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| MARYLAND | 26-0630461 |
| (State or other jurisdiction of incorporation of organization) | (I.R.S. Employer Identification Number) |
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1211 Avenue of the Americas
New York, New York
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10036 |
| (Address of Principal Executive Offices) | (Zip Code) |
| Title of Each Class | Name of Each Exchange on Which Registered | |
| Common Stock, par value $.01 per share | New York Stock Exchange |
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PART I
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3
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13
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48
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48
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48
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48
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PART II
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49
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51
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51
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83
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87
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87
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87
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89
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PART III
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90
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97
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102
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104
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106
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| PART IV | ||
| ITEM 15. | EXHIBITS AND FINANCIAL STATEMENT SCHEDULES | 107 |
| FINANCIAL STATMENTS | F-1 | |
| SIGNATURES | S-1 | |
| EXHIBITS | ||
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our business and investment strategy;
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our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements;
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our expectations regarding materiality or significance;
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the effectiveness of our disclosure controls and procedures;
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material weaknesses in our internal controls over financial reporting;
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inadequacy of or weakness in our internal controls over financial reporting of which we are not currently aware or which have not been detected;
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additional information that may arise from the preparation of our financial statements;
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general volatility of the securities markets in which we invest;
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the impact of and changes to various government programs;
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our expected investments;
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changes in the value of our investments;
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interest rate mismatches between our investments and our borrowings used to finance such purchases;
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changes in interest rates and mortgage prepayment rates;
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effects of interest rate caps on our adjustable-rate investments;
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rates of default, delinquencies or decreased recovery rates on our investments;
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prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS;
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the degree to which our hedging strategies may or may not protect us from interest rate volatility;
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impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters;
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availability of investment opportunities in real estate-related and other securities;
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availability of qualified personnel;
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estimates relating to our ability to make distributions to our stockholders in the future;
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our understanding of our competition;
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market trends in our industry, interest rates, the debt securities markets or the general economy;
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our ability to maintain our classification as a real estate investment trust, or REIT, for federal income tax purposes; and
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our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act.
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Asset Class
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Principal Investments
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RMBS
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● | Non-Agency RMBS, including investment-grade and non-investment grade classes, including the BB-rated, B-rated or lower including and non-rated classes. |
| ● | Agency RMBS. | |
| ● | Interest-only (“IO”) RMBS. | |
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Residential Mortgage Loans
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Prime mortgage loans, which are mortgage loans that conform to the underwriting guidelines of Fannie Mae and Freddie Mac, which we refer to as
Agency Guidelines; and jumbo prime mortgage loans, which are mortgage loans that conform to the Agency Guidelines except as to loan size.
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| ● | Alt-A mortgage loans, which are mortgage loans that may have been originated using documentation standards that are less stringent than the documentation standards applied by certain other first lien mortgage loan purchase programs, such as the Agency Guidelines, but have one or more compensating factors such as a borrower with a strong credit or mortgage history or significant assets. | |
| ● | Seasoned sub-prime mortgage loans, which are mortgage loans that may have been originated using documentation standards that are less stringent than prime mortgage loans and that have borrowers who have credit or mortgage history which would not meet the standards for prime mortgage loans or Alt-A mortgage loans. | |
| ● | Mortgage loans collateralized by manufactured or pre-fabricated homes. | |
| ● | Mortgage loans collateralized by second lien, home equity lines of credit, and other similar financing arrangements. | |
| ● | FHA/VA insured loans, which are mortgage loans that comply with the underwriting guidelines of the Federal Housing Administration (FHA) or Department of Veteran Affairs (VA) and which are guaranteed by the FHA or VA, respectively. |
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Mortgage servicing rights associated with residential mortgage loans, which reflect the value of the future stream of expected cash flows from the contractual rights to service a given pool of residential mortgage loans.
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Commercial Mortgage Loans
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First or second lien loans secured by multifamily properties, which are residential rental properties consisting of five or more dwelling units; and mixed residential or other commercial properties; retail properties; office properties; or industrial properties, which may or may not conform to the Agency Guidelines.
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Other Asset-Backed Securities
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● | CMBS. |
| ● | Debt and equity tranches of CDOs. | |
| ● | Consumer and non-consumer ABS, including investment-grade and non-investment grade classes, including the BB-rated, B-rated, or lower including non-rated classes. | |
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Loans collateralized by commercial real estate, fixed assets and equipment that are part of the small business administration certified development company program.
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Derivative Instruments
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Swaps.
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| ● | Swaptions. | |
| ● | Futures. | |
| ● | Index options. | |
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Mortgage options.
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No investment shall be made that would cause us to fail to qualify as a REIT for federal income tax purposes;
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No investment shall be made that would cause us to be regulated as an investment company under the 1940 Act;
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With the exception of real estate and housing, no single industry shall represent greater than 20% of the securities or aggregate risk exposure in our portfolio; and
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Investments in non-rated or deeply subordinated ABS or other securities that are non-qualifying assets for purposes of the 75% REIT asset test will be limited to an amount not to exceed 50% of our stockholders’ equity.
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Repurchase Agreements
. We have financed certain of our assets through the use of repurchase agreements. We anticipate that repurchase agreements will be one of the sources we will use to achieve our desired amount of leverage for our residential real estate assets. We maintain formal relationships with multiple counterparties to obtain financing on favorable terms.
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Warehouse Facilities
. We have utilized and may in the future utilize credit facilities for capital needed to fund our assets. We intend to maintain formal relationships with multiple counterparties to maintain warehouse lines on favorable terms.
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Securitization
. We have acquired and may in the future acquire residential mortgage loans for our portfolio with the intention of securitizing them and retaining a portion of the securitized mortgage loans in our portfolio. To facilitate the securitization or financing of our loans, we generally create subordinate certificates, providing a specified amount of credit enhancement, which we intend to retain in our portfolio.
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Re-REMICs.
We have acquired and may in the future acquire Non-Agency RMBS for our portfolio with the intention of re-securitizing them and retaining a portion of the re-securitized Non-Agency RMBS in our portfolio, typically the subordinate certificates. To facilitate the re-securitization, we transfer Non-Agency RMBS to a special purpose entity that has been formed as a securitization vehicle that will issue multiple classes of securities secured by and payable from cash flows on the underlying Non-Agency RMBS.
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puts and calls on securities or indices of securities;
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Eurodollar futures contracts and options on such contracts;
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interest rate caps, swaps and swaptions;
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U.S. Treasury futures, contracts, securities and options on U.S. Treasury securities; and
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other similar transactions.
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general market conditions;
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the market’s perception of our growth potential;
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our current and potential future earnings and cash distributions;
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the market price of the shares of our capital stock; and
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the market’s view of the quality of our assets.
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the issuer issues securities the payment of which depends primarily on the cash flow from “eligible assets” that by their terms convert into cash within a finite time period;
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the securities sold are fixed income securities rated investment grade by at least one rating agency (fixed income securities which are unrated or rated below investment grade may be sold to institutional accredited investors and any securities may be sold to “qualified institutional buyers” and to persons involved in the organization or operation of the issuer);
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the issuer acquires and disposes of eligible assets (1) only in accordance with the agreements pursuant to which the securities are issued, (2) so that the acquisition or disposition does not result in a downgrading of the issuer’s fixed income securities and (3) the eligible assets are not acquired or disposed of for the primary purpose of recognizing gains or decreasing losses resulting from market value changes; and
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unless the issuer is issuing only commercial paper, the issuer appoints an independent trustee, takes reasonable steps to transfer to the trustee an ownership or perfected security interest in the eligible assets, and meets rating agency requirements for commingling of cash flows.
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incur or guarantee additional debt;
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make certain investments or acquisitions;
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make distributions on or repurchase or redeem capital stock;
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engage in mergers or consolidations;
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finance mortgage loans with certain attributes;
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reduce liquidity below certain levels;
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grant liens;
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incur operating losses for more than a specified period;
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enter into transactions with affiliates; and
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hold mortgage loans for longer than established time periods.
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interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates;
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available interest rate hedges may not correlate directly with the interest rate risk for which protection is sought;
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the duration of the hedge may not match the duration of the related liability;
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the amount of income that a REIT may earn from hedging transactions to offset interest rate losses may be limited by federal tax provisions governing REITs;
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the credit quality of the party owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction;
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the party owing money in the hedging transaction may default on its obligation to pay; and
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the value of derivatives used for hedging may be adjusted from time to time in accordance with accounting rules to reflect changes in fair value. Downward adjustments, or “mark-to-market losses,” would reduce our stockholders’ equity.
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acts of God, including earthquakes, hurricanes, floods and other natural disasters, that may result in uninsured losses;
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acts of war or terrorism, including the consequences of terrorist attacks, such as those that occurred on September 11, 2001;
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adverse changes in national and local economic and market conditions;
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changes in governmental laws and regulations, fiscal policies and zoning ordinances and the related costs of compliance with laws and regulations, fiscal policies and ordinances;
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costs of remediation and liabilities associated with environmental conditions such as indoor mold; and
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the potential for uninsured or under-insured property losses.
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the ability of the homeowner to rescind, or cancel, the loan;
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the inability of the holder of the loan to collect all of the principal and interest otherwise due on the loan;
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the right of the homeowner to collect a refund of amounts previously paid (which may include amounts financed by the loan), or to set off those amounts against his or her future loan obligations; and
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the liability of the servicer and the owner of the loan for actual damages, statutory damages and punitive damages, civil or criminal penalties, costs and attorneys’ fees.
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actual or anticipated variations in our quarterly operating results or business prospects;
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changes in our earnings estimates or publication of research reports about us or the real estate industry;
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an inability to meet or exceed securities analysts' estimates or expectations;
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increases in market interest rates;
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hedging or arbitrage trading activity in our shares of common stock;
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capital commitments;
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changes in market valuations of similar companies;
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changes in valuations of our assets;
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adverse market reaction to any increased indebtedness we incur in the future;
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additions or departures of management personnel;
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actions by institutional shareholders;
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speculation in the press or investment community;
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changes in our distribution policy;
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regulatory changes affecting our industry generally or our business;
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general market and economic conditions; and
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future sales of our shares of common stock or securities convertible into, or exchangeable or exercisable for, our shares of common stock.
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our ability to make profitable investments;
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margin calls or other expenses that reduce our cash flow;
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defaults in our asset portfolio or decreases in the value of our portfolio; and
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the fact that anticipated operating expense levels may not prove accurate, as actual results may vary from estimates.
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There are ownership limits and restrictions on transferability and ownership in our charter.
To qualify as a REIT for each taxable year after 2007, not more than 50% of the value of our outstanding stock may be owned, directly or constructively, by five or fewer individuals during the second half of any calendar year. In addition, our shares must be beneficially owned by 100 or more persons during at least 335 days of a taxable year of 12 months or during a proportionate part of a shorter taxable year for each taxable year after 2007. To assist us in satisfying these tests, our charter generally prohibits any person from beneficially or constructively owning more than 9.8% in value or number of shares, whichever is more restrictive, of any class or series of our outstanding capital stock. These restrictions may discourage a tender offer or other transactions or a change in the composition of our Board of Directors or control that might involve a premium price for our shares or otherwise be in the best interests of our stockholders and any shares issued or transferred in violation of such restrictions being automatically transferred to a trust for a charitable beneficiary, thereby resulting in a forfeiture of the additional shares.
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Our charter permits our Board of Directors to issue stock with terms that may discourage a third party from acquiring us
. Our charter permits our Board of Directors to amend the charter without stockholder approval to increase the total number of authorized shares of stock or the number of shares of any class or series and to issue common or preferred stock, having preferences, conversion or other rights, voting powers, restrictions, limitations as to dividends or other distributions, qualifications, or terms or conditions of redemption as determined by our board. Thus, our board could authorize the issuance of stock with terms and conditions that could have the effect of discouraging a takeover or other transaction in which holders of some or a majority of our shares might receive a premium for their shares over the then-prevailing market price of our shares.
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Maryland Control Share Acquisition Act.
Maryland law provides that ‘‘control shares’’ of a corporation acquired in a ‘‘control share acquisition’’ will have no voting rights except to the extent approved by a vote of two-thirds of the votes eligible to be cast on the matter under the Maryland Control Share Acquisition Act. ‘‘Control shares’’ means voting shares of stock that, if aggregated with all other shares of stock owned by the acquirer or in respect of which the acquirer is able to exercise or direct the exercise of voting power (except solely by a revocable proxy), would entitle the acquirer to exercise voting power in electing directors within one of the following ranges of voting power: one-tenth or more but less than one-third, one-third or more but less than a majority, or a majority or more of all voting power. A ‘‘control share acquisition’’ means the acquisition of control shares, subject to certain exceptions.
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Business Combinations
. Under Maryland law, ‘‘business combinations’’ between a Maryland corporation and an interested stockholder or an affiliate of an interested stockholder are prohibited for five years after the most recent date on which the interested stockholder becomes an interested stockholder. These business combinations include a merger, consolidation, share exchange or, in circumstances specified in the statute, an asset transfer or issuance or reclassification of equity securities. An interested stockholder is defined as:
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any person who beneficially owns 10% or more of the voting power of the corporation’s shares; or
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an affiliate or associate of the corporation who, at any time within the two-year period before the date in question, was the beneficial owner of 10% or more of the voting power of the then outstanding voting stock of the corporation.
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80% of the votes entitled to be cast by holders of outstanding shares of voting stock of the corporation; and
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two-thirds of the votes entitled to be cast by holders of voting stock of the corporation, other than shares held by the interested stockholder with whom or with whose affiliate the business combination is to be effected or held by an affiliate or associate of the interested stockholder.
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Staggered board.
Our Board of Directors is divided into three classes of directors. Directors of each class are chosen for three-year terms upon the expiration of their current terms, and each year one class of directors is elected by the stockholders. The staggered terms of our directors may reduce the possibility of a tender offer or an attempt at a change in control, even though a tender offer or change in control might be in the best interests of our stockholders.
