Maryland
|
1-33796
|
26-0630461
|
(State or Other Jurisdiction
|
(Commission
|
(IRS Employer
|
of Incorporation)
|
File Number)
|
Identification No.)
|
520 Madison Avenue, 32nd Fl
|
|
|
New York
|
New York
|
10022
|
(Address of principal executive offices)
|
(Zip Code)
|
Title of Each Class
|
Trading Symbol(s)
|
Name of Each Exchange on Which Registered
|
|
|
|
Common Stock, par value $0.01 per share
|
CIM
|
New York Stock Exchange
|
8.00% Series A Cumulative Redeemable Preferred Stock
|
CIM PRA
|
New York Stock Exchange
|
8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
|
CIM PRB
|
New York Stock Exchange
|
7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
|
CIM PRC
|
New York Stock Exchange
|
8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
|
CIM PRD
|
New York Stock Exchange
|
•
|
GAAP NET LOSS OF $(0.37) PER COMMON SHARE
|
•
|
CORE EARNINGS(1) OF $0.32 PER COMMON SHARE
|
•
|
GAAP BOOK VALUE OF $10.63 PER COMMON SHARE
|
•
|
FINANCED NEARLY $2 BILLION OF NON-AGENCY SECURITIES ON NON-MARK-TO-MARKET FACILITIES
|
•
|
REMOVED THE MARK-TO-MARKET WAREHOUSE FINANCING RISK OF OUR NON-SECURITIZED RESIDENTIAL LOAN PORTFOLIO THROUGH THREE SECURITIZATIONS AND A NEW NON-MARK-TO-MARKET FACILITY
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
June 30, 2020
|
December 31, 2019
|
||||
Cash and cash equivalents
|
$
|
302,553
|
|
$
|
109,878
|
|
Non-Agency RMBS, at fair value (net of allowance for credit losses of $2 million and $0 million, respectively)
|
2,184,170
|
|
2,614,408
|
|
||
Agency RMBS, at fair value
|
107,263
|
|
6,490,293
|
|
||
Agency CMBS, at fair value
|
2,612,344
|
|
2,850,717
|
|
||
Loans held for investment, at fair value
|
13,036,833
|
|
14,292,815
|
|
||
Receivable for investments sold
|
—
|
|
446,225
|
|
||
Accrued interest receivable
|
89,387
|
|
116,423
|
|
||
Other assets
|
115,601
|
|
194,301
|
|
||
Derivatives, at fair value, net
|
—
|
|
3,611
|
|
||
Total assets (1)
|
$
|
18,448,151
|
|
$
|
27,118,671
|
|
Liabilities:
|
|
|
|
|
||
Secured financing agreements ($7.8 billion and $15.4 billion pledged as collateral, respectively)
|
$
|
5,944,201
|
|
$
|
13,427,545
|
|
Securitized debt, collateralized by Non-Agency RMBS ($524 million and $598 million pledged as collateral, respectively)
|
124,414
|
|
133,557
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($12.2 billion and $12.1 billion pledged as collateral, respectively)
|
8,530,111
|
|
8,179,608
|
|
||
Long Term Debt
|
71,600
|
|
—
|
|
||
Payable for investments purchased
|
246,770
|
|
1,256,337
|
|
||
Accrued interest payable
|
41,336
|
|
63,600
|
|
||
Dividends payable
|
75,554
|
|
98,568
|
|
||
Accounts payable and other liabilities
|
18,286
|
|
6,163
|
|
||
Total liabilities (1)
|
$
|
