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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8.0% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share
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New York Stock Exchange
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F-
1
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S-1
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•
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our business and investment strategy;
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our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements;
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general volatility of the securities markets in which we invest;
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the impact of and changes to various government programs;
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our expected investments;
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changes in the value of our investments;
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interest rate mismatches between our investments and our borrowings used to finance such purchases;
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changes in interest rates and mortgage prepayment rates;
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effects of interest rate caps on our adjustable-rate investments;
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rates of default, delinquencies or decreased recovery rates on our investments;
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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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the degree to which our hedging strategies may or may not protect us from interest rate volatility;
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impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters;
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availability of investment opportunities in real estate-related and other securities;
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availability of qualified personnel;
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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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market trends in our industry, interest rates, the debt securities markets or the general economy;
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our transition from an externally-managed real estate investment trust, or REIT, to an internally-managed REIT;
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our ability to maintain our classification as a REIT for 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 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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Repurchase Agreements
. We have financed certain of our assets through the use of 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 maintain formal relationships with many counterparties to obtain financing on favorable terms.
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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 intend to maintain formal relationships with multiple counterparties to maintain warehouse lines on favorable terms.
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Securitization
. We have acquired and may in the future acquire residential mortgage loans for our portfolio with the intention of securitizing them and retaining a portion of the securitized mortgage loans in our portfolio. To facilitate the securitization or financing of our loans, we generally create subordinate certificates, providing a specified amount of credit enhancement, which we intend to retain in our portfolio.
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Re-REMICs.
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. To facilitate the re-securitization, we transfer Non-Agency RMBS to a special purpose entity that has been formed as a securitization vehicle that will issue multiple classes of securities secured by and payable from cash flows on the underlying Non-Agency RMBS.
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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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general market conditions;
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the market’s perception of our growth potential;
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our current and potential future earnings and cash distributions;
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the market price of the shares of our capital stock; and
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the market’s view of the quality of our assets.
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incur or guarantee additional debt;
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make certain investments or acquisitions;
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make distributions on or repurchase or redeem capital stock;
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engage in mergers or consolidations;
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finance mortgage loans with certain attributes;
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reduce liquidity below certain levels;
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grant liens;
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incur operating losses for more than a specified period;
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enter into transactions with affiliates; and
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hold mortgage loans for longer than established time periods.
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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 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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the issuer issues securities the payment of which depends primarily on the cash flow from “eligible assets” that by their terms convert into cash within a finite time period;
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the securities sold are fixed income securities rated investment grade by at least one rating agency (fixed income securities that are unrated or rated below investment grade may be sold to institutional accredited investors and any securities may be sold to “qualified institutional buyers” and to persons involved in the organization or operation of the issuer);
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the issuer acquires and disposes of eligible assets (1) only in accordance with the agreements pursuant to which the securities are issued, (2) so that the acquisition or disposition does not result in a downgrading of the issuer’s fixed income securities and (3) so that the acquisition or disposition is not made for the primary purpose of recognizing gains or decreasing losses resulting from market value changes; and
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unless the issuer is issuing only commercial paper, the issuer appoints an independent trustee, takes reasonable steps to transfer to the trustee an ownership or perfected security interest in the eligible assets, and meets rating agency requirements for commingling of cash flows.
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the ability of the homeowner to rescind, or cancel, the loan;
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the inability of the holder of the loan to collect all of the principal and interest otherwise due on the loan;
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the right of the homeowner to collect a refund of amounts previously paid (which may include amounts financed by the loan), or to set off those amounts against his or her future loan obligations; and
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the liability of the servicer and the owner of the loan for actual damages, statutory damages and punitive damages, civil or criminal penalties, costs and attorneys’ fees.
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actual or anticipated variations in our quarterly operating results or business prospects;
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changes in our earnings estimates or publication of research reports about us or the real estate industry;
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an inability to meet or exceed securities analysts' estimates or expectations;
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increases in market interest rates;
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hedging or arbitrage trading activity in our shares of common stock;
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capital commitments;
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changes in market valuations of similar companies;
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changes in valuations of our assets;
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adverse market reaction to any increased indebtedness we incur in the future;
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additions or departures of management personnel;
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actions by institutional shareholders, including large block sales at a discount;
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speculation in the press or investment community;
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yields on our capital stock as compared to yields on other financial instruments;
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changes in our distribution policy;
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regulatory changes affecting our industry generally or our business;
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general market and economic conditions; and
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future sales of our shares of common stock or securities convertible into, or exchangeable or exercisable for, our shares of common stock.
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our ability to make profitable investments;
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margin calls or other expenses that reduce our cash flow;
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defaults in our asset portfolio or decreases in the value of our portfolio;
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the fact that anticipated operating expense levels may not prove accurate, as actual results may vary from estimates; and
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increased cost of financing.
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There are ownership limits and restrictions on transferability and ownership in our charter.
To qualify as a REIT for each taxable year after 2007, 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. In addition, our shares must be beneficially owned by 100 or more persons during at least 335 days of a taxable year of 12 months or during a proportionate part of a shorter taxable year for each taxable year after 2007. To assist us in satisfying these tests, our charter generally prohibits any person 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. These restrictions 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
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Maryland Control Share Acquisition Act.
Maryland law provides that ‘‘control shares’’ of a corporation acquired in a ‘‘control share acquisition’’ will have no voting rights except to the extent approved by a vote of two-thirds of the votes eligible to be cast on the matter under the Maryland Control Share Acquisition Act. ‘‘Control shares’’ means voting shares of stock that, if aggregated with all other shares of stock owned by the acquirer or in respect of which the acquirer is able to exercise or direct the exercise of voting power (except solely by a revocable proxy), would entitle the acquirer to exercise voting power in electing directors within one of the following ranges of voting power: one-tenth or more but less than one-third, one-third or more but less than a majority, or a majority or more of all voting power. A ‘‘control share acquisition’’ means the acquisition of control shares, subject to certain exceptions.
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Business Combinations
. Under Maryland law, ‘‘business combinations’’ between a Maryland corporation and an interested stockholder or an affiliate of an interested stockholder are prohibited for five years after the most recent date on which the interested stockholder becomes an interested stockholder. These business combinations include a merger, consolidation, share exchange or, in circumstances specified in the statute, an asset transfer or issuance or reclassification of equity securities. An interested stockholder is defined as:
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any person who beneficially owns 10% or more of the voting power of the corporation’s shares; or
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an affiliate or associate of the corporation who, at any time within the two-year period before the date in question, was the beneficial owner of 10% or more of the voting power of the then outstanding voting stock of the corporation.
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80% of the votes entitled to be cast by holders of outstanding shares of voting stock of the corporation; and
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two-thirds of the votes entitled to be cast by holders of voting 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.
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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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Our charter and bylaws contain other possible anti-takeover provisions.
Our charter and bylaws contains other provisions that may have the effect of delaying, deferring or preventing a change in control of us or the removal of
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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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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 federal income tax withholding 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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Stock Price
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||||||||
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High
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Low
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Close
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||||||
Quarter Ended December 31, 2016
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$
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17.64
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$
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14.80
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$
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17.02
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Quarter Ended September 30, 2016
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$
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16.91
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$
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15.66
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$
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15.95
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Quarter Ended June 30, 2016
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$
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15.77
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$
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13.48
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$
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15.70
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Quarter Ended March 31, 2016
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$
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14.22
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$
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11.39
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$
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13.59
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Quarter Ended December 31, 2015
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$
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14.63
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$
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12.86
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$
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13.64
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Quarter Ended September 30, 2015
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$
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14.54
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$
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13.21
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$
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13.37
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Quarter Ended June 30, 2015
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$
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15.94
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$
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13.71
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$
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13.71
