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, par value $0.01 per share
|
CIM PRA
|
New York Stock Exchange
|
8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock, par value $0.01 per share
|
CIM PRB
|
New York Stock Exchange
|
7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock, par value $0.01 per share
|
CIM PRC
|
New York Stock Exchange
|
8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock, par value $0.01 per share
|
CIM PRD
|
New York Stock Exchange
|
Class
|
Outstanding at April 30, 2019
|
Common Stock, $0.01 par value
|
187,145,152
|
|
|
|
|
|
|
|
|
|
|
|
|
Consolidated Statements of Financial Condition as of March 31, 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 three months ended March 31, 2019 and 2018
|
|
|
|
Consolidated Statements of Comprehensive Income (Unaudited) for the three months ended March 31, 2019 and 2018
|
|
|
|
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the three months ended March 31, 2019 and 2018
|
|
|
|
Consolidated Statements of Cash Flows (Unaudited) for the three months ended March 31, 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)
|
||||||
|
March 31, 2019
|
December 31, 2018
|
||||
Cash and cash equivalents
|
$
|
122,850
|
|
$
|
47,486
|
|
Non-Agency RMBS, at fair value
|
2,538,043
|
|
2,486,130
|
|
||
Agency MBS, at fair value
|
12,238,044
|
|
12,188,950
|
|
||
Loans held for investment, at fair value
|
12,400,203
|
|
12,572,581
|
|
||
Receivable for investment sold
|
1,414,478
|
|
—
|
|
||
Accrued interest receivable
|
122,746
|
|
123,442
|
|
||
Other assets
|
500,593
|
|
252,582
|
|
||
Derivatives, at fair value, net
|
946
|
|
37,468
|
|
||
Total assets (1)
|
$
|
29,337,903
|
|
$
|
27,708,639
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($17.2 billion and $15.8 billion pledged as collateral, respectively)
|
$
|
15,323,874
|
|
$
|
14,030,465
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.0 billion pledged as collateral, respectively)
|
153,179
|
|
159,955
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($11.8 billion and $12.3 billion pledged as collateral, respectively)
|
8,124,760
|
|
8,455,376
|
|
||
Payable for investments purchased
|
1,513,657
|
|
1,136,157
|
|
||
Accrued interest payable
|
124,759
|
|
110,402
|
|
||
Dividends payable
|
99,050
|
|
95,986
|
|
||
Accounts payable and other liabilities
|
45,447
|
|
16,469
|
|
||
Total liabilities (1)
|
$
|
25,384,726
|
|
$
|
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, 187,144,009 and 187,052,398 shares issued and outstanding, respectively
|
1,871
|
|
1,871
|
|
||
Additional paid-in-capital
|
4,268,063
|
|
4,072,093
|
|
||
Accumulated other comprehensive income
|
672,988
|
|
626,832
|
|
||
Cumulative earnings
|
3,497,636
|
|
3,379,489
|
|
||
Cumulative distributions to stockholders
|
(4,487,753
|
)
|
(4,376,748
|
)
|
||
Total stockholders' equity
|
$
|
3,953,177
|
|
$
|
3,703,829
|
|
Total liabilities and stockholders' equity
|
$
|
29,337,903
|
|
$
|
27,708,639
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
For the Quarters Ended
|
|||||
|
March 31, 2019
|
March 31, 2018
|
||||
Net interest income:
|
|
|
||||
Interest income (1)
|
$
|
350,389
|
|
$
|
297,132
|
|
Interest expense (2)
