| 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 July 31, 2021 | ||||
| Common Stock, $0.01 par value | 235,955,784 | ||||
|
Part I. FINANCIAL INFORMATION
|
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|
Item 1. Consolidated Financial Statements:
|
|||||
| Consolidated Statements of Financial Condition as of June 30, 2021 (Unaudited) and December 31, 2020 (Derived from the audited consolidated financial statements as of December 31, 2020) | |||||
| Consolidated Statements of Operations (Unaudited) for the quarters and six months ended June 30, 2021 and 2020 | |||||
| Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and six months ended June 30, 2021 and 2020 | |||||
| Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and six months ended June 30, 2021 and 2020 | |||||
| Consolidated Statements of Cash Flows (Unaudited) for the six months ended June 30, 2021 and 2020 | |||||
|
Notes to Consolidated Financial Statements (Unaudited)
|
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|
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
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|
Item 3. Quantitative and Qualitative Disclosures about Market Risk
|
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|
Item 4. Controls and Procedures
|
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|
Part II. OTHER INFORMATION
|
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|
Item 1. Legal Proceedings
|
|||||
|
Item 1A. Risk Factors
|
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| Item 2. Unregistered Sales of Equity Securities and Use of Proceeds | |||||
|
Item 6. Exhibits
|
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|
SIGNATURES
|
|||||
| CHIMERA INVESTMENT CORPORATION | ||||||||
| CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
| (dollars in thousands, except share and per share data) | ||||||||
| (Unaudited) | ||||||||
| June 30, 2021 | December 31, 2020 | |||||||
| Cash and cash equivalents | $ | 346,951 | $ | 269,090 | ||||
|
Non-Agency RMBS, at fair value (net of allowance for credit losses of $508 thousand and $180 thousand, respectively)
|
1,919,668 | 2,150,714 | ||||||
| Agency RMBS, at fair value | 76,820 | 90,738 | ||||||
| Agency CMBS, at fair value | 1,236,507 | 1,740,368 | ||||||
| Loans held for investment, at fair value | 12,150,868 | 13,112,129 | ||||||
| Accrued interest receivable | 75,314 | 81,158 | ||||||
| Other assets | 53,931 | 78,822 | ||||||
|
Total assets (1)
|
$ | 15,860,059 | $ | 17,523,019 | ||||
| Liabilities: | ||||||||
|
Secured financing agreements ($4.8 billion and $6.7 billion pledged as collateral, respectively)
|
$ | 3,554,428 | $ | 4,636,847 | ||||
|
Securitized debt, collateralized by Non-Agency RMBS ($453 million and $505 million pledged as collateral, respectively)
|
99,559 | 113,433 | ||||||
|
Securitized debt at fair value, collateralized by Loans held for investment ($11.5 billion and $12.4 billion pledged as collateral, respectively)
|
8,371,511 | 8,711,677 | ||||||
| Long term debt | 20,550 | 51,623 | ||||||
| Payable for investments purchased | 58,467 | 106,169 | ||||||
| Accrued interest payable | 23,128 | 40,950 | ||||||
| Dividends payable | 87,050 | 77,213 | ||||||
| Accounts payable and other liabilities | 17,935 | 5,721 | ||||||
|
Total liabilities (1)
|
$ | 12,232,628 | $ | 13,743,633 | ||||
| Commitments and Contingencies (See Note 16) | ||||||||
| Stockholders' Equity: | ||||||||
|
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:
|
||||||||
|
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference)
|
$ | 58 | $ | 58 | ||||
|
8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively ($325,000 liquidation preference)
|
130 | 130 | ||||||
|
7.75% Series C cumulative redeemable: 10,400,000 shares issued and outstanding, respectively ($260,000 liquidation preference)
|
104 | 104 | ||||||
|
8.00% Series D cumulative redeemable: 8,000,000 shares issued and outstanding, respectively ($200,000 liquidation preference)
|
80 | 80 | ||||||
|