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Quarter Ended March 31, 2015
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$
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16.45
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$
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15.35
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$
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15.70
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Common Dividends
Declared Per Share
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||
Quarter Ended December 31, 2016
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$
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0.50
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Quarter Ended September 30, 2016
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$
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0.48
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Quarter Ended June 30, 2016
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$
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0.48
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Quarter Ended March 31, 2016
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$
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0.98
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|
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Quarter Ended December 31, 2015
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$
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0.48
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Quarter Ended September 30, 2015
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$
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0.48
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Quarter Ended June 30, 2015
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$
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0.48
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Quarter Ended March 31, 2015
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$
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0.48
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12/31/2011
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12/31/2012
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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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Chimera
|
100
|
|
120
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|
159
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|
195
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|
191
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|
280
|
|
S&P 500 Index
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100
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|
116
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|
154
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|
175
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|
177
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|
198
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BBG REIT Index
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100
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|
119
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|
116
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|
139
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|
125
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|
153
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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, 2016
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December 31, 2015
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December 31, 2014
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December 31, 2013
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December 31, 2012
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Non-Agency Mortgage-Backed Securities
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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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$
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3,774,463
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$
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3,961,208
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Agency Mortgage-Backed securities
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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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$
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1,997,578
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$
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1,806,697
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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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626,112
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$
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783,484
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$
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1,300,131
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Securitized loans held for investment, at fair value
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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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$
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—
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$
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—
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Total assets
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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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$
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6,936,081
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|
$
|
7,742,489
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|
Repurchase agreements
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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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$
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1,658,561
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$
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1,528,025
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Securitized debt, collateralized by Non-Agency RMBS
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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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$
|
933,732
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|
$
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1,336,261
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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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|
$
|
521,997
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|
$
|
669,981
|
|
$
|
1,169,710
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Securitized debt at fair value, loans held for investment
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$
|
6,941,097
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|
$
|
3,720,496
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$
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3,868,366
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|
$
|
—
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|
$
|
—
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|
Total liabilities
|
$
|
13,561,375
|
|
$
|
12,398,458
|
|
$
|
15,547,315
|
|
$
|
3,604,571
|
|
$
|
4,200,010
|
|
Shareholders' equity
|
$
|
3,123,533
|
|
$
|
2,946,188
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|
$
|
3,607,690
|
|
$
|
3,331,510
|
|
$
|
3,542,479
|
|
Book value per common share
|
$
|
15.87
|
|
$
|
15.70
|
|
$
|
17.55
|
|
$
|
16.21
|
|
$
|
17.24
|
|
Number of shares outstanding
|
187,739,634
|
|
187,711,868
|
|
205,546,144
|
|
205,525,247
|
|
205,519,492
|
|
Consolidated Statements of Operations Highlights
|
|||||||||||||||
(dollars in thousands, except share and per share data)
|
|||||||||||||||
|
For the Year Ended
|
||||||||||||||
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||
Interest income
|
$
|
934,068
|
|
$
|
872,737
|
|
$
|
687,795
|
|
$
|
511,783
|
|
$
|
589,440
|
|
Income expense
|
$
|
347,857
|
|
$
|
259,365
|
|
$
|
147,785
|
|
$
|
101,999
|
|
$
|
126,558
|
|
Net interest income
|
$
|
586,211
|
|
$
|
613,372
|
|
$
|
540,010
|
|
$
|
409,784
|
|
$
|
462,882
|
|
Net income
|
$
|
551,943
|
|
$
|
250,349
|
|
$
|
589,205
|
|
$
|
362,686
|
|
$
|
327,767
|
|
Income per share-basic
|
$
|
2.93
|
|
$
|
1.25
|
|
$
|
2.87
|
|
$
|
1.77
|
|
$
|
1.60
|
|
Core earnings per basic common share
(1)
|
$
|
2.42
|
|
$
|
2.37
|
|
$
|
2.14
|
|
$
|
1.69
|
|
$
|
1.85
|
|
Average shares-basic
|
187,728,634
|
|
199,563,196
|
|
205,450,095
|
|
205,418,876
|
|
205,366,207
|
|
|||||
Dividends declared per share
(2)
|
$
|
2.44
|
|
$
|
1.92
|
|
$
|
1.80
|
|
$
|
2.80
|
|
$
|
1.90
|
|
Net Income
|
|||||||||
(dollars in thousands)
|
|||||||||
(unaudited)
|
|||||||||
|
For the Year Ended
|
||||||||
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
||||||
Net Interest Income:
|
|
|
|
||||||
Interest income
(1)
|
$
|
934,068
|
|
$
|
872,737
|
|
$
|
687,795
|
|
Interest expense
(2)
|
347,857
|
|
259,365
|
|
147,785
|
|
|||
Net interest income
|
586,211
|
|
613,372
|
|
540,010
|
|
|||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|||
Total other-than-temporary impairment losses
|
(9,589
|
)
|
(8,700
|
)
|
(8,713
|
)
|
|||
Portion of loss recognized in other comprehensive income
|
(48,398
|
)
|
(58,744
|
)
|
(55,279
|
)
|
|||
Net other-than-temporary credit impairment losses
|
(57,987
|
)
|
(67,444
|
)
|
(63,992
|
)
|
|||
Other investment gains (losses):
|
|
|
|
|
|
|
|||
Net unrealized gains (losses) on derivatives
|
50,093
|
|
67,385
|
|
(103,496
|
)
|
|||
Realized gains (losses) on terminations of interest rate swaps
|
(60,616
|
)
|
(98,949
|
)
|
—
|
|
|||
Net realized gains (losses) on derivatives
|
(44,886
|
)
|
(83,073
|
)
|
(82,852
|
)
|
|||
Net gains (losses) on derivatives
|
(55,409
|
)
|
(114,637
|
)
|
(186,348
|
)
|
|||
Net unrealized gains (losses) on financial instruments at fair value
|
59,552
|
|
(158,433
|
)
|
193,534
|
|
|||
Net realized gains (losses) on sales of investments
|
18,155
|
|
77,074
|
|
91,709
|
|
|||
Gain (loss) on deconsolidation
|
—
|
|
(256
|
)
|
47,846
|
|
|||
Gains (losses) on Extinguishment of Debt
|
(477
|
)
|
(5,930
|
)
|
(2,184
|
)
|
|||
Total other gains (losses)
|
21,821
|
|
(202,182
|
)
|
144,557
|
|
|||
Other income:
|
|
|
|
|
|
|
|||
Other income
|
95,000
|
|
—
|
|
23,783
|
|
|||
Total other income
|
95,000
|
|
—
|
|
23,783
|
|
|||
Other expenses:
|
|
|
|
|
|
|
|||
Management fees
|
—
|
|
24,609
|
|
32,514
|
|
|||
Expense recoveries from Manager
|
—
|
|
(6,906
|
)
|
(8,936
|
)
|
|||
Net management fees
|
—
|
|
17,703
|
|
23,578
|
|
|||
Provision for loan losses, net
|
—
|
|
—
|
|
(232
|
)
|
|||
Compensation and benefits
|
26,901
|
|
10,544
|
|
—
|
|
|||
General and administrative expenses
|
17,516
|
|
31,633
|
|
20,403
|
|
|||
Servicing Fees of consolidated VIEs
|
31,178
|
|
25,244
|
|
10,004
|
|
|||
Deal Expenses
|
17,424
|
|
8,272
|
|
1,398
|
|
|||
Total other expenses
|
93,019
|
|
93,396
|
|
55,151
|
|
|||
Income (loss) before income taxes
|
552,026
|
|
250,350
|
|
589,207
|
|
|||
Income taxes
|
83
|
|
1
|
|
2
|
|
|||
Net income (loss)
|
$
|
551,943
|
|
$
|
250,349
|
|
$
|
589,205
|
|
|
|
|
|
||||||
Dividend on preferred stock
|
$
|
2,449
|
|
$
|
—
|
|
$
|
—
|
|
|
|
|
|
||||||
Net income (loss) available to common shareholders
|
$
|
549,494
|
|
$
|
250,349
|
|
$
|
589,205
|
|
|
|
|
|
||||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|||||
Basic
|
$
|
2.93
|
|
$
|
1.25
|
|
$
|
2.87
|
|
Diluted
|
$
|
2.92
|
|
$
|
1.25
|
|
$
|
2.87
|
|
|
|
|
|
||||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
||||
Basic
|
187,728,634
|
|
199,563,196
|
|
205,450,095
|
|
|||
Diluted
|
188,024,838
|
|
199,650,177
|
|
205,508,769
|
|
|||
|
|
|
|
||||||
Dividends declared per share of common stock
|
$
|
2.44
|
|
$
|
1.92
|
|
$
|
1.80
|
|
|
|
|
|
|
GAAP
Interest Income |
GAAP
Interest Expense |
Net Realized
Losses on Interest Rate Swaps |
Other
(2)
|
Economic Interest
Expense |
GAAP Net Interest
Income |
Net Realized
Losses on Interest Rate Swaps |
Other
(1)(2)
|
Economic
Net Interest Income |
||||||||||||||||||
For the Year Ended December 31, 2016
|
$
|
934,068
|
|
$
|
347,857
|
|
$
|
28,107
|
|
$
|
—
|
|
$
|
375,964
|
|
$
|
586,211
|
|
$
|
(28,107
|
)
|
$
|
(882
|
)
|
$
|
557,222
|
|
For the Year Ended December 31, 2015
|
$
|
872,737
|
|
$
|
259,365
|
|
$
|
47,227
|
|
$
|
(2,217
|
)
|
$
|
304,375
|
|
$
|
613,372
|
|
$
|
(47,227
|
)
|
$
|
1,218
|
|
$
|
567,363
|
|
For the Year Ended December 31, 2014
|
$
|
687,795
|
|
$
|
147,785
|
|
$
|
52,522
|
|
$
|
—
|
|
$
|
200,307
|
|
$
|
540,010
|
|
$
|
(52,522
|
)
|
$
|
(22
|
)
|
$
|
487,466
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
For the Quarter Ended December 31, 2016
|
$
|
260,823
|
|
$
|
106,737
|
|
$
|
4,151
|
|
$
|
—
|
|
$
|
110,888
|
|
$
|
154,086
|
|
$
|
(4,151
|
)
|
$
|
40
|
|
$
|
149,975
|
|
For the Quarter Ended September 30, 2016
|
$
|
250,953
|
|
$
|
94,911
|
|
$
|
4,595
|
|
$
|
—
|
|
$
|
99,506
|
|
$
|
156,042
|
|
$
|
(4,595
|
)
|
$
|
(105
|
)
|
$
|
151,342
|
|
For the Quarter Ended June 30, 2016
|
$
|
221,096
|
|
$
|
83,227
|
|
$
|
8,141
|
|
$
|
—
|
|
$
|
91,368
|
|
$
|
137,869
|
|
$
|
(8,141
|
)
|
$
|
(367
|
)
|
$
|
129,361
|
|
For the Quarter Ended March 31, 2016
|
$
|
201,194
|
|
$
|
62,981
|
|
$
|
11,220
|
|
$
|
—
|
|
$
|
74,201
|
|
$
|
138,213
|
|
$
|
(11,220
|
)
|
$
|
(448
|
)
|
$
|
126,545
|
|
|
For the Year Ended
|
||||||||||||||||
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||
|
(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
|
$
|
4,644,009
|
|
$
|
135,011
|
|
2.9
|
%
|
|
$
|
6,563,992
|
|
$
|
192,501
|
|
2.9
|
%
|
Non-Agency RMBS
|
1,423,855
|
|
119,552
|
|
8.4
|
%
|
|
1,274,326
|
|
103,522
|
|
8.1
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
1,309,752
|
|
249,414
|
|
19.0
|
%
|
|
1,554,681
|
|
266,141
|
|
17.1
|
%
|
||||
Jumbo Prime securitized residential mortgage loans held for investment
|
398,306
|
|
13,305
|
|
3.3
|
%
|
|
539,875
|
|
21,913
|
|
4.1
|
%
|
||||
Seasoned subprime securitized residential mortgage loans held for investment
|
6,786,271
|
|
415,904
|
|
6.1
|
%
|
|
4,527,522
|
|
287,661
|
|
6.4
|
%
|
||||
Total
|
$
|
14,562,193
|
|
$
|
933,186
|
|
6.4
|
%
|
|
$
|
14,460,396
|
|
$
|
871,738
|
|
6.0
|
%
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
||||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
||||||||||
Agency repurchase agreements
(2)
|
$
|
4,159,651
|
|
$
|
60,021
|
|
1.4
|
%
|
|
$
|
5,776,980
|
|
$
|
77,976
|
|
1.3
|
%
|
Non-Agency repurchase agreements
|
2,322,683
|
|
66,236
|
|
2.9
|
%
|
|
1,627,909
|
|
36,693
|
|
2.3
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
432,192
|
|
20,710
|
|
4.8
|
%
|
|
620,611
|
|
35,281
|
|
5.7
|
%
|
||||
Securitized debt, collateralized by jumbo prime residential mortgage loans
|
301,044
|
|
9,426
|
|
3.1
|
%
|
|
431,653
|
|
16,766
|
|
3.9
|
%
|
||||
Securitized debt, collateralized by seasoned subprime residential mortgage loans
|
5,460,867
|
|
219,571
|
|
4.0
|
%
|
|
3,738,936
|
|
137,659
|
|
3.7
|
%
|
||||
Total
|
$
|
12,676,437
|
|
$
|
375,964
|
|
3.0
|
%
|
|
$
|
12,196,089
|
|
$
|
304,375
|
|
2.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
557,222
|
|
3.4
|
%
|
|
|
|
$
|
567,363
|
|
3.5
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
1,885,756
|
|
|
|
3.8
|
%
|
|
$
|
2,264,307
|
|
|
|
3.9
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.15
|
|
|
|
|
|
|
1.19
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(2) Interest includes cash paid on swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Quarter Ended
|
||||||||||||||||
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||
|
(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
|
$
|
3,730,032
|
|
$
|
38,494
|
|
4.1
|
%
|
|
$
|
5,967,169
|
|
$
|
37,762
|
|
2.5
|
%
|
Non-Agency RMBS
|
1,390,837
|
|
32,098
|
|
9.2
|
%
|
|
1,452,456
|
|
27,993
|
|
7.7
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
1,208,217
|
|
61,021
|
|
20.2
|
%
|
|
1,465,966
|
|
64,045
|
|
17.5
|
%
|
||||
Jumbo Prime securitized residential mortgage loans held for investment
|
355,578
|
|
2,958
|
|
3.3
|
%
|
|
474,543
|
|
3,688
|
|
3.1
|
%
|
||||
Seasoned subprime securitized residential mortgage loans held for investment
|
8,337,725
|
|
126,292
|
|
6.1
|
%
|
|
4,523,675
|
|
68,411
|
|
6.0
|
%
|
||||
Total
|
$
|
15,022,389
|
|
$
|
260,863
|
|
6.9
|
%
|
|
$
|
13,883,809
|
|
$
|
201,899
|
|
5.8
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Agency repurchase agreements
(2)
|
$
|
3,199,755
|
|
$
|
11,340
|
|
1.4
|
%
|
|
$
|
5,296,934
|
|
$
|
20,045
|
|
1.5
|
%
|
Non-Agency repurchase agreements
|
2,499,313
|
|
18,579
|
|
3.0
|
%
|
|
2,095,149
|
|
12,677
|
|
2.4
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
357,422
|
|
5,610
|
|
6.3
|
%
|
|
550,634
|
|
8,171
|
|
5.9
|
%
|
||||
Securitized debt, collateralized by jumbo prime residential mortgage loans
|
261,882
|
|
2,128
|
|
3.2
|
%
|
|
370,160
|
|
3,041
|
|
3.3
|
%
|
||||
Securitized debt, collateralized by seasoned subprime residential mortgage loans
|
6,720,323
|
|
73,231
|
|
4.4
|
%
|
|
3,601,082
|
|
32,694
|
|
3.6
|
%
|
||||
Total
|
$
|
13,038,695
|
|
$
|
110,888
|
|
3.4
|
%
|
|
$
|
11,913,959
|
|
$
|
76,628
|
|
2.6
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
149,975
|
|
3.5
|
%
|
|
|
|
$
|
125,271