|
202,950
|
|
149,251
|
|
||
Net interest income
|
147,439
|
|
147,881
|
|
||
Other-than-temporary impairments:
|
|
|
|
|
||
Total other-than-temporary impairment losses
|
(801
|
)
|
(294
|
)
|
||
Portion of loss recognized in other comprehensive income
|
(4,052
|
)
|
(864
|
)
|
||
Net other-than-temporary credit impairment losses
|
(4,853
|
)
|
(1,158
|
)
|
||
Other investment gains (losses):
|
|
|
|
|
||
Net unrealized gains (losses) on derivatives
|
(89,315
|
)
|
81,419
|
|
||
Realized gains (losses) on terminations of interest rate swaps
|
(108,046
|
)
|
—
|
|
||
Net realized gains (losses) on derivatives
|
(7,277
|
)
|
13,085
|
|
||
Net gains (losses) on derivatives
|
(204,638
|
)
|
94,504
|
|
||
Net unrealized gains (losses) on financial instruments at fair value
|
200,812
|
|
14,466
|
|
||
Net realized gains (losses) on sales of investments
|
8,603
|
|
—
|
|
||
Gains (losses) on extinguishment of debt
|
—
|
|
9,670
|
|
||
Total other gains (losses)
|
4,777
|
|
118,640
|
|
||
|
|
|
|
|
||
Other expenses:
|
|
|
|
|
||
Compensation and benefits
|
14,370
|
|
8,411
|
|
||
General and administrative expenses
|
5,883
|
|
5,489
|
|
||
Servicing fees
|
8,963
|
|
11,334
|
|
||
Deal expenses
|
—
|
|
1,088
|
|
||
Total other expenses
|
29,216
|
|
26,322
|
|
||
Income (loss) before income taxes
|
118,147
|
|
239,041
|
|
||
Income taxes
|
—
|
|
34
|
|
||
Net income (loss)
|
$
|
118,147
|
|
$
|
239,007
|
|
|
|
|
|
|
||
Dividends on preferred stock
|
17,392
|
|
9,400
|
|
||
|
|
|
|
|
||
Net income (loss) available to common shareholders
|
$
|
100,755
|
|
$
|
229,607
|
|
|
|
|
|
|
||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
||
Basic
|
$
|
0.54
|
|
$
|
1.22
|
|
Diluted
|
$
|
0.54
|
|
$
|
1.22
|
|
|
|
|
|
|
||
Weighted average number of common shares outstanding:
|
|
|
|
|
||
Basic
|
187,112,454
|
|
187,553,281
|
|
||
Diluted
|
188,199,711
|
|
188,176,753
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
|
|
||||
|
For the Quarters Ended
|
|||||
|
March 31, 2019
|
March 31, 2018
|
||||
Comprehensive income (loss):
|
|
|
||||
Net income (loss)
|
$
|
118,147
|
|
$
|
239,007
|
|
Other comprehensive income:
|
|
|
||||
Unrealized gains (losses) on available-for-sale securities, net
|
26,385
|
|
(88,816
|
)
|
||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
4,853
|
|
1,158
|
|
||
Reclassification adjustment for net realized losses (gains) included in net income
|
14,918
|
|
—
|
|
||
Other comprehensive income (loss)
|
46,156
|
|
(87,658
|
)
|
||
Comprehensive income (loss) before preferred stock dividends
|
$
|
164,303
|
|
$
|
151,349
|
|
Dividends on preferred stock
|
$
|
17,392
|
|
$
|
9,400
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
146,911
|
|
$
|
141,949
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||||||||||||||||||||
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
|
||||||||||||||||||||||||||||||
(dollars in thousands, except per share data)
|
||||||||||||||||||||||||||||||
(Unaudited)
|
||||||||||||||||||||||||||||||
|
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)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
239,007
|
|
—
|
|
239,007
|
|
||||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(87,658