Common stock: par value $0.01 per share; 500,000,000 shares authorized, 235,557,640 and 230,556,760 shares issued and outstanding, respectively
|
2,356 | 2,306 | ||||||
| Additional paid-in-capital | 4,352,986 | 4,538,029 | ||||||
| Accumulated other comprehensive income | 456,113 | 558,096 | ||||||
| Cumulative earnings | 4,202,806 | 3,881,894 | ||||||
| Cumulative distributions to stockholders | (5,387,202) | (5,201,311) | ||||||
| Total stockholders' equity | $ | 3,627,431 | $ | 3,779,386 | ||||
| Total liabilities and stockholders' equity | $ | 15,860,059 | $ | 17,523,019 | ||||
| CHIMERA INVESTMENT CORPORATION | |||||||||||||||||||||||
| CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||||||||||||||||
| (dollars in thousands, except share and per share data) | |||||||||||||||||||||||
| (Unaudited) | |||||||||||||||||||||||
| For the Quarters Ended | For the Six Months Ended | ||||||||||||||||||||||
| June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | ||||||||||||||||||||
| Net interest income: | |||||||||||||||||||||||
|
Interest income (1)
|
$ | 252,677 | $ | 245,922 | $ | 495,805 | $ | 546,189 | |||||||||||||||
|
Interest expense (2)
|
80,610 | 129,256 | 188,677 | 271,339 | |||||||||||||||||||
| Net interest income | 172,067 | 116,666 | 307,128 | 274,850 | |||||||||||||||||||
| Increase/(decrease) in provision for credit losses | 453 | (4,497) | 327 | 1,817 | |||||||||||||||||||
| Other investment gains (losses): | |||||||||||||||||||||||
| Net unrealized gains (losses) on derivatives | — | — | — | 201,000 | |||||||||||||||||||
| Realized gains (losses) on terminations of interest rate swaps | — | — | — | (463,966) | |||||||||||||||||||
| Net realized gains (losses) on derivatives | — | — | — | (41,086) | |||||||||||||||||||
| Net gains (losses) on derivatives | — | — | — | (304,052) | |||||||||||||||||||
| Net unrealized gains (losses) on financial instruments at fair value | 36,108 | (171,921) | 306,120 | (432,809) | |||||||||||||||||||
| Net realized gains (losses) on sales of investments | 7,517 | 26,380 | 45,313 | 102,234 | |||||||||||||||||||
| Gains (losses) on extinguishment of debt | (21,777) | 459 | (258,914) | 459 | |||||||||||||||||||
| Total other gains (losses) | 21,848 | (145,082) | 92,519 | (634,168) | |||||||||||||||||||
| Other expenses: | |||||||||||||||||||||||
| Compensation and benefits | 9,230 | 10,255 | 22,669 | 23,190 | |||||||||||||||||||
| General and administrative expenses | 6,173 | 5,963 | 11,371 | 11,100 | |||||||||||||||||||
| Servicing and asset manager fees | 9,081 | 10,072 | 18,362 | 20,601 | |||||||||||||||||||
| Transaction expenses | 5,745 | 4,710 | 22,182 | 9,616 | |||||||||||||||||||
| Total other expenses | 30,229 | 31,000 | 74,584 | 64,507 | |||||||||||||||||||
| Income (loss) before income taxes | 163,233 | (54,919) | 324,736 | (425,642) | |||||||||||||||||||
| Income tax expense (benefit) | (88) | 36 | 3,824 | 68 | |||||||||||||||||||
| Net income (loss) | $ | 163,321 | $ | (54,955) | $ | 320,912 | $ | (425,710) | |||||||||||||||
| Dividends on preferred stock | 18,438 | 18,438 | 36,875 | 36,875 | |||||||||||||||||||
| Net income (loss) available to common shareholders | $ | 144,883 | $ | (73,393) | $ | 284,037 | $ | (462,585) | |||||||||||||||
| Net income (loss) per share available to common shareholders: | |||||||||||||||||||||||
| Basic | $ | 0.63 | $ | (0.37) | $ | 1.23 | $ | (2.39) | |||||||||||||||
| Diluted | $ | 0.60 | $ | (0.37) | $ | 1.14 | $ | (2.39) | |||||||||||||||
| Weighted average number of common shares outstanding: | |||||||||||||||||||||||
| Basic | 231,638,042 | 199,282,790 | 231,105,595 | 193,150,696 | |||||||||||||||||||
| Diluted | 241,739,536 | 199,282,790 | 251,723,940 | 193,150,696 | |||||||||||||||||||
| 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 Six Months Ended | ||||||||||||||||
| June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | ||||||||||||||
| Comprehensive income (loss): | |||||||||||||||||
| Net income (loss) | $ | 163,321 | $ | (54,955) | $ | 320,912 | $ | (425,710) | |||||||||
| Other comprehensive income: | |||||||||||||||||