|
|
3.2
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
1,983,694
|
|
|
|
4.0
|
%
|
|
$
|
1,969,850
|
|
|
|
3.6
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.15
|
|
|
|
|
|
|
1.17
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(2) Interest includes cash paid on swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Debt Balance
|
Economic Interest Expense
(1)
|
Average Cost of Funds
|
Average One-Month LIBOR
|
Average Six-Month LIBOR
|
Average One-Month LIBOR Relative to Average Six-Month LIBOR
|
||||||||
|
(Ratios have been annualized, dollars in thousands)
|
|||||||||||||
For The Year Ended December 31, 2016
|
$
|
12,676,437
|
|
$
|
375,964
|
|
3.00
|
%
|
0.50
|
%
|
1.06
|
%
|
(0.56
|
)%
|
For The Year Ended December 31, 2015
|
$
|
12,196,089
|
|
$
|
304,375
|
|
2.50
|
%
|
0.20
|
%
|
0.48
|
%
|
(0.28
|
)%
|
For The Year Ended December 31, 2014
|
$
|
7,889,002
|
|
$
|
200,306
|
|
2.54
|
%
|
0.16
|
%
|
0.33
|
%
|
(0.17
|
)%
|
|
|
|
|
|
|
|
||||||||
For The Quarter Ended December 31, 2016
|
$
|
13,038,695
|
|
$
|
110,888
|
|
3.40
|
%
|
0.60
|
%
|
1.28
|
%
|
(0.68
|
)%
|
For The Quarter Ended September 30, 2016
|
$
|
13,585,665
|
|
$
|
99,506
|
|
2.93
|
%
|
0.51
|
%
|
1.15
|
%
|
(0.64
|
)%
|
For The Quarter Ended June 30, 2016
|
$
|
12,986,780
|
|
$
|
91,368
|
|
2.81
|
%
|
0.40
|
%
|
0.90
|
%
|
(0.50
|
)%
|
For The Quarter Ended March 31, 2016
|
$
|
11,676,012
|
|
$
|
74,201
|
|
2.54
|
%
|
0.43
|
%
|
0.88
|
%
|
(0.45
|
)%
|
|
For the Year Ended
|
||||||||
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
||||||
|
(dollars in thousands)
|
||||||||
Periodic interest cost of interest rate swaps, net
|
$
|
(28,106
|
)
|
$
|
(47,225
|
)
|
$
|
(52,523
|
)
|
Realized gain (loss) on derivative instruments, net:
|
|
|
|
|
|
|
|||
Mortgage Options
|
—
|
|
443
|
|
7,505
|
|
|||
Treasury Futures
|
(9,170
|
)
|
(35,523
|
)
|
(38,552
|
)
|
|||
Swaptions
|
(7,044
|
)
|
(353
|
)
|
(24
|
)
|
|||
Other Derivative Assets
|
(566
|
)
|
(415
|
)
|
742
|
|
|||
Swaps - Terminations
|
(60,616
|
)
|
(98,949
|
)
|
—
|
|
|||
Total realized gain (loss) on derivative instruments, net
|
(77,396
|
)
|
(134,797
|
)
|
(30,329
|
)
|
|||
Unrealized gain on derivative instruments, net:
|
|
|
|
|
|
|
|||
Interest Rate Swaps
|
47,170
|
|
64,819
|
|
(84,913
|
)
|
|||
Mortgage Options
|
—
|
|
226
|
|
340
|
|
|||
Treasury Futures
|
378
|
|
8,634
|
|
(17,856
|
)
|
|||
Swaptions
|
2,545
|
|
(6,294
|
)
|
(1,067
|
)
|
|||
Total unrealized gain (loss) on derivative instruments, net:
|
50,093
|
|
67,385
|
|
(103,496
|
)
|
|||
Total gain (loss) on derivative instruments, net
|
$
|
(55,409
|
)
|
$
|
(114,637
|
)
|
$
|
(186,348
|
)
|
|
As of
|
|
As of
|
|
As of
|
|||||||||||||||
|
December 31, 2016
|
|
December 31, 2015
|
|
December 31, 2014
|
|||||||||||||||
|
(dollars in thousands)
|
|||||||||||||||||||
|
Unpaid
Principal/ Notional |
Fair Value
|
|
Unpaid
Principal/ Notional |
Fair Value
|
|
Unpaid
Principal/ Notional |
Fair Value
|
||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
||||||||||||
IO RMBS securities
|
$
|
9,271,757
|
|
$
|
410,363
|
|
|
$
|
12,433,432
|
|
$
|
518,614
|
|
|
$
|
9,322,862
|
|
$
|
400,125
|
|
Non-Agency RMBS securities
|
N/A
|
|
18,602
|
|
|
N/A
|
|
20,339
|
|
|
N/A
|
|
$
|
—
|
|
|||||
Securitized loans held for investment, at fair value
|
8,868,783
|
|
8,753,653
|
|
|
4,787,918
|
|
4,768,416
|
|
|
4,619,193
|
|
4,699,215
|
|
||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Securitized debt at fair value, collateralized by loans held for investment
|
7,059,265
|
|
6,941,097
|
|
|
3,769,830
|
|
3,720,496
|
|
|
3,964,053
|
|
3,868,366
|
|
||||||
Total
|
$
|
25,199,805
|
|
$
|
16,123,715
|
|
|
$
|
20,991,180
|
|
$
|
9,027,865
|
|
|
$
|
17,906,108
|
|
$
|
8,967,706
|
|
|
December 31, 2016
|
|
December 31, 2015
|
|
December 31, 2014
|
||||||
|
(dollars in thousands)
|
||||||||||
|
Gain/(Loss) on Change in Fair Value
|
|
Gain/(Loss) on Change in Fair Value
|
|
Gain/(Loss) on Change in Fair Value
|
||||||
Assets:
|
|
|
|
|
|
||||||
IO RMBS securities
|
$
|
(2,884
|
)
|
|
$
|
(18,392
|
)
|
|
$
|
22,563
|
|
Non-Agency RMBS securities
|
5,568
|
|
|
(3,691
|
)
|
|
—
|
|
|||
Securitized loans held for investment, at fair value
|
146,635
|
|
|
(97,646
|
)
|
|
144,960
|
|
|||
Liabilities:
|
|
|
|
|
|
|
|
|
|||
Securitized debt at fair value
|
(89,767
|
)
|
|
(38,704
|
)
|
|
26,011
|
|
|||
Total
|
$
|
59,552
|
|
|
$
|
(158,433
|
)
|
|
$
|
193,534
|
|
|
Total Net Management Fee, Compensation and Other Expenses
|
Total Net Management Fee, Compensation and Other Expenses/Average Assets
|
Total Net Management Fee, Compensation and Other Expenses/Average Equity
|
||||
|
(Ratios have been annualized, dollars in thousands)
|
||||||
For The Year Ended December 31, 2016
|
$
|
61,841
|
|
0.38
|
%
|
2.06
|
%
|
For The Year Ended December 31, 2015
|
$
|
68,152
|
|
0.41
|
%
|
2.05
|
%
|
For The Year Ended December 31, 2014
|
$
|
45,379
|
|
0.35
|
%
|
1.31
|
%
|
|
|
|
|
||||
For The Quarter Ended December 31, 2016
|
$
|
16,659
|
|
0.39
|
%
|
2.16
|
%
|
For The Quarter Ended September 30, 2016
|
$
|
11,243
|
|
0.26
|
%
|
1.50
|
%
|
For The Quarter Ended June 30, 2016
|
$
|
24,214
|
|
0.59
|
%
|
3.30
|
%
|
For The Quarter Ended March 31, 2016
|
$
|
9,725
|
|
0.25
|
%
|
1.33
|
%
|
|
For the Year Ended
|
||||||||
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
||||||
|
(dollars in thousands, except per share data)
|
||||||||
GAAP Net income available to common stockholders
|
$
|
549,494
|
|
$
|
250,349
|
|
$
|
589,205
|
|
Adjustments:
|
|
|
|
||||||
Net other-than-temporary credit impairment losses
|
57,987
|
|
67,444
|
|
63,992
|
|
|||
Net unrealized (gains) losses on derivatives
|
(50,093
|
)
|
(67,385
|
)
|
103,496
|
|
|||
Net unrealized (gains) losses on financial instruments at fair value
|
(59,552
|
)
|
158,433
|
|
(193,534
|
)
|
|||
Net realized (gains) losses on sales of investments
|
(18,155
|
)
|
(77,074
|
)
|
(91,709
|
)
|
|||
(Gains) losses on extinguishment of debt
|
477
|
|
5,930
|
|
2,184
|
|
|||
Realized (gains) losses on terminations of interest rate swaps
|
60,616
|
|
98,949
|
|
—
|
|
|||
Net realized (gains) losses on derivatives - Futures
(1)
|
9,170
|
|
35,523
|
|
38,552
|
|
|||
Total other (gains) losses
|
(95,000
|
)
|
256
|
|
(71,629
|
)
|
|||
Core Earnings
|
$
|
454,944
|
|
$
|
472,425
|
|
$
|
440,557
|
|
|
|
|
|
||||||
GAAP net income per basic common share
|
$
|
2.93
|
|
$
|
1.25
|
|
$
|
2.87
|
|
Core earnings per basic common share
(2)
|
$
|
2.42
|
|
$
|
2.37
|
|
$
|
2.14
|
|
|
Return on Average Equity
|
Economic Net Interest Income/Average Equity *
|
Core Earnings/Average Equity
|
|||
|
(Ratios have been annualized)
|
|||||
For the Year Ended December 31, 2016
|
18.42
|
%
|
18.59
|
%
|
15.18
|
%
|
For the Year Ended December 31, 2015
|
7.52
|
%
|
17.12
|
%
|
14.20
|
%
|
For the Year Ended December 31, 2014
|
16.99
|
%
|
14.06
|
%
|
12.70
|
%
|
For the Year Ended
|
|
|
|
|
|
|
For the Quarter Ended December 31, 2016
|
28.82
|
%
|
19.48
|
%
|
15.76
|
%
|
For the Quarter Ended September 30, 2016
|
23.04
|
%
|
20.18
|
%
|
17.14
|
%
|
For the Quarter Ended June 30, 2016
|
10.09
|
%
|
17.61
|
%
|
13.00
|
%
|
For the Quarter Ended March 31, 2016
|
11.34
|
%
|
17.28
|
%
|
14.95
|
%
|
|
|
|
||||
|
December 31, 2016
|
December 31, 2015
|
||||
Interest earning assets at period-end
(1)
|
$
|
16,251,470
|
|
$
|
14,959,081
|
|
Interest bearing liabilities at period-end
|
$
|
12,876,124
|
|
$
|
11,689,250
|
|
GAAP Leverage at period-end
|
4.1:1
|
|
4.0:1
|
|
||
GAAP Leverage at period-end (recourse)
|
1.8:1
|
|
2.5:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
9.0
|
%
|
10.4
|
%
|
||
Senior
|
3.9
|
%
|
4.7
|
%
|
||
Senior, interest only
|
1.9
|
%
|
1.9
|
%
|
||
Subordinated
|
3.1
|
%
|
3.7
|
%
|
||
Subordinated, interest only
|
0.1
|
%
|
0.1
|
%
|
||
RMBS transferred to consolidated VIEs
|
7.6
|
%
|
10.1
|
%
|
||
Agency MBS
|
27.7
|
%
|
46.0
|
%
|
||
Residential
|
17.8
|
%
|
37.2
|
%
|
||
Commercial
|
8.9
|
%
|
6.8
|
%
|
||
Interest-only
|
1.0
|
%
|
2.0
|
%
|
||
Securitized loans held for investment
|
55.7
|
%
|
33.5
|
%
|
||
Fixed-rate percentage of portfolio
|
88.4
|
%
|
84.7
|
%
|
||
Adjustable-rate percentage of portfolio
|
11.6
|
%
|
15.3
|
%
|
||
Annualized yield on average interest earning assets for the periods ended
|
6.4
|
%
|
6.0
|
%
|
||
Annualized cost of funds on average borrowed funds for the periods ended
(2)
|
3.0
|
%
|
2.5
|
%
|
|
December 31, 2016
|
|||||||||||||||||||||||||
|
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
|
$
|
884,579
|
|
$
|
68.42
|
|
$
|
76.17
|
|
3.1
|
%
|
7.4
|
%
|
12.5
|
%
|
12.9
|
%
|
22.4
|
%
|
57.7
|
%
|
9.4
|
%
|
$
|
9,671
|
|
Senior, interest only
|
$
|
5,616,526
|
|
$
|
5.16
|
|
$
|
4.43
|
|
1.4
|
%
|
11.5
|
%
|
14.4
|
%
|
13.7
|
%
|
18.2
|
%
|
59.2
|
%
|
0.0
|
%
|
$
|
—
|
|
Subordinated
|
$
|
673,259
|
|
$
|
70.83
|
|
$
|
82.21
|
|
3.8
|
%
|
9.2
|
%
|
13.5
|
%
|
14.7
|
%
|
15.8
|
%
|
51.7
|
%
|
15.9
|
%
|
$
|
6,148
|
|
Subordinated, interest only
|
$
|
266,927
|
|
$
|
5.20
|
|
$
|
4.50
|
|
1.1
|
%
|
13.5
|
%
|
10.2
|
%
|
10.9
|
%
|
11.7
|
%
|
56.1
|
%
|
0.0
|
%
|
$
|
—
|
|
RMBS transferred to consolidated VIEs
|
$
|
2,338,183
|
|
$
|
50.32
|
|
$
|
78.78
|
|
4.8
|
%
|
19.7
|
%
|
14.8
|
%
|
13.4
|
%
|
18.8
|
%
|
56.9
|
%
|
1.5
|
%
|
$
|
17,643
|
|
Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Residential
|
$
|
2,594,569
|
|
$
|
105.78
|
|
$
|
104.29
|
|
3.9
|
%
|
3.0
|
%
|
21.8
|
%
|
15.9
|
%
|
0.4
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Commercial
|
$
|
1,331,544
|
|
$
|
102.64
|
|
$
|
98.91
|
|
3.6
|
%
|
2.9
|
%
|
0.2
|
%
|
0.1
|
%
|
0.0
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Interest-only
|
$
|
3,356,491
|
|
$
|
4.53
|
|
$
|
4.31
|
|
0.8
|
%
|
3.5
|
%
|
26.4
|
%
|
12.9
|
%
|
0.3
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Securitized loans
|
$
|
8,868,783
|
|
$
|
96.96
|
|
$
|
98.85
|
|
6.5
|
%
|
6.0
|
%
|
11.1
|
%
|
10.8
|
%
|
3.8
|
%
|
45.3
|
%
|
N/A
|
|
$
|
21,803
|
|
|
December 31, 2015
|
|||||||||||||||||||||||||
|
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
|
$
|
947,992
|
|
$
|
69.97
|
|
$
|
72.97
|
|
2.0
|
%
|
5.1
|
%
|
11.8
|
%
|
11.5
|
%
|
26.2
|
%
|
57.8
|
%
|
10.5
|
%
|
$
|
4,531
|
|
Senior, interest only
|
$
|
5,388,159
|
|
$
|
4.93
|
|
$
|
4.23
|
|
1.6
|
%
|
12.5
|
%
|
13.7
|
%
|
13.6
|
%
|
19.5
|
%
|
54.9
|
%
|
0.0
|
%
|
$
|
—
|
|
Subordinated
|
$
|
762,466
|
|
$
|
69.25
|
|
$
|
79.26
|
|
3.2
|
%
|
8.8
|
%
|
11.5
|
%
|
14.7
|
%
|
15.5
|
%
|
54.5
|
%
|
14.6
|
%
|
$
|
3,572
|
|
Subordinated, interest only
|
$
|
284,931
|
|
$
|
5.34
|
|
$
|
3.95
|
|
1.2
|
%
|
10.9
|
%
|
9.7
|
%
|
11.3
|
%
|
14.5
|
%
|
43.0
|
%
|
0.0
|
%
|
$
|
—
|
|
RMBS transferred to consolidated VIEs
|
$
|
2,741,748
|
|
$
|
52.47
|
|
$
|
78.07
|
|
4.5
|
%
|
17.7
|
%
|
12.4
|
%
|
11.9
|
%
|
19.9
|
%
|
61.6
|
%
|
1.2
|
%
|
$
|
33,677
|
|
Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Residential
|
$
|
5,045,418
|
|
$
|
105.07
|
|
$
|
104.41
|
|
3.7
|
%
|
2.8
|
%
|
8.5
|
%
|
17.0
|
%
|
0.1
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Commercial
|
$
|
952,091
|
|
$
|
102.27
|
|
$
|
102.28
|
|
3.4
|
%
|
3.0
|
%
|
0.8
|
%
|
3.1
|
%
|
0.0
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Interest-only
|
$
|
6,722,472
|
|
$
|
4.17
|
|
$
|
4.06
|
|
0.8
|
%
|
3.4
|
%
|
6.3
|
%
|
9.9
|
%
|
0.2
|
%
|
N/A
|
|
N/A
|
|
$
|
—
|
|
Securitized loans
|
$
|
4,787,918
|
|
$
|
99.54
|
|
$
|
100.15
|
|
6.6
|
%
|
5.8
|
%
|
8.9
|
%
|
9.2
|
%
|
3.8
|
%
|
58.0
|
%
|
N/A
|
|
$
|
11,822
|
|
|
For the Quarters Ended
|
||||||||||||||
Accretable Discount (Net of Premiums)
|
December 31, 2016
|
|
September 30, 2016
|
|
June 30, 2016
|
|
March 31, 2016
|
|
December 31, 2015
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
733,060
|
|
$
|
769,764
|
|
$
|
778,847
|
|
$
|
824,154
|
|
$
|
873,091
|
|
Accretion of discount
|
(44,427
|
)
|
(44,455
|
)
|
(42,297
|
)
|
(45,481
|
)
|
(43,520
|
)
|
|||||
Purchases
|
(33,987
|
)
|
8,959
|
|
(1,001
|
)
|
(11,102
|
)
|
1,845
|
|
|||||
Sales and deconsolidation
|
(2,138
|
)
|
(14,386
|
)
|
(20,590
|
)
|
—
|
|
(35,144
|
)
|
|||||
Transfers from/(to) credit reserve, net
|
31,140
|
|
13,178
|
|
54,805
|
|
11,276
|
|
27,882
|
|
|||||
Balance, end of period
|
$
|
683,648
|
|
$
|
733,060
|
|
$
|
769,764
|
|
$
|
778,847
|
|
$
|
824,154
|
|
Period
|
Average Repurchase Balance
|
Repurchase Balance at Period End
|
||||
|
(dollars in thousands)
|
|||||
Year Ended December 31, 2016
|
$
|
6,482,334
|
|
$
|
5,600,903
|
|
Year Ended December 31, 2015
|
$
|
7,404,890
|
|
$
|
7,439,339
|
|
Year Ended December 31, 2014
|
$
|
5,192,654
|
|
$
|
8,455,381
|
|
Quarter End
|
|
|
|
|
||
Quarter End December 31, 2016
|
$
|
5,699,068
|
|
$
|
5,600,903
|
|
Quarter End September 30, 2016
|
$
|
5,869,382
|
|
$
|
5,817,519
|
|
Quarter End June 30, 2016
|
$
|
6,863,960
|
|
$
|
5,856,263
|
|
Quarter End March 31, 2016
|
$
|
7,496,925
|
|
$
|
7,545,631
|
|
December 31, 2016
|
||||||||||||
|
|
|
|
|
|
|||||||
Country
|
Number of Counterparties
|
Repurchase Agreement Financing
|
Interest Rate Swaps at Fair Value
|
Exposure
(1)
|
Exposure as a Percentage of Total Assets
|
|||||||
(dollars in thousands)
|
||||||||||||
France
|
2
|
$
|
148,274
|
|
$
|
(440
|
)
|
$
|
28,425
|
|
0.17
|
%
|
Netherlands
|
1
|
171,180
|
|
—
|
|
9,872
|
|
0.06
|
%
|
|||
Switzerland
|
1
|
348,135
|
|
—
|
|
175,714
|
|
1.05
|
%
|
|||
United Kingdom
|
2
|
230,493
|
|
—
|
|
23,596
|
|
0.14
|
%
|
|||
Total
|
6
|
$
|
898,082
|
|
$
|
(440
|
)
|
$
|
237,607
|
|
1.42
|
%
|
December 31, 2016
|
|||||||||||||||
(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 for RMBS
|
$
|
5,502,178
|
|
$
|
98,725
|
|
$
|
—
|
|
$
|
—
|
|
$
|
5,600,903
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
98,565
|
|
82,563
|
|
23,854
|
|
31,973
|
|
236,955
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
1,151,519
|
|
1,841,808
|
|
1,423,706
|
|
2,477,123
|
|
6,894,156
|
|
|||||
Interest expense on RMBS repurchase agreements
(1)
|
32,695
|
|
984
|
|
—
|
|
—
|
|
33,679
|
|
|||||
Interest expense on securitized debt
(1)
|
292,521
|
|
518,929
|
|
384,928
|
|
673,272
|
|
1,869,650
|
|
|||||
Total
|
$
|
7,077,478
|
|
$
|
2,543,009
|
|
$
|
1,832,488
|
|
$
|
3,182,368
|
|
$
|
14,635,343
|
|
December 31, 2015
|
|||||||||||||||
(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 for RMBS
|
$
|
7,180,496
|
|
$
|
258,841
|
|
$
|
—
|
|
$
|
—
|
|
$
|
7,439,337
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
137,642
|
|
178,191
|
|
60,872
|
|
52,280
|
|
428,985
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
591,171
|
|
941,704
|
|
734,291
|
|
1,502,663
|
|
3,769,829
|
|
|||||
Interest expense on RMBS repurchase agreements
(1)
|
24,974
|
|
2,099
|
|
—
|
|
—
|
|
27,073
|
|
|||||
Interest expense on securitized debt
(1)
|
144,515
|
|
263,056
|
|
221,412
|
|
466,405
|
|
1,095,388
|
|
|||||
Total
|
$
|
8,078,798
|
|
$
|
1,643,891
|
|
$
|
1,016,575
|
|
$
|
2,021,348
|
|
$
|
12,760,612
|
|
•
|
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. Additionally, for Non-Agency RMBS accounted for under ASC 325-40, while the effective interest rate used to accrete interest income during the period directly after an OTTI has been recognized will be the same, the amount of interest income recorded in such future period will decline, absent an increase in cash flows expected to be collected, because of the reduced amount of the amortized cost basis of the investment to which such effective interest rate is applied. An adverse 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 decreased from the most previous estimate. This change 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 increases in estimates of future defaults). Furthermore, an adverse change could occur on an overall basis in situations where the negative impact of a change in the timing of cash flows exceeds the positive impact of a decline in estimated defaults, or when the negative impact of an increase in estimated defaults exceeds the positive impact of a shortening of the timing of receipt of cash flows.
|
•
|
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, 2016
|
|||
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
|
3.28
|
%
|
1.85
|
%
|
-50 Basis Points
|
5.61
|
%
|
1.07
|
%
|
Base Interest Rate
|
—
|
|
—
|
|
+50 Basis Points
|
(5.97
|
)%
|
(1.25
|
)%
|
+100 Basis Points
|
(14.59
|
)%
|
(2.60
|
)%
|
•
|
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, 2016
|
|||||||||||||||
(dollars in thousands)
|
|||||||||||||||
|
Within 3 Months
|
3-12 Months
|
1 Year to 3 Years
|
Greater than
3 Years
|
Total
|
||||||||||
Rate sensitive assets
|
$
|
331,743
|
|
$
|
1,271,830
|
|
$
|
—
|
|
$
|
14,661,252
|
|
$
|
16,264,825
|
|
Cash equivalents
|
177,714
|
|
—
|
|
—
|
|
—
|
|
177,714
|
|
|||||
Total rate sensitive assets
|
$
|
509,457
|
|
$
|
1,271,830
|
|
$
|
—
|
|
$
|
14,661,252
|
|
$
|
16,442,539
|
|
|
|
|
|
|
|
||||||||||
Rate sensitive liabilities
|
7,188,411
|
|
5,676,163
|
|
1,687
|
|
—
|
|
12,866,261
|
|
|||||
Interest rate sensitivity gap
|
$
|
(6,678,954
|
)
|
$
|
(4,404,333
|
)
|
$
|
(1,687
|
)
|
$
|
14,661,252
|
|
$
|
3,576,278
|
|
|
|
|
|
|
|
||||||||||
Cumulative rate sensitivity gap
|
$
|
(6,678,954
|
)
|
$
|
(11,083,287
|
)
|
$
|
(11,084,974
|
)
|
$
|
3,576,278
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Cumulative interest rate sensitivity gap as a percentage of total rate sensitive assets
|
(41
|
)%
|
(67
|
)%
|
(67
|
)%
|
22
|
%
|
|
|
•
|
pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Company;
|
•
|
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 management and directors of the Company; and
|
•
|
provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Company’s assets that could have a material effect on the financial statements.
