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, 2020
|
Common Stock, $0.01 par value
|
232,020,857
|
|
|
|
|
|
|
|
|
|
|
|
|
Consolidated Statements of Financial Condition as of June 30, 2020 (Unaudited) and December 31, 2019 (Derived from the audited consolidated financial statements as of December 31, 2019)
|
|
|
|
Consolidated Statements of Operations (Unaudited) for the quarters and six months ended June 30, 2020 and 2019
|
|
|
|
Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and six months ended June 30, 2020 and 2019
|
|
|
|
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and six months ended June 30, 2020 and 2019
|
|
|
|
Consolidated Statements of Cash Flows (Unaudited) for the six months ended June 30, 2020 and 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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)
|
||||||
|
June 30, 2020
|
December 31, 2019
|
||||
Cash and cash equivalents
|
$
|
302,553
|
|
$
|
109,878
|
|
Non-Agency RMBS, at fair value (net of allowance for credit losses of $2 million and $0 million, respectively)
|
2,184,170
|
|
2,614,408
|
|
||
Agency RMBS, at fair value
|
107,263
|
|
6,490,293
|
|
||
Agency CMBS, at fair value
|
2,612,344
|
|
2,850,717
|
|
||
Loans held for investment, at fair value
|
13,036,833
|
|
14,292,815
|
|
||
Receivable for investments sold
|
—
|
|
446,225
|
|
||
Accrued interest receivable
|
89,387
|
|
116,423
|
|
||
Other assets
|
115,601
|
|
194,301
|
|
||
Derivatives, at fair value, net
|
—
|
|
3,611
|
|
||
Total assets (1)
|
$
|
18,448,151
|
|
$
|
27,118,671
|
|
Liabilities:
|
|
|
|
|
||
Secured financing agreements ($7.8 billion and $15.4 billion pledged as collateral, respectively)
|
$
|
5,944,201
|
|
$
|
13,427,545
|
|
Securitized debt, collateralized by Non-Agency RMBS ($524 million and $598 million pledged as collateral, respectively)
|
124,414
|
|
133,557
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($12.2 billion and $12.1 billion pledged as collateral, respectively)
|
8,530,111
|
|
8,179,608
|
|
||
Long Term Debt
|
71,600
|
|
—
|
|
||
Payable for investments purchased
|
246,770
|
|
1,256,337
|
|
||
Accrued interest payable
|
41,336
|
|
63,600
|
|
||
Dividends payable
|
75,554
|
|
98,568
|
|
||
Accounts payable and other liabilities
|
18,286
|
|
6,163
|
|
||
Total liabilities (1)
|
$
|
15,052,272
|
|
$
|
23,165,378
|
|
|
|
|
|
|
||
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, 232,003,526 and 187,226,081 shares issued and outstanding, respectively
|
2,320
|
|
1,873
|
|
||
Additional paid-in-capital
|
4,515,043
|
|
4,275,963
|
|
||
Accumulated other comprehensive income
|
537,510
|
|
708,336
|
|
||
Cumulative earnings
|
3,367,330
|
|
3,793,040
|
|
||
Cumulative distributions to stockholders
|
(5,026,696
|
)
|
(4,826,291
|
)
|
||
Total stockholders' equity
|
$
|
3,395,879
|
|
$
|
3,953,293
|
|
Total liabilities and stockholders' equity
|
$
|
18,448,151
|
|
$
|
27,118,671
|
|
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, 2020
|
June 30, 2019
|
June 30, 2020
|
June 30, 2019
|
||||||||
Net interest income:
|
|
|
|
|
||||||||
Interest income (1)
|
$
|
245,922
|
|
$
|
339,914
|
|
$
|
546,189
|
|
$
|
690,303
|
|
Interest expense (2)
|
129,256
|
|
198,110
|
|
271,339
|
|
401,060
|
|
||||
Net interest income
|
116,666
|
|
141,804
|
|
274,850
|
|
289,243
|
|
||||
|
|
|
|
|
|
|
|
|
||||
Increase/(decrease) in provision for credit losses
|
(4,497
|
)
|
—
|
|
1,817
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
|
||||
Net other-than-temporary credit impairment losses
|
—
|
|
—
|
|
—
|
|
(4,853
|
)
|
||||
|
|
|
|
|
|
|
|
|
||||
Other investment gains (losses):
|
|
|
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
—
|
|
(132,171
|
)
|
201,000
|
|
(221,486
|
)
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
—
|
|
(95,211
|
)
|
(463,966
|
)
|
(203,257
|
)
|
||||
Net realized gains (losses) on derivatives
|
—
|
|
(9,697
|
)
|
(41,086
|
)
|
(16,974
|
)
|
||||
Net gains (losses) on derivatives
|
—
|
|
(237,079
|
)
|
(304,052
|
)
|
(441,717
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
(171,921
|
)
|
190,748
|
|
(432,809
|
)
|
391,561
|
|
||||
Net realized gains (losses) on sales of investments
|
26,380
|
|
(7,526
|
)
|
102,234
|
|
1,077
|
|
||||
Gains (losses) on extinguishment of debt
|
459
|
|
(608
|
)
|
459
|
|
(608
|
)
|
||||
Total other gains (losses)
|
(145,082
|
)
|
(54,465
|
)
|
(634,168
|
)
|
(49,687
|
)
|
||||
|
|
|
|
|
|
|
|
|
||||
Other expenses:
|
|
|
|
|
|
|
|
|||||
Compensation and benefits
|
10,255
|
|
12,114
|
|
23,190
|
|
26,484
|
|
||||
General and administrative expenses
|
6,562
|
|
6,217
|
|
12,239
|
|
12,019
|
|
||||
Servicing fees
|
9,473
|
|
9,280
|
|
19,462
|
|
18,243
|
|
||||
Transaction expenses
|
4,710
|
|
813
|
|
9,616
|
|
895
|
|
||||
Total other expenses
|
31,000
|
|
28,424
|
|
64,507
|
|
57,641
|
|
||||
Income (loss) before income taxes
|
(54,919
|
)
|
58,915
|
|
(425,642
|
)
|
177,062
|
|
||||
Income taxes
|
36
|
|
155
|
|
68
|
|
155
|
|
||||
Net income (loss)
|
$
|
(54,955
|
)
|
$
|
58,760
|
|
$
|
(425,710
|
)
|
$
|
176,907
|
|
|
|
|
|
|
|
|
|
|
||||
Dividends on preferred stock
|
18,438
|
|
18,438
|
|
36,875
|
|
35,829
|
|
||||
|
|
|
|
|
|
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
(73,393
|
)
|
$
|
40,322
|
|
$
|
(462,585
|
)
|
$
|
141,078
|
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|
|
||||
Basic
|
$
|
(0.37
|
)
|
$
|
0.22
|
|
$
|
(2.39
|
)
|
$
|
0.75
|
|
Diluted
|
$
|
(0.37
|
)
|
$
|
0.21
|
|
$
|
(2.39
|
)
|
$
|
0.75
|
|
|
|
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
||||
Basic
|
199,282,790
|
|
187,153,007
|
|
193,150,696
|
|
187,132,842
|
|
||||
Diluted
|
199,282,790
|
|
188,271,483
|
|
193,150,696
|
|
188,254,266
|
|
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, 2020
|
June 30, 2019
|
June 30, 2020
|
June 30, 2019
|
||||||||
Comprehensive income (loss):
|
|
|
|
|
||||||||
Net income (loss)
|
$
|
(54,955
|
)
|
$
|
58,760
|
|
$
|
(425,710
|
)
|
$
|
176,907
|
|
Other comprehensive income:
|
|
|
|
|
||||||||
Unrealized gains (losses) on available-for-sale securities, net (1)
|
61,399
|
|
58,833
|
|
(137,805
|
)
|
85,218
|
|
||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
—
|
|
—
|
|
—
|
|
4,853
|
|
||||
Reclassification adjustment for net realized losses (gains) included in net income
|
(26,380
|
)
|
7,269
|
|
(33,021
|
)
|
22,187
|
|
||||
Other comprehensive income (loss)
|
35,019
|
|
66,102
|
|
(170,826
|
)
|
112,258
|
|
||||
Comprehensive income (loss) before preferred stock dividends
|
$
|
(19,936
|
)
|
$
|
124,862
|
|
$
|
(596,536
|
)
|
$
|
289,165
|
|
Dividends on preferred stock
|
$
|
18,438
|
|
$
|
18,438
|
|
$
|
36,875
|
|
$
|
35,829
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
(38,374
|
)
|
$
|
106,424
|
|
$
|
(633,411
|
)
|
$
|
253,336
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||||||||||||||||||||
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
|
||||||||||||||||||||||||||||||
(dollars in thousands, except per share data)
|
||||||||||||||||||||||||||||||
(Unaudited)
|
||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||
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 Quarter Ended June 30, 2019
|
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Series A Preferred Stock Par Value
|
Series B Preferred Stock Par Value
|
Series C Preferred Stock Par Value
|
Series D Preferred Stock Par Value
|
Common
Stock Par Value |
Additional Paid-in Capital
|
Accumulated Other Comprehensive Income
|
Cumulative Earnings
|
Cumulative Distributions to Stockholders
|
Total
|
||||||||||||||||||||
Balance, March 31, 2019
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
80
|
|
$
|
1,871
|
|
$
|
4,268,063
|
|
$
|
672,988
|
|
$
|
3,497,636
|
|
$
|
(4,487,753
|
)
|
$
|
3,953,177
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
58,760
|
|
—
|
|
58,760
|
|
||||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
66,102
|
|
—
|
|
—
|
|
66,102
|
|
||||||||||
Stock based compensation
|
—
|
|
—
|
|
—
|
|
—
|
|
1
|
|
3,938
|
|
—
|
|
—
|
|
—
|
|
3,939
|
|
||||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(94,590
|
)
|
(94,590
|
)
|
||||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(18,438
|
)
|
(18,438
|
)
|
||||||||||
Balance, June 30, 2019
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
80
|
|
$
|
1,872
|
|
$
|
4,272,001
|
|
$
|
739,090
|
|
$
|
3,556,396
|
|
$
|
(4,600,781
|
)
|
$
|
3,968,950
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
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
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Six Months Ended June 30, 2019
|
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Series A Preferred Stock Par Value
|
Series B Preferred Stock Par Value
|
Series C Preferred Stock Par Value
|
Series D Preferred Stock Par Value
|
Common
Stock Par Value |
Additional Paid-in Capital
|
Accumulated Other Comprehensive Income
|
Cumulative Earnings
|
Cumulative Distributions to Stockholders
|
Total
|
||||||||||||||||||||
Balance, December 31, 2018
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
—
|
|
$
|
1,871
|
|
$
|
4,072,093
|
|
$
|
626,832
|
|
$
|
3,379,489
|
|
$
|
(4,376,748
|
)
|
$
|
3,703,829
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
176,907
|
|
—
|
|
176,907
|
|
||||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
112,258
|
|
—
|
|
—
|
|
112,258
|
|
||||||||||
Stock based compensation
|
—
|
|
—
|
|
—
|
|
—
|
|
1
|
|
6,620
|
|
—
|
|
—
|
|
—
|
|
6,621
|
|
||||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(188,204
|
)
|
(188,204
|
)
|
||||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(35,829
|
)
|
(35,829
|
)
|
||||||||||
Issuance of preferred stock
|
—
|
|
—
|
|
—
|
|
80
|
|
—
|
|
193,288
|
|
—
|
|
—
|
|
—
|
|
193,368
|
|
||||||||||
Balance, June 30, 2019
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
80
|
|
$
|
1,872
|
|
$
|
4,272,001
|
|
$
|
739,090
|
|
$
|
3,556,396
|
|
$
|
(4,600,781
|
)
|
$
|
3,968,950
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS
|
||||||
(dollars in thousands)
|
||||||
|
For the Six Months Ended
|
|||||
|
June 30, 2020
|
June 30, 2019
|
||||
Cash Flows From Operating Activities:
|
||||||
Net income (loss)
|
$
|
(425,710
|
)
|
$
|
176,907
|
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
|
||||||
(Accretion) amortization of investment discounts/premiums, net
|
60,974
|
|
