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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

             QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
FOR THE QUARTERLY PERIOD ENDED: September 30, 2021
OR
             TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
FOR THE TRANSITION PERIOD FROM _______________ TO _________________
COMMISSION FILE NUMBER: 1-33796

CHIMERA INVESTMENT CORPORATION
(Exact name of Registrant as specified in its Charter) 
Maryland   26-0630461
(State or other jurisdiction of incorporation or organization)    (IRS Employer Identification No.)
                                                                                                                                             

630 Fifth Ave, Ste 2400
New York, New York
(Address of principal executive offices)
10111
(Zip Code)
(888) 895-6557
(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:
Title of Each Class Trading Symbol(s) Name of Each Exchange on Which Registered
   
Common Stock, par value $0.01 per share CIM New York Stock Exchange
8.00% Series A Cumulative Redeemable Preferred Stock CIM PRA New York Stock Exchange
8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock CIM PRB New York Stock Exchange
7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock CIM PRC New York Stock Exchange
8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock CIM PRD New York Stock Exchange
Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days:
Yes þ No ☐




Indicate by check mark whether the Registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (Section 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes þ No ☐

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definition of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer þ Accelerated filer Non-accelerated filer Smaller reporting company
Emerging growth company

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes No þ

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the last practicable date:
Class Outstanding at October 31, 2021
Common Stock, $0.01 par value 236,884,709





CHIMERA INVESTMENT CORPORATION

FORM 10-Q

TABLE OF CONTENTS
Part I. FINANCIAL INFORMATION
Item 1. Consolidated Financial Statements:
Consolidated Statements of Financial Condition as of September 30, 2021 (Unaudited) and December 31, 2020 (Derived from the audited consolidated financial statements as of December 31, 2020)
2
Consolidated Statements of Operations (Unaudited) for the quarters and nine months ended September 30, 2021 and 2020
3
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) for the quarters and nine months ended September 30, 2021 and 2020
4
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and nine months ended September 30, 2021 and 2020
5
Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2021 and 2020
7
Notes to Consolidated Financial Statements (Unaudited)
9
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
44
Item 3. Quantitative and Qualitative Disclosures about Market Risk
66
Item 4. Controls and Procedures
71
Part II.  OTHER INFORMATION
Item 1. Legal Proceedings
72
Item 1A. Risk Factors
72
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
72
Item 6. Exhibits
73
SIGNATURES
75




1


Part I
Item 1. Consolidated Financial Statements

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
(Unaudited)
September 30, 2021 December 31, 2020
Cash and cash equivalents $ 328,455  $ 269,090 
Non-Agency RMBS, at fair value (net of allowance for credit losses of $122 thousand and $180 thousand, respectively)
1,890,030  2,150,714 
Agency RMBS, at fair value 65,889  90,738 
Agency CMBS, at fair value 1,062,131  1,740,368 
Loans held for investment, at fair value 12,533,864  13,112,129 
Accrued interest receivable 74,011  81,158 
Other assets 49,844  78,822 
Total assets (1)
$ 16,004,224  $ 17,523,019 
Liabilities:    
Secured financing agreements ($5.0 billion and $6.7 billion pledged as collateral, respectively)
$ 3,788,336  $ 4,636,847 
Securitized debt, collateralized by Non-Agency RMBS ($424 million and $505 million pledged as collateral, respectively)
92,204  113,433 
Securitized debt at fair value, collateralized by Loans held for investment ($11.3 billion and $12.4 billion pledged as collateral, respectively)
7,947,644  8,711,677 
Long term debt —  51,623 
Payable for investments purchased 192,552  106,169 
Accrued interest payable 20,388  40,950 
Dividends payable 85,255  77,213 
Accounts payable and other liabilities 29,297  5,721 
Total liabilities (1)
$ 12,155,676  $ 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, 236,883,020 and 230,556,760 shares issued and outstanding, respectively
2,369  2,306 
Additional paid-in-capital 4,357,526  4,538,029 
Accumulated other comprehensive income 438,915  558,096 
Cumulative earnings 4,534,274  3,881,894 
Cumulative distributions to stockholders (5,484,908) (5,201,311)
Total stockholders' equity $ 3,848,548  $ 3,779,386 
Total liabilities and stockholders' equity $ 16,004,224  $ 17,523,019 
(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of September 30, 2021, and December 31, 2020, total assets of consolidated VIEs were $10,865,801 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,400,498 and $8,063,110, respectively. See Note 9 for further discussion.