| Unrealized gains (losses) on available-for-sale securities, net | (26,215) | 61,399 | (64,867) | (137,805) | |||||||||||||
| Reclassification adjustment for net realized losses (gains) included in net income | (11,323) | (26,380) | (37,116) | (33,021) | |||||||||||||
| Other comprehensive income (loss) | (37,538) | 35,019 | (101,983) | (170,826) | |||||||||||||
| Comprehensive income (loss) before preferred stock dividends | $ | 125,783 | $ | (19,936) | $ | 218,929 | $ | (596,536) | |||||||||
| Dividends on preferred stock | $ | 18,438 | $ | 18,438 | $ | 36,875 | $ | 36,875 | |||||||||
| Comprehensive income (loss) available to common stock shareholders | $ | 107,345 | $ | (38,374) | $ | 182,054 | $ | (633,411) | |||||||||
| CHIMERA INVESTMENT CORPORATION | ||||||||||||||||||||||||||||||||
| CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY | ||||||||||||||||||||||||||||||||
| (dollars in thousands, except per share data) | ||||||||||||||||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||||||||||
| For the Quarter Ended June 30, 2021 | ||||||||||||||||||||||||||||||||
| 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, March 31, 2021 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 2,306 | $ | 4,320,419 | $ | 493,651 | $ | 4,039,485 | $ | (5,289,735) | $ | 3,566,498 | ||||||||||||
| Net income (loss) | — | — | — | — | — | — | — | 163,321 | — | 163,321 | ||||||||||||||||||||||
| Other comprehensive income (loss) | — | — | — | — | — | — | (37,538) | — | — | (37,538) | ||||||||||||||||||||||
| Settlement of convertible debt | — | — | — | — | 49 | 31,764 | — | — | — | 31,813 | ||||||||||||||||||||||
| Settlement of warrants | — | — | — | — | — | (1,105) | — | — | — | (1,105) | ||||||||||||||||||||||
| Stock based compensation | — | — | — | — | 1 | 1,908 | — | — | — | 1,909 | ||||||||||||||||||||||
| Common dividends declared | — | — | — | — | — | — | — | — | (79,029) | (79,029) | ||||||||||||||||||||||
| Preferred dividends declared | — | — | — | — | — | — | — | — | (18,438) | (18,438) | ||||||||||||||||||||||
| Balance, June 30, 2021 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 2,356 | $ | 4,352,986 | $ | 456,113 | $ | 4,202,806 | $ | (5,387,202) | $ | 3,627,431 | ||||||||||||
| For the Quarter Ended June 30, 2020 | ||||||||||||||||||||||||||||||||
| Series A Preferred Stock Par Value | Series B Preferred Stock Par Value | Series C Preferred Stock Par Value | Series D Preferred Stock Par Value |
Common
Stock Par Value |
Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||
| Balance, March 31, 2020 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 1,860 | $ | 4,255,054 | $ | 502,491 | $ | 3,422,285 | $ | (4,938,208) | $ | 3,243,854 | ||||||||||||
| Net income (loss) | — | — | — | — | — | — | — | (54,955) | — | (54,955) | ||||||||||||||||||||||
| Other comprehensive income (loss) | — | — | — | — | — | — | 35,019 | — | — | 35,019 | ||||||||||||||||||||||
| Settlement of convertible debt | — | — | — | — | 460 | 292,349 | — | — | — | 292,809 | ||||||||||||||||||||||
| Purchase of capped call | — | — | — | — | — | (33,750) | — | — | — | (33,750) | ||||||||||||||||||||||
| Stock based compensation | — | — | — | — | — | 1,390 | — | — | — | 1,390 | ||||||||||||||||||||||
| Common dividends declared | — | — | — | — | — | — | — | — | (70,050) | (70,050) | ||||||||||||||||||||||
| Preferred dividends declared | — | — | — | — | — | — | — | — | (18,438) | (18,438) | ||||||||||||||||||||||
| Balance, June 30, 2020 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 2,320 | $ | 4,515,043 | $ | 537,510 | $ | 3,367,330 | $ | (5,026,696) | $ | 3,395,879 | ||||||||||||
| For the Six Months Ended June 30, 2021 | ||||||||||||||||||||||||||||||||
| 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, 2020 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 2,306 | $ | 4,538,029 | $ | 558,096 | $ | 3,881,894 | $ | (5,201,311) | $ | 3,779,386 | ||||||||||||
| Net income (loss) | — | — | — | — | — | — | — | 320,912 | — | 320,912 | ||||||||||||||||||||||
