| Maryland | 26-0630461 | |||||||
| (State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) | |||||||
| Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||||||
| Common Stock, par value $0.01 per share | CIM | New York Stock Exchange | ||||||
| 8.00% Series A Cumulative Redeemable Preferred Stock | CIM PRA | New York Stock Exchange | ||||||
| 8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock | CIM PRB | New York Stock Exchange | ||||||
| 7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock | CIM PRC | New York Stock Exchange | ||||||
| 8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock | CIM PRD | New York Stock Exchange | ||||||
| Class | Outstanding at July 31, 2021 | ||||
| Common Stock, $0.01 par value | 235,955,784 | ||||
|
Part I. FINANCIAL INFORMATION
|
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|
Item 1. Consolidated Financial Statements:
|
|||||
| Consolidated Statements of Financial Condition as of June 30, 2021 (Unaudited) and December 31, 2020 (Derived from the audited consolidated financial statements as of December 31, 2020) | |||||
| Consolidated Statements of Operations (Unaudited) for the quarters and six months ended June 30, 2021 and 2020 | |||||
| Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and six months ended June 30, 2021 and 2020 | |||||
| Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and six months ended June 30, 2021 and 2020 | |||||
| Consolidated Statements of Cash Flows (Unaudited) for the six months ended June 30, 2021 and 2020 | |||||
|
Notes to Consolidated Financial Statements (Unaudited)
|
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|
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
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|
Item 3. Quantitative and Qualitative Disclosures about Market Risk
|
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|
Item 4. Controls and Procedures
|
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|
Part II. OTHER INFORMATION
|
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|
Item 1. Legal Proceedings
|
|||||
|
Item 1A. Risk Factors
|
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| Item 2. Unregistered Sales of Equity Securities and Use of Proceeds | |||||
|
Item 6. Exhibits
|
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|
SIGNATURES
|
|||||
| CHIMERA INVESTMENT CORPORATION | ||||||||
| CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
| (dollars in thousands, except share and per share data) | ||||||||
| (Unaudited) | ||||||||
| June 30, 2021 | December 31, 2020 | |||||||
| Cash and cash equivalents | $ | 346,951 | $ | 269,090 | ||||
|
Non-Agency RMBS, at fair value (net of allowance for credit losses of $508 thousand and $180 thousand, respectively)
|
1,919,668 | 2,150,714 | ||||||
| Agency RMBS, at fair value | 76,820 | 90,738 | ||||||
| Agency CMBS, at fair value | 1,236,507 | 1,740,368 | ||||||
| Loans held for investment, at fair value | 12,150,868 | 13,112,129 | ||||||
| Accrued interest receivable | 75,314 | 81,158 | ||||||
| Other assets | 53,931 | 78,822 | ||||||
|
Total assets (1)
|
$ | 15,860,059 | $ | 17,523,019 | ||||
| Liabilities: | ||||||||
|
Secured financing agreements ($4.8 billion and $6.7 billion pledged as collateral, respectively)
|
$ | 3,554,428 | $ | 4,636,847 | ||||
|
Securitized debt, collateralized by Non-Agency RMBS ($453 million and $505 million pledged as collateral, respectively)
|
99,559 | 113,433 | ||||||
|
Securitized debt at fair value, collateralized by Loans held for investment ($11.5 billion and $12.4 billion pledged as collateral, respectively)
|
8,371,511 | 8,711,677 | ||||||
| Long term debt | 20,550 | 51,623 | ||||||
| Payable for investments purchased | 58,467 | 106,169 | ||||||
| Accrued interest payable | 23,128 | 40,950 | ||||||
| Dividends payable | 87,050 | 77,213 | ||||||
| Accounts payable and other liabilities | 17,935 | 5,721 | ||||||
|
Total liabilities (1)
|
$ | 12,232,628 | $ | 13,743,633 | ||||
| Commitments and Contingencies (See Note 16) | ||||||||
| Stockholders' Equity: | ||||||||
|
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:
|
||||||||
|
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference)
|
$ | 58 | $ | 58 | ||||
|
8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively ($325,000 liquidation preference)
|
130 | 130 | ||||||
|
7.75% Series C cumulative redeemable: 10,400,000 shares issued and outstanding, respectively ($260,000 liquidation preference)
|
104 | 104 | ||||||
|
8.00% Series D cumulative redeemable: 8,000,000 shares issued and outstanding, respectively ($200,000 liquidation preference)
|
80 | 80 | ||||||
|
Common stock: par value $0.01 per share; 500,000,000 shares authorized, 235,557,640 and 230,556,760 shares issued and outstanding, respectively
|
2,356 | 2,306 | ||||||
| Additional paid-in-capital | 4,352,986 | 4,538,029 | ||||||
| Accumulated other comprehensive income | 456,113 | 558,096 | ||||||
| Cumulative earnings | 4,202,806 | 3,881,894 | ||||||
| Cumulative distributions to stockholders | (5,387,202) | (5,201,311) | ||||||
| Total stockholders' equity | $ | 3,627,431 | $ | 3,779,386 | ||||
| Total liabilities and stockholders' equity | $ | 15,860,059 | $ | 17,523,019 | ||||
| CHIMERA INVESTMENT CORPORATION | |||||||||||||||||||||||
| CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||||||||||||||||
| (dollars in thousands, except share and per share data) | |||||||||||||||||||||||
| (Unaudited) | |||||||||||||||||||||||
| For the Quarters Ended | For the Six Months Ended | ||||||||||||||||||||||
| June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | ||||||||||||||||||||
| Net interest income: | |||||||||||||||||||||||
|
Interest income (1)
|
$ | 252,677 | $ | 245,922 | $ | 495,805 | $ | 546,189 | |||||||||||||||
|
Interest expense (2)
|
80,610 | 129,256 | 188,677 | 271,339 | |||||||||||||||||||
| Net interest income | 172,067 | 116,666 | 307,128 | 274,850 | |||||||||||||||||||
| Increase/(decrease) in provision for credit losses | 453 | (4,497) | 327 | 1,817 | |||||||||||||||||||
| Other investment gains (losses): | |||||||||||||||||||||||
| Net unrealized gains (losses) on derivatives | — | — | — | 201,000 | |||||||||||||||||||
| Realized gains (losses) on terminations of interest rate swaps | — | — | — | (463,966) | |||||||||||||||||||
| Net realized gains (losses) on derivatives | — | — | — | (41,086) | |||||||||||||||||||
| Net gains (losses) on derivatives | — | — | — | (304,052) | |||||||||||||||||||
| Net unrealized gains (losses) on financial instruments at fair value | 36,108 | (171,921) | 306,120 | (432,809) | |||||||||||||||||||
| Net realized gains (losses) on sales of investments | 7,517 | 26,380 | 45,313 | 102,234 | |||||||||||||||||||
| Gains (losses) on extinguishment of debt | (21,777) | 459 | (258,914) | 459 | |||||||||||||||||||
| Total other gains (losses) | 21,848 | (145,082) | 92,519 | (634,168) | |||||||||||||||||||
| Other expenses: | |||||||||||||||||||||||
| Compensation and benefits | 9,230 | 10,255 | 22,669 | 23,190 | |||||||||||||||||||
| General and administrative expenses | 6,173 | 5,963 | 11,371 | 11,100 | |||||||||||||||||||
| Servicing and asset manager fees | 9,081 | 10,072 | 18,362 | 20,601 | |||||||||||||||||||
| Transaction expenses | 5,745 | 4,710 | 22,182 | 9,616 | |||||||||||||||||||
| Total other expenses | 30,229 | 31,000 | 74,584 | 64,507 | |||||||||||||||||||
| Income (loss) before income taxes | 163,233 | (54,919) | 324,736 | (425,642) | |||||||||||||||||||
| Income tax expense (benefit) | (88) | 36 | 3,824 | 68 | |||||||||||||||||||
| Net income (loss) | $ | 163,321 | $ | (54,955) | $ | 320,912 | $ | (425,710) | |||||||||||||||
| Dividends on preferred stock | 18,438 | 18,438 | 36,875 | 36,875 | |||||||||||||||||||
| Net income (loss) available to common shareholders | $ | 144,883 | $ | (73,393) | $ | 284,037 | $ | (462,585) | |||||||||||||||
| Net income (loss) per share available to common shareholders: | |||||||||||||||||||||||
| Basic | $ | 0.63 | $ | (0.37) | $ | 1.23 | $ | (2.39) | |||||||||||||||
| Diluted | $ | 0.60 | $ | (0.37) | $ | 1.14 | $ | (2.39) | |||||||||||||||
| Weighted average number of common shares outstanding: | |||||||||||||||||||||||
| Basic | 231,638,042 | 199,282,790 | 231,105,595 | 193,150,696 | |||||||||||||||||||
| Diluted | 241,739,536 | 199,282,790 | 251,723,940 | 193,150,696 | |||||||||||||||||||
| CHIMERA INVESTMENT CORPORATION | |||||||||||||||||
| CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | |||||||||||||||||
| (dollars in thousands, except share and per share data) | |||||||||||||||||
| (Unaudited) | |||||||||||||||||
| For the Quarters Ended | For the Six Months Ended | ||||||||||||||||
| June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | ||||||||||||||
| Comprehensive income (loss): | |||||||||||||||||
| Net income (loss) | $ | 163,321 | $ | (54,955) | $ | 320,912 | $ | (425,710) | |||||||||
| Other comprehensive income: | |||||||||||||||||
| Unrealized gains (losses) on available-for-sale securities, net | (26,215) | 61,399 | (64,867) | (137,805) | |||||||||||||
| Reclassification adjustment for net realized losses (gains) included in net income | (11,323) | (26,380) | (37,116) | (33,021) | |||||||||||||
| Other comprehensive income (loss) | (37,538) | 35,019 | (101,983) | (170,826) | |||||||||||||
| Comprehensive income (loss) before preferred stock dividends | $ | 125,783 | $ | (19,936) | $ | 218,929 | $ | (596,536) | |||||||||
| Dividends on preferred stock | $ | 18,438 | $ | 18,438 | $ | 36,875 | $ | 36,875 | |||||||||
| Comprehensive income (loss) available to common stock shareholders | $ | 107,345 | $ | (38,374) | $ | 182,054 | $ | (633,411) | |||||||||
| CHIMERA INVESTMENT CORPORATION | ||||||||||||||||||||||||||||||||
| CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY | ||||||||||||||||||||||||||||||||
| (dollars in thousands, except per share data) | ||||||||||||||||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||||||||||
| For the Quarter Ended June 30, 2021 | ||||||||||||||||||||||||||||||||
| Series A Preferred Stock Par Value | Series B Preferred Stock Par Value | Series C Preferred Stock Par Value | Series D Preferred Stock Par Value |
Common
Stock Par Value |
Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||
| Balance, March 31, 2021 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 2,306 | $ | 4,320,419 | $ | 493,651 | $ | 4,039,485 | $ | (5,289,735) | $ | 3,566,498 | ||||||||||||
| Net income (loss) | — | — | — | — | — | — | — | 163,321 | — | 163,321 | ||||||||||||||||||||||