29,557
|
|
||
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net
|
(35,148
|
)
|
(14,327
|
)
|
||
Amortization of swaption premium
|
—
|
|
559
|
|
||
Net unrealized losses (gains) on derivatives
|
(201,000
|
)
|
221,486
|
|
||
Margin (paid) received on derivatives
|
325,594
|
|
(157,052
|
)
|
||
Net unrealized losses (gains) on financial instruments at fair value
|
432,809
|
|
(391,561
|
)
|
||
Net realized losses (gains) on sales of investments
|
(102,234
|
)
|
(1,077
|
)
|
||
Net increase (decrease) in provision for credit losses
|
1,817
|
|
—
|
|
||
Net other-than-temporary credit impairment losses
|
—
|
|
4,853
|
|
||
(Gain) loss on extinguishment of debt
|
(459
|
)
|
608
|
|
||
Equity-based compensation expense
|
2,534
|
|
6,621
|
|
||
Changes in operating assets:
|
|
|
|
|
||
Decrease (increase) in accrued interest receivable, net
|
27,718
|
|
2,048
|
|
||
Decrease (increase) in other assets
|
(56,146
|
)
|
(2,166
|
)
|
||
Changes in operating liabilities:
|
|
|
|
|
||
Increase (decrease) in accounts payable and other liabilities
|
12,123
|
|
2,646
|
|
||
Increase (decrease) in accrued interest payable, net
|
(24,765
|
)
|
(26,156
|
)
|
||
Net cash provided by (used in) operating activities
|
$
|
18,107
|
|
$
|
(147,054
|
)
|
Cash Flows From Investing Activities:
|
||||||
Agency MBS portfolio:
|
|
|
|
|
||
Purchases
|
$
|
(292,379
|
)
|
$
|
(2,374,316
|
)
|
Sales
|
6,466,990
|
|
1,919,230
|
|
||
Principal payments
|
596,564
|
|
605,724
|
|
||
Non-Agency RMBS portfolio:
|
|
|
|
|
||
Purchases
|
(19,503
|
)
|
(265,062
|
)
|
||
Sales
|
141,912
|
|
5,167
|
|
||
Principal payments
|
124,351
|
|
196,261
|
|
||
Loans held for investment:
|
|
|
|
|
||
Purchases
|
(884,708
|
)
|
(1,137,244
|
)
|
||
Sales
|
—
|
|
705,653
|
|
||
Principal payments
|
895,764
|
|
806,677
|
|
||
Net cash provided by (used in) investing activities
|
$
|
7,028,991
|
|
$
|
462,090
|
|
Cash Flows From Financing Activities:
|
||||||
Proceeds from secured financing agreements
|
$
|
57,804,851
|
|
$
|
57,358,115
|
|
Payments on secured financing agreements
|
(65,275,151
|
)
|
(56,874,303
|
)
|
||
Net proceeds from preferred stock offerings
|
—
|
|
193,368
|
|
||
Payments on repurchase of common stock
|
(22,066
|
)
|
—
|
|
||
Proceeds from securitized debt borrowings, collateralized by loans held for investment
|
1,462,500
|
|
—
|
|
||
Payments on securitized debt borrowings, collateralized by loans held for investment
|
(920,083
|
)
|
(748,949
|
)
|
||
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS
|
(8,445
|
)
|
(13,792
|
)
|
||
Net proceeds from issuance of convertible debt
|
361,139
|
|
—
|
|
||
Purchase of capped call
|
(33,750
|
)
|
—
|
|
Common dividends paid
|
(186,543
|
)
|
(187,098
|
)
|
||
Preferred dividends paid
|
(36,875
|
)
|
(35,829
|
)
|
||
Net cash provided by (used in) financing activities
|
$
|
(6,854,423
|
)
|
$
|
(308,488
|
)
|
Net increase (decrease) in cash and cash equivalents
|
192,675
|
|
6,548
|
|
||
Cash and cash equivalents at beginning of period
|
109,878
|
|
47,486
|
|
||
Cash and cash equivalents at end of period
|
$
|
302,553
|
|
$
|
54,034
|
|
|
|
|
||||
Supplemental disclosure of cash flow information:
|
||||||
Interest received
|
$
|
634,199
|
|
$
|
721,909
|
|
Interest paid
|
$
|
328,753
|
|
$
|
441,557
|
|
Non-cash investing activities:
|
|
|
|
|
||
Payable for investments purchased
|
$
|
246,770
|
|
$
|
921,507
|
|
Receivable for investments sold
|
$
|
—
|
|
$
|
75,059
|
|
Net change in unrealized gain (loss) on available-for sale securities
|
$
|
(170,826
|
)
|
$
|
112,258
|
|
Retained beneficial interests
|
$
|
—
|
|
$
|
74,339
|
|
|
|
|
||||
Non-cash financing activities:
|
|
|
|
|
||
Dividends declared, not yet paid
|
$
|
75,554
|
|
$
|
97,091
|
|
Conversion of convertible debt
|
$
|
289,331
|
|
$
|
—
|
|
|
|
June 30, 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
|
$
|
1,697,252
|
|
$
|
3,038
|
|
$
|
(820,859
|
)
|
$
|
879,431
|
|
$
|
(1,379
|
)
|
$
|
1,341,814
|
|
$
|
464,065
|
|
$
|
(303
|
)
|
$
|
463,762
|
|
Subordinated
|
893,311
|
|
8,132
|
|
(339,437
|
)
|
562,006
|
|
(438
|
)
|
522,655
|
|
51,707
|
|
(90,620
|
)
|
(38,913
|
)
|
|||||||||
Interest-only
|
6,380,154
|
|
275,025
|
|
—
|
|
275,025
|
|
—
|
|
319,701
|
|
90,965
|
|
(46,289
|
)
|
44,676
|
|
|||||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Pass-through
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
Interest-only
|
1,425,919
|
|
130,610
|
|
—
|
|
130,610
|
|
—
|
|
107,263
|
|
378
|
|
(23,725
|
)
|
(23,347
|
)
|
|||||||||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Project loans
|
2,297,301
|
|
43,061
|
|
(3,671
|
)
|
2,336,691
|
|
—
|
|
2,572,329
|
|
235,673
|
|
(35
|
)
|
235,638
|
|
|||||||||
Interest-only
|
1,690,539
|
|
40,504
|
|
—
|
|
40,504
|
|
—
|
|
40,015
|
|
2,050
|
|
(2,539
|
)
|
(489
|
)
|
|||||||||
Total
|
$
|
14,384,476
|
|
$
|
500,370
|
|
$
|
(1,163,967
|
)
|
$
|
4,224,267
|
|
$
|
(1,817
|
)
|
$
|
4,903,777
|
|
$
|
844,838
|
|
$
|
(163,511
|
)
|
$
|
681,327
|
|
|
|
December 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
|
$
|
2,024,564
|
|
$
|
2,038
|
|
$
|
(953,916
|
)
|
$
|
1,072,686
|
|
$
|
1,700,911
|
|
$
|
628,518
|
|
$
|
(293
|
)
|
$
|
628,225
|
|
Subordinated
|
876,592
|
|
9,915
|
|
(332,913
|
)
|
553,594
|
|
624,598
|
|
76,272
|
|
(5,268
|
)
|
71,004
|
|
||||||||
Interest-only
|
7,458,653
|
|
301,170
|
|
—
|
|
301,170
|
|
288,899
|
|
51,481
|
|
(63,752
|
)
|
(12,271
|
)
|
||||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Pass-through
|
6,080,547
|
|
131,023
|
|
—
|
|
6,211,570
|
|
6,362,626
|
|
152,271
|
|
(1,215
|
)
|
151,056
|
|
||||||||
Interest-only
|
1,539,941
|
|
139,536
|
|
—
|
|
139,536
|
|
127,667
|
|
220
|
|
(12,089
|
)
|
(11,869
|
)
|
||||||||
Agency CMBS
|
|
|
|
|
|
|
|
|
||||||||||||||||
Project loans
|
2,621,938
|
|
52,681
|
|
(4,961
|
)
|
2,669,658
|
|
2,801,692
|
|
132,700
|
|
(666
|
)
|
132,034
|
|
||||||||
Interest-only
|
1,817,246
|
|
51,140
|
|
—
|
|
51,140
|
|
49,025
|
|
586
|
|
(2,701
|
)
|
(2,115
|
)
|
||||||||
Total
|
$
|
22,419,481
|
|
$
|
687,503
|
|
$
|
(1,291,790
|
)
|
$
|
10,999,354
|
|
$
|
11,955,418
|
|
$
|
1,042,048
|
|
$
|
(85,984
|
)
|
$
|
956,064
|
|
|
|
|
June 30, 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
|
$
|
16,375
|
|
$
|
(303
|
)
|
2
|
|
|
$
|
—
|
|
$
|
—
|
|
—
|
|
|
$
|
16,375
|
|
$
|
(303
|
)
|
2
|
|
Subordinated
|
376,359
|
|
(88,566
|
)
|
28
|
|
|
14,378
|
|
(2,054
|
)
|
12
|
|
|
390,737
|
|
(90,620
|
)
|
40
|
|
||||||
Interest-only
|
15,589
|
|
(5,026
|
)
|
26
|
|
|
37,951
|
|
(41,263
|
)
|
51
|
|
|
53,540
|
|
(46,289
|
)
|
77
|
|
||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Pass-through
|
—
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
||||||
Interest-only
|
76,605
|
|
(14,572
|
)
|
14
|
|
|
24,471
|
|
(9,153
|
)
|
8
|
|
|
101,076
|
|
(23,725
|
)
|
22
|
|
||||||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Project loans
|
24,755
|
|
(20
|
)
|
1
|
|
|
14,862
|
|
(15
|
)
|
2
|
|
|
39,617
|
|
(35
|
)
|
3
|
|
||||||
Interest-only
|
4,045
|
|
(281
|
)
|
4
|
|
|
5,071
|
|
(2,258
|
)
|
5
|
|
|
9,116
|
|
(2,539
|
)
|
9
|
|
||||||
Total
|
$
|
513,728
|
|
$
|
(108,768
|
)
|
75
|
|
|
$
|
96,733
|
|
$
|
(54,743
|
)
|
78
|
|
|
$
|
610,461
|
|
$
|
(163,511
|
)
|
153
|
|
|
|
|
December 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
|
$
|
—
|
|
$
|
—
|
|
—
|
|
|
$
|
31,635
|
|
$
|
(293
|
)
|
1
|
|
|
$
|
31,635
|
|
$
|
(293
|
)
|
1
|
|
Subordinated
|
69,178
|
|
(5,064
|
)
|
9
|
|
|
1,836
|
|
(204
|
)
|
11
|
|
|
71,014
|
|
(5,268
|
)
|
20
|
|
||||||
Interest-only
|
50,376
|
|
(22,737
|
)
|
46
|
|
|
64,129
|
|
(41,015
|
)
|
66
|
|
|
114,505
|
|
(63,752
|
)
|
112
|
|
||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Pass-through
|
11,398
|
|
(605
|
)
|
4
|
|
|
67,552
|
|
(610
|
)
|
5
|
|
|
78,950
|
|
(1,215
|
)
|
9
|
|
||||||
Interest-only
|
121,228
|
|
(12,089
|
)
|
22
|
|
|
—
|
|
—
|
|
—
|
|
|
121,228
|
|
(12,089
|
)
|
22
|
|
||||||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Project loans
|
41,971
|
|
(277
|
)
|
3
|
|
|
44,896
|
|
(389
|
)
|
4
|
|
|
86,867
|
|
(666
|
)
|
7
|
|
||||||
Interest-only
|
15,045
|
|
(295
|
)
|
6
|
|
|
9,930
|
|
(2,406
|
)
|
7
|
|
|
24,975
|
|
(2,701
|
)
|
13
|
|
||||||
Total
|
$
|
309,196
|
|
$
|
(41,067
|
)
|
90
|
|
|
$
|
219,978
|
|
$
|
(44,917
|
)
|
94
|
|
|
$
|
529,174
|
|
$
|
(85,984
|
)
|
184
|
|
|
For the Quarter Ended
|
For the Six Months Ended
|
||||
|
June 30, 2020
|
June 30, 2020
|
||||
|
(dollars in thousands)
|
(dollars in thousands)
|
||||
Beginning allowance for credit losses
|
$
|
6,314
|
|
$
|
—
|
|
|
|
|
||||
Transition impact from CECL standard
|
—
|
|
—
|
|
||
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded
|
247
|
|
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
|
(2,703
|
)
|
(2,703
|
)
|
||
Write-offs charged against the allowance
|
(1,748
|
)
|
(1,748
|
)
|
||
Recoveries of amounts previously written off
|
28
|
|
28
|
|
||
|
|
|
||||
Ending allowance for credit losses
|
$
|
1,817
|
|
$
|
1,817
|
|
|
|
June 30, 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
|
$
|
464,065
|
|
$
|
—
|
|
$
|
464,065
|
|
$
|
(303
|
)
|
$
|
—
|
|
$
|
(303
|
)
|
Subordinated
|
44,026
|
|
7,681
|
|
51,707
|
|
(8,864
|
)
|
(81,756
|
)
|
(90,620
|
)
|
||||||
Interest-only
|
—
|
|
90,965
|
|
90,965
|
|
—
|
|
(46,289
|
)
|
(46,289
|
)
|
||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
||||||||
Pass-through
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Interest-only
|
—
|
|
378
|
|
378
|
|
—
|
|
(23,725
|
)
|
(23,725
|
)
|
||||||
Agency CMBS
|
|
|
|
|
|
|
||||||||||||
Project loans
|
38,621
|
|
197,052
|
|
235,673
|
|
(35
|
)
|
—
|
|
(35
|
)
|
||||||
Interest-only
|
—
|
|
2,050
|
|
2,050
|
|
—
|
|
(2,539
|
)
|
(2,539
|
)
|
||||||
Total
|
$
|
546,712
|
|
$
|
298,126
|
|
$
|
844,838
|
|
$
|
(9,202
|
)
|
$
|
(154,309
|
)
|
$
|
(163,511
|
)
|
|
|
December 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
|
$
|
628,518
|
|
$
|
—
|
|
$
|
628,518
|
|
$
|
(293
|
)
|
$
|
—
|
|
$
|
(293
|
)
|
Subordinated
|
57,174
|
|
19,098
|
|
76,272
|
|
(55
|
)
|
(5,213
|
)
|
(5,268
|
)
|
||||||
Interest-only
|
—
|
|
51,481
|
|
51,481
|
|
—
|
|
(63,752
|
)
|
(63,752
|
)
|
||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Pass-through
|
—
|
|
152,271
|
|
152,271
|
|
—
|
|
(1,215
|
)
|
(1,215
|
)
|
||||||
Interest-only
|
—
|
|
220
|
|
220
|
|
—
|
|
(12,089
|
)
|
(12,089
|
)
|