|
)
|
—
|
|
—
|
|
(87,658
|
)
|
||||||||||
Repurchase of common stock
|
—
|
|
—
|
|
—
|
|
—
|
|
(8
|
)
|
(14,826
|
)
|
—
|
|
—
|
|
—
|
|
(14,834
|
)
|
||||||||||
Stock based compensation
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2,526
|
|
—
|
|
—
|
|
—
|
|
2,526
|
|
||||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(93,875
|
)
|
(93,875
|
)
|
||||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(9,400
|
)
|
(9,400
|
)
|
||||||||||
Balance, March 31, 2018
|
$
|
58
|
|
$
|
130
|
|
$
|
—
|
|
$
|
—
|
|
$
|
1,870
|
|
$
|
3,814,391
|
|
$
|
709,244
|
|
$
|
3,206,859
|
|
$
|
(4,061,809
|
)
|
$
|
3,670,743
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
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)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
118,147
|
|
—
|
|
118,147
|
|
||||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
46,156
|
|
—
|
|
—
|
|
46,156
|
|
||||||||||
Stock based compensation
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2,682
|
|
—
|
|
—
|
|
—
|
|
2,682
|
|
||||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(93,613
|
)
|
(93,613
|
)
|
||||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(17,392
|
)
|
(17,392
|
)
|
||||||||||
Issuance of preferred stock
|
—
|
|
—
|
|
—
|
|
80
|
|
—
|
|
193,288
|
|
—
|
|
—
|
|
—
|
|
193,368
|
|
||||||||||
Balance, March 31, 2019
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
80
|
|
$
|
1,871
|
|
$
|
4,268,063
|
|
$
|
672,988
|
|
$
|
3,497,636
|
|
$
|
(4,487,753
|
)
|
$
|
3,953,177
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS
|
||||||
(dollars in thousands)
|
||||||
(Unaudited)
|
||||||
|
For the Quarters Ended
|
|||||
|
March 31, 2019
|
March 31, 2018
|
||||
Cash Flows From Operating Activities:
|
||||||
Net income
|
$
|
118,147
|
|
$
|
239,007
|
|
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
|
||||||
(Accretion) amortization of investment discounts/premiums, net
|
6,030
|
|
2,521
|
|
||
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net
|
(5,955
|
)
|
(693
|
)
|
||
Amortization of swaption premium
|
160
|
|
727
|
|
||
Net unrealized losses (gains) on derivatives
|
89,315
|
|
(81,419
|
)
|
||
Margin (paid) received on derivatives
|
(98,565
|
)
|
43,891
|
|
||
Net unrealized losses (gains) on financial instruments at fair value
|
(200,812
|
)
|
(14,466
|
)
|
||
Net realized losses (gains) on sales of investments
|
(8,603
|
)
|
—
|
|
||
Net other-than-temporary credit impairment losses
|
4,853
|
|
1,158
|
|
||
(Gain) loss on extinguishment of debt
|
—
|
|
(9,670
|
)
|
||
Equity-based compensation expense
|
2,682
|
|
2,526
|
|
||
Changes in operating assets:
|
|
|
|
|
||
Decrease (increase) in accrued interest receivable, net
|
(662
|
)
|
2,120
|
|
||
Decrease (increase) in other assets
|
1,025
|
|
12,501
|
|
||
Changes in operating liabilities:
|
|
|
|
|
||
Increase (decrease) in accounts payable and other liabilities
|
15,655
|
|
(7,766
|
)
|
||
Increase (decrease) in accrued interest payable, net
|
14,554
|
|
8,041
|
|
||
Net cash provided by (used in) operating activities
|
$
|
(62,176
|
)
|
$
|
198,478
|
|
Cash Flows From Investing Activities:
|
||||||
Agency MBS portfolio:
|
|
|
|
|
||
Purchases