| Other comprehensive income (loss) | — | — | — | — | — | — | (37,538) | — | — | (37,538) | ||||||||||||||||||||||
| Settlement of convertible debt | — | — | — | — | 49 | 31,764 | — | — | — | 31,813 | ||||||||||||||||||||||
| Settlement of warrants | — | — | — | — | — | (1,105) | — | — | — | (1,105) | ||||||||||||||||||||||
| Stock based compensation | — | — | — | — | 1 | 1,908 | — | — | — | 1,909 | ||||||||||||||||||||||
| Common dividends declared | — | — | — | — | — | — | — | — | (79,029) | (79,029) | ||||||||||||||||||||||
| Preferred dividends declared | — | — | — | — | — | — | — | — | (18,438) | (18,438) | ||||||||||||||||||||||
| Balance, June 30, 2021 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 2,356 | $ | 4,352,986 | $ | 456,113 | $ | 4,202,806 | $ | (5,387,202) | $ | 3,627,431 | ||||||||||||
| For the Quarter Ended June 30, 2020 | ||||||||||||||||||||||||||||||||
| Series A Preferred Stock Par Value | Series B Preferred Stock Par Value | Series C Preferred Stock Par Value | Series D Preferred Stock Par Value |
Common
Stock Par Value |
Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||
| Balance, March 31, 2020 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 1,860 | $ | 4,255,054 | $ | 502,491 | $ | 3,422,285 | $ | (4,938,208) | $ | 3,243,854 | ||||||||||||
| Net income (loss) | — | — | — | — | — | — | — | (54,955) | — | (54,955) | ||||||||||||||||||||||
| Other comprehensive income (loss) | — | — | — | — | — | — | 35,019 | — | — | 35,019 | ||||||||||||||||||||||
| Settlement of convertible debt | — | — | — | — | 460 | 292,349 | — | — | — | 292,809 | ||||||||||||||||||||||
| Purchase of capped call | — | — | — | — | — | (33,750) | — | — | — | (33,750) | ||||||||||||||||||||||
| Stock based compensation | — | — | — | — | — | 1,390 | — | — | — | 1,390 | ||||||||||||||||||||||
| Common dividends declared | — | — | — | — | — | — | — | — | (70,050) | (70,050) | ||||||||||||||||||||||
| Preferred dividends declared | — | — | — | — | — | — | — | — | (18,438) | (18,438) | ||||||||||||||||||||||
| Balance, June 30, 2020 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 2,320 | $ | 4,515,043 | $ | 537,510 | $ | 3,367,330 | $ | (5,026,696) | $ | 3,395,879 | ||||||||||||
| For the Six Months Ended June 30, 2021 | ||||||||||||||||||||||||||||||||
| Series A Preferred Stock Par Value | Series B Preferred Stock Par Value | Series C Preferred Stock Par Value | Series D Preferred Stock Par Value |
Common
Stock Par Value |
Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||
| Balance, December 31, 2020 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 2,306 | $ | 4,538,029 | $ | 558,096 | $ | 3,881,894 | $ | (5,201,311) | $ | 3,779,386 | ||||||||||||
| Net income (loss) | — | — | — | — | — | — | — | 320,912 | — | 320,912 | ||||||||||||||||||||||
| Other comprehensive income (loss) | — | — | — | — | — | — | (101,983) | — | — | (101,983) | ||||||||||||||||||||||
| Repurchase of common stock | — | — | — | — | (2) | (1,826) | — | — | — | (1,828) | ||||||||||||||||||||||
| Settlement of warrants | — | — | — | — | — | (220,945) | — | — | — | (220,945) | ||||||||||||||||||||||
| Settlement of convertible debt | — | — | — | — | 49 | 31,764 | — | — | — | 31,813 | ||||||||||||||||||||||
| Stock based compensation | — | — | — | — | 3 | 5,964 | — | — | — | 5,967 | ||||||||||||||||||||||
| Common dividends declared | — | — | — | — | — | — | — | — | (149,016) | (149,016) | ||||||||||||||||||||||
| Preferred dividends declared | — | — | — | — | — | — | — | — | (36,875) | (36,875) | ||||||||||||||||||||||
| Balance, June 30, 2021 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 2,356 | $ | 4,352,986 | $ | 456,113 | $ | 4,202,806 | $ | (5,387,202) | $ | 3,627,431 | ||||||||||||
| For the Six Months Ended June 30, 2020 | ||||||||||||||||||||||||||||||||
| Series A Preferred Stock Par Value | Series B Preferred Stock Par Value | Series C Preferred Stock Par Value | Series D Preferred Stock Par Value |
Common
Stock Par Value |
Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||
| Balance, December 31, 2019 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 1,873 | $ | 4,275,963 | $ | 708,336 | $ | 3,793,040 | $ | (4,826,291) | $ | 3,953,293 | ||||||||||||
| Net income (loss) | — | — | — | — | — | — | — | (425,710) | — | (425,710) | ||||||||||||||||||||||
| Other comprehensive income (loss) | — | — | — | — | — | — | (170,826) | — | — | (170,826) | ||||||||||||||||||||||
| Repurchase of common stock | — | — | — | — | (14) | (22,052) | — | — | — | (22,066) | ||||||||||||||||||||||
| Settlement of convertible debt | — | — | — | — | 460 | 292,349 | — | — | — | 292,809 | ||||||||||||||||||||||
| Purchase of capped call | — | — | — | — | — | (33,750) | — | — | — | (33,750) | ||||||||||||||||||||||
| Stock based compensation | — | — | — | — | 1 | 2,533 | — | — | — | 2,534 | ||||||||||||||||||||||
| Common dividends declared | — | — | — | — | — | — | — | — | (163,530) | (163,530) | ||||||||||||||||||||||
| Preferred dividends declared | — | — | — | — | — | — | — | — | (36,875) | (36,875) | ||||||||||||||||||||||
| Balance, June 30, 2020 | $ | 58 | $ | 130 | $ | 104 | $ | 80 | $ | 2,320 | $ | 4,515,043 | $ | 537,510 | $ | 3,367,330 | $ | (5,026,696) | $ | 3,395,879 | ||||||||||||
| CHIMERA INVESTMENT CORPORATION | |||||||||||
| CONSOLIDATED STATEMENTS OF CASH FLOWS | |||||||||||
| (dollars in thousands) | |||||||||||
| (Unaudited) | |||||||||||
| For the Six Months Ended | |||||||||||
| June 30, 2021 | June 30, 2020 | ||||||||||
| Cash Flows From Operating Activities: | |||||||||||
| Net income (loss) | $ | 320,912 | $ | (425,710) | |||||||
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||||||||||
| (Accretion) amortization of investment discounts/premiums, net | 38,546 | 60,974 | |||||||||
| Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net | 11,179 | (35,148) | |||||||||
| Net unrealized losses (gains) on derivatives | — | (201,000) | |||||||||
| Margin (paid) received on derivatives | — | 325,594 | |||||||||
| Net unrealized losses (gains) on financial instruments at fair value | (306,120) | 432,809 | |||||||||
| Net realized losses (gains) on sales of investments | (45,313) | (102,234) | |||||||||
| Net increase (decrease) in provision for credit losses | 327 | 1,817 | |||||||||
| (Gain) loss on extinguishment of debt | 258,914 | (459) | |||||||||
| Equity-based compensation expense | 5,967 | 2,534 | |||||||||
| Changes in operating assets: | |||||||||||
| Decrease (increase) in accrued interest receivable, net | 5,843 | 27,718 | |||||||||
| Decrease (increase) in other assets | (25,599) | (56,146) | |||||||||
| Changes in operating liabilities: | |||||||||||
| Increase (decrease) in accounts payable and other liabilities | 12,656 | 12,123 | |||||||||
| Increase (decrease) in accrued interest payable, net | (17,823) | (24,765) | |||||||||
| Net cash provided by (used in) operating activities | $ | 259,489 | $ | 18,107 | |||||||
| Cash Flows From Investing Activities: | |||||||||||
| Agency MBS portfolio: | |||||||||||
| Purchases | $ | (169,287) | $ | (292,379) | |||||||
| Sales | 201,653 | 6,466,990 | |||||||||
| Principal payments | 368,791 | 596,564 | |||||||||
| Non-Agency RMBS portfolio: | |||||||||||
| Purchases | (9,766) | (19,503) | |||||||||
| Sales | 47,674 | 141,912 | |||||||||
| Principal payments | 170,247 | 124,351 | |||||||||
| Loans held for investment: | |||||||||||
| Purchases | (1,431,377) | (884,708) | |||||||||
| Sales | 1,227,864 | — | |||||||||
| Principal payments | 1,260,128 | 895,764 | |||||||||
| Net cash provided by (used in) investing activities | $ | 1,665,927 | $ | 7,028,991 | |||||||
| Cash Flows From Financing Activities: | |||||||||||
| Proceeds from secured financing agreements | $ | 24,499,818 | $ | 57,804,851 | |||||||
| Payments on secured financing agreements | (25,585,419) | (65,275,151) | |||||||||
| Payments on repurchase of common stock | (1,828) | (22,066) | |||||||||
| Proceeds from securitized debt borrowings, collateralized by Loans held for investment | 4,677,423 | 1,462,500 | |||||||||
| Payments on securitized debt borrowings, collateralized by Loans held for investment | (5,028,491) | (920,083) | |||||||||
| Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (12,060) | (8,445) | |||||||||
| Net proceeds from issuance of convertible debt | — | 361,139 | |||||||||
| Purchase of capped call | — | (33,750) | |||||||||
| Settlement of warrants | (220,945) | — | |||||||||
| Common dividends paid | (139,178) | (186,543) | |||||||||
| Preferred dividends paid | (36,875) | (36,875) | |||||||||
| Net cash provided by (used in) financing activities | $ | (1,847,555) | $ | (6,854,423) | |||||||
| Net increase (decrease) in cash and cash equivalents | 77,861 | 192,675 | |||||||||
| Cash and cash equivalents at beginning of period | 269,090 | 109,878 | |||||||||
| Cash and cash equivalents at end of period | $ | 346,951 | $ | 302,553 | |||||||
| Supplemental disclosure of cash flow information: | |||||||||||
| Interest received | $ | 540,193 | $ | 634,199 | |||||||
| Interest paid | $ | 195,321 | $ | 328,753 | |||||||
| Non-cash investing activities: | |||||||||||
| Payable for investments purchased | $ | 58,467 | $ | 246,770 | |||||||
| Net change in unrealized gain (loss) on available-for sale securities | $ | (101,983) | $ | (170,826) | |||||||
| Non-cash financing activities: | |||||||||||
| Dividends declared, not yet paid | $ | 87,050 | $ | 75,554 | |||||||
| Conversion of convertible debt | $ | 31,813 | $ | 289,331 | |||||||
| June 30, 2021 | |||||||||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||||||||
| Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Allowance for credit losses | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||||||||||||||
| Senior | $ | 1,405,783 | $ | 3,939 | $ | (711,225) | $ | 698,497 | $ | (508) | $ | 1,116,871 | $ | 418,984 | $ | (102) | $ | 418,882 | |||||||||||
| Subordinated | 827,198 | 6,093 | (276,574) | 556,717 | — | 604,208 | 71,724 | (24,233) | 47,491 | ||||||||||||||||||||
| Interest-only | 4,217,507 | 213,510 | — | 213,510 | — | 198,589 | 41,498 | (56,419) | (14,921) | ||||||||||||||||||||
| Agency RMBS | |||||||||||||||||||||||||||||
| Interest-only | 1,164,844 | 110,275 | — | 110,275 | — | 76,820 | 219 | (33,674) | (33,455) | ||||||||||||||||||||
| Agency CMBS | |||||||||||||||||||||||||||||
| Project loans | 974,756 | 18,194 | (829) | 992,121 | — | 1,094,145 | 102,031 | (7) | 102,024 | ||||||||||||||||||||
| Interest-only | 2,412,480 | 137,809 | — | 137,809 | — | 142,362 | 5,090 | (537) | 4,553 | ||||||||||||||||||||
