, 2018

	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, 2018	$	58	$	130	$	—	$	—	$	1,870	$	3,816,631	$	671,651		$	3,324,966	$	(4,165,166	)	$	3,650,140
Net income (loss)	—		—		—		—		—		—		—			157,321		—			157,321
Other comprehensive income (loss)	—		—		—		—		—		—		(43,715		)	—		—			(43,715		)
Stock based compensation	—		—		—		—		—		1,805		—			—		—			1,805
Common dividends declared	—		—		—		—		—		—		—			—		(93,946		)	(93,946		)
Preferred dividends declared	—		—		—		—		—		—		—			—		(9,960		)	(9,960		)
Issuance of preferred stock	—		—		104		—		—		251,432		—			—		—			251,536
Balance, September 30, 2018	$	58	$	130	$	104	$	—	$	1,870	$	4,069,868	$	627,936		$	3,482,287	$	(4,269,072	)	$	3,913,181

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	—		—		—		—		1		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




For the Nine Months Ended September 30, 2018

	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, 2017	$	58	$	130	$	—	$	—	$	1,878		$	3,826,691		$	796,902		$	2,967,852	$	(3,958,534	)	$	3,634,977
Net income (loss)	—		—		—		—		—			—			—			514,435		—			514,435
Other comprehensive income (loss)	—		—		—		—		—			—			(168,966		)	—		—			(168,966		)
Repurchase of common stock	—		—		—		—		(8		)	(14,826		)	—			—		—			(14,834		)
Stock based compensation	—		—		—		—		—			6,571			—			—		—			6,571
Common dividends declared	—		—		—		—		—			—			—			—		(281,778		)	(281,778		)
Preferred dividends declared	—		—		—		—		—			—			—			—		(28,760		)	(28,760		)
Issuance of preferred stock	—		—		104		—		—			251,432			—			—		—			251,536
Balance, September 30, 2018	$	58	$	130	$	104	$	—	$	1,870		$	4,069,868		$	627,936		$	3,482,287	$	(4,269,072	)	$	3,913,181

See accompanying notes to consolidated financial statements.



CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
(Unaudited)
	For the Nine Months Ended
	September 30, 2019			September 30, 2018
Cash Flows From Operating Activities:
Net income	$	283,233		$	514,435
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net	52,112			22,421
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net	(22,207		)	(9,957		)
Amortization of swaption premium	635			1,316
Net unrealized losses (gains) on derivatives	189,865			(178,511		)
Margin (paid) received on derivatives	(106,128		)	27,653
Net unrealized losses (gains) on financial instruments at fair value	(522,386		)	38,204
Net realized losses (gains) on sales of investments	(2,673		)	3,956
Net other-than-temporary credit impairment losses	4,853			17,522
(Gain) loss on extinguishment of debt	608			(19,320		)
Equity-based compensation expense	9,341			6,571
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net	(2,160		)	(14,009		)
Decrease (increase) in other assets	(15,600		)	24,568
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities	14,912			6,468
Increase (decrease) in accrued interest payable, net	(29,172		)	48,426
Net cash provided by (used in) operating activities	$	(144,767	)	$	489,743
Cash Flows From Investing Activities:
Agency MBS portfolio:
Purchases	$	(2,598,807	)	$	(5,319,958	)
Sales	1,919,230			16,184
Principal payments	1,273,006			346,476
Non-Agency RMBS portfolio:
Purchases	(301,481		)	(73,149		)
Sales	38,603			19,928
Principal payments	304,487			440,722
Loans held for investment:
Purchases	(3,001,701		)	(1,339,514		)
Sales	1,337,419			754,806
Principal payments	1,240,505			1,430,802
Net cash provided by (used in) investing activities	$	211,261		$	(3,723,703	)
Cash Flows From Financing Activities:
Proceeds from repurchase agreements	$	93,523,542		$	49,599,400
Payments on repurchase agreements	(92,552,568		)	(45,705,850		)
Net proceeds from preferred stock offerings	193,368			251,536
Payments on repurchase of common stock	—			(14,834		)
Proceeds from securitized debt borrowings, collateralized by loans held for investment	374,600			1,434,765
Payments on securitized debt borrowings, collateralized by loans held for investment	(1,138,025		)	(1,927,854		)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	(19,059		)	(36,633		)
Common dividends paid	(280,677		)	(280,893		)
Preferred dividends paid	(54,267		)	(28,200		)