| Other comprehensive income (loss) | — | — | — | — | — | — | (101,983) | — | — | (101,983) | ||||||||||||||||||||||
| Repurchase of common stock | — | — | — | — | (2) | (1,826) | — | — | — | (1,828) | ||||||||||||||||||||||
| Settlement of warrants | — | — | — | — | — | (220,945) | — | — | — | (220,945) | ||||||||||||||||||||||
| Settlement of convertible debt | — | — | — | — | 49 | 31,764 | — | — | — | 31,813 | ||||||||||||||||||||||
| Stock based compensation | — | — | — | — | 3 | 5,964 | — | — | — | 5,967 | ||||||||||||||||||||||
| Common dividends declared | — | — | — | — | — | — | — | — | (149,016) | (149,016) | ||||||||||||||||||||||
| Preferred dividends declared | — | — | — | — | — | — | — | — | (36,875) | (36,875) | ||||||||||||||||||||||
| Balance, June 30, 2021 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 2,356 | $ | 4,352,986 | $ | 456,113 | $ | 4,202,806 | $ | (5,387,202) | $ | 3,627,431 | ||||||||||||
| For the Six Months Ended June 30, 2020 | ||||||||||||||||||||||||||||||||
| Series A Preferred Stock Par Value | Series B Preferred Stock Par Value | Series C Preferred Stock Par Value | Series D Preferred Stock Par Value |
Common
Stock Par Value |
Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||
| Balance, December 31, 2019 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 1,873 | $ | 4,275,963 | $ | 708,336 | $ | 3,793,040 | $ | (4,826,291) | $ | 3,953,293 | ||||||||||||
| Net income (loss) | — | — | — | — | — | — | — | (425,710) | — | (425,710) | ||||||||||||||||||||||
| Other comprehensive income (loss) | — | — | — | — | — | — | (170,826) | — | — | (170,826) | ||||||||||||||||||||||
| Repurchase of common stock | — | — | — | — | (14) | (22,052) | — | — | — | (22,066) | ||||||||||||||||||||||
| Settlement of convertible debt | — | — | — | — | 460 | 292,349 | — | — | — | 292,809 | ||||||||||||||||||||||
| Purchase of capped call | — | — | — | — | — | (33,750) | — | — | — | (33,750) | ||||||||||||||||||||||
| Stock based compensation | — | — | — | — | 1 | 2,533 | — | — | — | 2,534 | ||||||||||||||||||||||
| Common dividends declared | — | — | — | — | — | — | — | — | (163,530) | (163,530) | ||||||||||||||||||||||
| Preferred dividends declared | — | — | — | — | — | — | — | — | (36,875) | (36,875) | ||||||||||||||||||||||
| Balance, June 30, 2020 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 2,320 | $ | 4,515,043 | $ | 537,510 | $ | 3,367,330 | $ | (5,026,696) | $ | 3,395,879 | ||||||||||||
| CHIMERA INVESTMENT CORPORATION | |||||||||||
| CONSOLIDATED STATEMENTS OF CASH FLOWS | |||||||||||
| (dollars in thousands) | |||||||||||
| (Unaudited) | |||||||||||
| For the Six Months Ended | |||||||||||
| June 30, 2021 | June 30, 2020 | ||||||||||
| Cash Flows From Operating Activities: | |||||||||||
| Net income (loss) | $ | 320,912 | $ | (425,710) | |||||||
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||||||||||
| (Accretion) amortization of investment discounts/premiums, net | 38,546 | 60,974 | |||||||||
| Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net | 11,179 | (35,148) | |||||||||
| Net unrealized losses (gains) on derivatives | — | (201,000) | |||||||||
| Margin (paid) received on derivatives | — | 325,594 | |||||||||
| Net unrealized losses (gains) on financial instruments at fair value | (306,120) | 432,809 | |||||||||
| Net realized losses (gains) on sales of investments | (45,313) | (102,234) | |||||||||
| Net increase (decrease) in provision for credit losses | 327 | 1,817 | |||||||||
| (Gain) loss on extinguishment of debt | 258,914 | (459) | |||||||||
| Equity-based compensation expense | 5,967 | 2,534 | |||||||||
| Changes in operating assets: | |||||||||||
| Decrease (increase) in accrued interest receivable, net | 5,843 | 27,718 | |||||||||
| Decrease (increase) in other assets | (25,599) | (56,146) | |||||||||
| Changes in operating liabilities: | |||||||||||
| Increase (decrease) in accounts payable and other liabilities | 12,656 | 12,123 | |||||||||
| Increase (decrease) in accrued interest payable, net | (17,823) | (24,765) | |||||||||