| Total | $ | 11,002,568 | $ | 489,820 | $ | (988,628) | $ | 2,708,929 | $ | (508) | $ | 3,232,995 | $ | 639,546 | $ | (114,972) | $ | 524,574 | |||||||||||
| December 31, 2020 | |||||||||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||||||||
| Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Allowance for credit losses | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||||||||||||||
| Senior | $ | 1,560,135 | $ | 3,934 | $ | (773,804) | $ | 790,265 | $ | (180) | $ | 1,277,800 | $ | 487,963 | $ | (248) | $ | 487,715 | |||||||||||
| Subordinated | 905,674 | 7,059 | (347,056) | 565,677 | — | 610,655 | 83,007 | (38,029) | 44,978 | ||||||||||||||||||||
| Interest-only | 5,628,240 | 249,610 | — | 249,610 | — | 262,259 | 67,868 | (55,219) | 12,649 | ||||||||||||||||||||
| Agency RMBS | |||||||||||||||||||||||||||||
| Interest-only | 1,262,963 | 118,867 | — | 118,867 | — | 90,738 | 270 | (28,399) | (28,129) | ||||||||||||||||||||
| Agency CMBS | |||||||||||||||||||||||||||||
| Project loans | 1,527,621 | 28,559 | (861) | 1,555,319 | — | 1,714,483 | 159,233 | (69) | 159,164 | ||||||||||||||||||||
| Interest-only | 1,326,665 | 23,572 | — | 23,572 | — | 25,885 | 2,659 | (346) | 2,313 | ||||||||||||||||||||
| Total | $ | 12,211,298 | $ | 431,601 | $ | (1,121,721) | $ | 3,303,310 | $ | (180) | $ | 3,981,820 | $ | 801,000 | $ | (122,310) | $ | 678,690 | |||||||||||
| June 30, 2021 | |||||||||||||||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||||||||||||||
| Unrealized Loss Position for Less than 12 Months | Unrealized Loss Position for 12 Months or More | Total | |||||||||||||||||||||||||||||||||
| Estimated Fair Value | Unrealized Losses | Number of Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | |||||||||||||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||||||||||||||||||||
| Senior | $ | 27,428 | $ | — | 2 | $ | 9,952 | $ | (102) | 1 | $ | 37,380 | $ | (102) | 3 | ||||||||||||||||||||
| Subordinated | 8,201 | (70) | 1 | 42,355 | (24,163) | 12 | 50,556 | (24,233) | 13 | ||||||||||||||||||||||||||
| Interest-only | 33,699 | (9,867) | 32 | 18,334 | (46,552) | 46 | 52,033 | (56,419) | 78 | ||||||||||||||||||||||||||
| Agency RMBS | |||||||||||||||||||||||||||||||||||
| Interest-only | 20,151 | (3,509) | 5 | 54,682 | (30,165) | 18 | 74,833 | (33,674) | 23 | ||||||||||||||||||||||||||
| Agency CMBS | |||||||||||||||||||||||||||||||||||
| Project loans | — | — | — | 8,514 | (7) | 1 | 8,514 | (7) | 1 | ||||||||||||||||||||||||||
| Interest-only | 2,420 | (537) | 4 | — | — | — | 2,420 | (537) | 4 | ||||||||||||||||||||||||||
| Total | $ | 91,899 | $ | (13,983) | 44 | $ | 133,837 | $ | (100,989) | 78 | $ | 225,736 | $ | (114,972) | 122 | ||||||||||||||||||||
| December 31, 2020 | |||||||||||||||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||||||||||||||
| Unrealized Loss Position for Less than 12 Months | Unrealized Loss Position for 12 Months or More | Total | |||||||||||||||||||||||||||||||||
| Estimated Fair Value | Unrealized Losses | Number of Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | |||||||||||||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||||||||||||||||||||
| Senior | $ | 11,985 | $ | (248) | 2 | $ | — | $ | — | — | $ | 11,985 | $ | (248) | 2 | ||||||||||||||||||||
| Subordinated | 253,822 | (8,711) | 5 | 34,697 | (29,318) | 15 | 288,519 | (38,029) | 20 | ||||||||||||||||||||||||||
| Interest-only | 38,604 | (8,682) | 34 | 22,761 | (46,537) | 43 | 61,365 | (55,219) | 77 | ||||||||||||||||||||||||||
| Agency RMBS | |||||||||||||||||||||||||||||||||||
| Interest-only | 31,059 | (4,938) | 6 | 54,153 | (23,461) | 16 | 85,212 | (28,399) | 22 | ||||||||||||||||||||||||||
| Agency CMBS | |||||||||||||||||||||||||||||||||||
| Project loans | — | — | — | 8,581 | (69) | 1 | 8,581 | (69) | 1 | ||||||||||||||||||||||||||
| Interest-only | 4,052 | (346) | 6 | — | — | — | 4,052 | (346) | 6 | ||||||||||||||||||||||||||
| Total | $ | 339,522 | $ | (22,925) | 53 | $ | 120,192 | $ | (99,385) | 75 | $ | 459,714 | $ | (122,310) | 128 | ||||||||||||||||||||
| For the Quarter Ended | For the Six Months Ended | |||||||||||||||||||
| June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | |||||||||||||||||
| (dollars in thousands) | (dollars in thousands) | |||||||||||||||||||
| Beginning allowance for credit losses | $ | 54 | $ | 6,314 | $ | 180 | $ | — | ||||||||||||
| Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 468 | 247 | 468 | 6,561 | ||||||||||||||||
| Allowance on purchased financial assets with credit deterioration | — | — | — | — | ||||||||||||||||
| Reductions for the securities sold during the period | — | (321) | — | (321) | ||||||||||||||||
| Increase/(decrease) on securities with an allowance in the prior period | (14) | (2,703) | (179) | (2,703) | ||||||||||||||||
| Write-offs charged against the allowance | — | (1,748) | (62) | (1,748) | ||||||||||||||||
| Recoveries of amounts previously written off | — | 28 | 101 | 28 | ||||||||||||||||
| Ending allowance for credit losses | $ | 508 | $ | 1,817 | $ | 508 | $ | 1,817 | ||||||||||||
| June 30, 2021 | |||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||
| Prepay Rate | CDR | Loss Severity | |||||||||||||||||||||
| Amortized Cost | Weighted Average | Weighted Average | Weighted Average | ||||||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||||||||
| Senior | 37,989,049 | 9.7% | 3.7% | 56.0% | |||||||||||||||||||
| December 31, 2020 | |||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||
| Prepay Rate | CDR | Loss Severity | |||||||||||||||||||||
| Amortized Cost | Weighted Average | Weighted Average | Weighted Average | ||||||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||||||||
| Senior | 46,500,000 | 9.2% | 3.5% | 58.3% | |||||||||||||||||||
| June 30, 2021 | ||||||||||||||||||||
| (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 | $ | 418,984 | $ | — | $ | 418,984 | $ | (102) | $ | — | $ | (102) | ||||||||
| Subordinated | 34,147 | 37,577 | 71,724 | — | (24,233) | (24,233) | ||||||||||||||
| Interest-only | — | 41,498 | 41,498 | — | (56,419) | (56,419) | ||||||||||||||
| Agency RMBS | ||||||||||||||||||||
| Interest-only | — | 219 | 219 | — | (33,674) | (33,674) | ||||||||||||||
| Agency CMBS | ||||||||||||||||||||
| Project loans | 3,091 | 98,940 | 102,031 | (7) | — | (7) | ||||||||||||||
| Interest-only | — | 5,090 | 5,090 | — | (537) | (537) | ||||||||||||||
| Total | $ | 456,222 | $ | 183,324 | $ | 639,546 | $ | (109) | $ | (114,863) | $ | (114,972) | ||||||||
| December 31, 2020 | ||||||||||||||||||||
| (dollars in thousands) | ||||||||||||||||||||
| Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | |||||||||||||||
| Non-Agency RMBS | ||||||||||||||||||||
| Senior | $ | 487,963 | $ | — | $ | 487,963 | $ | (248) | $ | — | $ | (248) | ||||||||
| Subordinated | 65,043 | 17,964 | 83,007 | — | (38,029) | (38,029) | ||||||||||||||
| Interest-only | — | 67,868 | 67,868 | — | (55,219) | (55,219) | ||||||||||||||
| Agency RMBS | ||||||||||||||||||||
| Interest-only | — | 270 | 270 | — | (28,399) | (28,399) | ||||||||||||||
| Agency CMBS | ||||||||||||||||||||
| Project loans | 5,407 | 153,826 | 159,233 | (69) | — | (69) | ||||||||||||||
| Interest-only | — | 2,659 | 2,659 | — | (346) | (346) | ||||||||||||||
| Total | $ | 558,413 | $ | 242,587 | $ | 801,000 | $ | (317) | $ | (121,993) | $ | (122,310) | ||||||||
| June 30, 2021 | |||||||||||||||||
|
Principal or Notional Value
at Period-End (dollars in thousands) |
Weighted Average Amortized
Cost Basis |
Weighted Average Fair Value |
Weighted Average
Coupon |
Weighted Average Yield at Period-End (1)
|
|||||||||||||
| Non-Agency RMBS | |||||||||||||||||
|
Senior
|
$ | 1,405,783 | $ | 49.69 | 79.45 | 4.4 | % | 17.4 | % | ||||||||
|
Subordinated
|
827,198 | 67.30 | 73.04 | 3.9 | % | 6.5 | % | ||||||||||
|
Interest-only
|
4,217,507 | 5.06 | 4.71 | 1.7 | % | 12.7 | % | ||||||||||
| Agency RMBS | |||||||||||||||||
| Interest-only | 1,164,844 | 9.47 | 6.60 | 1.3 | % | 1.4 | % | ||||||||||
| Agency CMBS | |||||||||||||||||
|
Project loans
|
974,756 | 101.78 | 112.25 | 4.2 | % | 4.1 | % | ||||||||||
|
Interest-only
|
2,412,480 | 5.71 | 5.90 | 0.7 | % | 4.6 | % | ||||||||||
| December 31, 2020 | |||||||||||||||||
|
Principal or Notional Value at Period-End
(dollars in thousands) |
Weighted Average Amortized
Cost Basis |
Weighted Average Fair Value |
Weighted Average
Coupon |
Weighted Average Yield at Period-End (1)
|
|||||||||||||
| Non-Agency RMBS | |||||||||||||||||
|
Senior
|
$ | 1,560,135 | $ | 50.65 | $ | 81.90 | 4.5 | % | 16.9 | % | |||||||
|
Subordinated
|
905,674 | 62.46 | 67.43 | 3.8 | % | 6.3 | % | ||||||||||
|
Interest-only
|
5,628,240 | 4.43 | 4.66 | 1.5 | % | 16.2 | % | ||||||||||
| Agency RMBS | |||||||||||||||||
|
Interest-only
|
1,262,963 | 9.41 | 7.18 | 1.7 | % | 1.6 | % | ||||||||||
| Agency CMBS | |||||||||||||||||
|
Project loans
|
1,527,621 | 101.81 | 112.23 | 4.1 | % | 3.8 | % | ||||||||||
|
Interest-only
|
1,326,665 | 1.78 | 1.95 | 0.6 | % | 8.4 | % | ||||||||||
| June 30, 2021 | December 31, 2020 | |||||||
| AAA | 0.1 | % | 0.2 | % | ||||
| AA | 0.1 | % | 0.1 | % | ||||
| A | 1.6 | % | 1.2 | % | ||||
| BBB | 2.1 | % | 1.9 | % | ||||
| BB | 4.5 | % | 4.3 | % | ||||
| B | 2.1 | % | 2.0 | % | ||||
| Below B | 26.6 | % | 31.9 | % | ||||
| Not Rated | 62.9 | % | 58.4 | % | ||||
| Total | 100.0 | % | 100.0 | % | ||||
| June 30, 2021 | |||||||||||||||||
| (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 | $ | 9,083 | $ | 366,593 | $ | 331,708 | $ | 409,487 | $ | 1,116,871 | |||||||
| Subordinated | 6,845 | 140,914 | 26,984 | 429,465 | 604,208 | ||||||||||||
| Interest-only | 4,495 | 160,365 | 33,125 | 604 | 198,589 | ||||||||||||
| Agency RMBS | |||||||||||||||||
| Interest-only | — | — | 76,820 | — | 76,820 | ||||||||||||
| Agency CMBS | |||||||||||||||||
| Project loans | 8,514 | — | — | 1,085,631 | 1,094,145 | ||||||||||||
| Interest-only | 1,805 | 136,990 | 3,567 | — | 142,362 | ||||||||||||
| Total fair value | $ | 30,742 | $ | 804,862 | $ | 472,204 | $ | 1,925,187 | $ | 3,232,995 | |||||||
| Amortized cost | |||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||
| Senior | $ | 7,048 | $ | 256,293 | $ | 184,278 | $ | 250,878 | $ | 698,497 | |||||||
| Subordinated | 2,483 | 122,434 | 19,445 | 412,355 | 556,717 | ||||||||||||
| Interest-only | 30,410 | 155,661 | 27,220 | 219 | 213,510 | ||||||||||||
| Agency RMBS | |||||||||||||||||
| Interest-only | — | — | 110,275 | — | 110,275 | ||||||||||||
| Agency CMBS | |||||||||||||||||
| Project loans | 8,521 | — | — | 983,600 | 992,121 | ||||||||||||