15,052,272
|
|
$
|
23,165,378
|
|
|
|
|
|
|
||
Stockholders' Equity:
|
|
|
|
|
||
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:
|
|
|
|
|
||
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference)
|
$
|
58
|
|
$
|
58
|
|
8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively ($325,000 liquidation preference)
|
130
|
|
130
|
|
||
7.75% Series C cumulative redeemable: 10,400,000 shares issued and outstanding, respectively ($260,000 liquidation preference)
|
104
|
|
104
|
|
||
8.00% Series D cumulative redeemable: 8,000,000 shares issued and outstanding, respectively ($200,000 liquidation preference)
|
80
|
|
80
|
|
||
Common stock: par value $0.01 per share; 500,000,000 shares authorized, 232,003,526 and 187,226,081 shares issued and outstanding, respectively
|
2,320
|
|
1,873
|
|
||
Additional paid-in-capital
|
4,515,043
|
|
4,275,963
|
|
||
Accumulated other comprehensive income
|
537,510
|
|
708,336
|
|
||
Cumulative earnings
|
3,367,330
|
|
3,793,040
|
|
||
Cumulative distributions to stockholders
|
(5,026,696
|
)
|
(4,826,291
|
)
|
||
Total stockholders' equity
|
$
|
3,395,879
|
|
$
|
3,953,293
|
|
Total liabilities and stockholders' equity
|
$
|
18,448,151
|
|
$
|
27,118,671
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||
(Unaudited)
|
||||||||||||
|
For the Quarters Ended
|
For the Six Months Ended
|
||||||||||
|
June 30, 2020
|
June 30, 2019
|
June 30, 2020
|
June 30, 2019
|
||||||||
Net interest income:
|
|
|
|
|
||||||||
Interest income (1)
|
$
|
245,922
|
|
$
|
339,914
|
|
$
|
546,189
|
|
$
|
690,303
|
|
Interest expense (2)
|
129,256
|
|
198,110
|
|
271,339
|
|
401,060
|
|
||||
Net interest income
|
116,666
|
|
141,804
|
|
274,850
|
|
289,243
|
|
||||
|
|
|
|
|
|
|
|
|
||||
Increase/(decrease) in provision for credit losses
|
(4,497
|
)
|
—
|
|
1,817
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
|
||||
Net other-than-temporary credit impairment losses
|
—
|
|
—
|
|
—
|
|
(4,853
|
)
|
||||
|
|
|
|
|
|
|
|
|
||||
Other investment gains (losses):
|
|
|
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
—
|
|
(132,171
|
)
|
201,000
|
|
(221,486
|
)
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
—
|
|
(95,211
|
)
|
(463,966
|
)
|
(203,257
|
)
|
||||
Net realized gains (losses) on derivatives
|
—
|
|
(9,697
|
)
|
(41,086
|
)
|
(16,974
|
)
|
||||
Net gains (losses) on derivatives
|
—
|
|
(237,079
|
)
|
(304,052
|
)
|
(441,717
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
(171,921
|
)
|
190,748
|
|
(432,809
|
)
|
391,561
|
|
||||
Net realized gains (losses) on sales of investments
|
26,380
|
|
(7,526
|
)
|
102,234
|
|
1,077
|
|
||||
Gains (losses) on extinguishment of debt
|
459
|
|
(608
|
)
|
459
|
|
(608
|
)
|
||||
Total other gains (losses)