| Net cash provided by (used in) operating activities | $ | 259,489 | $ | 18,107 | |||||||
| Cash Flows From Investing Activities: | |||||||||||
| Agency MBS portfolio: | |||||||||||
| Purchases | $ | (169,287) | $ | (292,379) | |||||||
| Sales | 201,653 | 6,466,990 | |||||||||
| Principal payments | 368,791 | 596,564 | |||||||||
| Non-Agency RMBS portfolio: | |||||||||||
| Purchases | (9,766) | (19,503) | |||||||||
| Sales | 47,674 | 141,912 | |||||||||
| Principal payments | 170,247 | 124,351 | |||||||||
| Loans held for investment: | |||||||||||
| Purchases | (1,431,377) | (884,708) | |||||||||
| Sales | 1,227,864 | — | |||||||||
| Principal payments | 1,260,128 | 895,764 | |||||||||
| Net cash provided by (used in) investing activities | $ | 1,665,927 | $ | 7,028,991 | |||||||
| Cash Flows From Financing Activities: | |||||||||||
| Proceeds from secured financing agreements | $ | 24,499,818 | $ | 57,804,851 | |||||||
| Payments on secured financing agreements | (25,585,419) | (65,275,151) | |||||||||
| Payments on repurchase of common stock | (1,828) | (22,066) | |||||||||
| Proceeds from securitized debt borrowings, collateralized by Loans held for investment | 4,677,423 | 1,462,500 | |||||||||
| Payments on securitized debt borrowings, collateralized by Loans held for investment | (5,028,491) | (920,083) | |||||||||
| Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (12,060) | (8,445) | |||||||||
| Net proceeds from issuance of convertible debt | — | 361,139 | |||||||||
| Purchase of capped call | — | (33,750) | |||||||||
| Settlement of warrants | (220,945) | — | |||||||||
| Common dividends paid | (139,178) | (186,543) | |||||||||
| Preferred dividends paid | (36,875) | (36,875) | |||||||||
| Net cash provided by (used in) financing activities | $ | (1,847,555) | $ | (6,854,423) | |||||||
| Net increase (decrease) in cash and cash equivalents | 77,861 | 192,675 | |||||||||
| Cash and cash equivalents at beginning of period | 269,090 | 109,878 | |||||||||
| Cash and cash equivalents at end of period | $ | 346,951 | $ | 302,553 | |||||||
| Supplemental disclosure of cash flow information: | |||||||||||
| Interest received | $ | 540,193 | $ | 634,199 | |||||||
| Interest paid | $ | 195,321 | $ | 328,753 | |||||||
| Non-cash investing activities: | |||||||||||
| Payable for investments purchased | $ | 58,467 | $ | 246,770 | |||||||
| Net change in unrealized gain (loss) on available-for sale securities | $ | (101,983) | $ | (170,826) | |||||||
| Non-cash financing activities: | |||||||||||
| Dividends declared, not yet paid | $ | 87,050 | $ | 75,554 | |||||||
| Conversion of convertible debt | $ | 31,813 | $ | 289,331 | |||||||
| June 30, 2021 | |||||||||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||||||||
| Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Allowance for credit losses | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||||||||||||||
| Senior | $ | 1,405,783 | $ | 3,939 | $ | (711,225) | $ | 698,497 | $ | (508) | $ | 1,116,871 | $ | 418,984 | $ | (102) | $ | 418,882 | |||||||||||
| Subordinated | 827,198 | 6,093 | (276,574) | 556,717 | — | 604,208 | 71,724 | (24,233) | 47,491 | ||||||||||||||||||||
| Interest-only | 4,217,507 | 213,510 | — | 213,510 | — | 198,589 | 41,498 | (56,419) | (14,921) | ||||||||||||||||||||
| Agency RMBS | |||||||||||||||||||||||||||||
| Interest-only | 1,164,844 | 110,275 | — | 110,275 | — | 76,820 | 219 | (33,674) | (33,455) | ||||||||||||||||||||
| Agency CMBS | |||||||||||||||||||||||||||||
| Project loans | 974,756 | 18,194 | (829) | 992,121 | — | 1,094,145 | 102,031 | (7) | 102,024 | ||||||||||||||||||||
| Interest-only | 2,412,480 | 137,809 | — | 137,809 | — | 142,362 | 5,090 | (537) | 4,553 | ||||||||||||||||||||
| Total | $ | 11,002,568 | $ | 489,820 | $ | (988,628) | $ | 2,708,929 | $ | (508) | $ | 3,232,995 | $ | 639,546 | $ | (114,972) | $ | 524,574 | |||||||||||
| December 31, 2020 | |||||||||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||||||||
| Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Allowance for credit losses | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||||||||||||||