|
$
|
(1,379,467
|
)
|
$
|
(217,579
|
)
|
Sales
|
91,731
|
|
—
|
|
||
Principal payments
|
215,403
|
|
109,645
|
|
||
Non-Agency RMBS portfolio:
|
|
|
|
|
||
Purchases
|
(112,778
|
)
|
—
|
|
||
Sales
|
4,394
|
|
—
|
|
||
Principal payments
|
78,689
|
|
96,988
|
|
||
Loans held for investment:
|
|
|
|
|
||
Purchases
|
(512,044
|
)
|
(369,583
|
)
|
||
Sales
|
358,175
|
|
—
|
|
||
Principal payments
|
375,087
|
|
443,755
|
|
||
Net cash provided by (used in) investing activities
|
$
|
(880,810
|
)
|
$
|
63,226
|
|
Cash Flows From Financing Activities:
|
||||||
Proceeds from repurchase agreements
|
$
|
25,994,053
|
|
$
|
13,951,070
|
|
Payments on repurchase agreements
|
(24,700,865
|
)
|
(13,997,248
|
)
|
||
Net proceeds from preferred stock offerings
|
193,368
|
|
—
|
|
||
Payments on repurchase of common stock
|
—
|
|
(14,834
|
)
|
||
Proceeds from securitized debt borrowings, collateralized by loans held for investment
|
—
|
|
509,066
|
|
||
Payments on securitized debt borrowings, collateralized by loans held for investment
|
(354,361
|
)
|
(558,917
|
)
|
||
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS
|
(5,905
|
)
|
(10,353
|
)
|
||
Common dividends paid
|
(93,526
|
)
|
(93,905
|
)
|
||
Preferred dividends paid
|
(14,414
|
)
|
(9,400
|
)
|
Net cash provided by (used in) financing activities
|
$
|
1,018,350
|
|
$
|
(224,521
|
)
|
Net increase (decrease) in cash and cash equivalents
|
75,364
|
|
37,183
|
|
||
Cash and cash equivalents at beginning of period
|
47,486
|
|
63,569
|
|
||
Cash and cash equivalents at end of period
|
$
|
122,850
|
|
$
|
100,752
|
|
|
|
|
||||
Supplemental disclosure of cash flow information:
|
||||||
Interest received
|
$
|
357,111
|
|
$
|
301,772
|
|
Interest paid
|
$
|
194,549
|
|
$
|
141,903
|
|
Non-cash investing activities:
|
|
|
|
|
||
Receivable for investments sold
|
$
|
1,414,478
|
|
$
|
—
|
|
Payable for investments purchased
|
$
|
1,513,657
|
|
$
|
766,250
|
|
Net change in unrealized gain (loss) on available-for sale securities
|
$
|
46,156
|
|
$
|
(87,658
|
)
|
Retained beneficial interests
|
$
|
40,825
|
|
$
|
—
|
|
|
|
|
|
|
||
Non-cash financing activities:
|
|
|
|
|
||
Dividends declared, not yet paid
|
$
|
99,050
|
|
$
|
95,335
|
|
|
|
March 31, 2019
|
|
|
|
|
||||||||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|
||||||||||||||||||
|
Principal or Notional Value
|
Total Premium
|
Total Discount
|
Amortized Cost
|
Fair Value
|
Gross Unrealized Gains
|
Gross Unrealized Losses
|
Net Unrealized Gain/(Loss)
|
||||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
||||||||||||||||
Senior
|
$
|
2,347,459
|
|
$
|
590
|
|
$
|
(1,076,077
|
)
|
$
|
1,271,972
|
|
$
|
1,922,984
|
|
$
|
651,411
|
|
$
|
(399
|
)
|
$
|
651,012
|
|
Senior, interest-only
|
6,227,847
|
|
289,604
|
|
—
|
|
289,604
|
|
281,757
|
|
42,464
|
|
(50,311
|
)
|
(7,847
|
)
|
||||||||
Subordinated
|
446,450
|
|
8,729
|
|
(187,755
|
)
|
267,424
|
|
321,355
|
|
54,101
|
|
(170
|
)
|
53,931
|
|
||||||||
Subordinated, interest-only
|
229,475
|
|
10,298
|
|
—
|
|
10,298
|
|
11,947
|
|
1,881
|
|
(232
|
)
|
1,649
|
|
||||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
8,686,945
|
|
209,197
|
|
—
|
|
8,896,142
|
|
8,952,414
|
|
94,066
