MARYLAND
|
|
26-0630461
|
(State or other jurisdiction of incorporation or organization)
|
|
(IRS Employer Identification No.)
|
|
Class
|
|
Outstanding at April 29, 2016
|
|
|
Common Stock, $.01 par value
|
|
187,729,765
|
|
|
|
|
|
|
|
(dollars in thousands, except share and per share data)
|
||||||||
(Unaudited)
|
||||||||
March 31, 2016
|
December 31, 2015
|
|||||||
Assets:
|
||||||||
Cash and cash equivalents
|
$
|
190,453
|
$
|
114,062
|
||||
Non-Agency RMBS, at fair value
|
3,580,250
|
3,675,841
|
||||||
Agency MBS, at fair value
|
6,661,289
|
6,514,824
|
||||||
Securitized loans held for investment, at fair value
|
4,613,492
|
4,768,416
|
||||||
Accrued interest receivable
|
65,053
|
66,247
|
||||||
Other assets
|
190,855
|
189,796
|
||||||
Derivatives, at fair value, net
|
5,565
|
15,460
|
||||||
Total assets
(1)
|
$
|
15,306,957
|
$
|
15,344,646
|
||||
Liabilities:
|
||||||||
Repurchase agreements, MBS ($8.9 billion and $8.8 billion pledged as collateral, respectively)
|
$
|
7,545,631
|
$
|
7,439,339
|
||||
Securitized debt, collateralized by Non-Agency RMBS ($2.0 billion and $2.1 billion pledged as collateral, respectively)
|
492,107
|
529,415
|
||||||
Securitized debt at fair value, collateralized by loans held for investment ($4.6 billion and $4.8 billion pledged as collateral, respectively)
|
3,617,294
|
3,720,496
|
||||||
Payable for investments purchased
|
582,875
|
560,641
|
||||||
Accrued interest payable
|
45,873
|
37,432
|
||||||
Dividends payable
|
90,367
|
90,097
|
||||||
Accounts payable and other liabilities
|
5,594
|
11,404
|
||||||
Derivatives, at fair value
|
13,581
|
9,634
|
||||||
Total liabilities
(1)
|
12,393,322
|
12,398,458
|
||||||
Commitments and Contingencies (See Note 15)
|
||||||||
Stockholders' Equity:
|
||||||||
Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively
|
$
|
-
|
$
|
-
|
||||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,729,765 and 187,711,868 shares issued and outstanding, respectively
|
1,877
|
1,877
|
||||||
Additional paid-in-capital
|
3,366,670
|
3,366,568
|
||||||
Accumulated other comprehensive income
|
842,265
|
773,791
|
||||||
Accumulated deficit
|
(1,297,177
|
)
|
(1,196,048
|
)
|
||||
Total stockholders' equity
|
$
|
2,913,635
|
$
|
2,946,188
|
||||
Total liabilities and stockholders' equity
|
$
|
15,306,957
|
$
|
15,344,646
|
||||
(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities ("VIEs") that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corp.). As of March 31, 2016 and December 31, 2015, total assets of consolidated VIEs were $6,795,923 and $7,031,278, respectively, and total liabilities of consolidated VIEs were $4,121,346 and $4,262,017, respectively. See Note 8 for further discussion.
|
||||||||
See accompanying notes to consolidated financial statements.
|
●
|
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.
|
Rated AA or higher by a nationally recognized credit rating agency using the lowest rating available.
|
2.
|
The Company expects to collect all of the security’s contractual cash flows.
|
3.
|
The security cannot be contractually prepaid such that the Company would not recover substantially all of its recorded investment.
|
1.
|
There is evidence of deterioration in credit quality of the security from its inception.
|
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.
|
For the Quarter Ended
|
||||||||
March 31, 2016
|
March 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Balance at beginning of period
|
$
|
1,742,744
|
$
|
1,534,497
|
||||
Purchases
|
20,183
|
84,753
|
||||||
Accretion
|
(36,353
|
)
|
(69,705
|
)
|
||||
Reclassification (to) from non-accretable difference
|
(33
|
)
|
7,182
|
|||||
Sales and deconsolidation
|
-
|
(19,865
|
)
|
|||||
Balance at end of period
|
$
|
1,726,541
|
$
|
1,536,862
|
For the Quarter Ended
|
For the Year Ended
|
|||||||
March 31, 2016
|
December 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Outstanding principal balance:
|
||||||||
Beginning of period
|
$
|
3,550,698
|
$
|
3,325,335
|
||||
End of period
|
$
|
3,490,858
|
$
|
3,550,698
|
||||
Amortized cost:
|
||||||||
Beginning of period
|
$
|
1,958,726
|
$
|
1,741,780
|
||||
End of period
|
$
|
1,937,419
|
$
|
1,958,726
|
|
March 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
|
$
|
222,228
|
$
|
(6,911
|
)
|
17
|
$
|
-
|
$
|
-
|
-
|
$
|
222,228
|
$
|
(6,911
|
)
|
17
|
|||||||||||||||||||
Senior, interest-only
|
37,913
|
(6,974
|
)
|
51
|
81,263
|
(41,837
|
)
|
67
|
119,176
|
(48,811
|
)
|
118
|
||||||||||||||||||||||||
Subordinated
|
102,464
|
(8,616
|
)
|
18
|
378
|
(1,060
|
)
|
2
|
102,842
|
(9,676
|
)
|
20
|
||||||||||||||||||||||||
Subordinated, interest-only
|
6,415
|
(1,337
|
)
|
2
|
2,835
|
(3,757
|
)
|
2
|
9,250
|
(5,094
|
)
|
4
|
||||||||||||||||||||||||
Agency MBS
|
||||||||||||||||||||||||||||||||||||
Residential
|
426,817
|
(484
|
)
|
12
|
369,783
|
(1,401
|
)
|
3
|
796,600
|
(1,885
|
)
|
15
|
||||||||||||||||||||||||
Commercial
|
151,973
|