Net cash provided by (used in) financing activities	$	46,914	$	3,291,437
Net increase (decrease) in cash and cash equivalents	113,408		57,477
Cash and cash equivalents at beginning of period	47,486		63,569
Cash and cash equivalents at end of period	$	160,894	$	121,046

Supplemental disclosure of cash flow information:
Interest received	$	1,070,399	$	933,693
Interest paid	$	640,990	$	446,806
Non-cash investing activities:
Payable for investments purchased	$	1,484,572	$	903,424
Net change in unrealized gain (loss) on available-for sale securities	$	142,238	$	(168,966	)
Retained beneficial interests	$	124,150	$	39,844
Non-cash financing activities:
Dividends declared, not yet paid	$	98,006	$	96,809

See accompanying notes to consolidated financial statements.



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 ten 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, and NYH Funding LLC, a TRS formed in May 2019.

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 management, all normal and recurring adjustments considered necessary for a fair presentation of the Company's financial position, results of operations and cash flows have been included. 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.

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 direct servicer activity 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 from each securitization vehicle’s respective asset pool.

The assets of securitization entities are comprised of residential mortgage backed securities (or RMBS), or residential mortgage loans. See Notes 3, 4 and 8 for further discussion of the characteristics of the securities and loans in the Company’s portfolio.

(b) Statements of Financial Condition Presentation

The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles.

The preparation of financial statements in conformity with GAAP requires management 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. Management has made significant estimates including in accounting for income recognition and OTTI on Agency, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans, 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), derivative instruments (Notes 5 and 9) and compensation expense estimates (Note 12). 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, 2018, other than the significant accounting policies disclosed below.

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, 2019 or December 31, 2018.

Fair Value Disclosure

The Company has elected to account for certain Non-Agency RMBS investments acquired on or after January 1, 2019 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40.

The Company carries the majority of its financial instruments at fair value. The Company has elected fair value option on certain Non-Agency RMBS, Agency MBS, Loans held for investments and Securitized debt, collateralized by loans held for investment. The Company believes the fair value option election will provide its financial statements user with reduced complexity, greater consistency, understandability and comparability.

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)

In June 2016, the FASB issued ASU No. 2016-13, Measurement of Credit Losses on Financial Instruments. This update replaces the current model for recognizing credit losses from an incurred credit loss model to a current expected credit loss

(CECL) model for instruments measured at amortized cost and requires entities to record allowances for available-for-sale (AFS) debt securities for all expected (rather than incurred) credit losses of the asset rather than reduce the carrying amount, as the Company does under the current OTTI model. This update also revises the accounting model for purchased credit-impaired debt securities. The changes in the allowances created in accordance with this update will be recorded in earnings.

The update does not have any impact on financial instruments which are 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 will have no impact on the carrying value or revenue recognition of Loans held for investment.

The update supersedes subtopic 310-30, Receivables - Loans and Debt Securities Acquired with Deteriorated Credit Quality. Upon the effective date of the update, all investments previously classified as AFS and accounted for under subtopic 310-30 will be accounted for under subtopic 326-30 Financial Instruments - Credit Losses; Available-for-Sale Debt Securities and subtopic 325-40, Investments -Other-Beneficial Interests in Securitized Financial Assets.

Under subtopic 310-30, when there is a significant increase in cash flows previously expected to be collected, the Company will increase the yield. When there is a significant decline in cash flows previously expected to be collected, and the fair value of the debt security has declined below its amortized cost basis, an OTTI is considered to have occurred and the amortized cost basis of the investment is reduced. The yield is not lowered under subtopic 310-30 as a result of declines in cash flows previously expected to be collected.