|
|
(37,794
|
)
|
56,272
|
|
||||||||
Commercial
|
3,080,065
|
|
65,013
|
|
(5,185
|
)
|
3,139,893
|
|
3,138,727
|
|
25,839
|
|
(27,005
|
)
|
(1,166
|
)
|
||||||||
Interest-only
|
2,627,192
|
|
145,343
|
|
—
|
|
145,343
|
|
146,903
|
|
4,364
|
|
(2,804
|
)
|
1,560
|
|
||||||||
Total
|
$
|
23,645,433
|
|
$
|
728,774
|
|
$
|
(1,269,017
|
)
|
$
|
14,020,676
|
|
$
|
14,776,087
|
|
$
|
874,126
|
|
$
|
(118,715
|
)
|
$
|
755,411
|
|
|
|
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
|
|||||
|
March 31, 2019
|
March 31, 2018
|
||||
|
(dollars in thousands)
|
|||||
Balance at beginning of period
|
$
|
1,248,309
|
|
$
|
1,303,590
|
|
Purchases
|
—
|
|
—
|
|
||
Yield income earned
|
(55,990
|
)
|
(59,732
|
)
|
||
Reclassification (to) from non-accretable difference
|
6,693
|
|
50,026
|
|
||
Sales and deconsolidation
|
(506
|
)
|
112
|
|
||
Balance at end of period
|
$
|
1,198,506
|
|
$
|
1,293,996
|
|
|
For the Quarter Ended
|
For the Year Ended
|
||||
|
March 31, 2019
|
December 31, 2018
|
||||
|
(dollars in thousands)
|
|||||
Outstanding principal balance:
|
|
|
||||
Beginning of period
|
$
|
2,325,154
|
|
$
|
2,673,350
|
|
End of period
|
$
|
2,252,126
|
|
$
|
2,325,154
|
|
Amortized cost:
|
|
|
|
|
||
Beginning of period
|
$
|
1,158,291
|
|
$
|
1,381,839
|
|
End of period
|
$
|
1,119,307
|
|
$
|
1,158,291
|
|
|
|
|
March 31, 2019
|
|
|
|
|
|
|
|||||||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|
|
|
||||||||||||||||||
|
Unrealized Loss Position for Less than 12 Months
|
|
Unrealized Loss Position for 12 Months or More
|
|
Total
|
|||||||||||||||||||||
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Positions
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Positions
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Positions
|
|||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Senior
|
$
|
—
|
|
$
|
—
|
|
—
|
|
|
$
|
32,777
|
|
$
|
(399
|
)
|
1
|
|
|
$
|
32,777
|
|
$
|
(399
|
)
|
1
|
|
Senior, interest-only
|
31,447
|
|
(2,537
|
)
|
18
|
|
|
103,525
|
|
(47,774
|
)
|
88
|
|
|
134,972
|
|
(50,311
|
)
|
106
|
|
||||||
Subordinated
|
1,097
|
|
(78
|
)
|
1
|
|
|
725
|
|
(92
|
)
|
11
|
|
|
1,822
|
|
(170
|
)
|
12
|
|
||||||
Subordinated, interest-only
|
2,016
|
|
(113
|
)
|
1
|
|
|
284
|
|
(119
|
)
|
1
|
|
|
2,300
|
|
(232
|
)
|
2
|
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential
|
425,019
|
|
(735
|
)
|
2
|
|
|
1,515,009
|
|
(37,059
|
)
|
88
|
|
|
1,940,028
|
|
(37,794
|
)
|
90
|
|
||||||
Commercial
|
652,433
|
|
(9,357
|
)
|
312
|
|
|
857,886
|
|
(17,648
|
)
|
239
|
|
|
1,510,319
|
|
(27,005
|
)
|
551
|
|
||||||
Interest-only
|
10,285
|
|
(100
|
)
|
4
|
|
|
16,948
|
|
(2,704
|
)
|
9
|
|
|
27,233
|
|
(2,804
|
)
|
13
|
|
||||||
Total
|
$
|
1,122,297
|
|
$
|
(12,920
|
)
|
338
|
|
|
$
|
2,527,154
|
|
$
|
(105,795
|
)
|
437
|
|
|
$
|
3,649,451
|
|
$
|
(118,715
|
)
|
775
|
|
|
|
|
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
|
|||||
|
March 31, 2019
|
March 31, 2018
|
||||
|
(dollars in thousands)
|
|||||
Total other-than-temporary impairment losses
|
$
|
(801
|
)
|
$
|
(294
|
)
|
Portion of loss recognized in other comprehensive income (loss)
|
(4,052
|
)
|
(864
|
)
|
||
Net other-than-temporary credit impairment losses