(1,122
|
)
|
114
|
35,598
|
(903
|
)
|
9
|
187,571
|
(2,025
|
)
|
123
|
||||||||||||||||||||||||
Interest-only
|
67,394
|
(3,681
|
)
|
27
|
37,431
|
(5,540
|
)
|
8
|
104,825
|
(9,221
|
)
|
35
|
||||||||||||||||||||||||
Total
|
$
|
1,015,204
|
$
|
(29,125
|
)
|
241
|
$
|
527,288
|
$
|
(54,498
|
)
|
91
|
$
|
1,542,492
|
$
|
(83,623
|
)
|
332
|
|
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 Quarter Ended
|
||||||||
March 31, 2016
|
March 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Total other-than-temporary impairment losses
|
$
|
(4,423
|
)
|
$
|
(1,052
|
)
|
||
Portion of loss recognized in other comprehensive income (loss)
|
(6,255
|
)
|
(6,763
|
)
|
||||
Net other-than-temporary credit impairment losses
|
$
|
(10,678
|
)
|
$
|
(7,815
|
)
|
For the Quarter Ended
|
||||||||
March 31, 2016
|
March 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Cumulative credit loss beginning balance
|
$
|
529,112
|
$
|
507,548
|
||||
Additions:
|
||||||||
Other-than-temporary impairments not previously recognized
|
10,326
|
7,815
|
||||||
Reductions for securities sold or deconsolidated during the period
|
(242
|
)
|
(1,319
|
)
|
||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
352
|
-
|
||||||
Reductions for increases in cash flows expected to be collected over the remaining life of the securities
|
(172
|
)
|
(158
|
)
|
||||
Cumulative credit impairment loss ending balance
|
$
|
539,376
|
$
|
513,886
|
|
March 31, 2016 | |||||||||||||||||||||||
|
(dollars in thousands) | |||||||||||||||||||||||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Gain Included in Accumulated
Deficit
|
Total Gross Unrealized Gain
|
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Loss Included in Accumulated Deficit
|
Total Gross Unrealized Loss
|
|||||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||||||||||
Senior
|
$
|
696,460
|
$
|
-
|
$
|
696,460
|
$
|
(6,911
|
)
|
$
|
-
|
$
|
(6,911
|
)
|
||||||||||
Senior, interest-only
|
-
|
20,674
|
20,674
|
-
|
(48,811
|
)
|
(48,811
|
)
|
||||||||||||||||
Subordinated
|
81,343
|
2,327
|
83,670
|
(1,262
|
)
|
(8,414
|
)
|
(9,676
|
)
|
|||||||||||||||
Subordinated, interest-only
|
-
|
11
|
11
|
-
|
(5,094
|
)
|
(5,094
|
)
|
||||||||||||||||
Agency MBS
|
||||||||||||||||||||||||
Residential
|
46,678
|
-
|
46,678
|
(1,885
|
)
|
-
|
(1,885
|
)
|
||||||||||||||||
Commercial
|
29,868
|
-
|
29,868
|
(2,025
|
)
|
-
|
(2,025
|
)
|
||||||||||||||||
Interest-only
|
-
|
2,391
|
2,391
|
-
|
(9,221
|
)
|
(9,221
|
)
|
||||||||||||||||
Total
|
$
|
854,349
|
$
|
25,403
|
$
|
879,752
|
$
|
(12,083
|
)
|
$
|
(71,540
|
)
|
$
|
(83,623
|
)
|
|
December 31, 2015 | |||||||||||||||||||||||
|
(dollars in thousands) | |||||||||||||||||||||||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Gain Included in Accumulated Deficit
|
Total Gross Unrealized Gain
|
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Loss Included in Accumulated Deficit
|
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
|
)
|
March 31, 2016
|
December 31, 2015
|
|||||||
AAA
|
0.5
|
%
|
0.5
|
%
|
||||
AA
|
0.4
|
%
|
0.4
|
%
|
||||
A
|
0.8
|
%
|
0.8
|
%
|
||||
BBB
|
0.3
|
%
|
0.4
|
%
|
||||
BB
|
5.5
|
%
|
5.2
|
%
|
||||
B
|
3.1
|
%
|
3.0
|
%
|
||||
Below B or not rated
|
89.4
|
%
|
89.7
|
%
|
||||
Total
|
100.0
|
%
|
100.0
|
%
|
|
March 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
|
$
|
12,108
|
$
|
448,650
|
$
|
1,522,570
|
$
|
763,010
|
$
|
2,746,338
|
||||||||||
Senior interest-only
|
960
|
42,993
|
125,670
|
71,479
|
241,102
|
|||||||||||||||
Subordinated
|
2,283
|
131,400
|
252,935
|
196,357
|
582,975
|
|||||||||||||||
Subordinated interest-only
|
-
|
-
|
9,835
|
-
|
9,835
|
|||||||||||||||
Agency MBS
|
||||||||||||||||||||
Residential
|
-
|
4,472,082
|
884,690
|
-
|
5,356,772
|
|||||||||||||||
Commercial
|
-
|
-
|
30,001
|
1,095,516
|
1,125,517
|
|||||||||||||||
Interest-only
|
-
|
95,504
|
77,750
|
5,746
|
179,000
|
|||||||||||||||
Total fair value
|
$
|
15,351
|
$
|
5,190,629
|
$
|
2,903,451
|
$
|
2,132,108
|
$
|
10,241,539
|
||||||||||
Amortized cost
|
||||||||||||||||||||
Non-Agency RMBS
|
|
|||||||||||||||||||
Senior
|
$
|
9,885
|
$
|
346,715
|
$
|
1,149,119
|
$
|
551,070
|
$
|
2,056,789
|
||||||||||
Senior interest-only
|
1,489
|
57,358
|
138,972
|
71,420
|
269,239
|
|||||||||||||||
Subordinated
|
2,267
|
103,856
|
208,015
|
194,843
|
508,981
|
|||||||||||||||
Subordinated interest-only
|
-
|
-
|
14,918
|
-
|
14,918
|
|||||||||||||||
Agency MBS
|
||||||||||||||||||||
Residential
|
-
|
4,449,059
|
862,920
|
-
|
5,311,979
|
|||||||||||||||
Commercial
|
-
|
-
|
28,858
|
1,068,816
|
1,097,674
|
|||||||||||||||
Interest-only
|
-
|
96,642
|
83,568
|
5,620
|
185,830
|
|||||||||||||||
Total amortized cost
|
$
|
13,641
|
$
|
5,053,630
|
$
|
2,486,370
|
$
|
1,891,769
|
$
|
9,445,410
|
|
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
|
$
|
2,121,060
|
$
|
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
|
Origination Year
|
March 31, 2016
|
December 31, 2015