Subtopic 325-40 differs from subtopic 310-30 in that the increase in cash flows previously expected to be collected does not have to be considered significant to potentially result in an increase in the yield. In addition, a significant decline in cash flows previously expected to be collected will result in either an increase in the credit allowance (if the decline is due to an increase in expected losses), or a reduction in the yield (if decline is a result of prepayments or other factors).

With this change for AFS securities accounted for under subtopics 310-30 to subtopics 326-30 and 325-40 upon the effective date of the update, we expect a reduction in the yields on certain AFS investments previously accounted for under subtopic 310-30 for which there have been significant declines in cash flows expected to be collected but the fair values are in excess of the amortized cost basis of the investments at the transition date. The Company continues to analyze the impacts of adoption of the update. For further discussion of accounting for AFS investments under subtopic 310-30 and subtopic 325-40, see footnote 2, Summary of the Significant Accounting Policies, of the Company’s Form 10-K for the year ended December 31, 2018.

The update also expands the disclosure requirements regarding the Company's assumptions, models, and methods for estimating the expected credit losses. In addition, the Company will disclose the amortized cost balance for each class of financial asset by credit quality indicator, disaggregated by the year of origination. The guidance in the ASU is effective for the Company as of January 1, 2020. The standard requires entities to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the first reporting period in which the guidance is effective. The Company 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, senior IO, subordinated, or subordinated IO. The Company also invests in Agency residential, commercial and IO MBS. Senior interests in Non-Agency RMBS are considered to be entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. The tables below present amortized cost, fair value and unrealized gain/losses of Company's MBS investments as of September 30, 2019 and December 31, 2018.



			September 30, 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	$	2,105,577	$	1,336	$	(994,843	)	$	1,112,070	$	1,752,045	$	640,293	$	(318	)	$	639,975
Senior, interest-only	7,795,886		309,533		—			309,533		296,916		47,593		(60,210		)	(12,617		)
Subordinated	808,647		10,609		(310,055		)	509,201		589,955		81,147		(393		)	80,754
Subordinated, interest-only	195,807		9,050		—			9,050		10,918		2,089		(221		)	1,868
Agency MBS
Residential	7,790,386		180,508		—			7,970,894		8,137,984		170,596		(3,506		)	167,090
Commercial	3,031,643		62,600		(5,029		)	3,089,214		3,298,306		209,372		(280		)	209,092
Interest-only	3,206,236		182,652		—			182,652		179,033		2,212		(5,831		)	(3,619		)
Total	$	24,934,182	$	756,288	$	(1,309,927	)	$	13,182,614	$	14,265,157	$	1,153,302	$	(70,759	)	$	1,082,543



			December 31, 2018
			(dollars in thousands)
	Principal or Notional Value		Total Premium		Total Discount			Amortized Cost		Fair Value		Gross Unrealized Gains		Gross Unrealized Losses			Net Unrealized Gain/(Loss)
Non-Agency RMBS
Senior	$	2,386,049	$	537	$	(1,112,368	)	$	1,274,218	$	1,943,124	$	669,356	$	(450	)	$	668,906
Senior, interest-only	5,667,198		286,942		—			286,942		254,890		31,123		(63,175		)	(32,052		)
Subordinated	394,037		8,642		(179,669		)	223,010		276,467		53,702		(245		)	53,457
Subordinated, interest-only	221,549		9,932		—			9,932		11,649		2,000		(283		)	1,717
Agency MBS
Residential	8,984,249		221,606		—			9,205,855		9,174,382		51,986		(83,459		)	(31,473		)
Commercial	2,895,679		61,727		(4,469		)	2,952,937		2,881,222		6,303		(78,018		)	(71,715		)
Interest-only	3,028,572		136,026		—			136,026		133,346		1,986		(4,666		)	(2,680		)
Total	$	23,577,333	$	725,412	$	(1,296,506	)	$	14,088,920	$	14,675,080	$	816,456	$	(230,296	)	$	586,160

The table below presents changes in accretable yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.