|
(145,082
|
)
|
(54,465
|
)
|
(634,168
|
)
|
(49,687
|
)
|
||||
|
|
|
|
|
|
|
|
|
||||
Other expenses:
|
|
|
|
|
|
|
|
|||||
Compensation and benefits
|
10,255
|
|
12,114
|
|
23,190
|
|
26,484
|
|
||||
General and administrative expenses
|
6,562
|
|
6,217
|
|
12,239
|
|
12,019
|
|
||||
Servicing fees
|
9,473
|
|
9,280
|
|
19,462
|
|
18,243
|
|
||||
Transaction expenses
|
4,710
|
|
813
|
|
9,616
|
|
895
|
|
||||
Total other expenses
|
31,000
|
|
28,424
|
|
64,507
|
|
57,641
|
|
||||
Income (loss) before income taxes
|
(54,919
|
)
|
58,915
|
|
(425,642
|
)
|
177,062
|
|
||||
Income taxes
|
36
|
|
155
|
|
68
|
|
155
|
|
||||
Net income (loss)
|
$
|
(54,955
|
)
|
$
|
58,760
|
|
$
|
(425,710
|
)
|
$
|
176,907
|
|
|
|
|
|
|
|
|
|
|
||||
Dividends on preferred stock
|
18,438
|
|
18,438
|
|
36,875
|
|
35,829
|
|
||||
|
|
|
|
|
|
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
(73,393
|
)
|
$
|
40,322
|
|
$
|
(462,585
|
)
|
$
|
141,078
|
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|
|
||||
Basic
|
$
|
(0.37
|
)
|
$
|
0.22
|
|
$
|
(2.39
|
)
|
$
|
0.75
|
|
Diluted
|
$
|
(0.37
|
)
|
$
|
0.21
|
|
$
|
(2.39
|
)
|
$
|
0.75
|
|
|
|
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
||||
Basic
|
199,282,790
|
|
187,153,007
|
|
193,150,696
|
|
187,132,842
|
|
||||
Diluted
|
199,282,790
|
|
188,271,483
|
|
193,150,696
|
|
188,254,266
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||
(Unaudited)
|
||||||||||||
|
|
|
|
|
||||||||
|
For the Quarters Ended
|
For the Six Months Ended
|
||||||||||
|
June 30, 2020
|
June 30, 2019
|
June 30, 2020
|
June 30, 2019
|
||||||||
Comprehensive income (loss):
|
|
|
|
|
||||||||
Net income (loss)
|
$
|
(54,955
|
)
|
$
|
58,760
|
|
$
|
(425,710
|
)
|
$
|
176,907
|
|
Other comprehensive income:
|
|
|
|
|
||||||||
Unrealized gains (losses) on available-for-sale securities, net (1)
|
61,399
|
|
58,833
|
|
(137,805
|
)
|
85,218
|
|
||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
—
|
|
—
|
|
—
|
|
4,853
|
|
||||
Reclassification adjustment for net realized losses (gains) included in net income
|
(26,380
|
)
|
7,269
|
|
(33,021
|
)
|
22,187
|
|
||||
Other comprehensive income (loss)
|
35,019
|
|
66,102
|
|
(170,826
|
)
|
112,258
|
|
||||
Comprehensive income (loss) before preferred stock dividends
|
$
|
(19,936
|
)
|
$
|
124,862
|
|
$
|
(596,536
|
)
|
$
|
289,165
|
|
Dividends on preferred stock
|
$
|
18,438
|
|
$
|
18,438
|
|
$
|
36,875
|
|
$
|
35,829
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
(38,374
|
)
|
$
|
106,424
|
|
$
|
(633,411
|
)
|
$
|
253,336
|
|
|
June 30, 2020
|
|||||||||||
|
Principal or Notional Value
at Period-End (dollars in thousands) |
Weighted Average Amortized
Cost Basis |
Weighted Average Fair Value