|
$
|
(4,853
|
)
|
$
|
(1,158
|
)
|
|
For the Quarters Ended
|
|||||
|
March 31, 2019
|
March 31, 2018
|
||||
|
(dollars in thousands)
|
|||||
Cumulative credit loss beginning balance
|
$
|
587,199
|
|
$
|
591,521
|
|
Additions:
|
|
|
|
|
||
Other-than-temporary impairments not previously recognized
|
1,479
|
|
1,140
|
|
||
Reductions for securities sold or deconsolidated during the period
|
—
|
|
(173
|
)
|
||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
3,375
|
|
18
|
|
||
Reductions for increases in cash flows expected to be collected over the remaining life of the securities
|
(771
|
)
|
(6,450
|
)
|
||
Cumulative credit impairment loss ending balance
|
$
|
591,282
|
|
$
|
586,056
|
|
|
|
March 31, 2019
|
|
|
|
|||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|||||||||||||
|
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Gain Included in Cumulative Earnings
|
Total Gross Unrealized Gain
|
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Loss Included in Cumulative Earnings
|
Total Gross Unrealized Loss
|
||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
||||||||||||
Senior
|
$
|
651,184
|
|
$
|
227
|
|
$
|
651,411
|
|
$
|
(399
|
)
|
$
|
—
|
|
$
|
(399
|
)
|
Senior, interest-only
|
—
|
|
42,464
|
|
42,464
|
|
—
|
|
(50,311
|
)
|
(50,311
|
)
|
||||||
Subordinated
|
49,318
|
|
4,783
|
|
54,101
|
|
(78
|
)
|
(92
|
)
|
(170
|
)
|
||||||
Subordinated, interest-only
|
—
|
|
1,881
|
|
1,881
|
|
—
|
|
(232
|
)
|
(232
|
)
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
2,868
|
|
91,198
|
|
94,066
|
|
(24,976
|
)
|
(12,818
|
)
|
(37,794
|
)
|
||||||
Commercial
|
8,117
|
|
17,722
|
|
25,839
|
|
(13,046
|
)
|
(13,959
|
)
|
(27,005
|
)
|
||||||
Interest-only
|
—
|
|
4,364
|
|
4,364
|
|
—
|
|
(2,804
|
)
|
(2,804
|
)
|
||||||
Total
|
$
|
711,487
|
|
$
|
162,639
|
|
$
|
874,126
|
|
$
|
(38,499
|
)
|
$
|
(80,216
|
)
|
$
|
(118,715
|
)
|
|
|
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
|
|
$
|
94,346
|
|
$
|
816,456
|
|
$
|
(95,278
|
)
|
$
|
(135,018
|
)
|
$
|
(230,296
|
)
|
|
March 31, 2019
|
||||||||||||
|
Principal or Notional Value
at Period-End (dollars in thousands) |
Weighted Average Amortized
Cost Basis |
Weighted Average Fair Value
|
Weighted Average
Coupon |
Weighted Average Yield at Period-End (1)
|
||||||||
Non-Agency RMBS
|
|
|
|
|
|||||||||
Senior
|
$
|
2,347,459
|
|
$
|
54.19
|
|
$
|
81.92
|
|
5.1
|
%
|
19.2
|
%
|
Senior, interest-only
|
6,227,847
|
|
4.65
|
|
4.52
|
|
1.1
|
%
|
8.1
|
%
|
|||
Subordinated
|
446,450
|
|
59.90
|
|
71.98
|
|
4.1
|
%
|
9.3
|
%
|
|||
Subordinated, interest-only
|
229,475
|
|
4.49
|
|
5.21
|
|
1.1
|
%
|
15.9
|
%
|
|||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||
Residential pass-through
|
8,686,945
|
|
102.41
|
|
103.06
|
|
4.0
|
%
|
3.6
|
%
|
|||
Commercial pass-through
|
3,080,065
|
|
101.94
|
|
101.90
|
|
3.6
|
%
|
3.4
|
%
|
|||
Interest-only
|
2,627,192
|
|
5.53
|
|
5.59
|
|
1.0
|
%
|
5.3
|
%
|
|
December 31, 2018
|
||||||||||||
|
Principal or Notional Value at Period-End
(dollars in thousands) |
Weighted Average Amortized
Cost Basis |
Weighted Average Fair Value
|
Weighted Average
Coupon |
Weighted Average Yield at Period-End (1)
|
||||||||
Non-Agency RMBS