	For the Quarters Ended						For the Nine Months Ended
	September 30, 2019			September 30, 2018			September 30, 2019			September 30, 2018
	(dollars in thousands)						(dollars in thousands)
Balance at beginning of period	$	1,181,373		$	1,266,640		$	1,248,309		$	1,303,590
Purchases	—			4,444			—			10,178
Yield income earned	(53,636		)	(57,078		)	(165,228		)	(174,595		)
Reclassification (to) from non-accretable difference	(8,921		)	32,022			36,241			113,517
Sales and deconsolidation	(11,010		)	(1,733		)	(11,516		)	(8,395		)
Balance at end of period	$	1,107,806		$	1,244,295		$	1,107,806		$	1,244,295

The table below presents the outstanding principal balance and related amortized cost at September 30, 2019 and December 31, 2018 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to ASC 310-30 guidance.



	For the Nine Months Ended		For the Year Ended
	September 30, 2019		December 31, 2018
	(dollars in thousands)
Outstanding principal balance:
Beginning of period	$	2,325,154	$	2,673,350
End of period	$	2,070,603	$	2,325,154
Amortized cost:
Beginning of period	$	1,158,291	$	1,381,839
End of period	$	1,020,791	$	1,158,291

The following tables present the gross unrealized losses and estimated fair value of the Company’s RMBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2019 and December 31, 2018. All available for sale securities in an unrealized loss position have been evaluated by the Company for OTTI.



						September 30, 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	$	—	$	—		—	$	31,980	$	(318	)	1	$	31,980	$	(318	)	1
Senior, interest-only	65,646		(22,863		)	43	65,254		(37,347		)	68	130,900		(60,210		)	111
Subordinated	19,229		(198		)	5	1,828		(195		)	11	21,057		(393		)	16
Subordinated, interest-only	2,499		(221		)	3	—		—			—	2,499		(221		)	3
Agency MBS
Residential	367		(3		)	1	582,810		(3,503		)	18	583,177		(3,506		)	19
Commercial	—		—			—	45,391		(280		)	4	45,391		(280		)	4
Interest-only	102,161		(3,433		)	18	10,738		(2,398		)	7	112,899		(5,831		)	25
Total	$	189,902	$	(26,718	)	70	$	738,001	$	(44,041	)	109	$	927,903	$	(70,759	)	179



						December 31, 2018
						(dollars in thousands)
	Unrealized Loss Position for Less than 12 Months						Unrealized Loss Position for 12 Months or More						Total
	Estimated Fair Value		Unrealized Losses			Number of Positions	Estimated Fair Value		Unrealized Losses			Number of Positions	Estimated Fair Value		Unrealized Losses			Number of Positions
Non-Agency RMBS
Senior	$	—	$	—		—	$	33,303	$	(450	)	1	$	33,303	$	(450	)	1
Senior, interest-only	34,236		(4,276		)	29	95,108		(58,899		)	91	129,344		(63,175		)	120
Subordinated	13,404		(245		)	7	—		—			8	13,404		(245		)	15
Subordinated, interest-only	2,104		(158		)	2	303		(125		)	1	2,407		(283		)	3
Agency MBS
Residential	779,322		(6,220		)	17	1,809,566		(77,239		)	114	2,588,888		(83,459		)	131
Commercial	1,697,555		(56,382		)	548	504,570		(21,636		)	183	2,202,125		(78,018		)	731
Interest-only	5,769		(48		)	2	41,659		(4,618		)	17	47,428		(4,666		)	19
Total	$	2,532,390	$	(67,329	)	605	$	2,484,509	$	(162,967	)	415	$	5,016,899	$	(230,296	)	1,020

At September 30, 2019, the Company did not intend to sell any of its RMBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these RMBS 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, 2019.

Gross unrealized losses on the Company’s Agency residential and commercial MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) were $1 million and $95 million as of September 30, 2019 and December 31, 2018, 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, 2019 and December 31, 2018, unrealized losses on its Agency MBS were temporary.

Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings) were $379 thousand and $601 thousand at September 30, 2019 and December 31, 2018, respectively. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of OTTI 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 other-than-temporary 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 OTTI included in earnings for the quarters and nine months ended September 30, 2019 and 2018 are presented below.



