MARYLAND
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26-0630461
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(State or other jurisdiction of incorporation of organization)
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(I.R.S. Employer Identification Number)
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520 Madison Avenue, 32
nd
Floor
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New York, New York
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10022
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(Address of Principal Executive Offices)
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(Zip Code)
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Title of Each Class
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Name of Each Exchange on Which Registered
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Common Stock, par value $0.01 per share
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New York Stock Exchange
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8.00% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share
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New York Stock Exchange
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8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock, par value $0.01 per share
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New York Stock Exchange
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7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock, par value $0.01 per share
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New York Stock Exchange
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8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock, par value $0.01 per share
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New York Stock Exchange
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our business and investment strategy;
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availability of investment opportunities in real estate-related and other securities;
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our expected investments;
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changes in the value of our investments;
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changes in interest rates and mortgage prepayment rates;
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prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS;
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rates of default, delinquencies or decreased recovery rates on our investments;
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general volatility of the securities markets in which we invest;
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our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements;
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our ability to effect our strategy to securitize residential mortgage loans;
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interest rate mismatches between our investments and our borrowings used to finance such purchases;
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effects of interest rate caps on our adjustable-rate investments;
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the degree to which our hedging strategies may or may not protect us from interest rate volatility;
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the impact of and changes to various government programs;
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impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters;
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market trends in our industry, interest rates, the debt securities markets or the general economy;
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estimates relating to our ability to make distributions to our stockholders in the future;
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our understanding of our competition;
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availability of qualified personnel;
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our ability to maintain our classification as a REIT for U.S. federal income tax purposes;
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our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act;
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our expectations regarding materiality or significance; and
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the effectiveness of our disclosure controls and procedures.
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No investment shall be made that would cause us to fail to qualify as a REIT for U.S. federal income tax purposes;
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No investment shall be made that would cause us to be regulated as an investment company under the 1940 Act;
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With the exception of real estate and housing, no single industry shall represent greater than 20% of the securities or aggregate risk exposure in our portfolio; and
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Investments in non-rated or deeply subordinated ABS or other securities that are non-qualifying assets for purposes of the 75% REIT asset test will be limited to an amount not to exceed 50% of our stockholders’ equity.
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Securitization
. A significant element of our financing strategy is to acquire residential mortgage loans for our portfolio with the intention of securitizing them. In our securitizations, we generally create subordinate certificates, providing a specified amount of credit enhancement, which we intend to retain in our portfolio. We have acquired and may in the future acquire Non-Agency RMBS for our portfolio with the intention of re-securitizing them and retaining a portion of the re-securitized Non-Agency RMBS in our portfolio, typically the subordinate certificates.
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Warehouse Facilities
. We have utilized and may in the future utilize credit facilities for capital needed to fund our assets. We seek to maintain formal relationships with multiple counterparties to maintain warehouse lines on favorable terms.
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Repurchase Agreements
. We have financed certain of our assets through repurchase agreements. We anticipate that repurchase agreements will be one of the sources we will use to achieve our desired amount of leverage for our residential real estate assets. We seek to maintain formal relationships with many counterparties with the intent to obtain financing on the most favorable terms available.
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puts and calls on securities or indices of securities;
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Eurodollar futures contracts and options on such contracts;
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interest rate caps, swaps and swaptions;
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U.S. Treasury futures, forward contracts, other derivative contracts and options on U.S. Treasury securities; and
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other similar transactions.
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Adverse developments involving major financial institutions or involving one of our lenders could result in a rapid reduction in our ability to borrow and materially adversely affect our business, profitability, and liquidity.
As of December 31, 2018, we had amounts outstanding under repurchase agreements with
30
separate lenders. A material adverse development involving one or more major financial institutions or the financial markets, in general, could result in our lenders reducing our access to funds available under our repurchase agreements or terminating such repurchase agreements altogether. Because substantially all our repurchase agreements are uncommitted and renewable at our lenders’ discretion, our lenders could determine to reduce or terminate our access to future borrowings at virtually any time, which could materially adversely affect our business and profitability. Furthermore, if a few of our lenders became unwilling or unable to continue to provide us with financing, we could be forced to sell assets
,
including assets in unrealized loss positions, to maintain liquidity. Forced sales, particularly under adverse market conditions, may result in lower sale prices than ordinary market sales made in the normal course of business. If our investments were liquidated at prices below our amortized cost of such assets, we would incur losses, which could adversely affect our earnings. In addition, uncertainty in the global finance market and weak economic conditions in Europe, including the United Kingdom’s decision to exit from the European Union (commonly referred to as “Brexit”), could cause the conditions described above to have a more pronounced effect on our European counterparties.
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Our
profitability may be materially adversely affected by a reduction in our leverage.
As long as we earn a positive spread between interest and other income we earn on our leveraged assets and our borrowing costs, we believe that we can generally increase our profitability by using greater amounts of leverage. There can be no assurance, however, that repurchase financing will remain an efficient source of long-term financing for our assets. The amount of leverage that we use may be limited because our lenders might not make funding available to us at acceptable rates or they may require that we provide additional collateral to secure our borrowings. If our financing strategy is not viable, we will have to find alternative forms of financing for our assets which may not be available to us on acceptable terms or at acceptable rates. In addition, in response to certain interest rate and investment environments or to changes in market liquidity, we could adopt a strategy of reducing our leverage by selling assets or not reinvesting principal payments as MBS amortize or prepay, thereby decreasing the outstanding amount of our related borrowings. Such an action could reduce interest income, interest expense and net income, the extent of which would depend on the level of reduction in assets and liabilities as well as the sale prices for which the assets were sold.
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A re-characterization of the repurchase agreements as sales for tax purposes rather than as secured lending transactions would adversely affect our ability to maintain our qualification as a REIT and to maintain our 1940 Act exemption.
When we enter a repurchase agreement, we generally sell assets to our counterparty to the agreement for cash. The counterparty is obligated to resell the assets back to us at the end of the transaction term, which is typically 30 to 90 days. We believe that for U.S. federal income tax purposes we will be treated as the owner of the assets that are the subject of repurchase agreements and that the repurchase agreements will be treated as secured lending transactions notwithstanding that such agreement may transfer record ownership of the assets to the counterparty during the term of the agreement. It is possible, however, that the IRS or the SEC could successfully assert that we did not own these assets during the term of the repurchase agreements, in which case we could fail to qualify as a REIT or fail to maintain our 1940 Act exemption, respectively.
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A decline in the market value of our assets may result in margin calls that may force us to sell assets under adverse market conditions, which may materially adversely affect our liquidity and profitability.
In general, the market value of our residential mortgage investments is impacted by changes in interest rates, prevailing market yields and other market conditions, including general economic conditions, home prices, and the real estate market generally. A decline in the market value of our residential mortgage investments may limit our ability to borrow against such assets or result in lenders initiating margin calls, which require a pledge of additional collateral or cash to re-establish the required ratio of borrowing to collateral value, under our repurchase agreements. Posting additional collateral or cash to support our credit will reduce our liquidity and limit our ability to leverage our assets, which could materially adversely affect our business. Thus, we could be forced to sell a portion of our assets, including MBS in an unrealized loss position, to maintain liquidity.
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If a counterparty to our repurchase transactions defaults on its obligation to resell the underlying security back to us at the end of the transaction term or if we default on our obligations under the repurchase agreement, we could incur losses.
When we engage in repurchase transactions, we generally sell assets to the counterparty to the agreement for cash. Because the cash we receive from the counterparty is less than the value of those securities (this difference is referred to as the “haircut”), if the lender defaults on its obligation to transfer the same securities back to us, we would incur a loss on the transaction equal to the amount of the haircut (assuming there was no change in the value of the securities). (See Item 7, “Management’s Discussion and Analysis of Financial Condition and Results of Operations” of this Annual Report on Form 10-K, for further discussion regarding risks related to exposure to financial institution counterparties in light of recent market conditions.) Our exposure to defaults by counterparties may be more pronounced during periods of significant volatility in the market conditions for mortgages and mortgage-related assets as well as the broader financial markets. At
December 31, 2018
, there was no amount at risk with any counterparty greater than
10%
of the Company's equity. In addition, generally, if we default on a repurchase transaction, we could incur a loss equal to the haircut and the counterparty can elect to terminate the transaction and cease entering into additional repurchase transactions with us. In addition, if we default on a transaction under any one agreement and fail to honor the related guarantee, the counterparties on our other repurchase agreements could also declare a default under their respective repurchase agreements. Any losses we incur on our repurchase transactions could materially adversely affect our earnings and thus our cash available for distribution to our stockholders.
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Our use of repurchase agreements to borrow money may give our lenders greater rights in the event of bankruptcy.
In the event of our insolvency or bankruptcy, certain repurchase agreements may qualify for special treatment under the Bankruptcy Code, the effect of which, among other things, would be to allow the creditor under the agreement to avoid the automatic stay provisions of the Bankruptcy Code and take possession of, and liquidate, the collateral under such repurchase agreements without delay.
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interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates;
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available interest rate hedges may not correlate directly with the interest rate risk for which protection is sought;
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the duration of the hedge may not match the duration of the related liability;
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the amount of income that a REIT may earn from hedging transactions to offset interest rate losses may be limited by U.S. federal tax provisions governing REITs;
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the credit quality of the party owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction;
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the party owing money in the hedging transaction may default on its obligation to pay; and
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the value of derivatives used for hedging may be adjusted from time to time in accordance with accounting rules to reflect changes in fair value. Downward adjustments, or “mark-to-market losses,” would reduce our stockholders’ equity.
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not be allowed to be offset by a stockholder’s net operating losses;
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be subject to a tax as unrelated business income if a stockholder were a tax-exempt stockholder;
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be subject to the application of U.S. federal withholding tax at the maximum rate (without reduction for any otherwise applicable income tax treaty) with respect to amounts allocable to foreign stockholders; and
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be taxable (at the highest corporate tax rate) to us, rather than to our stockholders, to the extent the excess inclusion income relates to stock held by disqualified organizations (generally, tax-exempt organizations not subject to tax on unrelated business income, including governmental organizations).
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85% of our REIT ordinary income for that year;
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95% of our REIT capital gain net income for that year; and
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any undistributed taxable income from prior years.
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There are ownership limits and restrictions on transferability and ownership in our charter
. To qualify as a REIT, not more than 50% of the value of our outstanding stock may be owned, directly or constructively, by five or fewer individuals during the second half of any calendar year. To assist us in satisfying this test, among other things, our charter generally prohibits any person or entity from beneficially or constructively owning more than 9.8% in value or number of shares, whichever is more restrictive, of any class or series of our outstanding capital stock. This restriction may discourage a tender offer or other transactions or a change in the composition of our Board of Directors or control that might involve a premium price for our shares or otherwise be in the best interests of our stockholders and any shares issued or transferred in violation of such restrictions being automatically transferred to a trust for a charitable beneficiary, thereby resulting in a forfeiture of the additional shares.
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Our charter permits our Board of Directors to issue stock with terms that may discourage a third party from acquiring us.
Our charter permits our Board of Directors to amend the charter without stockholder approval to increase the total number of authorized shares of stock or the number of shares of any class or series and to issue common or preferred stock, having preferences, conversion or other rights, voting powers, restrictions, limitations as to dividends or other distributions, qualifications, or terms or conditions of redemption as determined by our board. Thus, our board could authorize the issuance of stock with terms and conditions that could have the effect of discouraging a takeover or other transaction in which holders of some or a majority of our shares might receive a premium for their shares over the then-prevailing market price of our shares.
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Maryland Control Share Acquisition Act.
Maryland law provides that holders of ‘‘control shares’’ of our company (defined as voting shares of stock which, when aggregated with all other shares controlled by the acquiring stockholder, entitle the stockholder to exercise one of three increasing ranges of voting power in electing directors) acquired in a “control share acquisition” (defined as the direct or indirect acquisition of ownership or control of “control shares”) have no voting rights except to the extent approved by our stockholders by the affirmative vote of at least two-thirds of all the votes entitled to be cast on the matter, excluding all interested shares. Our bylaws provide that we are not subject to the “control share” provisions of Maryland law. Our Board, however, may elect to make the “control share” statute applicable to us at any time and may do so without stockholder approval.
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Business Combinations.
We are subject to the “business combination” provisions of Maryland law that, subject to limitations, prohibit certain business combinations (including a merger, consolidation, share exchange, or, in circumstances specified in the statute, an asset transfer or issuance or reclassification of equity securities) between us and an “interested stockholder” (defined generally as any person who beneficially owns 10% or more of our then outstanding voting capital stock or an affiliate or associate of ours who, at any time within the two‑year period before the date in question, was the beneficial owner of 10% or more of our then outstanding voting capital stock) or an affiliate thereof for five years after the most recent date on which the stockholder becomes an interested stockholder. After the five‑year prohibition, any business combination between us and an interested stockholder generally must be recommended by our board of directors and approved by the affirmative vote of at least (i) 80% of the votes entitled to be cast by holders of outstanding shares of our voting capital stock and (ii) two‑thirds of the votes entitled to be cast by holders of voting capital stock of the corporation other than shares held by the interested stockholder with whom or with whose affiliate the business combination is to be effected or held by an affiliate or associate of the interested stockholder. These super‑majority voting requirements do not apply if our common stockholders receive a minimum price, as defined under Maryland law, for their shares in the form of cash or other consideration in the same form as previously paid by the interested stockholder for its shares. These provisions of Maryland law also do not apply to business combinations that are approved or exempted by a board of directors before the time that the interested stockholder becomes an interested stockholder. Pursuant to the statute, our board of directors has by resolution exempted business combinations between us and any other person, provided, that such business combination is first approved by our board of directors (including a majority of our directors who are not affiliates or associates of such person).
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Unsolicited Takeovers
: The “unsolicited takeover” provisions of Maryland law, permit our board of directors, without stockholder approval and regardless of what is currently provided in our charter or bylaws, to implement takeover defenses. These provisions may have the effect of inhibiting a third-party from making an acquisition proposal for us or of delaying, deferring, or preventing a change in control of us under the circumstances that otherwise could provide the holders of shares of common stock with the opportunity to realize a premium over the then current market price.
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Staggered Board.
Our Board of Directors is divided into three classes of directors. Directors of each class are chosen for three-year terms upon the expiration of their current terms, and each year one class of directors is elected by the stockholders. The staggered terms of our directors may reduce the possibility of a tender offer or an attempt at a change in control, even though a tender offer or change in control might be in the best interests of our stockholders.
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actual receipt of an improper benefit or profit in money, property or services; or
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a final judgment based upon a finding of active and deliberate dishonesty by the director or officer that was material to the cause of action adjudicated for which Maryland law prohibits such exemption from liability.