|
4.1
|
Specimen Common Stock Certificate of Chimera Investment Corporation (filed as Exhibit 4.1 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
4.2
|
Form of Series A Preferred Stock Certificate (filed as Exhibit 4.1 to the Company’s Report on Form 8-K filed October 12, 2016 and incorporated herein by reference)
|
10.1†
|
Form of Amended and Restated Equity Incentive Plan (filed as Exhibit 10.1 to the Company’s Report on Form 8-K filed on December 11, 2015 and incorporated herein by reference)
|
10.2†
|
Form of Restricted Common Stock Award (filed as Exhibit 10.3 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
10.3†
|
Form of Stock Option Grant (filed as Exhibit 10.4 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
10.4†
|
Form of Performance Share Unit Agreement (filed as Exhibit 10.4 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference)
|
10.5†
|
Form of Restricted Stock Unit Award Agreement (filed as Exhibit 10.5 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference)
|
10.6†
|
Stock Award Deferral Program (filed as Exhibit 10.6 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference)
|
10.7†
|
Employment Agreement, dated August 5, 2015, between the Company and Matthew Lambiase (filed as Exhibit 10.1 to the Company’s Report on Form 10-Q filed on November 5, 2015 and incorporated herein by reference)
|
10.8†
|
Employment Agreement, dated August 5, 2015, between the Company and Choudhary Yarlagadda (filed as Exhibit 10.2 to the Company’s Report on Form 10-Q filed on November 5, 2015 and incorporated herein by reference)
|
10.9†
|
Employment Agreement, dated August 5, 2015, between the Company and Mohit Marria (filed as Exhibit 10.3 to the Company’s Report on Form 10-Q filed on November 5, 2015 and incorporated herein by reference)
|
10.10†
|
Employment Agreement, dated August 5, 2015, between the Company and Robert Colligan (filed as Exhibit 10.4 to the Company’s Report on Form 10-Q filed on November 5, 2015 and incorporated herein by reference)
|
10.11†
|
Employment Agreement, dated August 5, 2015, between the Company and Phillip J. Kardis, II, Esq. (filed as Exhibit 10.5 to the Company’s Report on Form 10-Q filed on November 5, 2015 and incorporated herein by reference)
|
10.12†
|
Amendment No. 1 to Employment Agreement, dated January 20, 2016, between the Company and Matthew Lambiase (filed as Exhibit 10.12 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference)
|
10.13†
|
Amendment No. 1 to Employment Agreement, dated January 20, 2016, between the Company and Choudhary Yarlagadda (filed as Exhibit 10.13 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference)
|
10.14†
|
Amendment No. 1 to Employment Agreement, dated January 20, 2016, between the Company and Mohit Marria (filed as Exhibit 10.14 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference)
|
10.15†
|
Amendment No. 1 to Employment Agreement, dated January 20, 2016, between the Company and Robert Colligan (filed as Exhibit 10.15 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference)
|
10.16†
|
Amendment No. 2 to Employment Agreement, dated March 31, 2016, between the Company and Matthew Lambiase (filed as Exhibit 10.1 to the Company’s Report on Form 8-K filed on April 6, 2016 and incorporated herein by reference)
|
10.17†
|
Amendment No. 2 to Employment Agreement, dated March 31, 2016, between the Company and Choudhary Yarlagadda (filed as Exhibit 10.2 to the Company’s Report on Form 8-K filed on April 6, 2016 and incorporated herein by reference)
|
10.18†
|
Amendment No. 2 to Employment Agreement, dated March 31, 2016, between the Company and Mohit Marria (filed as Exhibit 10.3 to the Company’s Report on Form 8-K filed on April 6, 2016 and incorporated herein by reference)
|
10.19†
|
Amendment No. 2 to Employment Agreement, dated March 31, 2016, between the Company and Robert Colligan (filed as Exhibit 10.4 to the Company’s Report on Form 8-K filed on April 6, 2016 and incorporated herein by reference)
|
10.20†
|
Form of Director and Officer Indemnification Agreement (filed as Exhibit 10.6 to the Company’s Report on Form 10-Q filed on November 5, 2015 and incorporated herein by reference)
|
10.21
|
Form of Master Securities Repurchase Agreement (filed as Exhibit 10.5 to the Company’s Registration Statement on Amendment No. 3 to Form S-11 (File No. 333-145525) filed on November 13, 2007 and incorporated herein by reference)
|
12.1
|
Computation of Ratio of Earnings to Fixed Charges
|
21.1
|
Subsidiaries of Registrant
|
23.1
|
Consent of Independent Registered Public Accounting Firm
|
31.1
|
Certification of Matthew Lambiase, Chief Executive Officer and President of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
31.2
|
Certification of Robert Colligan, Chief Financial Officer of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
32.1
|
Certification of Matthew Lambiase, Chief Executive Officer and President of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
32.2
|
Certification of Robert Colligan, Chief Financial Officer of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
|
December 31, 2016
|
December 31, 2015
|
||||
Assets:
|
|
|
||||
Cash and cash equivalents
|
$
|
177,714
|
|
$
|
114,062
|
|
Non-Agency RMBS, at fair value
|
3,330,063
|
|
3,675,841
|
|
||
Agency MBS, at fair value
|
4,167,754
|
|
6,514,824
|
|
||
Securitized loans held for investment, at fair value
|
8,753,653
|
|
4,768,416
|
|
||
Accrued interest receivable
|
79,697
|
|
66,247
|
|
||
Other assets
|
166,350
|
|
189,796
|
|
||
Derivatives, at fair value, net
|
9,677
|
|
15,460
|
|
||
Total assets
(1)
|
$
|
16,684,908
|
|
$
|
15,344,646
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements, MBS ($7.0 billion and $8.8 billion pledged as collateral, respectively)
|
$
|
5,600,903
|
|
$
|
7,439,339
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.8 billion and $2.1 billion pledged as collateral, respectively)
|
334,124
|
|
529,415
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($8.8 billion and $4.8 billion pledged as collateral, respectively)
|
6,941,097
|
|
3,720,496
|
|
||
Payable for investments purchased
|
520,532
|
|
560,641
|
|
||
Accrued interest payable
|
48,670
|
|
37,432
|
|
||
Dividends payable
|
97,005
|
|
90,097
|
|
||
Accounts payable and other liabilities
|
16,694
|
|
11,404
|
|
||
Derivatives, at fair value
|
2,350
|
|
9,634
|
|
||
Total liabilities
(1)
|
$
|
13,561,375
|
|
$
|
12,398,458
|
|
|
|
|
|
|
||
Commitments and Contingencies (See Note 15)
|
|
|
|
|
||
|
|
|
|
|
||
Stockholders' Equity:
|
|
|
|
|
||
Preferred Stock: par value $0.01 per share; 8% Series A cumulative redeemable; 100,000,000 shares authorized, 5,800,000 and 0 shares issued and outstanding, respectively ($145,000 liquidation preference)
|
$
|
58
|
|
$
|
—
|
|
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,739,634 and 187,711,868 shares issued and outstanding, respectively
|
1,877
|
|
1,877
|
|
||
Additional paid-in-capital
|
3,508,779
|
|
3,366,568
|
|
||
Accumulated other comprehensive income
|
718,106
|
|
773,791
|
|
||
Cumulative earnings
|
2,443,184
|
|
1,891,239
|
|
||
Cumulative distributions to stockholders
|
(3,548,471
|
)
|
(3,087,287
|
)
|
||
Total stockholders' equity
|
$
|
3,123,533
|
|
$
|
2,946,188
|
|
Total liabilities and stockholders' equity
|
$
|
16,684,908
|
|
$
|
15,344,646
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
|||||||||
(dollars in thousands, except share and per share data)
|
|||||||||
|
For the Year Ended
|
||||||||
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
||||||
Net Interest Income:
|
|
|
|
||||||
Interest income
(1)
|
$
|
934,068
|
|
$
|
872,737
|
|
$
|
687,795
|
|
Interest expense
(2)
|
347,857
|
|
259,365
|
|
147,785
|
|
|||
Net interest income
|
586,211
|
|
613,372
|
|
540,010
|
|
|||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|||
Total other-than-temporary impairment losses
|
(9,589
|
)
|
(8,700
|
)
|
(8,713
|
)
|
|||
Portion of loss recognized in other comprehensive income
|
(48,398
|
)
|
(58,744
|
)
|
(55,279
|
)
|
|||
Net other-than-temporary credit impairment losses
|
(57,987
|
)
|
(67,444
|
)
|
(63,992
|
)
|
|||
Other investment gains (losses):
|
|
|
|
|
|
|
|||
Net unrealized gains (losses) on derivatives
|
50,093
|
|
67,385
|
|
(103,496
|
)
|
|||
Realized gains (losses) on terminations of interest rate swaps
|
(60,616
|
)
|
(98,949
|
)
|
—
|
|
|||
Net realized gains (losses) on derivatives
|
(44,886
|
)
|
(83,073
|
)
|
(82,852
|
)
|
|||
Net gains (losses) on derivatives
|
(55,409
|
)
|
(114,637
|
)
|
(186,348
|
)
|
|||
Net unrealized gains (losses) on financial instruments at fair value
|
59,552
|
|
(158,433
|
)
|
193,534
|
|
|||
Net realized gains (losses) on sales of investments
|
18,155
|
|
77,074
|
|
91,709
|
|
|||
Gain (loss) on deconsolidation
|
—
|
|
(256
|
)
|
47,846
|
|
|||
Gains (losses) on Extinguishment of Debt
|
(477
|
)
|
(5,930
|
)
|
(2,184
|
)
|
|||
Total other gains (losses)
|
21,821
|
|
(202,182
|
)
|
144,557
|
|
|||
Other income:
|
|
|
|
|
|
|
|||
Other income
|
95,000
|
|
—
|
|
23,783
|
|
|||
Total other income
|
95,000
|
|
—
|
|
23,783
|
|
|||
Other expenses:
|
|
|
|
|
|
|
|||
Management fees
|
—
|
|
24,609
|
|
32,514
|
|
|||
Expense recoveries from Manager
|
—
|
|
(6,906
|
)
|
(8,936
|
)
|
|||
Net management fees
|
—
|
|
17,703
|
|
23,578
|
|
|||
Provision for loan losses, net
|
—
|
|
—
|
|
(232
|
)
|
|||
Compensation and benefits
|
26,901
|
|
10,544
|
|
—
|
|
|||
General and administrative expenses
|
17,516
|
|
31,633
|
|
20,403
|
|
|||
Servicing Fees of consolidated VIEs
|
31,178
|
|
25,244
|
|
10,004
|
|
|||
Deal Expenses
|
17,424
|
|
8,272
|
|
1,398
|
|
|||
Total other expenses
|
93,019
|
|
93,396
|
|
55,151
|
|
|||
Income (loss) before income taxes
|
552,026
|
|
250,350
|
|
589,207
|
|
|||
Income taxes
|
83
|
|
1
|
|
2
|
|
|||
Net income (loss)
|
$
|
551,943
|
|
$
|
250,349
|
|
$
|
589,205
|
|
|
|
|
|
|
|
|
|||
Dividend on preferred stock
|
2,449
|
|
—
|
|
—
|
|
|||
|
|
|
|
|
|
|
|||
Net income (loss) available to common shareholders
|
$
|
549,494
|
|
$
|
250,349
|
|
$
|
589,205
|
|
|
|
|
|
|
|
|
|||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|||
Basic
|
$
|
2.93
|
|
$
|
1.25
|
|
$
|
2.87
|
|
Diluted
|
$
|
2.92
|
|
$
|
1.25
|
|
$
|
2.87
|
|
|
|
|
|
|
|
|
|||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|||
Basic
|
187,728,634
|
|
199,563,196
|
|
205,450,095
|
|
|||
Diluted
|
188,024,838
|
|
199,650,177
|
|
205,508,769
|
|
|||
|
|
|
|
|
|
|
|||
Dividends declared per share of common stock
|
$
|
2.44
|
|
$
|
1.92
|
|
$
|
1.80
|
|
|
|
|
|
|
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
|||||||||
(dollars in thousands, except share and per share data)
|
|||||||||
|
|
|
|
||||||
|
For the Year Ended
|
||||||||
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
||||||
Comprehensive income (loss):
|
|
|
|
||||||
Net income (loss)
|
$
|
551,943
|
|
$
|
250,349
|
|
$
|
589,205
|
|
Other comprehensive income:
|
|
|
|
||||||
Unrealized gains (losses) on available-for-sale securities, net
|
(88,527
|
)
|
(263,049
|
)
|
134,113
|
|
|||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
57,987
|
|
67,444
|
|
63,992
|
|
|||
Reclassification adjustment for net realized losses (gains) included in net income
|
(25,145
|
)
|
(77,284
|
)
|
(94,382
|
)
|
|||
Reclassification adjustment for gain on deconsolidation included in net income
|
—
|
|
—
|
|
(47,846
|
)
|
|||
Other comprehensive income (loss)
|
(55,685
|
)
|
(272,889
|
)
|
55,877
|
|
|||
Comprehensive income (loss) before preferred stock dividends
|
$
|
496,258
|
|
$
|
(22,540
|
)
|
$
|
645,082
|
|
Dividends declared on preferred stock
|
$
|
2,449
|
|
$
|
—
|
|
$
|
—
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
493,809
|
|
$
|
(22,540
|
)
|
$
|
645,082
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||||||||||||||
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
|
|||||||||||||||||||||
(dollars in thousands, except per share data)
|
|||||||||||||||||||||
|
|
|
|
|
|
|
|
||||||||||||||
|
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, 2013
|
$
|
—
|
|
$
|
2,055
|
|
$
|
3,613,458
|
|
$
|
990,803
|
|
$
|
1,063,822
|
|
$
|
(2,338,628
|
)
|
$
|
3,331,510
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
589,205
|
|
—
|
|
589,205
|
|
|||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
55,877
|
|
—
|
|
—
|
|
55,877
|
|
|||||||
Stock based compensation
|
—
|
|
—
|
|
953
|
|
—
|
|
—
|
|
—
|
|
953
|
|
|||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(369,855
|
)
|
(369,855
|
)
|
|||||||
Balance, December 31, 2014
|
$
|
—
|
|
$
|
2,055
|
|
$
|
3,614,411
|
|
$
|
1,046,680
|
|
$
|
1,653,027
|
|
$
|
(2,708,483
|
)
|
$
|
3,607,690
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Balance, December 31, 2014
|
$
|
—
|
|
$
|
2,055
|
|
$
|
3,614,411
|
|
$
|
1,046,680
|
|
$
|
1,653,027
|
|
$
|
(2,708,483
|
)
|
$
|
3,607,690
|
|
Net income (loss)
|
—
|
|
—
|
|
—
|
|
—
|
|
250,349
|
|
—
|
|
250,349
|
|