| Senior | $ | 1,560,135 | $ | 3,934 | $ | (773,804) | $ | 790,265 | $ | (180) | $ | 1,277,800 | $ | 487,963 | $ | (248) | $ | 487,715 | |||||||||||
| Subordinated | 905,674 | 7,059 | (347,056) | 565,677 | — | 610,655 | 83,007 | (38,029) | 44,978 | ||||||||||||||||||||
| Interest-only | 5,628,240 | 249,610 | — | 249,610 | — | 262,259 | 67,868 | (55,219) | 12,649 | ||||||||||||||||||||
| Agency RMBS | |||||||||||||||||||||||||||||
| Interest-only | 1,262,963 | 118,867 | — | 118,867 | — | 90,738 | 270 | (28,399) | (28,129) | ||||||||||||||||||||
| Agency CMBS | |||||||||||||||||||||||||||||
| Project loans | 1,527,621 | 28,559 | (861) | 1,555,319 | — | 1,714,483 | 159,233 | (69) | 159,164 | ||||||||||||||||||||
| Interest-only | 1,326,665 | 23,572 | — | 23,572 | — | 25,885 | 2,659 | (346) | 2,313 | ||||||||||||||||||||
| Total | $ | 12,211,298 | $ | 431,601 | $ | (1,121,721) | $ | 3,303,310 | $ | (180) | $ | 3,981,820 | $ | 801,000 | $ | (122,310) | $ | 678,690 | |||||||||||
| June 30, 2021 | |||||||||||||||||||||||||||||||||||
| (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 | $ | 27,428 | $ | — | 2 | $ | 9,952 | $ | (102) | 1 | $ | 37,380 | $ | (102) | 3 | ||||||||||||||||||||
| Subordinated | 8,201 | (70) | 1 | 42,355 | (24,163) | 12 | 50,556 | (24,233) | 13 | ||||||||||||||||||||||||||
| Interest-only | 33,699 | (9,867) | 32 | 18,334 | (46,552) | 46 | 52,033 | (56,419) | 78 | ||||||||||||||||||||||||||
| Agency RMBS | |||||||||||||||||||||||||||||||||||
| Interest-only | 20,151 | (3,509) | 5 | 54,682 | (30,165) | 18 | 74,833 | (33,674) | 23 | ||||||||||||||||||||||||||
| Agency CMBS | |||||||||||||||||||||||||||||||||||
| Project loans | — | — | — | 8,514 | (7) | 1 | 8,514 | (7) | 1 | ||||||||||||||||||||||||||
| Interest-only | 2,420 | (537) | 4 | — | — | — | 2,420 | (537) | 4 | ||||||||||||||||||||||||||
| Total | $ | 91,899 | $ | (13,983) | 44 | $ | 133,837 | $ | (100,989) | 78 | $ | 225,736 | $ | (114,972) | 122 | ||||||||||||||||||||
| December 31, 2020 | |||||||||||||||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||||||||||||||
| Unrealized Loss Position for Less than 12 Months | Unrealized Loss Position for 12 Months or More | Total | |||||||||||||||||||||||||||||||||
| Estimated Fair Value | Unrealized Losses | Number of Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | |||||||||||||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||||||||||||||||||||
| Senior | $ | 11,985 | $ | (248) | 2 | $ | — | $ | — | — | $ | 11,985 | $ | (248) | 2 | ||||||||||||||||||||
| Subordinated | 253,822 | (8,711) | 5 | 34,697 | (29,318) | 15 | 288,519 | (38,029) | 20 | ||||||||||||||||||||||||||
| Interest-only | 38,604 | (8,682) | 34 | 22,761 | (46,537) | 43 | 61,365 | (55,219) | 77 | ||||||||||||||||||||||||||
| Agency RMBS | |||||||||||||||||||||||||||||||||||
| Interest-only | 31,059 | (4,938) | 6 | 54,153 | (23,461) | 16 | 85,212 | (28,399) | 22 | ||||||||||||||||||||||||||
| Agency CMBS | |||||||||||||||||||||||||||||||||||
| Project loans | — | — | — | 8,581 | (69) | 1 | 8,581 | (69) | 1 | ||||||||||||||||||||||||||
| Interest-only | 4,052 | (346) | 6 | — | — | — | 4,052 | (346) | 6 | ||||||||||||||||||||||||||
| Total | $ | 339,522 | $ | (22,925) | 53 | $ | 120,192 | $ | (99,385) | 75 | $ | 459,714 | $ | (122,310) | 128 | ||||||||||||||||||||
| For the Quarter Ended | For the Six Months Ended | |||||||||||||||||||
| June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | |||||||||||||||||
| (dollars in thousands) | (dollars in thousands) | |||||||||||||||||||
| Beginning allowance for credit losses | $ | 54 | $ | 6,314 | $ | 180 | $ | — | ||||||||||||
| Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 468 | 247 | 468 | 6,561 | ||||||||||||||||
| Allowance on purchased financial assets with credit deterioration | — | — | — | — | ||||||||||||||||
| Reductions for the securities sold during the period | — | (321) | — | (321) | ||||||||||||||||