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Our charter and bylaws contain other possible anti-takeover provisions.
Our charter and bylaws contains other provisions that may have the effect of delaying, deferring or preventing a change in control of us or the removal of existing directors and, as a result, could prevent our stockholders from being paid a premium for their common stock over the then-prevailing market price.
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actual receipt of an improper benefit or profit in money, property or services; or
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a final judgment based upon a finding of active and deliberate dishonesty by the director or officer that was material to the cause of action adjudicated for which Maryland law prohibits such exemption from liability.
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not be allowed to be offset by a stockholder’s net operating losses;
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be subject to a tax as unrelated business income if a stockholder were a tax-exempt stockholder;
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be subject to the application of federal income tax withholding at the maximum rate (without reduction for any otherwise applicable income tax treaty) with respect to amounts allocable to foreign stockholders; and
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be taxable (at the highest corporate tax rate) to us, rather than to our stockholders, to the extent the excess inclusion income relates to stock held by disqualified organizations (generally, tax-exempt organizations not subject to tax on unrelated business income, including governmental organizations).
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85% of our REIT ordinary income for that year;
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95% of our REIT capital gain net income for that year; and
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any undistributed taxable income from prior years.
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Stock Price
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High
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Low
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Close
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Quarter Ended December 31, 2014
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$ | 3.39 | $ | 3.05 | $ | 3.18 | ||||||
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Quarter Ended September 30, 2014
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$ | 3.33 | $ | 3.04 | $ | 3.04 | ||||||
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Quarter Ended June 30, 2014
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$ | 3.33 | $ | 3.03 | $ | 3.19 | ||||||
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Quarter Ended March 31, 2014
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$ | 3.19 | $ | 2.99 | $ | 3.06 | ||||||
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Quarter Ended December 31, 2013
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$ | 3.19 | $ | 2.93 | $ | 3.10 | ||||||
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Quarter Ended September 30, 2013
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$ | 3.07 | $ | 2.82 | $ | 3.04 | ||||||
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Quarter Ended June 30, 2013
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$ | 3.32 | $ | 2.90 | $ | 3.00 | ||||||
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Quarter Ended March 31, 2013
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$ | 3.28 | $ | 2.67 | $ | 3.19 | ||||||
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Common Dividends
Declared Per Share
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Quarter Ended December 31, 2014
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$0.09
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Quarter Ended September 30, 2014
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$0.09
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Quarter Ended June 30, 2014
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$0.09
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Quarter Ended March 31, 2014
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$0.09
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Quarter Ended December 31, 2013
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$0.29
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Quarter Ended September 30, 2013
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$0.09
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Quarter Ended June 30, 2013
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$0.09
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Quarter Ended March 31, 2013
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$0.09
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12/31/2009
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12/31/2010
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12/31/2011
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12/31/2012
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12/31/2013
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12/31/2014
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Chimera
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100 | 124 | 91 | 108 | 144 | 173 | ||||||||||||||||||
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S&P 500 Index
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100 | 123 | 121 | 144 | 142 | 169 | ||||||||||||||||||
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BBG REIT Index
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100 | 115 | 117 | 136 | 179 | 204 | ||||||||||||||||||
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Plan Category
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Number of Securities to be Issued Upon Exercise of Outstanding Options, Warrants, and Rights
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Weighted Average Exercise Price of Outstanding
Options, Warrants, and Rights
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Number of Securities Remaining Available for Future Issuance Under Equity Compensation Plans
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Equity Compensation Plans Approved by Stockholders
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- | - | 38,164,674 | |||||||||
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Equity Compensation Plans Not Approved by Stockholders (1)
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- | - | - | |||||||||
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Total
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- | - | 38,164,674 | |||||||||
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(1) We do not have any equity plans that have not been approved by our stockholders.
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Consolidated Statements of Financial Condition Highlights
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(dollars in thousands, except share and per share data)
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December 31,
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December 31,
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December 31,
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December 31,
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December 31,
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2014
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2013
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2012
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2011
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2010
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Non-Agency Mortgage-Backed Securities
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$ | 3,404,149 | $ | 3,774,463 | $ | 3,961,208 | $ | 4,088,945 | $ | 5,529,109 | ||||||||||
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Agency Mortgage-Backed securities
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$ | 8,441,522 | $ | 1,997,578 | $ | 1,806,697 | $ | 3,144,531 | $ | 2,133,584 | ||||||||||
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Securitized loans held for investment, net of allowance for loan losses
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$ | 626,112 | $ | 783,484 | $ | 1,300,131 | $ | 256,632 | $ | 349,112 | ||||||||||
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Securitized loans held for investment, at fair value
|
$ | 4,699,215 | $ | - | $ | - | $ | - | $ | - | ||||||||||
|
Total assets
|
$ | 19,155,005 | $ | 6,936,081 | $ | 7,742,489 | $ | 7,747,135 | $ | 8,069,280 | ||||||||||
|
Repurchase agreements
|
$ | 8,455,381 | $ | 1,658,561 | $ | 1,528,025 | $ | 2,672,989 | $ | 1,808,797 | ||||||||||
|
Securitized debt, collateralized by Non-Agency RMBS
|
$ | 704,915 | $ | 933,732 | $ | 1,336,261 | $ | 1,630,276 | $ | 1,956,079 | ||||||||||
|
Securitized debt, loans held for investment
|
$ | 521,997 | $ | 669,981 | $ | 1,169,710 | $ | 212,778 | $ | 289,236 | ||||||||||
|
Securitized debt at fair value, loans held for investment
|
$ | 3,868,366 | $ | - | $ | - | $ | - | $ | - | ||||||||||
|
Total liabilities
|
$ | 15,547,315 | $ | 3,604,571 | $ | 4,200,010 | $ | 4,699,516 | $ | 4,390,694 | ||||||||||
|
Shareholders' equity
|
$ | 3,607,690 | $ | 3,331,510 | $ | 3,542,479 | $ | 3,047,619 | $ | 3,678,586 | ||||||||||
|
Book value per share (1)
|
$ | 3.51 | $ | 3.24 | $ | 3.45 | $ | 2.97 | $ | 3.58 | ||||||||||
|
Number of shares outstanding
|
1,027,730,722 | 1,027,626,237 | 1,027,597,458 | 1,027,467,089 | 1,027,034,357 | |||||||||||||||
|
(1) See discussion of Estimated Economic Book Value in Management's Discussion and Analysis of Financial Condition and Results of Operations.
|
||||||||||||||||||||
|
For the Year Ended
|
||||||||||||||||||||
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
December 31, 2011
|
December 31, 2010
|
||||||||||||||||
|
Interest income
|
$ | 687,795 | $ | 511,783 | $ | 589,440 | $ | 705,024 | $ | 576,100 | ||||||||||
|
Income expense
|
$ | 147,785 | $ | 101,999 | $ | 126,558 | $ | 134,858 | $ | 146,448 | ||||||||||
|
Net interest income
|
$ | 540,010 | $ | 409,784 | $ | 462,882 | $ | 570,166 | $ | 429,652 | ||||||||||
|
Net income
|
$ | 589,205 | $ | 362,686 | $ | 327,767 | $ | 137,329 | $ | 248,405 | ||||||||||
|
Income per share-basic (1)
|
$ | 0.57 | $ | 0.35 | $ | 0.32 | $ | 0.13 | $ | 0.30 | ||||||||||
|
Average shares-basic
|
1,022,250,475 | 1,027,094,379 | 1,026,831,033 | 1,026,365,197 | 821,675,803 | |||||||||||||||
|
Dividends declared per share (2)
|
$ | 0.36 | $ | 0.56 | $ | 0.38 | $ | 0.51 | $ | 0.69 | ||||||||||
|
(1) See discussion of Core Earnings per basic common share in Management's Discussion and Analysis of Financial Condition and Results of Operations.
|
||||||||||||||||||||
|
(2) For applicable period as reported in our earnings announcements.
|
||||||||||||||||||||
|
Asset Class
|
Principal Investments | |
|
RMBS
|
● |
Non-Agency RMBS, including investment-grade and non-investment grade classes, including the BB-rated, B-rated or lower including and non-rated classes
|
| ● | Agency RMBS | |
| ● | Interest-only (“IO”) RMBS | |
|
Residential Mortgage Loans
|
● |
Prime mortgage loans, which are mortgage loans that conform to the underwriting guidelines of Fannie Mae and Freddie Mac, which we refer to as Agency Guidelines; and jumbo prime mortgage loans, which are mortgage loans that conform to the Agency Guidelines except as to loan size
|
| ● | Alt-A mortgage loans, which are mortgage loans that may have been originated using documentation standards that are less stringent than the documentation standards applied by certain other first lien mortgage loan purchase programs, such as the Agency Guidelines, but have one or more compensating factors such as a borrower with a strong credit or mortgage history or significant assets | |
| ● | Seasoned sub-prime mortgage loans, which are mortgage loans that may have been originated using documentation standards that are less stringent than prime mortgage loans and that have borrowers who have credit or mortgage history which would not meet the standards for prime mortgage loans or Alt-A mortgage loans. | |
| ● | Mortgage loans collateralized by manufactured or pre-fabricated homes. | |
| ● | Mortgage loans collateralized by second lien, home equity lines of credit, and other similar financing arrangements. | |
| ● | FHA/VA insured loans, which are mortgage loans that comply with the underwriting guidelines of the Federal Housing Administration (FHA) or Department of Veteran Affairs (VA) and which are guaranteed by the FHA or VA, respectively | |
| ● | Mortgage servicing rights associated with residential mortgage loans, which reflect the value of the future stream of expected cash flows from the contractual rights to service a given pool of residential mortgage loans. | |
|
Commercial Mortgage Loans
|
● | First or second lien loans secured by multifamily properties, which are residential rental properties consisting of five or more dwelling units; and mixed residential or other commercial properties; retail properties; office properties; or industrial properties, which may or may not conform to the Agency Guidelines |
|
|
|
|
|
Other Asset-Backed Securities
|
● |
CMBS
|
| ● | Debt and equity tranches of CDOs | |
| ● | Consumer and non-consumer ABS, including investment-grade and non-investment grade classes, including the BB-rated, B-rated, or lower including non-rated classes | |
| ● | Loans collateralized by commercial real estate, fixed assets and equipment that are part of the small business administration certified development company program. | |
|
Derivative Instruments
|
● |
Swaps
|
| ● | Swaptions | |
| ● | Futures | |
| ● | Index options | |
| ● | Mortgage options |
|
Net Income
|
||||||||||||
|
(dollars in thousands)
|
||||||||||||
|
(unaudited)
|
||||||||||||
| For the Year Ended | ||||||||||||
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||
|
Net Interest Income:
|
||||||||||||
|
Interest income (1)
|
$ | 687,795 | $ | 511,783 | $ | 589,440 | ||||||
|
Interest expense (2)
|
147,785 | 101,999 | $ | 126,558 | ||||||||
|
Net interest income (expense)
|
540,010 | 409,784 | 462,882 | |||||||||
|
Other-than-temporary impairments:
|
||||||||||||
|
Total other-than-temporary impairment losses
|
(8,713 | ) | (4,356 | ) | (47,632 | ) | ||||||
|
Portion of loss recognized in other comprehensive income
|
(55,279 | ) | (40,811 | ) | (84,618 | ) | ||||||
|
Net other-than-temporary credit impairment losses
|
(63,992 | ) | (45,167 | ) | (132,250 | ) | ||||||
|
Other gains (losses):
|
||||||||||||
|
Net unrealized gains (losses) on derivatives
|
(103,496 | ) | 34,369 | (9,473 | ) | |||||||
|
Net realized gains (losses) on derivatives
|
(82,852 | ) | (7,713 | ) | (20,223 | ) | ||||||
|
Net gains (losses) on derivatives
|
(186,348 | ) | 26,656 | (29,696 | ) | |||||||
|
Net unrealized gains (losses) on financial instruments at fair value
|
193,534 | (44,277 | ) | 833 | ||||||||
|
Net realized gains (losses) on sales of investments
|
91,709 | 68,107 | 85,166 | |||||||||
|
Gain on deconsolidation
|
47,846 | - | - | |||||||||
|
Loss on extinguishment of Debt
|
(2,184 | ) | - | - | ||||||||
| Realized losses on principal write-downs of Non-Agency RMBS | - | (18,316 | ) | - | ||||||||
|
Total other gains (losses)
|
144,557 | 32,170 | 56,303 | |||||||||
|
Other (income) and expenses:
|
||||||||||||
|
Management fees
|
32,514 | 25,952 | 49,525 | |||||||||
|
Expense recoveries from Manager
|
(8,936 | ) | (6,788 | ) | (4,712 | ) | ||||||
|
Net management fees
|
23,578 | 19,164 | 44,813 | |||||||||
|
General and administrative expenses
|
(232 | ) | (1,799 | ) | 368 | |||||||
|
(Income)/expense for change in loan loss provision
|
31,805 | 16,734 | 13,986 | |||||||||
|
Other (income) expense
|
(23,783 | ) | - | - | ||||||||
|
Total other expenses
|
31,368 | 34,099 | 59,167 | |||||||||
|
Income before income taxes
|
589,207 | 362,688 | 327,768 | |||||||||
|
Income taxes
|
2 | 2 | 1 | |||||||||
|
Net income
|
$ | 589,205 | $ | 362,686 | $ | 327,767 | ||||||
|
Net income per share available to common shareholders:
|
|
|||||||||||
|
Basic
|
$ | 0.57 | $ | 0.35 | $ | 0.32 | ||||||
|
Diluted
|
$ | 0.57 | $ | 0.35 | $ | 0.32 | ||||||
|
Weighted average number of common shares outstanding:
|
||||||||||||
|
Basic
|
1,027,250,475 | 1,027,094,379 | 1,026,831,033 | |||||||||
|
Diluted
|
1,027,543,847 | 1,027,570,343 | 1,027,499,255 | |||||||||
|
(1) Includes interest income of consolidated VIEs of $428,992, $371,559 and $417,351 for the years ended December 31, 2014, 2013 and 2012 respectively. See Note 8 for further discussion.