See accompanying notes to consolidated financial statements.
2










CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS
(dollars in thousands, except share and per share data)
(Unaudited)
  For the Quarters Ended For the Nine Months Ended
September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020
Net interest income:
Interest income (1)
$ 220,579  $ 247,905  $ 716,384  $ 794,094 
Interest expense (2)
71,353  124,557  260,029  395,897 
Net interest income 149,226  123,348  456,355  398,197 
Increase/(decrease) in provision for credit losses (386) (1,650) (58) 167 
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 239,524  260,766  545,643  (172,042)
Net realized gains (losses) on sales of investments —  65,041  45,313  167,275 
Gains (losses) on extinguishment of debt (25,622) (55,794) (284,535) (55,338)
Total other gains (losses) 213,902  270,013  306,421  (364,157)
Other expenses:  
Compensation and benefits 12,694  10,287  35,363  33,476 
General and administrative expenses 5,300  6,236  16,672  17,335 
Servicing and asset manager fees 9,297  9,473  27,659  30,074 
Transaction expenses 3,432  1,624  25,614  11,239 
Total other expenses 30,723  27,620  105,308  92,124 
Income (loss) before income taxes 332,791  367,391  657,526  (58,251)
Income tax expense (benefit) 1,323  62  5,146  130 
Net income (loss) $ 331,468  $ 367,329  $ 652,380  $ (58,381)
Dividends on preferred stock 18,438  18,438  55,313  55,313 
Net income (loss) available to common shareholders $ 313,030  $ 348,891  $ 597,067  $ (113,694)
Net income (loss) per share available to common shareholders:
Basic $ 1.33  $ 1.50  $ 2.57  $ (0.55)
Diluted $ 1.30  $ 1.32  $ 2.42  $ (0.55)
Weighted average number of common shares outstanding:
Basic 235,887,296  232,127,224  232,717,010  206,237,705 
Diluted 240,362,602  265,346,359  247,358,823  206,237,705 

(1) Includes interest income of consolidated VIEs of $138,984 and $171,442 for the quarters ended September 30, 2021 and 2020, respectively, and $446,198 and $515,250 for the nine months ended September 30, 2021 and 2020, respectively. See Note 9 to consolidated financial statements for further discussion.

(2) Includes interest expense of consolidated VIEs of $43,525 and $74,753 for the quarters ended September 30, 2021 and 2020, respectively, and $159,666 and $210,198 for the nine months ended September 30, 2021 and 2020, respectively. See Note 9 to consolidated financial statements for further discussion.

See accompanying notes to consolidated financial statements.








3










CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(Unaudited)
For the Quarters Ended For the Nine Months Ended
September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020
Comprehensive income (loss):  
Net income (loss) $ 331,468  $ 367,329  $ 652,380  $ (58,381)
Other comprehensive income:  
Unrealized gains (losses) on available-for-sale securities, net (17,198) 40,470  (82,065) (97,334)
Reclassification adjustment for net realized losses (gains) included in net income —  (22,999) (37,116) (56,021)
Other comprehensive income (loss) (17,198) 17,471  (119,181) (153,355)
Comprehensive income (loss) before preferred stock dividends $ 314,270  $ 384,800  $ 533,199  $ (211,736)
Dividends on preferred stock $ 18,438  $ 18,438  $ 55,313  $ 55,313 
Comprehensive income (loss) available to common stock shareholders $ 295,832  $ 366,362  $ 477,886  $ (267,049)