|||||||
Cumulative effect of accounting change
(1)
|
—
|
|
—
|
|
—
|
|
—
|
|
(12,137
|
)
|
—
|
|
(12,137
|
)
|
|||||||
Other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
(272,889
|
)
|
—
|
|
—
|
|
(272,889
|
)
|
|||||||
Stock based compensation
|
—
|
|
2
|
|
1,977
|
|
—
|
|
—
|
|
—
|
|
1,979
|
|
|||||||
Repurchase of common stock
|
—
|
|
(180
|
)
|
(249,820
|
)
|
—
|
|
—
|
|
—
|
|
(250,000
|
)
|
|||||||
Common dividends declared
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(378,804
|
)
|
(378,804
|
)
|
|||||||
Balance, December 31, 2015
|
$
|
—
|
|
$
|
1,877
|
|
$
|
3,366,568
|
|
$
|
773,791
|
|
$
|
1,891,239
|
|
$
|
(3,087,287
|
)
|
$
|
2,946,188
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Balance, December 31, 2015
|
$
|
—
|
|
$
|
1,877
|
|
$
|
3,366,568
|
|
$
|
773,791
|
|
$
|
1,891,239
|
|
$
|
(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
|
|
$
|
3,508,781
|
|
$
|
718,106
|
|
$
|
2,443,182
|
|
$
|
(3,548,471
|
)
|
$
|
3,123,533
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS
|
|||||||||
(dollars in thousands)
|
|||||||||
|
For the Year Ended
|
||||||||
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
||||||
Cash Flows From Operating Activities:
|
|
||||||||
Net income
|
$
|
551,943
|
|
$
|
250,349
|
|
$
|
589,205
|
|
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
|
|
||||||||
(Accretion) amortization of investment discounts/premiums, net
|
(3,127
|
)
|
3,813
|
|
(72,569
|
)
|
|||
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net
|
1,543
|
|
17,145
|
|
11,552
|
|
|||
Amortization of swaption premium
|
6,559
|
|
—
|
|
—
|
|
|||
Net unrealized losses (gains) on derivatives
|
(50,093
|
)
|
(67,385
|
)
|
103,496
|
|
|||
Net realized losses (gains) on option contracts settled
|
—
|
|
—
|
|
1,246
|
|
|||
Proceeds (payments) for derivative sales and settlements
|
—
|
|
(13,495
|
)
|
(6,923
|
)
|
|||
Margin (paid) received on derivatives
|
56,050
|
|
82,671
|
|
(186,462
|
)
|
|||
Net unrealized losses (gains) on financial instruments at fair value
|
(59,552
|
)
|
158,433
|
|
(193,534
|
)
|
|||
Net realized losses (gains) on sales of investments
|
(18,155
|
)
|
(77,074
|
)
|
(91,709
|
)
|
|||
(Gains) loss on deconsolidation
|
—
|
|
256
|
|
(47,846
|
)
|
|||
Net other-than-temporary credit impairment losses
|
57,987
|
|
67,444
|
|
63,992
|
|
|||
(Gain) loss on extinguishment of debt
|
477
|
|
5,930
|
|
2,184
|
|
|||
Provision for loan losses, net
|
—
|
|
—
|
|
(232
|
)
|
|||
Equity-based compensation expense
|
2,204
|
|
1,979
|
|
956
|
|
|||
Changes in operating assets:
|
|
|
|
|
|
|
|||
Decrease (increase) in accrued interest receivable, net
|
(13,450
|
)
|
4,852
|
|
(37,570
|
)
|
|||
Decrease (increase) in other assets
|
3,994
|
|
(42,738
|
)
|
16,471
|
|
|||
Changes in operating liabilities:
|
|
|
|
|
|
|
|||
Increase (decrease) in accounts payable and other liabilities
|
5,290
|
|
8,935
|
|
608
|
|
|||
Increase (decrease) in investment management fees and expenses payable to affiliate
|
—
|
|
(10,357
|
)
|
4,699
|
|
|||
Increase (decrease) in accrued interest payable, net
|
11,237
|
|
5,544
|
|
25,213
|
|
|||
Net cash provided by (used in) operating activities
|
$
|
552,907
|
|
$
|
396,302
|
|
$
|
182,777
|
|
Cash Flows From Investing Activities:
|
|
||||||||
Agency MBS portfolio:
|
|
|
|
|
|
||||
Purchases
|
$
|
(1,040,290
|
)
|
$
|
(6,590,731
|
)
|
$
|
(8,860,042
|
)
|
Sales
|
2,570,025
|
|
7,563,771
|
|
2,555,570
|
|
|||
Principal payments
|
649,961
|
|
1,061,193
|
|
512,202
|
|
|||
Non-Agency RMBS portfolio:
|
|
|
|
|
|
|
|||
Purchases
|
(203,400
|
)
|
(850,750
|
)
|
(365,240
|
)
|
|||
Sales
|
95,399
|
|
158,404
|
|
513,030
|
|
|||
Principal payments
|
532,701
|
|
385,988
|
|
323,900
|
|
|||
Securitized loans held for investment:
|
|
|
|
|
|
|
|||
Purchases
|
(4,897,370
|
)
|
(281,811
|
)
|
—
|
|
|||
Principal payments
|
1,022,414
|
|
699,118
|
|
316,372
|
|
|||
Acquisition of investments in consolidated VIEs
|
—
|
|
(109,872
|
)
|
(774,350
|
)
|
|||
Disposition of investments in consolidated VIEs
|
—
|
|
2,601
|
|
—
|
|
|||
Net cash provided by (used in) investing activities
|
$
|
(1,270,560
|
)
|
$
|
2,037,911
|
|
$
|
(5,778,558
|
)
|
Cash Flows From Financing Activities:
|
|
||||||||
Proceeds from repurchase agreements
|
$
|
34,202,707
|
|
$
|
41,644,280
|
|
$
|
27,128,227
|
|
Payments on repurchase agreements
|
(36,041,143
|
)
|
(42,660,323
|
)
|
(20,331,406
|
)
|
|||
Net proceeds from common stock offerings
|
—
|
|
—
|
|
—
|
|
|||
Net proceeds from preferred stock offerings
|
140,065
|
|
—
|
|
—
|
|
|||
Payments on repurchase of common stock
|
—
|
|
(250,000
|
)
|
—
|
|
|||
Proceeds from securitized debt borrowings, collateralized by loans held for investment
|
4,797,255
|
|
1,483,301
|
|
43,981
|
|
|||
Payments on securitized debt borrowings, collateralized by loans held for investment
|
(1,668,670
|
)
|
(2,138,623
|
)
|
(341,313
|
)
|
|||
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS
|
(194,634
|
)
|
(182,217
|
)
|
(185,369
|
)
|
|||
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS
|
—
|
|
—
|
|
(56,072
|
)
|
|||
Common dividends paid
|
(454,275
|
)
|
(381,189
|
)
|
(575,276
|
)
|
|||
Net cash provided by (used in) financing activities
|
$
|
781,305
|
|
$
|
(2,484,771
|
)
|
$
|
5,682,772
|
|
Net increase (decrease) in cash and cash equivalents
|
63,652
|
|
(50,558
|
)
|
86,991
|
|
|||
Cash and cash equivalents at beginning of period
|
114,062
|
|
164,620
|
|
77,629
|
|
|||
Cash and cash equivalents at end of period
|
$
|
177,714
|
|
$
|
114,062
|
|
$
|
164,620
|
|
|
|
|
|
||||||
Supplemental disclosure of cash flow information:
|
|
||||||||
Interest received
|
$
|
917,491
|
|
$
|
881,403
|
|
$
|
577,123
|
|
Interest paid
|
$
|
335,077
|
|
$
|
236,676
|
|
$
|
111,020
|
|
Management fees and expenses paid
|
$
|
—
|
|
$
|
34,996
|
|
$
|
27,815
|
|
Non-cash investing activities:
|
|
|
|
|
|
|
|||
Receivable for investments sold
|
$
|
—
|
|
$
|
—
|
|
$
|
1,572,056
|
|
Payable for investments purchased
|
$
|
520,532
|
|
$
|
(560,641
|
)
|
$
|
(1,845,282
|
)
|
Net change in unrealized gain (loss) on available-for sale securities
|
$
|
(55,685
|
)
|
$
|
(272,889
|
)
|
$
|
55,877
|
|
|
|
|
|
||||||
Acquisition of securities in Consolidated VIEs
|
|
|
|
|
|
|
|||
Securitized loans held for investment, at fair value
|
$
|
—
|
|
$
|
295,225
|
|
$
|
4,722,825
|
|
Other assets
|
$
|
—
|
|
$
|
—
|
|
$
|
84,830
|
|
Securitized debt at fair value
|
$
|
—
|
|
$
|
(185,353
|
)
|
$
|
4,033,304
|
|
|
|
|
|
|
|
|
|||
Disposition of securities in Consolidated VIEs
|
|
|
|
|
|
|
|||
Non-agency RMBS, at fair value
|
$
|
—
|
|
$
|
49,118
|
|
$
|
—
|
|
Securitized loans held for investment, at fair value
|
$
|
—
|
|
$
|
(287,806
|
)
|
$
|
—
|
|
Securitized debt at fair value
|
$
|
—
|
|
$
|
236,087
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|||
Non-cash financing activities:
|
|
|
|
|
|
|
|||
Common dividends declared, not yet paid
|
$
|
94,557
|
|
$
|
90,097
|
|
$
|
92,483
|
|
Preferred dividends declared, not yet paid
|
$
|
2,449
|
|
$
|
—
|
|
$
|
—
|
|
•
|
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, 2016
|
|
|
|
|
||||||||||||||||||
|
|
(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
|
$
|
3,190,947
|
|
$
|
231
|
|
$
|
(1,412,058
|
)
|
$
|
1,779,120
|
|
$
|
2,511,003
|
|
$
|
732,133
|
|
$
|
(250
|
)
|
$
|
731,883
|
|
Senior, interest-only
|
5,648,339
|
|
292,396
|
|
—
|
|
292,396
|
|
253,539
|
|
18,674
|
|
(57,531
|
)
|
$
|
(38,857
|
)
|
|||||||
Subordinated
|
673,259
|
|
16,352
|
|
(212,734
|
)
|
476,877
|
|
553,498
|
|
77,857
|
|
(1,236
|
)
|
$
|
76,621
|
|
|||||||
Subordinated, interest-only
|
266,927
|
|
13,878
|
|
—
|
|
13,878
|
|
12,024
|
|
—
|
|
(1,854
|
)
|
$
|
(1,854
|
)
|
|||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
2,594,570
|
|
149,872
|
|
—
|
|
2,744,442
|
|
2,705,978
|
|
11,235
|
|
(49,699
|
)
|
$
|
(38,464
|
)
|
|||||||
Commercial
|
1,331,543
|
|
37,782
|
|
(2,688
|
)
|
1,366,637
|
|
1,316,975
|
|
175
|
|
(49,837
|
)
|
$
|
(49,662
|
)
|
|||||||
Interest-only
|
3,356,491
|
|
152,175
|
|
—
|
|
152,175
|
|
144,800
|
|
1,893
|
|
(9,268
|
)
|
$
|
(7,375
|
)
|
|||||||
Total
|
$
|
17,062,076
|
|
$
|
662,686
|
|
$
|
(1,627,480
|
)
|
$
|
6,825,525
|
|
$
|
7,497,817
|
|
$
|
841,967
|
|
$
|
(169,675
|
)
|
$
|
672,292
|
|
|
|
December 31, 2015
|
|
|
|
|
||||||||||||||||||
|
|
(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
|
$
|
3,651,869
|
|
$
|
309
|
|
$
|
(1,553,317
|
)
|
$
|
2,098,860
|
|
$
|
2,826,121
|
|
$
|
736,040
|
|
$
|
(8,779
|
)
|
$
|
727,261
|
|
Senior, interest-only
|
5,426,029
|
|
268,515
|
|
—
|
|
268,515
|
|
234,171
|
|
18,113
|
|
(52,457
|
)
|
(34,344
|
)
|
||||||||
Subordinated
|
762,466
|
|
23,635
|
|
(258,128
|
)
|
527,975
|
|
604,295
|
|
83,896
|
|
(7,577
|
)
|
76,319
|
|
||||||||
Subordinated, interest-only
|
284,931
|
|
15,226
|
|
—
|
|
15,226
|
|
11,254
|
|
62
|
|
(4,035
|
)
|
(3,973
|
)
|
||||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
5,045,418
|
|
255,837
|
|
—
|
|
5,301,255
|
|
5,267,848
|
|
18,593
|
|
(52,001
|
)
|
(33,408
|
)
|
||||||||
Commercial
|
952,091
|
|
24,815
|
|
(3,170
|
)
|
973,736
|
|
973,787
|
|
8,052
|
|
(8,001
|
)
|
51
|
|
||||||||
Interest-only
|
6,722,472
|
|
280,073
|
|
—
|
|
280,073
|
|
273,189
|
|
2,756
|
|
(9,640
|
)
|
(6,884
|
)
|
||||||||
Total
|
$
|
22,845,276
|
|
$
|
868,410
|
|
$
|
(1,814,615
|
)
|
$
|
9,465,640
|
|
$
|
10,190,665
|
|
$
|
867,512
|
|
$
|
(142,490
|
)
|
$
|
725,022
|
|
|
For the Year Ended
|
|||||
|
December 31, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Balance at beginning of period
|
$
|
1,742,744
|
|
$
|
1,534,497
|
|
Purchases
|
79,156
|
|
277,922
|
|
||
Yield income earned
|
(282,800
|
)
|
(249,898
|
)
|
||
Reclassification (to) from non-accretable difference
|
53,681
|
|
238,348
|
|
||
Sales and deconsolidation
|
(42,671
|
)
|
(58,125
|
)
|
||
Balance at end of period
|
$
|
1,550,110
|
|
$
|
1,742,744
|
|
|
For the Year Ended
|
For the Year Ended
|
||||
|
December 31, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Outstanding principal balance:
|
|
|
||||
Beginning of period
|
$
|
3,550,698
|
|
$
|
3,325,335
|
|
End of period
|
$
|
3,138,265
|
|
$
|
3,550,698
|
|
Amortized cost:
|
|
|
|
|
||
Beginning of period
|
$
|
1,958,726
|
|
$
|
1,741,780
|
|
End of period
|
$
|
1,695,079
|
|
$
|
1,958,726
|
|
|
|
|
December 31, 2016
|
|
|
|
|
|
|
||||||||||||||||
|
|
(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 Securities
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Senior
|
$
|
12,384
|
|
$
|
(250
|
)
|
3
|
|
|
$
|
—
|
|
$
|
—
|
|
—
|
|
|
$
|
12,384
|
|
$
|
(250
|
)
|
3
|
Senior, interest-only
|
96,399
|
|
(13,600
|
)
|
62
|
|
|
78,516
|
|
(43,931
|
)
|
86
|
|
|
174,915
|
|
(57,531
|
)
|
148
|
||||||
Subordinated
|
56,015
|
|
(412
|
)
|
7
|
|
|
2,826
|
|
(824
|
)
|
4
|
|
|
58,841
|
|
(1,236
|
)
|
11
|
||||||
Subordinated, interest-only
|
748
|
|
(230
|
)
|
2
|
|
|
11,276
|
|
(1,624
|
)
|
3
|
|
|
12,024
|
|
(1,854
|
)
|
5
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential
|
2,338,910
|
|
(48,084
|
)
|
106
|
|
|
54,943
|
|
(1,615
|
)
|
1
|
|
|
2,393,853
|
|
(49,699
|
)
|
107
|
||||||
Commercial
|
1,247,923
|
|
(45,802
|
)
|
646
|
|
|
51,733
|
|
(4,035
|
)
|
46
|
|
|
1,299,656
|
|
(49,837
|
)
|
692
|
||||||
Interest-only
|
63,506
|
|
(2,170
|
)
|
20
|
|
|
52,963
|
|
(7,098
|
)
|
16
|
|
|
116,469
|
|
(9,268
|
)
|
36
|
||||||
Total
|
$
|
3,815,885
|
|
$
|
(110,548
|
)
|
846
|
|
|
$
|
252,257
|
|
$
|
(59,127
|
)
|
156
|
|
|
$
|
4,068,142
|
|
$
|
(169,675
|
)
|
1002
|
|
|
|
December 31, 2015
|
|
|
|
|
|
|
|||||||||||||||
|
|
|
(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 Securities
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|
Estimated Fair Value
|
Unrealized Losses
|
Number of Securities
|
|||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Senior
|
$
|
294,520
|
|
$
|
(8,779
|
)
|
20
|
|
$
|
—
|
|
$
|
—
|
|
—
|
|
|
$
|
294,520
|
|
$
|
(8,779
|
)
|
20
|
Senior, interest-only
|
81,919
|
|
(18,715
|
)
|
83
|
|
64,058
|
|
(33,742
|
)
|
47
|
|
|
145,977
|
|
(52,457
|
)
|
130
|
||||||
Subordinated
|
138,257
|
|
(7,577
|
)
|
22
|
|
—
|
|
—
|
|
—
|
|
|
138,257
|
|
(7,577
|
)
|
22
|
||||||
Subordinated, interest-only
|
6,455
|
|
(1,039
|
)
|
1
|
|
3,635
|
|
(2,996
|
)
|
2
|
|
|
10,090
|
|
(4,035
|
)
|
3
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential
|
4,468,717
|
|
(44,687
|
)
|
116
|
|
290,926
|
|
(7,314
|
)
|
4
|
|
|
4,759,643
|
|
(52,001
|
)
|
120
|
||||||
Commercial
|
393,058
|
|
(7,969
|
)
|
140
|
|
4,986
|
|
(32
|
)
|
4
|
|
|
398,044
|
|
(8,001
|
)
|
144
|
||||||
Interest-only
|
94,969
|
|
(3,457
|
)
|
24
|
|
39,707
|
|
(6,183
|
)
|
7
|
|
|
134,676
|
|
(9,640
|
)
|
31
|
||||||
Total
|
$
|
5,477,895
|
|
$
|
(92,223
|
)
|
406
|
|
$
|
403,312
|
|
$
|
(50,267
|
)
|
64
|
|
|
$
|
5,881,207
|
|
$
|
(142,490
|
)
|
470
|
|
For the Year Ended
|
||||||||
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
||||||
|
(dollars in thousands)
|
||||||||