|
||||||||||||
|
(2) Includes interest expense of consolidated VIEs of $119,103, $95,229 and $115,880 for the years ended December 31, 2014, 2013 and 2012 respectively. See Note 8 for further discussion.
|
||||||||||||
|
December 31, 2014
|
||||
|
(dollars in thousands, except per share data)
|
||||
|
GAAP Book Value
|
$ | 3,607,690 | ||
|
GAAP Book Value per Share
|
$ | 3.51 | ||
|
Economic Adjustments:
|
||||
|
Assets of Consolidated VIEs
|
(7,798,794 | ) | ||
|
Non-Recourse Liabilities of Consolidated VIEs
|
5,095,278 | |||
|
Interests in VIEs eliminated in consolidation
|
2,367,953 | |||
|
Total Adjustments - Net
|
(335,563 | ) | ||
|
Total Adjustments - Net (per share)
|
0.33 | |||
|
Economic Book Value
|
$ | 3,272,127 | ||
|
Economic Book Value per Share
|
$ | 3.18 | ||
|
December 31, 2013
|
||||
|
(dollars in thousands, except per share data)
|
||||
|
GAAP Book Value
|
$ | 3,331,510 | ||
|
GAAP Book Value per Share
|
$ | 3.24 | ||
|
Economic Adjustments:
|
||||
|
Assets of Consolidated VIEs
|
(3,765,055 | ) | ||
|
Non-Recourse Liabilities of Consolidated VIEs
|
1,603,713 | |||
|
Interests in VIEs eliminated in consolidation
|
1,723,520 | |||
|
Total Adjustments - Net
|
(437,822 | ) | ||
|
Total Adjustments - Net (per share)
|
0.42 | |||
|
Economic Book Value
|
$ | 2,893,688 | ||
|
Economic Book Value per Share
|
$ | 2.82 | ||
|
December 31, 2014
|
December 31, 2013
|
|||||||
|
Interest earning assets at period-end (1)
|
$ | 17,170,998 | $ | 6,555,525 | ||||
|
Interest bearing liabilities at period-end
|
$ | 13,550,659 | $ | 3,262,274 | ||||
|
Leverage at period-end
|
3.8:1
|
1.0:1
|
||||||
|
Leverage at period-end (recourse)
|
2.6:1
|
0.5:1
|
||||||
|
Portfolio Composition, at amortized cost
|
||||||||
|
Non-Agency RMBS
|
5.1 | % | 49.8 | % | ||||
|
Senior
|
1.5 | % | 1.5 | % | ||||
|
Senior, interest only
|
1.4 | % | 5.1 | % | ||||
|
Subordinated
|
2.2 | % | 6.0 | % | ||||
|
Subordinated, interest only
|
0.1 | % | 0.3 | % | ||||
|
RMBS transferred to consolidated VIEs
|
10.3 | % | 36.9 | % | ||||
|
Agency RMBS
|
52.1 | % | 36.1 | % | ||||
|
Pass-through
|
50.9 | % | 35.3 | % | ||||
|
Interest-only
|
1.2 | % | 0.8 | % | ||||
|
Securitized loans held for investment, net of allowance for loan losses
|
4.0 | % | 14.1 | % | ||||
|
Securitized loans held for investment, at fair value
|
28.5 | % | - | |||||
|
Fixed-rate percentage of portfolio
|
92.5 | % | 76.3 | % | ||||
|
Adjustable-rate percentage of portfolio
|
7.5 | % | 23.7 | % | ||||
|
Annualized yield on average interest earning assets for the year ended
|
6.9 | % | 8.8 | % | ||||
|
Annualized cost of funds on average borrowed funds for the year ended (2)
|
2.5 | % | 3.5 | % | ||||
|
(1) Excludes cash and cash equivalents.
|
||||||||
|
(2) Includes the effect of realized losses on interest rate swaps.
|
||||||||
| December 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||||
|
Principal or Notional Value at Period-End
(dollars in thousands)
|
Weighted Average Amortized
Cost Basis
|
Weighted Average Fair Value
|
Weighted Average Coupon
|
Weighted Average Yield at Period-End
(1)
|
Weighted Average 3 Month CPR at Period-End
|
Weighted Average 12 Month CPR at Period-End
|
Weighted Average Delinquency Pipeline 60+
|
Weighted Average Loss Severity (2)
|
Weighted Average Credit Enhancement
|
Principal Writedowns During Period
(dollars in thousands)
|
||||||||||||||||||||||||||||||||||
|
Non-Agency Mortgage-Backed Securities
|
||||||||||||||||||||||||||||||||||||||||||||
|
Senior
|
$ | 344,951 | $ | 55.09 | $ | 79.63 | 4.3 | % | 15.9 | % | 10.8 | % | 11.6 | % | 30.9 | % | 68.6 | % | 10.4 | % | $ | 2,190 | ||||||||||||||||||||||
|
Senior, interest only
|
$ | 5,178,737 | $ | 4.35 | $ | 3.97 | 1.6 | % | 14.4 | % | 12.2 | % | 13.0 | % | 21.2 | % | 51.6 | % | 0.0 | % | $ | - | ||||||||||||||||||||||
|
Subordinated
|
$ | 690,599 | $ | 50.18 | $ | 65.79 | 3.1 | % | 10.6 | % | 13.9 | % | 14.8 | % | 15.8 | % | 45.5 | % | 11.7 | % | $ | 5,669 | ||||||||||||||||||||||
|
Subordinated, interest only
|
$ | 216,403 | $ | 4.43 | $ | 3.14 | 0.9 | % | 9.2 | % | 7.0 | % | 11.3 | % | 13.3 | % | 46.1 | % | 0.0 | % | $ | - | ||||||||||||||||||||||
|
RMBS transferred to consolidated VIEs
|
$ | 3,133,610 | $ | 53.51 | $ | 80.03 | 4.5 | % | 17.4 | % | 10.2 | % | 10.7 | % | 21.9 | % | 59.5 | % | 1.3 | % | $ | 25,603 | ||||||||||||||||||||||
|
Agency Mortgage-Backed Securities
|
||||||||||||||||||||||||||||||||||||||||||||
|
Pass-through
|
$ | 7,774,266 | $ | 104.96 | $ | 106.19 | 4.0 | % | 3.2 | % | 9.7 | % | 10.6 | % |
NA
|
NA
|
NA
|
$ | - | |||||||||||||||||||||||||
|
Interest-only
|
$ | 3,884,523 | $ | 4.89 | $ | 4.79 | 0.9 | % | 3.1 | % | 11.7 | % | 9.5 | % |
NA
|
NA
|
NA
|
$ | - | |||||||||||||||||||||||||
|
Securitized loans
|
$ | 5,241,100 | $ | 99.13 | $ | 101.74 | 6.6 | % | 6.3 | % | 9.8 | % | 8.2 | % | 10.3 | % | 46.0 | % | 36.5 | % | $ | - | ||||||||||||||||||||||
|
(1) Bond Equivalent Yield at period end. Weighted Average Yield is calculated using each investment's respective amortized cost.
|
||||||||||||||||||||||||||||||||||||||||||||
|
(2) Calculated based on reported losses to date, utilizing widest data set available (i.e., life-time losses, 12-month loss, etc.)
|
||||||||||||||||||||||||||||||||||||||||||||
| December 31, 2013 | ||||||||||||||||||||||||||||||||||||||||||||
|
Principal or Notional Value at Period-End
(dollars in thousands)
|
Weighted Average Amortized
Cost Basis
|
Weighted Average Fair Value
|
Weighted Average Coupon
|
Weighted Average Yield at Period-End
(1)
|
Weighted Average 3 Month CPR at Period-End
|
Weighted Average 12 Month CPR at Period-End
|
Weighted Average Delinquency Pipeline 60+
|
Weighted Average Loss Severity (2)
|
Weighted Average Credit Enhancement
|
Principal Writedowns During Period
(dollars in thousands)
|
||||||||||||||||||||||||||||||||||
|
Non-Agency Mortgage-Backed Securities
|
||||||||||||||||||||||||||||||||||||||||||||
|
Senior
|
$ | 128,217 | $ | 69.27 | $ | 69.95 | 1.4 | % | 5.9 | % | 12.1 | % | 15.1 | % | 38.0 | % | 63.3 | % | 8.3 | % | $ | 297 | ||||||||||||||||||||||
|
Senior, interest only
|
$ | 5,742,781 | $ | 4.93 | $ | 3.99 | 1.4 | % | 17.2 | % | 15.2 | % | 16.8 | % | 19.9 | % | 51.1 | % | 0.0 | % | $ | - | ||||||||||||||||||||||
|
Subordinated
|
$ | 830,632 | $ | 40.96 | $ | 55.09 | 2.9 | % | 13.5 | % | 17.0 | % | 19.6 | % | 16.2 | % | 49.6 | % | 12.6 | % | $ | 6,563 | ||||||||||||||||||||||
|
Subordinated, interest only
|
$ | 274,462 | $ | 5.34 | $ | 6.04 | 1.7 | % | 9.0 | % | 17.0 | % | 18.1 | % | 15.4 | % | 45.0 | % | 0.0 | % | $ | - | ||||||||||||||||||||||
|
RMBS transferred to consolidated VIEs
|
$ | 3,912,376 | $ | 54.17 | $ | 77.82 | 4.7 | % | 15.8 | % | 11.7 | % | 14.7 | % | 25.8 | % | 57.9 | % | 1.6 | % | $ | 34,386 | ||||||||||||||||||||||
|
Agency Mortgage-Backed Securities
|
||||||||||||||||||||||||||||||||||||||||||||
|
Pass-through
|
$ | 1,898,131 | $ | 104.52 | $ | 105.24 | 3.6 | % | 3.3 | % | 7.7 | % | 18.2 | % |
NA
|
NA
|
0.0 | % | $ | - | ||||||||||||||||||||||||
|
Interest-only
|
$ | 247,344 | $ | 17.69 | $ | 17.30 | 3.2 | % | 5.3 | % | 9.8 | % | 17.5 | % |
NA
|
NA
|
0.0 | % | $ | - | ||||||||||||||||||||||||
|
Securitized loans
|
$ | 776,074 | $ | 102.12 | $ | 98.26 | 4.7 | % | 3.5 | % | 18.3 | % | 36.4 | % | 1.5 | % | 22.3 | % | 16.4 | % | $ | (6 | ) | |||||||||||||||||||||
|
(1) Bond Equivalent Yield at period end. Weighted Average Yield is calculated using each investment's respective amortized cost.
|
||||||||||||||||||||||||||||||||||||||||||||
|
(2) Calculated based on reported losses to date, utilizing widest data set available (i.e., life-time losses, 12-month loss, etc.)
|
||||||||||||||||||||||||||||||||||||||||||||
|
For the Quarters Ended
|
||||||||||||||||||||
|
December 31, 2014
|
September 30, 2014
|
June 30, 2014
|
March 31, 2014
|
December 31, 2013
|
||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
|
Accretable Discount
|
||||||||||||||||||||
|
Balance, beginning of period
|
$ | 977,042 | $ | 951,305 | $ | 990,202 | $ | 996,694 | $ | 1,012,513 | ||||||||||
|
Accretion of discount
|
(44,165 | ) | (39,062 | ) | (42,101 | ) | (40,304 | ) | (40,812 | ) | ||||||||||
|
Purchases
|
2,636 | 126,752 | (6,773 | ) | 18,815 | - | ||||||||||||||
|
Sales and deconsolidation
|
(1,977 | ) | (66,161 | ) | (669 | ) | (3,843 | ) | - | |||||||||||
|
Transfers from credit reserve
|
58,643 | 11,809 | 17,134 | 31,666 | 28,962 | |||||||||||||||
|
Transfers to credit reserve
|
(4,318 | ) | (7,601 | ) | (6,488 | ) | (12,826 | ) | (3,969 | ) | ||||||||||
|
Balance, end of period
|
$ | 987,861 | $ | 977,042 | $ | 951,305 | $ | 990,202 | $ | 996,694 | ||||||||||
|
For the Quarters Ended
|
||||||||||||||||||||
|
December 31, 2014
|
September 30, 2014
|
June 30, 2014
|
March 31, 2014
|
December 31, 2013
|
||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
|
Non-Accretable Difference
|
||||||||||||||||||||
|
Balance, beginning of period
|
$ | 933,668 | $ | 1,046,519 | $ | 1,171,130 | $ | 1,217,793 | $ | 1,261,945 | ||||||||||
|
Principal Writedowns
|
(37,044 | ) | (81,289 | ) | (41,155 | ) | (47,079 | ) | (41,708 | ) | ||||||||||
|
Purchases
|
2,636 | 126,752 | (6,773 | ) | 18,815 | - | ||||||||||||||
|
Sales and deconsolidation
|
- | (156,096 | ) | (71,384 | ) | (1,093 | ) | - | ||||||||||||
|
Net other-than-temporary credit impairment losses
|
63,992 | 1,990 | 5,347 | 1,534 | 22,549 | |||||||||||||||
|
Transfers from credit reserve
|
(58,643 | ) | (11,809 | ) | (17,134 | ) | (31,666 | ) | (28,962 | ) | ||||||||||
|
Transfers to credit reserve
|
4,318 | 7,601 | 6,488 | 12,826 | 3,969 | |||||||||||||||
|
Balance, end of period
|
$ | 908,927 | $ | 933,668 | $ | 1,046,519 | $ | 1,171,130 | $ | 1,217,793 | ||||||||||
|
●
|
If there is a positive change in the amount and timing of future cash flows expected to be collected from the previous estimate used for accounting purposes, the effective interest rate in future accounting periods may increase resulting in an increase in the reported amount of interest income in future periods. A positive change in the amount and timing of future cash flows expected to be collected from the previous estimate used for accounting purposes must be considered significant for Non-Agency RMBS accounted for under ASC 310-30 for the effective interest rate in future accounting periods to increase. A positive change in the amount and timing of future cash flows expected to be collected is considered to have occurred when the net present value of future cash flows expected to be collected has increased from the previous estimate. This can occur from a change in either the timing of when cash flows are expected to be collected (i.e., from changes in prepayment speeds or the timing of estimated defaults) or in the amount of cash flows expected to be collected (i.e., from reductions in estimates of future defaults). Furthermore, a positive change could occur on an overall basis in situations where the positive impact of a change in the timing of cash flows exceeds the negative impact of increased defaults, or when the positive impact of a decline in estimated defaults exceeds the negative impact of an extension of the timing of receipt of cash flows.