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12/31/2013
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12/31/2014
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12/31/2015
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12/31/2016
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12/31/2017
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12/31/2018
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Chimera
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100
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122
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120
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176
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211
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228
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S&P 500 Index
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100
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114
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115
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129
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|
157
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|
150
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BBG REIT Index
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100
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|
119
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|
108
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|
132
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|
158
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|
154
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Consolidated Statements of Financial Condition Highlights
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(dollars in thousands, except share and per share data)
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December 31, 2018
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December 31, 2017
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December 31, 2016
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December 31, 2015
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December 31, 2014
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Non-Agency Mortgage-Backed Securities
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$
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2,486,130
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$
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2,851,316
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$
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3,330,063
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$
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3,675,841
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$
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3,404,149
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Agency Mortgage-Backed securities
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$
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12,188,950
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$
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4,364,828
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$
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4,167,754
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$
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6,514,824
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$
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8,441,522
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Securitized loans held for investment, net of allowance for loan losses
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$
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—
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$
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—
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$
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—
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$
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—
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$
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626,112
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Loans held for investment, at fair value
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$
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12,572,581
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$
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13,678,263
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$
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8,753,653
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$
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4,768,416
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$
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4,699,215
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Total assets
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$
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27,708,639
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$
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21,222,070
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$
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16,684,908
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$
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15,344,646
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$
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19,155,005
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Repurchase agreements
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$
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14,030,465
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$
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7,250,452
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$
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5,600,903
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$
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7,439,339
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$
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8,455,381
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Securitized debt, collateralized by Non-Agency RMBS
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$
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159,955
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$
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205,780
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$
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334,124
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$
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529,415
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$
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704,915
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Securitized debt, loans held for investment
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$
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—
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$
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—
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$
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—
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$
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—
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$
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521,997
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Securitized debt at fair value, loans held for investment
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$
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8,455,376
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$
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9,388,657
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$
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6,941,097
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$
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3,720,496
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$
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3,868,366
|
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Total liabilities
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$
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24,004,810
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$
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17,587,093
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$
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13,561,375
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$
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12,398,458
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$
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15,547,315
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Shareholders' equity
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$
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3,703,829
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$
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3,634,977
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$
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3,123,533
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$
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2,946,188
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$
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3,607,690
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Book value per common share
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$
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15.90
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$
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16.85
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$
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15.87
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$
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15.70
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$
|
17.55
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Number of shares outstanding
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187,052,398
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187,809,288
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|
187,739,634
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187,711,868
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|
205,546,144
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Consolidated Statements of Operations Highlights
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(dollars in thousands, except share and per share data)
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For the Year Ended
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||||||||||||||
|
December 31, 2018
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December 31, 2017
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December 31, 2016
|
December 31, 2015
|
December 31, 2014
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||||||||||
Interest income
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$
|
1,273,316
|
|
$
|
1,138,758
|
|
$
|
934,068
|
|
$
|
872,737
|
|
$
|
687,795
|
|
Interest expense
|
$
|
679,108
|
|
$
|
532,748
|
|
$
|
347,857
|
|
$
|
259,365
|
|
$
|
147,785
|
|
Net interest income
|
$
|
594,208
|
|
$
|
606,010
|
|
$
|
586,211
|
|
$
|
613,372
|
|
$
|
540,010
|
|
Net income
|
$
|
411,637
|
|
$
|
524,668
|
|
$
|
551,943
|
|
$
|
250,349
|
|
$
|
589,205
|
|
Income per share-basic
|
$
|
1.97
|
|
$
|
2.62
|
|
$
|
2.93
|
|
$
|
1.25
|
|
$
|
2.87
|
|
Core earnings per basic common share
(1)
|
$
|
2.35
|
|
$
|
2.34
|
|
$
|
2.42
|
|
$
|
2.37
|
|
$
|
2.14
|
|
Average shares-basic
|
187,146,170
|
|
187,780,355
|
|
187,728,634
|
|
199,563,196
|
|
205,450,095
|
|
|||||
Dividends declared per share
(2)
|
$
|
2.00
|
|
$
|
2.00
|
|
$
|
2.44
|
|
$
|
1.92
|
|
$
|
1.80
|
|
Net Income
|
|||||||||
(dollars in thousands, except share and per share data)
|
|||||||||
|
For the Year Ended
|
||||||||
|
December 31, 2018
|
December 31, 2017
|
December 31, 2016
|
||||||
Net interest income:
|
|
|
|
||||||
Interest income
(1)
|
$
|
1,273,316
|
|
$
|
1,138,758
|
|
$
|
934,068
|
|
Interest expense
(2)
|
679,108
|
|
532,748
|
|
347,857
|
|
|||
Net interest income
|
594,208
|
|
606,010
|
|
586,211
|
|
|||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|||
Total other-than-temporary impairment losses
|
(2,556
|
)
|
(5,169
|
)
|
(9,589
|
)
|
|||
Portion of loss recognized in other comprehensive income
|
(19,235
|
)
|
(56,687
|
)
|
(48,398
|
)
|
|||
Net other-than-temporary credit impairment losses
|
(21,791
|
)
|
(61,856
|
)
|
(57,987
|
)
|
|||
Other investment gains (losses):
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
(141,162
|
)
|
47,976
|
|
50,093
|
|
|||
Realized gains (losses) on terminations of interest rate swaps
|
—
|
|
(16,143
|
)
|
(60,616
|
)
|
|||
Net realized gains (losses) on derivatives
|
18,369
|
|
(25,645
|
)
|
(44,886
|
)
|
|||
Net gains (losses) on derivatives
|
(122,793
|
)
|
6,188
|
|
(55,409
|
)
|
|||
Net unrealized gains (losses) on financial instruments at fair value
|
46,632
|
|
111,410
|
|
59,552
|
|
|||
Net realized gains (losses) on sales of investments
|
(2,743
|
)
|
9,123
|
|
18,155
|
|
|||
Gains (losses) on extinguishment of debt
|
26,376
|
|
(35,274
|
)
|
(477
|
)
|
|||
Total other gains (losses)
|
(52,528
|
)
|
91,447
|
|
21,821
|
|
|||
Other income:
|
|
|
|
|
|
||||
Other income
|
—
|
|
—
|
|
95,000
|
|
|||
Total other income
|
—
|
|
—
|
|
95,000
|
|
|||
|
|
|
|
||||||
Other expenses:
|
|
|
|
|
|
||||
Compensation and benefits
|
35,114
|
|
30,212
|
|
26,901
|
|
|||
General and administrative expenses
|
23,936
|
|
17,650
|
|
17,516
|
|
|||
Servicing fees
|
40,773
|
|
41,690
|
|
31,178
|
|
|||
Deal expenses
|
8,338
|
|
21,273
|
|
17,424
|
|
|||
Total other expenses
|
108,161
|
|
110,825
|
|
93,019
|
|
|||
Income (loss) before income taxes
|
411,728
|
|
524,776
|
|
552,026
|
|
|||
Income taxes
|
91
|
|
108
|
|
83
|
|
|||
Net income (loss)
|
$
|
411,637
|
|
$
|
524,668
|
|
$
|
551,943
|
|
|
|
|
|
|
|
||||
Dividends on preferred stock
|
43,197
|
|
33,484
|
|
2,449
|
|
|||
|
|
|
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
368,440
|
|
$
|
491,184
|
|
$
|
549,494
|
|
|
|
|
|
|
|
||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
||||
Basic
|
$
|
1.97
|
|
$
|
2.62
|
|
$
|
2.93
|
|
Diluted
|
$
|
1.96
|
|
$
|
2.61
|
|
$
|
2.92
|
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
||||
Basic
|
187,146,170
|
|
187,780,355
|
|
187,728,634
|
|
|||
Diluted
|
187,748,862
|
|
188,287,320
|
|
188,024,838
|
|
|||
|
|
|
|
||||||
Dividends declared per share of common stock
|
$
|
2.00
|
|
$
|
2.00
|
|
$
|
2.44
|
|
|
|
|
|
|
GAAP
Interest Income |
|
GAAP
Interest Expense |
Net Realized (Gains)
Losses on Interest Rate Swaps |
Economic Interest
Expense |
|
GAAP Net Interest
Income |
Net Realized
Gains (Losses) on Interest Rate Swaps |
Other
(1)
|
Economic
Net Interest Income |
||||||||||||||||
For the Year Ended December 31, 2018
|
$
|
1,273,316
|
|
|
$
|
679,108
|
|
$
|
1,488
|
|
$
|
680,596
|
|
|
$
|
594,208
|
|
$
|
(1,488
|
)
|
$
|
760
|
|
$
|
593,480
|
|
For the Year Ended December 31, 2017
|
$
|
1,138,758
|
|
|
$
|
532,748
|
|
$
|
15,450
|
|
$
|
548,198
|
|
|
$
|
606,010
|
|
$
|
(15,450
|
)
|
$
|
(1,097
|
)
|
$
|
589,463
|
|
For the Year Ended December 31, 2016
|
$
|
934,068
|
|
|
$
|
347,857
|
|
$
|
28,107
|
|
$
|
375,964
|
|
|
$
|
586,211
|
|
$
|
(28,107
|
)
|
$
|
(882
|
)
|
$
|
557,222
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
For the Quarter Ended December 31, 2018
|
$
|
348,033
|
|
|
$
|
193,920
|
|
$
|
364
|
|
$
|
194,284
|
|
|
$
|
154,113
|
|
$
|
(364
|
)
|
$
|
(140
|
)
|
$
|
153,609
|
|
For the Quarter Ended September 30, 2018
|
$
|
321,715
|
|
|
$
|
174,671
|
|
$
|
(242
|
)
|
$
|
174,429
|
|
|
$
|
147,044
|
|
$
|
242
|
|
$
|
321
|
|
$
|
147,607
|
|
For the Quarter Ended June 30, 2018
|
$
|
306,436
|
|
|
$
|
161,266
|
|
$
|
(1,246
|
)
|
$
|
160,020
|
|
|
$
|
145,170
|
|
$
|
1,246
|
|
$
|
436
|
|
$
|
146,852
|
|
For the Quarter Ended March 31, 2018
|
$
|
297,132
|
|
|
$
|
149,251
|
|
$
|
2,612
|
|
$
|
151,863
|
|
|
$
|
147,881
|
|
$
|
(2,612
|
)
|
$
|
143
|
|
$
|
145,412
|
|
|
For the Quarter Ended
|
||||||||||||||||
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||||
|
(dollars in thousands)
|
|
(dollars in thousands)
|
||||||||||||||
|
Average
Balance |
Interest
|
Average
Yield/Cost |
|
Average
Balance |
Interest
|
Average
Yield/Cost |
||||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||||
Interest-earning assets
(1)
:
|
|
|
|
|
|
|
|
||||||||||
Agency MBS
|
$
|
10,577,238
|
|
$
|
95,941
|
|
3.6
|
%
|
|
$
|
3,847,658
|
|
$
|
28,812
|
|
3.0
|
%
|
Non-Agency RMBS
|
1,252,707
|
|
33,235
|
|
10.6
|
%
|
|
1,187,349
|
|
24,608
|
|
8.3
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
555,314
|
|
39,394
|
|
28.4
|
%
|
|
940,931
|
|
55,916
|
|
23.8
|
%
|
||||
Residential mortgage loans held for investment
|
12,228,206
|
|
179,323
|
|
5.9
|
%
|
|
13,048,375
|
|
192,560
|
|
5.9
|
%
|
||||
Total
|
$
|
24,613,465
|
|
$
|
347,893
|
|
5.7
|
%
|
|
$
|
19,024,313
|
|
$
|
301,896
|
|
6.3
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency MBS
(2)
|
$
|
9,535,298
|
|
$
|
62,788
|
|
2.6
|
%
|
|
$
|
3,090,155
|
|
$
|
15,651
|
|
2.0
|
%
|
Non-Agency RMBS
(2)
|
533,696
|
|
5,138
|
|
3.9
|
%
|
|
497,073
|
|
3,896
|
|
3.1
|
%
|
||||
Re-REMIC repurchase agreements
|
577,335
|
|
6,403
|
|
4.4
|
%
|
|
867,882
|
|
7,193
|
|
3.3
|
%
|
||||
RMBS from loan securitizations
|
2,435,931
|
|
23,445
|
|
3.8
|
%
|
|
2,573,351
|
|
21,236
|
|
3.3
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
164,043
|
|
2,259
|
|
5.5
|
%
|
|
219,446
|
|
3,796
|
|
6.9
|
%
|
||||
Securitized debt, collateralized by loans
|
8,531,109
|
|
94,251
|
|
4.4
|
%
|
|
9,451,052
|
|
96,801
|
|
4.1
|
%
|
||||
Total
|
$
|
21,777,412
|
|
$
|
194,284
|
|
3.6
|
%
|
|
$
|
16,698,959
|
|
$
|
148,573
|
|
3.6
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
153,609
|
|
2.1
|
%
|
|
|
|
$
|
153,323
|
|
2.7
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,836,053
|
|
|
|
2.5
|
%
|
|
$
|
2,325,354
|
|
|
|
3.2
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.13
|
|
|
|
|
|
|
1.14
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(2) Interest includes net cash paid/received on swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended
|
||||||||||||||||
|
December 31, 2018
|
|
December 31, 2017
|
||||||||||||||
|
(dollars in thousands)
|
|
(dollars in thousands)
|
||||||||||||||
|
Average
Balance |
Interest
|
Average
Yield/Cost |
|
Average
Balance |
Interest
|
Average
Yield/Cost |
||||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||||
Interest-earning assets (1):
|
|
|
|
|
|
|
|
||||||||||
Agency MBS
|
$
|
7,116,064
|
|
$
|
239,472
|
|
3.4
|
%
|
|
$
|
3,752,141
|
|
$
|
104,969
|
|
2.8
|
%
|
Non-Agency RMBS
|
1,175,108
|
|
111,584
|
|
9.5
|
%
|
|
1,286,329
|
|
112,969
|
|
8.8
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
728,098
|
|
183,126
|
|
25.2
|
%
|
|
1,039,498
|
|
230,924
|
|
22.2
|
%
|
||||
Residential mortgage loans held for investment
|
12,776,512
|
|
739,894
|
|
5.8
|
%
|
|
11,878,741
|
|
688,799
|
|
5.8
|
%
|
||||
Total
|
$
|
21,795,782
|
|
$
|
1,274,076
|
|
5.8
|
%
|
|
$
|
17,956,709
|
|
$
|
1,137,661
|
|
6.3
|
%
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements collateralized by:
|
|
|
|
|
|
|
|
||||||||||
Agency MBS (2)
|
$
|
6,085,643
|
|
$
|
138,078
|
|
2.3
|
%
|
|
$
|
3,120,474
|
|
$
|
53,525
|
|
1.7
|
%
|
Non-Agency RMBS
(2)
|
442,771
|
|
15,740
|
|
3.6
|
%
|
|
674,832
|
|
19,914
|
|
3.0
|
%
|
||||
Re-REMIC repurchase agreements
|
699,380
|
|
28,591
|
|
4.1
|
%
|
|
578,206
|
|
19,114
|
|
3.3
|
%
|
||||
RMBS from loan securitizations
|
2,588,376
|
|
102,933
|
|
4.0
|
%
|
|
1,950,662
|
|
64,785
|
|
3.3
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
181,461
|
|
10,192
|
|
5.6
|
%
|
|
268,254
|
|
18,787
|
|
7.0
|
%
|
||||
Securitized debt, collateralized by loans
|
8,903,820
|
|
385,062
|
|
4.3
|
%
|
|
8,920,108
|
|
372,073
|
|
4.2
|
%
|
||||
Total
|
$
|
18,901,451
|
|
$
|
680,596
|
|
3.6
|
%
|
|
$
|
15,512,536
|
|
$
|
548,198
|
|
3.5
|
%
|
|
|
|
|
|
|
|
|
||||||||||
Economic net interest income/net interest rate spread
|
|
|
$
|
593,480
|
|
2.2
|
%
|
|
|
|
$
|
589,463
|
|
2.8
|
%
|
||
|
|
|
|
|
|
|
|
||||||||||
Net interest-earning assets/net interest margin
|
$
|
2,894,331
|
|
|
|
2.7
|
%
|
|
$
|
2,444,173
|
|
|
|
3.3
|
%
|
||
|
|
|
|
|
|
|
|
||||||||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.15
|
|
|
|
|
|
|
1.16
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
||||||||||
(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 Year Ended December 31, 2018
|
$
|
18,901,451
|
|
$
|
680,596
|
|
3.60
|
%
|
2.02
|
%
|
2.30
|
%
|
(0.28
|
)%
|
For The Year Ended December 31, 2017
|
$
|
15,512,536
|
|
$
|
548,198
|
|
3.53
|
%
|
1.11
|
%
|
1.26
|
%
|
(0.15
|
)%
|
For The Year Ended December 31, 2016
|
$
|
12,676,437
|
|
$
|
375,964
|
|
3.00
|
%
|
0.50
|
%
|
0.74
|
%
|
(0.24
|
)%
|
|
|
|
|
|
|
|
||||||||
For The Quarter Ended December 31, 2018
|
$
|
21,777,412
|
|
$
|
194,284
|
|
3.57
|
%
|
2.35
|
%
|
2.62
|
%
|
(0.27
|
)%
|
For The Quarter Ended September 30, 2018
|
$
|
19,348,075
|
|
$
|
174,429
|
|
3.61
|
%
|
2.11
|
%
|
2.34
|
%
|
(0.23
|
)%
|
For The Quarter Ended June 30, 2018
|
$
|
17,883,143
|
|
$
|
160,020
|
|
3.58
|
%
|
1.97
|
%
|
2.34
|
%
|
(0.37
|
)%
|
For The Quarter Ended March 31, 2018
|
$
|
16,642,471
|
|
$
|
151,863
|
|
3.65
|
%
|
1.65
|
%
|
1.92
|
%
|
(0.27
|
)%
|
|
For the Year Ended
|
||||||||
|
December 31, 2018
|
December 31, 2017
|
December 31, 2016
|
||||||
|
(dollars in thousands)
|
||||||||
Periodic interest cost of interest rate swaps, net
|
$
|
(1,488
|
)
|
$
|
(15,450
|
)
|
$
|
(28,106
|
)
|
Realized gains (losses) on derivative instruments, net:
|
|
|
|
|
|
|
|||
Treasury Futures
|
21,333
|
|
(4,061
|
)
|
(9,170
|
)
|
|||
Swaptions
|
(1,476
|
)
|
(6,134
|
)
|
(7,044
|
)
|
|||
Other Derivative Assets
|
—
|
|
—
|
|
(566
|
)
|
|||
Swaps - Terminations
|
—
|
|
(16,143
|
)
|
(60,616
|
)
|
|||
Total realized gains (losses) on derivative instruments, net
|
19,857
|
|
(26,338
|
)
|
(77,396
|
)
|
|||
Unrealized gains (losses) on derivative instruments, net:
|
|
|
|
|
|
||||
Interest Rate Swaps
|
(125,595
|
)
|
43,697
|
|
47,170
|
|
|||
Treasury Futures
|
(16,928
|
)
|
1,768
|
|
378
|
|
|||
Swaptions
|
1,361
|
|
2,511
|
|
2,545
|
|
|||
Total unrealized gains (losses) on derivative instruments, net:
|
(141,162
|
)
|
47,976
|
|
50,093
|
|
|||
Total gains (losses) on derivative instruments, net
|
$
|
(122,793
|
)
|
$
|
6,188
|
|
$
|
(55,409
|
)
|
|
Total Compensation, G&A and Deal Expenses
|
Total Compensation, G&A and Deal Expenses/Average Assets
|
Total Compensation, G&A and Deal Expenses/Average Equity
|
||||
|
(Ratios have been annualized, dollars in thousands)
|
||||||
For The Year Ended December 31, 2018
|
$
|
67,388
|
|
0.28
|
%
|
1.81
|
%
|
For The Year Ended December 31, 2017
|
$
|
69,135
|
|
0.34
|
%
|
1.98
|
%
|
For The Year Ended December 31, 2016
|
$
|
61,841
|
|
0.38
|
%
|
2.06
|
%
|
|
|
|
|
||||
For The Quarter Ended December 31, 2018
|
$
|
20,126
|
|
0.30
|
%
|
2.11
|
%
|
For The Quarter Ended September 30, 2018
|
$
|
15,629
|
|
0.26
|
%
|
1.65
|
%
|
For The Quarter Ended June 30, 2018
|
$
|
16,644
|
|
0.30
|
%
|
1.82
|
%
|
For The Quarter Ended March 31, 2018
|
$
|
14,988
|
|
0.28
|
%
|
1.64
|
%
|
|
For the Year Ended
|
||||||||
|
December 31, 2018
|
December 31, 2017
|
December 31, 2016
|
||||||
|
(dollars in thousands, except per share data)
|
||||||||
GAAP Net income available to common stockholders
|
$
|
368,440
|
|
$
|
491,184
|
|
$
|
549,494
|
|
Adjustments:
|
|
|
|
||||||
Net other-than-temporary credit impairment losses
|
21,791
|
|
61,856
|
|
57,987
|
|
|||
Net unrealized (gains) losses on derivatives
|
141,162
|
|
(47,976
|
)
|
(50,093
|
)
|
|||
Net unrealized (gains) losses on financial instruments at fair value
|
(46,632
|
)
|
(111,410
|
)
|
(59,552
|
)
|
|||
Net realized (gains) losses on sales of investments
|
2,743
|
|
(9,123
|
)
|
(18,155
|
)
|
|||
(Gains) losses on extinguishment of debt
|
(26,376
|
)
|
35,274
|
|
477
|
|
|||
Realized (gains) losses on terminations of interest rate swaps
|
—
|
|
16,143
|
|
60,616
|
|
|||
Net realized (gains) losses on derivatives - Futures
(1)
|
(21,333
|
)
|
4,061
|
|
9,170
|
|
|||
Total other (gains) losses
|
—
|
|
—
|
|
(95,000
|
)
|
|||
|
|
|
|
||||||
Core Earnings
|
$
|
439,795
|
|
$
|
440,009
|
|
$
|
454,944
|
|
|
|
|
|
||||||
GAAP net income per basic common share
|
$
|
1.97
|
|
$
|
2.62
|
|
$
|
2.93
|
|
Core earnings per basic common share
(2)
|
$
|
2.35
|
|
$
|
2.34
|
|
$
|
2.42
|
|
|
For the Quarters Ended
|
||||||||||||||
|
December 31, 2018
|
September 30, 2018
|
June 30, 2018
|
March 31, 2018
|
December 31, 2017
|
||||||||||
|
(dollars in thousands, except per share data)
|
||||||||||||||
GAAP Net income available to common stockholders
|
$
|
(117,235
|
)
|
$
|
147,361
|
|
$
|
108,708
|
|
$
|
229,607
|
|
$
|
98,208
|
|
Adjustments:
|
|
|
|
|
|
|
|
|
|
|
|||||
Net other-than-temporary credit impairment losses
|
4,269
|
|
7,233
|
|
9,131
|
|
1,158
|
|
18,179
|
|
|||||
Net unrealized (gains) losses on derivatives
|
319,673
|
|
(71,197
|
)
|
(25,895
|
)
|
(81,419
|
)
|
(28,074
|
)
|
|||||
Net unrealized (gains) losses on financial instruments at fair value
|
(84,836
|
)
|
34,306
|
|
18,364
|
|
(14,466
|
)
|
47,637
|
|
|||||
Net realized (gains) losses on sales of investments
|
(1,213
|
)
|
6,123
|
|
(2,167
|
)
|
—
|
|
586
|
|
|||||
(Gains) losses on extinguishment of debt
|
(7,055
|
)
|
(9,263
|
)
|
(387
|
)
|
(9,670
|
)
|
(12,742
|
)
|
|||||
Net realized (gains) losses on Futures
(1)
|
(4,320
|
)
|
(2,799
|
)
|
2,210
|
|
(16,424
|
)
|
(8,204
|
)
|
|||||
Core Earnings
|
$
|
109,283
|
|
$
|
111,764
|
|
$
|
109,964
|
|
$
|
108,786
|
|
$
|
115,590
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
GAAP net income per basic common share
|
$
|
(0.63
|
)
|
$
|
0.79
|
|
$
|
0.58
|
|
$
|
1.22
|
|
$
|
0.52
|
|
Core earnings per basic common share
(2)
|
$
|
0.58
|
|
$
|
0.60
|
|
$
|
0.59
|
|
$
|
0.58
|
|
$
|
0.62
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
(1) Included in net realized gains (losses) on derivatives in the Consolidated Statements of Operations.