|
|
|
|
|
|||||||||
Senior
|
$
|
2,386,049
|
|
$
|
53.40
|
|
$
|
81.44
|
|
5.0
|
%
|
19.5
|
%
|
Senior, interest-only
|
5,667,198
|
|
5.06
|
|
4.50
|
|
1.2
|
%
|
8.4
|
%
|
|||
Subordinated
|
394,037
|
|
56.60
|
|
70.16
|
|
4.0
|
%
|
9.9
|
%
|
|||
Subordinated, interest-only
|
221,549
|
|
4.48
|
|
5.26
|
|
1.1
|
%
|
16.4
|
%
|
|||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||
Residential pass-through
|
8,984,249
|
|
102.47
|
|
102.12
|
|
4.0
|
%
|
3.6
|
%
|
|||
Commercial pass-through
|
2,895,679
|
|
101.98
|
|
99.50
|
|
3.6
|
%
|
3.4
|
%
|
|||
Interest-only
|
3,028,572
|
|
4.49
|
|
4.40
|
|
0.8
|
%
|
4.3
|
%
|
|
March 31, 2019
|
December 31, 2018
|
|
|
AAA
|
1.0
|
%
|
0.5
|
%
|
AA
|
0.1
|
%
|
0.1
|
%
|
A
|
0.3
|
%
|
0.3
|
%
|
BBB
|
0.8
|
%
|
0.4
|
%
|
BB
|
4.1
|
%
|
3.6
|
%
|
B
|
1.4
|
%
|
1.1
|
%
|
Below B or not rated
|
92.3
|
%
|
94.0
|
%
|
Total
|
100.0
|
%
|
100.0
|
%
|
|
December 31, 2018
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Weighted Average Life
|
||||||||||||||
|
Less than one year
|
Greater than one year and less
than five years
|
Greater than five years and less
than ten years
|
Greater than ten years
|
Total
|
||||||||||
Fair value
|
|
|
|
|
|
||||||||||
Non-Agency RMBS
|
|
|
|
|
|
||||||||||
Senior
|
$
|
7,611
|
|
$
|
357,543
|
|
$
|
946,536
|
|
$
|
631,434
|
|
$
|
1,943,124
|
|
Senior interest-only
|
1,189
|
|
38,407
|
|
96,401
|
|
118,893
|
|
254,890
|
|
|||||
Subordinated
|
—
|
|
39,825
|
|
43,744
|
|
192,898
|
|
276,467
|
|
|||||
Subordinated interest-only
|
—
|
|
303
|
|
9,321
|
|
2,025
|
|
11,649
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
640,713
|
|
8,524,211
|
|
9,458
|
|
9,174,382
|
|
|||||
Commercial
|
—
|
|
15,468
|
|
28,205
|
|
2,837,549
|
|
2,881,222
|
|
|||||
Interest-only
|
65,675
|
|
48,580
|
|
19,091
|
|
—
|
|
133,346
|
|
|||||
Total fair value
|
$
|
74,475
|
|
$
|
1,140,839
|
|
$
|
9,667,509
|
|
$
|
3,792,257
|
|
$
|
14,675,080
|
|
Amortized cost
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
||||||
Senior
|
$
|
7,522
|
|
$
|
277,025
|
|
$
|
585,187
|
|
$
|
404,484
|
|
$
|
1,274,218
|
|
Senior interest-only
|
2,250
|
|
46,944
|
|
111,538
|
|
126,210
|
|
286,942
|
|
|||||
Subordinated
|
—
|
|
29,487
|
|
26,036
|
|
167,487
|
|
223,010
|
|
|||||
Subordinated interest-only
|
—
|
|
428
|
|
7,358
|
|
2,146
|
|
9,932
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
645,368
|
|
8,550,766
|
|
9,721
|
|
9,205,855
|
|
|||||
Commercial
|
—
|
|
15,543
|
|
29,447
|
|
2,907,947
|
|
2,952,937
|
|
|||||
Interest-only
|
64,185
|
|
53,076
|
|
18,765
|
|
—
|
|
136,026
|
|
|||||
Total amortized cost
|
$
|
73,957
|
|
$
|
1,067,871
|
|
$
|
9,329,097
|
|
$
|
3,617,995
|
|
$
|
14,088,920
|
|
|
March 31, 2019
|
December 31, 2018
|
||||||
Weighted average maturity (years)
|
|
22.0
|
|
|
21.3
|
|
||
Weighted average amortized loan to value (1)
|
|
63.3
|
%
|
|
62.9
|
%
|
||
Weighted average FICO (2)
|
|
713
|
|
|
708
|
|
||
Weighted average loan balance (in thousands)
|
|
$
|
304
|
|
|
$
|
308
|
|
Weighted average percentage owner occupied
|
|
85.9
|
%
|
|
85.7
|
%
|
||
Weighted average percentage single family residence
|
|
61.8
|
%
|
|
63.8
|
%
|
||
Weighted average current credit enhancement
|
|