|
|
●
|
If there is a negative (or adverse) change in the amount and timing of future cash flows expected to be collected from the previous estimate used for accounting purposes, and the securities’ fair value is below its amortized cost, an OTTI loss equal to the adverse change in cash flows expected to be collected, discounted using the securities’ effective rate before impairment, is required to be recorded in current period earnings. For Non-Agency RMBS accounted for under ASC 310-30, while the effective interest rate used to accrete interest income after an OTTI has been recognized will be the same, the amount of interest income recorded in future periods will decline because of the reduced amount of the amortized cost basis of the investment to which such effective interest rate is applied. Additionally, for Non-Agency RMBS accounted for under ASC 325-40, while the effective interest rate used to accrete interest income during the period directly after an OTTI has been recognized will be the same, the amount of interest income recorded in such future period will decline, absent an increase in cash flows expected to be collected, because of the reduced amount of the amortized cost basis of the investment to which such effective interest rate is applied. An adverse change in the amount and timing of future cash flows expected to be collected is considered to have occurred when the net present value of future cash flows expected to be collected has decreased from the most previous estimate. This change can occur from a change in either the timing of when cash flows are expected to be collected (i.e., from changes in prepayment speeds or the timing of estimated defaults) or in the amount of cash flows expected to be collected (i.e., from increases in estimates of future defaults). Furthermore, an adverse change could occur on an overall basis in situations where the negative impact of a change in the timing of cash flows exceeds the positive impact of a decline in estimated defaults, or when the negative impact of an increase in estimated defaults exceeds the positive impact of a shortening of the timing of receipt of cash flows.
|
|
●
|
Our assessment of the credit quality of the asset, including its credit rating at the acquisition date and whether the security has experienced deterioration in credit quality since its inception.
|
|
●
|
Our assessment of the probability of collection of all contractual cash flows.
|
|
●
|
Our assessment of whether the security can be contractually prepaid such that we would not recover our initial investment.
|
|
GAAP
Interest
Income
|
GAAP
Interest
Expense
|
Add: Net
Realized
Losses on
Interest Rate
Hedges
|
Economic
Interest
Expense
|
GAAP Net
Interest
Income
|
Less: Net
Realized
Losses on
Interest Rate
Hedges
|
Economic
Net
Interest
Income (1)
|
||||||||||||||||||||||
|
For the Year Ended December 31, 2014
|
$ | 687,795 | $ | 147,785 | $ | 52,522 | $ | 200,307 | $ | 540,010 | $ | 52,522 | $ | 487,466 | ||||||||||||||
|
For the Year Ended December 31, 2013
|
$ | 511,783 | $ | 101,999 | $ | 21,789 | $ | 123,788 | $ | 409,784 | $ | 21,789 | $ | 387,957 | ||||||||||||||
|
For the Year Ended December 31, 2012
|
$ | 589,440 | $ | 126,558 | $ | 20,223 | $ | 146,781 | $ | 462,882 | $ | 20,223 | $ | 442,639 | ||||||||||||||
|
For the Quarter Ended December 31, 2014
|
$ | 242,455 | $ | 65,794 | $ | 17,679 | $ | 83,473 | $ | 176,661 | $ | 17,679 | $ | 158,972 | ||||||||||||||
|
For the Quarter Ended September 30, 2014
|
$ | 190,355 | $ | 38,886 | $ | 17,132 | $ | 56,018 | $ | 151,469 | $ | 17,132 | $ | 134,333 | ||||||||||||||
|
For the Quarter Ended June 30, 2014
|
$ | 134,318 | $ | 20,680 | $ | 12,061 | $ | 32,741 | $ | 113,638 | $ | 12,061 | $ | 101,573 | ||||||||||||||
|
For the Quarter Ended March 31, 2014
|
$ | 120,667 | $ | 22,425 | $ | 5,650 | $ | 28,075 | $ | 98,242 | $ | 5,650 | $ | 92,588 | ||||||||||||||
|
(1) Excludes interest income on cash and cash equivalents.
|
||||||||||||||||||||||||||||
|
For the Year Ended
|
||||||||||||||||||||||||
|
December 31, 2014
|
December 31, 2013
|
|||||||||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||||||
|
Average
Balance
|
Interest
|
Average
Yield/Cost
|
Average
Balance
|
Interest
|
Average
Yield/Cost
|
|||||||||||||||||||
| Assets | ||||||||||||||||||||||||
|
Interest-earning assets (1):
|
||||||||||||||||||||||||
|
Agency RMBS
|
$ | 5,222,882 | $ | 180,206 | 3.5 | % | $ | 1,885,809 | $ | 69,433 | 3.7 | % | ||||||||||||
|
Non-Agency RMBS
|
801,547 | 78,577 | 9.8 | % | 662,790 | 70,753 | 10.7 | % | ||||||||||||||||
|
Non-Agency RMBS transferred to consolidated VIEs
|
1,867,986 | 295,475 | 15.8 | % | 2,262,889 | 337,645 | 14.9 | % | ||||||||||||||||
|
Jumbo Prime securitized residential mortgage loans held for investment
|
720,965 | 30,010 | 4.2 | % | 994,103 | 33,914 | 3.4 | % | ||||||||||||||||
|
Seasoned sub-prime securitized residential mortgage loans held for investment
|
1,419,155 | 103,505 | 7.3 | % | - | - | - | |||||||||||||||||
| Total | $ | 10,032,535 | $ | 687,773 | 6.9 | % | $ | 5,805,591 | $ | 511,745 | 8.8 | % | ||||||||||||
|
Liabilities and stockholders' equity:
|
||||||||||||||||||||||||
|
Interest-bearing liabilities:
|
||||||||||||||||||||||||
|
Agency repurchase agreements (2)
|
$ | 4,749,283 | $ | 71,569 | 1.5 | % | $ | 1,534,885 | $ | 28,559 | 1.9 | % | ||||||||||||
|
Non-Agency repurchase agreements
|
444,599 | 9,634 | 2.2 | % | - | - | - | |||||||||||||||||
|
Securitized debt, collateralized by Non-Agency RMBS
|
799,473 | 53,367 | 6.7 | % | 1,129,342 | 67,870 | 6.0 | % | ||||||||||||||||
|
Securitized debt, collateralized by jumbo prime residential mortgage loans
|
720,965 | 21,602 | 3.0 | % | 863,485 | 27,359 | 3.2 | % | ||||||||||||||||
|
Securitized debt, collateralized by seasoned sub-prime residential mortgage loans
|
1,174,682 | 44,134 | 3.8 | % | - | - | - | |||||||||||||||||
| Total | $ | 7,889,002 | $ | 200,306 | 2.5 | % | $ | 3,527,712 | $ | 123,788 | 3.5 | % | ||||||||||||
|
Net economic interest income/net interest rate spread
|
$ | 487,467 | 4.4 | % | $ | 387,957 | 5.3 | % | ||||||||||||||||
|
Net interest-earning assets/net interest margin
|
$ | 2,143,533 | 4.9 | % | $ | 2,277,879 | 6.7 | % | ||||||||||||||||
|
Ratio of interest-earning assets to interest bearing liabilities
|
1.27 | 1.65 | ||||||||||||||||||||||
|
(1) Interest-earning assets at amortized cost
|
||||||||||||||||||||||||
|
(2) Interest includes cash paid on swaps
|
||||||||||||||||||||||||
|
Average Debt Balance
|
Economic
Interest Expense (1)
|
Average
Cost of
Funds
|
Average One-Month LIBOR
|
Average Six-Month LIBOR
|
Average One-Month LIBOR Relative to Average Six-Month LIBOR
|
Average Cost of Funds Relative to Average One-Month LIBOR
|
Average Cost of Funds Relative to Average Six-Month LIBOR
|
|||||||||||||||||||||||||
|
(Ratios have been annualized, dollars in thousands)
|
||||||||||||||||||||||||||||||||
|
For The Year Ended December 31, 2014
|
$ | 7,889,002 | $ | 200,307 | 2.54 | % | 0.16 | % | 0.33 | % | (0.17 | %) | 2.38 | % | 2.21 | % | ||||||||||||||||
|
For The Year Ended December 31, 2013
|
$ | 3,527,712 | $ | 123,788 | 3.51 | % | 0.19 | % | 0.41 | % | (0.22 | %) | 3.32 | % | 3.10 | % | ||||||||||||||||
|
For The Year Ended December 31, 2012
|
$ | 4,466,695 | $ | 146,781 | 3.29 | % | 0.24 | % | 0.74 | % | (0.49 | %) | 3.05 | % | 2.55 | % | ||||||||||||||||
|
For The Quarter Ended December 31, 2014
|
$ | 13,336,713 | $ | 83,473 | 2.50 | % | 0.16 | % | 0.33 | % | (0.17 | %) | 2.35 | % | 2.17 | % | ||||||||||||||||
|
For The Quarter Ended September 30, 2014
|
$ | 10,351,252 | $ | 56,018 | 2.16 | % | 0.15 | % | 0.33 | % | (0.17 | %) | 2.01 | % | 1.84 | % | ||||||||||||||||
|
For The Quarter Ended June 30, 2014
|
$ | 4,483,572 | $ | 32,741 | 2.92 | % | 0.15 | % | 0.32 | % | (0.17 | %) | 2.77 | % | 2.60 | % | ||||||||||||||||
|
For The Quarter Ended March 31, 2014
|
$ | 3,145,025 | $ | 28,075 | 3.57 | % | 0.16 | % | 0.33 | % | (0.17 | %) | 3.41 | % | 3.24 | % | ||||||||||||||||
|
(1) Includes effect of realized losses on interest rate swaps.
|
||||||||||||||||||||||||||||||||
|
For the Year Ended
|
||||||||||||
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||
|
(dollars in thousands)
|
||||||||||||
|
Periodic interest cost of interest rate swaps, net
|
$ | (52,523 | ) | $ | (21,857 | ) | $ | (20,223 | ) | |||
|
Realized gain (loss) on derivative instruments, net:
|
||||||||||||
|
Mortgage Options
|
7,505 | 12,115 | - | |||||||||
|
Treasury Futures
|
(38,552 | ) | 2,029 | - | ||||||||
|
Swaptions
|
(24 | ) | - | - | ||||||||
|
Other Derivative Assets
|
742 | - | - | |||||||||
|
Total realized gain (loss) on derivative instruments, net
|
(30,329 | ) | 14,144 | - | ||||||||
|
Unrealized gain on derivative instruments, net:
|
||||||||||||
|
Interest Rate Swaps
|
(84,913 | ) | 23,740 | (9,473 | ) | |||||||
|
Mortgage Options
|
340 | - | - | |||||||||
|
Treasury Futures
|
(17,856 | ) | 10,629 | - | ||||||||
|
Swaptions
|
(1,067 | ) | - | - | ||||||||
|
Total unrealized gain (loss) on derivative instruments, net:
|
(103,496 | ) | 34,369 | (9,473 | ) | |||||||
|
Total gain (loss) on derivative instruments, net
|
$ | (186,348 | ) | $ | 26,656 | $ | (29,696 | ) | ||||
| For the year ended | ||||||||||||||||||||||||||||
|
December 31, 2014
|
December 31, 2013
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||||||||||||||||
|
(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
|
Gain/(Loss) on Change in Fair Value
|
||||||||||||||||||||||
|
IO RMBS securities
|
$ | 9,322,862 | 400,125 | 6,345,424 | 300,076 | 22,563 | (44,277 | ) | 833 | |||||||||||||||||||
|
Securitized loans held for investment, at fair value
|
4,619,193 | 4,699,215 | - | - | 144,960 | - | - | |||||||||||||||||||||
|
Securitized debt at fair value, collateralized by loans held for investment
|
3,964,053 | 3,868,366 | - | - | 26,011 | - | - | |||||||||||||||||||||
|
Total gain (loss) on financial instruments, net
|
$ | 17,906,108 | $ | 8,967,706 | $ |
6,345,424
|
$ | 300,076 | $ | 193,534 | $ | (44,277 | ) | $ | 833 | |||||||||||||
|
|
Total
Management Fee and G&A Expenses |
Total Management
Fee and G&A Expenses/Total Assets |
Total Management Fee
and G&A Expenses/Average Equity |
|||||||||
|
(Ratios have been annualized, dollars in thousands)
|
||||||||||||
|
For The Year Ended December 31, 2014 (1)
|
$ | 55,383 | 0.43 | % | 1.60 | % | ||||||
|
For The Year Ended December 31, 2013
|
$ | 35,898 | 0.49 | % | 1.04 | % | ||||||
|
For The Year Ended December 31, 2012
|
$ | 58,799 | 0.76 | % | 1.78 | % | ||||||
|
For The Quarter Ended December 31, 2014
|
$ | 22,612 | 0.47 | % | 2.51 | % | ||||||
|
For The Quarter Ended September 30, 2014 (1)
|
$ | 13,178 | 0.43 | % | 1.54 | % | ||||||
|
For The Quarter Ended June 30, 2014
|
$ | 10,317 | 0.42 | % | 1.22 | % | ||||||
|
For The Quarter Ended March 31, 2014
|
$ | 9,276 | 0.54 | % | 1.11 | % | ||||||
|
(1) Does not include one-time management fee reduction of $24 million
|
||||||||||||
|
Economic Net Interest Income/Average Equity *
|
Realized Gains
(Losses) on Sales and OTTI/Average Equity |
Realized and
Unrealized Gains (Losses) on Interest Rate Swaps and IOs/Average Equity |
Total
Management Fee & G&A Expenses/Average Equity |
Return on Average
Equity
|
||||||||||||||||
|
(Ratios have been annualized)
|
||||||||||||||||||||
|
For The Year Ended December 31, 2014
|
14.06 | % | 17.67 | % | (1.83 | %) | (1.60 | %) | 16.99 | % | ||||||||||
|
For The Year Ended December 31, 2013
|
11.70 | % | 0.72 | % | (0.29 | %) | (1.04 | %) | 10.55 | % | ||||||||||
|
For The Year Ended December 31, 2012
|
13.44 | % | (1.44 | %) | (0.26 | %) | (1.78 | %) | 9.95 | % | ||||||||||
|
For The Quarter Ended December 31, 2014
|
15.70 | % | (3.51 | %) | (7.75 | %) | (2.51 | %) | 0.72 | % | ||||||||||
|
For The Quarter Ended September 30, 2014
|
15.64 | % | 7.41 | % | 2.57 | % | (1.54 | %) | 43.99 | % | ||||||||||
|
For The Quarter Ended June 30, 2014
|
12.00 | % | (1.17 | %) | 2.55 | % | (1.22 | %) | 12.38 | % | ||||||||||
|
For The Quarter Ended March 31, 2014
|
11.04 | % | 0.78 | % | 1.31 | % | (1.11 | %) | 11.98 | % | ||||||||||
|
* Includes effect of realized losses on interest rate swaps.