| Interest-only | 2,277 | 132,181 | 3,351 | — | 137,809 | ||||||||||||
| Total amortized cost | $ | 50,739 | $ | 666,569 | $ | 344,569 | $ | 1,647,052 | $ | 2,708,929 | |||||||
| December 31, 2020 | |||||||||||||||||
| (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 | $ | 7,850 | $ | 366,218 | $ | 467,336 | $ | 436,396 | $ | 1,277,800 | |||||||
| Subordinated | 5 | 105,272 | 102,805 | 402,573 | 610,655 | ||||||||||||
| Interest-only | 5,780 | 143,631 | 110,468 | 2,380 | 262,259 | ||||||||||||
| Agency RMBS | |||||||||||||||||
| Interest-only | — | 864 | 89,874 | — | 90,738 | ||||||||||||
| Agency CMBS | |||||||||||||||||
| Project loans | 8,581 | — | — | 1,705,902 | 1,714,483 | ||||||||||||
| Interest-only | 620 | 21,500 | 3,765 | — | 25,885 | ||||||||||||
| Total fair value | $ | 22,836 | $ | 637,485 | $ | 774,248 | $ | 2,547,251 | $ | 3,981,820 | |||||||
| Amortized cost | |||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||
| Senior | $ | 4,691 | $ | 256,935 | $ | 257,188 | $ | 271,451 | $ | 790,265 | |||||||
| Subordinated | — | 83,188 | 78,435 | 404,054 | 565,677 | ||||||||||||
| Interest-only | 26,286 | 138,150 | 82,368 | 2,806 | 249,610 | ||||||||||||
| Agency RMBS | |||||||||||||||||
| Interest-only | — | 1,898 | 116,969 | — | 118,867 | ||||||||||||
| Agency CMBS | |||||||||||||||||
| Project loans | 8,650 | — | — | 1,546,669 | 1,555,319 | ||||||||||||
| Interest-only | 788 | 19,273 | 3,511 | — | 23,572 | ||||||||||||
| Total amortized cost | $ | 40,415 | $ | 499,444 | $ | 538,471 | $ | 2,224,980 | $ | 3,303,310 | |||||||
| June 30, 2021 | 30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | ||||||||||||||||
| % of Unpaid Principal Balance | 3.0 | % | 1.3 | % | 6.5 | % | 1.4 | % | 3.2 | % | 0.3 | % | 15.7 | % | |||||||||
| December 31, 2020 | 30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | ||||||||||||||||
| % of Unpaid Principal Balance | 3.1 | % | 1.4 | % | 7.2 | % | 1.3 | % | 2.9 | % | 0.4 | % | 16.3 | % | |||||||||
| June 30, 2021 | December 31, 2020 | |||||||||||||
| Weighted average maturity (years) | 21.4 | 22.2 | ||||||||||||
|
Weighted average amortized loan to value (1)
|
60.6 | % | 61.4 | % | ||||||||||
|
Weighted average FICO (2)
|
718 | 714 | ||||||||||||
| Weighted average loan balance (in thousands) | $ | 263 | $ | 291 | ||||||||||
| Weighted average percentage owner-occupied | 83.0 | % | 81.8 | % | ||||||||||
| Weighted average percentage single family residence | 62.6 | % | 61.7 | % | ||||||||||
| Weighted average current credit enhancement | 1.0 | % | 0.9 | % | ||||||||||
| Weighted average geographic concentration of top four states | CA | 31.5 | % | CA | 33.8 | % | ||||||||
| NY | 10.0 | % | NY | 8.7 | % | |||||||||
| FL | 8.3 | % | FL | 7.9 | % | |||||||||
| NJ | 4.6 | % | NJ | 4.3 | % | |||||||||
| Origination Year | June 30, 2021 | December 31, 2020 | ||||||
| 2003 and prior | 1.5 | % | 1.7 | % | ||||
| 2004 | 1.4 | % | 1.4 | % | ||||
| 2005 | 9.6 | % | 10.3 | % | ||||
| 2006 | 53.2 | % | 52.1 | % | ||||
| 2007 | 26.3 | % | 27.2 | % | ||||
| 2008 and later | 8.0 | % | 7.3 | % | ||||
| Total | 100.0 | % | 100.0 | % | ||||
| For the Quarters | For the Six Months | |||||||||||||||||||||||||
| June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | |||||||||||||||||||||||
| (dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||||
| Proceeds from sales: | ||||||||||||||||||||||||||
| Non-Agency RMBS | 15,418 | 108,163 | 47,877 | 141,960 | ||||||||||||||||||||||
| Agency RMBS | 626 | — | 626 | 5,710,134 | ||||||||||||||||||||||
| Agency CMBS | — | 221,651 | 201,037 | 326,668 | ||||||||||||||||||||||
| Gross realized gains: | ||||||||||||||||||||||||||
| Non-Agency RMBS | 11,229 | 20,017 | 37,742 | 21,274 | ||||||||||||||||||||||
| Agency RMBS | — | — | — | 74,264 | ||||||||||||||||||||||
| Agency CMBS | — | 12,542 | 13,735 | 18,691 | ||||||||||||||||||||||
| Gross realized losses: | ||||||||||||||||||||||||||
| Non-Agency RMBS | (2,503) | (6,179) | (4,955) | (6,179) | ||||||||||||||||||||||
| Agency RMBS | (1,209) | — | (1,209) | (5,816) | ||||||||||||||||||||||
| Agency CMBS | — | — | — | — | ||||||||||||||||||||||
| Net realized gain (loss) | $ | 7,517 | $ | 26,380 | $ | 45,313 | $ | 102,234 | ||||||||||||||||||
| For the Six Months Ended | For the Year Ended | |||||||
| June 30, 2021 | December 31, 2020 | |||||||
| (dollars in thousands) | ||||||||
| Balance, beginning of period | $ | 13,112,129 | $ | 14,292,815 | ||||
| Purchases | 1,480,958 | 1,860,998 | ||||||
| Principal paydowns | (1,260,128) | (1,966,590) | ||||||
| Sales and settlements | (1,226,954) | (1,053,943) | ||||||
| Net periodic accretion (amortization) | (55,862) | (85,794) | ||||||
| Realized gains (losses) on sales and settlements | — | — | ||||||
| Change in fair value | 100,725 | 64,643 | ||||||
| Balance, end of period | $ | 12,150,868 | $ | 13,112,129 | ||||
| Origination Year | June 30, 2021 | December 31, 2020 | ||||||
| 2002 and prior | 6.8 | % | 6.9 | % | ||||
| 2003 | 5.9 | % | 5.9 | % | ||||
| 2004 | 11.8 | % | 12.0 | % | ||||
| 2005 | 17.9 | % | 18.2 | % | ||||
| 2006 | 22.5 | % | 22.7 | % | ||||
| 2007 | 22.4 | % | 22.4 | % | ||||
| 2008 | 6.5 | % | 6.4 | % | ||||
| 2009 | 1.3 | % | 1.3 | % | ||||
| 2010 and later | 4.9 | % | 4.2 | % | ||||
| Total | 100.0 | % | 100.0 | % | ||||
| June 30, 2021 | December 31, 2020 | |||||||||||||
| Number of loans | 121,982 | 132,134 | ||||||||||||
| Weighted average maturity (years) | 19.6 | 19.6 | ||||||||||||
| Weighted average loan to value | 86.4 | % | 86.1 | % | ||||||||||
| Weighted average FICO | 655 | 630 | ||||||||||||
| Weighted average loan balance (in thousands) | $ | 95 | $ | 96 | ||||||||||
| Weighted average percentage owner occupied | 88.5 | % | 87.7 | % | ||||||||||
| Weighted average percentage single family residence | 83.0 | % | 83.3 | % | ||||||||||
| Weighted average geographic concentration of top five states | CA | 12.5 | % | CA | 12.4 | % | ||||||||
| FL | 8.0 | % | FL | 8.0 | % | |||||||||
| NY | 7.6 | % | NY | 7.3 | % | |||||||||
| PA | 5.0 | % | PA | 5.0 | % | |||||||||
| VA | 4.9 | % | VA | 4.9 | % | |||||||||
| 30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | Unpaid Principal Balance | ||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||||||||
| June 30, 2021 | $580,778 | $183,728 | $598,489 | $222,184 | $324,081 | $24,781 | $1,934,041 | $11,549,915 | |||||||||||||||||||||
| % of Unpaid Principal Balance | 5.0 | % | 1.6 | % | 5.2 | % | 1.9 | % | 2.8 | % | 0.2 | % | 16.7 | % | |||||||||||||||
| December 31, 2020 | $727,012 | $289,966 | $729,713 | $277,098 | $297,509 | $29,852 | $2,351,150 | 12,640,193 | |||||||||||||||||||||
| % of Unpaid Principal Balance | 5.8 | % | 2.3 | % | 5.8 | % | 2.2 | % | 2.4 | % | 0.2 | % | 18.6 | % | |||||||||||||||
| June 30, 2021 | December 31, 2020 | |||||||||||||||||||
| (dollars in thousands) | ||||||||||||||||||||
|
Unpaid
Principal/ Notional |
Fair Value |
Unpaid
Principal/ Notional |
Fair Value | |||||||||||||||||
| Assets: | ||||||||||||||||||||
| Non-Agency RMBS | ||||||||||||||||||||
| Subordinated | 629,253 | 448,164 | 632,335 | 416,745 | ||||||||||||||||
| Interest-only | 4,217,507 | 198,589 | 5,628,240 | 262,259 | ||||||||||||||||
| Agency RMBS | ||||||||||||||||||||
| Interest-only | 1,164,844 | 76,820 | 1,262,963 | 90,738 | ||||||||||||||||
| Agency CMBS | ||||||||||||||||||||
| Project loans | 894,704 | 1,009,089 | 1,413,719 | 1,592,473 | ||||||||||||||||
| Interest-only | 2,412,480 | 142,362 | 1,326,665 | 25,885 | ||||||||||||||||
| Loans held for investment, at fair value | 11,549,915 | 12,150,868 | 12,640,195 | 13,112,129 | ||||||||||||||||
| Liabilities: | ||||||||||||||||||||
| Securitized debt at fair value, collateralized by Loans held for investment | 8,365,980 | 8,371,511 | 8,705,200 | 8,711,677 | ||||||||||||||||
| For the Quarter Ended | For the Six Months Ended | ||||||||||||||||||||||||||||
| June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | ||||||||||||||||||||||||||
| (dollars in thousands) | (dollars in thousands) | ||||||||||||||||||||||||||||
| Gain/(Loss) on Change in Fair Value | Gain/(Loss) on Change in Fair Value | ||||||||||||||||||||||||||||
| Assets: | |||||||||||||||||||||||||||||
| Non-Agency RMBS | |||||||||||||||||||||||||||||
| Senior | — | — | — | — | |||||||||||||||||||||||||
| Subordinated | 24,145 | (7,157) | 33,411 | (87,960) | |||||||||||||||||||||||||
| Interest-only | (1,720) | 105,772 | (27,571) | 56,946 | |||||||||||||||||||||||||
| Agency RMBS | |||||||||||||||||||||||||||||
| Pass-through | — | — | — | (151,056) | |||||||||||||||||||||||||
| Interest-only | (5,564) | 6,187 | (5,326) | (11,478) | |||||||||||||||||||||||||
| Agency CMBS | |||||||||||||||||||||||||||||
| Project loans | (14,334) | 12,348 | (54,884) | 88,011 | |||||||||||||||||||||||||
| Interest-only | 2,318 | 484 | 2,240 | 1,627 | |||||||||||||||||||||||||
| Loans held for investment, at fair value | 16,679 | 185,842 | 100,727 | (495,673) | |||||||||||||||||||||||||
| Liabilities: | |||||||||||||||||||||||||||||
| Securitized debt at fair value, collateralized by Loans held for investment | 14,584 | (475,397) | 257,523 | 166,774 | |||||||||||||||||||||||||
| June 30, 2021 | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Level 1 | Level 2 | Level 3 | Counterparty and Cash Collateral, netting | Total | |||||||||||||
| Assets: | |||||||||||||||||
| Non-Agency RMBS, at fair value | $ | — | $ | — | $ | 1,919,668 | $ | — | $ | 1,919,668 | |||||||
| Agency RMBS, at fair value | — | 76,820 | — | — | 76,820 | ||||||||||||
| Agency CMBS, at fair value | — | 1,236,507 | — | — | 1,236,507 | ||||||||||||
| Loans held for investment, at fair value | — | 272,198 | 11,878,670 | — | 12,150,868 | ||||||||||||
| Liabilities: | |||||||||||||||||
| Securitized debt at fair value, collateralized by Loans held for investment | — | — | 8,371,511 | — | 8,371,511 | ||||||||||||
| December 31, 2020 | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Level 1 | Level 2 | Level 3 | Counterparty and Cash Collateral, netting | Total | |||||||||||||
| Assets: | |||||||||||||||||
| Non-Agency RMBS, at fair value | $ | — | $ | — | 2,150,714 | $ | — | $ | 2,150,714 | ||||||||
| Agency RMBS, at fair value | — | 90,738 | — | — | 90,738 | ||||||||||||
| Agency CMBS, at fair value | — | 1,740,368 | — | — | 1,740,368 | ||||||||||||
| Loans held for investment, at fair value | — | — | 13,112,129 | — | 13,112,129 | ||||||||||||
| Liabilities: | |||||||||||||||||
| Securitized debt at fair value, collateralized by Loans held for investment | — | — | 8,711,677 | — | 8,711,677 | ||||||||||||