||||||
Agency CMBS
|
|
|
|
|
|
|
||||||||||||
Project loans
|
23,643
|
|
109,057
|
|
132,700
|
|
(651
|
)
|
(15
|
)
|
(666
|
)
|
||||||
Interest-only
|
—
|
|
586
|
|
586
|
|
—
|
|
(2,701
|
)
|
(2,701
|
)
|
||||||
Total
|
$
|
709,335
|
|
$
|
332,713
|
|
$
|
1,042,048
|
|
$
|
(999
|
)
|
$
|
(84,985
|
)
|
$
|
(85,984
|
)
|
|
June 30, 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
|
$
|
1,697,252
|
|
$
|
51.81
|
|
79.06
|
|
4.6
|
%
|
16.8
|
%
|
Subordinated
|
893,311
|
|
62.91
|
|
58.51
|
|
3.6
|
%
|
6.4
|
%
|
||
Interest-only
|
6,380,154
|
|
4.31
|
|
5.01
|
|
1.5
|
%
|
15.5
|
%
|
||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
||
Interest-only
|
1,425,919
|
|
9.16
|
|
7.52
|
|
1.4
|
%
|
2.1
|
%
|
||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
||
Project loans
|
2,297,301
|
|
101.71
|
|
111.97
|
|
3.8
|
%
|
3.7
|
%
|
||
Interest-only
|
1,690,539
|
|
2.40
|
|
2.37
|
|
0.7
|
%
|
5.0
|
%
|
|
December 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
|
$
|
2,024,564
|
|
$
|
52.98
|
|
$
|
84.01
|
|
5.0
|
%
|
20.8
|
%
|
Subordinated
|
876,592
|
|
63.15
|
|
71.25
|
|
3.7
|
%
|
6.9
|
%
|
|||
Interest-only
|
7,458,653
|
|
4.04
|
|
3.87
|
|
1.1
|
%
|
8.4
|
%
|
|||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|||
Pass-through
|
6,080,547
|
|
102.15
|
|
104.64
|
|
4.0
|
%
|
3.4
|
%
|
|||
Interest-only
|
1,539,941
|
|
9.06
|
|
8.29
|
|
1.6
|
%
|
4.0
|
%
|
|||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|||
Project loans
|
2,621,938
|
|
101.82
|
|
106.86
|
|
3.7
|
%
|
3.6
|
%
|
|||
Interest-only
|
1,817,246
|
|
2.81
|
|
2.70
|
|
0.7
|
%
|
4.7
|
%
|
|
June 30, 2020
|
December 31, 2019
|
|
|
AAA
|
0.4
|
%
|
0.4
|
%
|
AA
|
0.1
|
%
|
0.1
|
%
|
A
|
0.8
|
%
|
0.9
|
%
|
BBB
|
1.5
|
%
|
1.6
|
%
|
BB
|
4.0
|
%
|
3.8
|
%
|
B
|
1.8
|
%
|
1.6
|
%
|
Below B or not rated
|
91.4
|
%
|
91.6
|
%
|
Total
|
100.0
|
%
|
100.0
|
%
|
|
June 30, 2020
|
December 31, 2019
|
||||||
Weighted average maturity (years)
|
|
23.0
|
|
|
23.6
|
|
||
Weighted average amortized loan to value (1)
|
|
62.4
|
%
|
|
63.2
|
%
|
||
Weighted average FICO (2)
|
|
717
|
|
|
719
|
|
||
Weighted average loan balance (in thousands)
|
|
$
|
302
|
|
|
$
|
313
|
|
Weighted average percentage owner occupied
|
|
81.1
|
%
|
|
80.6
|
%
|
||
Weighted average percentage single family residence
|
|
60.7
|
%
|
|
60.0
|
%
|
||
Weighted average current credit enhancement
|
|
0.9
|
%
|
|
1.1
|
%
|
||
Weighted average geographic concentration of top four states
|
CA
|
33.0
|
%
|
CA
|
32.5
|
%
|
||
|
FL
|
7.2
|
%
|
FL
|
6.6
|
%
|
||
|
NY
|
7.0
|
%
|
NY
|
6.3
|
%
|
||
|
TX
|
2.2
|
%
|
TX
|
2.0
|
%
|
Origination Year
|
June 30, 2020
|
December 31, 2019
|
|
|
2003 and prior
|
1.9
|
%
|
1.3
|
%
|
2004
|
1.6
|
%
|
1.5
|
%
|
2005
|
11.2
|
%
|
10.7
|
%
|
2006
|
52.0
|
%
|
52.9
|
%
|
2007
|
26.9
|
%
|
26.6
|
%
|
2008 and later
|
6.4
|
%
|
7.0
|
%
|
Total
|
100.0
|
%
|
100.0
|
%
|
|
For the Quarters Ended
|
For the Six Months Ended
|
||||||||||
|
June 30, 2020
|
June 30, 2019
|
June 30, 2020
|
June 30, 2019
|
||||||||
|
(dollars in thousands)
|
(dollars in thousands)
|
||||||||||
Proceeds from sales:
|
|
|
|
|
||||||||
Non-Agency RMBS
|
108,163
|
|
792
|
|
141,960
|
|
5,221
|
|
||||
Agency RMBS
|
—
|
|
425,396
|
|
5,710,134
|
|
1,907,766
|
|
||||
Agency CMBS
|
221,651
|
|
—
|
|
326,668
|
|
22,482
|
|
||||
|
|
|
|
|
||||||||
Gross realized gains:
|
|
|
|
|
||||||||
Non-Agency RMBS
|
20,017
|
|
115
|
|
21,274
|
|
400
|
|
||||
Agency RMBS
|
—
|
|
13
|
|
74,264
|
|
27,025
|
|
||||
Agency CMBS
|
12,542
|
|
—
|
|
18,691
|
|
—
|
|
||||
Gross realized losses:
|
|
|
|
|
||||||||
Non-Agency RMBS
|
(6,179
|
)
|
(108
|
)
|
(6,179
|
)
|
(1,429
|
)
|
||||
Agency RMBS
|
—
|
|
(7,546
|
)
|
(5,816
|
)
|
(22,694
|
)
|
||||
Agency CMBS
|
—
|
|
—
|
|
—
|
|
(2,225
|
)
|
||||
Net realized gain (loss)
|
$
|
26,380
|
|
$
|
(7,526
|
)
|
$
|
102,234
|
|
$
|
1,077
|
|
|
For the Six Months Ended
|
For the Year Ended
|
||||
|
June 30, 2020
|
December 31, 2019
|
||||
|
(dollars in thousands)
|
|||||
Balance, beginning of period
|
$
|
14,292,815
|
|
$
|
12,572,581
|
|
Purchases
|
177,857
|
|
5,086,491
|
|
||
Principal paydowns
|
(895,764
|
)
|
(1,717,745
|
)
|
||
Sales and settlements
|
6,662
|
|
(1,812,760
|
)
|
||
Net periodic accretion (amortization)
|
(49,064
|
)
|
(77,491
|
)
|
||
Realized gains (losses) on sales and settlements
|
—
|
|
1,590
|
|
||
Change in fair value
|
(495,673
|
)
|
240,149
|
|
||
Balance, end of period
|
$
|
13,036,833
|
|
$
|
14,292,815
|
|
Origination Year
|
June 30, 2020
|
December 31, 2019 (1)
|
||
2002 and prior
|
6.7
|
%
|
6.8
|
%
|
2003
|
5.9
|
%
|
6.0
|
%
|
2004
|
12.3
|
%
|
12.6
|
%
|
2005
|
18.6
|
%
|
18.6
|
%
|
2006
|
23.1
|
%
|
22.5
|
%
|
2007
|
21.8
|
%
|
20.7
|
%
|
2008
|
6.3
|
%
|
6.4
|
%
|
2009
|
1.2
|
%
|
1.5
|
%
|
2010 and later
|
4.1
|
%
|
4.9
|
%
|
Total
|
100.0
|
%
|
100.0
|
%
|
|
June 30, 2020
|
December 31, 2019 (1)
|
||||||
Number of loans
|
|
135,836
|
|
|
139,194
|
|
||
Weighted average maturity (years)
|
|
19.6
|
|
|
19.3
|
|
||
Weighted average loan to value (2)
|
|
86.3
|
%
|
|
87.4
|
%
|
||
Weighted average FICO (2)
|
|
632
|
|
|
627
|
|
||
Weighted average loan balance (in thousands)
|
|
$
|
97
|
|
|
$
|
95
|
|
Weighted average percentage owner occupied
|
|
86.6
|
%
|
|
88.0
|
%
|
||
Weighted average percentage single family residence
|
|
83.6
|
%
|
|
84.4
|
%
|
||
Weighted average geographic concentration of top five states
|
CA
|
12.5
|
%
|
CA
|
11.6
|
%
|
||
|
FL
|
7.8
|
%
|
FL
|
7.4
|
%
|
||
|
NY
|
7.1
|
%
|
NY
|
6.9
|
%
|
||
|
PA
|
5.1
|
%
|
OH
|
5.3
|
%
|
||
|
VA
|
5.0
|
%
|
PA
|
5.3
|
%
|
|
30 Days Delinquent
|
60 Days Delinquent
|
90+ Days Delinquent
|
Bankruptcy
|
Foreclosure
|
REO
|
Total
|
Unpaid Principal Balance
|
|||||||||
(dollars in thousands)
|
|||||||||||||||||
June 30, 2020
|
$1,058,059
|
$485,036
|
$540,755
|
$297,249
|
$266,443
|
$42,771
|
$2,690,313
|
$
|
13,129,822
|
|
|||||||
% of Unpaid Principal Balance
|
8.1
|
%
|
3.7
|
%
|
4.1
|
%
|
2.3
|
%
|
2.0
|
%
|
0.3
|
%
|
20.5
|
%
|
|
||
|
|
|
|
|
|
|
|
|
|||||||||
December 31, 2019(1)
|
$1,070,173
|
$336,950
|
$291,866
|
$322,288
|
$298,526
|
$59,389
|
$2,379,192
|
$
|
13,169,843
|
|
|||||||
% of Unpaid Principal Balance
|
8.1
|
%
|
2.6
|
%
|
2.2
|
%
|
2.4
|
%
|
2.3
|
%
|
0.5
|
%
|
18.1
|
%
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||
|
(dollars in thousands)
|
||||||||
|
Unpaid
Principal/ Notional |
Fair Value
|
|
Unpaid
Principal/ Notional |
Fair Value
|
||||
Assets:
|
|
|
|
|
|
||||
Non-agency RMBS
|
|
|
|
|
|
||||
Subordinated
|
609,672
|
|
352,402
|
|
|
580,761
|
|
422,826
|
|
Interest-only
|
6,380,154
|
|
319,701
|
|
|
7,458,653
|
|
288,899
|
|
Agency RMBS
|
|
|
|
|
|
||||
Pass-through
|
—
|
|
—
|
|
|
6,080,549
|
|
6,362,628
|
|
Interest-only
|
1,425,919
|
|
107,263
|
|
|
1,539,941
|
|
127,667
|
|
Agency CMBS
|
|
|
|
|
|
||||
Project loans
|
1,777,609
|
|
2,002,571
|
|
|
1,753,755
|
|
1,889,923
|
|
Interest-only
|
1,690,539
|
|
40,015
|
|
|
1,817,246
|
|
49,025
|
|
Loans held for investment, at fair value
|
13,129,822
|
|
13,036,833
|
|
|
13,924,291
|
|
14,292,815
|
|
Liabilities:
|
|
|
|
|
|
|
|
||
Securitized debt at fair value, collateralized by loans held for investment
|
8,747,000
|
|
8,530,111
|
|
|
8,184,369
|
|
8,179,608
|
|
|
For the Quarter Ended
|
For the Six Months Ended
|
||||||
|
June 30, 2020
|
June 30, 2019
|
June 30, 2020
|
June 30, 2019
|
||||
|
(dollars in thousands)
|
(dollars in thousands)
|
||||||
|
Gain/(Loss) on Change in Fair Value
|
Gain/(Loss) on Change in Fair Value
|
||||||
Assets:
|
|
|
|
|
||||
Non-agency RMBS
|
|
|
|
|
||||
Senior
|
—
|
|
392
|
|
—
|
|
620
|
|
Subordinated
|
(7,157
|
)
|
5,780
|
|
(87,960
|
)
|
7,099
|
|
Interest-only
|
105,772
|
|
12,455
|
|
56,946
|
|
36,591
|
|
Agency RMBS
|
|
|
|
|
||||
Pass-through
|
—
|
|
55,585
|
|
(151,056
|
)
|
107,597
|
|
Interest-only
|
6,187
|
|
(4,515
|
)
|
(11,478
|
)
|
(2,188
|
)
|
Agency CMBS
|
|
|
|
|
||||
Project loans
|
12,348
|
|
84,286
|
|
88,011
|
|
125,448
|
|
Interest-only
|
484
|
|
390
|
|
1,627
|
|
2,304
|
|
Loans held for investment, at fair value
|
185,842
|
|
119,839
|
|
(495,673
|
)
|
226,384
|
|
Liabilities:
|
|
|
|
|
|
|||
Securitized debt at fair value, collateralized by loans held for investment
|
(475,397
|
)
|
(83,464
|
)
|
166,774
|
|
(112,294
|
)
|
|
June 30, 2020
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Counterparty and Cash Collateral, netting
|
Total
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-Agency RMBS, at fair value
|
$
|
—
|
|
$
|
—
|
|
$
|
2,184,170
|
|
$
|
—
|
|
$
|
2,184,170
|
|
Agency RMBS, at fair value
|
—
|
|
107,263
|
|
—
|
|
—
|
|
107,263
|
|
|||||
Agency CMBS, at fair value
|
—
|
|
2,612,344
|
|
—
|
|
—
|
|
2,612,344
|
|
|||||
Loans held for investment, at fair value
|
—
|
|
—
|
|
13,036,833
|
|
—
|
|
13,036,833
|
|
|||||
Derivatives
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
|
|
|
|
|
|
||||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
—
|
|
—
|
|
8,530,111
|
|
—
|
|
8,530,111
|
|
|||||
Derivatives
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|
December 31, 2019
|
|||||||||||||
|
(dollars in thousands)
|
|||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Counterparty and Cash Collateral, netting
|
Total
|
|||||||||
Assets:
|
|
|
|
|
|
|||||||||
Non-Agency RMBS, at fair value
|
$
|
—
|
|
$
|
—
|
|
2,614,408
|
|
$
|
—
|
|
$
|
2,614,408
|
|
Agency RMBS, at fair value
|
—
|
|
6,490,293
|
|
—
|
|
—
|
|
6,490,293
|
|
||||
Agency CMBS, at fair value
|
—
|
|
2,850,717
|
|
—
|
|
—
|
|
2,850,717
|
|
||||
Loans held for investment, at fair value
|
—
|
|
—
|
|
14,292,815
|
|
—
|
|
14,292,815
|
|
||||
Derivatives
|
3,611
|
|
1,092
|
|
—
|
|
(1,092
|
)
|
3,611
|
|
||||
|
|
|
|
|
|
|||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
||||
Securitized debt at fair value, collateralized by loans held for investment
|
—
|
|
—
|
|
8,179,608
|
|
—
|
|
8,179,608
|
|
||||
Derivatives
|
—
|
|
205,703
|
|
—
|
|
(205,703
|
)
|
—
|
|
Fair Value Reconciliation, Level 3
|
|||||||||
|
For the Six Months Ended
|
||||||||
|
June 30, 2020
|
||||||||
|
(dollars in thousands)
|
||||||||
|
Non-Agency RMBS
|
Loans held for investment
|
Securitized Debt
|
||||||
Beginning balance Level 3
|
$
|
2,614,408
|
|
$
|
14,292,815
|
|
$
|
8,179,608
|
|
Transfers into Level 3
|
135,118
|
|
—
|
|
—
|
|
|||
Transfers out of Level 3
|
(135,118
|
)
|
—
|
|
—
|
|
|||