Total other-than-temporary impairment losses
|
$
|
(9,589
|
)
|
$
|
(8,700
|
)
|
$
|
(8,713
|
)
|
Portion of loss recognized in other comprehensive income (loss)
|
(48,398
|
)
|
(58,744
|
)
|
(55,279
|
)
|
|||
Net other-than-temporary credit impairment losses
|
$
|
(57,987
|
)
|
$
|
(67,444
|
)
|
$
|
(63,992
|
)
|
|
For the Year Ended
|
||||||||
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
||||||
|
(dollars in thousands)
|
||||||||
Cumulative credit loss beginning balance
|
$
|
529,112
|
|
$
|
507,548
|
|
$
|
524,432
|
|
Additions:
|
|
|
|
|
|
|
|||
Other-than-temporary impairments not previously recognized
|
25,959
|
|
41,233
|
|
63,123
|
|
|||
Reductions for securities sold or deconsolidated during the period
|
(9,429
|
)
|
(19,746
|
)
|
(61,854
|
)
|
|||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
32,027
|
|
26,138
|
|
869
|
|
|||
Reductions for increases in cash flows expected to be collected over the remaining life of the securities
|
(21,184
|
)
|
(26,061
|
)
|
(19,022
|
)
|
|||
Cumulative credit impairment loss ending balance
|
$
|
556,485
|
|
$
|
529,112
|
|
$
|
507,548
|
|
|
|
December 31, 2016
|
|
|
|
|||||||||||||
|
|
(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
|
$
|
732,133
|
|
$
|
—
|
|
$
|
732,133
|
|
$
|
(250
|
)
|
$
|
—
|
|
$
|
(250
|
)
|
Senior, interest-only
|
—
|
|
18,674
|
|
18,674
|
|
—
|
|
(57,531
|
)
|
(57,531
|
)
|
||||||
Subordinated
|
74,584
|
|
3,273
|
|
77,857
|
|
(235
|
)
|
(1,001
|
)
|
(1,236
|
)
|
||||||
Subordinated, interest-only
|
—
|
|
—
|
|
—
|
|
—
|
|
(1,854
|
)
|
(1,854
|
)
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential
|
11,235
|
|
—
|
|
11,235
|
|
(49,699
|
)
|
—
|
|
(49,699
|
)
|
||||||
Commercial
|
175
|
|
—
|
|
175
|
|
(49,837
|
)
|
—
|
|
(49,837
|
)
|
||||||
Interest-only
|
—
|
|
1,893
|
|
1,893
|
|
—
|
|
(9,268
|
)
|
(9,268
|
)
|
||||||
Total
|
$
|
818,127
|
|
$
|
23,840
|
|
$
|
841,967
|
|
$
|
(100,021
|
)
|
$
|
(69,654
|
)
|
$
|
(169,675
|
)
|
|
|
December 31, 2015
|
|
|
|
|||||||||||||
|
|
(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
|
$
|
736,040
|
|
$
|
—
|
|
$
|
736,040
|
|
$
|
(8,779
|
)
|
$
|
—
|
|
$
|
(8,779
|
)
|
Senior, interest-only
|
—
|
|
18,113
|
|
18,113
|
|
—
|
|
(52,457
|
)
|
(52,457
|
)
|
||||||
Subordinated
|
81,588
|
|
2,309
|
|
83,896
|
|
(1,971
|
)
|
(5,606
|
)
|
(7,577
|
)
|
||||||
Subordinated, interest-only
|
—
|
|
62
|
|
62
|
|
—
|
|
(4,035
|
)
|
(4,035
|
)
|
||||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential
|
18,593
|
|
—
|
|
18,593
|
|
(52,001
|
)
|
—
|
|
(52,001
|
)
|
||||||
Commercial
|
8,052
|
|
—
|
|
8,052
|
|
(8,001
|
)
|
—
|
|
(8,001
|
)
|
||||||
Interest-only
|
—
|
|
2,756
|
|
2,756
|
|
—
|
|
(9,640
|
)
|
(9,640
|
)
|
||||||
Total
|
$
|
844,273
|
|
$
|
23,240
|
|
$
|
867,512
|
|
$
|
(70,752
|
)
|
$
|
(71,738
|
)
|
$
|
(142,490
|
)
|
|
December 31, 2016
|
||||||||||||
|
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
|
$
|
3,190,947
|
|
$
|
55.76
|
|
$
|
78.69
|
|
4.3
|
%
|
15.5
|
%
|
Senior, interest-only
|
5,648,339
|
|
5.18
|
|
4.49
|
|
1.5
|
%
|
11.7
|
%
|
|||
Subordinated
|
673,259
|
|
70.83
|
|
82.21
|
|
3.8
|
%
|
9.2
|
%
|
|||
Subordinated, interest-only
|
266,927
|
|
5.20
|
|
4.50
|
|
1.1
|
%
|
13.5
|
%
|
|||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||
Residential pass-through
|
2,594,570
|
|
105.78
|
|
104.29
|
|
3.9
|
%
|
3.0
|
%
|
|||
Commercial pass-through
|
1,331,543
|
|
102.64
|
|
98.91
|
|
3.6
|
%
|
2.9
|
%
|
|||
Interest-only
|
3,356,491
|
|
4.53
|
|
4.31
|
|
0.8
|
%
|
3.5
|
%
|
|
December 31, 2015
|
||||||||||||
|
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
|
$
|
3,651,869
|
|
$
|
57.47
|
|
$
|
77.39
|
|
3.8
|
%
|
13.7
|
%
|
Senior, interest-only
|
5,426,029
|
|
4.95
|
|
4.32
|
|
1.7
|
%
|
12.9
|
%
|
|||
Subordinated
|
762,466
|
|
69.25
|
|
79.26
|
|
3.2
|
%
|
8.8
|
%
|
|||
Subordinated, interest-only
|
284,931
|
|
5.34
|
|
3.95
|
|
1.2
|
%
|
10.9
|
%
|
|||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||
Residential pass-through
|
5,045,418
|
|
105.07
|
|
104.41
|
|
3.7
|
%
|
2.8
|
%
|
|||
Commercial pass-through
|
952,091
|
|
102.27
|
|
102.28
|
|
3.4
|
%
|
2.9
|
%
|
|||
Interest-only
|
6,722,472
|
|
4.17
|
|
4.06
|
|
0.8
|
%
|
3.4
|
%
|
|
December 31, 2016
|
|
December 31, 2015
|
|
AAA
|
0.3
|
%
|
0.5
|
%
|
AA
|
0.3
|
%
|
0.4
|
%
|
A
|
0.7
|
%
|
0.8
|
%
|
BBB
|
0.7
|
%
|
0.4
|
%
|
BB
|
3.0
|
%
|
5.2
|
%
|
B
|
3.9
|
%
|
3.0
|
%
|
Below B or not rated
|
91.1
|
%
|
89.7
|
%
|
Total
|
100.0
|
%
|
100.0
|
%
|
|
December 31, 2016
|
||||||||||||||
|
(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
|
$
|
25,612
|
|
$
|
508,979
|
|
$
|
1,267,000
|
|
$
|
709,412
|
|
$
|
2,511,003
|
|
Senior interest-only
|
417
|
|
37,796
|
|
115,780
|
|
99,546
|
|
253,539
|
|
|||||
Subordinated
|
—
|
|
94,793
|
|
238,630
|
|
220,075
|
|
553,498
|
|
|||||
Subordinated interest-only
|
—
|
|
—
|
|
12,024
|
|
—
|
|
12,024
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
429,869
|
|
2,276,109
|
|
—
|
|
2,705,978
|
|
|||||
Commercial
|
—
|
|
47,354
|
|
16,833
|
|
1,252,788
|
|
1,316,975
|
|
|||||
Interest-only
|
—
|
|
75,863
|
|
63,715
|
|
5,222
|
|
144,800
|
|
|||||
Total fair value
|
$
|
26,029
|
|
$
|
1,194,654
|
|
$
|
3,990,091
|
|
$
|
2,287,043
|
|
$
|
7,497,817
|
|
Amortized cost
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
||||||
Senior
|
$
|
21,423
|
|
$
|
403,250
|
|
$
|
868,624
|
|
$
|
485,823
|
|
$
|
1,779,120
|
|
Senior interest-only
|
1,992
|
|
50,252
|
|
134,642
|
|
105,510
|
|
292,396
|
|
|||||
Subordinated
|
—
|
|
76,287
|
|
195,538
|
|
205,052
|
|
476,877
|
|
|||||
Subordinated interest-only
|
—
|
|
—
|
|
13,878
|
|
—
|
|
13,878
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
438,270
|
|
2,306,172
|
|
—
|
|
2,744,442
|
|
|||||
Commercial
|
—
|
|
49,027
|
|
17,247
|
|
1,300,363
|
|
1,366,637
|
|
|||||
Interest-only
|
—
|
|
77,598
|
|
69,333
|
|
5,244
|
|
152,175
|
|
|||||
Total amortized cost
|
$
|
23,415
|
|
$
|
1,094,684
|
|
$
|
3,605,434
|
|
$
|
2,101,992
|
|
$
|
6,825,525
|
|
|
December 31, 2015
|
||||||||||||||
|
(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
|
$
|
—
|
|
$
|
374,462
|
|
$
|
1,629,564
|
|
$
|
822,095
|
|
$
|
2,826,121
|
|
Senior interest-only
|
1,458
|
|
41,862
|
|
123,538
|
|
67,313
|
|
234,171
|
|
|||||
Subordinated
|
2,229
|
|
108,728
|
|
212,003
|
|
281,335
|
|
604,295
|
|
|||||
Subordinated interest-only
|
—
|
|
—
|
|
11,254
|
|
—
|
|
11,254
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
150,357
|
|
5,117,491
|
|
—
|
|
5,267,848
|
|
|||||
Commercial
|
—
|
|
—
|
|
29,176
|
|
944,611
|
|
973,787
|
|
|||||
Interest-only
|
—
|
|
106,069
|
|
161,413
|
|
5,707
|
|
273,189
|
|
|||||
Total fair value
|
$
|
3,687
|
|
$
|
781,478
|
|
$
|
7,284,439
|
|
$
|
2,121,061
|
|
$
|
10,190,665
|
|
Amortized cost
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
||||||
Senior
|
$
|
—
|
|
$
|
281,255
|
|
$
|
1,235,528
|
|
$
|
582,077
|
|
$
|
2,098,860
|
|
Senior interest-only
|
2,440
|
|
59,823
|
|
135,359
|
|
70,893
|
|
268,515
|
|
|||||
Subordinated
|
2,208
|
|
86,728
|
|
168,403
|
|
270,636
|
|
527,975
|
|
|||||
Subordinated interest-only
|
—
|
|
—
|
|
15,226
|
|
—
|
|
15,226
|
|
|||||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||||
Residential
|
—
|
|
149,111
|
|
5,152,144
|
|
—
|
|
5,301,255
|
|
|||||
Commercial
|
—
|
|
—
|
|
29,156
|
|
944,580
|
|
973,736
|
|
|||||
Interest-only
|
—
|
|
106,708
|
|
167,646
|
|
5,719
|
|
280,073
|
|
|||||
Total amortized cost
|
$
|
4,648
|
|
$
|
683,625
|
|
$
|
6,903,462
|
|
$
|
1,873,905
|
|
$
|
9,465,640
|
|
|
December 31, 2016
|
December 31, 2015
|
||||||
Weighted average maturity (years)
|
|
21.6
|
|
|
22.0
|
|
||
Weighted average amortized loan to value
(1)
|
|
66.5
|
%
|
|
67.9
|
%
|
||
Weighted average FICO
(2)
|
|
675
|
|
|
671
|
|
||
Weighted average loan balance (in thousands)
|
|
$
|
319
|
|
|
$
|
330
|
|
Weighted average percentage owner occupied
|
|
83.2
|
%
|
|
82.7
|
%
|
||
Weighted average percentage single family residence
|
|
65.8
|
%
|
|
65.9
|
%
|
||
Weighted average current credit enhancement
|
|
2.3
|
%
|
|
2.4
|
%
|
||
Weighted average geographic concentration of top four states
|
CA
|
32.1
|
%
|
CA
|
30.4
|
%
|
||
|
FL
|
8.1
|
%
|
FL
|
8.0
|
%
|
||
|
NY
|
7.9
|
%
|
NY
|
8.0
|
%
|
||
|
NJ
|
2.7
|
%
|
NJ
|
2.5
|
%
|
|
For the Year Ended
|
||||||||
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
||||||
|
(dollars in thousands)
|
||||||||
Proceeds from sales
|
$
|
2,719,329
|
|
$
|
6,244,613
|
|
$
|
4,036,033
|
|
Gross realized gains
|
28,572
|
|
94,618
|
|
98,656
|
|
|||
Gross realized losses
|
(10,417
|
)
|
(17,544
|
)
|
(6,947
|
)
|
|||
Net realized gain (loss)
|
$
|
18,155
|
|
$
|
77,074
|
|
$
|
91,709
|
|
|
For the Year Ended
|
For the Year Ended
|
||||
|
December 31, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Balance, beginning of period
|
$
|
4,768,416
|
|
$
|
5,306,501
|
|
Purchases
|
4,897,370
|
|
577,036
|
|
||
Principal paydowns
|
(1,022,414
|
)
|
(707,996
|
)
|
||
Sales and settlements
|
5,007
|
|
(9,638
|
)
|
||
Net periodic accretion (amortization)
|
(41,363
|
)
|
(19,100
|
)
|
||
Change in fair value
|
146,637
|
|
(90,581
|
)
|
||
Transfer due to deconsolidation
|
—
|
|
(287,806
|
)
|
||
Balance, end of period
|
$
|
8,753,653
|
|
$
|
4,768,416
|
|
|
December 31, 2016
|
December 31, 2015
|
||||||
Number of loans
|
|
496
|
|
|
657
|
|
||
Weighted average maturity (years)
|
|
24.5
|
|
|
25.5
|
|
||
Weighted average loan to value
(1)
|
|
70.5
|
%
|
|
70.7
|
%
|
||
Weighted average FICO
(2)
|
|
764
|
|
|
765
|
|
||
Weighted average loan balance (in thousands)
|
|
$
|
669
|
|
|
$
|
682
|
|
Weighted average percentage owner occupied
|
|
95.2
|
%
|
|
94.3
|
%
|
||
Weighted average percentage single family residence
|
|
71.6
|
%
|
|
70.1
|
%
|
||
Weighted average geographic concentration of top five states
|
CA
|
30.7
|
%
|
CA
|
32.4
|
%
|
||
|
NJ
|
7.2
|
%
|
VA
|
6.4
|
%
|
||
|
MD
|
7.1
|
%
|
NJ
|
6.3
|
%
|
||
|
VA
|
6.9
|
%
|
MD
|
6.2
|
%
|
||
|
NY
|
5.0
|
%
|
TX
|
5.1
|
%
|
|
30 Days Delinquent
|
60 Days Delinquent
|
90+ Days Delinquent
|
Bankruptcy
|
Foreclosure
|
REO
|
Total
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
December 31, 2016
|
$
|
1,053
|
|
$
|
—
|
|
$
|
2,846
|
|
$
|
—
|
|
$
|
1,691
|
|
$
|
—
|
|
$
|
5,590
|
|
December 31, 2015
|
$
|
3,079
|
|
$
|
—
|
|
$
|
2,915
|
|
$
|
—
|
|
$
|
2,875
|
|
$
|
2,312
|
|
$
|
11,181
|
|
|
December 31, 2016
|
December 31, 2015
|
||||||
Number of loans
|
|
94,659
|
|
|
56,870
|
|
||
Weighted average maturity (years)
|
|
19.6
|
|
|
21.5
|
|
||
Weighted average loan to value
(1)
|
|
87.5
|
%
|
|
80.7
|
%
|
||
Weighted average FICO
(1)
|
|
621
|
|
|
625
|
|
||
Weighted average loan balance (in thousands)
|
|
$
|
90
|
|
|
$
|
76
|
|
Weighted average percentage owner occupied
|
|
96.7
|
%
|
|
96.0
|
%
|
||
Weighted average percentage single family residence
|
|
86.0
|
%
|
|
72.5
|
%
|
||
Weighted average geographic concentration of top five states
|
CA
|
9.2
|
%
|
CA
|
8.8
|
%
|
||
|
FL
|
6.8
|
%
|
FL
|
7.2
|
%
|
||
|
OH
|
6.7
|
%
|
NC
|
7.1
|
%
|
||
|
VA
|
5.8
|
%
|
VA
|
6.3
|
%
|
||
|
NC
|
5.3
|
%
|
OH
|
6.1
|
%
|
|
30 Days Delinquent
|
60 Days Delinquent
|
90+ Days Delinquent
|
Bankruptcy
|
Foreclosure
|
REO
|
Total
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
December 31, 2016
|
$
|
362,846
|
|
$
|
140,495
|
|
$
|
188,145
|
|
$
|
207,364
|
|
$
|
201,574
|
|
$
|
40,709
|
|
$
|
1,141,133
|
|
December 31, 2015
|
$
|
189,816
|
|
$
|
66,429
|
|
$
|
125,897
|
|
$
|
117,308
|
|
$
|
218,493
|
|
$
|
36,124
|
|
$
|
754,067
|
|
December 31, 2016
|
|||||||||||||
(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
|
6,417
|
|
1.38% to 15.20%
|
2/1/2003 - 10/1/2056
|
$
|
609,584
|
|
$
|
67,704
|
|
$
|
25,102
|
|
$250 to $500
|
458
|
|
2.13% to 10.00%
|
4/1/2030 - 9/1/2055
|
147,410
|
|
22,821
|
|
7,684
|
|
|||
$500 to $750
|
45
|
|
2.00% to 9.25%
|
7/1/2034 - 9/1/2046
|
26,383
|
|
3,033
|
|
1,131
|
|
|||
$750 to $1,000
|
7
|
|
3.13% to 5.17%
|
1/1/2038 - 12/1/2045
|
5,754
|
|
768
|
|
—
|
|
|||
Over $1,000
|
5
|
|
3.13% to 3.38%
|
1/1/2038 - 4/1/2038
|
6,641
|
|
—
|
|
1,428
|
|
|||
|
6,932
|
|
|
|
$
|
795,772
|
|
$
|
94,326
|
|
$
|
35,345
|
|
|
|
|
|
|
|
|
|
|
|
||||
Hybrid loans:
|
|
|
|
|
|
|
|
|
|
||||
$1 to $250
|
2
|
|
6.67% to 6.83%
|
8/1/2037 - 9/1/2037
|
$
|
190
|
|
$
|
97
|
|
$
|
—
|
|
$250 to $500
|
1
|
|
5.88% to 5.88%
|
7/1/2037 - 7/1/2037
|
496
|
|
—
|
|
—
|
|
|||
$500 to $750
|
3
|
|
5.63% to 6.88%
|
7/1/2037 - 3/1/2038
|
1,842
|
|
—
|
|
—
|
|
|||
$750 to $1,000
|
1
|
|
5.75% to 5.75%
|
4/1/2037 - 4/1/2037
|
940
|
|
—
|
|
—
|
|
|||
|
7
|
|
|
|
$
|
3,468
|
|
$
|
97
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
||||
Fixed loans:
|
|
|
|
|
|
|
|
|
|
||||
$1 to $250
|
83,925
|
|
0.00% to 24.00%
|
7/1/2002 - 5/1/2062
|
$
|
6,487,251
|
|
$
|
603,388
|
|
$
|
424,980
|
|
$250 to $500
|
3,769
|
|
0.00% to 12.52%
|
5/1/2018 - 10/1/2065
|
1,225,999
|
|
136,702
|
|
80,984
|
|
|||
$500 to $750
|
381
|
|
2.00% to 10.69%
|
5/1/2032 - 9/1/2057