| Fair Value Reconciliation, Level 3 | |||||||||||||||||
| For the Six Months Ended | |||||||||||||||||
| June 30, 2021 | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Non-Agency RMBS | Loans held for investment | Securitized Debt | |||||||||||||||
| Beginning balance Level 3 | $ | 2,150,714 | $ | 13,112,129 | $ | 8,711,677 | |||||||||||
| Transfers into Level 3 | — | — | — | ||||||||||||||
| Transfers out of Level 3 | — | (272,198) | — | ||||||||||||||
| Purchases of assets/ issuance of debt | 9,766 | 1,480,958 | 4,677,423 | ||||||||||||||
| Principal payments | (170,247) | (1,260,128) | (1,051,306) | ||||||||||||||
| Sales and Settlements | (47,674) | (1,226,954) | (3,976,979) | ||||||||||||||
| Net accretion (amortization) | 38,518 | (55,862) | 12,697 | ||||||||||||||
| Gains (losses) included in net income | |||||||||||||||||
| (Increase) decrease in provision for credit losses | (327) | — | — | ||||||||||||||
| Realized gains (losses) on sales and settlements | 32,807 | — | 255,523 | ||||||||||||||
| Net unrealized gains (losses) included in income | 5,840 | 100,725 | (257,524) | ||||||||||||||
| Gains (losses) included in other comprehensive income | |||||||||||||||||
| Total unrealized gains (losses) for the period | (99,729) | — | — | ||||||||||||||
| Ending balance Level 3 | $ | 1,919,668 | $ | 11,878,670 | $ | 8,371,511 | |||||||||||
| Fair Value Reconciliation, Level 3 | |||||||||||||||||
| For the Year Ended | |||||||||||||||||
| December 31, 2020 | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Non-Agency RMBS | Loans held for investment | Securitized Debt | |||||||||||||||
| Beginning balance Level 3 | $ | 2,614,408 | $ | 14,292,815 | $ | 8,179,608 | |||||||||||
| Transfers into Level 3 | 135,118 | — | — | ||||||||||||||
| Transfers out of Level 3 | (135,118) | — | — | ||||||||||||||
| Purchases of assets/ issuance of debt | 54,811 | 1,860,998 | 3,043,252 | ||||||||||||||
| Principal payments | (261,738) | (1,966,590) | (1,751,903) | ||||||||||||||
| Sales and Settlements | (166,786) | (1,053,943) | (783,880) | ||||||||||||||
| Net accretion (amortization) | 39,246 | (85,794) | (22,546) | ||||||||||||||
| Gains (losses) included in net income | |||||||||||||||||
| Other than temporary credit impairment losses | (180) | — | — | ||||||||||||||
| Realized gains (losses) on sales and settlements | 12,571 | — | (1,031) | ||||||||||||||
| Net unrealized gains (losses) included in income | (9,030) | 64,643 | 48,177 | ||||||||||||||
| Gains (losses) included in other comprehensive income | |||||||||||||||||
| Total unrealized gains (losses) for the period | (132,588) | — | — | ||||||||||||||
| Ending balance Level 3 | $ | 2,150,714 | $ | 13,112,129 | $ | 8,711,677 | |||||||||||
| June 30, 2021 | ||||||||||||||||||||||||||
| Significant Inputs | ||||||||||||||||||||||||||
| Discount Rate | Prepay Rate | CDR | Loss Severity | |||||||||||||||||||||||
| Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | |||||||||||||||||||
| Non-Agency RMBS | ||||||||||||||||||||||||||
| Senior |
1%-10%
|
3.6% |
1%-30%
|
11.2% |
0%-10%
|
2.0% |
26%-65%
|
39.4% | ||||||||||||||||||
| Subordinated |
2%-10%
|
5.6% |
1%-50%
|
16.5% |
0%-7%
|
1.1% |
0%-47%
|
40.0% | ||||||||||||||||||
| Interest-only |
0%-100%
|
10.2% |
1%-60%
|
28.0% |
0%-8%
|
1.4% |
0%-85%
|
32.6% | ||||||||||||||||||
| December 31, 2020 | ||||||||||||||||||||||||||
| Significant Inputs | ||||||||||||||||||||||||||
| Discount Rate | Prepay Rate | CDR | Loss Severity | |||||||||||||||||||||||
| Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | |||||||||||||||||||
| Non-Agency RMBS | ||||||||||||||||||||||||||
| Senior |
2% -10%
|
3.3% |
1% -25%
|
9.5% |
1% -10%
|
2.0% |
26% -82%
|
41.5% | ||||||||||||||||||
| Subordinated |
2% -10%
|
6.1% |
2% -42%
|
13.6% |
0% -6%
|
1.3% |
10% -77%
|
39.8% | ||||||||||||||||||
| Interest-only |
0% -100%
|
10.2% |
6% -47%
|
26.3% |
0% -8%
|
1.4% |
0% -79%
|
33.6% | ||||||||||||||||||
| June 30, 2021 | ||||||||||||||||||||||||||
| Significant Inputs | ||||||||||||||||||||||||||
| Discount Rate | Prepay Rate | CDR | Loss Severity | |||||||||||||||||||||||
| Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | |||||||||||||||||||
| Securitized debt at fair value, collateralized by Loans held for investment |
0%-10%
|
2.3% |
5%-40%
|
12.8% |
0%-7%
|
1.2% |
30%-75%
|
59.7% | ||||||||||||||||||
| December 31, 2020 | ||||||||||||||||||||||||||
| Significant Inputs | ||||||||||||||||||||||||||
| Discount Rate | Prepay Rate | CDR | Loss Severity | |||||||||||||||||||||||
| Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | |||||||||||||||||||
| Securitized debt at fair value, collateralized by Loans held for investment |
0% -10%
|
2.5% |
4% - 40%
|
10.5% |
0% - 7%
|
1.3% |
30% - 75%
|
57.6% | ||||||||||||||||||
| June 30, 2021 | December 31, 2020 | ||||||||||
| Factor: | |||||||||||
| Coupon | |||||||||||
|
Base Rate
|
3.4% | 3.4% | |||||||||
|
Actual
|
6.3% | 6.3% | |||||||||
| FICO | |||||||||||
|
Base Rate
|
640 | 640 | |||||||||
|
Actual
|
652 | 627 | |||||||||
| Loan-to-value (LTV) | |||||||||||
|
Base Rate
|
87% | 85% | |||||||||
|
Actual
|
86% | 86% | |||||||||
| Loan Characteristics: | |||||||||||
| Occupancy | |||||||||||
| Owner Occupied | 90% | 89% | |||||||||
| Investor | 3% | 2% | |||||||||
| Secondary | 7% | 9% | |||||||||
| Property Type | |||||||||||
| Single family | 85% | 84% | |||||||||
| Manufactured housing | 4% | 4% | |||||||||
| Multi-family/mixed use/other | 11% | 12% | |||||||||
| June 30, 2021 | |||||||||||
| (dollars in thousands) | |||||||||||
| Level in Fair Value Hierarchy | Carrying Amount | Fair Value | |||||||||
| Secured financing agreements | 2 | 3,554,428 | 3,558,932 | ||||||||
| Securitized debt, collateralized by Non-Agency RMBS | 3 | 99,559 | 81,400 | ||||||||
| Long Term Debt | 2 | 20,550 | 48,315 | ||||||||
| December 31, 2020 | |||||||||||
| (dollars in thousands) | |||||||||||
| Level in Fair Value Hierarchy | Carrying Amount | Fair Value | |||||||||
| Secured financing agreements | 2 | 4,636,847 | 4,803,256 | ||||||||
| Securitized debt, collateralized by Non-Agency RMBS | 3 | 113,433 | 97,097 | ||||||||
| Long Term Debt | 2 | 51,623 | 80,750 | ||||||||
| June 30, 2021 | December 31, 2020 | |||||||
| Secured financing agreements outstanding secured by: | ||||||||
| Agency RMBS (in thousands) | $ | 57,025 | $ | 69,180 | ||||
| Agency CMBS (in thousands) | 943,213 | 1,333,799 | ||||||
|
Non-Agency RMBS and Loans held for investment (in thousands) (1)
|
2,554,190 | 3,233,868 | ||||||
| Total: | $ | 3,554,428 | $ | 4,636,847 | ||||
| MBS pledged as collateral at fair value on Secured financing agreements: | ||||||||
| Agency RMBS (in thousands) | $ | 61,884 | $ | 86,160 | ||||
| Agency CMBS (in thousands) | 989,368 | 1,382,783 | ||||||
| Non-Agency RMBS and Loans held for investment (in thousands) | 3,703,797 | 5,227,271 | ||||||
| Total: | $ | 4,755,049 | $ | 6,696,214 | ||||
| Average balance of Secured financing agreements secured by: | ||||||||
| Agency RMBS (in thousands) | $ | 63,566 | $ | 1,407,713 | ||||
| Agency CMBS (in thousands) | 1,126,446 | 1,818,721 | ||||||
| Non-Agency RMBS and Loans held for investment (in thousands) | 3,004,918 | 4,089,911 | ||||||
| Total: | $ | 4,194,930 | $ | 7,316,345 | ||||
| Average borrowing rate of Secured financing agreements secured by: | ||||||||
| Agency RMBS (in thousands) | 0.74 | % | 0.90 | % | ||||
| Agency CMBS (in thousands) | 0.14 | % | 0.21 | % | ||||
| Non-Agency RMBS and Loans held for investment (in thousands) | 3.13 | % | 4.78 | % | ||||
| Average remaining maturity of Secured financing agreements secured by: | ||||||||
| Agency RMBS (in thousands) | 1 Days | 12 days | ||||||
| Agency CMBS (in thousands) | 12 Days | 11 days | ||||||
| Non-Agency RMBS and Loans held for investment (in thousands) | 363 Days | 458 days | ||||||
| Average original maturity of Secured financing agreements secured by: | ||||||||
| Agency RMBS (in thousands) | 22 Days | 14 days | ||||||
| Agency CMBS (in thousands) | 29 Days | 30 days | ||||||
| Non-Agency RMBS and Loans held for investment (in thousands) | 387 Days | 492 days | ||||||
| June 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||
|
Principal (1)
|
Weighted Average Borrowing Rates | Range of Borrowing Rates |
Principal (1)
|
Weighted Average Borrowing Rates | Range of Borrowing Rates | ||||||||||||||||||
| Overnight | $ | 105,673 | 0.73% |
0.70% - 0.78%
|
$ | — | NA | NA | |||||||||||||||
| 1 to 29 days | 1,248,179 | 0.84% |
0.08% - 3.25%
|
1,521,134 | 0.38% |
0.20% - 2.72%
|
|||||||||||||||||
| 30 to 59 days | 267,897 | 1.57% |
1.38% - 1.96%
|
481,257 | 4.35% |
2.42% - 6.61%
|
|||||||||||||||||
| 60 to 89 days | 459,140 | 2.16% |
1.38% - 2.44%
|
352,684 | 2.78% |
1.34% - 6.30%
|
|||||||||||||||||
| 90 to 119 days | 51,944 | 1.82% |
1.82% - 1.82%
|
301,994 | 7.97% |
7.97% - 7.97%
|
|||||||||||||||||
| 120 to 180 days | 122,765 | 1.77% |
1.77% - 1.77%
|
595,900 | 5.29% |
2.40% - 6.26%
|
|||||||||||||||||
| 180 days to 1 year | 146,296 | 1.79% |
0.95% - 1.95%
|
345,204 | 3.60% |
3.25% - 4.50%
|
|||||||||||||||||
| 1 to 2 years | 837,513 | 3.96% |
2.85% - 4.38%
|
— | NA | NA | |||||||||||||||||
| 2 to 3 years | — | NA | NA | 642,696 | 4.91% |
1.65% - 7.00%
|
|||||||||||||||||
| Greater than 3 years | 315,021 | 5.56% |
5.56% - 5.56%
|
395,978 | 5.56% |
5.56% - 5.56%
|
|||||||||||||||||
| Total | $ | 3,554,428 | 2.30% | $ | 4,636,847 | 3.41% | |||||||||||||||||
| June 30, 2021 | December 31, 2020 | |||||||
| (dollars in thousands) | ||||||||
| Within One Year | $ | 10,378 | $ | 13,552 | ||||
| One to Three Years | 4,833 | 11,229 | ||||||
| Three to Five Years | 1,273 | 1,589 | ||||||
| Greater Than Five Years | 120 | 305 | ||||||
| Total | $ | 16,604 | $ | 26,675 | ||||
| June 30, 2021 | December 31, 2020 | |||||||
| (dollars in thousands) | ||||||||
| Within One Year | $ | 1,869,298 | $ | 1,837,055 | ||||
| One to Three Years | 2,813,068 | 2,819,646 | ||||||
| Three to Five Years | 1,838,129 | 1,774,273 | ||||||
| Greater Than Five Years | 1,802,739 | 2,170,253 | ||||||
| Total | $ | 8,323,234 | $ | 8,601,227 | ||||
| June 30, 2021 | |||||
| (dollars in thousands) | |||||
| Year | Principal | ||||
| Currently callable | 201,418 | ||||
| 2021 | 411,620 | ||||
| 2022 | 1,616,063 | ||||
| 2023 | 1,126,194 | ||||
| 2024 | 1,160,107 | ||||
| 2025 | 2,798,532 | ||||
| Total | $ | 7,313,934 | |||
| June 30, 2021 | December 31, 2020 | |||||||
| (dollars in thousands) | ||||||||
| Assets: | ||||||||
|
Non-Agency RMBS, at fair value (1)
|
$ | 452,889 | $ | 505,479 | ||||
