Maryland
|
|
26-0630461
|
(State or other jurisdiction of incorporation or organization)
|
|
(IRS Employer Identification No.)
|
Title of Each Class
|
Trading Symbol(s)
|
Name of Each Exchange on Which Registered
|
|
|
|
Common Stock, par value $0.01 per share
|
CIM
|
New York Stock Exchange
|
8.00% Series A Cumulative Redeemable Preferred Stock
|
CIM PRA
|
New York Stock Exchange
|
8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
|
CIM PRB
|
New York Stock Exchange
|
7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
|
CIM PRC
|
New York Stock Exchange
|
8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
|
CIM PRD
|
New York Stock Exchange
|
Class
|
Outstanding at September 30, 2019
|
Common Stock, $0.01 par value
|
187,158,540
|
|
|
|
|
|
|
|
|
|
|
|
|
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)
|
|
|
|
Consolidated Statements of Operations (Unaudited) for the quarters and nine months ended September 30, 2019 and 2018
|
|
|
|
Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and nine months ended September 30, 2019 and 2018
|
|
|
|
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and nine months ended September 30, 2019 and 2018
|
|
|
|
Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2019 and 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
|
|
|
|
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
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
|
|
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
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
|
|
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
|
|
|
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
|
|
|
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
|
|
|
|
|
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
|
|
|
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
|
)
|
|
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
|
|
|
|
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
|