Purchases of assets/ issuance of debt
|
19,512
|
|
177,857
|
|
1,462,493
|
|
|||
Principal payments
|
(124,351
|
)
|
(895,764
|
)
|
(773,422
|
)
|
|||
Sales and Settlements
|
(141,912
|
)
|
6,662
|
|
(146,663
|
)
|
|||
Net accretion (amortization)
|
20,667
|
|
(49,064
|
)
|
(24,677
|
)
|
|||
Gains (losses) included in net income
|
|
|
|
||||||
(Increase) decrease in provision for credit losses
|
(1,817
|
)
|
—
|
|
—
|
|
|||
Realized gains (losses) on sales and settlements
|
15,096
|
|
—
|
|
(459
|
)
|
|||
Net unrealized gains (losses) included in income
|
(31,013
|
)
|
(495,673
|
)
|
(166,769
|
)
|
|||
Gains (losses) included in other comprehensive income
|
|
|
|
||||||
Total unrealized gains (losses) for the period
|
(186,420
|
)
|
—
|
|
—
|
|
|||
Ending balance Level 3
|
$
|
2,184,170
|
|
$
|
13,036,833
|
|
$
|
8,530,111
|
|
Fair Value Reconciliation, Level 3
|
|||||||||
|
For the Year Ended
|
||||||||
|
December 31, 2019
|
||||||||
|
(dollars in thousands)
|
||||||||
|
Non-Agency RMBS
|
Loans held for investment
|
Securitized Debt
|
||||||
Beginning balance Level 3
|
$
|
2,486,130
|
|
$
|
12,572,581
|
|
$
|
8,455,376
|
|
Transfers into Level 3
|
—
|
|
—
|
|
—
|
|
|||
Transfers out of Level 3
|
—
|
|
—
|
|
—
|
|
|||
Purchases of assets/ issuance of debt
|
497,848
|
|
5,086,491
|
|
1,487,286
|
|
|||
Principal payments
|
(415,518
|
)
|
(1,717,745
|
)
|
(1,530,818
|
)
|
|||
Sales and Settlements
|
(38,605
|
)
|
(1,812,760
|
)
|
(314,454
|
)
|
|||
Net accretion (amortization)
|
95,562
|
|
(77,491
|
)
|
(26,758
|
)
|
|||
Gains (losses) included in net income
|
|
|
|
|
|
|
|||
Other than temporary credit impairment losses
|
(4,853
|
)
|
—
|
|
—
|
|
|||
Realized gains (losses) on sales and settlements
|
(1,088
|
)
|
1,590
|
|
(9,925
|
)
|
|||
Net unrealized gains (losses) included in income
|
28,577
|
|
240,149
|
|
118,901
|
|
|||
Gains (losses) included in other comprehensive income
|
|
|
|
||||||
Total unrealized gains (losses) for the period
|
(33,645
|
)
|
—
|
|
—
|
|
|||
Ending balance Level 3
|
$
|
2,614,408
|
|
$
|
14,292,815
|
|
$
|
8,179,608
|
|
|
June 30, 2020
|
|||||||
|
Significant Inputs
|
|||||||
|
Discount Rate
|
Prepay Rate
|
CDR
|
Loss Severity
|
||||
|
Range
|
Weighted Average
|
Range
|
Weighted Average
|
Range
|
Weighted Average
|
Range
|
Weighted Average
|
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
Senior
|
3%-10%
|
4.2%
|
1%-23%
|
7.4%
|
0%-8%
|
2.0%
|
27%-81%
|
45.3%
|
Subordinated
|
4%-13%
|
7.5%
|
2%-35%
|
9.4%
|
0%-5%
|
1.4%
|
10%-58%
|
37.2%
|
Interest-only
|
0%-100%
|
10.1%
|
5%-45%
|
21.7%
|
0%-10%
|
1.3%
|
0%-85%
|
36.1%
|
|
December 31, 2019
|
|||||||
|
Significant Inputs
|
|||||||
|
Discount Rate
|
Prepay Rate
|
CDR
|
Loss Severity
|
||||
|
Range
|
Weighted Average
|
Range
|
Weighted Average
|
Range
|
Weighted Average
|
Range
|
Weighted Average
|
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
Senior
|
3% -8%
|
3.8%
|
6% -20%
|
9.4%
|
0% -9%
|
1.8%
|
26% -82%
|
42.0%
|
Subordinated
|
0% -13%
|
5.3%
|
6% -35%
|
9.6%
|
0% -6%
|
1.3%
|
27% -55%
|
36.7%
|
Interest-only
|
0% -100%
|
11.4%
|
6% -43%
|
18.5%
|
0% -6%
|
1.0%
|
26% -83%
|
35.3%
|
|
June 30, 2020
|
|||||||
|
Significant Inputs
|
|||||||
|
Discount Rate
|
Prepay Rate
|
CDR
|
Loss Severity
|
||||
|
Range
|
Weighted Average
|
Range
|
Weighted Average
|
Range
|
Weighted Average
|
Range
|
Weighted Average
|
Securitized debt at fair value, collateralized by loans held for investment
|
0%-10%
|
3.5%
|
5%-20%
|
8.6%
|
0%-3%
|
1.5%
|
30%-75%
|
60.2%
|
|
December 31, 2019
|
|||||||
|
Significant Inputs
|
|||||||
|
Discount Rate
|
Prepay Rate
|
CDR
|
Loss Severity
|
||||
|
Range
|
Weighted Average
|
Range
|
Weighted Average
|
Range
|
Weighted Average
|
Range
|
Weighted Average
|
Securitized debt at fair value, collateralized by loans held for investment
|
0% -10%
|
3.3%
|
6% - 20%
|
9.1%
|
0% - 3%
|
1.4%
|
30% - 75%
|
59.9%
|
|
|
|
|
|
June 30, 2020
|
|
December 31, 2019
|
Factor:
|
|
|
|
Coupon
|
|
|
|
Base Rate
|
4.6%
|
|
4.3%
|
Actual
|
6.4%
|
|
6.6%
|
|
|
|
|
FICO
|
|
|
|
Base Rate
|
638
|
|
636
|
Actual
|
629
|
|
624
|
|
|
|
|
Loan-to-value (LTV)
|
|
|
|
Base Rate
|
90%
|
|
86%
|
Actual
|
86%
|
|
88%
|
|
|
|
|
Loan Characteristics:
|
|
|
|
Occupancy
|
|
|
|
Owner Occupied
|
88%
|
|
89%
|
Investor
|
2%
|
|
2%
|
Secondary
|
10%
|
|
9%
|
Property Type
|
|
|
|
Single family
|
85%
|
|
85%
|
Manufactured housing
|
3%
|
|
4%
|
Multi-family/mixed use/other
|
12%
|
|
11%
|
|
June 30, 2020
|
||||
|
(dollars in thousands)
|
||||
|
Level in Fair Value Hierarchy
|
Carrying Amount
|
Fair Value
|
||
Secured financing agreements (1)
|
2
|
5,944,201
|
|
6,012,236
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
3
|
124,414
|
|
103,506
|
|
Long Term Debt
|
2
|
71,600
|
|
105,440
|
|
|
December 31, 2019
|
||||
|
(dollars in thousands)
|
||||
|
Level in Fair Value Hierarchy
|
Carrying Amount
|
Fair Value
|
||
Secured financing agreements
|
2
|
13,427,545
|
|
13,450,193
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
3
|
133,557
|
|
117,552
|
|
|
June 30, 2020 (1)
|
December 31, 2019
|
||||
Secured financing agreements outstanding secured by:
|
|
|
||||
Agency RMBS (in thousands)
|
$
|
77,008
|
|
$
|
6,247,275
|
|
Agency CMBS (in thousands)
|
2,046,782
|
|
2,013,515
|
|
||
Non-agency RMBS and Loans held for investment (in thousands)
|
3,619,627
|
|
5,166,755
|
|
||
Total:
|
$
|
5,743,417
|
|
$
|
13,427,545
|
|
|
|
|
||||
MBS pledged as collateral at fair value on Secured financing agreements:
|
|
|
|
|
||
Agency RMBS (in thousands)
|
$
|
99,938
|
|
$
|
6,602,039
|
|
Agency CMBS (in thousands)
|
2,158,413
|
|
2,102,520
|
|
||
Non-agency RMBS and Loans held for investment (in thousands)
|
5,181,023
|
|
6,694,685
|
|
||
Total:
|
$
|
7,439,374
|
|
$
|
15,399,244
|
|
|
|
|
||||
Average balance of Secured financing agreements secured by:
|
|
|
|
|
||
Agency RMBS (in thousands)
|
$
|
2,551,002
|
|
$
|
8,062,881
|
|
Agency CMBS (in thousands)
|
2,142,221
|
|
1,993,372
|
|
||
Non-agency RMBS and Loans held for investment (in thousands)
|
4,737,808
|
|
4,436,133
|
|
||
Total:
|
$
|
9,431,031
|
|
$
|
14,492,386
|
|
|
|
|
||||
Average borrowing rate of Secured financing agreements secured by:
|
|
|
|
|
||
Agency RMBS (in thousands)
|
1.15
|
%
|
2.10
|
%
|
||
Agency CMBS (in thousands)
|
0.28
|
%
|
2.10
|
%
|
||
Non-agency RMBS and Loans held for investment (in thousands)
|
4.47
|
%
|
3.19
|
%
|
||
|
|
|
||||
Average remaining maturity of Secured financing agreements secured by:
|
|
|
|
|
||
Agency RMBS (in thousands)
|
6 Days
|
|
14 Days
|
|
||
Agency CMBS (in thousands)
|
15 Days
|
|
13 Days
|
|
||
Non-agency RMBS and Loans held for investment (in thousands)
|
606 Days
|
|
255 Days
|
|
||
|
|
|
||||
Average original maturity of Secured financing agreements secured by:
|
|
|
|
|
||
Agency RMBS (in thousands)
|
12 Days
|
|
38 Days
|
|
||
Agency CMBS (in thousands)
|
30 Days
|
|
34 Days
|
|
||
Non-agency RMBS and Loans held for investment (in thousands)
|
628 Days
|
|
279 Days
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||
|
(dollars in thousands)
|
||||||||||
|
Principal
|
Weighted Average Borrowing Rates
|
Range of Borrowing Rates
|
|
Principal
|
Weighted Average Borrowing Rates
|
Range of Borrowing Rates
|
||||
Overnight
|
$
|
—
|
|
NA
|
NA
|
|
$
|
—
|
|
NA
|
NA
|
1 to 29 days
|
2,311,122
|
|
0.48%
|
0.21% - 2.74%
|
|
9,709,387
|
|
2.26%
|
1.90% - 3.62%
|
||
30 to 59 days
|
296,041
|
|
2.55%
|
1.97% - 2.67%
|
|
800,648
|
|
2.96%
|
2.15% - 3.52%
|
||
60 to 89 days (1)
|
65,390
|
|
2.37%
|
2.15% - 2.43%
|
|
608,520
|
|
3.00%
|
2.59% - 3.35%
|
||
90 to 119 days
|
—
|
|
NA
|
NA
|
|
—
|
|
NA
|
NA
|
||
120 to 180 days
|
191,904
|
|
1.96%
|
1.66% - 2.93%
|
|
809,077
|
|
3.38%
|
3.06% - 3.46%
|
||
180 days to 1 year
|
1,497,192
|
|
5.34%
|
1.68% - 8.74%
|
|
580,886
|
|
3.42%
|
3.26% - 3.51%
|
||
1 to 2 years
|
187,187
|
|
2.92%
|
1.68% - 4.50 %
|
|
427,981
|
|
3.28%
|
3.19% - 3.30%
|
||
2 to 3 years
|
400,000
|
|
7.00%
|
7.00% - 7.00%
|
|
—
|
|
NA
|
NA
|
||
Greater than 3 years
|
794,581
|
|
3.91%
|
1.58% - 5.56 %
|
|
491,046
|
|
3.20%
|
3.19% - 3.20%
|
||
Total
|
$
|
5,743,417
|
|
2.93%
|
|
|
$
|
13,427,545
|
|
2.52%
|
|
|
June 30, 2020
|
December 31, 2019
|
||||
|
(dollars in thousands)
|
|||||
Within One Year
|
$
|
15,541
|
|
$
|
18,826
|
|
One to Three Years
|
15,522
|
|
18,332
|
|
||
Three to Five Years
|
3,032
|
|
4,453
|
|
||
Greater Than Five Years
|
451
|
|
665
|
|
||
Total
|
$
|
34,546
|
|
$
|
42,276
|
|
|
June 30, 2020
|
December 31, 2019
|
||||
|
(dollars in thousands)
|
|||||
Within One Year
|
$
|
1,647,991
|
|
$
|
1,582,646
|
|
One to Three Years
|
2,688,204
|
|
2,563,699
|
|
||
Three to Five Years
|
1,856,959
|
|
1,791,756
|
|
||
Greater Than Five Years
|
2,451,374
|
|
2,129,460
|
|
||
Total
|
$
|
8,644,528
|
|
$
|
8,067,561
|
|
June 30, 2020
|
|||
(dollars in thousands)
|
|||
Year
|
Principal
|
||
2020
|
3,201,993
|
|
|
2021
|
2,559,613
|
|
|
2022
|
1,510,154
|
|
|
2023
|
403,236
|
|
|
Total
|
$
|
7,674,996
|
|
|
June 30, 2020
|
December 31, 2019
|
||||
|
(dollars in thousands)
|
|||||
Assets:
|
|
|
||||
Non-Agency RMBS, at fair value (1)
|
$
|
524,205
|
|
$
|
598,080
|
|
Loans held for investment, at fair value
|
11,973,418
|
|
11,853,659
|
|
||
Accrued interest receivable
|
60,717
|
|
63,218
|
|
||
Other assets
|
20,495
|
|
29,787
|
|
||
Liabilities:
|
|
|
|
|
||
Securitized debt, collateralized by Non-Agency RMBS
|
$
|
124,414
|
|
$
|
133,557
|
|
Securitized debt at fair value, collateralized by loans held for investment
|
8,277,843
|
|
7,899,259
|
|
||
Accrued interest payable
|
26,029
|
|
28,775
|
|
||
Other liabilities
|
2,791
|
|
2,644
|
|
|
For the Quarters ended
|
|||||
|
June 30, 2020
|
June 30, 2019
|
||||
|
(dollars in thousands)
|
|||||
Interest income, Assets of consolidated VIEs
|
$
|
169,127
|
|
$
|
200,703
|
|
Interest expense, Non-recourse liabilities of VIEs
|
70,816
|
|
87,529
|
|
||
Net interest income
|
$
|
98,311
|
|
$
|
113,174
|
|
|
|
|
|
|||
(Increase) decrease in provision for credit losses
|
$
|
(75
|
)
|
$
|
—
|
|
|
|
|
|
|||
Servicing fees
|
$
|
8,145
|
|
$
|
8,861
|
|
|
For the Six Months ended
|
|||||
|
June 30, 2020
|
June 30, 2019
|
||||
|
(dollars in thousands)
|
|||||
Interest income, Assets of consolidated VIEs
|
$
|
343,809
|
|
$
|
407,814
|
|
Interest expense, Non-recourse liabilities of VIEs
|
135,445
|
|
178,556
|
|
||
Net interest income