| Increase/(decrease) on securities with an allowance in the prior period | (14) | (2,703) | (179) | (2,703) | ||||||||||||||||
| Write-offs charged against the allowance | — | (1,748) | (62) | (1,748) | ||||||||||||||||
| Recoveries of amounts previously written off | — | 28 | 101 | 28 | ||||||||||||||||
| Ending allowance for credit losses | $ | 508 | $ | 1,817 | $ | 508 | $ | 1,817 | ||||||||||||
| June 30, 2021 | |||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||
| Prepay Rate | CDR | Loss Severity | |||||||||||||||||||||
| Amortized Cost | Weighted Average | Weighted Average | Weighted Average | ||||||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||||||||
| Senior | 37,989,049 | 9.7% | 3.7% | 56.0% | |||||||||||||||||||
| December 31, 2020 | |||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||
| Prepay Rate | CDR | Loss Severity | |||||||||||||||||||||
| Amortized Cost | Weighted Average | Weighted Average | Weighted Average | ||||||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||||||||
| Senior | 46,500,000 | 9.2% | 3.5% | 58.3% | |||||||||||||||||||
| June 30, 2021 | ||||||||||||||||||||
| (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 | $ | 418,984 | $ | — | $ | 418,984 | $ | (102) | $ | — | $ | (102) | ||||||||
| Subordinated | 34,147 | 37,577 | 71,724 | — | (24,233) | (24,233) | ||||||||||||||
| Interest-only | — | 41,498 | 41,498 | — | (56,419) | (56,419) | ||||||||||||||
| Agency RMBS | ||||||||||||||||||||
| Interest-only | — | 219 | 219 | — | (33,674) | (33,674) | ||||||||||||||
| Agency CMBS | ||||||||||||||||||||
| Project loans | 3,091 | 98,940 | 102,031 | (7) | — | (7) | ||||||||||||||
| Interest-only | — | 5,090 | 5,090 | — | (537) | (537) | ||||||||||||||
| Total | $ | 456,222 | $ | 183,324 | $ | 639,546 | $ | (109) | $ | (114,863) | $ | (114,972) | ||||||||
| December 31, 2020 | ||||||||||||||||||||
| (dollars in thousands) | ||||||||||||||||||||
| Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | |||||||||||||||
| Non-Agency RMBS | ||||||||||||||||||||
| Senior | $ | 487,963 | $ | — | $ | 487,963 | $ | (248) | $ | — | $ | (248) | ||||||||
| Subordinated | 65,043 | 17,964 | 83,007 | — | (38,029) | (38,029) | ||||||||||||||
| Interest-only | — | 67,868 | 67,868 | — | (55,219) | (55,219) | ||||||||||||||
| Agency RMBS | ||||||||||||||||||||
| Interest-only | — | 270 | 270 | — | (28,399) | (28,399) | ||||||||||||||
| Agency CMBS | ||||||||||||||||||||
| Project loans | 5,407 | 153,826 | 159,233 | (69) | — | (69) | ||||||||||||||
| Interest-only | — | 2,659 | 2,659 | — | (346) | (346) | ||||||||||||||
| Total | $ | 558,413 | $ | 242,587 | $ | 801,000 | $ | (317) | $ | (121,993) | $ | (122,310) | ||||||||
| June 30, 2021 | |||||||||||||||||
|
Principal or Notional Value
at Period-End (dollars in thousands) |
Weighted Average Amortized
Cost Basis |
Weighted Average Fair Value |
Weighted Average
Coupon |
Weighted Average Yield at Period-End (1)
|
|||||||||||||
| Non-Agency RMBS | |||||||||||||||||
|
Senior
|
$ | 1,405,783 | $ | 49.69 | 79.45 | 4.4 | % | 17.4 | % | ||||||||
|
Subordinated
|
827,198 | 67.30 | 73.04 | 3.9 | % | 6.5 | % | ||||||||||
|
Interest-only
|
4,217,507 | 5.06 | 4.71 | 1.7 | % | 12.7 | % | ||||||||||
| Agency RMBS | |||||||||||||||||
| Interest-only | 1,164,844 | 9.47 | 6.60 | 1.3 | % | 1.4 | % | ||||||||||
| Agency CMBS | |||||||||||||||||
|
Project loans
|
974,756 | 101.78 | 112.25 | 4.2 | % | 4.1 | % | ||||||||||
|
Interest-only
|
2,412,480 | 5.71 | 5.90 | 0.7 | % | 4.6 | % | ||||||||||
| December 31, 2020 | |||||||||||||||||
|
Principal or Notional Value at Period-End
(dollars in thousands) |
Weighted Average Amortized
Cost Basis |
Weighted Average Fair Value |
Weighted Average
Coupon |
Weighted Average Yield at Period-End (1)
|
|||||||||||||
| Non-Agency RMBS | |||||||||||||||||
|
Senior
|
$ | 1,560,135 | $ | 50.65 | $ | 81.90 | 4.5 | % | 16.9 | % | |||||||
|
Subordinated
|
905,674 | 62.46 | 67.43 | 3.8 | % | 6.3 | % | ||||||||||
|
Interest-only
|
5,628,240 | 4.43 | 4.66 | 1.5 | % | 16.2 | % | ||||||||||
| Agency RMBS | |||||||||||||||||
|
Interest-only
|