|
Weighted Average
Coupon |
Weighted Average Yield at Period-End (1)
|
|||||||
Non-Agency RMBS
|
|
|
|
|
||||||||
Senior
|
$
|
1,697,252
|
|
$
|
51.81
|
|
79.06
|
|
4.6
|
%
|
16.8
|
%
|
Subordinated
|
893,311
|
|
62.91
|
|
58.51
|
|
3.6
|
%
|
6.4
|
%
|
||
Interest-only
|
6,380,154
|
|
4.31
|
|
5.01
|
|
1.5
|
%
|
15.5
|
%
|
||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
||
Interest-only
|
1,425,919
|
|
9.16
|
|
7.52
|
|
1.4
|
%
|
2.1
|
%
|
||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
||
Project loans
|
2,297,301
|
|
101.71
|
|
111.97
|
|
3.8
|
%
|
3.7
|
%
|
||
Interest-only
|
1,690,539
|
|
2.40
|
|
2.37
|
|
0.7
|
%
|
5.0
|
%
|
|
December 31, 2019
|
||||||||||||
|
Principal or Notional Value at Period-End
(dollars in thousands) |
Weighted Average Amortized
Cost Basis |
Weighted Average Fair Value
|
Weighted Average
Coupon |
Weighted Average Yield at Period-End (1)
|
||||||||
Non-Agency RMBS
|
|
|
|
|
|||||||||
Senior
|
$
|
2,024,564
|
|
$
|
52.98
|
|
$
|
84.01
|
|
5.0
|
%
|
20.8
|
%
|
Subordinated
|
876,592
|
|
63.15
|
|
71.25
|
|
3.7
|
%
|
6.9
|
%
|
|||
Interest-only
|
7,458,653
|
|
4.04
|
|
3.87
|
|
1.1
|
%
|
8.4
|
%
|
|||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|||
Pass-through
|
6,080,547
|
|
102.15
|
|
104.64
|
|
4.0
|
%
|
3.4
|
%
|
|||
Interest-only
|
1,539,941
|
|
9.06
|
|
8.29
|
|
1.6
|
%
|
4.0
|
%
|
|||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|||
Project loans
|
2,621,938
|
|
101.82
|
|
106.86
|
|
3.7
|
%
|
3.6
|
%
|
|||
Interest-only
|
1,817,246
|
|
2.81
|
|
2.70
|
|
0.7
|
%
|
4.7
|
%
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||
|
(dollars in thousands)
|
||||||||||
|
Principal
|
Weighted Average Borrowing Rates
|
Range of Borrowing Rates
|
|
Principal
|
Weighted Average Borrowing Rates
|
Range of Borrowing Rates
|
||||
Overnight
|
$
|
—
|
|
NA
|
NA
|
|
$
|
—
|
|
NA
|
NA
|
1 to 29 days
|
2,311,122
|
|
0.48%
|
0.21% - 2.74%
|
|
9,709,387
|
|
2.26%
|
1.90% - 3.62%
|
||
30 to 59 days
|
296,041
|
|
2.55%
|
1.97% - 2.67%
|
|
800,648
|
|
2.96%
|
2.15% - 3.52%
|
||
60 to 89 days (1)
|
65,390
|
|
2.37%
|
2.15% - 2.43%
|
|
608,520
|
|
3.00%
|
2.59% - 3.35%
|
||
90 to 119 days
|
—
|
|
NA
|
NA
|
|
—
|
|
NA
|
NA
|
||
120 to 180 days
|
191,904
|
|
1.96%
|
1.66% - 2.93%
|
|
809,077
|
|
3.38%
|
3.06% - 3.46%
|
||
180 days to 1 year
|
1,497,192
|
|
5.34%
|
1.68% - 8.74%
|
|
580,886
|
|
3.42%
|
3.26% - 3.51%
|
||
1 to 2 years
|
187,187
|
|
2.92%
|
1.68% - 4.50 %
|
|
427,981
|
|
3.28%
|
3.19% - 3.30%
|
||
2 to 3 years
|
400,000
|
|
7.00%
|
7.00% - 7.00%
|
|
—
|
|
NA
|
NA
|
||
Greater than 3 years
|
794,581
|
|
3.91%
|
1.58% - 5.56 %
|
|
491,046
|
|
3.20%
|
3.19% - 3.20%
|
||
Total
|
$
|
5,743,417
|
|
2.93%
|
|
|
$
|
13,427,545
|
|
2.52%