See accompanying notes to consolidated financial statements.
4










CHIMERA INVESTMENT CORPORATION   
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
(dollars in thousands, except per share data)
(Unaudited)
For the Quarter Ended September 30, 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, June 30, 2021 $ 58  $ 130  $ 104  $ 80  $ 2,356  $ 4,352,986  $ 456,113  $ 4,202,806  $ (5,387,202) $ 3,627,431 
Net income (loss) —  —  —  —  —  —  —  331,468  —  331,468 
Other comprehensive income (loss) —  —  —  —  —  —  (17,198) —  —  (17,198)
Settlement of convertible debt —  —  —  —  5,518  —  —  —  5,526 
Stock based compensation —  —  —  —  (978) —  —  —  (973)
Common dividends declared —  —  —  —  —  —  —  —  (79,268) (79,268)
Preferred dividends declared —  —  —  —  —  —  —  —  (18,438) (18,438)
Balance, September 30, 2021 $ 58  $ 130  $ 104  $ 80  $ 2,369  $ 4,357,526  $ 438,915  $ 4,534,274  $ (5,484,908) $ 3,848,548 
For the Quarter Ended September 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, June 30, 2020 $ 58  $ 130  $ 104  $ 80  $ 2,320  $ 4,515,043  $ 537,510  $ 3,367,330  $ (5,026,696) $ 3,395,879 
Net income (loss) —  —  —  —  —  —  —  367,329  —  367,329 
Other comprehensive income (loss) —  —  —  —  —  —  17,471  —  —  17,471 
Settlement of convertible debt —  —  —  —  1,198  —  —  —  1,200 
Stock based compensation —  —  —  —  —  1,578  —  —  —  1,578 
Common dividends declared —  —  —  —  —  —  —  —  (68,477) (68,477)
Preferred dividends declared —  —  —  —  —  —  —  —  (18,438) (18,438)
Balance, September 30, 2020 $ 58  $ 130  $ 104  $ 80  $ 2,322  $ 4,517,819  $ 554,981  $ 3,734,659  $ (5,113,611) $ 3,696,542 
For the Nine Months Ended September 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) —  —  —  —  —  —  —  652,380  —  652,380 
Other comprehensive income (loss) —  —  —  —  —  —  (119,181) —  —  (119,181)
Repurchase of common stock —  —  —  —  (2) (1,826) —  —  —  (1,828)
Settlement of warrants —  —  —  —  —  (220,945) —  —  —  (220,945)
Settlement of convertible debt —  —  —  —  58  37,282  —  —  —  37,340 
Stock based compensation —  —  —  —  4,986  —  —  —  4,993 
Common dividends declared —  —  —  —  —  —  —  —  (228,284) (228,284)
Preferred dividends declared —  —  —  —  —  —  —  —  (55,313) (55,313)
Balance, September 30, 2021 $ 58  $ 130  $ 104  $ 80  $ 2,369  $ 4,357,526  $ 438,915  $ 4,534,274  $ (5,484,908) $ 3,848,548 
5










For the Nine Months Ended September 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) —  —  —  —  —  —  —  (58,381) —  (58,381)
Other comprehensive income (loss) —  —  —  —  —  —  (153,355) —  —  (153,355)
Repurchase of common stock —  —  —  —  (15) (22,051) —  —  —  (22,066)
Settlement of convertible debt —  —  —  —  463  293,546  —  —  —  294,009 
Purchase of capped call —  —  —  —  —  (33,750) —  —  —  (33,750)
Stock based compensation —  —  —  —  4,111  —  —  —  4,112 
Common dividends declared —  —  —  —  —  —  —  —  (232,007) (232,007)
Preferred dividends declared —  —  —  —  —  —  —  —  (55,313) (55,313)
Balance, September 30, 2020 $ 58  $ 130  $ 104  $ 80  $ 2,322  $ 4,517,819  $ 554,981  $ 3,734,659  $ (5,113,611) $ 3,696,542 