|
||||||
1998
|
0.0
|
%
|
0.0
|
%
|
||||
1999
|
0.1
|
%
|
0.1
|
%
|
||||
2000
|
0.5
|
%
|
0.6
|
%
|
||||
2001
|
1.6
|
%
|
1.6
|
%
|
||||
2002
|
0.5
|
%
|
0.5
|
%
|
||||
2003
|
2.0
|
%
|
2.2
|
%
|
||||
2004
|
4.6
|
%
|
3.7
|
%
|
||||
2005
|
21.6
|
%
|
21.7
|
%
|
||||
2006
|
32.9
|
%
|
32.9
|
%
|
||||
2007
|
33.6
|
%
|
34.2
|
%
|
||||
2008
|
2.0
|
%
|
1.9
|
%
|
||||
2013
|
0.5
|
%
|
0.5
|
%
|
||||
2014
|
0.1
|
%
|
0.1
|
%
|
||||
2015
|
0.0
|
%
|
0.0
|
%
|
||||
Total
|
100.0
|
%
|
100.0
|
%
|
For the Quarter Ended
|
||||||||
March 31, 2016
|
March 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Proceeds from sales
|
$
|
270,479
|
$
|
2,241,617
|
||||
Gross realized gains
|
1,695
|
30,296
|
||||||
Gross realized losses
|
(4,369
|
)
|
(731
|
)
|
||||
Net realized gain (loss)
|
$
|
(2,674
|
)
|
$
|
29,565
|
Origination Year
|
March 31, 2016
|
December 31, 2015
|
||||||
2004
|
0.1
|
%
|
0.1
|
%
|
||||
2007
|
7.8
|
%
|
8.5
|
%
|
||||
2008
|
7.7
|
%
|
7.4
|
%
|
||||
2009
|
0.3
|
%
|
0.3
|
%
|
||||
2010
|
5.1
|
%
|
5.1
|
%
|
||||
2011
|
32.4
|
%
|
33.1
|
%
|
||||
2012
|
46.6
|
%
|
45.5
|
%
|
||||
Total
|
100.0
|
%
|
100.0
|
%
|
30 Days Delinquent
|
60 Days Delinquent
|
90+ Days Delinquent
|
Bankruptcy
|
Foreclosure
|
REO
|
Total
|
||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||
March 31, 2016
|
$
|
791
|
$
|
-
|
$
|
2,377
|
$
|
-
|
$
|
2,323
|
$
|
549
|
$
|
6,040
|
||||||||||||||
December 31, 2015
|
$
|
3,079
|
$
|
-
|
$
|
2,915
|
$
|
-
|
$
|
2,875
|
$
|
2,312
|
$
|
11,181
|
Origination Year
|
March 31, 2016
|
December 31, 2015
|
||||||
2002 and prior
|
11.1
|
%
|
11.2
|
%
|
||||
2003
|
4.0
|
%
|
4.0
|
%
|
||||
2004
|
11.1
|
%
|
11.1
|
%
|
||||
2005
|
19.3
|
%
|
19.3
|
%
|
||||
2006
|
17.4
|
%
|
17.4
|
%
|
||||
2007
|
25.5
|
%
|
25.4
|
%
|
||||
2008
|
9.5
|
%
|
9.5
|
%
|
||||
2009
|
1.1
|
%
|
1.1
|
%
|
||||
2010 and later
|
1.0
|
%
|
1.0
|
%
|
||||
Total
|
100.0
|
%
|
100.0
|
%
|
30 Days Delinquent
|
60 Days Delinquent
|
90+ Days Delinquent
|
Bankruptcy
|
Foreclosure
|
REO
|
Total
|
||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||
March 31, 2016
|
$
|
167,399
|
$
|
58,276
|
$
|
141,146
|
$
|
108,996
|
$
|
199,712
|
$
|
46,023
|
$
|
721,552
|
||||||||||||||
December 31, 2015
|
$
|
189,816
|
$
|
66,429
|
$
|
125,897
|
$
|
117,308
|
$
|
218,493
|
$
|
36,124
|
$
|
754,067
|
|
March 31, 2016 | |||||||||||||||||||
|
(dollars in thousands) | |||||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Counterparty and Cash Collateral, netting
|
Total
|
||||||||||||||||
Assets:
|
||||||||||||||||||||
Non-Agency RMBS, at fair value
|
$
|
-
|
$
|
-
|
3,580,250
|
$
|
-
|
$
|
3,580,250
|
|||||||||||
Agency RMBS, at fair value
|
-
|
6,661,289
|
-
|
-
|
6,661,289
|
|||||||||||||||
Securitized loans held for investment, at fair value
|
-
|
-
|
4,613,492
|
-
|
4,613,492
|
|||||||||||||||
Derivatives
|
115
|
5,715
|
-
|
(265
|
)
|
5,565
|
||||||||||||||
Liabilities:
|
||||||||||||||||||||
Securitized debt at fair value, collateralized by loans held for investment
|
-
|
-
|
(3,617,294
|
)
|
-
|
(3,617,294
|
)
|
|||||||||||||
Derivatives
|
(2,122
|
)
|
(143,122
|
)
|
-
|
131,663
|
(13,581
|
)
|
||||||||||||
Total
|
$
|
(2,007
|
)
|
$
|
6,523,882
|
$
|
4,576,448
|
$
|
131,398
|
$
|
11,229,721
|
|
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 Quarter Ended | |||||||||||||||||||
|
March 31, 2016 | |||||||||||||||||||
|
(dollars in thousands) | |||||||||||||||||||
Non-Agency RMBS
|
Derivatives
|
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
|
-
|
-
|
-
|
-
|
-
|
|||||||||||||||
Transfer due to consolidation/deconsolidation
|
-
|
-
|
-
|
-
|
-
|
|||||||||||||||
Purchases
|
41,947
|
-
|
-
|
(98,263
|
)
|
(56,316
|
)
|
|||||||||||||
Principal payments
|
(124,015
|
)
|
-
|
(145,871
|
)
|
151,666
|
(118,220
|
)
|
||||||||||||
Sales and Settlements
|
(283
|
)
|
-
|
(892
|
)
|
45,929
|
44,754
|
|||||||||||||
Accretion (amortization) of purchase discounts
|
33,125
|
-
|
(12,456
|
)
|
(4,582
|
)
|
16,087
|
|||||||||||||
Gains (losses) included in net income
|
||||||||||||||||||||
Other than temporary credit impairment losses
|
(10,678
|
)
|
-
|
-
|
-
|
(10,678
|
)
|
|||||||||||||
Realized gains (losses) on sales and settlements
|
(744
|
)
|
-
|
-
|
(1,766
|
)
|
(2,510
|
)
|
||||||||||||
Net unrealized gains (losses) included in income
|
2,305
|
-
|
4,295
|
10,218
|
16,818
|
|||||||||||||||
Gains (losses) included in other comprehensive income
|
||||||||||||||||||||
Total unrealized gains (losses) for the period
|
(37,248
|
)
|
-
|
-
|
-
|
(37,248
|
)
|
|||||||||||||
Ending balance Level 3 assets
|
$
|
3,580,250
|
$
|
-
|
$
|
4,613,492
|
$
|
(3,617,294
|
)
|
$
|
4,576,448
|
|
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
|
(105,870
|
)
|
||||||||||||
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
|
)
|
94,542
|
|||||||||||||
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
|
|||||||||
(1) includes securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015.