|
|
|
June 30, 2020
|
December 31, 2019
|
||||
Interest earning assets at period-end (1)
|
$
|
17,940,610
|
|
$
|
26,248,233
|
|
Interest bearing liabilities at period-end
|
$
|
14,670,326
|
|
$
|
21,740,710
|
|
GAAP Leverage at period-end
|
4.3:1
|
|
5.5:1
|
|
||
GAAP Leverage at period-end (recourse)
|
1.8:1
|
|
3.4:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
10.0
|
%
|
7.9
|
%
|
||
Senior
|
5.1
|
%
|
4.5
|
%
|
||
Subordinated
|
3.3
|
%
|
2.2
|
%
|
||
Interest-only
|
1.6
|
%
|
1.2
|
%
|
||
Agency RMBS
|
0.8
|
%
|
25.7
|
%
|
||
Pass-through
|
—
|
%
|
25.1
|
%
|
||
Interest-only
|
0.8
|
%
|
0.6
|
%
|
||
Agency CMBS
|
13.8
|
%
|
11.0
|
%
|
||
Project loans
|
13.6
|
%
|
10.8
|
%
|
||
Interest-only
|
0.2
|
%
|
0.2
|
%
|
||
Loans held for investment
|
75.4
|
%
|
55.4
|
%
|
||
Fixed-rate percentage of portfolio
|
94.9
|
%
|
95.9
|
%
|
||
Adjustable-rate percentage of portfolio
|
5.1
|
%
|
4.1
|
%
|
|
GAAP
Interest Income |
|
GAAP
Interest Expense |
Net Realized (Gains)
Losses on Interest Rate Swaps |
Interest Expense on Long Term Debt
|
Economic Interest
Expense |
|
GAAP Net Interest
Income |
Net Realized
Gains (Losses) on Interest Rate Swaps |
Other (1)
|
Economic
Net Interest Income |
||||||||||||||||||
For the Quarter Ended June 30, 2020
|
$
|
245,922
|
|
|
$
|
129,256
|
|
$
|
—
|
|
$
|
(4,391
|
)
|
$
|
124,865
|
|
|
$
|
116,666
|
|
$
|
—
|
|
$
|
4,358
|
|
$
|
121,024
|
|
For the Quarter Ended March 31, 2020
|
$
|
300,266
|
|
|
$
|
142,083
|
|
$
|
6,385
|
|
$
|
—
|
|
$
|
148,468
|
|
|
$
|
158,183
|
|
$
|
(6,385
|
)
|
$
|
(1,266
|
)
|
$
|
150,532
|
|
For the Quarter Ended December 31, 2019
|
$
|
340,662
|
|
|
$
|
169,203
|
|
$
|
5,409
|
|
$
|
—
|
|
$
|
174,612
|
|
|
$
|
171,459
|
|
$
|
(5,409
|
)
|
$
|
(1,664
|
)
|
$
|
164,386
|
|
For the Quarter Ended September 30, 2019
|
$
|
330,144
|
|
|
$
|
188,551
|
|
$
|
963
|
|
$
|
—
|
|
$
|
189,514
|
|
|
$
|
141,593
|
|
$
|
(963
|
)
|
$
|
(2,465
|
)
|
$
|
138,165
|
|
For the Quarter Ended June 30, 2019
|
$
|
339,914
|
|
|
$
|
198,110
|
|
$
|
(3,923
|
)
|
$
|
—
|
|
$
|
194,187
|
|
|
$
|
141,804
|
|
$
|
3,923
|
|
$
|
(2,237
|
)
|
$
|
143,490
|
|
|
For the Quarter Ended
|
||||||||||||||||
|
June 30, 2020
|
|
June 30, 2019
|
||||||||||||||
|
(dollars in thousands)
|
|
(dollars in thousands)
|
||||||||||||||
|
Average
Balance |
Interest
|
Average
Yield/Cost |
|
Average
Balance |
Interest
|
Average
Yield/Cost |
||||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||||
Interest-earning assets (1):
|
|
|
|
|
|
|
|
||||||||||
Agency RMBS
|
$
|
132,915
|
|
$
|
682
|
|
2.1
|
%
|
|
$
|
8,866,523
|
|
$
|
73,652
|
|
3.3
|
%
|
Agency CMBS
|
2,223,629
|
|
20,161
|
|
3.6
|
%
|
|
2,138,240
|
|
19,573
|
|
3.7
|
%
|
||||
Non-Agency RMBS
|
1,758,255