| Loans held for investment, at fair value | 10,576,592 | 11,591,598 | ||||||
| Accrued interest receivable | 50,624 | 53,804 | ||||||
| Other assets | 10,353 | 14,136 | ||||||
| Total Assets: | $ | 11,090,458 | $ | 12,165,017 | ||||
| Liabilities: | ||||||||
| Securitized debt, collateralized by Non-Agency RMBS | $ | 99,559 | $ | 113,433 | ||||
| Securitized debt at fair value, collateralized by Loans held for investment | 7,668,480 | 7,923,523 | ||||||
| Accrued interest payable | 16,594 | 23,677 | ||||||
| Other liabilities | 2,204 | 2,477 | ||||||
| Total Liabilities: | 7,786,837 | 8,063,110 | ||||||
| For the Quarters ended | |||||||||||
| June 30, 2021 | June 30, 2020 | ||||||||||
| (dollars in thousands) | |||||||||||
| Interest income, Assets of consolidated VIEs | $ | 149,115 | $ | 169,127 | |||||||
| Interest expense, Non-recourse liabilities of VIEs | 50,935 | 70,816 | |||||||||
| Net interest income | $ | 98,180 | $ | 98,311 | |||||||
| (Increase) decrease in provision for credit losses | $ | (365) | $ | (75) | |||||||
| Servicing fees | $ | 6,640 | $ | 8,145 | |||||||
| For the Six Months ended | |||||||||||
| June 30, 2021 | June 30, 2020 | ||||||||||
| (dollars in thousands) | |||||||||||
| Interest income, Assets of consolidated VIEs | $ | 307,214 | $ | 343,809 | |||||||
| Interest expense, Non-recourse liabilities of VIEs | 116,141 | 135,445 | |||||||||
| Net interest income | $ | 191,073 | $ | 208,364 | |||||||
| (Increase) decrease in provision for credit losses | $ | (248) | $ | (216) | |||||||
| Servicing fees | $ | 13,683 | $ | 16,382 | |||||||
|
Net gains (losses) on derivatives
for the six months ended |
||||||||||||||
| Derivative Instruments |
Location on Consolidated Statements of
Operations and Comprehensive Income |
June 30, 2021 | June 30, 2020 | |||||||||||
| (dollars in thousands) | ||||||||||||||
| Interest Rate Swaps | Net unrealized gains (losses) on derivatives | $ | — | $ | 204,611 | |||||||||
| Interest Rate Swaps |
Net realized gains (losses) on derivatives (1)
|
— | (470,352) | |||||||||||
| Treasury Futures | Net unrealized gains (losses) on derivatives | — | (3,611) | |||||||||||
| Treasury Futures | Net realized gains (losses) on derivatives | — | (34,700) | |||||||||||
| Swaptions | Net unrealized gains (losses) on derivatives | — | — | |||||||||||
| Swaptions | Net realized gains (losses) on derivatives | — | — | |||||||||||
| Total | $ | — | $ | (304,052) | ||||||||||
| For the Quarters Ended | |||||||||||
| June 30, 2021 | June 30, 2020 | ||||||||||
| (dollars in thousands) | |||||||||||
| Numerator: | |||||||||||
| Net income (loss) available to common shareholders - Basic | $ | 144,883 | $ | (73,393) | |||||||
| Effect of dilutive securities: | |||||||||||
| Interest expense attributable to convertible notes | 959 | — | |||||||||
| Net income (loss) available to common shareholders - Diluted | $ | 145,842 | $ | (73,393) | |||||||
| Denominator: | |||||||||||
| Weighted average basic shares | 231,638,042 | 199,282,790 | |||||||||
| Effect of dilutive securities | 10,101,494 | — | |||||||||
| Weighted average dilutive shares | 241,739,536 | 199,282,790 | |||||||||
| Net income (loss) per average share attributable to common stockholders - Basic | $ | 0.63 | $ | (0.37) | |||||||
| Net income (loss) per average share attributable to common stockholders - Diluted | $ | 0.60 | $ | (0.37) | |||||||
| For the Six Months ended | |||||||||||
| June 30, 2021 | June 30, 2020 | ||||||||||
| (dollars in thousands) | |||||||||||
| Numerator: | |||||||||||
| Net income (loss) available to common shareholders - Basic | $ | 284,037 | $ | (462,585) | |||||||
| Effect of dilutive securities: | |||||||||||
| Interest expense attributable to convertible notes | 2,035 | — | |||||||||
| Net income (loss) available to common shareholders - Diluted | $ | 286,072 | $ | (462,585) | |||||||
| Denominator: | |||||||||||
| Weighted average basic shares | 231,105,595 | 193,150,696 | |||||||||
| Effect of dilutive securities | 20,618,345 | — | |||||||||
| Weighted average dilutive shares | 251,723,940 | 193,150,696 | |||||||||
| Net income (loss) per average share attributable to common stockholders - Basic | $ | 1.23 | $ | (2.39) | |||||||
| Net income (loss) per average share attributable to common stockholders - Diluted | $ | 1.14 | $ | (2.39) | |||||||
| June 30, 2021 | ||||||||
| (dollars in thousands) | ||||||||
| Unrealized gains (losses) on available-for-sale securities, net | Total Accumulated OCI Balance | |||||||
| Balance as of December 31, 2020 | $ | 558,096 | $ | 558,096 | ||||
| OCI before reclassifications | (64,867) | (64,867) | ||||||
| Amounts reclassified from AOCI | (37,116) | (37,116) | ||||||
| Net current period OCI | (101,983) | (101,983) | ||||||
| Balance as of June 30, 2021 | $ | 456,113 | $ | 456,113 | ||||
| June 30, 2020 | ||||||||
| (dollars in thousands) | ||||||||
| Unrealized gains (losses) on available-for-sale securities, net | Total Accumulated OCI Balance | |||||||
| Balance as of December 31, 2019 | $ | 708,336 | $ | 708,336 | ||||
| OCI before reclassifications | (137,805) | (137,805) | ||||||
| Amounts reclassified from AOCI | (33,021) | (33,021) | ||||||
| Net current period OCI | (170,826) | (170,826) | ||||||
| Balance as of June 30, 2020 | $ | 537,510 | $ | 537,510 | ||||
| Net Income | |||||||||||||||||||||||
| (dollars in thousands, except share and per share data) | |||||||||||||||||||||||
| (unaudited) | |||||||||||||||||||||||
| For the Quarters Ended | For the Six Months Ended | ||||||||||||||||||||||
| June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | ||||||||||||||||||||
| Net interest income: | |||||||||||||||||||||||
|
Interest income (1)
|
$ | 252,677 | $ | 245,922 | $ | 495,805 | $ | 546,189 | |||||||||||||||
|
Interest expense (2)
|
80,610 | 129,256 | 188,677 | 271,339 | |||||||||||||||||||
| Net interest income | 172,067 | 116,666 | 307,128 | 274,850 | |||||||||||||||||||
| Increase (decrease) in provision for credit losses | 453 | (4,497) | 327 | 1,817 | |||||||||||||||||||
| Other investment gains (losses): | |||||||||||||||||||||||
| Net unrealized gains (losses) on derivatives | — | — | — | 201,000 | |||||||||||||||||||
| Realized gains (losses) on terminations of interest rate swaps | — | — | — | (463,966) | |||||||||||||||||||
| Net realized gains (losses) on derivatives | — | — | — | (41,086) | |||||||||||||||||||
| Net gains (losses) on derivatives | — | — | — | (304,052) | |||||||||||||||||||
| Net unrealized gains (losses) on financial instruments at fair value | 36,108 | (171,921) | 306,120 | (432,809) | |||||||||||||||||||
| Net realized gains (losses) on sales of investments | 7,517 | 26,380 | 45,313 | 102,234 | |||||||||||||||||||
| Gains (losses) on extinguishment of debt | (21,777) | 459 | (258,914) | 459 | |||||||||||||||||||
| Total other gains (losses) | 21,848 | (145,082) | 92,519 | (634,168) | |||||||||||||||||||
| Other expenses: | |||||||||||||||||||||||
| Compensation and benefits | 9,230 | 10,255 | 22,669 | 23,190 | |||||||||||||||||||
| General and administrative expenses | 6,173 | 5,963 | 11,371 | 11,100 | |||||||||||||||||||
| Servicing and asset manager fees | 9,081 | 10,072 | 18,362 | 20,601 | |||||||||||||||||||
| Transaction expenses | 5,745 | 4,710 | 22,182 | 9,616 | |||||||||||||||||||
| Total other expenses | 30,229 | 31,000 | 74,584 | 64,507 | |||||||||||||||||||
| Income (loss) before income taxes | 163,233 | (54,919) | 324,736 | (425,642) | |||||||||||||||||||
| Income taxes | (88) | 36 | 3,824 | 68 | |||||||||||||||||||
| Net income (loss) | $ | 163,321 | $ | (54,955) | $ | 320,912 | $ | (425,710) | |||||||||||||||
| Dividends on preferred stock | 18,438 | 18,438 | 36,875 | 36,875 | |||||||||||||||||||
| Net income (loss) available to common shareholders | $ | 144,883 | $ | (73,393) | $ | 284,037 | $ | (462,585) | |||||||||||||||
| Net income (loss) per share available to common shareholders: | |||||||||||||||||||||||
| Basic | $ | 0.63 | $ | (0.37) | $ | 1.23 | $ | (2.39) | |||||||||||||||
| Diluted | $ | 0.60 | $ | (0.37) | $ | 1.14 | $ | (2.39) | |||||||||||||||
| Weighted average number of common shares outstanding: | |||||||||||||||||||||||
| Basic | 231,638,042 | 199,282,790 | 231,105,595 | 193,150,696 | |||||||||||||||||||
| Diluted | 241,739,536 | 199,282,790 | 251,723,940 | 193,150,696 | |||||||||||||||||||
| Dividends declared per share of common stock | $ | 0.33 | $ | 0.30 | $ | 0.63 | $ | 0.80 | |||||||||||||||
|
GAAP
Interest Income |
GAAP
Interest Expense |
Net Realized (Gains)
Losses on Interest Rate Swaps |
Interest Expense on Long Term Debt |
Economic Interest
Expense |
GAAP Net Interest
Income |
Net Realized
Gains (Losses) on Interest Rate Swaps |
Other (1)
|
Economic
Net Interest Income |
|||||||||||||||||||||||||||
| For the Quarter Ended June 30, 2021 | $ | 252,677 | $ | 80,610 | $ | — | $ | (959) | $ | 79,651 | $ | 172,067 | $ | — | $ | 936 | $ | 173,003 | |||||||||||||||||
| For the Quarter Ended March 31, 2021 | $ | 243,127 | $ | 108,066 | $ | — | $ | (1,076) | $ | 106,990 | $ | 135,061 | $ | — | $ | 1,065 | $ | 136,126 | |||||||||||||||||
| For the Quarter Ended December 31, 2020 | $ | 236,156 | $ | 120,285 | $ | — | $ | (1,197) | $ | 119,088 | $ | 115,871 | $ | — | $ | 1,177 | $ | 117,048 | |||||||||||||||||
| For the Quarter Ended September 30, 2020 | $ | 247,905 | $ | 124,557 | $ | — | $ | (1,495) | $ | 123,062 | $ | 123,348 | $ | — | $ | 1,487 | $ | 124,835 | |||||||||||||||||
| For the Quarter Ended June 30, 2020 | $ | 245,922 | $ | 129,256 | $ | — | $ | (4,391) | $ | 124,865 | $ | 116,666 | $ | — | $ | 4,358 | $ | 121,024 | |||||||||||||||||
| For the Six Months Ended | |||||||||||||||||||||||
| June 30, 2021 | June 30, 2020 | ||||||||||||||||||||||
| (dollars in thousands) | (dollars in thousands) | ||||||||||||||||||||||
|
Average
Balance |
Interest |
Average
Yield/Cost |
Average
Balance |
Interest |
Average
Yield/Cost |
||||||||||||||||||
| Assets: | |||||||||||||||||||||||
|
Interest-earning assets (1):
|
|||||||||||||||||||||||
| Agency RMBS | $ | 113,844 | $ | 663 | 1.2 | % | $ | 2,715,407 | $ | 43,345 | 3.2 | % | |||||||||||
| Agency CMBS | 1,244,370 | 56,592 | 9.1 | % | 2,213,342 | 40,860 | 3.7 | % | |||||||||||||||
| Non-Agency RMBS | 1,537,031 | 125,517 | 16.3 | % | 1,816,723 | 118,529 | 13.0 | % | |||||||||||||||
| Loans held for investment | 11,985,846 | 312,998 | 5.2 | % | 13,430,616 | 342,157 | 5.1 | % | |||||||||||||||
| Total | $ | 14,881,091 | $ | 495,770 | 6.7 | % | $ | 20,176,088 | $ | 544,891 | 5.4 | % | |||||||||||