|
March 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
|
5.5
|
%
|
1% -25
|
%
|
0% -22
|
%
|
35% -95
|
%
|
5.5
|
%
|
1% -17
|
%
|
0% -22
|
%
|
35% -95
|
%
|
||||||||||||||||
Senior interest-only
|
14.0
|
%
|
2% -26
|
%
|
0% -23
|
%
|
35% -95
|
%
|
13.1
|
%
|
3% -25
|
%
|
0% -23
|
%
|
1% -95
|
%
|
||||||||||||||||
Subordinated
|
6.5
|
%
|
1% -20
|
%
|
0% -20
|
%
|
0% -83
|
%
|
6.6
|
%
|
1% -22
|
%
|
0% -20
|
%
|
5% -91
|
%
|
||||||||||||||||
Subordinated interest-only
|
20.8
|
%
|
6% -12
|
%
|
0% -11
|
%
|
35% -67
|
%
|
17.4
|
%
|
6% -13
|
%
|
0% -10
|
%
|
1% -64
|
%
|
March 31, 2016
|
||||||||||||
Significant Inputs
|
||||||||||||
CPR
|
CDR
|
Loss Severity
|
||||||||||
Range
|
Range
|
Range
|
||||||||||
Securitized debt at fair value, collateralized by loans held for investment
|
4% - 28
|
%
|
0% - 3
|
%
|
35% - 65
|
%
|
December 31, 2015
|
||||||||||||
Significant Inputs
|
||||||||||||
CPR
|
CDR
|
Loss Severity
|
||||||||||
Range
|
Range
|
Range
|
||||||||||
Securitized debt at fair value, collateralized by loans held for investment
|
4% - 32
|
%
|
0% - 6
|
%
|
35% - 65
|
%
|
March 31, 2016
|
December 31, 2015
|
|||||||||||||||
Significant Inputs
|
Significant Inputs
|
|||||||||||||||
Base Rate
|
Weighted Average/Percent of loan pool
|
Base Rate
|
Weighted Average/Percent of loan pool
|
|||||||||||||
Factor:
|
||||||||||||||||
Coupon
|
||||||||||||||||
Clean
|
4.4
|
%
|
6.9
|
%
|
4.4
|
%
|
6.9
|
%
|
||||||||
Reperforming
|
5.3
|
%
|
6.6
|
%
|
5.3
|
%
|
6.7
|
%
|
||||||||
FICO
|
620
|
624
|
620
|
625
|
||||||||||||
Loan-to-value (LTV)
|
90
|
%
|
81
|
%
|
90
|
%
|
81
|
%
|
||||||||
Occupancy
|
||||||||||||||||
Owner Occupied
|
N/
|
A
|
96
|
%
|
N/
|
A
|
96
|
%
|
||||||||
Investor
|
N/
|
A
|
4
|
%
|
N/
|
A
|
4
|
%
|
||||||||
Secondary
|
N/
|
A
|
0
|
%
|
N/
|
A
|
0
|
%
|
||||||||
Property Type
|
||||||||||||||||
Single family
|
N/
|
A
|
77
|
%
|
N/
|
A
|
77
|
%
|
||||||||
Manufactured housing
|
N/
|
A
|
11
|
%
|
N/
|
A
|
11
|
%
|
||||||||
Multi-family/mixed use/other
|
N/
|
A
|
12
|
%
|
N/
|
A
|
12
|
%
|
||||||||
March 31, 2016
|
||||||||||||
(dollars in thousands)
|
||||||||||||
Level in Fair Value Hierarchy
|
Carrying Amount
|
Fair Value
|
||||||||||
Repurchase agreements
|
2
|
(7,545,631
|
)
|
(7,561,573
|
)
|
|||||||
Securitized debt, collateralized by Non-Agency RMBS
|
3
|
(492,107
|
)
|
(483,706
|
)
|
|||||||
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
|
)
|
March 31, 2016
|
December 31, 2015
|
|||||||
Repurchase agreements outstanding secured by:
|
||||||||
Agency MBS (in thousands)
|
$
|
5,470,703
|
$
|
5,324,729
|
||||
Non-agency MBS (in thousands)
|
2,074,928
|
2,114,610
|
||||||
Total:
|
$
|
7,545,631
|
$
|
7,439,339
|
||||
Average daily balance of Repurchase agreements secured by:
|
||||||||
Agency MBS (in thousands)
|
$
|
5,419,402
|
$
|
5,776,980
|
||||
Non-agency MBS (in thousands)
|
2,077,523
|
1,627,909
|
||||||
Total:
|
$
|
7,496,925
|
$
|
7,404,889
|
||||
Weighted average borrowing rate of Repurchase agreements secured by:
|
||||||||
Agency MBS
|
0.76
|
%
|
0.64
|
%
|
||||
Non-agency MBS
|
2.69
|
%
|
2.44
|
%
|
||||
Weighted average maturity of Repurchase agreements secured by:
|
||||||||
Agency MBS
|
52 Days
|
53 Days
|
||||||
Non-agency MBS
|
131 Days
|
137 Days
|
||||||
MBS pledged as collateral at fair value on Repurchase agreements:
|
||||||||
Agency MBS (in thousands)
|
$
|
5,810,037
|
$
|
5,655,410
|
||||
Non-agency MBS (in thousands)
|
3,111,388
|
3,117,875
|
||||||
Total:
|
$
|
8,921,425
|
$
|
8,773,285
|
March 31, 2016
|
December 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Overnight
|
$
|
-
|
$
|
-
|
||||
1 to 29 days
|
2,984,870
|
3,312,902
|
||||||
30 to 59 days
|
2,411,954
|
2,501,513
|
||||||
60 to 89 days
|
277,324
|
246,970
|
||||||
90 to 119 days
|
777,051
|
430,026
|
||||||
Greater than or equal to 120 days
|
1,094,432
|
947,928
|
||||||
Total
|
$
|
7,545,631
|
$
|
7,439,339
|
March 31, 2016
|
December 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Within One Year
|
$
|
125,681
|
$
|
137,642
|
||||
One to Three Years
|
165,921
|
178,191
|
||||||
Three to Five Years
|
53,984
|
60,872
|
||||||
Greater Than Five Years
|
46,984
|
52,280
|
||||||
Total
|
$
|
392,570
|
$
|
428,985
|
March 31, 2016
|
December 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Within One Year
|
$
|
576,139
|
$
|
591,171
|
||||
One to Three Years
|
930,668
|
941,704
|
||||||
Three to Five Years
|
729,319
|
734,291
|
||||||
Greater Than Five Years
|
1,436,174
|
1,502,663
|
||||||
Total
|
$
|
3,672,300
|
$
|
3,769,829
|
March 31, 2016
|
||||
(dollars in thousands)
|
||||
Year
|
Principal
|
|||
2016
|
$
|
1,758,206
|
||
2017
|
206,155
|
|||
2018
|
1,379,176
|
|||
Total
|
$
|
3,343,537
|
March 31, 2016
|
December 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Assets
|
||||||||
Non-Agency RMBS, at fair value
|
$
|
2,056,569
|
$
|
2,140,494
|
||||
Securitized loans held for investment, at fair value
|
4,613,492
|
4,768,416
|
||||||
Accrued interest receivable
|
35,605
|
35,916
|
||||||
Other Assets
|
90,257
|
86,452
|
||||||
Liabilities
|
||||||||
Securitized debt, collateralized by Non-Agency RMBS
|
$
|
492,107
|
$
|
529,415
|
||||
Securitized debt at fair value, collateralized by loans held for investment
|
3,617,294
|
3,720,496
|
||||||
Accrued interest payable
|
11,945
|
12,106
|
For the Quarter Ended
|
||||||||
March 31, 2016
|
March 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Interest income, Assets of consolidated VIEs
|
$
|
131,980
|
$
|
150,618
|
||||
Interest expense, Non-recourse liabilities of VIEs
|
39,250
|
46,753
|
||||||
Net interest income
|
$
|
92,730
|
$
|
103,865
|
||||
Total other-than-temporary impairment losses
|
$
|
(233
|
)
|
$
|
(397
|
)
|
||
Portion of loss recognized in other comprehensive income (loss)
|
(7,864
|
)
|
(6,888
|
)
|
||||
Net other-than-temporary credit impairment losses
|
$
|
(8,097
|
)
|
$
|
(7,285
|
)
|
|
March 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
|
$
|
3,583,900
|
Derivatives, at fair value, net
|
$
|
-
|
Derivatives, at fair value, net
|
$
|
(6,499
|
)
|
||||||
Swaptions
|
749,000
|
Derivatives, at fair value, net
|
5,565
|
Derivatives, at fair value, net
|
(6,652
|
)
|
|||||||||