|
||||||||||||||||||||
|
For the Year Ended
|
||||||||||||
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||
|
(dollars in thousands, except per share data)
|
||||||||||||
|
GAAP Net income
|
$ | 589,205 | $ | 362,686 | $ | 327,767 | ||||||
|
Adjustments:
|
||||||||||||
|
Net other-than-temporary credit impairment losses
|
63,992 | 45,167 | 132,250 | |||||||||
|
Net unrealized (gains) losses on derivatives
|
103,496 | (34,369 | ) | 9,473 | ||||||||
|
Net unrealized gains (losses) on financial instruments at fair value
|
(193,534 | ) | 44,277 | (833 | ) | |||||||
|
Net realized gains (losses) on sales of investments
|
(91,709 | ) | (68,107 | ) | (85,166 | ) | ||||||
|
Total other (gains) losses
|
(69,445 | ) | - | - | ||||||||
|
Core Earnings
|
$ | 402,005 | $ | 349,654 | $ | 383,491 | ||||||
|
GAAP net income per basic common share
|
$ | 0.57 | $ | 0.35 | $ | 0.32 | ||||||
|
Core earnings per basic common share
|
$ | 0.39 | $ | 0.34 | $ | 0.37 | ||||||
|
December 31, 2014
|
December 31, 2013
|
|||||||
|
(dollars in thousands)
|
||||||||
|
Overnight
|
$ | - | $ | - | ||||
|
1-29 days
|
2,652,717 | 644,332 | ||||||
|
30 to 59 days
|
1,371,856 | 606,945 | ||||||
|
60 to 89 days
|
656,915 | - | ||||||
|
90 to 119 days
|
2,068,740 | 129,049 | ||||||
|
Greater than or equal to 120 days
|
1,705,153 | 278,235 | ||||||
|
Total
|
$ | 8,455,381 | $ | 1,658,561 | ||||
|
Average days to maturity
|
100 days
|
58 days
|
||||||
|
Period
|
Average
Repurchase Balance |
Repurchase
Balance at Period End |
||||||
|
(dollars in thousands)
|
||||||||
|
Year Ended December 31, 2014
|
$ | 5,192,654 | $ | 8,455,381 | ||||
|
Year Ended December 31, 2013
|
$ | 1,480,666 | $ | 1,561,920 | ||||
|
Year Ended December 31, 2012
|
$ | 2,122,421 | $ | 1,528,025 | ||||
|
Quarter End December 31, 2014
|
$ | 8,247,722 | $ | 8,455,381 | ||||
|
Quarter End September 30, 2014
|
$ | 7,741,837 | $ | 7,838,163 | ||||
|
Quarter End June 30, 2014
|
$ | 3,054,737 | $ | 5,564,554 | ||||
|
Quarter End March 31, 2014
|
$ | 1,648,425 | $ | 1,561,920 | ||||
|
Country
|
Number of Counterparties
|
Repurchase Agreement
Financing |
Interest Rate
Swaps at Fair Value |
Exposure (1)
|
Exposure as a Percentage of Total Assets
|
|||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
|
France
|
1 | $ | 637,973 | $ | (98,369 | ) | $ | (54,770 | ) | -0.27 | % | |||||||||
|
Germany
|
1 | - | (1,680 | ) | 3,287 | 0.02 | % | |||||||||||||
|
Netherlands
|
1 | 501,263 | - | 27,136 | 0.13 | % | ||||||||||||||
|
Switzerland
|
2 | 1,561,885 | (12,418 | ) | 405,814 | 1.97 | % | |||||||||||||
|
United Kingdom
|
1 | 536,181 | - | 15,806 | 0.08 | % | ||||||||||||||
|
Total
|
6 | $ | 3,237,302 | $ | (112,467 | ) | $ | 397,273 | 1.93 | % | ||||||||||
|
(1) Represents the amount of securities pledged as collateral to each counterparty less the aggregate of repurchase agreement financing and unrealized loss on swaps for each counterparty.
|
||||||||||||||||||||
|
December 31, 2014
|
||||||||||||||||||||
| (dollars in thousands) | ||||||||||||||||||||
|
Contractual Obligations
|
Within One
Year |
One to Three
Years |
Three to Five
Years |
Greater Than
or Equal to Five Years |
Total
|
|||||||||||||||
|
Repurchase agreements for RMBS
|
$ | 8,155,381 | $ | 300,000 | $ | - | $ | - | $ | 8,455,381 | ||||||||||
|
Securitized debt
|
880,367 | 1,427,236 | 940,975 | 1,645,706 | 4,894,284 | |||||||||||||||
|
Interest expense on RMBS repurchase agreements (1)
|
18,451 | 3 | - | - | 18,454 | |||||||||||||||
|
Interest expense on securitized debt (1)
|
184,079 | 313,263 | 238,776 | 573,623 | 1,309,741 | |||||||||||||||
|
Total
|
$ | 9,238,278 | $ | 2,040,502 | $ | 1,179,751 | $ | 2,219,329 | $ | 14,677,860 | ||||||||||
|
(1) Interest is based on variable rates in effect as of December 31, 2014.
|
||||||||||||||||||||
|
December 31, 2013
|
||||||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
|
Contractual Obligations
|
Within One
Year |
One to Three
Years |
Three to Five
Years |
Greater Than
or Equal to Five Years |
Total
|
|||||||||||||||
|
Repurchase agreements for RMBS
|
$ | 1,658,561 | $ | - | $ | - | $ | - | $ | 1,658,561 | ||||||||||
|
Securitized debt
|
370,250 | 497,943 | 264,456 | 396,916 | 1,529,565 | |||||||||||||||
|
Interest expense on RMBS repurchase agreements (1)
|
2,380 | - | - | - | 2,380 | |||||||||||||||
|
Interest expense on securitized debt (1)
|
57,546 | 80,446 | 58,620 | 178,391 | 375,003 | |||||||||||||||
|
Total
|
$ | 2,088,737 | $ | 578,389 | $ | 323,076 | $ | 575,307 | $ | 3,565,509 | ||||||||||
|
(1) Interest is based on variable rates in effect as of December 31, 2013.
|
||||||||||||||||||||
|
●
|
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;
|
|
●
|
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
|
|
●
|
Either:
|
|
o
|
identify itself as a “mortgage REIT” in Item G of its last U.S. income tax return on Form 1120-REIT; or
|
|
o
|
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.
|
| December 31, 2014 | ||||||||
|
Change in Interest Rate
|
Projected Percentage
Change in Net Interest Income (1) |
Projected Percentage
Change in Portfolio Value with Effect of Interest Rate Swaps and Other Hedging Transactions (2) |
||||||
|
-100 Basis Points
|
(27.45 | %) | (0.59 | %) | ||||
|
-50 Basis Points
|
(3.99 | %) | (0.04 | %) | ||||
|
Base Interest Rate
|
- | - | ||||||
|
+50 Basis Points
|
9.39 | % | (0.50 | %) | ||||
|
+100 Basis Points
|
7.21 | % | (1.40 | %) | ||||
|
(1)
Change in annual economic net interest income. Includes interest expense on interest rate swaps.
|
||||||||
|
(2) Projected Percentage Change in Portfolio Value is based on instantaneous moves in interest rates.
|
||||||||
|
●
|
monitoring and adjusting, if necessary, the reset index and interest rate related to our RMBS and our financings;
|
|
●
|
attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods;
|
|
●
|
using derivatives, financial futures, swaps, options, caps, floors and forward sales to adjust the interest rate sensitivity of our investments and our borrowings;
|
|
●
|
using securitization financing to lower average cost of funds or create non-recourse financing for an extended period of time relative to other financing vehicles; and
|
|
●
|
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.
|
|
December 31, 2014
|
||||||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
|
Within 3 Months
|
3-12 Months
|
1 Year to 3 Years
|
Greater than 3 Years
|
Total
|
||||||||||||||||
|
Rate sensitive assets
|
$ | 1,506,046 | $ | 1,790,592 | $ | 664,916 | $ | 22,502,633 | $ | 26,464,187 | ||||||||||
|
Cash equivalents
|
164,620 | - | - | - | 164,620 | |||||||||||||||
|
Total rate sensitive assets
|
1,670,666 | 1,790,592 | 664,916 | 22,502,633 | 26,628,807 | |||||||||||||||
|
Rate sensitive liabilities
|
7,140,345 | 3,149,192 | 22,386 | - | 10,311,923 | |||||||||||||||
|
Interest rate sensitivity gap
|
$ | (5,469,679 | ) | $ | (1,358,600 | ) | $ | 642,530 | $ | 22,502,633 | $ | 16,316,884 | ||||||||
|
Cumulative rate sensitivity gap
|
$ | (5,469,679 | ) | $ | (6,828,279 | ) | $ | (6,185,749 | ) | $ | 16,316,884 | |||||||||
|
Cumulative interest rate sensitivity gap as a
|
||||||||||||||||||||
|
percentage of total rate sensitive assets
|
-21 | % | -26 | % | -23 | % | 61 | % | ||||||||||||
|
●
|
Weaknesses: |
|
●
|
Our design, procedures, and execution of review controls, including the review of journal entries and reconciliations, for routine processes were not timely or effective. Specifically there was insufficient evidence that our review controls were designed and executed at a precision level that would prevent or detect a material misstatement.
|
|
●
|
We did not design and maintain adequate review and approval controls over significant estimates and their related disclosure process to prevent or detect a material misstatement. Specifically, we did not establish adequate procedures or design effective controls as follows:
|
|
o
|
There was inadequate or delayed review and validation of inputs used in significant estimates and their related disclosures, such as other-than-temporary impairment, interest income related to investments in RMBS and securitized loans held for investment.
|
|
o
|
There was inadequate or delayed evidence of independent validation of calculations used in significant accounting estimates to ensure the accounting policies were appropriately implemented.
|
|
o
|
There was inadequate or delayed evidence of review of the schedules supporting the amounts and disclosures in the consolidated financial statements.
|
|
●
|
Remediation:
|
|
●
|
We have identified an overreliance on spreadsheets consisting of manual inputs and complex calculations used to record transactions and estimates supporting the financial statement amounts and disclosures. Our controls over this electronic data were not performed at a level of precision sufficient to rely on the completeness and accuracy of the source data or manual input. The safeguarding and management of electronic data were insufficient to evidence the existence or extent of management's review and validation over the complex spreadsheets by a person with the necessary competency and authority.