|
|||||||||||||||
(2) We note that core and taxable earnings will typically differ, and may materially differ, due to differences on realized gains and losses on investments and related hedges, credit loss recognition,
|
|||||||||||||||
timing differences in premium amortization, accretion of discounts, equity compensation and other items.
|
|
Return on Average Equity
|
Economic Net Interest Income/Average Equity *
|
Core Earnings/Average Equity
|
|||
|
(Ratios have been annualized)
|
|||||
For the Year Ended December 31, 2018
|
11.08
|
%
|
15.98
|
%
|
11.84
|
%
|
For the Year Ended December 31, 2017
|
15.00
|
%
|
16.85
|
%
|
12.58
|
%
|
For the Year Ended December 31, 2016
|
18.42
|
%
|
18.59
|
%
|
15.18
|
%
|
|
|
|
|
|
|
|
For the Quarter Ended December 31, 2018
|
(10.80
|
)%
|
16.13
|
%
|
11.48
|
%
|
For the Quarter Ended September 30, 2018
|
16.64
|
%
|
15.61
|
%
|
11.82
|
%
|
For the Quarter Ended June 30, 2018
|
12.91
|
%
|
16.05
|
%
|
12.02
|
%
|
For the Quarter Ended March 31, 2018
|
26.17
|
%
|
15.92
|
%
|
11.91
|
%
|
|
December 31, 2018
|
December 31, 2017
|
||||
Interest earning assets at period-end
(1)
|
$
|
27,247,661
|
|
$
|
20,894,407
|
|
Interest bearing liabilities at period-end
|
$
|
22,645,796
|
|
$
|
16,844,889
|
|
GAAP Leverage at period-end
|
6.1:1
|
|
4.6:1
|
|
||
GAAP Leverage at period-end (recourse)
|
3.8:1
|
|
2.0:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
4.7
|
%
|
5.9
|
%
|
||
Senior
|
2.8
|
%
|
2.9
|
%
|
||
Senior, interest only
|
1.1
|
%
|
1.3
|
%
|
||
Subordinated
|
0.8
|
%
|
1.7
|
%
|
||
Subordinated, interest only
|
0.0
|
%
|
0.0
|
%
|
||
RMBS transferred to consolidated VIEs
|
2.1
|
%
|
4.6
|
%
|
||
Agency MBS
|
46.7
|
%
|
22.2
|
%
|
||
Residential
|
35.0
|
%
|
11.8
|
%
|
||
Commercial
|
11.2
|
%
|
9.8
|
%
|
||
Interest-only
|
0.5
|
%
|
0.6
|
%
|
||
Loans held for investment
|
46.5
|
%
|
67.3
|
%
|
||
Fixed-rate percentage of portfolio
|
95.8
|
%
|
93.7
|
%
|
||
Adjustable-rate percentage of portfolio
|
4.2
|
%
|
6.3
|
%
|
|
December 31, 2018
|
|||||||||||||||||||||||||
|
Principal or Notional Value at Period-End
(dollars in thousands)
|
Weighted Average Amortized Cost Basis
|
Weighted Average Fair Value
|
Weighted Average Coupon
|
Weighted Average Yield at Period-End
(1)
|
Weighted Average 3 Month CPR at Period-End
|
Weighted Average 12 Month CPR at Period-End
|
Weighted Average Delinquency Pipeline 60+
|
Weighted Average Loss Severity
(2)
|
Weighted Average Credit Enhancement
|
Principal Writedowns During the Quarter
(dollars in thousands)
|
|||||||||||||||
Non-Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Senior
|
$
|
1,122,782
|
|
$
|
65.10
|
|
$
|
82.79
|
|
4.7
|
%
|
11.5
|
%
|
11.4
|
%
|
14.0
|
%
|
16.8
|
%
|
42.7
|
%
|
7.7
|
%
|
$
|
4,145
|
|
Senior, interest only
|
$
|
5,642,053
|
|
$
|
5.05
|
|
$
|
4.45
|
|
1.2
|
%
|
8.3
|
%
|
10.8
|
%
|
13.4
|
%
|
10.9
|
%
|
53.3
|
%
|
—
|
%
|
$
|
—
|
|
Subordinated
|
$
|
394,037
|
|
$
|
56.60
|
|
$
|
70.16
|
|
4.0
|
%
|
9.9
|
%
|
11.3
|
%
|
15.6
|
%
|
10.3
|
%
|
44.3
|
%
|
9.4
|
%
|
$
|
3,478
|
|
Subordinated, interest only
|
$
|
221,549
|
|
$
|
4.48
|
|
$
|
5.26
|
|
1.1
|
%
|
16.4
|
%
|
15.1
|
%
|
15.1
|
%
|
9.5
|
%
|
29.2
|
%
|
—
|
%
|
$
|
—
|
|
RMBS transferred to consolidated VIEs
|
$
|
1,288,412
|
|
$
|
42.33
|
|
$
|
78.97
|
|
5.3
|
%
|
30.2
|
%
|
13.2
|
%
|
15.0
|
%
|
16.1
|
%
|
51.0
|
%
|
0.1
|
%
|
$
|
9,269
|
|
Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Residential
|
$
|
8,984,249
|
|
$
|
102.47
|
|
$
|
102.12
|
|
4.0
|
%
|
3.6
|
%
|
5.9
|
%
|
10.7
|
%
|
0.1
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Commercial
|
$
|
2,895,680
|
|
$
|
101.98
|
|
$
|
99.50
|
|
3.6
|
%
|
3.4
|
%
|
—
|
%
|
—
|
%
|
—
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Interest-only
|
$
|
3,028,572
|
|
$
|
4.49
|
|
$
|
4.40
|
|
0.8
|
%
|
4.3
|
%
|
2.1
|
%
|
4.9
|
%
|
0.2
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Loans held for investment
|
$
|
12,432,582
|
|
$
|
98.48
|
|
$
|
101.27
|
|
6.6
|
%
|
5.8
|
%
|
10.0
|
%
|
10.4
|
%
|
7.7
|
%
|
57.1
|
%
|
N/A
|
|
$
|
33,717
|
|
|
December 31, 2017
|
|||||||||||||||||||||||||
|
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 CPR at Period-End
|
Weighted Average 12 Month CPR at Period-End
|
Weighted Average Delinquency Pipeline 60+
|
Weighted Average Loss Severity
(2)
|
Weighted Average Credit Enhancement
|
Principal Writedowns During the Quarter
(dollars in thousands) |
|||||||||||||||
Non-Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Senior
|
$
|
821,869
|
|
$
|
68.97
|
|
$
|
79.83
|
|
3.6
|
%
|
7.4
|
%
|
13.3
|
%
|
13.7
|
%
|
21.3
|
%
|
45.8
|
%
|
9.2
|
%
|
$
|
3,233
|
|
Senior, interest only
|
$
|
4,834,289
|
|
$
|
5.39
|
|
$
|
4.27
|
|
1.3
|
%
|
7.8
|
%
|
13.6
|
%
|
14.4
|
%
|
17.1
|
%
|
52.5
|
%
|
0.0
|
%
|
$
|
—
|
|
Subordinated
|
$
|
501,455
|
|
$
|
66.77
|
|
$
|
80.01
|
|
4.1
|
%
|
9.6
|
%
|
18.8
|
%
|
15.4
|
%
|
15.2
|
%
|
45.1
|
%
|
16.8
|
%
|
$
|
3,502
|
|
Subordinated, interest only
|
$
|
201,378
|
|
$
|
3.66
|
|
$
|
3.89
|
|
0.8
|
%
|
11.8
|
%
|
13.7
|
%
|
14.6
|
%
|
13.0
|
%
|
46.2
|
%
|
0.0
|
%
|
$
|
—
|
|
RMBS transferred to consolidated VIEs
|
$
|
1,940,229
|
|
$
|
47.05
|
|
$
|
81.42
|
|
4.9
|
%
|
22.6
|
%
|
15.0
|
%
|
16.4
|
%
|
17.9
|
%
|
49.0
|
%
|
1.3
|
%
|
$
|
10,678
|
|
Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Residential
|
$
|
2,227,128
|
|
$
|
105.53
|
|
$
|
104.27
|
|
3.8
|
%
|
2.9
|
%
|
12.1
|
%
|
14.5
|
%
|
0.7
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Commercial
|
$
|
1,894,594
|
|
$
|
102.26
|
|
$
|
102.31
|
|
3.6
|
%
|
3.2
|
%
|
1.5
|
%
|
—
|
%
|
0.0
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Interest-only
|
$
|
3,021,840
|
|
$
|
3.68
|
|
$
|
3.45
|
|
0.7
|
%
|
3.4
|
%
|
4.9
|
%
|
8.8
|
%
|
0.1
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Loans held for investment
|
$
|
13,525,820
|
|
$
|
98.44
|
|
$
|
101.20
|
|
6.5
|
%
|
5.9
|
%
|
10.8
|
%
|
11.0
|
%
|
4.1
|
%
|
45.8
|
%
|
N/A
|
|
$
|
30,469
|
|
|
For the Quarters Ended
|
||||||||||||||
Accretable Discount (Net of Premiums)
|
December 31, 2018
|
|
September 30, 2018
|
|
June 30, 2018
|
|
March 31, 2018
|
|
December 31, 2017
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
539,020
|
|
$
|
540,269
|
|
$
|
555,444
|
|
$
|
582,193
|
|
$
|
622,982
|
|
Accretion of discount
|
(36,287
|
)
|
(35,184
|
)
|
(38,110
|
)
|
(37,309
|
)
|
(39,640
|
)
|
|||||
Purchases
|
4,589
|
|
1,966
|
|
3,098
|
|
—
|
|
(2,914
|
)
|
|||||
Sales and deconsolidation
|
(625
|
)
|
(986
|
)
|
(6,439
|
)
|
174
|
|
—
|
|
|||||
Transfers from/(to) credit reserve, net
|
(934
|
)
|
32,955
|
|
26,276
|
|
10,386
|
|
1,765
|
|
|||||
Balance, end of period
|
$
|
505,763
|
|
$
|
539,020
|
|
$
|
540,269
|
|
$
|
555,444
|
|
$
|
582,193
|
|
Period
|
Average Repurchase Balance
|
Repurchase Balance at Period End
|
||||
|
(dollars in thousands)
|
|||||
Year Ended December 31, 2018
|
$
|
9,816,170
|
|
$
|
14,030,465
|
|
Year Ended December 31, 2017
|
$
|
6,324,174
|
|
$
|
7,250,452
|
|
Year Ended December 31, 2016
|
$
|
6,482,334
|
|
$
|
5,600,903
|
|
|
|
|
|
|
||
Quarter End December 31, 2018
|
$
|
13,082,260
|
|
$
|
14,030,465
|
|
Quarter End September 30, 2018
|
$
|
10,235,288
|
|
$
|
11,143,102
|
|
Quarter End June 30, 2018
|
$
|
8,527,325
|
|
$
|
9,127,048
|
|
Quarter End March 31, 2018
|
$
|
7,257,048
|
|
$
|
7,202,924
|
|
December 31, 2018
|
||||||||||
|
|
|
|
|
||||||
Country
|
Number of Counterparties
|
Repurchase Agreement Financing
|
Interest Rate Swaps at Fair Value
|
Exposure
(1)
|
||||||
(dollars in thousands)
|
||||||||||
United States
|
14
|
$
|
6,528,957
|
|
$
|
(118,136
|
)
|
$
|
746,804
|
|
Japan
|
4
|
2,557,183
|
|
—
|
|
336,082
|
|
|||
Canada
|
4
|
1,921,025
|
|
—
|
|
241,648
|
|
|||
United Kingdom
|
2
|
870,710
|
|
—
|
|
46,882
|
|
|||
Netherlands
|
1
|
596,285
|
|
—
|
|
30,761
|
|
|||
France
|
2
|
590,103
|
|
35,798
|
|
84,071
|
|
|||
Switzerland
|
1
|
514,303
|
|
—
|
|
198,240
|
|
|||
South Korea
|
1
|
365,022
|
|
—
|
|
23,764
|
|
|||
China
|
1
|
86,877
|
|
—
|
|
4,837
|
|
|||
Total
|
30
|
$
|
14,030,465
|
|
$
|
(82,338
|
)
|
$
|
1,713,089
|
|
December 31, 2018
|
|||||||||||||||
(dollars in thousands)
|
|||||||||||||||
Contractual Obligations
|
Within One Year
|
One to Three Years
|
Three to Five Years
|
Greater Than or Equal to Five Years
|
Total
|
||||||||||
Repurchase agreements
|
$
|
13,521,878
|
|
$
|
257,916
|
|
$
|
250,671
|
|
$
|
—
|
|
$
|
14,030,465
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
23,602
|
|
30,803
|
|
8,047
|
|
3,605
|
|
66,057
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
1,608,381
|
|
2,587,635
|
|
1,949,060
|
|
2,237,259
|
|
8,382,335
|
|
|||||
Interest expense on RMBS repurchase agreements
(1)
|
85,434
|
|
584
|
|
1,434
|
|
—
|
|
87,452
|
|
|||||
Interest expense on securitized debt
(1)
|
372,841
|
|
536,560
|
|
320,566
|
|
422,531
|
|
1,652,498
|
|
|||||
Total
|
$
|
15,612,136
|
|
$
|
3,413,498
|
|
$
|
2,529,778
|
|
$
|
2,663,395
|
|
$
|
24,218,807
|
|
December 31, 2017
|
|||||||||||||||
(dollars in thousands)
|
|||||||||||||||
Contractual Obligations
|
Within One Year
|
One to Three Years
|
Three to Five Years
|
Greater Than or Equal to Five Years
|
Total
|
||||||||||
Repurchase agreements
|
$
|
6,903,337
|
|
$
|
347,115
|
|
$
|
—
|
|
$
|
—
|
|
$
|
7,250,452
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
42,217
|
|
45,916
|
|
16,524
|
|
4,867
|
|
109,524
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
1,819,018
|
|
2,872,572
|
|
2,140,434
|
|
2,439,872
|
|
9,271,896
|
|
|||||
Interest expense on RMBS repurchase agreements
(1)
|
30,091
|
|
978
|
|
—
|
|
—
|
|
31,069
|
|
|||||
Interest expense on securitized debt
(1)
|
392,416
|
|
606,509
|
|
368,553
|
|
472,640
|
|
1,840,118
|
|
|||||
Total
|
$
|
9,187,079
|
|
$
|
3,873,090
|
|
$
|
2,525,511
|
|
$
|
2,917,379
|
|
$
|
18,503,059
|
|
•
|
If there is a positive change in the amount and timing of future cash flows expected to be collected from the previous estimate used for accounting purposes, the effective interest rate in future accounting periods may increase resulting in an increase in the reported amount of interest income in future periods. A positive change in the amount and timing of future cash flows expected to be collected from the previous estimate used for accounting purposes must be considered significant for Non-Agency RMBS accounted for under ASC 310-30 for the effective interest rate in future accounting periods to increase. A positive change in the amount and timing of future cash flows expected to be collected is considered to have occurred when the net present value of future cash flows expected to be collected has increased from the previous estimate. This can occur from a change in either the timing of when cash flows are expected to be collected (i.e., from changes in prepayment speeds or the timing of estimated defaults) or in the amount of cash flows expected to be collected (i.e., from reductions in estimates of future defaults). Furthermore, a positive change could occur on an overall basis in situations where the positive impact of a change in the timing of cash flows exceeds the negative impact of increased defaults, or when the positive impact of a decline in estimated defaults exceeds the negative impact of an extension of the timing of receipt of cash flows.