See accompanying notes to consolidated financial statements.
6










CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
(Unaudited)
  For the Nine Months Ended
  September 30, 2021 September 30, 2020
Cash Flows From Operating Activities:
Net income (loss) $ 652,380  $ (58,381)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net 61,158  93,365 
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net 9,268  (41,102)
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 (545,643) 172,042 
Net realized losses (gains) on sales of investments (45,313) (167,275)
Net increase (decrease) in provision for credit losses (58) 167 
(Gain) loss on extinguishment of debt 284,535  55,338 
Equity-based compensation expense 4,993  4,112 
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net 7,145  30,381 
Decrease (increase) in other assets (22,439) (22,507)
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities 24,626  17,736 
Increase (decrease) in accrued interest payable, net (20,564) (27,842)
Net cash provided by (used in) operating activities $ 410,088  $ 180,628 
Cash Flows From Investing Activities:
Agency MBS portfolio:    
Purchases $ (182,350) $ (385,014)
Sales 201,653  7,201,313 
Principal payments 509,693  705,272 
Non-Agency RMBS portfolio:  
Purchases (9,766) (22,859)
Sales 47,674  142,534 
Principal payments 239,348  191,294 
Loans held for investment:  
Purchases (2,601,071) (1,783,147)
Sales 1,653,260  703,342 
Principal payments 1,982,400  1,384,331 
Net cash provided by (used in) investing activities $ 1,840,841  $ 8,137,066 
Cash Flows From Financing Activities:
Proceeds from secured financing agreements $ 36,235,601  $ 74,264,849 
Payments on secured financing agreements (37,087,294) (83,030,677)
Payments on repurchase of common stock (1,828) (22,066)
Proceeds from securitized debt borrowings, collateralized by Loans held for investment 5,060,056  2,061,895 
Payments on securitized debt borrowings, collateralized by Loans held for investment (5,846,212) (1,379,866)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS (18,495) (13,852)
Payments on convertible debt purchases (36,892) — 
Net proceeds from issuance of convertible debt —  361,139 
Purchase of capped call —  (33,750)
Settlement of warrants (220,945) — 
7










Common dividends paid (220,242) (254,214)
Preferred dividends paid (55,313) (55,313)
Net cash provided by (used in) financing activities $ (2,191,564) $ (8,101,855)
Net increase (decrease) in cash and cash equivalents 59,365  215,839 
Cash and cash equivalents at beginning of period 269,090  109,878 
Cash and cash equivalents at end of period $ 328,455  $ 325,717 
Supplemental disclosure of cash flow information:
Interest received $ 784,688  $ 917,156 
Interest paid $ 271,325  $ 464,147 
Non-cash investing activities:  
Payable for investments purchased $ 192,552  $ 614,583 
Net change in unrealized gain (loss) on available-for sale securities $ (119,181) $ (153,355)
Retained beneficial interests $ 24,891  $ 21,943 
Non-cash financing activities:  
   Dividends declared, not yet paid $ 85,255  $ 76,362 
Conversion of convertible debt $ 37,340  $ 290,531 


See accompanying notes to consolidated financial statements.
8










CHIMERA INVESTMENT CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
1. Organization

Chimera Investment Corporation, or the Company, was organized in Maryland on June 1, 2007. The Company commenced operations on November 21, 2007 when it completed its initial public offering. The Company elected to be taxed as a real estate investment trust, or REIT, under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder, or the Code.

The Company is an internally managed REIT that is primarily engaged, through its subsidiaries, in the business of investing in a diversified portfolio of mortgage assets, including residential mortgage loans, Agency RMBS, Non-Agency RMBS, Agency CMBS, and other real estate-related assets. The following defines certain of the commonly used terms in this Quarterly Report on Form 10-Q: Agency refers to a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae; MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans; Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency; Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively; Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency. IO refers to Interest-only securities.

The Company conducts its operations through various subsidiaries including subsidiaries it treats as taxable REIT subsidiaries, or TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business. The Company currently has thirteen wholly-owned direct subsidiaries: Chimera RMBS Whole Pool LLC and Chimera RMBS LLC formed in June 2009; CIM Trading Company LLC, or CIM Trading, formed in July 2010; Chimera Funding TRS LLC, or CIM Funding TRS, a TRS formed in October 2013; Chimera CMBS Whole Pool LLC and Chimera RMBS Securities LLC formed in March 2015; Chimera Insurance Company, LLC formed in July 2015; Chimera RR Holding LLC formed in April 2016; Anacostia LLC, a TRS formed in June 2018; NYH Funding LLC, a TRS formed in May 2019; Kali 2020 Holdings LLC formed in May 2020; Varuna Capital Partners LLC formed in September 2020; and Aarna Holdings LLC formed in November 2020.