|
223,638
|
|
9,531
|
|
5,788
|
|
|||
$750 to $1,000
|
103
|
|
3.75% to 7.29%
|
4/1/2037 - 5/1/2047
|
87,680
|
|
—
|
|
1,746
|
|
|||
Over $1,000
|
38
|
|
3.25% to 7.13%
|
3/1/2013 - 8/1/2046
|
44,975
|
|
—
|
|
—
|
|
|||
|
88,216
|
|
|
|
$
|
8,069,543
|
|
$
|
749,621
|
|
$
|
513,498
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total
|
95,155
|
|
|
|
$
|
8,868,783
|
|
$
|
844,044
|
|
$
|
548,843
|
|
December 31, 2015
|
|||||||||||||
(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
|
2,119
|
|
1.70% to 15.2%
|
2/1/2003 - 10/1/2055
|
$
|
138,321
|
|
$
|
11,140
|
|
$
|
5,292
|
|
$250 to $500
|
66
|
|
2.00% to 10.38%
|
1/1/2030 - 9/1/2055
|
23,021
|
|
1,201
|
|
2,277
|
|
|||
$500 to $750
|
29
|
|
2.00% to 5.75%
|
2/1/2032 - 4/1/2038
|
17,186
|
|
—
|
|
1,688
|
|
|||
$750 to $1,000
|
7
|
|
2.88% to 2.88%
|
1/1/2038 - 4/1/2038
|
5,867
|
|
—
|
|
—
|
|
|||
Over $1,000
|
6
|
|
2.88% to 4.00%
|
12/1/2037 - 4/1/2038
|
8,402
|
|
—
|
|
1,730
|
|
|||
|
2,227
|
|
|
|
$
|
192,797
|
|
$
|
12,341
|
|
$
|
10,986
|
|
|
|
|
|
|
|
|
|
|
|
||||
Hybrid loans:
|
|
|
|
|
|
|
|
|
|
||||
$1 to $250
|
2
|
|
6.67% to 6.83%
|
8/1/2037 - 9/1/2037
|
$
|
193
|
|
$
|
—
|
|
$
|
—
|
|
$250 to $500
|
2
|
|
5.78% to 5.88%
|
7/1/2037 - 4/1/2038
|
908
|
|
—
|
|
—
|
|
|||
$500 to $750
|
8
|
|
4.00% to 7.19%
|
7/1/2037 - 3/1/2038
|
4,751
|
|
1,081
|
|
1,744
|
|
|||
$750 to $1,000
|
2
|
|
5.63% to 5.75%
|
4/1/2037 - 4/1/2038
|
1,730
|
|
—
|
|
—
|
|
|||
|
14
|
|
|
|
$
|
7,582
|
|
$
|
1,081
|
|
$
|
1,744
|
|
|
|
|
|
|
|
|
|
|
|
||||
Fixed loans:
|
|
|
|
|
|
|
|
|
|
||||
$1 to $250
|
52,774
|
|
0.00% to 24.00%
|
1/1/1999 - 5/1/2062
|
$
|
3,540,447
|
|
$
|
245,151
|
|
$
|
359,559
|
|
$250 to $500
|
1,957
|
|
2.00% to 11.93%
|
12/1/2019 - 10/1/2065
|
645,347
|
|
33,405
|
|
58,336
|
|
|||
$500 to $750
|
374
|
|
2.00% to 9.75%
|
6/1/2022 - 9/1/2057
|
226,481
|
|
3,205
|
|
4,005
|
|
|||
$750 to $1,000
|
130
|
|
3.75% to 7.00%
|
7/1/2037 - 10/1/2042
|
112,490
|
|
1,729
|
|
1,892
|
|
|||
Over $1,000
|
51
|
|
2.25% to 7.13%
|
3/1/2013 - 10/1/2042
|
62,773
|
|
—
|
|
—
|
|
|||
|
55,286
|
|
|
|
$
|
4,587,538
|
|
$
|
283,490
|
|
$
|
423,792
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total
|
57,527
|
|
|
|
$
|
4,787,918
|
|
$
|
296,912
|
|
$
|
436,521
|
|
|
December 31, 2016
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Counterparty and Cash Collateral, netting
|
Total
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|||||
Non-Agency RMBS, at fair value
|
$
|
—
|
|
$
|
—
|
|
$
|
3,330,063
|
|
$
|
—
|
|
$
|
3,330,063
|
|
Agency RMBS, at fair value
|
—
|
|
4,167,754
|
|
—
|
|
—
|
|
4,167,754
|
|
|||||
Securitized loans held for investment, at fair value
|
—
|
|
—
|
|
8,753,653
|
|
—
|
|
8,753,653
|
|
|||||
Derivatives
|
1,785
|
|
22,327
|
|
—
|
|
(14,435
|
)
|
9,677
|
|
|||||
|
|
|
|
|
|
||||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
—
|
|
—
|
|
(6,941,097
|
)
|
—
|
|
(6,941,097
|
)
|
|||||
Derivatives
|
—
|
|
(17,225
|
)
|
—
|
|
14,875
|
|
(2,350
|
)
|
|||||
Total
|
$
|
1,785
|
|
$
|
4,172,856
|
|
$
|
5,142,619
|
|
$
|
440
|
|
$
|
9,317,700
|
|
|
December 31, 2015
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Counterparty and Cash Collateral, netting
|
Total
|
||||||||||
Assets:
|
|
|
|
|
|
||||||||||
Non-Agency RMBS, at fair value
|
$
|
—
|
|
$
|
—
|
|
3,675,841
|
|
$
|
—
|
|
$
|
3,675,841
|
|
|
Agency RMBS, at fair value
|
—
|
|
6,514,824
|
|
—
|
|
—
|
|
6,514,824
|
|
|||||
Securitized loans held for investment, at fair value
|
—
|
|
—
|
|
4,768,416
|
|
—
|
|
4,768,416
|
|
|||||
Derivatives
|
1,599
|
|
18,987
|
|
—
|
|
(5,126
|
)
|
15,460
|
|
|||||
|
|
|
|
|
|
||||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|||||
Securitized debt at fair value, collateralized by loans held for investment
|
—
|
|
—
|
|
(3,720,496
|
)
|
—
|
|
(3,720,496
|
)
|
|||||
Derivatives
|
(192
|
)
|
(57,042
|
)
|
—
|
|
47,600
|
|
(9,634
|
)
|
|||||
Total
|
$
|
1,407
|
|
$
|
6,476,769
|
|
$
|
4,723,761
|
|
$
|
42,474
|
|
$
|
11,244,411
|
|
Fair Value Reconciliation, Level 3
|
||||||||||||
|
For the Year Ended, December 31, 2016
|
|||||||||||
|
(dollars in thousands)
|
|||||||||||
|
Non-Agency RMBS
|
Securitized Loans
|
Securitized Debt
|
Total
|
||||||||
Beginning balance Level 3 assets
|
$
|
3,675,841
|
|
$
|
4,768,416
|
|
$
|
(3,720,496
|
)
|
$
|
4,723,761
|
|
Transfers in to Level 3 assets
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
Transfers out of Level 3 assets
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
Purchases
|
257,914
|
|
4,897,370
|
|
(4,797,255
|
)
|
358,029
|
|
||||
Principal payments
|
(532,696
|
)
|
(1,022,414
|
)
|
1,059,854
|
|
(495,256
|
)
|
||||
Sales and Settlements
|
(149,938
|
)
|
5,007
|
|
608,816
|
|
463,885
|
|
||||
Accretion (amortization) of purchase discounts
|
120,638
|
|
(41,363
|
)
|
(2,128
|
)
|
77,147
|
|
||||
Gains (losses) included in net income
|
|
|
|
|
||||||||
Other than temporary credit impairment losses
|
(57,986
|
)
|
—
|
|
—
|
|
(57,986
|
)
|
||||
Realized gains (losses) on sales and settlements
|
13,761
|
|
—
|
|
(122
|
)
|
13,639
|
|
||||
Net unrealized gains (losses) included in income
|
3,173
|
|
146,637
|
|
(89,766
|
)
|
60,044
|
|
||||
Gains (losses) included in other comprehensive income
|
|
|
|
|
||||||||
Total unrealized gains (losses) for the period
|
(644
|
)
|
—
|
|
—
|
|
(644
|
)
|
||||
Ending balance Level 3 assets
|
$
|
3,330,063
|
|
$
|
8,753,653
|
|
$
|
(6,941,097
|
)
|
$
|
5,142,619
|
|
Fair Value Reconciliation, Level 3
|
|||||||||||||||
|
For the Year Ended, December 31, 2015
|
||||||||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Non-Agency RMBS
|
Derivatives
|
Securitized Loans
(1)
|
Securitized Debt
|
Total
|
||||||||||
Beginning balance Level 3 assets
|
$
|
3,404,149
|
|
$
|
(71
|
)
|
$
|
5,306,501
|
|
$
|
(4,383,217
|
)
|
$
|
4,327,362
|
|
Transfers in to Level 3 assets
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
Transfers out of Level 3 assets
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
Transfer due to consolidation/deconsolidation
|
(59,646
|
)
|
—
|
|
(287,806
|
)
|
243,732
|
|
(103,720
|
)
|
|||||
Purchases
|
1,045,534
|
|
—
|
|
577,036
|
|
(1,668,654
|
)
|
(46,084
|
)
|
|||||
Principal payments
|
(385,822
|
)
|
—
|
|
(707,996
|
)
|
743,329
|
|
(350,489
|
)
|
|||||
Sales and Settlements
|
(252,532
|
)
|
(597
|
)
|
(9,638
|
)
|
1,395,292
|
|
1,132,526
|
|
|||||
Accretion (amortization) of purchase discounts
|
117,836
|
|
—
|
|
(19,100
|
)
|
(6,344
|
)
|
92,392
|
|
|||||
Gains (losses) included in net income
|
|
|
|
|
|
|
|
|
|
||||||
Other than temporary credit impairment losses
|
(67,444
|
)
|
—
|
|
—
|
|
—
|
|
(67,444
|
)
|
|||||
Realized gains (losses) on sales and settlements
|
28,724
|
|
443
|
|
—
|
|
(5,930
|
)
|
23,236
|
|
|||||
Net unrealized gains (losses) included in income
|
(18,874
|
)
|
225
|
|
(90,581
|
)
|
(38,704
|
)
|
(147,934
|
)
|
|||||
Gains (losses) included in other comprehensive income
|
|
|
|
|
|
|
|
|
|
|
|||||
Total unrealized gains (losses) for the period
|
(136,084
|
)
|
—
|
|
—
|
|
—
|
|
(136,084
|
)
|
|||||
Ending balance Level 3 assets
|
$
|
3,675,841
|
|
$
|
—
|
|
$
|
4,768,416
|
|
$
|
(3,720,496
|
)
|
$
|
4,723,761
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||
|
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
|
5.4%
|
1% -35%
|
0% -22%
|
35% -95%
|
|
5.5%
|
1% - 17%
|
0% - 22%
|
35% - 95%
|
Senior interest-only
|
12.5%
|
3% -30%
|
0% -22%
|
35% -95%
|
|
13.1%
|
3% - 25%
|
0% - 23%
|
1% - 95%
|
Subordinated
|
6.2%
|
1% -25%
|
0% -18%
|
0% -79%
|
|
6.6%
|
1% - 22%
|
0% - 20%
|
5% - 91%
|
Subordinated interest-only
|
13.2%
|
6% -15%
|
0% -11%
|
35% -76%
|
|
17.4%
|
6% - 13%
|
0% - 10%
|
1% - 64%
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
|
Significant Inputs
|
|
Significant Inputs
|
||||
|
CPR Range
|
CDR Range
|
Loss Severity Range
|
|
CPR Range
|
CDR Range
|
Loss Severity Range
|
Securitized debt at fair value, collateralized by loans held for investment
|
1% - 35%
|
0% - 30%
|
35% - 65%
|
|
4% - 32%
|
0% - 6%
|
35% - 65%
|
|
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
Factor:
|
|
|
|
Coupon
|
|
|
|
Base Rate
|
5.2%
|
|
4.8%
|
Actual
|
7.1%
|
|
6.8%
|
|
|
|
|
FICO
|
|
|
|
Base Rate
|
632
|
|
620
|
Actual
|
621
|
|
625
|
|
|
|
|
Loan-to-value (LTV)
|
|
|
|
Base Rate
|
87%
|
|
90%
|
Actual
|
88%
|
|
81%
|
|
|
|
|
Loan Characteristics:
|
|
|
|
Occupancy
|
|
|
|
Owner Occupied
|
97%
|
|
96%
|
Investor
|
2%
|
|
4%
|
Secondary
|
1%
|
|
0%
|
Property Type
|
|
|
|
Single family
|
86%
|
|
77%
|
Manufactured housing
|
6%
|
|
11%
|
Multi-family/mixed use/other
|
8%
|
|
12%
|
|
December 31, 2016
|
||||
|
(dollars in thousands)
|
||||
|
Level in Fair Value Hierarchy
|
Carrying Amount
|
Fair Value
|
||
Repurchase agreements
|
2
|
5,600,903
|
|
5,619,385
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
3
|
334,124
|
|
324,261
|
|
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
||||
|
Level in Fair Value Hierarchy
|
Carrying Amount
|
Fair Value
|
||
Repurchase agreements
|
2
|
7,439,339
|
|
7,466,409
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
3
|
529,415
|
|
518,941
|
|
|
December 31, 2016
|
December 31, 2015
|
||||
Repurchase agreements outstanding secured by:
|
|
|
||||
Agency MBS (in thousands)
|
$
|
3,087,734
|
|
$
|
5,324,729
|
|
Non-agency MBS (in thousands)
|
2,513,169
|
|
2,114,610
|
|
||
Total:
|
$
|
5,600,903
|
|
$
|
7,439,339
|
|
|
|
|
||||
Average daily balance of Repurchase agreements secured by:
|
|
|
|
|
||
Agency MBS (in thousands)
|
$
|
4,159,651
|
|
$
|
5,776,980
|
|
Non-agency MBS (in thousands)
|
2,322,683
|
|
1,627,909
|
|
||
Total:
|
$
|
6,482,334
|
|
$
|
7,404,889
|
|
|
|
|
||||
Weighted average borrowing rate of Repurchase agreements secured by:
|
|
|
|
|
||
Agency MBS
|
0.90
|
%
|
0.64
|
%
|
||
Non-agency MBS
|
3.05
|
%
|
2.44
|
%
|
||
|
|
|
||||
Weighted average maturity of Repurchase agreements secured by:
|
|
|
|
|
||
Agency MBS
|
32 Days
|
|
53 Days
|
|
||
Non-agency MBS
|
98 Days
|
|
137 Days
|
|
||
|
|
|
||||
MBS pledged as collateral at fair value on Repurchase agreements:
|
|
|
|
|
||
Agency MBS (in thousands)
|
$
|
3,334,245
|
|
$
|
5,655,410
|
|
Non-agency MBS (in thousands)
|
3,699,621
|
|
3,117,875
|
|
||
Total:
|
$
|
7,033,866
|
|
$
|
8,773,285
|
|
|
December 31, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
—
|
|
$
|
—
|
|
1 to 29 days
|
2,947,604
|
|
3,312,902
|
|
||
30 to 59 days
|
958,956
|
|
2,501,513
|
|
||
60 to 89 days
|
407,625
|
|
246,970
|
|
||
90 to 119 days
|
559,533
|
|
430,026
|
|
||
Greater than or equal to 120 days
|
727,185
|
|
947,928
|
|
||
Total
|
$
|
5,600,903
|
|
$
|
7,439,339
|
|
|
December 31, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Within One Year
|
$
|
98,565
|
|
$
|
137,642
|
|
One to Three Years
|
82,563
|
|
178,191
|
|
||
Three to Five Years
|
23,854
|
|
60,872
|
|
||
Greater Than Five Years
|
31,973
|
|
52,280
|
|
||
Total
|
$
|
236,955
|
|
$
|
428,985
|
|
|
December 31, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Within One Year
|
$
|
1,151,519
|
|
$
|
591,171
|
|
One to Three Years
|
1,841,808
|
|
941,704
|
|
||
Three to Five Years
|
1,423,706
|
|
734,291
|
|
||
Greater Than Five Years
|
2,477,123
|
|
1,502,663
|
|
||
Total
|
$
|
6,894,156
|
|
$
|
3,769,829
|
|
|
Consolidated Trusts
|
||
|
(dollars in thousands)
|
||
Assets :
|
|
||
Securitized loans held for investment, at fair value
|
$
|
4,942,571
|
|
Other Assets
|
39,318
|
|
|
|
|
||
Liabilities :
|
|
||
Securitized debt at fair value
(1)
|
$
|
4,213,034
|
|
|
December 31, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Assets:
|
|
|
||||
Non-Agency RMBS, at fair value
|
$
|
1,842,080
|
|
$
|
2,140,494
|
|
Securitized loans held for investment, at fair value
|
8,753,653
|
|
4,768,416
|
|
||
Accrued interest receivable
|
57,153
|
|
35,916
|
|
||
Other Assets
|
109,068
|
|
86,452
|
|
||
Liabilities:
|
|
|
|
|
||
Securitized debt, collateralized by Non-Agency RMBS
|
$
|
334,124
|
|
$
|
529,415
|
|
Securitized debt at fair value, collateralized by loans held for investment
|
6,941,097
|
|
3,720,496
|
|
||
Accrued interest payable
|
24,942
|
|
12,106
|
|
|
For the Year Ended
|
||||||||
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
||||||
|
(dollars in thousands)
|
|
|||||||
Interest income, Assets of consolidated VIEs
|
$
|
678,623
|
|
$
|
575,715
|
|
$
|
428,992
|
|
Interest expense, Non-recourse liabilities of VIEs
|
(249,708
|
)
|
(191,922
|
)
|
(119,103
|
)
|
|||
Net interest income
|
$
|
428,915
|
|
$
|
383,793
|
|
$
|
309,889
|
|
|
|
|
|
||||||
Total other-than-temporary impairment losses
|
$
|
(1,274
|
)
|
$
|
(2,066
|
)
|
$
|
(3,374
|
)
|
Portion of loss recognized in other comprehensive income (loss)
|
(37,475
|
)
|
(55,552
|
)
|
(55,392
|
)
|
|||
Net other-than-temporary credit impairment losses
|
$
|
(38,749
|
)
|
$
|
(57,618
|
)
|
$
|
(58,766
|
)
|
|
|
|
|
December 31, 2016
|
||||||||||
|
|
|
|
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
|
|
$
|
1,396,900
|
|
|