|
$
|
208,364
|
|
$
|
229,258
|
|
|
|
|
|
|||
(Increase) decrease in provision for credit losses
|
$
|
(216
|
)
|
$
|
—
|
|
|
|
|
|
|||
Servicing fees
|
$
|
16,382
|
|
$
|
17,600
|
|
|
|
|
|
June 30, 2020
|
||||||||||
|
|
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||
Derivative Instruments
|
|
Notional Amount Outstanding
|
|
Location on Consolidated Statements of Financial
Condition
|
Net Estimated Fair Value/Carrying Value
|
|
Location on Consolidated Statements of Financial
Condition
|
Net Estimated Fair Value/Carrying Value
|
||||||
|
|
|
|
(dollars in thousands)
|
|
|
|
|||||||
Interest Rate Swaps
|
|
$
|
—
|
|
|
Derivatives, at fair value, net
|
$
|
—
|
|
|
Derivatives, at fair value, net
|
$
|
—
|
|
Treasury Futures
|
|
—
|
|
|
Derivatives, at fair value, net
|
—
|
|
|
Derivatives, at fair value, net
|
—
|
|
|||
Total
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
|
|
|
December 31, 2019
|
||||||||||
|
|
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||
Derivative Instruments
|
|
Notional Amount Outstanding
|
|
Location on Consolidated Statements of Financial
Condition
|
Net Estimated Fair Value/Carrying Value
|
|
Location on Consolidated Statements of Financial
Condition
|
Net Estimated Fair Value/Carrying Value
|
||||||
|
|
|
|
(dollars in thousands)
|
|
|
|
|||||||
Interest Rate Swaps
|
|
$
|
4,111,300
|
|
|
Derivatives, at fair value, net
|
$
|
—
|
|
|
Derivatives, at fair value, net
|
$
|
—
|
|
Treasury Futures
|
|
619,700
|
|
|
Derivatives, at fair value, net
|
3,611
|
|
|
Derivatives, at fair value, net
|
—
|
|
|||
Total
|
|
$
|
4,731,000
|
|
|
|
$
|
3,611
|
|
|
|
$
|
—
|
|
|
|
Net gains (losses) on derivatives
for the quarters ended |
|||||
Derivative Instruments
|
Location on Consolidated Statements of
Operations and Comprehensive Income |
June 30, 2020
|
June 30, 2019
|
||||
|
|
(dollars in thousands)
|
|||||
Interest Rate Swaps
|
Net unrealized gains (losses) on derivatives
|
$
|
—
|
|
$
|
(130,639
|
)
|
Interest Rate Swaps
|
Net realized gains (losses) on derivatives (1)
|
—
|
|
(91,288
|
)
|
||
Treasury Futures
|
Net unrealized gains (losses) on derivatives
|
—
|
|
(1,197
|
)
|
||
Treasury Futures
|
Net realized gains (losses) on derivatives
|
—
|
|
(13,544
|
)
|
||
Swaptions
|
Net unrealized gains (losses) on derivatives
|
—
|
|
(335
|
)
|
||
Swaptions
|
Net realized gains (losses) on derivatives
|
—
|
|
(76
|
)
|
||
Total
|
|
$
|
—
|
|
$
|
(237,079
|
)
|
|
|
Net gains (losses) on derivatives
for the six months ended |
|||||
Derivative Instruments
|
Location on Consolidated Statements of
Operations and Comprehensive Income |
June 30, 2020
|
June 30, 2019
|
||||
|
|
(dollars in thousands)
|
|||||
Interest Rate Swaps
|
Net unrealized gains (losses) on derivatives
|
$
|
204,611
|
|
$
|
(224,714
|
)
|
Interest Rate Swaps
|
Net realized gains (losses) on derivatives (1)
|
(470,352
|
)
|
(193,873
|
)
|
||
Treasury Futures
|
Net unrealized gains (losses) on derivatives
|
(3,611
|
)
|
4,128
|
|
||
Treasury Futures
|
Net realized gains (losses) on derivatives
|
(34,700
|
)
|
(26,123
|
)
|
||
Swaptions
|
Net unrealized gains (losses) on derivatives
|
—
|
|
(900
|
)
|
||
Swaptions
|
Net realized gains (losses) on derivatives
|
—
|
|
(235
|
)
|
||
Total
|
|
$
|
(304,052
|
)
|
$
|
(441,717
|
)
|
|
For the Quarters Ended
|
|||||
|
June 30, 2020
|
June 30, 2019
|
||||
|
(dollars in thousands)
|
|||||
Numerator:
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
(73,393
|
)
|
$
|
40,322
|
|
Effect of dilutive securities:
|
—
|
|
—
|
|
||
Dilutive net income (loss) available to common shareholders
|
$
|
(73,393
|
)
|
$
|
40,322
|
|
|
|
|
||||
Denominator:
|
|
|
|
|
||
Weighted average basic shares
|
199,282,790
|
|
187,153,007
|
|
||
Effect of dilutive securities
|
—
|
|
1,118,476
|
|
||
Weighted average dilutive shares
|
199,282,790
|
|
188,271,483
|
|
||
|
|
|
||||
Net income (loss) per average share attributable to common stockholders - Basic
|
$
|
(0.37
|
)
|
$
|
0.22
|
|
Net income (loss) per average share attributable to common stockholders - Diluted
|
$
|
(0.37
|
)
|
$
|
0.21
|
|
|
For the Six Months Ended
|
|||||
|
June 30, 2020
|
June 30, 2019
|
||||
|
(dollars in thousands)
|
|||||
Numerator:
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
(462,585
|
)
|
$
|
141,078
|
|
Effect of dilutive securities:
|
—
|
|
—
|
|
||
Dilutive net income (loss) available to common shareholders
|
$
|
(462,585
|
)
|
$
|
141,078
|
|
|
|
|
||||
Denominator:
|
|
|
|
|
||
Weighted average basic shares
|
193,150,696
|
|
187,132,842
|
|
||
Effect of dilutive securities
|
—
|
|
1,121,424
|
|
||
Weighted average dilutive shares
|
193,150,696
|
|
188,254,266
|
|
||
|
|
|
||||
Net income (loss) per average share attributable to common stockholders - Basic
|
$
|
(2.39
|
)
|
$
|
0.75
|
|
Net income (loss) per average share attributable to common stockholders - Diluted
|
$
|
(2.39
|
)
|
$
|
0.75
|
|
|
June 30, 2020
|
|||||
|
(dollars in thousands)
|
|||||
|
Unrealized gains (losses) on available-for-sale securities, net
|
Total Accumulated OCI Balance
|
||||
Balance as of December 31, 2019
|
$
|
708,336
|
|
$
|
708,336
|
|
OCI before reclassifications
|
(137,805
|
)
|
(137,805
|
)
|
||
Amounts reclassified from AOCI
|
(33,021
|
)
|
(33,021
|
)
|
||
Net current period OCI
|
(170,826
|
)
|
(170,826
|
)
|
||
Balance as of June 30, 2020
|
$
|
537,510
|
|
$
|
537,510
|
|
|
June 30, 2019
|
|||||
|
(dollars in thousands)
|
|||||
|
Unrealized gains (losses) on available-for-sale securities, net
|
Total Accumulated OCI Balance
|
||||
Balance as of December 31, 2018
|
$
|
626,832
|
|
$
|
626,832
|
|
OCI before reclassifications
|
85,218
|
|
85,218
|
|
||
Amounts reclassified from AOCI
|
27,040
|
|
27,040
|
|
||
Net current period OCI
|
112,258
|
|
112,258
|
|
||
Balance as of June 30, 2019
|
$
|
739,090
|
|
$
|
739,090
|
|
|
June 30, 2020
|
June 30, 2019
|
|
||||
Details about Accumulated OCI Components
|
Amounts Reclassified
from Accumulated OCI
|
Amounts Reclassified
from Accumulated OCI
|
Affected Line on the Consolidated Statements Of Operations
|
||||
Unrealized gains and losses on available-for-sale securities
|
|
|
|
||||
|
$
|
33,021
|
|
$
|
(22,187
|
)
|
Net realized gains (losses) on sales of investments
|
|
—
|
|
(4,853
|
)
|
Net other-than-temporary credit impairment losses
|
||
|
$
|
33,021
|
|
$
|
(27,040
|
)
|
Income before income taxes
|
|
—
|
|
—
|
|
Income taxes
|
||
|
$
|
33,021
|
|
$
|
(27,040
|
)
|
Net of tax
|
|
June 30, 2020
|
|||||||||||||||||
|
(dollars in thousands)
|
|||||||||||||||||
|
Gross Amounts of Recognized Assets (Liabilities)
|
Gross Amounts Offset in the Consolidated Statements of Financial Position
|
Net Amounts Offset in the Consolidated Statements of Financial Position
|
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position
|
|
|||||||||||||
|
Financial
Instruments
|
Cash Collateral (Received) Pledged (1)
|
Net Amount
|
|||||||||||||||
Secured Financing Agreements
|
$
|
(5,944,201
|
)
|
$
|
—
|
|
$
|
(5,944,201
|
)
|
$
|
7,769,369
|
|
$
|
59,755
|
|
$
|
1,884,923
|
|
Total
|
$
|
(5,944,201
|
)
|
$
|
—
|
|
$
|
(5,944,201
|
)
|
$
|
7,769,369
|
|
$
|
59,755
|
|
$
|
1,884,923
|
|
|
December 31, 2019
|
|||||||||||||||||
|
(dollars in thousands)
|
|||||||||||||||||
|
Gross Amounts of Recognized Assets (Liabilities)
|
Gross Amounts Offset in the Consolidated Statements of Financial Position
|
Net Amounts Offset in the Consolidated Statements of Financial Position
|
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position
|
|
|||||||||||||
|
Financial
Instruments
|
Cash Collateral (Received) Pledged (1)
|
Net Amount
|
|||||||||||||||
Secured Financing Agreements
|
$
|
(13,427,545
|
)
|
$
|
—
|
|
$
|
(13,427,545
|
)
|
$
|
15,399,244
|
|
$
|
20,211
|
|
$
|
1,991,910
|
|
Interest Rate Swaps - Gross Assets
|
1,092
|
|
(1,092
|
)
|
—
|
|
—
|
|
119,469
|
|
119,469
|
|
||||||
Interest Rate Swaps - Gross Liabilities
|
(205,703
|
)
|
205,703
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Treasury Futures - Gross Assets
|
3,611
|
|
—
|
|
3,611
|
|
—
|
|
1,514
|
|
5,125
|
|
||||||
Treasury Futures - Gross Liabilities
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Total
|
$
|
(13,628,545
|
)
|
$
|
204,611
|
|
$
|
(13,423,934
|
)
|
$
|
15,399,244
|
|
$
|
141,194
|
|
$
|
2,116,504
|
|
•
|
our business and investment strategy;
|
•
|
our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends;
|
•
|
our ability to determine accurately the fair market value of our assets;
|
•
|
availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations;
|
•
|
effect of the novel coronavirus (or COVID-19) pandemic on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets;
|
•
|
how COVID-19 may affect us, our operations and our personnel;
|
•
|
our expected investments;
|
•
|
changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets;
|
•
|
changes in interest rates and mortgage prepayment rates;
|
•
|
prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS;
|
•
|
rates of default, delinquencies or decreased recovery rates on our investments;
|
•
|
general volatility of the securities markets in which we invest;
|
•
|
our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements;
|
•
|
our ability to effect our strategy to securitize residential mortgage loans;
|
•
|
interest rate mismatches between our investments and our borrowings used to finance such purchases;
|
•
|
effects of interest rate caps on our adjustable-rate investments;
|
•
|
the degree to which our hedging strategies may or may not protect us from interest rate volatility;
|
•
|
the impact of and changes to various government programs, including in response to COVID-19;
|
•
|
impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters;
|
•
|
market trends in our industry, interest rates, the debt securities markets or the general economy;
|
•
|
estimates relating to our ability to make distributions to our stockholders in the future;
|
•
|
our understanding of our competition;
|
•
|
availability of qualified personnel;
|
•
|
our ability to maintain our classification as a real estate investment trust, or, REIT, for U.S. federal income tax purposes;
|
•
|
our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act;
|
•
|
our expectations regarding materiality or significance; and
|
•
|
the effectiveness of our disclosure controls and procedures.