The Company holds a non-consolidated interest in Kah Capital Management, which is accounted for as an equity method investment. The Company paid $321 thousand and $250 thousand during the quarters, and $1 million and $750 thousand during the nine months ended September 30, 2021 and 2020, respectively, in fees to Kah Capital Management for investment services provided.

2. Summary of the Significant Accounting Policies

(a) Basis of Presentation and Consolidation

The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States, or GAAP. In the opinion of the Company, all normal and recurring adjustments considered necessary for a fair presentation of its financial position, results of operations and cash flows have been included. Investment securities transactions are recorded on the trade date. Certain prior period amounts have been reclassified to conform to the current period's presentation.

The consolidated financial statements include the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities, or VIEs, in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation.

The Company uses securitization trusts considered to be VIEs in its securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE.

9










The trusts are structured as entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain risks associated with being the sponsor and depositor of and the seller, directly or indirectly to, the securitizations entities.

Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause, or the Company was determined to have power in connection with its involvement with the structure and design of the VIE.
The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Consolidated Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. Generally, the securities retained by the Company are the most subordinate in the capital structure, which means those securities receive distributions after the senior securities have been paid. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool.
The assets of securitization entities are comprised of residential mortgage-backed securities, or RMBS, or residential mortgage loans. See Notes 3, 4 and 9 for further discussion of the characteristics of the securities and loans in the Company’s portfolio.
(b) Statements of Financial Condition Presentation
The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Retained beneficial interests of the consolidated securitization vehicles are eliminated on consolidation. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 9 for additional information related to the Company’s investments in consolidated securitization vehicles.

(c) Use of Estimates

The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition.

The Company has made significant estimates including in accounting for income recognition on Agency MBS, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans (Note 4), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Notes 4 and 5), securitized debt (Notes 5 and 7) and derivative instruments (Notes 5 and 10). Actual results could differ materially from those estimates.

(d) Significant Accounting Policies

There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2020, other than the significant accounting policies discussed below.

Fair Value Disclosure

A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements.

Income Taxes

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The Company does not have any material unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of September 30, 2021, or December 31, 2020.

(e) Recent Accounting Pronouncements

Reference Rate Reform (Topic 848)

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standard Update (ASU) No. 2020-4, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this update apply only to contracts, hedging relationships, and other transactions that reference London Inter Bank Offering Rate (or LIBOR) or another reference rate expected to be discontinued because of reference rate reform. The amendments in this update are effective for contracts held by the Company subject to reference rate reform that fall within the scope of this update beginning immediately through December 31, 2022 at which time the transition is expected to be complete. The Company has not yet had any contracts modified to adopt reference rate reform. When a contract within the scope of this update is updated for reference rate reform, the Company will evaluate the impact in accordance with this update.

Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40)

In August 2020, the FASB issued ASU No. 2020-6, Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity. The FASB issued this update to simplify the current guidance for convertible instruments and the derivatives scope exception for contracts in an entity’s own equity. Additionally, the amendments affect the diluted earnings per share, or EPS, calculation for instruments that may be settled in cash or shares and for convertible instruments. The update also provides for expanded disclosure requirements to increase transparency. The amendments in this update are effective for the Company on January 1, 2022. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements.