Treasury Futures
|
814,700
|
Derivatives, at fair value, net
|
-
|
Derivatives, at fair value, net
|
-
|
||||||||||
Other Derivatives
|
125,000
|
Derivatives, at fair value, net
|
-
|
Derivatives, at fair value, net
|
(430
|
)
|
|||||||||
Total
|
$
|
5,272,600
|
$
|
5,565
|
$
|
(13,581
|
)
|
|
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
|
)
|
For the Quarter Ended
|
||||||||
March 31, 2016
|
March 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Numerator:
|
||||||||
Net income
|
$
|
83,098
|
$
|
67,041
|
||||
Effect of dilutive securities:
|
-
|
-
|
||||||
Dilutive net income available to stockholders
|
$
|
83,098
|
$
|
67,041
|
||||
Denominator:
|
||||||||
Weighted average basic shares
|
187,723,472
|
205,527,476
|
||||||
Effect of dilutive securities
|
116,710
|
39,480
|
||||||
Weighted average dilutive shares
|
187,840,182
|
205,566,956
|
||||||
Net income per average share attributable to common stockholders - Basic
|
$
|
0.44
|
$
|
0.33
|
||||
Net income per average share attributable to common stockholders - Diluted
|
$
|
0.44
|
$
|
0.33
|
March 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
|
59,408
|
59,408
|
||||||
Amounts reclassified from AOCI
|
9,066
|
9,066
|
||||||
Net current period OCI
|
68,474
|
68,474
|
||||||
Balance as of March 31, 2016
|
$
|
842,265
|
$
|
842,265
|
March 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
|
(19,912
|
)
|
(19,912
|
)
|
||||
Amounts reclassified from AOCI
|
(21,261
|
)
|
(21,261
|
)
|
||||
Net current period OCI
|
(41,173
|
)
|
(41,173
|
)
|
||||
Balance as of March 31, 2015
|
$
|
1,005,507
|
$
|
1,005,507
|
March 31, 2016
|
March 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 And Comprehensive Income
|
||||||
Unrealized gains and losses on available-for-sale securities
|
|||||||||
$
|
1,612
|
$
|
29,076
|
Net realized gains (losses) on sales of investments
|
|||||
(10,678
|
)
|
(7,815
|
)
|
Net other-than-temporary credit impairment losses
|
|||||
$
|
(9,066
|
)
|
$
|
21,261
|
Income before income taxes
|
||||
-
|
-
|
Income taxes
|
|||||||
$
|
(9,066
|
)
|
$
|
21,261
|
Net of tax
|
●
|
our business and investment strategy;
|
●
|
our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements;
|
●
|
general volatility of the securities markets in which we invest;
|
●
|
the impact of and changes to various government programs;
|
●
|
our expected investments;
|
●
|
changes in the value of our investments;
|
●
|
interest rate mismatches between our investments and our borrowings used to finance such purchases;
|
●
|
changes in interest rates and mortgage prepayment rates;
|
●
|
effects of interest rate caps on our adjustable-rate investments;
|
●
|
rates of default, delinquencies or decreased recovery rates on our investments;
|
●
|
prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS;
|
●
|
the degree to which our hedging strategies may or may not protect us from interest rate volatility;
|
●
|
impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters;
|
●
|
availability of investment opportunities in real estate-related and other securities;
|
●
|
availability of qualified personnel;
|
●
|
estimates relating to our ability to make distributions to our stockholders in the future;
|
●
|
our understanding of our competition;
|
●
|
market trends in our industry, interest rates, the debt securities markets or the general economy;
|
●
|
our transition from an externally-managed real estate investment trust, or REIT, to an internally-managed REIT (see below under “The Internalization”);
|
●
|
our ability to maintain our classification as a real estate investment trust, or REIT, for federal income tax purposes,
|
●
|
our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act,
|
●
|
our expectations regarding materiality or significance; and
|
●
|
the effectiveness of our disclosure controls and procedures.
|
Net Income
|
||||||||
(dollars in thousands)
|
||||||||
(unaudited)
|
||||||||
For the Quarter Ended
|
||||||||
March 31, 2016
|
March 31, 2015
|
|||||||
Net Interest Income:
|
||||||||
Interest income (1)
|
$
|
201,194
|
$
|
243,145
|
||||
Interest expense (2)
|
62,981
|
60,456
|
||||||
Net interest income (expense)
|
138,213
|
182,689
|
||||||
Other-than-temporary impairments:
|
||||||||
Total other-than-temporary impairment losses
|
(4,423
|
)
|
(1,052
|
)
|
||||
Portion of loss recognized in other comprehensive income
|
(6,255
|
)
|
(6,763
|
)
|
||||
Net other-than-temporary credit impairment losses
|
(10,678
|
)
|
(7,815
|
)
|
||||
Other Investment gains (losses):
|
||||||||
Net unrealized gains (losses) on derivatives
|
(101,110
|
)
|
4,055
|
|||||
Realized gains (losses) on terminations of interest rate swaps
|
(458
|
)
|
(68,579
|
)
|
||||
Net realized gains (losses) on derivatives
|
(34,969
|
)
|
(42,086
|
)
|
||||
Net gains (losses) on derivatives
|
(136,537
|
)
|
(106,610
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
16,871
|
(10,425
|
)
|
|||||
Net realized gains (losses) on sales of investments
|
(2,674
|
)
|
29,565
|
|||||
Gains (losses) on Extinguishment of Debt
|
(1,766
|
)
|
-
|
|||||
Total other gains (losses)
|
(124,106
|
)
|
(87,470
|
)
|
||||
Other income:
|
||||||||
Other income
|
95,000
|
-
|
||||||
Total other income
|
95,000
|
-
|
||||||
Other expenses:
|
||||||||
Management fees
|
-
|
10,326
|
||||||
Expense recoveries from Manager
|
-
|
(1,113
|
)
|
|||||
Net management fees
|
-
|
9,213
|
||||||
Compensation and benefits
|
5,222
|
471
|
||||||
General and administrative expenses
|
4,503
|
4,290
|
||||||
Servicing Fees of consolidated VIEs
|
5,577
|
6,388
|
||||||
Total other expenses
|
15,302
|
20,362
|
||||||
Income (loss) before income taxes
|
83,127
|
67,042
|
||||||
Income taxes
|
29
|
1
|
||||||
Net income (loss)
|
$
|
83,098
|
$
|
67,041
|
||||
Net income (loss) per share available to common shareholders:
|
||||||||
Basic
|
$
|
0.44
|
$
|
0.33
|
||||
Diluted
|
$
|
0.44
|
$
|
0.33
|
||||
Weighted average number of common shares outstanding:
|
||||||||
Basic
|
187,723,472
|
205,527,476
|
||||||
Diluted
|
187,840,182
|
205,566,956
|
||||||
(1) Includes interest income of consolidated VIEs of $131,980 and $150,618 for the quarters ended
|
||||||||
March 31, 2016 and 2015 respectively.