	For the Quarters Ended					For the Nine Months Ended
	September 30, 2019		September 30, 2018			September 30, 2019			September 30, 2018
	(dollars in thousands)					(dollars in thousands)
Total other-than-temporary impairment losses	$	—	$	(772	)	$	(801	)	$	(1,871	)
Portion of loss recognized in other comprehensive income (loss)	—		(6,461		)	(4,052		)	(15,651		)
Net other-than-temporary credit impairment losses	$	—	$	(7,233	)	$	(4,853	)	$	(17,522	)

The following table presents a roll forward of the credit loss component of OTTI on the Company’s Non-Agency RMBS for which a portion of loss was recognized in OCI. The table delineates between those securities that are recognizing OTTI for the first time as opposed to those that have previously recognized OTTI.



	For the Quarters Ended						For the Nine Months Ended
	September 30, 2019			September 30, 2018			September 30, 2019			September 30, 2018
	(dollars in thousands)
Cumulative credit loss beginning balance	$	587,778		$	582,661		$	587,199		$	591,521
Additions:
Other-than-temporary impairments not previously recognized	—			4,929			1,479			6,069
Reductions for securities sold or deconsolidated during the period	—			(1,032		)	—			(5,980		)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments	—			2,304			3,375			11,453
Reductions for increases in cash flows expected to be collected over the remaining life of the securities	(266		)	(2,237		)	(4,541		)	(16,438		)
Cumulative credit impairment loss ending balance	$	587,512		$	586,625		$	587,512		$	586,625

Cash flows generated to determine net other-than-temporary credit impairment losses recognized in earnings are estimated using significant unobservable inputs. The significant inputs used to measure the component of OTTI recognized in earnings for the Company’s Non-Agency RMBS for the periods reported are summarized as follows:



	For the Nine Months Ended
	September 30, 2019	September 30, 2018
Loss Severity
Weighted Average	69%	63%
Range	53% - 102%	34% - 132%
60+ days delinquent
Weighted Average	8%	21%
Range	2% - 18%	13% - 30%
Credit Enhancement ⁽¹⁾
Weighted Average	0%	24%
Range	0% - 0%	0% - 55%
3 Month CPR
Weighted Average	8%	12%
Range	3% - 21%	0% - 39%
12 Month CPR
Weighted Average	9%	12%
Range	3% - 12%	1% - 28%

(1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures.

The following tables present a summary of unrealized gains and losses at September 30, 2019 and December 31, 2018.



			September 30, 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	$	640,293	$	—	$	640,293	$	(318	)	$	—		$	(318	)
Senior, interest-only	—		47,593		47,593		—			(60,210		)	(60,210		)
Subordinated	59,702		21,445		81,147		(61		)	(332		)	(393		)
Subordinated, interest-only	—		2,089		2,089		—			(221		)	(221		)
Agency MBS
Residential	7,659		162,937		170,596		(586		)	(2,920		)	(3,506		)
Commercial	62,661		146,711		209,372		(280		)	—			(280		)
Interest-only	—		2,212		2,212		—			(5,831		)	(5,831		)
Total	$	770,315	$	382,987	$	1,153,302	$	(1,245	)	$	(69,514	)	$	(70,759	)



			December 31, 2018
			(dollars in thousands)
	Gross Unrealized Gain Included in Accumulated Other Comprehensive Income		Gross Unrealized Gain Included in Cumulative Earnings		Total Gross Unrealized Gain		Gross Unrealized Loss Included in Accumulated Other Comprehensive Income			Gross Unrealized Loss Included in Cumulative Earnings			Total Gross Unrealized Loss
Non-Agency RMBS
Senior	$	669,356	$	—	$	669,356	$	(450	)	$	—		$	(450	)
Senior, interest-only	—		31,123		31,123		—			(63,175		)	(63,175		)
Subordinated	50,235		3,467		53,702		(151		)	(94		)	(245		)
Subordinated, interest-only	—		2,000		2,000		—			(283		)	(283		)
Agency MBS
Residential	1,708		50,278		51,986		(59,552		)	(23,907		)	(83,459		)
Commercial	811		5,492		6,303		(35,125		)	(42,893		)	(78,018		)
Interest-only	—		1,986		1,986		—			(4,666		)	(4,666		)
Total	$	722,110