3. Mortgage-Backed Securities

The Company classifies its Non-Agency RMBS as senior, subordinated, or Interest-only. The Company also invests in Agency MBS which it classifies as Agency RMBS to include residential and residential interest-only MBS and Agency CMBS to include commercial and commercial interest-only MBS. Senior interests in Non-Agency RMBS are generally entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of Company's MBS investments as of September 30, 2021 and December 31, 2020.
September 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 $ 1,340,949  $ 3,907  $ (691,120) $ 653,736  $ (121) $ 1,054,227  $ 400,801  $ (190) $ 400,611 
Subordinated 849,256  5,794  (278,206) 576,844  (1) 648,585  93,326  (21,584) 71,742 
Interest-only 4,225,195  201,508  —  201,508  —  187,218  40,268  (54,558) (14,290)
Agency RMBS              
Interest-only 1,067,557  106,477  —  106,477  —  65,889  106  (40,694) (40,588)
Agency CMBS
Project loans 825,894  16,278  (812) 841,360  —  926,306  84,946  —  84,946 
Interest-only 2,351,641  131,734  —  131,734  —  135,825  4,241  (150) 4,091 
Total $ 10,660,492  $ 465,698  $ (970,138) $ 2,511,659  $ (122) $ 3,018,050  $ 623,688  $ (117,176) $ 506,512 
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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 

The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2021 and December 31, 2020. All available for sale Non-Agency RMBS not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses.
September 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 $ 9,596  $ (190) $ —  $ —  —  $ 9,596  $ (190)
Subordinated 42,385  (478) 21,600  (21,106) 10 63,985  (21,584) 17
Interest-only 25,352  (4,992) 34 24,475  (49,566) 51 49,827  (54,558) 85
Agency RMBS              
Interest-only 16,904  (5,980) 5 47,141  (34,714) 18  64,045  (40,694) 23
Agency CMBS
Project loans —  —  —  —  —  —  — 
Interest-only 24,118  (150) —  —  —  24,118  (150) 3
Total $ 118,355  $ (11,790) 50 $ 93,216  $ (105,386) 79 $ 211,571  $ (117,176) 129 
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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) $ —  $ —  —  $ 11,985  $ (248)
Subordinated 253,822  (8,711) 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) 54,153  (23,461) 16  85,212  (28,399) 22 
Agency CMBS
Project loans —  —  —  8,581  (69) 1 8,581  (69)
Interest-only 4,052  (346) —  —  4,052  (346)
Total $ 339,522  $ (22,925) 53 $ 120,192  $ (99,385) 75 $ 459,714  $ (122,310) 128 

At September 30, 2021, the Company did not intend to sell any of its Agency and Non-Agency MBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these MBS investments before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of September 30, 2021.

The Company did not have any gross unrealized losses on its Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) as of September 30, 2021. Gross unrealized losses on the Company’s Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) were $69 thousand as of December 31, 2020. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at September 30, 2021 and December 31, 2020, unrealized losses on its Agency MBS were temporary.

Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings), net of any allowance for credit losses, were $190 thousand and $248 thousand, at September 30, 2021 and December 31, 2020, respectively. After evaluating the securities and recording the allowance for credit losses, the Company concluded that the remaining unrealized losses reflected above were non-credit related and would be recovered from the securities' estimated future cash flows. The Company considered a number of factors in reaching this conclusion, including that it did not intend to sell the securities, it was not considered more likely than not that it would be forced to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused the Company to otherwise conclude that it would not recover the amortized cost. The allowance for credit losses are calculated by comparing the estimated future cash flows of each security discounted at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to the net amortized cost basis. Significant judgment is used in projecting cash flows for Non-Agency RMBS.

The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are credit related based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the credit losses allowance on available-for-sale securities for quarters and nine months ended September 30, 2021 and 2020 is presented below.
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For the Quarter Ended For the Nine Months Ended
September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020
(dollars in thousands) (dollars in thousands)
Beginning allowance for credit losses $ 508  $ 1,817  $ 180  $ — 
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 22  475  6,582 
Allowance on purchased financial assets with credit deterioration —  —  —  — 
Reductions for the securities sold during the period —  —  —  (321)
Increase/(decrease) on securities with an allowance in the prior period (544) (1,074) (721) (3,778)
Write-offs charged against the allowance (23) (642) (86) (2,389)
Recoveries of amounts previously written off 174  44  274  73 
Ending allowance for credit losses $ 122  $ 167  $ 122  $ 167 

The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of September 30, 2021 and December 31, 2020.
September 30, 2021
(dollars in thousands)
   Prepay Rate CDR Loss Severity
   Amortized Cost Weighted Average Weighted Average Weighted Average
Non-Agency RMBS
Senior 32,143,429 6.2% 4.6% 54.6%
Subordinated 1,352 6.0% 0.3% 30.0%

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%

The decrease in the allowance for credit losses for the quarter and nine months ended September 30, 2021 is primarily due to a reduction in expected losses and delinquencies as compared to the same periods of 2020.