|
Net Income
|
||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||
(unaudited)
|
||||||||||||
|
For the Quarters Ended
|
For the Six Months Ended
|
||||||||||
|
June 30, 2020
|
June 30, 2019
|
June 30, 2020
|
June 30, 2019
|
||||||||
Net interest income:
|
|
|
|
|
||||||||
Interest income (1)
|
$
|
245,922
|
|
$
|
339,914
|
|
$
|
546,189
|
|
$
|
690,303
|
|
Interest expense (2)
|
129,256
|
|
198,110
|
|
271,339
|
|
401,060
|
|
||||
Net interest income
|
116,666
|
|
141,804
|
|
274,850
|
|
289,243
|
|
||||
|
|
|
|
|
||||||||
Increase (decrease) in provision for credit losses
|
(4,497
|
)
|
—
|
|
1,817
|
|
—
|
|
||||
|
|
|
|
|
||||||||
Net other-than-temporary credit impairment losses
|
—
|
|
—
|
|
—
|
|
(4,853
|
)
|
||||
|
|
|
|
|
||||||||
Other investment gains (losses):
|
|
|
|
|
|
|
||||||
Net unrealized gains (losses) on derivatives
|
—
|
|
(132,171
|
)
|
201,000
|
|
(221,486
|
)
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
—
|
|
(95,211
|
)
|
(463,966
|
)
|
(203,257
|
)
|
||||
Net realized gains (losses) on derivatives
|
—
|
|
(9,697
|
)
|
(41,086
|
)
|
(16,974
|
)
|
||||
Net gains (losses) on derivatives
|
—
|
|
(237,079
|
)
|
(304,052
|
)
|
(441,717
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
(171,921
|
)
|
190,748
|
|
(432,809
|
)
|
391,561
|
|
||||
Net realized gains (losses) on sales of investments
|
26,380
|
|
(7,526
|
)
|
102,234
|
|
1,077
|
|
||||
Gains (losses) on extinguishment of debt
|
459
|
|
(608
|
)
|
459
|
|
(608
|
)
|
||||
Total other gains (losses)
|
(145,082
|
)
|
(54,465
|
)
|
(634,168
|
)
|
(49,687
|
)
|
||||
|
|
|
|
|
||||||||
Other expenses:
|
|
|
|
|
|
|
|
|
||||
Compensation and benefits
|
10,255
|
|
12,114
|
|
23,190
|
|
26,484
|
|
||||
General and administrative expenses
|
6,562
|
|
6,217
|
|
12,239
|
|
12,019
|
|
||||
Servicing fees
|
9,473
|
|
9,280
|
|
19,462
|
|
18,243
|
|
||||
Transaction expenses
|
4,710
|
|
813
|
|
9,616
|
|
895
|
|
||||
Total other expenses
|
31,000
|
|
28,424
|
|
64,507
|
|
57,641
|
|
||||
Income (loss) before income taxes
|
(54,919
|
)
|
58,915
|
|
(425,642
|
)
|
177,062
|
|
||||
Income taxes
|
36
|
|
155
|
|
68
|
|
155
|
|
||||
Net income (loss)
|
$
|
(54,955
|
)
|
$
|
58,760
|
|
$
|
(425,710
|
)
|
$
|
176,907
|
|
|
|
|
|
|
|
|
|
|
||||
Dividends on preferred stock
|
18,438
|
|
18,438
|
|
36,875
|
|
35,829
|
|
||||
|
|
|
|
|
|
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
(73,393
|
)
|
$
|
40,322
|
|
$
|
(462,585
|
)
|
$
|
141,078
|
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|
|
||||
Basic
|
$
|
(0.37
|
)
|
$
|
0.22
|
|
$
|
(2.39
|
)
|
$
|
0.75
|
|
Diluted
|
$
|
(0.37
|
)
|
$
|
0.21
|
|
$
|
(2.39
|
)
|
$
|
0.75
|
|
|
|
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
||||
Basic
|
199,282,790
|
|
187,153,007
|
|
193,150,696
|
|
187,132,842
|
|
||||
Diluted
|
199,282,790
|
|
188,271,483
|
|
193,150,696
|
|
188,254,266
|
|
||||
|
|
|
|
|
||||||||
|
|
|
|
|
||||||||
Dividends declared per share of common stock
|
$
|
0.30
|
|
$
|
0.50
|
|
$
|
0.80
|
|
$
|
1.00
|
|
|
GAAP
Interest Income |
|
GAAP
Interest Expense |
Net Realized (Gains)
Losses on Interest Rate Swaps |
Interest Expense on Long Term Debt
|
Economic Interest
Expense |
|
GAAP Net Interest
Income |
Net Realized
Gains (Losses) on Interest Rate Swaps |
Other (1)
|
Economic
Net Interest Income |
||||||||||||||||||
For the Quarter Ended June 30, 2020
|
$
|
245,922
|
|
|
$
|
129,256
|
|
$
|
—
|
|
$
|
(4,391
|
)
|
$
|
124,865
|
|
|
$
|
116,666
|
|
$
|
—
|
|
$
|
4,358
|
|
$
|
121,024
|
|
For the Quarter Ended March 31, 2020
|
$
|
300,266
|
|
|
$
|
142,083
|
|
$
|
6,385
|
|
$
|
—
|
|
$
|
148,468
|
|
|
$
|
158,183
|
|
$
|
(6,385
|
)
|
$
|
(1,266
|
)
|
$
|
150,532
|
|
For the Quarter Ended December 31, 2019
|
$
|
340,662
|
|
|
$
|
169,203
|
|
$
|
5,409
|
|
$
|
—
|
|
$
|
174,612
|
|
|
$
|
171,459
|
|
$
|
(5,409
|
)
|
$
|
(1,664
|
)
|
$
|
164,386
|
|
For the Quarter Ended September 30, 2019
|
$
|
330,144
|
|
|
$
|
188,551
|
|
$
|
963
|
|
$
|
—
|
|
$
|
189,514
|
|
|
$
|
141,593
|
|
$
|
(963
|
)
|
$
|
(2,465
|
)
|
$
|
138,165
|
|
For the Quarter Ended June 30, 2019
|
$
|
339,914
|
|
|
$
|
198,110
|
|
$
|
(3,923
|
)
|
$
|
—
|
|
$
|
194,187
|
|
|
$
|
141,804
|
|
$
|
3,923
|
|
$
|
(2,237
|
)
|
$
|
143,490
|
|
|
For the Quarter Ended
|
||||||||||||||||
|
June 30, 2020
|
|
June 30, 2019
|
||||||||||||||
|
(dollars in thousands)
|
|
(dollars in thousands)
|
||||||||||||||
|
Average
Balance |
Interest
|
Average
Yield/Cost |
|
Average
Balance |
Interest
|
Average
Yield/Cost |
||||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||||
Interest-earning assets (1):
|
|
|
|
|
|
|
|
||||||||||
Agency RMBS
|
$
|
132,915
|
|
$
|
682
|
|
2.1
|
%
|
|
$
|
8,866,523
|
|
$
|
73,652
|
|
3.3
|
%
|
Agency CMBS
|
2,223,629
|
|
20,161
|
|
3.6
|
%
|
|
2,138,240
|
|
19,573
|
|
3.7
|
%
|
||||
Non-Agency RMBS
|
1,758,255
|
|
57,515
|
|
13.1
|
%
|
|
1,918,451
|
|
74,618
|
|
15.6
|
%
|
||||
Loans held for investment
|
13,202,723
|
|
167,531
|
|
5.1
|
%
|
|
11,906,654
|
|
169,834
|
|
5.7
|
%
|
||||
Total
|
$
|
17,317,522
|
|
$
|
245,889
|
|
5.7
|
%
|
|
$
|
24,829,868
|
|
$
|
337,677
|
|
5.4
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Secured financing agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency RMBS
|
$
|
77,114
|
|
$
|
228
|
|
1.2
|
%
|
|
$
|
8,566,949
|
|
$
|
55,147
|
|
2.6
|
%
|
Agency CMBS
|
2,188,202
|
|
2,346
|
|
0.4
|
%
|
|
1,896,296
|
|
11,601
|
|
2.4
|
%
|
||||
Non-Agency RMBS
|
1,292,934
|
|
22,408
|
|
6.9
|
%
|
|
1,284,996
|
|
13,155
|
|
4.1
|
%
|
||||
Loans held for investment
|
2,978,013
|
|
27,338
|
|
3.7
|
%
|
|
2,892,756
|
|
26,755
|
|
3.7
|
%
|
||||
Securitized debt
|
8,459,641
|
|
72,545
|
|
3.4
|
%
|
|
7,943,504
|
|
87,529
|
|
4.4
|
%
|
||||
Total
|
$
|
14,995,904
|
|
$
|
124,865
|
|
3.3
|
%
|
|
$
|
22,584,501
|
|
$
|
194,187
|
|
3.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
121,024
|
|
2.4
|
%
|
|
|
|
$
|
143,490
|
|
2.0
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,321,618
|
|
|
|
2.8
|
%
|
|
$
|
2,245,367
|
|
|
|
2.3
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.15
|
|
|
|
|
|
|
1.10
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(2) Interest includes net cash paid/received on swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Six Months Ended
|
||||||||||||||||
|
June 30, 2020
|
|
June 30, 2019
|
||||||||||||||
|
(dollars in thousands)
|
|
(dollars in thousands)
|
||||||||||||||
|
Average
Balance |
Interest
|
Average
Yield/Cost |
|
Average
Balance |
Interest
|
Average
Yield/Cost |
||||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||||
Interest-earning assets (1):
|
|
|
|
|
|
|
|
||||||||||
Agency RMBS
|
$
|
2,715,407
|
|
$
|
43,345
|
|
3.2
|
%
|
|
$
|
9,198,082
|
|
$
|
158,297
|
|
3.4
|
%
|
Agency CMBS
|
2,213,342
|
|
40,860
|
|
3.7
|
%
|
|
2,052,818
|
|
38,523
|
|
3.8
|
%
|
||||
Non-Agency RMBS
|
1,816,723
|
|
118,529
|
|
13.0
|
%
|
|
1,866,132
|
|
146,145
|
|
15.7
|
%
|
||||
Loans held for investment
|
13,430,616
|
|
342,157
|
|
5.1
|
%
|
|
12,010,129
|
|
343,530
|
|
5.7
|
%
|
||||
Total
|
$
|
20,176,088
|
|
$
|
544,891
|
|
5.4
|
%
|
|
$
|
25,127,161
|
|
$
|
686,495
|
|
5.5
|
%
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Secured financing agreements collateralized by:
|
|
|
|
|
|
|
|
||||||||||
Agency RMBS
|
$
|
2,551,002
|
|
$
|
27,342
|
|
2.1
|
%
|
|
$
|
8,683,452
|
|
$
|
109,183
|
|
2.5
|
%
|
Agency CMBS
|
$
|
2,142,221
|
|
$
|
14,706
|
|
1.4
|
%
|
|
1,792,056
|
|
26,877
|
|
3.0
|
%
|
||
Non-Agency RMBS
|
1,320,438
|
|
32,073
|
|
4.9
|
%
|
|
1,237,309
|
|
25,345
|
|
4.1
|
%
|
||||
Loans held for investment
|
3,417,370
|
|
60,229
|
|
3.5
|
%
|
|
2,803,420
|
|
51,715
|
|
3.7
|
%
|
||||
Securitized debt
|
8,251,762
|
|
138,984
|
|
3.4
|
%
|
|
8,124,730
|
|
178,556
|
|
4.4
|
%
|
||||
Total
|
$
|
17,682,793
|
|
$
|
273,334
|
|
3.1
|
%
|
|
$
|
22,640,967
|
|
$
|
391,676
|
|
3.5
|
%
|
|
|
|
|
|
|
|
|
||||||||||
Economic net interest income/net interest rate spread
|
|
$
|
271,557
|
|
2.3
|
%
|
|
|
|
$
|
294,819
|
|
2.0
|
%
|
|||
|
|
|
|
|
|
|
|
||||||||||
Net interest-earning assets/net interest margin
|
$
|
2,493,295
|
|
|
2.7
|
%
|
|
$
|
2,486,193
|
|
|
|
2.3
|
%
|
|||
|
|
|
|
|
|
|
|
||||||||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.14
|
|
|
|
|
1.11
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
||||||||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
||||||||||
(2) Interest includes net cash paid/received on swaps
|
|
|
|
|
|
|
|
|