|
•
|
If there is a negative (or adverse) change in the amount and timing of future cash flows expected to be collected from the previous estimate used for accounting purposes, and the securities’ fair value is below its amortized cost, an OTTI loss equal to the adverse change in cash flows expected to be collected, discounted using the securities’ effective rate before impairment, is required to be recorded in current period earnings. For Non-Agency RMBS accounted for under ASC 310-30, while the effective interest rate used to accrete interest income after an OTTI has been recognized will be the same, the amount of interest income recorded in future periods will decline because of the reduced balance of the amortized cost basis of the investment to which such effective interest rate is applied.
|
•
|
Our assessment of the credit quality of the asset, including its credit rating at the acquisition date and whether the security has experienced deterioration in credit quality since its inception.
|
•
|
Our assessment of the probability of collection of all contractual cash flows.
|
•
|
Our assessment of whether the security can be contractually prepaid such that we would not recover our initial investment.
|
|
December 31, 2018
|
|||
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
|
10.98
|
%
|
(1.16
|
)%
|
-50 Basis Points
|
5.58
|
%
|
(0.30
|
)%
|
Base Interest Rate
|
—
|
|
—
|
|
+50 Basis Points
|
(9.35
|
)%
|
(0.24
|
)%
|
+100 Basis Points
|
(21.10
|
)%
|
(0.90
|
)%
|
•
|
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;
|
•
|
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 lower average cost of funds relative to short-term financing vehicles further allowing us to receive the benefit of attractive 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.
|
December 31, 2018
|
|||||||||||||||
(dollars in thousands)
|
|||||||||||||||
|
Within 3 Months
|
3-12 Months
|
1 Year to 3 Years
|
Greater than
3 Years
|
Total
|
||||||||||
Rate sensitive assets
|
$
|
237,187
|
|
$
|
960,792
|
|
$
|
—
|
|
$
|
26,067,180
|
|
$
|
27,265,159
|
|
Cash equivalents
|
47,486
|
|
—
|
|
—
|
|
—
|
|
47,486
|
|
|||||
Total rate sensitive assets
|
$
|
284,673
|
|
$
|
960,792
|
|
$
|
—
|
|
$
|
26,067,180
|
|
$
|
27,312,645
|
|
|
|
|
|
|
|
||||||||||
Rate sensitive liabilities
|
16,599,654
|
|
5,886,188
|
|
—
|
|
—
|
|
22,485,842
|
|
|||||
Interest rate sensitivity gap
|
$
|
(16,314,981
|
)
|
$
|
(4,925,396
|
)
|
$
|
—
|
|
$
|
26,067,180
|
|
$
|
4,826,803
|
|
|
|
|
|
|
|
||||||||||
Cumulative rate sensitivity gap
|
$
|
(16,314,981
|
)
|
$
|
(21,240,377
|
)
|
$
|
(21,240,377
|
)
|
$
|
4,826,803
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Cumulative interest rate sensitivity gap as a percentage of total rate sensitive assets
|
(60
|
)%
|
(78
|
)%
|
(78
|
)%
|
18
|
%
|
|
|
•
|
pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of our assets;
|
•
|
provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States, and that receipts and expenditures of the Company are being made only in accordance with authorizations of our management and directors; and
|
•
|
provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of our assets that could have a material effect on the financial statements.
|
3.9
|
|
3.10
|
|
3.11
|
|
4.1
|
|
4.2
|
|
4.3
|
|
4.4
|
|
4.5
|
|
10.1†
|
|
10.2†
|
|
10.3†
|
|
10.4†
|
|
10.5†
|
|
10.6†
|
|
10.7†
|
|
10.8†
|
|
10.9†
|
|
10.10†
|
|
10.11†
|
|
10.12†
|
|
10.13†
|
10.14†
|
|
10.15†
|
|
10.16†
|
|
10.17†
|
|
10.18†
|
|
10.19†
|
|
10.20†
|
|
10.21
|
|
10.22
|
|
10.23
|
|
10.24
|
|
10.25
|
|
10.26
|
|
21.1
|
|
23.1
|
|
4.4
|
|
31.1
|
|
31.2
|
|
32.1
|
|
32.2
|
|
101.INS*
|
XBRL Instance 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
|
†
|
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
|
|
|
Reports of Independent Registered Public Accounting Firm
|
|
|
|
|
|
Consolidated Financial Statements
|
|
Consolidated Statements of Financial Condition as of December 31, 2018 and 2017
|
|
Consolidated Statements of Operations for the years ended December 31, 2018, 2017 and 2016
|
|
Consolidated Statements of Comprehensive Income for the years ended December 31, 2018, 2017 and 2016
|
|
Consolidated Statements of Changes in Stockholders' Equity for the years ended December 31, 2018, 2017 and 2016
|
|
Consolidated Statements of Cash Flows for the years ended December 31, 2018, 2017 and 2016
|
|
Notes to Consolidated Financial Statements
|
|
|
|
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
|
December 31, 2018
|
December 31, 2017
|
||||
|
|
|
||||
Cash and cash equivalents
|
$
|
47,486
|
|
$
|
63,569
|
|
Non-Agency RMBS, at fair value
|
2,486,130
|
|
2,851,316
|
|
||
Agency MBS, at fair value
|
12,188,950
|
|
4,364,828
|
|
||
Loans held for investment, at fair value
|
12,572,581
|
|
13,678,263
|
|
||
Accrued interest receivable
|
123,442
|
|
100,789
|
|
||
Other assets
|
252,582
|
|
114,391
|
|
||
Derivatives, at fair value, net
|
37,468
|
|
48,914
|
|
||
Total assets
(1)
|
$
|
27,708,639
|
|
$
|
21,222,070
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($15.8 billion and $8.8 billion, pledged as collateral, respectively)
|
$
|
14,030,465
|
|
$
|
7,250,452
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.0 billion and $1.6 billion pledged as collateral, respectively)
|
159,955
|
|
205,780
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($12.3 billion and $13.3 billion pledged as collateral, respectively)
|
8,455,376
|
|
9,388,657
|
|
||
Payable for investments purchased
|
1,136,157
|
|
567,440
|
|
||
Accrued interest payable
|
110,402
|
|
61,888
|
|
||
Dividends payable
|
95,986
|
|
95,365
|
|
||
Accounts payable and other liabilities
|
16,469
|
|
17,191
|
|
||
Derivatives, at fair value, net
|
—
|
|
320
|
|
||
Total liabilities
(1)
|
$
|
24,004,810
|
|
$
|
17,587,093
|
|
|
|
|
|
|
||
Commitments and Contingencies (See Note 15)
|
|
|
|
|
||
|
|
|
|
|
||
Stockholders' Equity:
|
|
|
|
|
||
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:
|
|
|
|
|
||
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference)
|
$
|
58
|
|
$
|
58
|
|
8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively ($325,000 liquidation preference)
|
130
|
|
130
|
|
||
7.75% Series C cumulative redeemable: 10,400,000 and 0 shares issued and outstanding, respectively ($260,000 liquidation preference)
|
104
|
|
—
|
|
||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,052,398 and 187,809,288 shares issued and outstanding, respectively
|
1,871
|
|
1,878
|
|
||
Additional paid-in-capital
|
4,072,093
|
|
3,826,691
|
|
||
Accumulated other comprehensive income
|
626,832
|
|
796,902
|
|
||
Cumulative earnings
|
3,379,489
|
|
2,967,852
|
|
||
Cumulative distributions to stockholders
|
(4,376,748
|
)
|
(3,958,534
|
)
|
||
Total stockholders' equity
|
$
|
3,703,829
|
|
$
|
3,634,977
|
|
Total liabilities and stockholders' equity
|
$
|
27,708,639
|
|
$
|
21,222,070
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
|||||||||
(dollars in thousands, except share and per share data)
|
|||||||||
|
|||||||||
|
For the Year Ended
|
||||||||
|
December 31, 2018
|
December 31, 2017
|
December 31, 2016
|
||||||
Net interest income:
|
|
|
|
||||||
Interest income
(1)
|
$
|
1,273,316
|
|
$
|
1,138,758
|
|
$
|
934,068
|
|
Interest expense
(2)
|
679,108
|
|
532,748
|
|
347,857
|
|
|||
Net interest income
|
594,208
|
|
606,010
|
|
586,211
|
|
|||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|||
Total other-than-temporary impairment losses
|
(2,556
|
)
|
(5,169
|
)
|
(9,589
|
)
|
|||
Portion of loss recognized in other comprehensive income
|
(19,235
|
)
|
(56,687
|
)
|
(48,398
|
)
|
|||
Net other-than-temporary credit impairment losses
|
(21,791
|
)
|
(61,856
|
)
|
(57,987
|
)
|
|||
Other investment gains (losses):
|
|
|
|
|
|
|
|||
Net unrealized gains (losses) on derivatives
|
(141,162
|
)
|
47,976
|
|
50,093
|
|
|||
Realized gains (losses) on terminations of interest rate swaps
|
—
|
|
(16,143
|
)
|
(60,616
|
)
|
|||
Net realized gains (losses) on derivatives
|
18,369
|
|
(25,645
|
)
|
(44,886
|
)
|
|||
Net gains (losses) on derivatives
|
(122,793
|
)
|
6,188
|
|
(55,409
|
)
|
|||
Net unrealized gains (losses) on financial instruments at fair value
|
46,632
|
|
111,410
|
|
59,552
|
|
|||
Net realized gains (losses) on sales of investments
|
(2,743
|
)
|
9,123
|
|
18,155
|
|
|||
Gains (losses) on extinguishment of debt
|
26,376
|
|
(35,274
|
)
|
(477
|
)
|
|||
Total other gains (losses)
|
(52,528
|
)
|
91,447
|
|
21,821
|
|
|||
|
|
|
|
|
|
|
|||
Other income:
|
|
|
|
|
|
|
|||
Other income
|
—
|
|
—
|
|
95,000
|
|
|||
Total other income
|
—
|
|
—
|
|
95,000
|
|
|||
|
|
|
|
|
|
||||
Other expenses:
|
|
|
|
|
|
||||
Compensation and benefits
|
35,114
|
|
30,212
|
|
26,901
|
|
|||
General and administrative expenses
|
23,936
|
|
17,650
|
|
17,516
|
|
|||
Servicing fees
|
40,773
|
|
41,690
|
|
31,178
|
|
|||
Deal expenses
|
8,338
|
|
21,273
|
|
17,424
|
|
|||
Total other expenses
|
108,161
|
|
110,825
|
|
93,019
|
|
|||
Income (loss) before income taxes
|
411,728
|
|
524,776
|
|
552,026
|
|
|||
Income taxes
|
91
|
|
108
|
|
83
|
|
|||
Net income (loss)
|
$
|
411,637
|
|
$
|
524,668
|
|
$
|
551,943
|
|
|
|
|
|
|
|
||||
Dividends on preferred stock
|
43,197
|
|
33,484
|
|
2,449
|
|
|||
|
|
|
|
|
|
|
|||
Net income (loss) available to common shareholders
|
$
|
368,440
|
|
$
|
491,184
|
|
$
|
549,494
|
|
|
|
|
|
|
|
|
|||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|||
Basic
|
$
|
1.97
|
|
$
|
2.62
|
|
$
|
2.93
|
|
Diluted
|
$
|
1.96
|
|
$
|
2.61
|
|
$
|
2.92
|
|
|
|
|
|
|
|
|
|||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|||
Basic
|
187,146,170
|
|
187,780,355
|
|
187,728,634
|
|
|||
Diluted
|
187,748,862
|
|
188,287,320
|
|
188,024,838
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
|||||||||
(dollars in thousands, except share and per share data)
|
|||||||||
|
|||||||||
|
|
|
|
||||||
|
For the Year Ended
|
||||||||
|
December 31, 2018
|
December 31, 2017
|
December 31, 2016
|
||||||
Comprehensive income (loss):
|
|
|
|
||||||
Net income (loss)
|
$
|
411,637
|
|
$
|
524,668
|
|
$
|
551,943
|
|
Other comprehensive income:
|
|
|
|
||||||
Unrealized gains (losses) on available-for-sale securities, net
|
(185,570
|
)
|
24,218
|
|
(88,527
|
)
|
|||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
21,791
|
|
61,856
|
|
57,987
|
|
|||
Reclassification adjustment for net realized losses (gains) included in net income
|
(6,291
|
)
|
(7,278
|
)
|
(25,145
|
)
|
|||
Other comprehensive income (loss)
|
(170,070
|
)
|
78,796
|
|
(55,685
|
)
|
|||
Comprehensive income (loss) before preferred stock dividends
|
$
|
241,567
|
|
$
|
603,464
|
|
$
|
496,258
|
|
Dividends on preferred stock
|
$
|
43,197
|
|
$
|
33,484
|
|
$
|
2,449
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
198,370
|
|
$
|
569,980
|
|
$
|
493,809
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||||||||||||||||||||
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
|
|||||||||||||||||||||||||||
(dollars in thousands, except per share data)
|
|||||||||||||||||||||||||||
|
|||||||||||||||||||||||||||
|
Series A Preferred Stock Par Value
|
Series B Preferred Stock Par Value
|
Series C 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, 2015
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
1,877
|
|
$
|
3,366,566
|
|
$
|
773,791
|
|
$
|
1,891,241
|
|
$
|
(3,087,287
|
)
|
$
|
2,946,188
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
551,943
|
|
—
|
|
551,943
|
|
|||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(55,685
|
)
|
—
|
|
—
|
|
(55,685
|
)
|
|||||||||
Stock based compensation
|
—
|
|
—
|
|
—
|
|
—
|
|
2,206
|
|
—
|
|
—
|
|
—
|
|
2,206
|
|
|||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(458,735
|
)
|
(458,735
|
)
|
|||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(2,449
|
)
|
(2,449
|
)
|
|||||||||
Issuance of preferred stock
|
58
|
|
—
|
|
—
|
|
—
|
|
140,007
|
|
—
|
|
—
|
|
—
|
|
140,065
|
|
|||||||||
Balance, December 31, 2016
|
$
|
58
|
|
$
|
—
|
|
$
|
—
|
|
$
|
1,877
|
|
$
|
3,508,779
|
|
$
|
718,106
|
|
$
|
2,443,184
|
|
$
|
(3,548,471
|
)
|
$
|
3,123,533
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Balance, December 31, 2016
|
$
|
58
|
|
$
|
—
|
|
$
|
—
|
|
$
|
1,877
|
|
$
|
3,508,779
|
|
$
|
718,106
|
|
$
|
2,443,184
|
|
$
|
(3,548,471
|
)
|
$
|
3,123,533
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
524,668
|
|
—
|
|
524,668
|
|
|||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
78,796
|
|
—
|
|
—
|
|
78,796
|
|
|||||||||