|
|
57,515
|
|
13.1
|
%
|
|
1,918,451
|
|
74,618
|
|
15.6
|
%
|
||||
Loans held for investment
|
13,202,723
|
|
167,531
|
|
5.1
|
%
|
|
11,906,654
|
|
169,834
|
|
5.7
|
%
|
||||
Total
|
$
|
17,317,522
|
|
$
|
245,889
|
|
5.7
|
%
|
|
$
|
24,829,868
|
|
$
|
337,677
|
|
5.4
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Secured financing agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency RMBS
|
$
|
77,114
|
|
$
|
228
|
|
1.2
|
%
|
|
$
|
8,566,949
|
|
$
|
55,147
|
|
2.6
|
%
|
Agency CMBS
|
2,188,202
|
|
2,346
|
|
0.4
|
%
|
|
1,896,296
|
|
11,601
|
|
2.4
|
%
|
||||
Non-Agency RMBS
|
1,292,934
|
|
22,408
|
|
6.9
|
%
|
|
1,284,996
|
|
13,155
|
|
4.1
|
%
|
||||
Loans held for investment
|
2,978,013
|
|
27,338
|
|
3.7
|
%
|
|
2,892,756
|
|
26,755
|
|
3.7
|
%
|
||||
Securitized debt
|
8,459,641
|
|
72,545
|
|
3.4
|
%
|
|
7,943,504
|
|
87,529
|
|
4.4
|
%
|
||||
Total
|
$
|
14,995,904
|
|
$
|
124,865
|
|
3.3
|
%
|
|
$
|
22,584,501
|
|
$
|
194,187
|
|
3.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
121,024
|
|
2.4
|
%
|
|
|
|
$
|
143,490
|
|
2.0
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,321,618
|
|
|
|
2.8
|
%
|
|
$
|
2,245,367
|
|
|
|
2.3
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.15
|
|
|
|
|
|
|
1.10
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(2) Interest includes net cash paid/received on swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Return on Average Equity
|
Economic Net Interest Income/Average Equity *
|
Core Earnings/Average Common Equity
|
|||
|
(Ratios have been annualized)
|
|||||
For the Quarter Ended June 30, 2020
|
(6.62
|
)%
|
14.58
|
%
|
12.72
|
%
|
For the Quarter Ended March 31, 2020
|
(41.21
|
)%
|
16.73
|
%
|
15.88
|
%
|
For the Quarter Ended December 31, 2019
|
13.12
|
%
|
16.55
|
%
|
15.78
|
%
|
For the Quarter Ended September 30, 2019
|
10.68
|
%
|
13.88
|
%
|
12.37
|
%
|
For the Quarter Ended June 30, 2019
|
5.93
|
%
|
14.49
|
%
|
13.10
|
%
|
|
For the Quarters Ended
|
||||||||||||||
Accretable Discount (Net of Premiums)
|
June 30, 2020
|
|
March 31, 2020
|
|
December 31, 2019
|
|
September 30, 2019
|
|
June 30, 2019
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
438,232
|
|
$
|
494,255
|
|
$
|
494,780
|
|
$
|
514,095
|
|
$
|
485,040
|
|
Accretion of discount
|
(22,508
|
)
|
(24,784
|
)
|
(44,342
|
)
|
(33,256
|
)
|
(35,964
|
)
|
|||||
Purchases
|
—
|
|
(4,336
|
)
|
(12,541
|
)
|
(13,772
|
)
|
48,736
|
|
|||||
Sales and deconsolidation
|
(23,425
|
)
|
438
|
|
(786
|
)
|
1,536
|
|
409
|
|
|||||
Transfers from/(to) credit reserve, net
|
18,148
|
|
(27,341
|
)
|
57,144
|
|
26,177
|
|
15,874
|
|
|||||
Balance, end of period
|
$
|
410,447
|
|
$
|
438,232
|
|
$
|
494,255
|
|
$
|
494,780
|
|
$
|
514,095
|
|