The following tables present a summary of unrealized gains and losses at September 30, 2021 and December 31, 2020.
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September 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 $ 400,801  $ —  $ 400,801  $ (190) $ —  $ (190)
Subordinated 35,171  58,155  93,326  —  (21,584) (21,584)
Interest-only —  40,268  40,268  —  (54,558) (54,558)
Agency RMBS        
Interest-only —  106  106  —  (40,694) (40,694)
Agency CMBS
Project loans 3,133  81,813  84,946  —  —  — 
Interest-only —  4,241  4,241  —  (150) (150)
Total $ 439,105  $ 184,583  $ 623,688  $ (190) $ (116,986) $ (117,176)
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)

Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile.

The following tables provide a summary of the Company’s MBS portfolio at September 30, 2021 and December 31, 2020.
  September 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
$ 1,340,949  $ 48.75  78.62  4.4  % 17.6  %
Subordinated
849,256  67.92  76.37  3.8  % 6.7  %
Interest-only
4,225,195  4.77  4.43  1.6  % 12.8  %
Agency RMBS          
Interest-only 1,067,557  9.97  6.17  1.3  % 0.7  %
Agency CMBS
Project loans
825,894  101.87  112.16  4.3  % 4.1  %
Interest-only
2,351,641  5.60  5.78  0.7  % 5.3  %
(1) Bond Equivalent Yield at period end.
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  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  %
(1) Bond Equivalent Yield at period end.

The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at September 30, 2021 and December 31, 2020.
  September 30, 2021 December 31, 2020
AAA 0.2  % 0.2  %
AA —  % 0.1  %
A 2.2  % 1.2  %
BBB 2.4  % 1.9  %
BB 4.7  % 4.3  %
B 2.1  % 2.0  %
Below B 24.9  % 31.9  %
Not Rated 63.5  % 58.4  %
Total 100.0  % 100.0  %

Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the underlying mortgages, periodic payments of principal, realized losses and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at September 30, 2021 and December 31, 2020 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.
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September 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 $ 7,744  $ 351,515  $ 303,819  $ 391,149  $ 1,054,227 
Subordinated 2,885  155,226  244,959  245,515  648,585 
Interest-only 3,821  155,664  27,732  187,218 
Agency RMBS          
Interest-only —  —  65,889  —  65,889 
Agency CMBS
Project loans 8,480  —  —  917,826  926,306 
Interest-only 2,387  129,921  3,517  —  135,825 
Total fair value $ 25,317  $ 792,326  $ 645,916  $ 1,554,491  $ 3,018,050 
Amortized cost          
Non-Agency RMBS          
Senior $ 5,978  $ 243,637  $ 167,673  $ 236,448  $ 653,736 
Subordinated —  132,268  223,810  220,766  576,844 
Interest-only 30,408  149,352  21,690  58  201,508 
Agency RMBS          
Interest-only —  —  106,477  —  106,477 
Agency CMBS
Project loans 8,454  —  —  832,906  841,360 
Interest-only 1,840  126,622  3,272  —  131,734 
Total amortized cost $ 46,680  $ 651,879  $ 522,922  $ 1,290,178  $ 2,511,659 
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 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 

The Non-Agency RMBS investments are secured by pools of mortgage loans which are subject to credit risk. The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans
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securing the Company’s investments in Non-Agency RMBS at September 30, 2021 and December 31, 2020. When delinquency rates increase, it is expected that the Company will incur additional credit losses.

September 30, 2021 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total
% of Unpaid Principal Balance 3.0  % 1.2  % 6.0  %