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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
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 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

 
 
 
 
 
 
 
 
 
 
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
 
 
9
 
 
44
 
 
65
 
 
69
 
 
 
 
 
 
 
 
 
 
 
 
 
70
 
 
70
 
 
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
70
 
 
70
 
 
72




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, 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.

2



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.

3




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




4



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

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


5



 
 
 
 
 
 
 
 
 
 
 
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.

6



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
)

7



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.

8



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.


9



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.

(c) Use of Estimates

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

10



(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.

11



 
 
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.

12



 
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

13



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




14



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
)

15



 
 
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