Status of Remediation Efforts for Remaining Material Weakness
The Company selected and is implementing a portfolio accounting system that performs complex calculations required for financial reporting purposes. The system is expected to improve the Company’s control environment and eliminates the need for many spreadsheets utilized to manage portfolio data and financial reporting information. The system will have proper data validation, access controls and audit trails to improve controls over portfolio accounting information. The system is expected to be operational and effective in 2015.
|
|
Name
|
Age
|
Position Held with Us
|
|
Matthew Lambiase
|
48
|
Chief Executive Officer, President and Director
|
|
Robert Colligan
|
43
|
Chief Financial Officer and Secretary
|
|
Mohit Marria
|
37
|
Chief Investment Officer
|
|
William B. Dyer
|
68
|
Head of Underwriting
|
|
●
|
evaluate the performance of our officers;
|
|
●
|
evaluate the performance of our Manager;
|
|
●
|
review the compensation and fees payable to our Manager under our management agreement;
|
|
●
|
recommend to the Board of Directors the compensation for our independent directors; and
|
|
●
|
administer the issuance of any securities under our equity incentive plan to our executives or the employees of our Manager.
|
|
●
|
our accounting and financial reporting processes;
|
|
●
|
the integrity and audits of our consolidated financial statements;
|
|
●
|
our compliance with legal and regulatory requirements;
|
|
●
|
the qualifications and independence of our independent registered public accounting firm; and
|
|
●
|
the performance of our independent registered public accounting firm.
|
| Stock Awards | ||||||||
|
Name
|
Equity Incentive Plan
Awards: Number of Unearned Shares, Units or Other Rights That Have Not Vested(#)(1) |
Equity Incentive Plan Awards: Market
or Payout Value of Unearned Shares, Units or Other Rights That Have Not Yet Vested($)(2) |
||||||
|
Matthew Lambiase
|
27,000 | $ | 85,860 | |||||
|
Robert Colligan
|
- | $ | - | |||||
|
Stock Awards
|
||||||||
|
Name
|
Number of
Shares Acquired on Vesting (#) |
Value
Realized on Vesting(1) ($) |
||||||
|
Matthew Lambiase
|
9,000 | $ | 28,035 | |||||
|
Robert Colligan
|
- | $ | - | |||||
| (1) Reflects fair value of vested shares using closing price on date of vesting. | ||||||||
|
Name
|
Benefit
|
Termination
with Cause or Voluntary Termination |
Termination
without Cause or for Good Reason |
Death or
Disability (1) |
Other Post
Employment Obligations |
||||||||||||
|
Matthew Lambiase
|
Stock vesting
|
$ | - | $ | - | $ | 85,860 | $ | - | ||||||||
|
Robert Colligan
|
Stock vesting
|
$ | - | $ | - | $ | 0 | $ | - | ||||||||
|
Name
|
Fees Earned or
Paid in Cash |
Stock
Awards (2) |
Option
Awards |
Non-Equity
Incentive Plan Compensation |
Change in
Pension Value and Deferred Compensation Earnings |
All Other
Compensation |
Total
|
|||||||||||||||||||||
|
Mark Abrams
|
$ | 80,000 | $ | 70,000 | $ | - | $ | - | $ | - | $ | - | $ | 150,000 | ||||||||||||||
|
Gerard Creagh (1)
|
$ | - | $ | 140,000 | $ | - | $ | - | $ | - | $ | - | $ | 140,000 | ||||||||||||||
|
Paul Donlin (1)
|
$ | - | $ | 170,000 | $ | - | $ | - | $ | - | $ | - | $ | 170,000 | ||||||||||||||
|
Paul A. Keenan (1)
|
$ | - | $ | 150,000 | $ | - | $ | - | $ | - | $ | - | $ | 150,000 | ||||||||||||||
|
Dennis M. Mahoney
|
$ | 85,000 | $ | 70,000 | $ | - | $ | - | $ | - | $ | - | $ | 155,000 | ||||||||||||||
|
John P. Reilly (1)
|
$ | - | $ | 140,000 | $ | - | $ | - | $ | - | $ | - | $ | 140,000 | ||||||||||||||
|
Name of Beneficial Owner
|
Amount and Nature of
Beneficial Ownership |
Percent of
Class |
||||||
|
Matthew Lambiase(1)
|
625,000 | * | ||||||
|
Robert Colligan(2)
|
225,440 | * | ||||||
|
Mark Abrams(3)
|
133,117 | * | ||||||
|
Gerard Creagh(4)
|
270,339 | * | ||||||
|
Paul Donlin(5)
|
705,342 | * | ||||||
|
Paul A. Keenan(6)
|
231,833 | * | ||||||
|
Dennis M. Mahoney(7)
|
102,392 | * | ||||||
|
John P. Reilly(8)
|
173,098 | * | ||||||
|
All Directors and Officers As a Group
|
2,869,303 | * | ||||||
|
Leon G. Cooperman(9)
|
64,362,201 | 6.3 | % | |||||
|
BlackRock, Inc.(10)
|
61,575,112 | 6.0 | % | |||||
|
The Vanguard Group(11)
|
59,318,723 | 5.8 | % | |||||
|
(1)
|
Mr. Lambiase, our Chief Executive Officer, President and one of our directors, is the beneficial owner of 90,000 shares of restricted common stock issued under our equity incentive plan which vests in equal installments on the first business day of each fiscal quarter over a period of ten years beginning on January 2, 2008. Includes 65,250 shares of restricted common stock that have vested as of February 28, 2015; 2,250 shares of restricted common stock that will vest within 60 days after February 28, 2015; and 22,250 shares which vest more than 60 days after February 28, 2015. Includes 43,000 shares of common stock held by Mr. Lambiase in a 401(k) plan.
|
|
(2)
|
Mr. Colligan, our Chief Financial Officer and Secretary, is the beneficial owner of 195,440 shares of restricted common stock issued under our equity incentive plan on February 2, 2015 which vest in three equal installments on February 2, 2015, 2016, and 2017. 64,495 of these shares have fully vested as of February 28, 2015.
|
|
(3)
|
Mr. Abrams is one of our directors.
|
|
(4)
|
Mr. Creagh is one of our directors.
|
|
(5)
|
Mr. Donlin is one of our directors. Includes 20,000 shares of common stock held by Mr. Donlin in a Family Trust.
|
|
(6)
|
Mr. Keenan is one of our directors.
|
|
(7)
|
Mr. Mahoney is one of our directors.
|
|
(8)
|
Mr. Reilly is one of our directors. Includes 14,500 shares of common stock held by members of Mr. Reilly’s immediate family.
|
|
(9)
|
Leon G. Cooperman, 11431 W. Palmetto Park Road, Boca Raton, FL 33428, for himself or control person of certain named funds of which he may be deemed the beneficial owner (“Mr. Cooperman”), filed a Schedule 13G on January 23, 2015 reporting, as of December 31, 2014, beneficially owning 64,362,201 shares of common stock with the sole power to vote or to direct the vote of 47,829,845 shares of common stock, the shared power to vote or to direct the vote of 16,532,356 shares of common stock, the sole power to dispose or to direct the disposition of 47,829,845 shares of common stock and the shared power to dispose or to direct the disposition of 16,532,356 shares of common stock. This information is based solely on information contained in a Schedule 13G filed by Mr. Cooperman.
|
|
(10)
|
BlackRock, Inc., 55 East 52nd Street, New York, NY 10022, as a parent holding company or control person of certain named funds (“BlackRock”), filed a Schedule 13G on January 30, 2015 reporting, as of December 31, 2014, beneficially owning 61,575,112 shares of common stock with the sole power to vote or to direct the vote of 58,252,549 shares of common stock, the shared power to vote or to direct the vote of zero shares of common stock, the sole power to dispose or to direct the disposition of 61,575,112 shares of common stock and the shared power to dispose or to direct the disposition of zero shares of common stock. This information is based solely on information contained in a Schedule 13G filed by Blackrock.
|
|
(11)
|
The Vanguard Group, Inc., 100 Vanguard Blvd., Malvern, PA 19355, as a parent holding company or control person of certain named funds (“Vanguard”), filed a Schedule 13G on February 11, 2015 reporting, as of December 31, 2014, beneficially owning 59,318,723 shares of common stock with the sole power to vote or to direct the vote of 680,658 shares of common stock, the shared power to vote or to direct the vote of zero shares of common stock, the sole power to dispose or to direct the disposition of 58,720,665 shares of common stock and the shared power to dispose or to direct the disposition of 598,058 shares of common stock. This information is based solely on information contained in a Schedule 13G filed by Vanguard.
|
|
Plan Category
|
Number of Securities
to be Issued Upon Exercise of Outstanding Options, Warrants, and Rights |
Weighted Average
Exercise Price of Outstanding Options, Warrants, and Rights |
Number of Securities
Remaining Available for Future Issuance Under Equity Compensation Plans |
|||||||||
|
Equity Compensation Plans Approved by Stockholders
|
- | - | 38,164,674 | |||||||||
|
Equity Compensation Plans Not Approved by Stockholders (1)
|
- | - | - | |||||||||
|
Total
|
- | - | 38,164,674 | |||||||||
|
(1) We do not have any equity plans that have not been approved by our stockholders.
|
||||||||||||
| EXHIBIT INDEX | |
|
Exhibit
Number
|
Description
|
|
3.1
|
Articles of Amendment and Restatement of Chimera Investment Corporation (filed as Exhibit 3.1 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
|
3.2
|
Articles of Amendment of Chimera Investment Corporation (filed as Exhibit 3.1 to the Company’s Report on Form 8-K filed on May 28, 2009 and incorporated herein by reference)
|
|
3.3
|
Articles of Amendment of Chimera Investment Corporation (filed as Exhibit 3.1 to the Company’s Report on Form 8-K filed on November 5, 2010 and incorporated herein by reference)
|
|
3.4
|
Amended and Restated Bylaws of Chimera Investment Corporation (filed as Exhibit 3.2 to the Company’s Report on Form 8-K filed on December 19, 2011 and incorporated herein by reference)
|
|
4.1
|
Specimen Common Stock Certificate of Chimera Investment Corporation (filed as Exhibit 4.1 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
|
10.1†
|
Amended and Restated Management Agreement between Chimera Investment Corporation and Fixed Income Discount Advisory Company (filed as Exhibit 10.1 to the Company’s Annual Report on Form 10-Q (file No. 333-145525) filed on August 11, 2014 and incorporated herein by reference)
|
|
10.2†
|
Form of Equity Incentive Plan (filed as Exhibit 10.2 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
|
10.3†
|
Form of Restricted Common Stock Award (filed as Exhibit 10.3 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
|
10.4†
|
Form of Stock Option Grant (filed as Exhibit 10.4 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
|
10.5
|
Form of Master Securities Repurchase Agreement (filed as Exhibit 10.5 to the Company’s Registration Statement on Amendment No. 3 to Form S-11 (File No. 333-145525) filed on November 13, 2007 and incorporated herein by reference)
|
|
12.1
|
Computation of Ratio of Earnings to Fixed Charges
|
|
21.1
|
Subsidiaries of Registrant
|
|
31.1
|
Certification of Matthew Lambiase, Chief Executive Officer and President of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
31.2
|
Certification of Robert Colligan, Chief Financial Officer of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
32.1
|
Certification of Matthew Lambiase, Chief Executive Officer and President of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
32.2
|
Certification of Robert Colligan, Chief Financial Officer of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
Exhibit 101.INS XBRL
|
Instance Document **
|
|
Exhibit 101.SCH XBRL
|
Taxonomy Extension Schema Document **
|
|
Exhibit 101.CAL XBRL
|
Taxonomy Extension Calculation Linkbase Document **
|
|
Exhibit 101.DEF XBRL
|
Additional Taxonomy Extension Definition Linkbase Document Created**
|
|
Exhibit 101.LAB XBRL
|
Taxonomy Extension Label Linkbase Document **
|
|
Exhibit 101.PRE XBRL
|
Taxonomy Extension Presentation Linkbase Document **
|
|
Reports of Independent Registered Public Accounting Firm
|
F-1
|
|
Consolidated Financial Statements
|
|
|
Consolidated Statements of Financial Condition as of December 31, 2014 and 2013
|
F-3
|
| Consolidated Statements of Operations and Comprehensive Income for the Years Ended December 31, 2014, 2013 and 2012 | F-4 |
|
Consolidated Statements of Changes in Stockholders' Equity for the Years Ended
December 31, 2014, 2013 and 2012
|
F-5 |
| Consolidated Statements of Cash Flows for the Years Ended December 31, 2014, 2013 and 2012 | F-6 |
| Notes to Consolidated Financial Statements | F-7 |
|
CHIMERA INVESTMENT CORPORATION
|
||||||||
|
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||||
|
(dollars in thousands, except share and per share data)
|
||||||||
|
December 31, 2014
|
December 31, 2013
|
|||||||
|
Assets:
|
||||||||
|
Cash and cash equivalents
|
$ | 164,620 | $ | 77,629 | ||||
|
Non-Agency RMBS, at fair value
|
3,404,149 | 3,774,463 | ||||||
|
Agency RMBS, at fair value
|
8,441,522 | 1,997,578 | ||||||
|
Securitized loans held for investment, net of allowance for loan losses of $7 million and $9 million, respectively
|
626,112 | 783,484 | ||||||
|
Securitized loans held for investment, at fair value
|
4,699,215 | - | ||||||
|
Receivable for investments sold
|
1,572,056 | 253,541 | ||||||
|
Accrued interest receivable
|
71,099 | 32,994 | ||||||
|
Other assets
|
172,601 | 8,297 | ||||||
|
Derivatives, at fair value, net
|
3,631 | 8,095 | ||||||
|
Total assets
(1)
|
$ | 19,155,005 | $ | 6,936,081 | ||||
|
Liabilities:
|
||||||||
|
Repurchase agreements, RMBS ($9.3 billion and $1.7 billion pledged as collateral, respectively)
|
$ | 8,455,381 | $ | 1,658,561 | ||||
|
Securitized debt, collateralized by Non-Agency RMBS ($2.5 billion and $3.0 billion pledged as collateral, respectively)
|
704,915 | 933,732 | ||||||
|
Securitized debt, collateralized by loans held for investment ($626 million and $763 million pledged as collateral, respectively)
|
521,997 | 669,981 | ||||||
|