| Liabilities and stockholders' equity: | |||||||||||||||||||||||
|
Interest-bearing liabilities(2):
|
|||||||||||||||||||||||
| Secured financing agreements collateralized by: | |||||||||||||||||||||||
| Agency RMBS | $ | 63,566 | $ | 265 | 0.8 | % | $ | 2,551,002 | $ | 27,342 | 2.1 | % | |||||||||||
| Agency CMBS | 1,126,446 | 876 | 0.2 | % | 2,142,221 | 14,706 | 1.4 | % | |||||||||||||||
| Non-Agency RMBS | 937,280 | 20,095 | 4.3 | % | 1,320,438 | 32,073 | 4.9 | % | |||||||||||||||
| Loans held for investment | 2,067,638 | 40,699 | 3.9 | % | 3,417,370 | 60,229 | 3.5 | % | |||||||||||||||
| Securitized debt | 8,582,254 | 124,706 | 2.9 | % | 8,251,762 | 138,984 | 3.4 | % | |||||||||||||||
| Total | $ | 12,777,184 | $ | 186,641 | 2.9 | % | $ | 17,682,793 | $ | 273,334 | 3.1 | % | |||||||||||
| Economic net interest income/net interest rate spread | $ | 309,129 | 3.8 | % | $ | 271,557 | 2.3 | % | |||||||||||||||
| Net interest-earning assets/net interest margin | $ | 2,103,907 | 4.2 | % | $ | 2,493,295 | 2.7 | % | |||||||||||||||
| Ratio of interest-earning assets to interest bearing liabilities | 1.16 | 1.14 | |||||||||||||||||||||
| (1) Interest-earning assets at amortized cost | |||||||||||||||||||||||
| (2) Interest includes net cash paid/received on swaps | |||||||||||||||||||||||
| Average Debt Balance |
Economic Interest Expense (1)
|
Average Cost of Funds | Average One-Month LIBOR | Average Three-Month LIBOR | Average One-Month LIBOR Relative to Average Three-Month LIBOR | |||||||||||||||||||||
| (Ratios have been annualized, dollars in thousands) | ||||||||||||||||||||||||||
| For the Quarter Ended June 30, 2021 | $ | 12,422,089 | $ | 79,651 | 2.56 | % | 0.10 | % | 0.16 | % | (0.06) | % | ||||||||||||||
| For the Quarter Ended March 31, 2021 | $ | 13,148,481 | $ | 106,990 | 3.25 | % | 0.12 | % | 0.20 | % | (0.08) | % | ||||||||||||||
| For the Quarter Ended December 31, 2020 | $ | 13,296,177 | $ | 119,088 | 3.58 | % | 0.15 | % | 0.22 | % | (0.07) | % | ||||||||||||||
| For the Quarter Ended September 30, 2020 | $ | 13,981,065 | $ | 123,062 | 3.52 | % | 0.16 | % | 0.25 | % | (0.09) | % | ||||||||||||||
| For the Quarter Ended June 30, 2020 | $ | 14,995,904 | $ | 124,865 | 3.33 | % | 0.35 | % | 0.60 | % | (0.25) | % | ||||||||||||||
| Total Compensation, G&A and Transaction Expenses | Total Compensation, G&A and Transaction Expenses/Average Assets | Total Compensation, G&A and Transaction Expenses/Average Equity | |||||||||
| (Ratios have been annualized, dollars in thousands) | |||||||||||
| For the Quarter Ended June 30, 2021 | $ | 21,148 | 0.52 | % | 2.35 | % | |||||
| For the Quarter Ended March 31, 2021 | $ | 35,074 | 0.82 | % | 3.82 | % | |||||
| For the Quarter Ended December 31, 2020 | $ | 20,741 | 0.47 | % | 2.22 | % | |||||
| For the Quarter Ended September 30, 2020 | $ | 18,147 | 0.40 | % | 2.05 | % | |||||
| For the Quarter Ended June 30, 2020 | $ | 20,928 | 0.44 | % | 2.52 | % | |||||
| For the Quarters Ended | |||||||||||||||||
| June 30, 2021 | March 31, 2021 | December 31, 2020 | September 30, 2020 | June 30, 2020 | |||||||||||||
| (dollars in thousands, except per share data) | |||||||||||||||||
| GAAP Net income available to common stockholders | $ | 144,883 | $ | 139,153 | $ | 128,797 | $ | 348,891 | $ | (73,393) | |||||||
| Adjustments: | |||||||||||||||||
| Net unrealized (gains) losses on financial instruments at fair value | (36,108) | (270,012) | (61,379) | (260,766) | 171,921 | ||||||||||||
| Net realized (gains) losses on sales of investments | (7,517) | (37,796) | 329 | (65,041) | (26,380) | ||||||||||||
| (Gains) losses on extinguishment of debt | 21,777 | 237,137 | (919) | 55,794 | (459) | ||||||||||||
| Interest expense on long term debt | 959 | 1,076 | 1,197 | 1,495 | 4,391 | ||||||||||||
| Increase (decrease) in provision for credit losses | 453 | (126) | 13 | (1,650) | (4,497) | ||||||||||||
| Transaction expenses | 5,745 | 16,437 | 3,827 | 1,624 | 4,710 | ||||||||||||
| Stock Compensation expense for retirement eligible awards | (361) | 661 | (225) | (275) | (273) | ||||||||||||
| Core Earnings | $ | 129,831 | $ | 86,530 | $ | 71,640 | $ | 80,072 | $ | 76,020 | |||||||
| GAAP net income per diluted common share | $ | 0.60 | $ | 0.54 | $ | 0.49 | $ | 1.32 | $ | (0.37) | |||||||
| Core earnings per adjusted diluted common share | $ | 0.54 | $ | 0.36 | $ | 0.29 | $ | 0.33 | $ | 0.32 | |||||||
| For the Quarters Ended | ||||||||||||||||||||
| June 30, 2021 | March 31, 2021 | December 31, 2020 | September 30, 2020 | June 30, 2020 | ||||||||||||||||
| Weighted Average diluted shares - GAAP | 241,739,536 | 261,435,081 | 264,882,701 | 265,346,359 | 199,282,790 | |||||||||||||||
| Conversions from Convertible Debt | — | — | — | — | 42,910,191 | |||||||||||||||
| Non-participating Warrants | — | (20,282,173) | (20,278,970) | (20,277,134) | (4,901,962) | |||||||||||||||
| Weighted Average diluted shares - Core earnings | 241,739,536 | 241,152,908 | 244,603,731 | 245,069,225 | 237,291,019 | |||||||||||||||
| Return on Average Equity | Economic Net Interest Income/Average Equity * | Core Earnings/Average Common Equity | |||||||||
| (Ratios have been annualized) | |||||||||||
| For the Quarter Ended June 30, 2021 | 18.16 | % | 19.24 | % | 19.47 | % | |||||
| For the Quarter Ended March 31, 2021 | 17.16 | % | 14.82 | % | 12.62 | % | |||||
| For the Quarter Ended December 31, 2020 | 15.76 | % | 12.53 | % | 10.21 | % | |||||
| For the Quarter Ended September 30, 2020 | 41.43 | % | 14.08 | % | 12.24 | % | |||||
| For the Quarter Ended June 30, 2020 | (6.62) | % | 14.58 | % | 12.72 | % | |||||
| June 30, 2021 | December 31, 2020 | |||||||
|
Interest earning assets at period-end (1)
|
$ | 15,383,863 | $ | 17,093,949 | ||||
| Interest bearing liabilities at period-end | $ | 12,046,048 | $ | 13,513,580 | ||||
| GAAP Leverage at period-end | 3.3:1 | 3.6:1 | ||||||
| GAAP Leverage at period-end (recourse) | 1.0:1 | 1.2:1 | ||||||
| June 30, 2021 | December 31, 2020 | June 30, 2021 | December 31, 2020 | ||||||||||||||
| Portfolio Composition | Amortized Cost | Fair Value | |||||||||||||||
|
Non-Agency RMBS
|
10.4 | % | 10.2 | % | 12.5 | % | 12.6 | % | |||||||||
|
Senior
|
5.0 | % | 5.0 | % | 7.3 | % | 7.5 | % | |||||||||
|
Subordinated
|
3.9 | % | 3.6 | % | 3.9 | % | 3.6 | % | |||||||||
|
Interest-only
|
1.5 | % | 1.6 | % | 1.3 | % | 1.5 | % | |||||||||
|
Agency RMBS
|
0.8 | % | 0.7 | % | 0.5 | % | 0.5 | % | |||||||||
|
Pass-through
|
— | % | — | % | — | % | — | % | |||||||||
|
Interest-only
|
0.8 | % | 0.7 | % | 0.5 | % | 0.5 | % | |||||||||
|
Agency CMBS
|
8.0 | % | 10.0 | % | 8.0 | % | 10.2 | % | |||||||||
|
Project loans
|
7.0 | % | 9.9 | % | 7.1 | % | 10.0 | % | |||||||||
|
Interest-only
|
1.0 | % | 0.1 | % | 0.9 | % | 0.2 | % | |||||||||
| Loans held for investment | 80.8 | % | 79.1 | % | 79.0 | % | 76.7 | % | |||||||||
|
Fixed-rate percentage of portfolio
|
95.0 | % | 94.9 | % | 93.7 | % | 93.2 | % | |||||||||
|
Adjustable-rate percentage of portfolio
|
5.0 | % | 5.1 | % | 6.3 | % | 6.8 | % | |||||||||
| June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||
|
Principal or Notional Value at Period-End
(dollars in thousands) |
Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon |
Weighted Average Yield at Period-End (1)
|
Weighted Average 3 Month Prepay Rate at Period-End | Weighted Average 12 Month Prepay Rate at Period-End | Weighted Average 3 Month CDR at Period-End | Weighted Average 12 Month CDR at Period-End |
Weighted Average Loss Severity(2)
|
Weighted Average Credit Enhancement | |||||||||||||||||||||||||||||||
| Non-Agency Mortgage-Backed Securities | |||||||||||||||||||||||||||||||||||||||||
|
Senior
|
$ | 1,405,784 | $ | 49.69 | $ | 79.45 | 4.4 | % | 17.4 | % | 14.6 | % | 13.2 | % | 3.4 | % | 2.8 | % | 31.8 | % | 2.9 | % | |||||||||||||||||||
|
Subordinated
|
$ | 827,198 | $ | 67.30 | $ | 73.04 | 3.9 | % | 6.5 | % | 20.3 | % | 16.1 | % | 0.8 | % | 0.8 | % | 26.9 | % | 3.3 | % | |||||||||||||||||||
|
Interest-only
|
$ | 4,217,507 | $ | 5.06 | $ | 4.71 | 1.7 | % | 12.7 | % | 30.2 | % | 25.4 | % | 2.5 | % | 2.4 | % | 27.3 | % | — | % | |||||||||||||||||||
| Agency RMBS | |||||||||||||||||||||||||||||||||||||||||
|
Interest-only
|
$ | 1,164,844 | $ | 9.47 | $ | 6.60 | 1.3 | % | 1.4 | % | 27.6 | % | 23.5 | % | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
| Agency CMBS | |||||||||||||||||||||||||||||||||||||||||
|
Project loans
|
$ | 974,755 | $ | 101.78 | $ | 112.25 | 4.2 | % | 4.1 | % | 3.2 | % | 3.6 | % | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
|
Interest-only
|
$ | 2,412,480 | $ | 5.71 | $ | 5.90 | 0.7 | % | 4.6 | % | 4.0 | % | 10.1 | % | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
| Loans held for investment | $ | 11,549,915 | $ | 98.81 | $ | 105.32 | 5.8 | % | 5.2 | % | 14.9 | % | 10.4 | % | 0.6 | % | 0.3 | % | 36.0 | % | N/A | ||||||||||||||||||||
| December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||
|
Principal or Notional Value at Period-End
(dollars in thousands) |
Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon |
Weighted Average Yield at Period-End (1)
|
Weighted Average 3 Month Prepay Rate at Period-End | Weighted Average 12 Month Prepay Rate at Period-End | Weighted Average 3 Month CDR at Period-End | Weighted Average 12 Month CDR at Period-End |
Weighted Average Loss Severity(2)
|
Weighted Average Credit Enhancement | |||||||||||||||||||||||||||||||
| Non-Agency Mortgage-Backed Securities | |||||||||||||||||||||||||||||||||||||||||
|
Senior
|
$ | 1,560,136 | $ | 50.65 | $ | 81.90 | 4.5 | % | 16.9 | % | 13.4 | % | 11.0 | % | 2.8 | % | 2.9 | % | 47.2 | % | 2.8 | % | |||||||||||||||||||
|
Subordinated
|
$ | 905,674 | $ | 62.46 | $ | 67.43 | 3.8 | % | 6.3 | % | 16.0 | % | 12.5 | % | 0.8 | % | 0.7 | % | 22.1 | % | 3.3 | % | |||||||||||||||||||
|
Interest-only
|
$ | 5,628,240 | $ | 4.43 | $ | 4.66 | 1.5 | % | 16.2 | % | 27.3 | % | 23.0 | % | 2.1 | % | 1.8 | % | 27.8 | % | — | % | |||||||||||||||||||
| Agency RMBS | |||||||||||||||||||||||||||||||||||||||||
|
Interest-only
|
$ | 1,262,963 | $ | 9.41 | $ | 7.18 | 1.7 | % | 1.6 | % | 23.8 | % | 20.6 | % | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
| Agency CMBS | |||||||||||||||||||||||||||||||||||||||||
|
Project loans
|
$ | 1,527,621 | $ | 101.81 | $ | 112.23 | 4.1 | % | 3.8 | % | — | % | — | % | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
|
Interest-only
|
$ | 1,326,665 | $ | 1.78 | $ | 1.95 | 0.6 | % | 8.4 | % | 10.0 | % | 8.0 | % | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
| Loans held for investment | $ | 12,640,195 | $ | 98.69 | $ | 103.85 | 5.6 | % | 5.2 | % | 11.9 | % | 9.7 | % | 0.9 | % | 1.2 | % | 39.6 | % | N/A | ||||||||||||||||||||