Stock based compensation
|
—
|
|
—
|
|
—
|
|
1
|
|
3,613
|
|
—
|
|
—
|
|
—
|
|
3,614
|
|
|||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(376,579
|
)
|
(376,579
|
)
|
|||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(33,484
|
)
|
(33,484
|
)
|
|||||||||
Issuance of preferred stock
|
—
|
|
130
|
|
—
|
|
—
|
|
314,299
|
|
—
|
|
—
|
|
—
|
|
314,429
|
|
|||||||||
Balance, December 31, 2017
|
$
|
58
|
|
$
|
130
|
|
$
|
—
|
|
$
|
1,878
|
|
$
|
3,826,691
|
|
$
|
796,902
|
|
$
|
2,967,852
|
|
$
|
(3,958,534
|
)
|
$
|
3,634,977
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Balance, December 31, 2017
|
$
|
58
|
|
$
|
130
|
|
$
|
—
|
|
$
|
1,878
|
|
$
|
3,826,691
|
|
$
|
796,902
|
|
$
|
2,967,852
|
|
$
|
(3,958,534
|
)
|
$
|
3,634,977
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
411,637
|
|
—
|
|
411,637
|
|
|||||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(170,070
|
)
|
—
|
|
—
|
|
(170,070
|
)
|
|||||||||
Repurchase of common stock
|
—
|
|
—
|
|
—
|
|
(8
|
)
|
(14,826
|
)
|
—
|
|
—
|
|
—
|
|
(14,834
|
)
|
|||||||||
Stock based compensation
|
—
|
|
—
|
|
—
|
|
1
|
|
8,796
|
|
—
|
|
—
|
|
—
|
|
8,797
|
|
|||||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(375,017
|
)
|
(375,017
|
)
|
|||||||||
Preferred dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(43,197
|
)
|
(43,197
|
)
|
|||||||||
Issuance of preferred stock
|
—
|
|
—
|
|
104
|
|
—
|
|
251,432
|
|
—
|
|
—
|
|
—
|
|
251,536
|
|
|||||||||
Balance, December 31, 2018
|
$
|
58
|
|
$
|
130
|
|
$
|
104
|
|
$
|
1,871
|
|
$
|
4,072,093
|
|
$
|
626,832
|
|
$
|
3,379,489
|
|
$
|
(4,376,748
|
)
|
$
|
3,703,829
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS
|
|||||||||
(dollars in thousands)
|
|||||||||
(Unaudited)
|
|||||||||
|
For the Year Ended
|
||||||||
|
December 31, 2018
|
December 31, 2017
|
December 31, 2016
|
||||||
Cash Flows From Operating Activities:
|
|
||||||||
Net income
|
$
|
411,637
|
|
$
|
524,668
|
|
$
|
551,943
|
|
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
|
|
||||||||
(Accretion) amortization of investment discounts/premiums, net
|
28,633
|
|
(25,422
|
)
|
(3,127
|
)
|
|||
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net
|
(13,124
|
)
|
7,395
|
|
1,543
|
|
|||
Amortization of swaption premium
|
1,476
|
|
6,269
|
|
6,559
|
|
|||
Net unrealized losses (gains) on derivatives
|
141,162
|
|
(47,976
|
)
|
(50,093
|
)
|
|||
Margin (paid) received on derivatives
|
(320,899
|
)
|
31,442
|
|
56,050
|
|
|||
Net unrealized losses (gains) on financial instruments at fair value
|
(46,632
|
)
|
(111,410
|
)
|
(59,552
|
)
|
|||
Net realized losses (gains) on sales of investments
|
2,743
|
|
(9,123
|
)
|
(18,155
|
)
|
|||
Net other-than-temporary credit impairment losses
|
21,791
|
|
61,856
|
|
57,987
|
|
|||
(Gain) loss on extinguishment of debt
|
(26,376
|
)
|
35,274
|
|
477
|
|
|||
Equity-based compensation expense
|
8,797
|
|
3,614
|
|
2,204
|
|
|||
Changes in operating assets:
|
|
|
|
|
|
|
|||
Decrease (increase) in accrued interest receivable, net
|
(22,652
|
)
|
(21,091
|
)
|
(13,450
|
)
|
|||
Decrease (increase) in other assets
|
63,235
|
|
18,080
|
|
3,994
|
|
|||
Changes in operating liabilities:
|
|
|
|
|
|
|
|||
Increase (decrease) in accounts payable and other liabilities
|
(722
|
)
|
498
|
|
5,290
|
|
|||
Increase (decrease) in accrued interest payable, net
|
48,515
|
|
13,217
|
|
11,237
|
|
|||
Net cash provided by (used in) operating activities
|
$
|
297,584
|
|
$
|
487,291
|
|
$
|
552,907
|
|
Cash Flows From Investing Activities:
|
|
||||||||
Agency MBS portfolio:
|
|
|
|
|
|
||||
Purchases
|
$
|
(7,917,661
|
)
|
$
|
(1,326,178
|
)
|
$
|
(1,040,290
|
)
|
Sales
|
16,184
|
|
743,937
|
|
2,570,025
|
|
|||
Principal payments
|
524,989
|
|
423,506
|
|
649,961
|
|
|||
Non-Agency RMBS portfolio:
|
|
|
|
|
|
|
|||
Purchases
|
(133,247
|
)
|
(15,262
|
)
|
(203,400
|
)
|
|||
Sales
|
19,928
|
|
5,045
|
|
95,399
|
|
|||
Principal payments
|
521,109
|
|
568,339
|
|
532,701
|
|
|||
Loans held for investment:
|
|
|
|
|
|
|
|||
Purchases
|
(1,671,330
|
)
|
(6,120,543
|
)
|
(4,897,370
|
)
|
|||
Sales
|
754,806
|
|
—
|
|
—
|
|
|||
Principal payments
|
1,859,155
|
|
1,788,408
|
|
1,022,414
|
|
|||
Acquisition of investments in consolidated VIEs
|
—
|
|
(398,261
|
)
|
—
|
|
|||
Net cash provided by (used in) investing activities
|
$
|
(6,026,067
|
)
|
$
|
(4,331,009
|
)
|
$
|
(1,270,560
|
)
|
Cash Flows From Financing Activities:
|
|
||||||||
Proceeds from repurchase agreements
|
$
|
71,279,975
|
|
$
|
44,120,574
|
|
$
|
34,202,707
|
|
Payments on repurchase agreements
|
(64,499,287
|
)
|
(42,471,025
|
)
|
(36,041,143
|
)
|
|||
Net proceeds from preferred stock offerings
|
251,536
|
|
314,429
|
|
140,065
|
|
|||
Payments on repurchase of common stock
|
(14,834
|
)
|
—
|
|
—
|
|
|||
Proceeds from securitized debt borrowings, collateralized by loans held for investment
|
1,769,539
|
|
5,152,469
|
|
4,797,255
|
|
|||
Payments on securitized debt borrowings, collateralized by loans held for investment
|
(2,613,038
|
)
|
(2,844,132
|
)
|
(1,668,670
|
)
|
|||
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS
|
(43,898
|
)
|
(131,039
|
)
|
(194,634
|
)
|
Common dividends paid
|
(374,396
|
)
|
(375,771
|
)
|
(454,275
|
)
|
|||
Preferred dividends paid
|
(43,197
|
)
|
(35,932
|
)
|
—
|
|
|||
Net cash provided by (used in) financing activities
|
$
|
5,712,400
|
|
$
|
3,729,573
|
|
$
|
781,305
|
|
Net increase (decrease) in cash and cash equivalents
|
(16,083
|
)
|
(114,145
|
)
|
63,652
|
|
|||
Cash and cash equivalents at beginning of period
|
63,569
|
|
177,714
|
|
114,062
|
|
|||
Cash and cash equivalents at end of period
|
$
|
47,486
|
|
$
|
63,569
|
|
$
|
177,714
|
|
|
|
|
|
||||||
Supplemental disclosure of cash flow information:
|
|
||||||||
Interest received
|
$
|
1,279,297
|
|
$
|
1,092,245
|
|
$
|
917,491
|
|
Interest paid
|
$
|
643,717
|
|
$
|
512,133
|
|
$
|
335,077
|
|
Non-cash investing activities:
|
|
|
|
|
|
|
|||
Payable for investments purchased
|
$
|
1,136,157
|
|
$
|
567,440
|
|
$
|
520,532
|
|
Net change in unrealized gain (loss) on available-for sale securities
|
$
|
(170,070
|
)
|
$
|
78,796
|
|
$
|
(55,685
|
)
|
Retained beneficial interests
|
$
|
39,844
|
|
$
|
—
|
|
$
|
—
|
|
|
|
|
|
||||||
Acquisition of securities in Consolidated VIEs
|
|
|
|
|
|
|
|||
Securitized loans held for investment, at fair value
|
$
|
—
|
|
$
|
419,222
|
|
$
|
—
|
|
Securitized debt at fair value
|
$
|
—
|
|
$
|
(20,961
|
)
|
$
|
—
|
|
|
|
|
|
|
|
|
|||
Non-cash financing activities:
|
|
|
|
|
|
|
|||
Dividends declared, not yet paid
|
$
|
95,986
|
|
$
|
95,365
|
|
$
|
94,557
|
|
Preferred dividends accrued
|
$
|
—
|
|
$
|
—
|
|
$
|
2,449
|
|
•
|
Certain Agency MBS
|
•
|
Non-Agency RMBS that meet all of the following conditions at the acquisition date (referred to hereafter as “Non-Agency RMBS of High Credit Quality”):
|
1.
|
There is evidence of deterioration in credit quality of the security from its inception; and
|
2.
|
It is probable that the Company will be unable to collect all contractual cash flows of the security.
|
1.
|
The security is not of high credit quality (defined as rated below AA or is unrated), or
|
2.
|
The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment.
|
|
|
December 31, 2018
|
|
|
|
|
||||||||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|
||||||||||||||||||
|
Principal or Notional Value
|
Total Premium
|
Total Discount
|
Amortized Cost
|
Fair Value
|
Gross Unrealized Gains
|
Gross Unrealized Losses
|
Net Unrealized Gain/(Loss)
|
||||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
||||||||||||||||
Senior
|
$
|
2,386,049
|
|
$
|
537
|
|
$
|
(1,112,368
|
)
|
$
|
1,274,218
|
|
$
|
1,943,124
|
|
$
|
669,356
|
|
$
|
(450
|
)
|
$
|
668,906
|
|
Senior, interest-only
|
5,667,198
|
|
286,942
|
|
—
|
|
286,942
|
|
254,890
|
|
31,123
|
|
(63,175
|
)
|
(32,052
|
)
|
||||||||
Subordinated
|
394,037
|
|
8,642
|
|
(179,669
|
)
|
223,010
|
|
276,467
|
|
53,702
|
|
(245
|
)
|
53,457
|
|
||||||||
Subordinated, interest-only
|
221,549
|
|
9,932
|
|
—
|
|
9,932
|
|
11,649
|
|
2,000
|
|
(283
|
)
|
1,717
|
|
||||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
8,984,249
|
|
221,606
|
|
—
|
|
9,205,855
|
|
9,174,382
|
|
51,986
|
|
(83,459
|
)
|
(31,473
|
)
|
||||||||
Commercial
|
2,895,679
|
|
61,727
|
|
(4,469
|
)
|
2,952,937
|
|
2,881,222
|
|
6,303
|
|
(78,018
|
)
|
(71,715
|
)
|
||||||||
Interest-only
|
3,028,572
|
|
136,026
|
|
—
|
|
136,026
|
|
133,346
|
|
1,986
|
|
(4,666
|
)
|
(2,680
|
)
|
||||||||
Total
|
$
|
23,577,333
|
|
$
|
725,412
|
|
$
|
(1,296,506
|
)
|
$
|
14,088,920
|
|
$
|
14,675,080
|
|
$
|
816,456
|
|
$
|
(230,296
|
)
|
$
|
586,160
|
|
|
|
December 31, 2017
|
|
|
|
|
||||||||||||||||||
|
|
(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
|
$
|
2,733,926
|
|
$
|
540
|
|
$
|
(1,257,103
|
)
|
$
|
1,477,363
|
|
$
|
2,231,415
|
|
$
|
754,234
|
|
$
|
(182
|
)
|
$
|
754,052
|
|
Senior, interest-only
|
4,862,461
|
|
262,996
|
|
—
|
|
262,996
|
|
210,850
|
|
15,761
|
|
(67,907
|
)
|
(52,146
|
)
|
||||||||
Subordinated
|
501,455
|
|
10,571
|
|
(177,206
|
)
|
334,820
|
|
401,225
|
|
66,704
|
|
(299
|
)
|
66,405
|
|
||||||||
Subordinated, interest-only
|
201,378
|
|
7,369
|
|
—
|
|
7,369
|
|
7,826
|
|
902
|
|
(445
|
)
|
457
|
|
||||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
2,227,128
|
|
123,245
|
|
—
|
|
2,350,373
|
|
2,322,180
|
|
5,706
|
|
(33,899
|
)
|
(28,193
|
)
|
||||||||
Commercial
|
1,894,594
|
|
47,430
|
|
(4,685
|
)
|
1,937,339
|
|
1,938,281
|
|
17,041
|
|
(16,099
|
)
|
942
|
|
||||||||
Interest-only
|
3,021,840
|
|
111,277
|
|
—
|
|
111,277
|
|
104,367
|
|
834
|
|
(7,744
|
)
|
(6,910
|
)
|
||||||||
Total
|
$
|
15,442,782
|
|
$
|
563,428
|
|
$
|
(1,438,994
|
)
|
$
|
6,481,537
|
|
$
|
7,216,144
|
|
$
|
861,182
|
|
$
|
(126,575
|
)
|
$
|
734,607
|
|
|
For the Year Ended
|
|||||
|
December 31, 2018
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Balance at beginning of period
|
$
|
1,303,589
|
|
$
|
1,550,110
|
|
Purchases
|
43,866
|
|
20,962
|
|
||
Yield income earned
|
(231,205
|
)
|
(266,214
|
)
|
||
Reclassification (to) from non-accretable difference
|
157,117
|
|
18,909
|
|
||
Sales and deconsolidation
|
(25,058
|
)
|
(20,178
|
)
|
||
Balance at end of period
|
$
|
1,248,309
|
|
$
|
1,303,589
|
|
|
For the Year Ended
|
|||||
|
December 31, 2018
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Outstanding principal balance:
|
|
|
||||
Beginning of period
|
$
|
2,673,350
|
|
$
|
3,138,265
|
|
End of period
|
$
|
2,325,154
|
|
$
|
2,673,350
|
|
Amortized cost:
|
|
|
|
|
||
Beginning of period
|
$
|
1,381,839
|
|
$
|
1,695,079
|
|
End of period
|
$
|
1,158,291
|
|
$
|
1,381,839
|
|
|
|
|
December 31, 2018
|
|
|
|
|
|
|
|||||||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|
|
|
||||||||||||||||||
|
Unrealized Loss Position for Less than 12 Months
|
|
Unrealized Loss Position for 12 Months or More
|
|
Total
|
|||||||||||||||||||||
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Positions
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Positions
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Positions
|
|||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Senior
|
$
|
—
|
|
$
|
—
|
|
—
|
|
|
$
|
33,303
|
|
$
|
(450
|
)
|
1
|
|
|
$
|
33,303
|
|
$
|
(450
|
)
|
1
|
|
Senior, interest-only
|
34,236
|
|
(4,276
|
)
|
29
|
|
|
95,108
|
|
(58,899
|
)
|
91
|
|
|
129,344
|
|
(63,175
|
)
|
120
|
|
||||||
Subordinated
|
13,404
|
|
(245
|
)
|
7
|
|
|
—
|
|
—
|
|
8
|
|
|
13,404
|
|
(245
|
)
|
15
|
|
||||||
Subordinated, interest-only
|
2,104
|
|
(158
|
)
|
2
|
|
|
303
|
|
(125
|
)
|
1
|
|
|
2,407
|
|
(283
|
)
|
3
|
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential
|
779,322
|
|
(6,220
|
)
|
17
|
|
|
1,809,566
|
|
(77,239
|
)
|
114
|
|
|
2,588,888
|
|
(83,459
|
)
|
131
|
|
||||||
Commercial
|
1,697,555
|
|
(56,382
|
)
|
548
|
|
|
504,570
|
|
(21,636
|
)
|
183
|
|
|
2,202,125
|
|
(78,018
|
)
|
731
|
|
||||||
Interest-only
|
5,769
|
|
(48
|
)
|
2
|
|
|
41,659
|
|
(4,618
|
)
|
17
|
|
|
47,428
|
|
(4,666
|
)
|
19
|
|
||||||
Total
|
$
|
2,532,390
|
|
$
|
(67,329
|
)
|
605
|
|
|
$
|
2,484,509
|
|
$
|
(162,967
|
)
|
415
|
|
|
$
|
5,016,899
|
|
$
|
(230,296
|
)
|
1,020
|
|
|
|
|
December 31, 2017
|
|
|
|
|
|
|
|||||||||||||||||
|
|
(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
|
$
|
35,229
|
|
$
|
(182
|
)
|
1
|
|
|
$
|
—
|
|
$
|
—
|
|
—
|
|
|
$
|
35,229
|
|
$
|
(182
|
)
|
1
|
|
Senior, interest-only
|
28,129
|
|
(1,724
|
)
|
27
|
|
|
120,120
|
|
(66,183
|
)
|
120
|
|
|
148,249
|
|