Derivatives, at fair value, net
|
$
|
—
|
|
|
Derivatives, at fair value, net
|
$
|
—
|
|
Swaptions
|
|
624,000
|
|
|
Derivatives, at fair value, net
|
7,892
|
|
|
Derivatives, at fair value, net
|
(2,350
|
)
|
|||
Treasury Futures
|
|
619,700
|
|
|
Derivatives, at fair value, net
|
1,785
|
|
|
Derivatives, at fair value, net
|
—
|
|
|||
Total
|
|
$
|
2,640,600
|
|
|
|
$
|
9,677
|
|
|
|
$
|
(2,350
|
)
|
|
|
|
|
December 31, 2015
|
||||||||||
|
|
|
|
Derivative Assets
|
|
Derivative Liabilities
|
||||||||
Derivative Instruments
|
|
Notional Amount Outstanding
|
|
Location on Consolidated Statements of Financial
Condition
|
Net Estimated Fair Value/Carrying Value
|
|
Location on Consolidated Statements of Financial
Condition
|
Net Estimated Fair Value/Carrying Value
|
||||||
|
|
|
|
(dollars in thousands)
|
|
|
|
|||||||
Interest Rate Swaps
|
|
$
|
4,555,400
|
|
|
Derivatives, at fair value, net
|
$
|
1,232
|
|
|
Derivatives, at fair value, net
|
$
|
(6,369
|
)
|
Swaptions
|
|
779,000
|
|
|
Derivatives, at fair value, net
|
12,821
|
|
|
Derivatives, at fair value, net
|
(3,265
|
)
|
|||
Treasury Futures
|
|
752,200
|
|
|
Derivatives, at fair value, net
|
1,407
|
|
|
Derivatives, at fair value, net
|
—
|
|
|||
Total
|
|
$
|
6,086,600
|
|
|
|
$
|
15,460
|
|
|
|
$
|
(9,634
|
)
|
|
|
Net gains (losses) on derivatives
For the Year Ended |
||||||||
Derivative Instruments
|
Location on Consolidated Statements of
Operations and Comprehensive Income |
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
||||||
|
|
(dollars in thousands)
|
|
|||||||
Interest Rate Swaps
|
Net unrealized gains (losses) on derivatives
|
$
|
47,170
|
|
$
|
64,819
|
|
$
|
(84,913
|
)
|
Interest Rate Swaps
|
Net realized gains (losses) on derivatives
(1)
|
(88,722
|
)
|
(146,173
|
)
|
(52,523
|
)
|
|||
Mortgage Options
|
Net unrealized gains (losses) on derivatives
|
—
|
|
225
|
|
340
|
|
|||
Mortgage Options
|
Net realized gains (losses) on derivatives
|
—
|
|
443
|
|
7,505
|
|
|||
Treasury Futures
|
Net unrealized gains (losses) on derivatives
|
378
|
|
8,634
|
|
(17,856
|
)
|
|||
Treasury Futures
|
Net realized gains (losses) on derivatives
|
(9,170
|
)
|
(35,523
|
)
|
(38,552
|
)
|
|||
Swaptions
|
Net unrealized gains (losses) on derivatives
|
2,545
|
|
(6,294
|
)
|
(1,067
|
)
|
|||
Swaptions
|
Net realized gains (losses) on derivatives
|
(7,044
|
)
|
(353
|
)
|
(24
|
)
|
|||
Other Derivative Assets
|
Net unrealized gains (losses) on derivatives
|
—
|
|
—
|
|
—
|
|
|||
Other Derivative Assets
|
Net realized gains (losses) on derivatives
|
(566
|
)
|
(415
|
)
|
742
|
|
|||
Total
|
|
$
|
(55,409
|
)
|
$
|
(114,637
|
)
|
$
|
(186,348
|
)
|
|
For the Year Ended
|
||||||||
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
||||||
|
(dollars in thousands)
|
||||||||
Numerator:
|
|
|
|
||||||
Net income available to common shareholders
|
$
|
549,494
|
|
$
|
250,349
|
|
$
|
589,205
|
|
Effect of dilutive securities:
|
—
|
|
—
|
|
—
|
|
|||
Dilutive net income available to common shareholders
|
$
|
549,494
|
|
$
|
250,349
|
|
$
|
589,205
|
|
|
|
|
|
||||||
Denominator:
|
|
|
|
|
|
|
|||
Weighted average basic shares
|
187,728,634
|
|
199,563,196
|
|
205,450,095
|
|
|||
Effect of dilutive securities
|
296,204
|
|
86,981
|
|
58,674
|
|
|||
Weighted average dilutive shares
|
188,024,838
|
|
199,650,177
|
|
205,508,769
|
|
|||
|
|
|
|
||||||
Net income per average share attributable to common stockholders - Basic
|
$
|
2.93
|
|
$
|
1.25
|
|
$
|
2.87
|
|
Net income per average share attributable to common stockholders - Diluted
|
$
|
2.92
|
|
$
|
1.25
|
|
$
|
2.87
|
|
|
December 31, 2016
|
|||||
|
(dollars in thousands)
|
|||||
|
Unrealized gains (losses) on available-for-sale securities, net
|
Total Accumulated OCI Balance
|
||||
Balance as of December 31, 2015
|
$
|
773,791
|
|
$
|
773,791
|
|
OCI before reclassifications
|
(88,527
|
)
|
(88,527
|
)
|
||
Amounts reclassified from AOCI
|
32,842
|
|
32,842
|
|
||
Net current period OCI
|
(55,685
|
)
|
(55,685
|
)
|
||
Balance as of December 31, 2016
|
$
|
718,106
|
|
$
|
718,106
|
|
|
December 31, 2015
|
|||||
|
(dollars in thousands)
|
|||||
|
Unrealized gains (losses) on available-for-sale securities, net
|
Total Accumulated OCI Balance
|
||||
Balance as of December 31, 2014
|
$
|
1,046,680
|
|
$
|
1,046,680
|
|
OCI before reclassifications
|
(263,049
|
)
|
(263,049
|
)
|
||
Amounts reclassified from AOCI
|
(9,840
|
)
|
(9,840
|
)
|
||
Net current period OCI
|
(272,889
|
)
|
(272,889
|
)
|
||
Balance as of December 31, 2015
|
$
|
773,791
|
|
$
|
773,791
|
|
|
December 31, 2016
|
December 31, 2015
|
|
||||
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
|
|
|
|
||||
|
$
|
25,145
|
|
$
|
77,284
|
|
Net realized gains (losses) on sales of investments
|
|
(57,987
|
)
|
(67,444
|
)
|
Net other-than-temporary credit impairment losses
|
||
|
$
|
(32,842
|
)
|
$
|
9,840
|
|
Income before income taxes
|
|
—
|
|
—
|
|
Income taxes
|
||
|
$
|
(32,842
|
)
|
$
|
9,840
|
|
Net of tax
|
|
For the Year Ended
|
|||||||
|
December 31, 2016
|
December 31, 2015
|
||||||
|
Number of Shares
|
Weighted Average Grant Date Fair Value
|
Number of Shares
|
Weighted Average Grant Date Fair Value
|
||||
Unvested shares outstanding - beginning of period
|
71,000
|
|
28.39
|
|
39,480
|
|
88.60
|
|
Granted
|
539,847
|
|
13.49
|
|
84,692
|
|
15.35
|
|
Vested
|
(33,300
|
)
|
27.23
|
|
(50,988
|
)
|
88.60
|
|
Forfeited
|
—
|
|
—
|
|
(2,184
|
)
|
88.60
|
|
Unvested shares outstanding - end of period
|
577,547
|
|
14.53
|
|
71,000
|
|
28.39
|
|
|
December 31, 2016
|
|||||||||||||||||
|
(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
|
$
|
(5,600,903
|
)
|
$
|
—
|
|
$
|
(5,600,903
|
)
|
$
|
7,033,866
|
|
$
|
2,545
|
|
$
|
1,435,508
|
|
Interest Rate Swaps - Gross Assets
|
14,435
|
|
(14,435
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Interest Rate Swaps - Gross Liabilities
|
(14,875
|
)
|
14,875
|
|
—
|
|
—
|
|
39,627
|
|
39,627
|
|
||||||
Treasury Futures - Gross Assets
|
1,785
|
|
—
|
|
1,785
|
|
—
|
|
3,320
|
|
5,105
|
|
||||||
Treasury Futures - Gross Liabilities
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Swaptions - Gross Assets
|
7,892
|
|
—
|
|
7,892
|
|
—
|
|
—
|
|
7,892
|
|
||||||
Swaptions - Gross Liabilities
|
(2,350
|
)
|
—
|
|
(2,350
|
)
|
10,341
|
|
—
|
|
7,991
|
|
||||||
Other Derivative Assets
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
Total Liabilities
|
$
|
(5,594,016
|
)
|
$
|
440
|
|
$
|
(5,593,576
|
)
|
$
|
7,044,207
|
|
$
|
45,492
|
|
$
|
1,496,123
|
|
|
December 31, 2015
|
|||||||||||||||||
|
(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
|
$
|
(7,439,339
|
)
|
$
|
—
|
|
$
|
(7,439,339
|
)
|
$
|
8,773,285
|
|
$
|
37,296
|
|
$
|
1,371,242
|
|
Interest Rate Swaps - Gross Assets
|
6,166
|
|
(4,934
|
)
|
1,232
|
|
—
|
|
—
|
|
1,232
|
|
||||||
Interest Rate Swaps - Gross Liabilities
|
(53,777
|
)
|
47,408
|
|
(6,369
|
)
|
8,589
|
|
51,424
|
|
53,644
|
|
||||||
Treasury Futures
|
1,599
|
|
(192
|
)
|
1,407
|
|
—
|
|
6,420
|
|
7,827
|
|
||||||
Swaptions - Gross Assets
|
12,821
|
|
—
|
|
12,821
|
|
—
|
|
—
|
|
12,821
|
|
||||||
Swaptions - Gross Liabilities
|
(3,265
|
)
|
—
|
|
(3,265
|
)
|
—
|
|
—
|
|
(3,265
|
)
|
||||||
Total Liabilities
|
$
|
(7,475,795
|
)
|
$
|
42,282
|
|
$
|
(7,433,513
|
)
|
$
|
8,781,874
|
|
$
|
95,140
|
|
$
|
1,443,501
|
|
|
For the Quarter Ended
|
|||||||||||
|
December 31, 2016
|
September 30, 2016
|
June 30, 2016
|
March 31, 2016
|
||||||||
|
(dollars in thousands, except per share data)
|
|||||||||||
Net Interest Income:
|
|
|
|
|
||||||||
Interest income
|
$
|
260,823
|
|
$
|
250,953
|
|
$
|
221,096
|
|
$
|
201,194
|
|
Interest expense
|
106,737
|
|
94,911
|
|
83,227
|
|
62,981
|
|
||||
Net interest income
|
154,086
|
|
156,042
|
|
137,869
|
|
138,213
|
|
||||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
(1,034
|
)
|
(993
|
)
|
(3,139
|
)
|
(4,423
|
)
|
||||
Portion of loss recognized in other comprehensive income
|
(13,746
|
)
|
(10,581
|
)
|
(17,816
|
)
|
(6,255
|
)
|
||||
Net other-than-temporary credit impairment losses
|
(14,780
|
)
|
(11,574
|
)
|
(20,955
|
)
|
(10,678
|
)
|
||||
Net gains (losses) on derivatives
|
115,523
|
|
13,360
|
|
(47,755
|
)
|
(136,537
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
(20,664
|
)
|
32,999
|
|
30,347
|
|
16,871
|
|
||||
Gain (loss) on deconsolidation
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
Gain (loss) on Extinguishment of Debt
|
1,334
|
|
(45
|
)
|
—
|
|
(1,766
|
)
|
||||
Net realized gains (losses) on sales of investments
|
11,121
|
|
3,079
|
|
6,631
|
|
(2,674
|
)
|
||||
Other Income
|
—
|
|
—
|
|
—
|
|
95,000
|
|
||||
Total other expenses
|
24,698
|
|
21,031
|
|
31,987
|
|
15,302
|
|
||||
Net income
|
$
|
221,903
|
|
$
|
172,817
|
|
$
|
74,127
|
|
$
|
83,098
|
|
Dividend on preferred stock
|
$
|
2,449
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
Net income (loss) available to common shareholders
|
$
|
219,454
|
|
$
|
172,817
|
|
$
|
74,127
|
|
$
|
83,098
|
|
Net income per common share-basic
|
$
|
1.17
|
|
$
|
0.92
|
|
$
|
0.39
|
|
$
|
0.44
|
|
|
For the Quarter Ended
|
|||||||||||
|
December 31, 2015
|
September 30, 2015
|
June 30, 2015
|
March 31, 2015
|
||||||||
|
(dollars in thousands, except per share data)
|
|||||||||||
Net Interest Income:
|
|
|
|
|
||||||||
Interest income
|
$
|
201,912
|
|
$
|
211,876
|
|
$
|
215,804
|
|
$
|
243,145
|
|
Interest expense
|
64,955
|
|
67,910
|
|
66,044
|
|
60,456
|
|
||||
Net interest income
|
136,957
|
|
143,966
|
|
149,760
|
|
182,689
|
|
||||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
(2,311
|
)
|
(3,129
|
)
|
(2,208
|
)
|
(1,052
|
)
|
||||
Portion of loss recognized in other comprehensive income
|
(12,385
|
)
|
(14,703
|
)
|
(24,893
|
)
|
(6,763
|
)
|
||||
Net other-than-temporary credit impairment losses
|
(14,696
|
)
|
(17,832
|
)
|
(27,101
|
)
|
(7,815
|
)
|
||||
Net gains (losses) on derivatives
|
44,546
|
|
(92,700
|
)
|
40,127
|
|
(106,610
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
(69,793
|
)
|
(40,955
|
)
|
(37,260
|
)
|
(10,425
|
)
|
||||
Gain (loss) on deconsolidation
|
(256
|
)
|
—
|
|
—
|
|
—
|
|
||||
Gain (loss) on Extinguishment of Debt
|
8,906
|
|
(19,915
|
)
|
5,079
|
|
—
|
|
||||
Net realized gains (losses) on sales of investments
|
34,285
|
|
3,539
|
|
9,685
|
|
29,565
|
|
||||
Total other expenses
|
24,569
|
|
24,362
|
|
24,103
|
|
20,362
|
|
||||
Net income
|
$
|
115,380
|
|
$
|
(48,259
|
)
|
$
|
116,187
|
|
$
|
67,042
|
|
Net income per share-basic
|
$
|
0.61
|
|
$
|
(0.24
|
)
|
$
|
0.57
|
|
$
|
0.33
|
|
|
CHIMERA INVESTMENT CORPORATION
|
|
|
|
|
|
|
Date: February 21, 2017
|
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, 2017
|
Matthew Lambiase
|
|
|
|
|
|
|
|
/s/ Rob Colligan
|
|
Chief Financial Officer (Principal Financial
and Accounting Officer)
|
February 21, 2017
|
Rob Colligan
|
|
|
|
|
|
|
|
/s/ Mark Abrams
|
|
Director
|
February 21, 2017
|
Mark Abrams
|
|
|
|
|
|
|
|
/s/ Paul A. Keenan
|
|
Director
|
February 21, 2017
|
Paul A. Keenan
|
|
|
|
|
|
|
|
/s/ Paul Donlin
|
|
Director
|
February 21, 2017
|
Paul Donlin
|
|
|
|
|
|
|
|
/s/ Gerard Creagh
|
|
Director
|
February 21, 2017
|
Gerard Creagh
|
|
|
|
/s/ Dennis Mahoney
|
|
Director
|
February 21, 2017
|
Dennis Mahoney
|
|
|
|
/s/ John P. Reilly
|
|
Director
|
February 21, 2017
|
John P. Reilly
|
|
|
|
|
For the Year Ended
|
||||||||||||||
(In Thousands, Except Ratios)
|
December 31, 2016
|
December 31, 2015
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||
Net income before taxes
|
$
|
552,026
|
|
$
|
250,350
|
|
$
|
589,207
|
|
$
|
362,688
|
|
$
|
327,768
|
|
Add: Fixed charges (interest expense)
(1)
|
375,963
|
|
306,590
|
|
200,430
|
|
123,856
|
|
146,781
|
|
|||||
Preferred stock dividend
|
2,449
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
Income as adjusted
|
$
|
930,438
|
|
$
|
556,940
|
|
$
|
789,637
|
|
$
|
486,544
|
|
$
|
474,549
|
|
Fixed charges (interest expense) + preferred stock dividend
|
$
|
378,412
|
|
$
|
306,590
|
|
$
|
200,430
|
|
$
|
123,856
|
|
$
|
146,781
|
|
Ratio of income (losses) to combined fixed charges and preferred stock dividends
|
2.46
|
x
|
1.82x
|
|
3.94x
|
|
3.93x
|
|
3.23x
|
|
|||||
Deficiency
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
(1) Includes effect of realized losses on interest rate swaps.
|
|
|
|
|
|
1.
|
Registration Statement (Form S-3 No. 333-209249) of Chimera Investment Corporation,
|
2.
|
Registration Statement (Form S-3 No. 333-209250) 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- 14774) pertaining to the Amended and Restated 2007 Equity Incentive Plan of Chimera Investment Corporation;
|
|
Date: February 21, 2017
|
|
/s/ Matthew Lambiase
|
|
Matthew Lambiase
|
|
Chief Executive Officer and President (Principal Executive Officer)
|
|
Date: February 21, 2017
|
|
/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
|
|
February 21, 2017
|
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
|
|
February 21, 2017
|