1,262,963 | 9.41 | 7.18 | 1.7 | % | 1.6 | % | ||||||||||
| Agency CMBS | |||||||||||||||||
|
Project loans
|
1,527,621 | 101.81 | 112.23 | 4.1 | % | 3.8 | % | ||||||||||
|
Interest-only
|
1,326,665 | 1.78 | 1.95 | 0.6 | % | 8.4 | % | ||||||||||
| June 30, 2021 | December 31, 2020 | |||||||
| AAA | 0.1 | % | 0.2 | % | ||||
| AA | 0.1 | % | 0.1 | % | ||||
| A | 1.6 | % | 1.2 | % | ||||
| BBB | 2.1 | % | 1.9 | % | ||||
| BB | 4.5 | % | 4.3 | % | ||||
| B | 2.1 | % | 2.0 | % | ||||
| Below B | 26.6 | % | 31.9 | % | ||||
| Not Rated | 62.9 | % | 58.4 | % | ||||
| Total | 100.0 | % | 100.0 | % | ||||
| June 30, 2021 | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Weighted Average Life | |||||||||||||||||
| Less than one year |
Greater than one year and less
than five years |
Greater than five years and less
than ten years |
Greater than ten years | Total | |||||||||||||
| Fair value | |||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||
| Senior | $ | 9,083 | $ | 366,593 | $ | 331,708 | $ | 409,487 | $ | 1,116,871 | |||||||
| Subordinated | 6,845 | 140,914 | 26,984 | 429,465 | 604,208 | ||||||||||||
| Interest-only | 4,495 | 160,365 | 33,125 | 604 | 198,589 | ||||||||||||
| Agency RMBS | |||||||||||||||||
| Interest-only | — | — | 76,820 | — | 76,820 | ||||||||||||
| Agency CMBS | |||||||||||||||||
| Project loans | 8,514 | — | — | 1,085,631 | 1,094,145 | ||||||||||||
| Interest-only | 1,805 | 136,990 | 3,567 | — | 142,362 | ||||||||||||
| Total fair value | $ | 30,742 | $ | 804,862 | $ | 472,204 | $ | 1,925,187 | $ | 3,232,995 | |||||||
| Amortized cost | |||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||
| Senior | $ | 7,048 | $ | 256,293 | $ | 184,278 | $ | 250,878 | $ | 698,497 | |||||||
| Subordinated | 2,483 | 122,434 | 19,445 | 412,355 | 556,717 | ||||||||||||
| Interest-only | 30,410 | 155,661 | 27,220 | 219 | 213,510 | ||||||||||||
| Agency RMBS | |||||||||||||||||
| Interest-only | — | — | 110,275 | — | 110,275 | ||||||||||||
| Agency CMBS | |||||||||||||||||
| Project loans | 8,521 | — | — | 983,600 | 992,121 | ||||||||||||
| Interest-only | 2,277 | 132,181 | 3,351 | — | 137,809 | ||||||||||||
| Total amortized cost | $ | 50,739 | $ | 666,569 | $ | 344,569 | $ | 1,647,052 | $ | 2,708,929 | |||||||
| December 31, 2020 | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Weighted Average Life | |||||||||||||||||
| Less than one year |
Greater than one year and less
than five years |
Greater than five years and less
than ten years |
Greater than ten years | Total | |||||||||||||
| Fair value | |||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||
| Senior | $ | 7,850 | $ | 366,218 | $ | 467,336 | $ | 436,396 | $ | 1,277,800 | |||||||
| Subordinated | 5 | 105,272 | 102,805 | 402,573 | 610,655 | ||||||||||||
| Interest-only | 5,780 | 143,631 | 110,468 | 2,380 | 262,259 | ||||||||||||
| Agency RMBS | |||||||||||||||||
| Interest-only | — | 864 | 89,874 | — | 90,738 | ||||||||||||
| Agency CMBS | |||||||||||||||||
| Project loans | 8,581 | — | — | 1,705,902 | 1,714,483 | ||||||||||||
| Interest-only | 620 | 21,500 | 3,765 | — | 25,885 | ||||||||||||
| Total fair value | $ | 22,836 | $ | 637,485 | $ | 774,248 | $ | 2,547,251 | $ | 3,981,820 | |||||||
| Amortized cost | |||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||
| Senior | $ | 4,691 | $ | 256,935 | $ | 257,188 | $ | 271,451 | $ | 790,265 | |||||||
| Subordinated | — | 83,188 | 78,435 | 404,054 | 565,677 | ||||||||||||
| Interest-only | 26,286 | 138,150 | 82,368 | 2,806 | 249,610 | ||||||||||||
| Agency RMBS | |||||||||||||||||
| Interest-only | — | 1,898 | 116,969 | — | 118,867 | ||||||||||||
| Agency CMBS | |||||||||||||||||
| Project loans | 8,650 | — | — | 1,546,669 | 1,555,319 | ||||||||||||
| Interest-only | 788 | 19,273 | 3,511 | — | 23,572 | ||||||||||||
| Total amortized cost | $ | 40,415 | $ | 499,444 | $ | 538,471 | $ | 2,224,980 | $ | 3,303,310 | |||||||
| June 30, 2021 | 30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | ||||||||||||||||
| % of Unpaid Principal Balance | 3.0 | % | 1.3 | % | 6.5 | ||||||||||||||||||