(67,907
|
)
|
147
|
|
||||||
Subordinated
|
235
|
|
(38
|
)
|
7
|
|
|
6,261
|
|
(261
|
)
|
5
|
|
|
6,496
|
|
(299
|
)
|
12
|
|
||||||
Subordinated, interest-only
|
—
|
|
—
|
|
—
|
|
|
945
|
|
(445
|
)
|
3
|
|
|
945
|
|
(445
|
)
|
3
|
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential
|
660,103
|
|
(5,197
|
)
|
21
|
|
|
1,471,464
|
|
(28,702
|
)
|
93
|
|
|
2,131,567
|
|
(33,899
|
)
|
114
|
|
||||||
Commercial
|
830,889
|
|
(11,695
|
)
|
176
|
|
|
161,980
|
|
(4,404
|
)
|
91
|
|
|
992,869
|
|
(16,099
|
)
|
267
|
|
||||||
Interest-only
|
15,142
|
|
(641
|
)
|
7
|
|
|
57,875
|
|
(7,103
|
)
|
24
|
|
|
73,017
|
|
(7,744
|
)
|
31
|
|
||||||
Total
|
$
|
1,569,727
|
|
$
|
(19,477
|
)
|
239
|
|
|
$
|
1,818,645
|
|
$
|
(107,098
|
)
|
336
|
|
|
$
|
3,388,372
|
|
$
|
(126,575
|
)
|
575
|
|
|
For the Year Ended
|
||||||||
|
December 31, 2018
|
December 31, 2017
|
December 31, 2016
|
||||||
|
(dollars in thousands)
|
||||||||
Total other-than-temporary impairment losses
|
$
|
(2,556
|
)
|
$
|
(5,169
|
)
|
$
|
(9,589
|
)
|
Portion of loss recognized in other comprehensive income (loss)
|
(19,235
|
)
|
(56,687
|
)
|
(48,398
|
)
|
|||
Net other-than-temporary credit impairment losses
|
$
|
(21,791
|
)
|
$
|
(61,856
|
)
|
$
|
(57,987
|
)
|
|
For the Year Ended
|
||||||||
|
December 31, 2018
|
December 31, 2017
|
December 31, 2016
|
||||||
|
(dollars in thousands)
|
||||||||
Cumulative credit loss beginning balance
|
$
|
591,521
|
|
$
|
556,485
|
|
$
|
529,112
|
|
Additions:
|
|
|
|
|
|
||||
Other-than-temporary impairments not previously recognized
|
9,379
|
|
12,669
|
|
25,959
|
|
|||
Reductions for securities sold or deconsolidated during the period
|
(9,169
|
)
|
(12,405
|
)
|
(9,429
|
)
|
|||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
12,412
|
|
47,211
|
|
32,027
|
|
|||
Reductions for increases in cash flows expected to be collected over the remaining life of the securities
|
(16,944
|
)
|
(12,439
|
)
|
(21,184
|
)
|
|||
Cumulative credit impairment loss ending balance
|
$
|
587,199
|
|
$
|
591,521
|
|
$
|
556,485
|
|
|
|
December 31, 2018
|
|
|
|
|||||||||||||
|
|
(dollars in thousands)
|
|
|
|
|||||||||||||
|
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Gain Included in Cumulative Earnings
|
Total Gross Unrealized Gain
|
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Loss Included in Cumulative Earnings
|
Total Gross Unrealized Loss
|
||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
||||||||||||
Senior
|
$
|
669,356
|
|
$
|
—
|
|
$
|
669,356
|
|
$
|
(450
|
)
|
$
|
—
|
|
$
|
(450
|
)
|
Senior, interest-only
|
—
|
|
31,123
|
|
31,123
|
|
—
|
|
(63,175
|
)
|
(63,175
|
)
|
||||||
Subordinated
|
50,235
|
|
3,467
|
|
53,702
|
|
(151
|
)
|
(94
|
)
|
(245
|
)
|
||||||
Subordinated, interest-only
|
—
|
|
2,000
|
|
2,000
|
|
—
|
|
(283
|
)
|
(283
|
)
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
1,708
|
|
50,278
|
|
51,986
|
|
(59,552
|
)
|
(23,907
|
)
|
(83,459
|
)
|
||||||
Commercial
|
811
|
|
5,492
|
|
6,303
|
|
(35,125
|
)
|
(42,893
|
)
|
(78,018
|
)
|
||||||
Interest-only
|
—
|
|
1,986
|
|
1,986
|
|
—
|
|
(4,666
|
)
|
(4,666
|
)
|
||||||
Total
|
$
|
722,110
|
|
$
|
94,346
|
|
$
|
816,456
|
|
$
|
(95,278
|
)
|
$
|
(135,018
|
)
|
$
|
(230,296
|
)
|
|
|
December 31, 2017
|
|
|
|
|||||||||||||
|
|
(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
|
$
|
754,234
|
|
$
|
—
|
|
$
|
754,234
|
|
$
|
(182
|
)
|
$
|
—
|
|
$
|
(182
|
)
|
Senior, interest-only
|
—
|
|
15,761
|
|
15,761
|
|
—
|
|
(67,907
|
)
|
(67,907
|
)
|
||||||
Subordinated
|
62,989
|
|
3,715
|
|
66,704
|
|
(102
|
)
|
(197
|
)
|
(299
|
)
|
||||||
Subordinated, interest-only
|
—
|
|
902
|
|
902
|
|
—
|
|
(445
|
)
|
(445
|
)
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential
|
5,706
|
|
—
|
|
5,706
|
|
(29,083
|
)
|
(4,816
|
)
|
(33,899
|
)
|
||||||
Commercial
|
15,462
|
|
1,579
|
|
17,041
|
|
(12,122
|
)
|
(3,977
|
)
|
(16,099
|
)
|
||||||
Interest-only
|
—
|
|
834
|
|
834
|
|
—
|
|
(7,744
|
)
|
(7,744
|
)
|
||||||
Total
|
$
|
838,391
|
|
$
|
22,791
|
|
$
|
861,182
|
|
$
|
(41,489
|
)
|
$
|
(85,086
|
)
|
$
|
(126,575
|
)
|
|
December 31, 2018
|
||||||||||||
|
Principal or Notional Value
at Period-End (dollars in thousands) |
Weighted Average Amortized
Cost Basis |
Weighted Average Fair Value
|
Weighted Average
Coupon |
Weighted Average Yield at Period-End
(1)
|
||||||||
Non-Agency RMBS
|
|
|
|
|
|||||||||
Senior
|
$
|
2,386,049
|
|
$
|
53.40
|
|
$
|
81.44
|
|
5.0
|
%
|
19.5
|
%
|
Senior, interest-only
|
5,667,198
|
|
5.06
|
|
4.50
|
|
1.2
|
%
|
8.4
|
%
|
|||
Subordinated
|
394,037
|
|
56.60
|
|
70.16
|
|
4.0
|
%
|
9.9
|
%
|
|||
Subordinated, interest-only
|
221,549
|
|
4.48
|
|
5.26
|
|
1.1
|
%
|
16.4
|
%
|
|||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||
Residential pass-through
|
8,984,249
|
|
102.47
|
|
102.12
|
|
4.0
|
%
|
3.6
|
%
|
|||
Commercial pass-through
|
2,895,679
|
|
101.98
|
|
99.50
|
|
3.6
|
%
|
3.4
|
%
|
|||
Interest-only
|
3,028,572
|
|
4.49
|
|
4.40
|
|
0.8
|
%
|
4.3
|
%
|
|
December 31, 2017
|
||||||||||||
|
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
|
$
|
2,733,926
|
|
$
|
54.04
|
|
$
|
81.62
|
|
4.6
|
%
|
16.7
|
%
|
Senior, interest-only
|
4,862,461
|
|
5.41
|
|
4.34
|
|
1.3
|
%
|
8.0
|
%
|
|||
Subordinated
|
501,455
|
|
66.77
|
|
80.01
|
|
4.1
|
%
|
9.6
|
%
|
|||
Subordinated, interest-only
|
201,378
|
|
3.66
|
|
3.89
|
|
0.8
|
%
|
11.8
|
%
|
|||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||
Residential pass-through
|
2,227,128
|
|
105.53
|
|
104.27
|
|
3.8
|
%
|
2.9
|
%
|
|||
Commercial pass-through
|
1,894,594
|
|
102.26
|
|
102.31
|
|
3.6
|
%
|
3.2
|
%
|
|||
Interest-only
|
3,021,840
|
|
3.68
|
|
3.45
|
|
0.7
|
%
|
3.4
|
%
|
|
December 31, 2018
|
December 31, 2017
|
|
|
AAA
|
0.5
|
%
|
—
|
%
|
AA
|
0.1
|
%
|
—
|
%
|
A
|
0.3
|
%
|
—
|
%
|
BBB
|
0.4
|
%
|
0.5
|
%
|
BB
|
3.6
|
%
|
0.7
|
%
|
B
|
1.1
|
%
|
0.6
|
%
|
Below B or not rated
|
94.0
|
%
|
98.2
|
%
|
Total
|
100.0
|
%
|
100.0
|
%
|
|
December 31, 2017
|
||||||||||||||
|
(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
|
$
|
2,179
|
|
$
|
681,086
|
|
$
|
910,234
|
|
$
|
637,916
|
|
$
|
2,231,415
|
|
Senior interest-only
|
19
|
|
54,107
|
|
72,702
|
|
84,022
|
|
210,850
|
|
|||||
Subordinated
|
—
|
|
75,495
|
|
121,555
|
|
204,175
|
|
401,225
|
|
|||||
Subordinated interest-only
|
—
|
|
7,165
|
|
661
|
|
—
|
|
7,826
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
21,777
|
|
2,300,403
|
|
—
|
|
2,322,180
|
|
|||||
Commercial
|
—
|
|
45,770
|
|
16,559
|
|
1,875,952
|
|
1,938,281
|
|
|||||
Interest-only
|
—
|
|
74,490
|
|
25,271
|
|
4,606
|
|
104,367
|
|
|||||
Total fair value
|
$
|
2,198
|
|
$
|
959,890
|
|
$
|
3,447,385
|
|
$
|
2,806,671
|
|
$
|
7,216,144
|
|
Amortized cost
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
||||||
Senior
|
$
|
2,124
|
|
$
|
493,965
|
|
$
|
569,458
|
|
$
|
411,816
|
|
$
|
1,477,363
|
|
Senior interest-only
|
1,271
|
|
73,758
|
|
94,145
|
|
93,822
|
|
262,996
|
|
|||||
Subordinated
|
—
|
|
61,987
|
|
91,044
|
|
181,789
|
|
334,820
|
|
|||||
Subordinated interest-only
|
—
|
|
6,355
|
|
1,014
|
|
—
|
|
7,369
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
22,069
|
|
2,328,304
|
|
—
|
|
2,350,373
|
|
|||||
Commercial
|
—
|
|
47,170
|
|
17,176
|
|
1,872,993
|
|
1,937,339
|
|
|||||
Interest-only
|
—
|
|
79,356
|
|
27,582
|
|
4,339
|
|
111,277
|
|
|||||
Total amortized cost
|
$
|
3,395
|
|
$
|
784,660
|
|
$
|
3,128,723
|
|
$
|
2,564,759
|
|
$
|
6,481,537
|
|
|
December 31, 2018
|
December 31, 2017
|
||||||
Weighted average maturity (years)
|
|
21.3
|
|
|
20.7
|
|
||
Weighted average amortized loan to value
(1)
|
|
62.9
|
%
|
|
64.4
|
%
|
||
Weighted average FICO
(2)
|
|
708
|
|
|
697
|
|
||
Weighted average loan balance (in thousands)
|
|
$
|
308
|
|
|
$
|
314
|
|
Weighted average percentage owner occupied
|
|
85.7
|
%
|
|
84.4
|
%
|
||
Weighted average percentage single family residence
|
|
63.8
|
%
|
|
66.3
|
%
|
||
Weighted average current credit enhancement
|
|
1.4
|
%
|
|
2.2
|
%
|
||
Weighted average geographic concentration of top four states
|
CA
|
33.8
|
%
|
CA
|
31.7
|
%
|
||
|
FL
|
7.7
|
%
|
NY
|
8.5
|
%
|
||
|
NY
|
7.4
|
%
|
FL
|
8.3
|
%
|
||
|
NJ
|
2.1
|
%
|
NJ
|
2.7
|
%
|
Origination Year
|
December 31, 2018
|
December 31, 2017
|
|
|
2003 and prior
|
1.3
|
%
|
1.6
|
%
|
2004
|
1.7
|
%
|
0.9
|
%
|
2005
|
12.9
|
%
|
12.5
|
%
|
2006
|
49.8
|
%
|
46.4
|
%
|
2007
|
31.0
|
%
|
36.5
|
%
|
2008 and later
|
3.3
|
%
|
2.1
|
%
|
Total
|
100.0
|
%
|
100.0
|
%
|
|
For the Year Ended
|
||||||||
|
December 31, 2018
|
December 31, 2017
|
December 31, 2016
|
||||||
|
(dollars in thousands)
|
||||||||
Proceeds from sales
|
$
|
116,975
|
|
$
|
812,005
|
|
$
|
2,719,329
|
|
|
|
|
|
||||||
Gross realized gains
|
7,547
|
|
17,538
|
|
28,572
|
|
|||
Gross realized losses
|
(10,391
|
)
|
(8,415
|
)
|
(10,417
|
)
|
|||
Net realized gain (loss)
|
$
|
(2,844
|
)
|
$
|
9,123
|
|
$
|
18,155
|
|
|
For the Year Ended
|
|||||
|
December 31, 2018
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Balance, beginning of period
|
$
|
13,678,263
|
|
$
|
8,753,653
|
|
Purchases
|
1,671,330
|
|
6,539,765
|
|
||
Principal paydowns
|
(1,859,155
|
)
|
(1,788,409
|
)
|
||
Sales and settlements
|
(807,364
|
)
|
2,876
|
|
||
Net periodic accretion (amortization)
|
(83,393
|
)
|
(35,803
|
)
|
||
Realized gains (losses) on sales and settlements
|
101
|
|
—
|
|
||
Change in fair value
|
(27,201
|
)
|
206,181
|
|
||
Balance, end of period
|
$
|
12,572,581
|
|
$
|
13,678,263
|
|
Origination Year
|
December 31, 2018
|
December 31, 2017
|
|
|
2002 and prior
|
7.3
|
%
|
7.5
|
%
|
2003
|
6.6
|
%
|
6.7
|
%
|
2004
|
13.6
|
%
|
14.6
|
%
|
2005
|
19.5
|
%
|
20.4
|
%
|
2006
|
22.7
|
%
|
23.1
|
%
|
2007
|
19.5
|
%
|
19.0
|
%
|
2008
|
6.2
|
%
|
6.0
|
%
|
2009
|
1.0
|
%
|
0.7
|
%
|
2010 and later
|
3.6
|
%
|
2.0
|
%
|
Total
|
100.0
|
%
|
100.0
|
%
|
|
December 31, 2018
|
December 31, 2017
|
||||||
Number of loans
|
|
140,345
|
|
|
149,172
|
|
||
Weighted average maturity (years)
|
|
18.6
|
|
|
18.8
|
|
||
Weighted average loan to value
(1)
|
|
87.5
|
%
|
|
88.0
|
%
|
||
Weighted average FICO
(1)
|
|
629
|
|
|
631
|
|
||
Weighted average loan balance (in thousands)
|
|
$
|
89
|
|
|
$
|
91
|
|
Weighted average percentage owner occupied
|
|
90.1
|
%
|
|
95.0
|
%
|
||
Weighted average percentage single family residence
|
|
86.3
|
%
|
|
86.0
|
%
|
||
Weighted average geographic concentration of top five states
|
CA
|
9.0
|
%
|
CA
|
9.0
|
%
|
||
|
FL
|
7.3
|
%
|
FL
|
7.2
|
%
|
||
|
OH
|
5.9
|
%
|
OH
|
6.1
|
%
|
||
|
NY
|
5.7
|
%
|
PA
|
5.6
|
%
|
||
|
PA
|
5.6
|
%
|
VA
|
5.5
|
%
|
December 31, 2018
|
|||||||||||||
(dollars in thousands)
|
|||||||||||||
|
|
|
|
|
|
|
|||||||
Loan Balance
|
Number of Loans
|
Interest Rate
|
Maturity Date
|
Total Principal
|
30-89 Days Delinquent
|
90+ Days Delinquent
|
|||||||
Held-for-Investment at fair value:
|
|
|
|
|
|
|
|||||||
Adjustable rate loans:
|
|
|
|
|
|
|
|||||||
$1 to $250
|
8,258
|
|
1.00% to 19.49%
|
6/1/1983 - 6/1/2058
|
$
|
713,392
|
|
$
|
80,781
|
|
$
|
48,235
|
|
$250 to $500
|
456
|
|
2.00% to 12.75%
|
3/1/2023 - 2/1/2057
|
148,867
|
|
17,722
|
|
10,779
|
|
|||
$500 to $750
|
65
|
|
2.00% to 10.00%
|
1/1/2034 - 8/1/2047
|
38,148
|
|
2,979
|
|
2,762
|
|
|||
$750 to $1,000
|
7
|
|
4.13% to 5.13%
|
4/1/2035 - 4/1/2038
|
6,008
|
|
784
|
|
—
|
|
|||
Over $1,000
|
7
|
|
4.00% to 5.00%
|
7/1/2037 - 8/1/2039
|
12,195
|
|
—
|
|
1,164
|
|
|||
|
8,793
|
|
|
|
$
|
918,610
|
|
$
|
102,266
|
|
$
|
62,940
|
|
|
|
|
|
|
|
|
|||||||
Fixed loans:
|
|
|
|
|
|
|
|||||||
$1 to $250
|
126,085
|
|
0.00% to 24.00%
|
6/1/1989 - 5/1/2062
|
$
|
9,566,517
|
|
$
|
894,574
|
|
$
|
591,283
|
|
$250 to $500
|
4,942
|
|
0.00% to 12.52%
|
4/1/2018 - 11/1/2061
|
1,595,673
|
|
160,015
|
|
128,876
|
|
|||
$500 to $750
|
406
|
|
2.00% to 10.69%
|
7/1/2031 - 5/1/2058
|
238,292
|
|
12,239
|
|
10,600
|
|
|||
$750 to $1,000
|
88
|
|
2.00% to 7.98%
|
3/1/2013 - 12/1/2055
|
75,289
|
|
2,677
|
|
1,805
|
|
|||
Over $1,000
|
31
|
|
3.00% to 6.38%
|
6/1/2037 - 6/1/2057
|
38,200
|
|
—
|
|
—
|
|
|||
|
131,552
|
|
|
|
$
|
11,513,971
|
|
$
|
1,069,505
|
|
$
|
732,564
|
|
|
|
|
|
|
|
|
|||||||
Total
|
140,345
|
|
|
|
$
|
12,432,581
|
|
$
|
1,171,771
|
|
$
|
795,504
|
|
December 31, 2017
|
|||||||||||||
(dollars in thousands)
|
|||||||||||||
|
|
|
|
|
|
|
|||||||
Loan Balance
|
Number of Loans
|
Interest Rate
|
Maturity Date
|
Total Principal
|
30-89 Days Delinquent
|
90+ Days Delinquent
|
|||||||
Held-for-Investment at fair value:
|
|
|
|
|
|
|
|||||||
Adjustable rate loans:
|
|
|
|
|
|