|
||||||||
(2) Includes interest expense of consolidated VIEs of $39,250 and $46,753 for the quarters ended
|
||||||||
March 31, 2016 and 2015 respectively.
|
||||||||
See accompanying notes to consolidated financial statements.
|
For the Quarter Ended
|
||||||||||||||||||||||||
March 31, 2016 |
March 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
|
$
|
6,003,520
|
$
|
37,659
|
2.5
|
%
|
$
|
7,491,398
|
$
|
67,786
|
3.6
|
%
|
||||||||||||
Non-Agency RMBS
|
1,461,811
|
31,106
|
8.5
|
%
|
999,067
|
24,424
|
9.8
|
%
|
||||||||||||||||
Non-Agency RMBS transferred to consolidated VIEs
|
1,418,442
|
64,232
|
18.1
|
%
|
1,639,964
|
68,183
|
16.6
|
%
|
||||||||||||||||
Jumbo Prime securitized residential mortgage loans held for investment
|
442,629
|
3,833
|
3.5
|
%
|
610,836
|
8,003
|
5.2
|
%
|
||||||||||||||||
Seasoned sub-prime securitized residential mortgage loans held for investment |
4,244,226
|
63,916
|
6.0
|
% |
4,499,936
|
74,431
|
6.6
|
% | ||||||||||||||||
Total
|
$
|
13,570,628
|
$
|
200,746
|
5.9
|
%
|
$
|
15,241,201
|
$
|
242,827
|
6.4
|
%
|
Liabilities and stockholders' equity:
|
||||||||||||||||||||||||
Interest-bearing liabilities:
|
||||||||||||||||||||||||
Agency repurchase agreements (2)
|
$
|
5,419,402
|
$
|
21,279
|
1.6
|
%
|
$
|
7,198,680
|
$
|
22,662
|
1.3
|
%
|
||||||||||||
Non-Agency repurchase agreements
|
2,077,523
|
13,671
|
2.6
|
%
|
1,116,675
|
6,209
|
2.2
|
%
|
||||||||||||||||
Securitized debt, collateralized by Non-Agency RMBS
|
510,761
|
3,996
|
3.1
|
%
|
688,260
|
7,947
|
4.6
|
%
|
||||||||||||||||
Securitized debt, collateralized by jumbo prime residential mortgage loans
|
341,776
|
2,561
|
3.0
|
%
|
499,075
|
5,341
|
4.3
|
%
|
||||||||||||||||
Securitized debt, collateralized by seasoned sub-prime residential mortgage loans
|
3,329,390
|
32,694
|
3.9
|
%
|
3,808,607
|
33,466
|
3.5
|
%
|
||||||||||||||||
Total
|
$
|
11,678,852
|
$
|
74,201
|
2.5
|
%
|
$
|
13,311,297
|
$
|
75,625
|
2.3
|
%
|
||||||||||||
Economic net interest income/net interest rate spread
|
$
|
126,545
|
3.4
|
%
|
$
|
167,202
|
4.0
|
%
|
||||||||||||||||
Net interest-earning assets/net interest margin
|
$
|
1,891,776
|
3.6
|
%
|
$
|
1,929,904
|
4.4
|
%
|
||||||||||||||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.16
|
1.14
|
March 31, 2016
|
March 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Periodic interest cost of interest rate swaps, net
|
$
|
(11,220
|
)
|
$
|
(15,169
|
)
|
||
Realized gain (loss) on derivative instruments, net:
|
||||||||
Mortgage Options
|
-
|
412
|
||||||
Treasury Futures
|
(21,609
|
)
|
(27,452
|
)
|
||||
Swaptions
|
(2,140
|
)
|
144
|
|||||
Other Derivative Assets
|
-
|
(21
|
)
|
|||||
Swaps - Terminations
|
(458
|
)
|
(68,579
|
)
|
||||
Total realized gain (loss) on derivative instruments, net
|
(24,207
|
)
|
(95,496
|
)
|
||||
Unrealized gain on derivative instruments, net:
|
||||||||
Interest Rate Swaps
|
(88,708
|
)
|
9,960
|
|||||
Mortgage Options
|
-
|
224
|
||||||
Treasury Futures
|
(2,985
|
)
|
(4,908
|
)
|
||||
Swaptions
|
(8,987
|
)
|
(1,221
|
)
|
||||
Other Derivative Assets
|
(430
|
)
|
-
|
|||||
Total unrealized gain (loss) on derivative instruments, net:
|
(101,110
|
)
|
4,055
|
|||||
Total gain (loss) on derivative instruments, net
|
$
|
(136,537
|
)
|
$
|
(106,610
|
)
|
As of
|
As of
|
For the Quarter Ended
|
||||||||||||||||||||||
March 31, 2016
|
March 31, 2015
|
March 31, 2016
|
March 31, 2015
|
|||||||||||||||||||||
(dollars in thousands)
|
(dollars in thousands)
|
(dollars in thousands)
|
||||||||||||||||||||||
Unpaid
Principal/
Notional |
Fair Value
|
Unpaid
Principal/
Notional |
Fair Value
|
Gain/(Loss) on Change in Fair Value
|
Gain/(Loss) on Change in Fair Value
|
|||||||||||||||||||
Assets:
|
||||||||||||||||||||||||
IO RMBS securities
|
$
|
9,633,816
|
$
|
429,937
|
$
|
12,277,920
|
$
|
554,324
|
$
|
5,150
|
$
|
7,458
|
||||||||||||
Non-Agency RMBS securities
|
N/A
|
|
15,967
|
N/A
|
|
10,591
|
$
|
(2,792
|
)
|
$
|
(909
|
)
|
||||||||||||
Securitized loans held for investment, at fair value
|
4,629,305
|
4,613,492
|
5,073,699
|
5,132,902
|
4,295
|
(10,652
|
)
|
|||||||||||||||||
Liabilities:
|
||||||||||||||||||||||||
Securitized debt at fair value
|
3,672,300
|
3,617,294
|
4,296,435
|
4,198,192
|
10,218
|
(6,322
|
)
|
|||||||||||||||||
Total
|
$
|
17,935,421
|
$
|
8,676,690
|
$
|
21,648,054
|
$
|
9,896,009
|
$
|
16,871
|
$
|
(10,425
|
)
|
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 Quarter Ended March 31, 2016