| For the Quarters Ended | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Accretable Discount (Net of Premiums) | June 30, 2021 | March 31, 2021 | December 31, 2020 | September 30, 2020 | June 30, 2020 | ||||||||||||
| Balance, beginning of period | $ | 358,562 | $ | 409,690 | $ | 422,981 | $ | 410,447 | $ | 438,232 | |||||||
| Accretion of discount | (37,986) | (24,023) | (21,281) | (20,045) | (22,508) | ||||||||||||
| Purchases | (3,453) | — | 758 | 2,096 | — | ||||||||||||
| Sales and deconsolidation | (17,123) | (41,651) | 98 | — | (23,425) | ||||||||||||
| Transfers from/(to) credit reserve, net | 38,024 | 14,546 | 7,134 | 30,483 | 18,148 | ||||||||||||
| Balance, end of period | $ | 338,024 | $ | 358,562 | $ | 409,690 | $ | 422,981 | $ | 410,447 | |||||||
| For the Quarters Ended | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Non-Agency RMBS | June 30, 2021 | March 31, 2021 | December 31, 2020 | September 30, 2020 | June 30, 2020 | ||||||||||||
| Balance, beginning of period | $ | 133,607 | $ | 157,527 | $ | 163,369 | $ | 181,865 | $ | 204,831 | |||||||
| Realized losses | (2,482) | (3,927) | (4,984) | (7,060) | (7,110) | ||||||||||||
| Accretion | 3,466 | 4,152 | 4,242 | 4,865 | 5,823 | ||||||||||||
| Purchased losses | 3,066 | — | 4,007 | 1,338 | — | ||||||||||||
| Sold losses | (678) | (733) | (2,928) | — | (6,144) | ||||||||||||
| Increase/(decrease) | (7,926) | (23,412) | (6,179) | (17,639) | (15,535) | ||||||||||||
| Balance, end of period | $ | 129,053 | $ | 133,607 | $ | 157,527 | $ | 163,369 | $ | 181,865 | |||||||
| For the Quarters Ended | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Loans held for investments | June 30, 2021 | March 31, 2021 | December 31, 2020 | September 30, 2020 | June 30, 2020 | ||||||||||||
| Balance, beginning of period | $ | 448,763 | $ | 511,190 | $ | 536,016 | $ | 603,195 | $ | 672,632 | |||||||
| Realized losses | (13,244) | (8,512) | (14,373) | (20,501) | (22,362) | ||||||||||||
| Accretion | 4,795 | 3,420 | 5,702 | 6,608 | 7,248 | ||||||||||||
|
Increase/(decrease) (1)
|
(19,991) | (57,335) | (16,155) | (53,286) | (54,323) | ||||||||||||
| Balance, end of period | $ | 420,323 | $ | 448,763 | $ | 511,190 | $ | 536,016 | $ | 603,195 | |||||||
| June 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||
| Principal (1) | Weighted Average Borrowing Rates | Range of Borrowing Rates | Principal (1) | Weighted Average Borrowing Rates | Range of Borrowing Rates | ||||||||||||||||||
| Overnight | $ | 105,673 | 0.73 |
0.70% - 0.78%
|
$ | — | NA | NA | |||||||||||||||
| 1 to 29 days | 1,248,179 | 0.84% | 0.08% - 3.25% | 1,521,134 | 0.38% | 0.20% - 2.72% | |||||||||||||||||
| 30 to 59 days | 267,897 | 1.57% | 1.38% - 1.96% | 481,257 | 4.35% | 2.42% - 6.61% | |||||||||||||||||
| 60 to 89 days | 459,140 | 2.16% | 1.38% - 2.44% | 352,684 | 2.78% | 1.34% - 6.30% | |||||||||||||||||
| 90 to 119 days | 51,944 | 1.82% | 1.82% - 1.82% | 301,994 | 7.97% | 7.97% - 7.97% | |||||||||||||||||
| 120 to 180 days | 122,765 | 1.77% | 1.77% - 1.77% | 595,900 | 5.29% | 2.40% - 6.26% | |||||||||||||||||
| 180 days to 1 year | 146,296 | 1.79% | 0.95% - 1.95% | 345,204 | 3.60% | 3.25% - 4.50% | |||||||||||||||||
| 1 to 2 years | 837,513 | 3.96% | 2.85% - 4.38% | — | NA | NA | |||||||||||||||||
| 2 to 3 years | — | NA | NA | 642,696 | 4.91% | 1.65% - 7.00% | |||||||||||||||||
| Greater than 3 years | 315,021 | 5.56% | 5.56% - 5.56% | 395,978 | 5.56% | 5.56% - 5.56% | |||||||||||||||||
| Total | $ | 3,554,428 | 2.30% | $ | 4,636,847 | 3.41% | |||||||||||||||||
| Period | Average secured financing agreements balances | Secured financing agreements balance at period end | ||||||
| Quarter End June 30, 2021 | $ | 3,792,547 | $ | 3,554,428 | ||||
| Quarter End March 31, 2021 | $ | 4,560,057 | $ | 4,045,912 | ||||
| Quarter End December 31, 2020 | $ | 4,665,324 | $ | 4,636,847 | ||||
| Quarter End September 30, 2020 | $ | 5,269,553 | $ | 4,700,037 | ||||
| Quarter End June 30, 2020 | $ | 6,536,264 | $ | 5,944,201 | ||||
| June 30, 2021 | |||||||||||||||||
| Country | Number of Counterparties | Secured Financing Agreement |
Exposure (1)
|
||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| United States | 11 | 2,142,335 | 889,411 | ||||||||||||||
| Japan | 1 | 858,861 | 214,138 | ||||||||||||||
| Canada | 1 | 213,856 | 57,788 | ||||||||||||||
| Netherlands | 1 | 145,005 | 4,924 | ||||||||||||||
| South Korea | 1 | 101,952 | 4,081 | ||||||||||||||
| Switzerland | 1 | 92,419 | 37,082 | ||||||||||||||
| Total | 16 | $ | 3,554,428 | $ | 1,207,424 | ||||||||||||
| June 30, 2021 | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Contractual Obligations | Within One Year | One to Three Years | Three to Five Years | Greater Than or Equal to Five Years | Total | ||||||||||||
| Secured financing agreements | $ | 2,401,894 | $ | 837,513 | $ | 315,021 | $ | — | $ | 3,554,428 | |||||||
| Securitized debt, collateralized by Non-Agency RMBS | 10,378 | 4,833 | 1,273 | 120 | 16,604 | ||||||||||||
| Securitized debt at fair value, collateralized by Loans held for investment | 1,869,298 | 2,813,068 | 1,838,129 | 1,802,739 | 8,323,234 | ||||||||||||
|
Interest expense on MBS secured financing agreements (1)
|
6,601 | 2,819 | 1,606 | — | 11,027 | ||||||||||||
|
Interest expense on securitized debt (1)
|
191,338 | 267,179 | 158,696 | 141,585 | 758,798 | ||||||||||||
| Total | $ | 4,479,509 | $ | 3,925,412 | $ | 2,314,726 | $ | 1,944,444 | $ | 12,664,091 | |||||||
| December 31, 2020 | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Contractual Obligations | Within One Year | One to Three Years | Three to Five Years | Greater Than or Equal to Five Years | Total | ||||||||||||
| Secured financing agreements | $ | 3,598,173 | $ | 642,696 | $ | 395,978 | $ | — | $ | 4,636,847 | |||||||
| Securitized debt, collateralized by Non-Agency RMBS | 13,552 | 11,229 | 1,589 | 305 | 26,675 | ||||||||||||
| Securitized debt at fair value, collateralized by Loans held for investment | 1,837,055 | 2,819,646 | 1,774,273 | 2,170,253 | 8,601,227 | ||||||||||||
|
Interest expense on MBS secured financing agreements (1)
|
19,177 | 2,743 | 2,018 | — | 23,938 | ||||||||||||
|
Interest expense on securitized debt (1)
|
265,516 | 364,443 | 217,727 | 270,046 | 1,117,732 | ||||||||||||
| Total | $ | 5,733,473 | $ | 3,840,757 | $ | 2,391,585 | $ | 2,440,604 | $ | 14,406,419 | |||||||
| June 30, 2021 | ||||||||
| Change in Interest Rate |
Projected Percentage Change in Net Interest Income (1)
|
Projected Percentage Change in Market Value (2)
|
||||||
| -100 Basis Points | 1.86 | % | 5.39 | % | ||||
| -50 Basis Points | 1.44 | % | 3.03 | % | ||||
| Base Interest Rate | — | — | ||||||
| +50 Basis Points | (1.84) | % | (3.12) | % | ||||
| +100 Basis Points | (5.48) | % | (5.57) | % | ||||
| June 30, 2021 | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Within 3 Months | 3-12 Months | 1 Year to 3 Years |
Greater than
3 Years |
Total | |||||||||||||
| Rate sensitive assets | $ | 163,135 | $ | 572,604 | $ | 76,822 | $ | 14,584,611 | $ | 15,397,172 | |||||||
| Cash equivalents | 346,951 | — | — | — | 346,951 | ||||||||||||
| Total rate sensitive assets | $ | 510,086 | $ | 572,604 | $ | 76,822 | $ | 14,584,611 | $ | 15,744,123 | |||||||
| Rate sensitive liabilities | 3,546,301 | 8,191,965 | 187,667 | — | 11,925,933 | ||||||||||||
| Interest rate sensitivity gap | $ | (3,036,215) | $ | (7,619,361) | $ | (110,845) | $ | 14,584,611 | $ | 3,818,190 | |||||||
| Cumulative rate sensitivity gap | $ | (3,036,215) | $ | (10,655,576) | $ | (10,766,421) | $ | 3,818,190 | |||||||||
| Cumulative interest rate sensitivity gap as a percentage of total rate sensitive assets | (19) | % | (68) | % | (68) | % | 24 | % | |||||||||
| EXHIBIT INDEX | |||||
|
Exhibit
Number |
Description | ||||
| 3.1 | |||||
| 3.2 | |||||
| 3.3 | |||||
| 3.4 | |||||
| 3.5 | |||||
| 3.6 | |||||
| 3.7 | |||||
| 3.8 | |||||
| 3.9 | |||||
| 3.10 | |||||
| 3.11 | |||||
| 3.12 | |||||
| 4.2 | |||||
| 4.3 | |||||
| 4.4 | |||||
| 4.5 | |||||
| 4.6 | |||||
| 4.7 | |||||
| 4.8 | |||||
| 4.9 | |||||
| 4.10 | |||||
| 4.11 | |||||
| 10.1† | |||||
| 31.1 | |||||
| 31.2 | |||||
| 32.1 | |||||
| 32.2 | |||||
| 101.INS* | XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document. | ||||
| 101.SCH* | XBRL Taxonomy Extension Schema Document | ||||
| 101.CAL* | XBRL Taxonomy Extension Calculation Linkbase Document | ||||
| 101.LAB* | XBRL Taxonomy Extension Labels Linkbase Document | ||||
| 101.PRE* | XBRL Taxonomy Extension Presentation Linkbase Document | ||||
| 101.DEF* | XBRL Taxonomy Extension Definition Linkbase Document | ||||
| 104 | Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101) | ||||
| * | This exhibit is being furnished rather than filed, and shall not be deemed incorporated by reference into any filing, in accordance with Item 601 of Regulation S-K | ||||
| † | Represents a management contract or compensatory plan or arrangement | ||||
| CHIMERA INVESTMENT CORPORATION | ||||||||
| By: | /s/ Mohit Marria | |||||||
| Mohit Marria | ||||||||
| (Chief Executive Officer and Chief Investment Officer | ||||||||
| and Principal Financial Officer of the registrant) | ||||||||
| Date: August 4, 2021 | ||||||||
| By: | /s/ Kelley Kortman | |||||||
| Kelley Kortman | ||||||||
| (Chief Accounting Officer | ||||||||
| and Principal Accounting Officer of the registrant) | ||||||||
| Date: August 4, 2021 | ||||||||
|
Relative ROAE*
|
Percentage of Target Cash
Bonus Payable
|
||||
|
Less than the Threshold
|
0%
|
||||
|
50th Percentile
|
100%
|
||||
|
75th Percentile
|
175%
|
||||
|
100% Percentile
|
250%
|
||||
|
Relative Economic Return*
|
Percentage of Target PSUs Vesting and Payable
|
||||
|
Less than the Threshold
|
0%
|
||||
|
50th Percentile
|
100%
|
||||
|
75th Percentile
|
200%
|
||||
| Date: August 4, 2021 | ||
| /s/ Mohit Marria | ||
| Mohit Marria | ||
| Chief Executive Officer, Chief Investment Officer and Principal Financial Officer | ||
| Date: August 4, 2021 | |||||
| /s/ Kelley Kortman | |||||
| Kelley Kortman | |||||
| Chief Accounting Officer and Principal Accounting 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/ Mohit Marria | |||||
| Mohit Marria | |||||
| Chief Executive Officer, Chief Investment Officer and Principal Financial Officer | |||||
| Date: August 4, 2021 | |||||
| 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/ Kelley Kortman | |||||
| Kelley Kortman | |||||
| Chief Accounting Officer and Principal Accounting Officer | |||||
| Date: August 4, 2021 | |||||