|
|||||||
$1 to $250
|
9,227
|
|
1.00% to 18.74%
|
9/1/1992 - 6/1/2057
|
$
|
827,020
|
|
$
|
95,952
|
|
$
|
46,343
|
|
$250 to $500
|
529
|
|
2.00% to 11.88%
|
11/1/2028 - 12/1/2056
|
171,266
|
|
19,289
|
|
11,855
|
|
|||
$500 to $750
|
67
|
|
2.00% to 9.25%
|
1/1/2034 - 9/1/2046
|
39,212
|
|
3,041
|
|
2,382
|
|
|||
$750 to $1,000
|
9
|
|
3.88% to 5.55%
|
1/1/2035 - 12/1/2045
|
7,663
|
|
757
|
|
—
|
|
|||
Over $1,000
|
8
|
|
3.88% to 4.00%
|
7/1/2037 - 8/1/2039
|
13,702
|
|
2,705
|
|
1,164
|
|
|||
|
9,840
|
|
|
|
$
|
1,058,863
|
|
$
|
121,744
|
|
$
|
61,744
|
|
|
|
|
|
|
|
|
|||||||
Hybrid loans:
|
|
|
|
|
|
|
|||||||
$500 to $750
|
1
|
|
6.88% to 6.88%
|
1/1/2038 - 1/1/2038
|
$
|
702
|
|
$
|
—
|
|
$
|
—
|
|
|
1
|
|
|
|
$
|
702
|
|
$
|
—
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|||||||
Fixed loans:
|
|
|
|
|
|
|
|||||||
$1 to $250
|
133,437
|
|
0.00% to 24.00%
|
9/1/1994 - 5/1/2062
|
$
|
10,371,829
|
|
$
|
960,564
|
|
$
|
562,271
|
|
$250 to $500
|
5,324
|
|
0.00% to 12.52%
|
4/1/2018 - 11/1/2065
|
1,713,839
|
|
188,257
|
|
114,616
|
|
|||
$500 to $750
|
440
|
|
2.00% to 10.69%
|
7/1/2031 - 9/1/2057
|
258,058
|
|
12,789
|
|
13,459
|
|
|||
$750 to $1,000
|
99
|
|
2.00% to 7.69%
|
3/1/2013 - 12/1/2055
|
84,701
|
|
1,706
|
|
877
|
|
|||
Over $1,000
|
31
|
|
3.00% to 5.75%
|
12/1/2040 - 7/1/2056
|
37,828
|
|
1,155
|
|
—
|
|
|||
|
139,331
|
|
|
|
$
|
12,466,255
|
|
$
|
1,164,471
|
|
$
|
691,223
|
|
|
|
|
|
|
|
|
|||||||
Total
|
149,172
|
|
|
|
$
|
13,525,820
|
|
$
|
1,286,215
|
|
$
|
752,967
|
|
|
December 31, 2018
|
||||||||
|
(dollars in thousands)
|
||||||||
|
Unpaid
Principal/ Notional |
Fair Value
|
|
Year to Date Gain/(Loss) on Change in Fair Value
|
|||||
Assets:
|
|
|
|
|
|||||
Non-agency RMBS
|
|
|
|
|
|||||
Subordinated
|
N/A
|
|
$
|
12,014
|
|
|
$
|
(145
|
)
|
Senior, interest-only
|
5,667,198
|
|
254,890
|
|
|
20,095
|
|
||
Subordinated, interest-only
|
221,549
|
|
11,649
|
|
|
1,261
|
|
||
Agency MBS
|
|
|
|
|
|||||
Residential Pass-through
|
7,573,835
|
|
7,739,382
|
|
|
31,185
|
|
||
Commercial Pass-through
|
1,607,626
|
|
1,595,681
|
|
|
(35,002
|
)
|
||
Interest-only
|
3,028,572
|
|
133,346
|
|
|
4,230
|
|
||
Loans held for investment, at fair value
|
12,432,582
|
|
12,572,581
|
|
|
(27,201
|
)
|
||
Liabilities:
|
|
|
|
|
|
|
|
||
Securitized debt at fair value, collateralized by loans held for investment
|
8,561,319
|
|
8,455,376
|
|
|
52,209
|
|
|
December 31, 2017
|
||||||||
|
(dollars in thousands)
|
||||||||
|
Unpaid
Principal/ Notional |
Fair Value
|
|
Year to Date Gain/(Loss) on Change in Fair Value
|
|||||
Assets:
|
|
|
|
|
|||||
Non-agency RMBS
|
|
|
|
|
|||||
Subordinated
|
N/A
|
|
$
|
13,993
|
|
|
$
|
1,246
|
|
Senior, interest-only
|
4,862,461
|
|
210,850
|
|
|
(13,290
|
)
|
||
Subordinated, interest-only
|
201,378
|
|
7,826
|
|
|
2,311
|
|
||
Agency MBS
|
|
|
|
|
|||||
Residential Pass-through
|
577,522
|
|
602,829
|
|
|
(4,816
|
)
|
||
Commercial Pass-through
|
564,379
|
|
570,105
|
|
|
(2,398
|
)
|
||
Interest-only
|
3,021,840
|
|
104,367
|
|
|
465
|
|
||
Loans held for investment, at fair value
|
13,525,820
|
|
13,678,263
|
|
|
206,181
|
|
||
Liabilities:
|
|
|
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
9,395,854
|
|
9,388,657
|
|
|
(78,289
|
)
|
|
December 31, 2018
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Counterparty and Cash Collateral, netting
|
Total
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-Agency RMBS, at fair value
|
$
|
—
|
|
$
|
—
|
|
$
|
2,486,130
|
|
$
|
—
|
|
$
|
2,486,130
|
|
Agency MBS, at fair value
|
—
|
|
12,188,950
|
|
—
|
|
—
|
|
12,188,950
|
|
|||||
Loans held for investment, at fair value
|
—
|
|
—
|
|
12,572,581
|
|
—
|
|
12,572,581
|
|
|||||
Derivatives
|
—
|
|
89,121
|
|
—
|
|
(51,653
|
)
|
37,468
|
|
|||||
|
|
|
|
|
|
||||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
—
|
|
—
|
|
8,455,376
|
|
—
|
|
8,455,376
|
|
|||||
Derivatives
|
13,375
|
|
169,790
|
|
—
|
|
(183,165
|
)
|
—
|
|
|
December 31, 2017
|
|||||||||||||
|
(dollars in thousands)
|
|||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Counterparty and Cash Collateral, netting
|
Total
|
|||||||||
Assets:
|
|
|
|
|
|
|||||||||
Non-Agency RMBS, at fair value
|
$
|
—
|
|
$
|
—
|
|
2,851,316
|
|
$
|
—
|
|
$
|
2,851,316
|
|
Agency MBS, at fair value
|
—
|
|
4,364,828
|
|
—
|
|
—
|
|
4,364,828
|
|
||||
Loans held for investment, at fair value
|
—
|
|
—
|
|
13,678,263
|
|
—
|
|
13,678,263
|
|
||||
Derivatives
|
3,553
|
|
46,978
|
|
—
|
|
(1,617
|
)
|
48,914
|
|
||||
|
|
|
|
|
|
|||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
||||
Securitized debt at fair value, collateralized by loans held for investment
|
—
|
|
—
|
|
9,388,657
|
|
—
|
|
9,388,657
|
|
||||
Derivatives
|
—
|
|
1,937
|
|
—
|
|
(1,617
|
)
|
320
|
|
Fair Value Reconciliation, Level 3
|
|||||||||
|
For the Year Ended, December 31, 2018
|
||||||||
|
(dollars in thousands)
|
||||||||
|
Non-Agency RMBS
|
Loans held for investment
|
Securitized Debt
|
||||||
Beginning balance Level 3
|
$
|
2,851,316
|
|
$
|
13,678,263
|
|
$
|
9,388,657
|
|
Transfers in to Level 3
|
—
|
|
—
|
|
—
|
|
|||
Transfers out of Level 3
|
—
|
|
—
|
|
—
|
|
|||
Purchases of assets/ issuance of debt
|
253,952
|
|
1,671,330
|
|
1,769,539
|
|
|||
Principal payments
|
(521,109
|
)
|
(1,859,155
|
)
|
(1,778,625
|
)
|
|||
Sales and Settlements
|
(100,786
|
)
|
(807,364
|
)
|
(834,414
|
)
|
|||
Net accretion (amortization)
|
101,088
|
|
(83,393
|
)
|
(11,197
|
)
|
|||
Gains (losses) included in net income
|
|
|
|
||||||
Other than temporary credit impairment losses
|
(21,791
|
)
|
—
|
|
—
|
|
|||
Realized gains (losses) on sales and settlements
|
201
|
|
101
|
|
(26,375
|
)
|
|||
Net unrealized gains (losses) included in income
|
21,208
|
|
(27,201
|
)
|
(52,209
|
)
|
|||
Gains (losses) included in other comprehensive income
|
|
|
|
||||||
Total unrealized gains (losses) for the period
|
(97,949
|
)
|
—
|
|
—
|
|
|||
Ending balance Level 3
|
$
|
2,486,130
|
|
$
|
12,572,581
|
|
$
|
8,455,376
|
|
Fair Value Reconciliation, Level 3
|
|||||||||
|
For the Year Ended, December 31, 2017
|
||||||||
|
(dollars in thousands)
|
||||||||
|
Non-Agency RMBS
|
Loans held for investment
|
Securitized Debt
|
||||||
Beginning balance Level 3
|
$
|
3,330,063
|
|
$
|
8,753,653
|
|
$
|
6,941,097
|
|
Transfers in to Level 3
|
6,112
|
|
—
|
|
—
|
|
|||
Transfers out of Level 3
|
—
|
|
—
|
|
—
|
|
|||
Purchases of assets/ issuance of debt
|
78,400
|
|
6,539,765
|
|
5,173,430
|
|
|||
Principal payments
|
(568,339
|
)
|
(1,788,409
|
)
|
(1,787,368
|
)
|
|||
Sales and Settlements
|
(68,162
|
)
|
2,876
|
|
(1,056,765
|
)
|
|||
Net accretion (amortization)
|
120,119
|
|
(35,803
|
)
|
4,701
|
|
|||
Gains (losses) included in net income
|
|
|
|
|
|
|
|||
Other than temporary credit impairment losses
|
(59,881
|
)
|
—
|
|
—
|
|
|||
Realized gains (losses) on sales and settlements
|
12,031
|
|
—
|
|
35,273
|
|
|||
Net unrealized gains (losses) included in income
|
(9,733
|
)
|
206,181
|
|
78,289
|
|
|||
Gains (losses) included in other comprehensive income
|
|
|
|
|
|
|
|||
Total unrealized gains (losses) for the period
|
10,706
|
|
—
|
|
—
|
|
|||
Ending balance Level 3
|
$
|
2,851,316
|
|
$
|
13,678,263
|
|
$
|
9,388,657
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||||
|
Significant Inputs
|
|
Significant Inputs
|
||||||
|
Weighted Average Discount Rate
|
CPR
|
CDR
|
Loss Severity
|
|
Weighted Average Discount Rate
|
CPR
|
CDR
|
Loss Severity
|
|
Range
|
|
Range
|
||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
Senior
|
4.5%
|
1% -25%
|
0% -60%
|
35% -95%
|
|
4.4%
|
1% -45%
|
0% -55%
|
35% -89%
|
Senior interest-only
|
11.1%
|
3% -32%
|
0% -60%
|
30% -95%
|
|
11.2%
|
3% -25%
|
0% -50%
|
35% -95%
|
Subordinated
|
5.8%
|
1% -19%
|
0% -34%
|
10% -70%
|
|
5.8%
|
1% -20%
|
0% -33%
|
35% -69%
|
Subordinated interest-only
|
12.0%
|
4% -25%
|
0% -24%
|
35% -68%
|
|
12.0%
|
6% -22%
|
0% -9%
|
35% -63%
|
|
|
December 31, 2018
|
|
|
December 31, 2017
|
||||
|
|
Significant Inputs
|
|
|
Significant Inputs
|
||||
|
Weighted Average Discount Rate
|
CPR Range
|
CDR Range
|
Loss Severity Range
|
|
Weighted Average Discount Rate
|
CPR Range
|
CDR Range
|
Loss Severity Range
|
Securitized debt at fair value, collateralized by loans held for investment
|
4.3%
|
6% - 18%
|
0% - 23%
|
30% - 65%
|
|
4.1%
|
6% - 15%
|
0% - 6%
|
35% - 60%
|
|
|
|
|
|
December 31, 2018
|
|
December 31, 2017
|
Factor:
|
|
|
|
Coupon
|
|
|
|
Base Rate
|
5.2%
|
|
4.8%
|
Actual
|
6.9%
|
|
6.9%
|
|
|
|
|
FICO
|
|
|
|
Base Rate
|
638
|
|
636
|
Actual
|
626
|
|
627
|
|
|
|
|
Loan-to-value (LTV)
|
|
|
|
Base Rate
|
88%
|
|
89%
|
Actual
|
88%
|
|
88%
|
|
|
|
|
Loan Characteristics:
|
|
|
|
Occupancy
|
|
|
|
Owner Occupied
|
90%
|
|
95%
|
Investor
|
1%
|
|
1%
|
Secondary
|
9%
|
|
4%
|
Property Type
|
|
|
|
Single family
|
86%
|
|
87%
|
Manufactured housing
|
4%
|
|
4%
|
Multi-family/mixed use/other
|
10%
|
|
9%
|
|
December 31, 2018
|
||||
|
(dollars in thousands)
|
||||
|
Level in Fair Value Hierarchy
|
Carrying Amount
|
Fair Value
|
||
Repurchase agreements
|
2
|
14,030,465
|
|
14,085,164
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
3
|
159,955
|
|
140,711
|
|
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
||||
|
Level in Fair Value Hierarchy
|
Carrying Amount
|
Fair Value
|
||
Repurchase agreements
|
2
|
7,250,452
|
|
7,269,193
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
3
|
205,780
|
|
192,259
|
|
|
December 31, 2018
|
December 31, 2017
|
||||
Repurchase agreements outstanding secured by:
|
|
|
||||
Agency MBS (in thousands)
|
$
|
10,193,272
|
|
$
|
3,202,056
|
|
Non-agency MBS and Loans held for investment (in thousands)
|
3,837,193
|
|
4,048,396
|
|
||
Total:
|
$
|
14,030,465
|
|
$
|
7,250,452
|
|
|
|
|
||||
Average balance of Repurchase agreements secured by:
|
|
|
|
|
||
Agency MBS (in thousands)
|
$
|
6,085,643
|
|
$
|
3,120,474
|
|
Non-agency MBS and Loans held for investment (in thousands)
|
3,730,527
|
|
3,203,700
|
|
||
Total:
|
$
|
9,816,170
|
|
$
|
6,324,174
|
|
|
|
|
||||
Average borrowing rate of Repurchase agreements secured by:
|
|
|
|
|
||
Agency MBS
|
2.55
|
%
|
1.47
|
%
|
||
Non-agency MBS and Loans held for investment
|
4.04
|
%
|
3.41
|
%
|
||
|
|
|
||||
Average remaining maturity of Repurchase agreements secured by:
|
|
|
|
|
||
Agency MBS
|
30 Days
|
|
28 Days
|
|
||
Non-agency MBS and Loans held for investment
|
231 Days
|
|
93 Days
|
|
||
|
|
|
||||
Average original maturity of Repurchase agreements secured by:
|
|
|
|
|
||
Agency MBS
|
88 Days
|
|
87 Days
|
|
||
Non-agency MBS and Loans held for investment
|
259 Days
|
|
123 Days
|
|
||
|
|
|
||||
MBS pledged as collateral at fair value on Repurchase agreements:
|
|
|
|
|
||
Agency MBS (in thousands)
|
$
|
10,832,018
|
|
$
|
3,450,123
|
|
Non-agency MBS and Loans held for investment (in thousands)
|
4,998,990
|
|
5,338,557
|
|
||
Total:
|
$
|
15,831,008
|
|
$
|
8,788,680
|
|
|
December 31, 2018
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
—
|
|
$
|
—
|
|
1 to 29 days
|
6,326,232
|
|
4,745,342
|
|
||
30 to 59 days
|
4,620,656
|
|
1,206,769
|
|
||
60 to 89 days
|
1,504,695
|
|
592,865
|
|
||
90 to 119 days
|
169,244
|
|
—
|
|
||
Greater than or equal to 120 days
|
1,409,638
|
|
705,476
|
|
||
Total
|
$
|
14,030,465
|
|
$
|
7,250,452
|
|
|
December 31, 2018
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Within One Year
|
$
|
23,602
|
|
$
|
42,217
|
|
One to Three Years
|
30,803
|
|
45,916
|
|
||
Three to Five Years
|
8,047
|
|
16,524
|
|
||
Greater Than Five Years
|
3,605
|
|
4,867
|
|
||
Total
|
$
|
66,057
|
|
$
|
109,524
|
|
|
December 31, 2018
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Within One Year
|
$
|
1,608,381
|
|
$
|
1,819,018
|
|
One to Three Years
|
2,587,635
|
|
2,872,572
|
|
||
Three to Five Years
|
1,949,060
|
|
2,140,434
|
|
||
Greater Than Five Years
|
2,237,259
|
|
2,439,872
|
|
||
Total
|
$
|
8,382,335
|
|
$
|
9,271,896
|
|
|
December 31, 2018
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Assets:
|
|
|
||||
Non-Agency RMBS, at fair value
|
$
|
1,017,442
|
|
$
|
1,579,793
|
|
Loans held for investment, at fair value
|
12,263,265
|
|
13,263,338
|
|
||
Accrued interest receivable
|
72,389
|
|
75,489
|
|
||
Other assets
|
39,855
|
|
68,844
|
|
||
Liabilities:
|
|
|
|
|
||
Securitized debt, collateralized by Non-Agency RMBS
|
$
|
159,955
|
|
$
|
205,780
|
|
Securitized debt at fair value, collateralized by loans held for investment
|
8,455,376
|
|
9,388,657
|
|
||
Accrued interest payable
|
33,541
|
|
33,870