Average Debt Balance
|
Economic Interest Expense (1)
|
Average Cost of Funds
|
Average One-Month LIBOR
|
Average Three-Month LIBOR
|
Average One-Month LIBOR Relative to Average Three-Month LIBOR
|
||||||||
|
(Ratios have been annualized, dollars in thousands)
|
|||||||||||||
For The Quarter Ended June 30, 2020
|
$
|
14,995,904
|
|
$
|
124,865
|
|
3.33
|
%
|
0.35
|
%
|
0.60
|
%
|
(0.25
|
)%
|
For The Quarter Ended March 31, 2020
|
$
|
19,834,389
|
|
$
|
148,468
|
|
2.99
|
%
|
1.40
|
%
|
1.53
|
%
|
(0.13
|
)%
|
For The Quarter Ended December 31, 2019
|
$
|
22,237,809
|
|
$
|
174,612
|
|
3.14
|
%
|
1.79
|
%
|
1.93
|
%
|
(0.14
|
)%
|
For The Quarter Ended September 30, 2019
|
$
|
22,415,775
|
|
$
|
189,514
|
|
3.38
|
%
|
2.18
|
%
|
2.20
|
%
|
(0.02
|
)%
|
For The Quarter Ended June 30, 2019
|
$
|
22,584,501
|
|
$
|
194,187
|
|
3.44
|
%
|
2.44
|
%
|
2.51
|
%
|
(0.07
|
)%
|
|
For the Quarters Ended
|
For the Six Months Ended
|
||||||||||
|
June 30, 2020
|
June 30, 2019
|
June 30, 2020
|
June 30, 2019
|
||||||||
|
(dollars in thousands)
|
|||||||||||
Periodic interest income (expense) on interest rate swaps, net
|
$
|
—
|
|
$
|
3,923
|
|
$
|
(6,386
|
)
|
$
|
9,384
|
|
Realized gains (losses) on derivative instruments, net:
|
|
|
|
|
|
|
|
|
||||
Swaps Terminations
|
—
|
|
(95,211
|
)
|
(463,966
|
)
|
(203,257
|
)
|
||||
Treasury Futures
|
—
|
|
(13,544
|
)
|
(34,700
|
)
|
(26,123
|
)
|
||||
Swaptions
|
—
|
|
(76
|
)
|
—
|
|
(235
|
)
|
||||
Total realized gains (losses) on derivative instruments, net
|
—
|
|
(108,831
|
)
|
(498,666
|
)
|
(229,615
|
)
|
||||
Unrealized gains (losses) on derivative instruments, net:
|
|
|
|
|
|
|
|
|
||||
Interest Rate Swaps
|
—
|
|
(130,639
|
)
|
204,611
|
|
(224,714
|
)
|
||||
Treasury Futures
|
—
|
|
(1,197
|
)
|
(3,611
|
)
|
4,128
|
|
||||
Swaptions
|
—
|
|
(335
|
)
|
—
|
|
(900
|
)
|
||||
Total unrealized gains (losses) on derivative instruments, net:
|
—
|
|
(132,171
|
)
|
201,000
|
|
(221,486
|
)
|
||||
Total gains (losses) on derivative instruments, net
|
$
|
—
|
|
$
|
(237,079
|
)
|
$
|
(304,052
|
)
|
$
|
(441,717
|
)
|
|
Total Compensation, G&A and Transaction Expenses
|
Total Compensation, G&A and Transaction Expenses/Average Assets
|
Total Compensation, G&A and Transaction Expenses/Average Equity
|
||||
|
(Ratios have been annualized, dollars in thousands)
|
||||||
For The Quarter Ended June 30, 2020
|
$
|
21,527
|
|
0.46
|
%
|
2.59
|
%
|
For The Quarter Ended March 31, 2020
|
$
|
23,518
|
|
0.41
|
%
|
2.61
|
%
|
For The Quarter Ended December 31, 2019
|
$
|
24,831
|
|
0.36
|
%
|
2.50
|
%
|
For The Quarter Ended September 30, 2019
|
$
|
22,134
|
|
0.32
|
%
|
2.22
|
%
|
For The Quarter Ended June 30, 2019
|
$
|
19,144
|
|
0.27
|
%
|
1.93
|
%
|
|
Return on Average Equity
|
Economic Net Interest Income/Average Equity *
|
Core Earnings/Average Common Equity
|
|||
|
(Ratios have been annualized)
|
|||||
For the Quarter Ended June 30, 2020
|
(6.62
|
)%
|
14.58
|
%
|
12.72
|
%
|
For the Quarter Ended March 31, 2020
|
(41.21
|
)%
|
16.73
|
%
|
15.88
|
%
|
For the Quarter Ended December 31, 2019
|
13.12
|
%
|
16.55
|
%
|
15.78
|
%
|
For the Quarter Ended September 30, 2019
|
10.68
|
%
|
13.88
|
%
|
12.37
|
%
|
For the Quarter Ended June 30, 2019
|
5.93
|
%
|
14.49
|
%
|
13.10
|
%
|
|
June 30, 2020
|
December 31, 2019
|
||||
Interest earning assets at period-end (1)
|
$
|
17,940,610
|
|
$
|
26,248,233
|
|
Interest bearing liabilities at period-end
|
$
|
14,670,326
|
|
$
|
21,740,710
|
|
GAAP Leverage at period-end
|
4.3:1
|
|
5.5:1
|
|
||
GAAP Leverage at period-end (recourse)
|
1.8:1
|
|
3.4:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
10.0
|
%
|
7.9
|
%
|
||
Senior
|
5.1
|
%
|
4.5
|
%
|
||
Subordinated
|
3.3
|
%
|
2.2
|
%
|
||
Interest-only
|
1.6
|
%
|
1.2
|
%
|
||
Agency RMBS
|
0.8
|
%
|
25.7
|
%
|
||
Pass-through
|
—
|
%
|
25.1
|
%
|
||
Interest-only
|
0.8
|
%
|
0.6
|
%
|
||
Agency CMBS
|
13.8
|
%
|
11.0
|
%
|
||
Project loans
|
13.6
|
%
|
10.8
|
%
|
||
Interest-only
|
0.2
|
%
|
0.2
|
%
|
||
Loans held for investment
|
75.4
|
%
|
55.4
|
%
|
||
Fixed-rate percentage of portfolio
|
94.9
|
%
|
95.9
|
%
|
||
Adjustable-rate percentage of portfolio
|
5.1
|
%
|
4.1
|
%
|
|
June 30, 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)
|
Weighted Average 3 Month Prepay Rate at Period-End
|
Weighted Average 12 Month Prepay Rate at Period-End
|
Weighted Average 3 Month CDR at Period-End
|
Weighted Average 12 Month CDR at Period-End
|
Weighted Average Loss Severity(2)
|
Weighted Average Credit Enhancement
|
||||||||||||||
Non-Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Senior
|
$
|
1,697,252
|
|
$
|
51.81
|
|
$
|
79.06
|
|
4.6
|
%
|
16.8
|
%
|
9.3
|
%
|
9.5
|
%
|
2.3
|
%
|
3.5
|
%
|
52.0
|
%
|
2.8
|
%
|
Subordinated
|
$
|
893,311
|
|
$
|
62.91
|
|
$
|
58.51
|
|
3.6
|
%
|
6.4
|
%
|
10.7
|
%
|
10.2
|
%
|
0.4
|
%
|
1.0
|
%
|
26.7
|
%
|
3.8
|
%
|
Interest-only
|
$
|
6,380,154
|
|
$
|
4.31
|
|
$
|
5.01
|
|
1.5
|
%
|
15.5
|
%
|
22.6
|
%
|
16.9
|
%
|
1.2
|
%
|
1.9
|
%
|
51.9
|
%
|
—
|
%
|
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Pass-through
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
—
|
%
|
—
|
%
|
—
|
%
|
—
|
%
|
N/A
|
|
N/A
|
|
N/A
|
|
N/A
|
|
Interest-only
|
$
|
1,425,919
|
|
$
|
9.16
|
|
$
|
7.52
|
|
1.4
|
%
|
2.1
|
%
|
17.6
|
%
|
14.5
|
%
|
N/A
|
|
N/A
|
|
N/A
|
|
N/A
|
|
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Project loans
|
$
|
2,297,301
|
|
$
|
101.71
|
|
$
|
111.97
|
|
3.8
|
%
|
3.7
|
%
|
—
|
%
|
—
|
%
|
N/A
|
|
N/A
|
|
N/A
|
|
N/A
|
|
Interest-only
|
$
|
1,690,539
|
|
$
|
2.40
|
|
$
|
2.37
|
|
0.7
|
%
|
5.0
|
%
|
9.5
|
%
|
3.8
|
%
|
N/A
|
|
N/A
|
|
N/A
|
|
N/A
|
|
Loans held for investment
|
$
|
13,129,822
|
|
$
|
98.74
|
|
$
|
99.43
|
|
5.8
|
%
|
5.1
|
%
|
8.2
|
%
|
8.6
|
%
|
1.2
|
%
|
1.7
|
%
|
51.1
|
%
|
N/A
|
|
|
December 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)
|
Weighted Average 3 Month Prepay Rate at Period-End
|
Weighted Average 12 Month Prepay Rate at Period-End
|
Weighted Average 3 Month CDR at Period-End
|
Weighted Average 12 Month CDR at Period-End
|
Weighted Average Loss Severity(2)
|
Weighted Average Credit Enhancement
|
||||||||||||||
Non-Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Senior
|
$
|
2,024,567
|
|
$
|
52.98
|
|
$
|
84.01
|
|
5.0
|
%
|
20.8
|
%
|
9.6
|
%
|
9.3
|
%
|
4.5
|
%
|
4.5
|
%
|
48.7
|
%
|
3.8
|
%
|
Subordinated
|
$
|
876,592
|
|
$
|
63.15
|
|
$
|
71.25
|
|
3.7
|
%
|
6.9
|
%
|
10.1
|
%
|
11.3
|
%
|
1.0
|
%
|
2.8
|
%
|
42.6
|
%
|
3.9
|
%
|
Interest-only
|
$
|
7,458,653
|
|
$
|
4.04
|
|
$
|
3.87
|
|
1.1
|
%
|
8.4
|
%
|
18.3
|
%
|
11.0
|
%
|
1.6
|
%
|
2.4
|
%
|
56.0
|
%
|
—
|
%
|
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Pass-through
|
$
|
6,080,547
|
|
$
|
102.15
|
|
$
|
104.64
|
|
4.0
|
%
|
3.4
|
%
|
37.4
|
%
|
21.9
|
%
|
N/A
|
|
N/A
|
|
N/A
|
|
N/A
|
|
Interest-only
|
$
|
1,539,941
|
|
$
|
9.06
|
|
$
|
8.29
|
|
1.6
|
%
|
4.0
|
%
|
14.9
|
%
|
9.9
|
%
|
N/A
|
|
N/A
|
|
N/A
|
|
N/A
|
|
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Project loans
|
$
|
2,621,938
|
|
$
|
101.82
|
|
$
|
106.86
|
|
3.7
|
%
|
3.6
|
%
|
—
|
%
|
0.1
|
%
|
N/A
|
|
N/A
|
|
N/A
|
|
N/A
|
|
Interest-only
|
$
|
1,817,246
|
|
$
|
2.81
|
|
$
|
2.70
|
|
0.7
|
%
|
4.7
|
%
|
5.3
|
%
|
2.5
|
%
|
N/A
|
|
N/A
|
|
N/A
|
|
N/A
|
|
Loans held for investment
|
$
|
13,924,291
|
|
$
|
98.61
|
|
$
|
102.83
|
|
5.7
|
%
|
5.2
|
%
|
8.6
|
%
|
8.5
|
%
|
1.6
|
%
|
1.7
|
%
|
52.0
|
%
|
N/A
|
|
|
For the Quarters Ended
|
||||||||||||||
Accretable Discount (Net of Premiums)
|
June 30, 2020
|
|
March 31, 2020
|
|
December 31, 2019
|
|
September 30, 2019
|
|
June 30, 2019
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
438,232
|
|
$
|
494,255
|
|
$
|
494,780
|
|
$
|
514,095
|
|
$
|
485,040
|
|
Accretion of discount
|
(22,508
|
)
|
(24,784
|
)
|
(44,342
|
)
|
(33,256
|
)
|
(35,964
|
)
|
|||||
Purchases
|
—
|
|
(4,336
|
)
|
(12,541
|
)
|
(13,772
|
)
|
48,736
|
|
|||||
Sales and deconsolidation
|
(23,425
|
)
|
438
|
|
(786
|
)
|
1,536
|
|
409
|
|
|||||
Transfers from/(to) credit reserve, net
|
18,148
|
|
(27,341
|
)
|
57,144
|
|
26,177
|
|
15,874
|
|
|||||
Balance, end of period
|
$
|
410,447
|
|
$
|
438,232
|
|
$
|
494,255
|
|
$
|
494,780
|
|
$
|
514,095
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||
|
(dollars in thousands)
|
||||||||||
|
Principal
|
Weighted Average Borrowing Rates
|
Range of Borrowing Rates
|
|
Principal
|
Weighted Average Borrowing Rates
|
Range of Borrowing Rates
|