Securitized debt at fair value, collateralized by loans held for investment ($4.7 billion and $0 pledged as collateral, respectively)
|
3,868,366 | - | ||||||
|
Payable for investments purchased
|
1,845,282 | - | ||||||
|
Accrued interest payable
|
31,888 | 6,675 | ||||||
|
Dividends payable
|
92,483 | 297,904 | ||||||
|
Accounts payable and other liabilities
|
2,469 | 1,861 | ||||||
|
Investment management fees and expenses payable to affiliate
|
10,357 | 5,658 | ||||||
|
Derivatives, at fair value
|
14,177 | 30,199 | ||||||
|
Total liabilities
(1)
|
15,547,315 | 3,604,571 | ||||||
|
Commitments and Contingencies (See Note 16)
|
||||||||
|
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; 1,500,000,000 shares authorized, 1,027,730,722 and 1,027,626,237 shares issued and outstanding, respectively
|
10,275 | 10,272 | ||||||
|
Additional paid-in-capital
|
3,606,191 | 3,605,241 | ||||||
|
Accumulated other comprehensive income
|
1,046,680 | 990,803 | ||||||
|
Accumulated deficit
|
(1,055,456 | ) | (1,274,806 | ) | ||||
|
Total stockholders' equity
|
$ | 3,607,690 | $ | 3,331,510 | ||||
|
Total liabilities and stockholders' equity
|
$ | 19,155,005 | $ | 6,936,081 | ||||
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||
|
|
||||||||||||
|
(dollars in thousands, except share and per share data)
|
||||||||||||
|
For the Year Ended
|
||||||||||||
|
Net Interest Income:
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
|||||||||
|
Interest income
(1)
|
$ | 687,795 | $ | 511,783 | $ | 589,440 | ||||||
|
Interest expense
(2)
|
147,785 | 101,999 | 126,558 | |||||||||
|
Net interest income
|
540,010 | 409,784 | 462,882 | |||||||||
|
Other-than-temporary impairments:
|
||||||||||||
|
Total other-than-temporary impairment losses
|
(8,713 | ) | (4,356 | ) | (47,632 | ) | ||||||
|
Portion of loss recognized in other comprehensive income
|
(55,279 | ) | (40,811 | ) | (84,618 | ) | ||||||
|
Net other-than-temporary credit impairment losses
|
(63,992 | ) | (45,167 | ) | (132,250 | ) | ||||||
|
Other investment gains (losses):
|
||||||||||||
|
Net unrealized gains (losses) on derivatives
|
(103,496 | ) | 34,369 | (9,473 | ) | |||||||
|
Net realized gains (losses) on derivatives
|
(82,852 | ) | (7,713 | ) | (20,223 | ) | ||||||
|
Net gains (losses) on derivatives
|
(186,348 | ) | 26,656 | (29,696 | ) | |||||||
|
Net unrealized gains (losses) on financial instruments at fair value
|
193,534 | (44,277 | ) | 833 | ||||||||
|
Net realized gains (losses) on sales of investments
|
91,709 | 68,107 | 85,166 | |||||||||
|
Gain on deconsolidation
|
47,846 | - | - | |||||||||
|
Loss on Extinguishment of Debt
|
(2,184 | ) | - | - | ||||||||
|
Realized losses on principal write-downs of Non-Agency RMBS
|
- | (18,316 | ) | - | ||||||||
|
Total other gains (losses)
|
144,557 | 32,170 | 56,303 | |||||||||
|
Other expenses:
|
||||||||||||
|
Management fees
|
32,514 | 25,952 | 49,525 | |||||||||
|
Expense recoveries from Manager
|
(8,936 | ) | (6,788 | ) | (4,712 | ) | ||||||
|
Net management fees
|
23,578 | 19,164 | 44,813 | |||||||||
|
Provision for loan losses, net
|
(232 | ) | (1,799 | ) | 368 | |||||||
|
General and administrative expenses
|
31,805 | 16,734 | 13,986 | |||||||||
|
Other (income) expense
|
(23,783 | ) | - | - | ||||||||
|
Total other expenses
|
31,368 | 34,099 | 59,167 | |||||||||
|
Income before income taxes
|
589,207 | 362,688 | 327,768 | |||||||||
|
Income taxes
|
2 | 2 | 1 | |||||||||
|
Net income
|
$ | 589,205 | $ | 362,686 | $ | 327,767 | ||||||
|
Net income per share available to common shareholders:
|
||||||||||||
|
Basic
|
$ | 0.57 | $ | 0.35 | $ | 0.32 | ||||||
|
Diluted
|
$ | 0.57 | $ | 0.35 | $ | 0.32 | ||||||
|
Weighted average number of common shares outstanding:
|
||||||||||||
|
Basic
|
1,027,250,475 | 1,027,094,379 | 1,026,831,033 | |||||||||
|
Diluted
|
1,027,543,847 | 1,027,570,343 | 1,027,499,255 | |||||||||
|
Comprehensive income:
|
||||||||||||
|
Net income
|
$ | 589,205 | $ | 362,686 | $ | 327,767 | ||||||
|
Other comprehensive income:
|
||||||||||||
|
Unrealized gains (losses) on available-for-sale securities, net
|
134,113 | 23,807 | 509,399 | |||||||||
|
Reclassification adjustment for net losses included in net income for other-than-
temporary credit impairment losses
|
63,992 | 45,167 | 132,250 | |||||||||
|
Reclassification adjustment for net realized losses (gains) included in net income
|
(94,382 | ) | (68,107 | ) | (85,166 | ) | ||||||
|
Reclassification adjustment for gain on deconsolidation included in net income
|
(47,846 | ) | - | - | ||||||||
|
Other comprehensive income
|
55,877 | 867 | 556,483 | |||||||||
|
Comprehensive income
|
$ | 645,082 | $ | 363,553 | $ | 884,250 | ||||||
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||||||||||
|
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
|
||||||||||||||||||||
|
(dollars in thousands, except per share data)
|
||||||||||||||||||||
|
Common
Stock Par
Value
|
Additional
Paid-in Capital
|
Accumulated
Other
Comprehensive Income
|
Accumulated
Deficit
|
Total
|
||||||||||||||||
|
Balance, December 31, 2011
|
$ | 10,267 | $ | 3,603,739 | $ | 433,453 | $ | (999,840 | ) | $ | 3,047,619 | |||||||||
|
Net income
|
- | - | - | 327,767 | 327,767 | |||||||||||||||
|
Unrealized gains (losses) on available-for-sale securities, net
|
- | - | 509,399 | - | 509,399 | |||||||||||||||
|
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
- | - | 132,250 | - | 132,250 | |||||||||||||||
|
Reclassification adjustment for net realized losses (gains) included in net income
|
- | - | (85,166 | ) | - | (85,166 | ) | |||||||||||||
|
Proceeds from direct purchase and dividend reinvestment
|
1 | 116 | - | - | 117 | |||||||||||||||
|
Proceeds from stock grants
|
- | 699 | - | - | 699 | |||||||||||||||
|
Common dividends declared, $0.38 per share
|
- | - | - | (390,206 | ) | (390,206 | ) | |||||||||||||
|
Balance, December 31, 2012
|
$ | 10,268 | $ | 3,604,554 | $ | 989,936 | $ | (1,062,279 | ) | $ | 3,542,479 | |||||||||
|
Net income
|
- | - | - | 362,686 | 362,686 | |||||||||||||||
|
Unrealized gains (losses) on available-for-sale securities, net
|
- | - | 23,807 | - | 23,807 | |||||||||||||||
|
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
- | - | 45,167 | - | 45,167 | |||||||||||||||
|
Reclassification adjustment for net realized losses (gains) included in net income
|
- | - | (68,107 | ) | - | (68,107 | ) | |||||||||||||
|
Proceeds from stock grants
|
4 | 687 | - | - | 691 | |||||||||||||||
|
Common dividends declared, $0.56 per share
|
- | - | - | (575,213 | ) | (575,213 | ) | |||||||||||||
|
Balance, December 31, 2013
|
$ | 10,272 | $ | 3,605,241 | $ | 990,803 | $ | (1,274,806 | ) | $ | 3,331,510 | |||||||||
|
Net income
|
- | - | - | 589,205 | 589,205 | |||||||||||||||
|
Unrealized gains (losses) on available-for-sale securities, net
|
- | - | 134,113 | - | 134,113 | |||||||||||||||
|
Reclassification adjustment for net losses included in net income for other-than-
temporary credit impairment losses
|
- | - | 63,992 | - | 63,992 | |||||||||||||||
|
Reclassification adjustment for net realized losses (gains) included in net income
|
- | - | (94,382 | ) | - | (94,382 | ) | |||||||||||||
|
Reclassification adjustment for gain on deconsolidation included in net income
|
- | - | (47,846 | ) | - | (47,846 | ) | |||||||||||||
|
Proceeds from stock grants
|
3 | 950 | - | - | 953 | |||||||||||||||
|
Common dividends declared, $0.36 per share
|
- | - | - | (369,855 | ) | (369,855 | ) | |||||||||||||
|
Balance, December 31, 2014
|
$ | 10,275 | $ | 3,606,191 | $ | 1,046,680 | $ | (1,055,456 | ) | $ | 3,607,690 | |||||||||
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||
|
|
||||||||||||
|
(dollars in thousands)
|
||||||||||||
| For the Year Ended | ||||||||||||
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||
|
Cash Flows From Operating Activities:
|
||||||||||||
|
Net income
|
$ | 589,205 | $ | 362,686 | $ | 327,767 | ||||||
|
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
|
||||||||||||
|
(Accretion) amortization of investment discounts/premiums, net
|
(72,569 | ) | (80,586 | ) | (67,262 | ) | ||||||
|
Amortization of deferred financing costs
|
2,607 | 5,690 | 8,546 | |||||||||
|
Accretion (amortization) of securitized debt discounts/premiums, net
|
8,945 | 11,981 | 6,985 | |||||||||
|
Net unrealized losses (gains) on derivatives
|
103,496 | (34,369 | ) | 9,473 | ||||||||
|
Net realized losses (gains) on option contracts settled
|
1,246 | - | - | |||||||||
|
Proceeds (payments) for derivative sales and settlements
|
(6,923 | ) | - | - | ||||||||
|
Margin (paid) received on derivatives
|
(186,462 | ) | - | - | ||||||||
|
Net unrealized losses (gains) on financial instruments at fair value
|
(193,534 | ) | 44,277 | (833 | ) | |||||||
|
Net realized losses (gains) on sales of investments
|
(91,709 | ) | (68,107 | ) | (85,166 | ) | ||||||
|
Realized losses on principal write-downs of Non-Agency RMBS
|
- | 18,316 | - | |||||||||
|
Gain on deconsolidation
|
(47,846 | ) | - | - | ||||||||
|
Net other-than-temporary credit impairment losses
|
63,992 | 45,167 | 132,250 | |||||||||
|
Loss on extinguishment of debt
|
2,184 | - | - | |||||||||
|
Provision for loan losses, net
|
(232 | ) | (1,799 | ) | 368 | |||||||
|
Equity-based compensation expense
|
956 | 691 | 449 | |||||||||
|
Changes in operating assets:
|
||||||||||||
|
Decrease (increase) in accrued interest receivable, net
|
(37,570 | ) | 6,336 | 9,111 | ||||||||
|
Decrease (increase) in other assets
|
16,471 | (13 | ) | (348 | ) | |||||||
|
Changes in operating liabilities:
|
||||||||||||
|
Increase (decrease) in accounts payable and other liabilities
|
608 | 691 | (517 | ) | ||||||||
|
Increase (decrease) in investment management fees and expenses payable to affiliate
|
4,699 | (2,017 | ) | (5,283 | ) | |||||||
|
Increase (decrease) in accrued interest payable, net
|
25,213 | (4,124 | ) | (625 | ) | |||||||
|
Net cash provided by (used in) operating activities
|
$ | 182,777 | $ | 304,820 | $ | 334,915 | ||||||
|
Cash Flows From Investing Activities:
|
||||||||||||
|
Agency RMBS portfolio:
|
||||||||||||
|
Purchases
|
$ | (8,860,042 | ) | $ | (2,068,870 | ) | (2,801 | ) | ||||
|
Sales
|
2,555,570 | 1,037,371 | 290,582 | |||||||||
|
Principal payments
|
512,202 | 479,650 | 706,761 | |||||||||
|
Non-Agency RMBS portfolio:
|
||||||||||||
|
Purchases
|
(365,240 | ) | (317,299 | ) | (121,415 | ) | ||||||
|
Sales
|
513,030 | 191,437 | 652,768 | |||||||||
|
Principal payments
|
323,900 | 475,127 | 516,370 | |||||||||
|
Securitized loans held for investment:
|
||||||||||||
|
Purchases
|
- | - | (1,531,014 | ) | ||||||||
|
Principal payments
|
316,372 | 507,683 | 477,555 | |||||||||
|
Acquisition of securities in consolidated VIEs
|
(774,350 | ) | - | - | ||||||||
|
Net cash provided by (used in) investing activities
|
$ | (5,778,558 | ) | $ | 305,099 | $ | 988,806 | |||||
|
Cash Flows From Financing Activities:
|
||||||||||||
|
Proceeds from repurchase agreements
|
$ | 27,128,227 | $ | 7,879,361 | $ | 6,826,546 | ||||||
|
Payments on repurchase agreements
|
(20,331,406 | ) | (7,748,825 | ) | (7,971,512 | ) | ||||||
|
Payment of deferred financing costs
|
- | - | (9,488 | ) | ||||||||
|
Proceeds from securitized debt borrowings, collateralized by loans held for investment
|
43,981 | - | 1,426,983 | |||||||||
|
Payments on securitized debt borrowings, collateralized by loans held for investment
|
(341,313 | ) | (499,549 | ) | (470,788 | ) | ||||||
|
Proceeds from securitized debt borrowings, collateralized by Non-Agency RMBS
|
- | - | 181,201 | |||||||||
|
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS
|
(185,369 | ) | (414,690 | ) | (481,464 | ) | ||||||
|
Net proceeds from direct purchase and dividend reinvestment
|
- | - | 367 | |||||||||
|
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS
|
(56,072 | ) | - | - | ||||||||
|
Common dividends paid
|
(575,276 | ) | (369,740 | ) | (410,712 | ) | ||||||
|
Net cash provided by (used in) financing activities
|
5,682,772 | (1,153,443 | ) | (908,867 | ) | |||||||
|
Net increase (decrease) in cash and cash equivalents
|
86,991 | (543,524 | ) | 414,854 | ||||||||
|
Cash and cash equivalents at beginning of period
|
77,629 | 621,153 | 206,299 | |||||||||
|
Cash and cash equivalents at end of period
|
$ | 164,620 | $ | 77,629 | $ | 621,153 | ||||||
|
Supplemental disclosure of cash flow information:
|
||||||||||||
|
Interest received
|
$ | 577,123 | $ | 437,533 | $ | 530,578 | ||||||
|
Interest paid
|
$ | 111,020 | $ | 88,455 | $ | 120,734 | ||||||
|
Management fees and expenses paid to affiliate
|
$ | 27,815 | $ | 27,969 | $ | 54,808 | ||||||
|
Non-cash investing activities:
|
||||||||||||
|
Receivable for investments sold
|
$ | 1,572,056 | $ | 253,541 | $ | - | ||||||
|
Payable for investments purchased
|
$ | (1,845,282 | ) | $ | - | $ | - | |||||
|
Net change in unrealized gain (loss) on available-for sale securities
|
$ | 55,877 | $ | 867 | $ | 556,483 | ||||||
|
Acquisition of securities in consolidated VIEs
|
||||||||||||
|
Securitized loans held for investment, at fair value
|
$ | 4,722,825 | $ | - | $ | - | ||||||
|
Other assets
|
$ | 84,830 | $ | - | $ | - | ||||||
|
Securitized debt at fair value
|
$ | 4,033,304 | $ | - | $ | - | ||||||
|
Non-cash financing activities:
|
||||||||||||
|
Common dividends declared, not yet paid
|
$ | 92,483 | $ | 297,904 | $ | 92,431 | ||||||
|
●
|
Agency RMBS
|
|
●
|
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. The Company uses 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.