|
$
|
9,725
|
0.25
|
%
|
1.33
|
%
|
||||||
For The Quarter Ended December 31, 2015
|
$
|
18,600
|
0.46
|
%
|
2.45
|
%
|
||||||
For The Quarter Ended September 30, 2015
|
$
|
17,863
|
0.44
|
%
|
2.18
|
%
|
||||||
For The Quarter Ended June 30, 2015
|
$
|
17,715
|
0.43
|
%
|
2.04
|
%
|
||||||
For The Quarter Ended March 31, 2015
|
$
|
13,974
|
0.29
|
%
|
1.57
|
%
|
For the Quarters Ended
|
||||||||||||||||||||
March 31, 2016
|
December 31, 2015
|
September 30, 2015
|
June 30, 2015
|
March 31, 2015
|
||||||||||||||||
(dollars in thousands, except per share data)
|
||||||||||||||||||||
GAAP Net income
|
$
|
83,098
|
$
|
115,380
|
$
|
(48,259
|
)
|
$
|
116,187
|
$
|
67,041
|
|||||||||
Adjustments:
|
||||||||||||||||||||
Net other-than-temporary credit impairment losses
|
10,678
|
14,696
|
17,832
|
27,101
|
7,815
|
|||||||||||||||
Net unrealized (gains) losses on derivatives
|
101,110
|
(46,842
|
)
|
71,540
|
(88,028
|
)
|
(4,055
|
)
|
||||||||||||
Net unrealized (gains) losses on financial instruments at fair value
|
(16,871
|
)
|
69,793
|
40,955
|
37,260
|
10,425
|
||||||||||||||
Net realized (gains) losses on sales of investments
|
2,674
|
(34,285
|
)
|
(3,539
|
)
|
(9,685
|
)
|
(29,565
|
)
|
|||||||||||
(Gains) losses on extinguishment of debt
|
1,766
|
(8,906
|
)
|
19,915
|
(5,079
|
)
|
-
|
|||||||||||||
Realized (gains) losses on terminations of interest rate swaps
|
458
|
(754
|
)
|
-
|
31,124
|
68,579
|
||||||||||||||
Net realized (gains) losses on derivatives
|
21,609
|
(9,018
|
)
|
9,309
|
7,778
|
27,454
|
||||||||||||||
Total other (gains) losses
|
-
|
256
|
-
|
-
|
-
|
|||||||||||||||
Other income
|
(95,000
|
)
|
-
|
-
|
-
|
-
|
||||||||||||||
Core Earnings
|
$
|
109,522
|
$
|
100,320
|
$
|
107,753
|
$
|
116,658
|
$
|
147,694
|
||||||||||
GAAP net income per basic common share
|
$
|
0.44
|
$
|
0.61
|
$
|
(0.24
|
)
|
$
|
0.57
|
$
|
0.33
|
|||||||||
Core earnings per basic common share
|
$
|
0.58
|
$
|
0.53
|
$
|
0.54
|
$
|
0.57
|
$
|
0.72
|
March 31, 2016
|
||||
(dollars in thousands, except per share data)
|
||||
GAAP Book Value
|
$
|
2,913,635
|
||
GAAP Book Value per Share
|
$
|
15.52
|
||
Economic Adjustments:
|
||||
Assets of Consolidated VIEs
|
(6,670,061
|
)
|
||
Non-Recourse Liabilities of Consolidated VIEs
|
4,109,401
|
|||
Interests in VIEs eliminated in consolidation
|
2,361,817
|
|||
Total Adjustments - Net
|
(198,843
|
)
|
||
Total Adjustments - Net (per share)
|
(1.06
|
)
|
||
Economic Book Value
|
$
|
2,714,792
|
||
Economic Book Value per Share
|
$
|
14.46
|
December 31, 2015
|
||||
(dollars in thousands, except per share data)
|
||||
GAAP Book Value
|
$
|
2,946,188
|
||
GAAP Book Value per Share
|
$
|
15.70
|
||
Economic Adjustments:
|
||||
Assets of Consolidated VIEs
|
(6,908,910
|
)
|
||
Non-Recourse Liabilities of Consolidated VIEs
|
4,249,911
|
|||
Interests in VIEs eliminated in consolidation
|
2,462,713
|
|||
Total Adjustments - Net
|
(196,286
|
)
|
||
Total Adjustments - Net (per share)
|
(1.05
|
)
|
||
Economic Book Value
|
$
|
2,749,902
|
||
Economic Book Value per Share
|
$
|
14.65
|
For the quarter ended,
|
For the year ended,
|
|||||||
|
March 31, 2016
|
December 31, 2015
|
||||||
Interest earning assets at period-end (1)
|
$
|
14,855,031
|
$
|
14,959,081
|
||||
Interest bearing liabilities at period-end
|
$
|
11,655,032
|
$
|
11,689,250
|
||||
GAAP Leverage at period-end
|
4.0:1
|
4.0:1
|
||||||
GAAP Leverage at period-end (recourse)
|
2.6:1
|
2.5:1
|
||||||
Economic Leverage at period-end (recourse)
|
2.8:1
|
2.7:1
|
||||||
Portfolio Composition, at amortized cost
|
||||||||
Non-Agency RMBS
|
10.3
|
%
|
10.4
|
%
|
||||
Senior
|
4.7
|
%
|
4.7
|
%
|
||||
Senior, interest only
|
1.9
|
%
|
1.9
|
%
|
||||
Subordinated
|
3.6
|
%
|
3.7
|
%
|
||||
Subordinated, interest only
|
0.1
|
%
|
0.1
|
%
|
||||
RMBS transferred to consolidated VIEs
|
9.9
|
%
|
10.1
|
%
|
||||
Agency MBS
|
46.9
|
%
|
46.0
|
%
|
||||
Residential
|
37.8
|
%
|
37.2
|
%
|
||||
Commercial
|
7.8
|
%
|
6.8
|
%
|
||||
Interest-only
|
1.3
|
%
|
2.0
|
%
|
||||
Securitized loans held for investment
|
32.8
|
%
|
33.5
|
%
|
||||
Fixed-rate percentage of portfolio
|
84.9
|
%
|
84.7
|
%
|
||||
Adjustable-rate percentage of portfolio
|
15.1
|
%
|
15.3
|
%
|
||||
Annualized yield on average interest earning assets for the periods ended
|
5.9
|
%
|
6.0
|
%
|
||||
Annualized cost of funds on average borrowed funds for the periods ended (2)
|
2.5
|
%
|
2.5
|
%
|
||||
(1) Excludes cash and cash equivalents.