||||
Overnight
|
$
|
—
|
|
NA
|
NA
|
|
$
|
—
|
|
NA
|
NA
|
1 to 29 days
|
2,311,122
|
|
0.48%
|
0.21% - 2.74%
|
|
9,709,387
|
|
2.26%
|
1.90% - 3.62%
|
||
30 to 59 days
|
296,041
|
|
2.55%
|
1.97% - 2.67%
|
|
800,648
|
|
2.96%
|
2.15% - 3.52%
|
||
60 to 89 days (1)
|
65,390
|
|
2.37%
|
2.15% - 2.43%
|
|
608,520
|
|
3.00%
|
2.59% - 3.35%
|
||
90 to 119 days
|
—
|
|
NA
|
NA
|
|
—
|
|
NA
|
NA
|
||
120 to 180 days
|
191,904
|
|
1.96%
|
1.66% - 2.93%
|
|
809,077
|
|
3.38%
|
3.06% - 3.46%
|
||
180 days to 1 year
|
1,497,192
|
|
5.34%
|
1.68% - 8.74%
|
|
580,886
|
|
3.42%
|
3.26% - 3.51%
|
||
1 to 2 years
|
187,187
|
|
2.92%
|
1.68% - 4.50 %
|
|
427,981
|
|
3.28%
|
3.19% - 3.30%
|
||
2 to 3 years
|
400,000
|
|
7.00%
|
7.00% - 7.00%
|
|
—
|
|
NA
|
NA
|
||
Greater than 3 years
|
794,581
|
|
3.91%
|
1.58% - 5.56 %
|
|
491,046
|
|
3.20%
|
3.19% - 3.20%
|
||
Total
|
$
|
5,743,417
|
|
2.93%
|
|
|
$
|
13,427,545
|
|
2.52%
|
|
|
|
|
|
|
|
|
|
Period
|
Average Repurchase Balance
|
Repurchase Balance at Period End
|
||||
|
(dollars in thousands)
|
|||||
Quarter End June 30, 2020
|
$
|
6,536,264
|
|
$
|
5,944,201
|
|
Quarter End March 31, 2020
|
$
|
11,754,793
|
|
$
|
7,146,996
|
|
Quarter End December 31, 2019
|
$
|
14,479,405
|
|
$
|
13,427,545
|
|
Quarter End September 30, 2019
|
$
|
14,596,640
|
|
$
|
15,002,106
|
|
Quarter End June 30, 2019
|
$
|
14,640,997
|
|
$
|
14,514,719
|
|
June 30, 2020
|
||||||||||
|
|
|
|
|
||||||
Country
|
Number of Counterparties
|
Secured Financing Agreement
|
Interest Rate Swaps at Fair Value
|
Exposure (1)
|
||||||
(dollars in thousands)
|
||||||||||
United States
|
11
|
$
|
3,737,104
|
|
$
|
—
|
|
$
|
1,109,394
|
|
Japan
|
1
|
949,588
|
|
—
|
|
323,571
|
|
|||
Switzerland
|
1
|
220,796
|
|
—
|
|
76,855
|
|
|||
Canada
|
1
|
517,826
|
|
—
|
|
202,560
|
|
|||
Netherlands
|
1
|
148,269
|
|
—
|
|
7,886
|
|
|||
South Korea
|
1
|
169,834
|
|
—
|
|
5,967
|
|
|||
Total
|
16
|
$
|
5,743,417
|
|
$
|
—
|
|
$
|
1,726,233
|
|
June 30, 2020
|
|||||||||||||||
(dollars in thousands)
|
|||||||||||||||
Contractual Obligations
|
Within One Year
|
One to Three Years
|
Three to Five Years
|
Greater Than or Equal to Five Years
|
Total
|
||||||||||
Secured financing agreements
|
$
|
4,562,432
|
|
$
|
587,187
|
|
$
|
794,582
|
|
$
|
—
|
|
$
|
5,944,201
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
15,541
|
|
15,522
|
|
3,032
|
|
451
|
|
34,546
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
1,647,991
|
|
2,688,204
|
|
1,856,959
|
|
2,451,374
|
|
8,644,528
|
|
|||||
Interest expense on MBS secured financing agreements (1)
|
41,057
|
|
2,681
|
|
4,938
|
|
—
|
|
48,676
|
|
|||||
Interest expense on securitized debt (1)
|
282,812
|
|
403,740
|
|
243,563
|
|
340,225
|
|
1,270,340
|
|
|||||
Total
|
$
|
6,549,833
|
|
$
|
3,697,334
|
|
$
|
2,903,074
|
|
$
|
2,792,050
|
|
$
|
15,942,291
|
|
December 31, 2019
|
|||||||||||||||
(dollars in thousands)
|
|||||||||||||||
Contractual Obligations
|
Within One Year
|
One to Three Years
|
Three to Five Years
|
Greater Than or Equal to Five Years
|
Total
|
||||||||||
Secured financing agreements
|
$
|
12,508,518
|
|
$
|
427,981
|
|
$
|
491,046
|
|
$
|
—
|
|
$
|
13,427,545
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
18,826
|
|
18,332
|
|
4,453
|
|
665
|
|
42,276
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
1,582,646
|
|
2,563,699
|
|
1,791,756
|
|
2,129,460
|
|
8,067,561
|
|
|||||
Interest expense on MBS secured financing agreements (1)
|
36,789
|
|
1,249
|
|
1,340
|
|
—
|
|
39,378
|
|
|||||
Interest expense on securitized debt (1)
|
311,848
|
|
435,462
|
|
259,004
|
|
361,241
|
|
1,367,555
|
|
|||||
Total
|
$
|
14,458,627
|
|
$
|
3,446,723
|
|
$
|
2,547,599
|
|
$
|
2,491,366
|
|
$
|
22,944,315
|
|
|
June 30, 2020
|
|||
Change in Interest Rate
|
Projected Percentage Change in Net Interest Income (1)
|
Projected Percentage Change in Portfolio Value with Effect of Interest Rate Swaps and Other Hedging Transactions (2)
|
||
-100 Basis Points
|
4.44
|
%
|
5.21
|
%
|
-50 Basis Points
|
4.44
|
%
|
3.93
|
%
|
Base Interest Rate
|
—
|
|
—
|
|
+50 Basis Points
|
(16.98
|
)%
|
(3.98
|
)%
|
+100 Basis Points
|
(33.92
|
)%
|
(7.77
|
)%
|
•
|
monitoring and adjusting, if necessary, the reset index and interest rate related to our RMBS and our financings;
|
•
|
attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods, rights to post both cash and collateral for margin calls and provisions for non mark-to-market facilities;
|
•
|
using derivatives, financial futures, swaps, options, caps, floors and forward sales to adjust the interest rate sensitivity of our investments and our borrowings;
|
•
|
using securitization financing to receive the benefit of attractive financing terms for an extended period of time in contrast to short term financing and maturity dates of the investments not included in the securitization; and
|
•
|
actively managing, through assets selection, on an aggregate basis, the interest rate indices, interest rate adjustment periods, and gross reset margins of our investments and the interest rate indices and adjustment periods of our financings.
|
June 30, 2020
|
|||||||||||||||
(dollars in thousands)
|
|||||||||||||||
|
Within 3 Months
|
3-12 Months
|
1 Year to 3 Years
|
Greater than
3 Years
|
Total
|
||||||||||
Rate sensitive assets
|
$
|
236,727
|
|
$
|
672,310
|
|
$
|
106,089
|
|
$
|
16,943,708
|
|
$
|
17,958,834
|
|
Cash equivalents
|
302,553
|
|
—
|
|
—
|
|
—
|
|
302,553
|
|
|||||
Total rate sensitive assets
|
$
|
539,280
|
|
$
|
672,310
|
|
$
|
106,089
|
|
$
|
16,943,708
|
|
$
|
18,261,387
|
|
|
|
|
|
|
|
||||||||||
Rate sensitive liabilities
|
7,582,793
|
|
6,340,387
|
|
350,343
|
|
—
|
|
14,273,523
|
|
|||||
Interest rate sensitivity gap
|
$
|
(7,043,513
|
)
|
$
|
(5,668,077
|
)
|
$
|
(244,254
|
)
|
$
|
16,943,708
|
|
$
|
3,987,864
|
|
|
|
|
|
|
|
||||||||||
Cumulative rate sensitivity gap
|
$
|
(7,043,513
|
)
|
$
|
(12,711,590
|
)
|
$
|
(12,955,844
|
)
|
$
|
3,987,864
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Cumulative interest rate sensitivity gap as a percentage of total rate sensitive assets
|
(39
|
)%
|
(70
|
)%
|
(71
|
)%
|
22
|
%
|
|
|
|
Total Number of Common Shares Repurchased
|
Average Price Paid per Share
|
Total Number of Shares Purchased As Part of Publicly Announced Plans or Programs
|
Approximate Dollar Value of the Purchase
|
Approximate Dollar Value of Shares That May Yet be Purchased Under the Plans or Programs
|
||||||||
|
|
|
|
|
|
||||||||
3/1/2020 - 3/31/2020
|
1,437,996
|
|
$
|
15.34
|
|
1,437,996
|
|
$
|
22,065,953
|
|
$
|
127,934,047
|
|
|
1,437,996
|
|
$
|
15.34
|
|
1,437,996
|
|
$
|
22,065,953
|
|
$
|
127,934,047
|
|
3.9
|
|
3.10
|
|
3.11
|
|
4.1
|
|
4.2
|
|
4.3
|
|
4.4
|
|
4.5
|
|
4.6
|
|
4.7
|
|
4.8
|
|
4.9
|
|
4.10
|
|
31.1
|
|
31.2
|
|
32.1
|
|
32.2
|
|
101.INS*
|
XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.
|
101.SCH*
|
XBRL Taxonomy Extension Schema Document
|
101.CAL*
|
XBRL Taxonomy Extension Calculation Linkbase Document
|
101.LAB*
|
XBRL Taxonomy Extension Labels Linkbase Document
|
101.PRE*
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
101.DEF*
|
XBRL Taxonomy Extension Definition Linkbase Document
|
104
|
Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)
|
†
|
Represents a management contract or compensatory plan or arrangement
|
*
|
This exhibit is being furnished rather than filed, and shall not be deemed incorporated by reference into any filing, in accordance with Item 601 of Regulation S-K
|
CHIMERA INVESTMENT CORPORATION
|
||
|
|
|
|
By:
|
/s/ Matthew Lambiase
|
|
|
Matthew Lambiase
|
|
|
(Chief Executive Officer and President
|
|
|
and duly authorized officer of the registrant)
|
Date: August 6, 2020
|
|
|
|
By:
|
/s/ Rob Colligan
|
|
|
Rob Colligan
|
|
|
(Chief Financial Officer
|
|
|
and principal financial officer of the registrant)
|
Date: August 6, 2020
|
|
|
|
Date: August 6, 2020
|
|
/s/ Matthew Lambiase
|
|
Matthew Lambiase
|
|
Chief Executive Officer and President (Principal Executive Officer)
|
|
Date: August 6, 2020
|
|
/s/ Rob Colligan
|
|
Rob Colligan
|
|
Chief Financial Officer (Principal Financial Officer)
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
|
|
/s/ Matthew Lambiase
|
|
Matthew Lambiase
|
|
Chief Executive Officer and President
|
|
Date: August 6, 2020
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
|
|
/s/ Rob Colligan
|
|
Rob Colligan
|
|
Chief Financial Officer
|
|
Date: August 6, 2020
|