|
|
||
Other liabilities
|
3,286
|
|
3,513
|
|
|
For the Year Ended
|
||||||||
|
December 31, 2018
|
December 31, 2017
|
December 31, 2016
|
||||||
|
(dollars in thousands)
|
||||||||
Interest income, Assets of consolidated VIEs
|
$
|
904,830
|
|
$
|
914,022
|
|
$
|
678,623
|
|
Interest expense, Non-recourse liabilities of VIEs
|
395,255
|
|
390,858
|
|
249,708
|
|
|||
Net interest income
|
$
|
509,575
|
|
$
|
523,164
|
|
$
|
428,915
|
|
|
|
|
|
||||||
Total other-than-temporary impairment losses
|
$
|
(1,026
|
)
|
$
|
(2,174
|
)
|
$
|
(1,274
|
)
|
Portion of loss recognized in other comprehensive income (loss)
|
(17,820
|
)
|
(51,118
|
)
|
(37,475
|
)
|
|||
Net other-than-temporary credit impairment losses
|
$
|
(18,845
|
)
|
$
|
(53,292
|
)
|
$
|
(38,749
|
)
|
|
|
|
|
||||||
Servicing fees
|
$
|
39,313
|
|
$
|
41,493
|
|
$
|
31,178
|
|
|
|
|
|
December 31, 2018
|
||||||||||
|
|
|
|
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
|
|
$
|
10,906,700
|
|
|
Derivatives, at fair value, net
|
$
|
35,798
|
|
|
Derivatives, at fair value, net
|
$
|
—
|
|
Swaptions
|
|
53,000
|
|
|
Derivatives, at fair value, net
|
1,670
|
|
|
Derivatives, at fair value, net
|
—
|
|
|||
Treasury Futures
|
|
619,700
|
|
|
Derivatives, at fair value, net
|
—
|
|
|
Derivatives, at fair value, net
|
—
|
|
|||
Total
|
|
$
|
11,579,400
|
|
|
|
$
|
37,468
|
|
|
|
$
|
—
|
|
|
|
|
|
December 31, 2017
|
||||||||||
|
|
|
|
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
|
|
$
|
3,816,400
|
|
|
Derivatives, at fair value, net
|
$
|
43,257
|
|
|
Derivatives, at fair value, net
|
$
|
—
|
|
Swaptions
|
|
391,000
|
|
|
Derivatives, at fair value, net
|
2,105
|
|
|
Derivatives, at fair value, net
|
320
|
|
|||
Treasury Futures
|
|
619,700
|
|
|
Derivatives, at fair value, net
|
3,552
|
|
|
Derivatives, at fair value, net
|
—
|
|
|||
Total
|
|
$
|
4,827,100
|
|
|
|
$
|
48,914
|
|
|
|
$
|
320
|
|
|
|
Net gains (losses) on derivatives
for the year ended |
||||||||
Derivative Instruments
|
Location on Consolidated Statements of
Operations and Comprehensive Income |
December 31, 2018
|
December 31, 2017
|
December 31, 2016
|
||||||
|
|
(dollars in thousands)
|
|
|||||||
Interest Rate Swaps
|
Net unrealized gains (losses) on derivatives
|
$
|
(125,595
|
)
|
$
|
43,697
|
|
$
|
47,170
|
|
Interest Rate Swaps
|
Net realized gains (losses) on derivatives
(1)
|
(1,488
|
)
|
(31,593
|
)
|
(88,722
|
)
|
|||
Treasury Futures
|
Net unrealized gains (losses) on derivatives
|
(16,928
|
)
|
1,768
|
|
378
|
|
|||
Treasury Futures
|
Net realized gains (losses) on derivatives
|
21,333
|
|
(4,061
|
)
|
(9,170
|
)
|
|||
Swaptions
|
Net unrealized gains (losses) on derivatives
|
1,361
|
|
2,511
|
|
2,545
|
|
|||
Swaptions
|
Net realized gains (losses) on derivatives
|
(1,476
|
)
|
(6,134
|
)
|
(7,044
|
)
|
|||
Other Derivative Assets
|
Net unrealized gains (losses) on derivatives
|
—
|
|
—
|
|
—
|
|
|||
Other Derivative Assets
|
Net realized gains (losses) on derivatives
|
—
|
|
—
|
|
(566
|
)
|
|||
Total
|
|
$
|
(122,793
|
)
|
$
|
6,188
|
|
$
|
(55,409
|
)
|
|
For the Year Ended
|
||||||||
|
December 31, 2018
|
December 31, 2017
|
December 31, 2016
|
||||||
|
(dollars in thousands)
|
||||||||
Numerator:
|
|
|
|
||||||
Net income available to common shareholders
|
$
|
368,440
|
|
$
|
491,184
|
|
$
|
549,494
|
|
Effect of dilutive securities:
|
—
|
|
—
|
|
—
|
|
|||
Dilutive net income available to common shareholders
|
$
|
368,440
|
|
$
|
491,184
|
|
$
|
549,494
|
|
|
|
|
|
||||||
Denominator:
|
|
|
|
|
|
|
|||
Weighted average basic shares
|
187,146,170
|
|
187,780,355
|
|
187,728,634
|
|
|||
Effect of dilutive securities
|
602,692
|
|
506,965
|
|
296,204
|
|
|||
Weighted average dilutive shares
|
187,748,862
|
|
188,287,320
|
|
188,024,838
|
|
|||
|
|
|
|
||||||
Net income per average share attributable to common stockholders - Basic
|
$
|
1.97
|
|
$
|
2.62
|
|
$
|
2.93
|
|
Net income per average share attributable to common stockholders - Diluted
|
$
|
1.96
|
|
$
|
2.61
|
|
$
|
2.92
|
|
|
December 31, 2018
|
|||||
|
(dollars in thousands)
|
|||||
|
Unrealized gains (losses) on available-for-sale securities, net
|
Total Accumulated OCI Balance
|
||||
Balance as of December 31, 2017
|
$
|
796,902
|
|
$
|
796,902
|
|
OCI before reclassifications
|
(185,570
|
)
|
(185,570
|
)
|
||
Amounts reclassified from AOCI
|
15,500
|
|
15,500
|
|
||
Net current period OCI
|
(170,070
|
)
|
(170,070
|
)
|
||
Balance as of December 31, 2018
|
$
|
626,832
|
|
$
|
626,832
|
|
|
December 31, 2017
|
|||||
|
(dollars in thousands)
|
|||||
|
Unrealized gains (losses) on available-for-sale securities, net
|
Total Accumulated OCI Balance
|
||||
Balance as of December 31, 2016
|
$
|
718,106
|
|
$
|
718,106
|
|
OCI before reclassifications
|
24,218
|
|
24,218
|
|
||
Amounts reclassified from AOCI
|
54,578
|
|
54,578
|
|
||
Net current period OCI
|
78,796
|
|
78,796
|
|
||
Balance as of December 31, 2017
|
$
|
796,902
|
|
$
|
796,902
|
|
|
December 31, 2018
|
December 31, 2017
|
|
||||
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
|
|
|
|
||||
|
$
|
6,291
|
|
$
|
7,278
|
|
Net realized gains (losses) on sales of investments
|
|
(21,791
|
)
|
(61,856
|
)
|
Net other-than-temporary credit impairment losses
|
||
|
$
|
(15,500
|
)
|
$
|
(54,578
|
)
|
Income before income taxes
|
|
—
|
|
—
|
|
Income taxes
|
||
|
$
|
(15,500
|
)
|
$
|
(54,578
|
)
|
Net of tax
|
|
For the Year Ended
|
|||||||
|
December 31, 2018
|
December 31, 2017
|
||||||
|
Number of Shares
|
Weighted Average Grant Date Fair Value
|
Number of Shares
|
Weighted Average Grant Date Fair Value
|
||||
Unvested shares outstanding - beginning of period
|
769,815
|
|
25.58
|
|
577,547
|
|
14.53
|
|
Granted
|
467,657
|
|
17.90
|
|
348,244
|
|
18.68
|
|
Vested
|
(69,303
|
)
|
15.99
|
|
(155,976
|
)
|
30.74
|
|
Forfeited
|
(8,986
|
)
|
18.40
|
|
—
|
|
—
|
|
Unvested shares outstanding - end of period
|
1,159,183
|
|
16.51
|
|
769,815
|
|
25.58
|
|
|
December 31, 2018
|
|||||||||||||||||
|
(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
|
|||||||||||||||
Repurchase Agreements
|
$
|
(14,030,465
|
)
|
$
|
—
|
|
$
|
(14,030,465
|
)
|
$
|
15,831,008
|
|
$
|
—
|
|
$
|
1,800,543
|
|
Interest Rate Swaps - Gross Assets
|
87,451
|
|
(51,653
|
)
|
35,798
|
|
—
|
|
198,112
|
|
233,910
|
|
||||||
Interest Rate Swaps - Gross Liabilities
|
(169,790
|
)
|
169,790
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Treasury Futures - Gross Assets
|
—
|
|
—
|
|
—
|
|
—
|
|
3,220
|
|
3,220
|
|
||||||
Treasury Futures - Gross Liabilities
|
(13,375
|
)
|
13,375
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Swaptions - Gross Assets
|
1,670
|
|
—
|
|
1,670
|
|
—
|
|
—
|
|
1,670
|
|
||||||
Swaptions - Gross Liabilities
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Total Liabilities
|
$
|
(14,124,509
|
)
|
$
|
131,512
|
|
$
|
(13,992,997
|
)
|
$
|
15,831,008
|
|
$
|
201,332
|
|
$
|
2,039,343
|
|
|
December 31, 2017
|
|||||||||||||||||
|
(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
|
|||||||||||||||
Repurchase Agreements
|
$
|
(7,250,452
|
)
|
$
|
—
|
|
$
|
(7,250,452
|
)
|
$
|
8,788,680
|
|
$
|
1,156
|
|
$
|
1,539,384
|
|
Interest Rate Swaps - Gross Assets
|
44,874
|
|
(1,617
|
)
|
43,257
|
|
—
|
|
11,570
|
|
54,827
|
|
||||||
Interest Rate Swaps - Gross Liabilities
|
(1,617
|
)
|
1,617
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Treasury Futures - Gross Assets
|
3,552
|
|
—
|
|
3,552
|
|
—
|
|
376
|
|
3,928
|
|
||||||
Treasury Futures - Gross Liabilities
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Swaptions - Gross Assets
|
2,105
|
|
—
|
|
2,105
|
|
—
|
|
—
|
|
2,105
|
|
||||||
Swaptions - Gross Liabilities
|
(320
|
)
|
—
|
|
(320
|
)
|
—
|
|
—
|
|
(320
|
)
|
||||||
Total Liabilities
|
$
|
(7,201,858
|
)
|
$
|
—
|
|
$
|
(7,201,858
|
)
|
$
|
8,788,680
|
|
$
|
13,102
|
|
$
|
1,599,924
|
|
|
For the Quarter Ended
|
|||||||||||
|
December 31, 2018
|
September 30, 2018
|
June 30, 2018
|
March 31, 2018
|
||||||||
|
(dollars in thousands, except per share data)
|
|||||||||||
Net Interest Income:
|
|
|
|
|
||||||||
Interest income
|
$
|
348,033
|
|
$
|
321,715
|
|
$
|
306,436
|
|
$
|
297,132
|
|
Interest expense
|
193,920
|
|
174,671
|
|
161,266
|
|
149,251
|
|
||||
Net interest income
|
154,113
|
|
147,044
|
|
145,170
|
|
147,881
|
|
||||
Net other-than-temporary credit impairment losses
|
(4,269
|
)
|
(7,233
|
)
|
(9,131
|
)
|
(1,158
|
)
|
||||
Net gains (losses) on derivatives
|
(315,877
|
)
|
74,078
|
|
24,502
|
|
94,504
|
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
84,836
|
|
(34,306
|
)
|
(18,364
|
)
|
14,466
|
|
||||
Net realized gains (losses) on sales of investments
|
1,213
|
|
(6,123
|
)
|
2,167
|
|
—
|
|
||||
Gain (loss) on Extinguishment of Debt
|
7,055
|
|
9,263
|
|
387
|
|
9,670
|
|
||||
Total other expenses
|
29,855
|
|
25,395
|
|
26,587
|
|
26,322
|
|
||||
Net income (loss)
|
$
|
(102,798
|
)
|
$
|
157,321
|
|
$
|
118,108
|
|
$
|
239,007
|
|
Dividend on preferred stock
|
$
|
14,437
|
|
$
|
9,960
|
|
$
|
9,400
|
|
$
|
9,400
|
|
Net income (loss) available to common shareholders
|
$
|
(117,235
|
)
|
$
|
147,361
|
|
$
|
108,708
|
|
$
|
229,607
|
|
Net income per common share-basic
|
$
|
(0.63
|
)
|
$
|
0.79
|
|
$
|
0.58
|
|
$
|
1.22
|
|
|
For the Quarter Ended
|
|||||||||||
|
December 31, 2017
|
September 30, 2017
|
June 30, 2017
|
March 31, 2017
|
||||||||
|
(dollars in thousands, except per share data)
|
|||||||||||
Net Interest Income:
|
|
|
|
|
||||||||
Interest income
|
$
|
301,957
|
|
$
|
296,813
|
|
$
|
288,644
|
|
$
|
251,344
|
|
Interest expense
|
144,204
|
|
140,358
|
|
137,955
|
|
110,231
|
|
||||
Net interest income
|
157,753
|
|
156,455
|
|
150,689
|
|
141,113
|
|
||||
Net other-than-temporary credit impairment losses
|
(18,179
|
)
|
(11,468
|
)
|
(13,509
|
)
|
(18,701
|
)
|
||||
Net gains (losses) on derivatives
|
31,108
|
|
1,363
|
|
(21,822
|
)
|
(4,462
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
(47,637
|
)
|
19,042
|
|
67,762
|
|
72,243
|
|
||||
Net realized gains (losses) on sales of investments
|
(586
|
)
|
1
|
|
4,541
|
|
5,167
|
|
||||
Gain (loss) on Extinguishment of Debt
|
12,742
|
|
(1
|
)
|
(48,014
|
)
|
—
|
|
||||
Total other expenses
|
27,657
|
|
26,142
|
|
24,491
|
|
32,537
|
|
||||
Net income (loss)
|
$
|
107,608
|
|
$
|
139,232
|
|
$
|
115,017
|
|
$
|
162,807
|
|
Dividend on preferred stock
|
$
|
9,400
|
|
$
|
9,400
|
|
$
|
9,400
|
|
$
|
5,283
|
|
Net income (loss) available to common shareholders
|
$
|
98,208
|
|
$
|
129,832
|
|
$
|
105,617
|
|
$
|
157,524
|
|
Net income per common share-basic
|
$
|
0.52
|
|
$
|
0.69
|
|
$
|
0.56
|
|
$
|
0.84
|
|
|
CHIMERA INVESTMENT CORPORATION
|
|
|
|
|
|
|
Date: February 21, 2019
|
By:
|
/s/ Matthew Lambiase
|
|
|
|
Matthew Lambiase
Chief Executive Officer and President |
|
Signatures
|
|
Title
|
Date
|
|
|
|
|
/s/ Matthew Lambiase
|
|
Chief Executive Officer, President, and
Director (Principal Executive Officer)
|
February 21, 2019
|
Matthew Lambiase
|
|
|
|
|
|
|
|
/s/ Rob Colligan
|
|
Chief Financial Officer (Principal Financial
and Accounting Officer)
|
February 21, 2019
|
Rob Colligan
|
|
|
|
|
|
|
|
/s/ Mark Abrams
|
|
Director
|
February 21, 2019
|
Mark Abrams
|
|
|
|
|
|
|
|
/s/ Paul Donlin
|
|
Director
|
February 21, 2019
|
Paul Donlin
|
|
|
|
|
|
|
|
/s/ Gerard Creagh
|
|
Director
|
February 21, 2019
|
Gerard Creagh
|
|
|
|
|
|
|
|
/s/ Dennis Mahoney
|
|
Director
|
February 21, 2019
|
Dennis Mahoney
|
|
|
|
|
|
|
|
/s/ John P. Reilly
|
|
Director
|
February 21, 2019
|
John P. Reilly
|
|
|
|
|
|
|
|
/s/ Teresa Bryce Bazemore
|
|
Director
|
February 21, 2019
|
Teresa Bryce Bazemore
|
|
|
|
|
|
|
|
/s/ Debra Still
|
|
Director
|
February 21, 2019
|
Debra Still
|
|
|
|
1.
|
Registration Statement (Form S-3 No. 333-229255) of Chimera Investment Corporation,
|
2.
|
Registration Statement (Form S-3 No. 333-229257) of Chimera Investment Corporation,
|
3.
|
Registration Statement (Form S-8 No. 333-209248) pertaining to the Amended and Restated 2007 Equity Incentive Plan of Chimera Investment Corporation, and
|
4.
|
Registration Statement (Form S-8 No. 333-147747) pertaining to the Amended and Restated 2007 Equity Incentive Plan of Chimera Investment Corporation;
|
|
Date: February 21, 2019
|
|
/s/ Matthew Lambiase
|
|
Matthew Lambiase
|
|
Chief Executive Officer and President (Principal Executive Officer)
|
|
Date: February 21, 2019
|
|
/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: February 21, 2019
|
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: February 21, 2019
|