|
||||||||
(2) Includes the effect of realized losses on interest rate swaps.
|
For the Quarters Ended
|
||||||||||||||||||||
March 31, 2016
|
December 31, 2015
|
September 30, 2015
|
June 30, 2015
|
March 31, 2015
|
||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
|
Accretable Discount
|
|||||||||||||||||||
Balance, beginning of period
|
$
|
954,448
|
$
|
1,003,385
|
$
|
1,035,492
|
$
|
990,332
|
$
|
987,861
|
||||||||||
Accretion of discount
|
(44,810
|
)
|
(43,520
|
)
|
(41,498
|
)
|
(41,302
|
)
|
(44,350
|
)
|
||||||||||
Purchases
|
191
|
1,845
|
6,194
|
28,894
|
80,712
|
|||||||||||||||
Sales and deconsolidation
|
-
|
(35,144
|
)
|
(22,645
|
)
|
(1,458
|
)
|
(29,147
|
)
|
|||||||||||
Transfers from/(to) credit reserve, net
|
11,276
|
27,882
|
25,842
|
59,026
|
(4,744
|
)
|
||||||||||||||
Balance, end of period
|
$
|
921,105
|
$
|
954,448
|
$
|
1,003,385
|
$
|
1,035,492
|
$
|
990,332
|
||||||||||
For the Quarters Ended
|
||||||||||||||||||||
March 31, 2016
|
December 31, 2015
|
September 30, 2015
|
June 30, 2015
|
March 31, 2015
|
||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
Non-Accretable Difference
|
||||||||||||||||||||
Balance, beginning of period
|
$
|
837,718
|
$
|
879,440
|
$
|
1,001,560
|
$
|
947,202
|
$
|
908,927
|
||||||||||
Principal Writedowns
|
(26,672
|
)
|
(27,064
|
)
|
(32,587
|
)
|
(34,261
|
)
|
(39,955
|
)
|
||||||||||
Purchases
|
25,989
|
27,855
|
13,279
|
121,253
|
80,712
|
|||||||||||||||
Sales and deconsolidation
|
-
|
(29,347
|
)
|
(94,802
|
)
|
(709
|
)
|
(15,041
|
)
|
|||||||||||
Net other-than-temporary credit impairment losses
|
10,678
|
14,716
|
17,832
|
27,101
|
7,815
|
|||||||||||||||
Transfers to/(from) credit reserve, net
|
(11,276
|
)
|
(27,882
|
)
|
(25,842
|
)
|
(59,026
|
)
|
4,744
|
|||||||||||
Balance, end of period
|
$
|
836,437
|
$
|
837,718
|
$
|
879,440
|
$
|
1,001,560
|
$
|
947,202
|
|
March 31, 2016
|
December 31, 2015
|
||||||
(dollars in thousands)
|
(dollars in thousands)
|
|||||||
Overnight
|
$
|
-
|
$
|
-
|
||||
1 to 29 days
|
2,984,870
|
3,312,902
|
||||||
30 to 59 days
|
2,411,954
|
2,501,513
|
||||||
60 to 89 days
|
277,324
|
246,970
|
||||||
90 to 119 days
|
777,051
|
430,026
|
||||||
Greater than or equal to 120 days
|
1,094,432
|
947,928
|
||||||
Total
|
$
|
7,545,631
|
$
|
7,439,339
|
||||
Average days to maturity
|
74 Days
|
77 Days
|
Period
|
Average Repurchase Balance
|
Repurchase Balance at Period End
|
||||||
(dollars in thousands)
|
||||||||
Quarter End March 31, 2016
|
$
|
7,496,925
|
$
|
7,545,631
|
||||
Quarter End December 31, 2015
|
$
|
7,404,890
|
$
|
7,439,339
|
||||
Quarter End September 30, 2015
|
$
|
7,016,080
|
$
|
7,150,821
|
||||
Quarter End June 30, 2015
|
$
|
6,904,516
|
$
|
6,813,831
|
||||
Quarter End March 31, 2015
|
$
|
8,315,355
|
$
|
8,296,224
|
●
|
Limit the initial margin and premiums required to establish its commodity interest positions to no more than five percent of the fair market value of the mortgage real estate investment trust’s total assets;
|
|
|
●
|
Limit the net income derived annually from its commodity interest positions that are not qualifying hedging transactions to less than five percent of the mortgage real estate investment trust’s gross income
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Ensure that interests in the mortgage real estate investment trust are not marketed to the public as or in a commodity pool or otherwise as or in a vehicle for trading in the commodity futures, commodity options, or swaps markets; and
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Either:
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o
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identify itself as a “mortgage REIT” in Item G of its last U.S. income tax return on Form 1120-REIT;
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or
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o
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if it has not yet filed its first U.S. income tax return on Form 1120-REIT, disclose to its shareholders that it intends to identify itself as a “mortgage REIT” in its first U.S. income tax return on Form 1120-REIT.
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●
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monitoring and adjusting, if necessary, the reset index and interest rate related to our RMBS and our financings;
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attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods;
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using derivatives, financial futures, swaps, options, caps, floors and forward sales to adjust the interest rate sensitivity of our investments and our borrowings;
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●
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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
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●
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actively managing, 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.
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CHIMERA INVESTMENT CORPORATION
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By:
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/s/ Matthew Lambiase
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Matthew Lambiase
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(Chief Executive Officer and President
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and duly authorized officer of the registrant)
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Date: May 4, 2016
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By:
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/s/ Rob Colligan
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Rob Colligan
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(Chief Financial Officer
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and principal financial officer of the registrant)
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Date: May 4, 2016
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1.
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I have reviewed this quarterly report on Form 10-Q of Chimera Investment Corporation;
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
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Based on my knowledge, the consolidated financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
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The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
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a.
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Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
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b.
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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c.
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Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
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d.
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Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
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The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
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a.
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All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
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b.
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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Date: May 4, 2016
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/s/ Matthew Lambiase
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Matthew Lambiase
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Chief Executive Officer and President (Principal Executive Officer)
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1.
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I have reviewed this quarterly report on Form 10-Q of Chimera Investment Corporation;
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
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Based on my knowledge, the consolidated financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
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The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
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a.
|
Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
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b.
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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c.
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Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
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d.
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Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
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The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
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a.
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
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|
b.
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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Date: May 4, 2016
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/s/ Rob Colligan
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Rob Colligan
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Chief Financial Officer (Principal Financial Officer)
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1.
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The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
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2.
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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.
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/s/ Matthew Lambiase
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Matthew Lambiase
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Chief Executive Officer and President
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May 4, 2016
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1.
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The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
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2.
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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.
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/s/ Rob Colligan
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Rob Colligan
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Chief Financial Officer
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May 4, 2016
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