|
|
|
December 31, 2014
|
||||||||||||||||||||||||||||||||
|
|
|
(dollars in thousands)
|
|||||||||||||||||||||||||||||||
|
Principal or Notional Value
|
Total
Premium
|
Total Discount
|
Amortized Cost
|
Fair Value
|
Gross Unrealized Gains
|
Gross
Unrealized
Losses
|
Net
Unrealized Gain/(Loss)
|
||||||||||||||||||||||||||
|
Non-Agency RMBS
|
|||||||||||||||||||||||||||||||||
|
Senior
|
$ | 3,435,362 | - | (1,542,907 | ) | $ | 1,892,455 | $ | 2,735,780 | 843,680 | (355 | ) | $ | 843,325 | |||||||||||||||||||
|
Senior, interest-only
|
5,221,937 | 227,305 | - | 227,305 | 207,216 | 17,378 | (37,467 | ) | (20,089 | ) | |||||||||||||||||||||||
|
Subordinated
|
690,599 | - | (344,033 | ) | 346,566 | 454,348 | 108,091 | (309 | ) | 107,782 | |||||||||||||||||||||||
|
Subordinated, interest-only
|
216,403 | 9,577 | - | 9,577 | 6,805 | 194 | (2,966 | ) | (2,772 | ) | |||||||||||||||||||||||
|
Agency RMBS
|
|||||||||||||||||||||||||||||||||
|
Pass-through
|
7,774,266 | 387,174 | (1,624 | ) | 8,159,816 | 8,255,419 | 108,802 | (13,199 | ) | 95,603 | |||||||||||||||||||||||
|
Interest-only
|
3,884,523 | 189,797 | - | 189,797 | 186,103 | 1,326 | (5,020 | ) | (3,694 | ) | |||||||||||||||||||||||
|
Total
|
$ | 21,223,090 | $ | 813,853 | $ | (1,888,564 | ) | $ | 10,825,516 | $ | 11,845,671 | $ | 1,079,471 | $ | (59,316 | ) | $ | 1,020,155 | |||||||||||||||
|
|
|
December 31, 2013
|
|||||||||||||||||||||||||||||||
|
|
|
(dollars in thousands)
|
|||||||||||||||||||||||||||||||
|
Principal or Notional Value
|
Total
Premium
|
Total Discount
|
Amortized Cost
|
Fair Value
|
Gross Unrealized Gains
|
Gross
Unrealized
Losses |
Net
Unrealized Gain/(Loss)
|
||||||||||||||||||||||||||
|
Non-Agency RMBS
|
|||||||||||||||||||||||||||||||||
|
Senior
|
$ | 3,959,756 | $ | - | $ | (1,802,796 | ) | $ | 2,156,960 | $ | 3,059,598 | $ | 902,747 | $ | (109 | ) | $ | 902,638 | |||||||||||||||
|
Senior, interest-only
|
5,823,618 | 290,761 | - | 290,761 | 240,725 | 15,972 | (66,008 | ) | (50,036 | ) | |||||||||||||||||||||||
|
Subordinated
|
830,632 | - | (490,400 | ) | 340,232 | 457,569 | 119,233 | (1,896 | ) | 117,337 | |||||||||||||||||||||||
|
Subordinated, interest-only
|
274,462 | 14,666 | - | 14,666 | 16,571 | 2,483 | (578 | ) | 1,905 | ||||||||||||||||||||||||
|
Agency RMBS
|
|||||||||||||||||||||||||||||||||
|
Pass-through
|
1,898,131 | 90,843 | (5,004 | ) | 1,983,970 | 1,954,796 | 22,320 | (51,494 | ) | (29,174 | ) | ||||||||||||||||||||||
|
Interest-only
|
247,344 | 43,766 | - | 43,766 | 42,782 | 332 | (1,316 | ) | (984 | ) | |||||||||||||||||||||||
|
Total
|
$ | 13,033,943 | $ | 440,036 | $ | (2,298,200 | ) | $ | 4,830,355 | $ | 5,772,041 | $ | 1,063,087 | $ | (121,401 | ) | $ | 941,686 | |||||||||||||||
|
For the Year Ended
|
||||||||
|
December 31, 2014
|
December 31, 2013
|
|||||||
|
(dollars in thousands)
|
||||||||
|
Balance at beginning of period
|
$ | 1,794,577 | $ | 2,107,387 | ||||
|
Purchases
|
110,694 | 29,064 | ||||||
|
Accretion
|
(294,395 | ) | (328,491 | ) | ||||
|
Reclassification (to) from non-accretable difference
|
123,181 | 15,957 | ||||||
|
Sales and deconsolidation
|
(199,560 | ) | (29,340 | ) | ||||
|
Balance at end of period
|
$ | 1,534,497 | $ | 1,794,577 | ||||
|
For the Year Ended
|
|||||||||
|
December 31, 2014
|
December 31, 2013
|
||||||||
|
(dollars in thousands)
|
|||||||||
|
Outstanding principal balance:
|
|||||||||
|
Beginning of period
|
$ | 3,949,664 | $ | 4,508,475 | |||||
|
End of period
|
$ | 3,325,335 | $ | 3,949,664 | |||||
|
|
|||||||||
|
Amortized cost:
|
|||||||||
|
|
Beginning of period
|
$ | 2,027,738 | $ | 2,268,751 | ||||
|
End of period
|
$ | 1,741,780 | $ | 2,027,738 | |||||
|
December 31, 2014
|
|||||||||||||||||||||||||||||
|
(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
|
$ | 29,789 | $ | (355 | ) | 3 | $ | - | $ | - | - | $ | 29,789 | $ | (355 | ) | 3 | ||||||||||||
|
Senior, interest-only
|
23,479 | (3,066 | ) | 24 | 96,754 | (34,401 | ) | 53 | 120,233 | (37,467 | ) | 77 | |||||||||||||||||
|
Subordinated
|
19,380 | (7 | ) | 2 | 11,605 | (302 | ) | 4 | 30,985 | (309 | ) | 6 | |||||||||||||||||
|
Subordinated, interest-only
|
4,373 | (2,709 | ) | 2 | 1,074 | (257 | ) | 2 | 5,447 | (2,966 | ) | 4 | |||||||||||||||||
|
Agency RMBS
|
|||||||||||||||||||||||||||||
|
Pass-through
|
219,808 | (198 | ) | 7 | 701,442 | (13,001 | ) | 11 | 921,250 | (13,199 | ) | 18 | |||||||||||||||||
|
Interest-only
|
112,014 | (3,616 | ) | 12 | 10,467 | (1,404 | ) | 3 | 122,481 | (5,020 | ) | 15 | |||||||||||||||||
|
Total
|
$ | 408,843 | $ | (9,951 | ) | 50 | $ | 821,342 | $ | (49,365 | ) | 73 | $ | 1,230,185 | $ | (59,316 | ) | 123 | |||||||||||
|
December 31, 2013
|
|||||||||||||||||||||||||||||
|
(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
|
$ | 28,163 | $ | (109 | ) | 3 | $ | - | $ | - | - | $ | 28,163 | $ | (109 | ) | 3 | ||||||||||||
|
Senior interest-only
|
119,913 | (35,252 | ) | 54 | 45,167 | (30,756 | ) | 28 | 165,080 | (66,008 | ) | 82 | |||||||||||||||||
|
Subordinated
|
- | - | - | 17,661 | (1,896 | ) | 2 | 17,661 | (1,896 | ) | 2 | ||||||||||||||||||
|
Subordinated interest-only
|
1,062 | (578 | ) | 2 | - | - | - | 1,062 | (578 | ) | 2 | ||||||||||||||||||
|
Agency RMBS
|
|||||||||||||||||||||||||||||
|
Pass-through
|
1,126,881 | (51,494 | ) | 30 | - | - | - | 1,126,881 | (51,494 | ) | 30 | ||||||||||||||||||
|
Interest-only
|
22,246 | (1,018 | ) | 4 | 491 | (298 | ) | 3 | 22,737 | (1,316 | ) | 7 | |||||||||||||||||
|
Total
|
$ | 1,298,265 | $ | (88,451 | ) | 93 | $ | 63,319 | $ | (32,950 | ) | 33 | $ | 1,361,584 | $ | (121,401 | ) | 126 | |||||||||||
|
|
For the Year Ended
|
|||||||||||
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||
|
|
(dollars in thousands)
|
|||||||||||
|
Total other-than-temporary impairment losses
|
$ | (8,713 | ) | $ | (4,356 | ) | $ | (47,632 | ) | |||
|
Portion of loss recognized in other comprehensive income
|
(55,279 | ) | (40,811 | ) | (84,618 | ) | ||||||
|
Net other-than-temporary credit impairment losses
|
$ | (63,992 | ) | $ | (45,167 | ) | $ | (132,250 | ) | |||
|
|
For the Year Ended
|
|||||||||||
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||
|
|
(dollars in thousands)
|
|||||||||||
|
Cumulative credit loss beginning balance
|
$ | 524,432 | $ | 510,089 | $ | 452,060 | ||||||
|
Additions:
|
||||||||||||
|
Other-than-temporary impairments not previously recognized
|
63,123 | 39,098 | 98,324 | |||||||||
|
Reductions for securities sold or deconsolidated during the period
|
(61,854 | ) | (14,038 | ) | (34,577 | ) | ||||||
|
Increases related to other-than-temporary impairments on securities with
previously recognized other-than-temporary impairments
|
869 | 6,069 | 33,926 | |||||||||
|
Reductions for increases in cash flows expected to be collected over the
remaining life of the securities
|
(19,022 | ) | (16,786 | ) | (39,644 | ) | ||||||
|
Cumulative credit impairment loss ending balance
|
$ | 507,548 | $ | 524,432 | $ | 510,089 | ||||||
|
For the Year Ended
|
|||
|
December 31, 2014
|
December 31, 2013
|
||
|
Loss Severity
|
|||
|
Weighted Average
|
72%
|
56%
|
|
|
Range
|
35% - 93%
|
34% - 75%
|
|
|
60+ days delinquent
|
|||
|
Weighted Average
|
30%
|
26%
|
|
|
Range
|
0% - 47%
|
0% - 43%
|
|
|
Credit Enhancement (1)
|
|
||
|
Weighted Average
|
6%
|
4%
|
|
|
Range
|
0% - 35%
|
0% - 48%
|
|
|
3 Month CPR
|
|||
|
Weighted Average
|
9%
|
15%
|
|
|
Range
|
2% - 25%
|
0% - 42%
|
|
|
12 Month CPR
|
|||
|
Weighted Average
|
11%
|
17%
|
|
|
Range
|
5% - 22%
|
9% - 35%
|
|
|
(1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures.
|
|||
|
|
December 31, 2014
|
||||||||||||||||||||||||
|
|
(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
|
$ | 843,680 | $ | - | $ | 843,680 | $ | (355 | ) | $ | - | $ | (355 | ) | |||||||||||
|
Senior, interest-only
|
- | 17,378 | 17,378 | - | (37,467 | ) | (37,467 | ) | |||||||||||||||||
|
Subordinated
|
108,091 | - | 108,091 | (309 | ) | - | (309 | ) | |||||||||||||||||
|
Subordinated, interest-only
|
- | 194 | 194 | - | (2,966 | ) | (2,966 | ) | |||||||||||||||||
|
Agency RMBS
|
|||||||||||||||||||||||||
|
Pass-through
|
108,802 | - | 108,802 | (13,199 | ) | - | (13,199 | ) | |||||||||||||||||
|
Interest-only
|
- | 1,326 | 1,326 | - | (5,020 | ) | (5,020 | ) | |||||||||||||||||
|
Total
|
$ | 1,060,573 | $ | 18,898 | $ | 1,079,471 | $ | (13,863 | ) | $ | (45,453 | ) | $ | (59,316 | ) | ||||||||||
|
|
December 31, 2013
|
||||||||||||||||||||||||
|
|
(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
|
$ | 902,747 | $ | - | $ | 902,747 | $ | (109 | ) | $ | - | $ | (109 | ) | |||||||||||
|
Senior, interest only
|
- | 15,972 | 15,972 | - | (66,008 | ) | (66,008 | ) | |||||||||||||||||
|
Subordinated
|
119,233 | - | 119,233 | (1,896 | ) | - | (1,896 | ) | |||||||||||||||||
|
Subordinated, interest only
|
- | 2,483 | 2,483 | - | (578 | ) | (578 | ) | |||||||||||||||||
|
Agency RMBS
|
|||||||||||||||||||||||||
|
Pass-through
|
22,320 | - | 22,320 | (51,494 | ) | - | (51,494 | ) | |||||||||||||||||
|
Interest-only
|
2 | 330 | 332 | - | (1,316 | ) | (1,316 | ) | |||||||||||||||||
|
Total
|
$ | 1,044,302 | $ | 18,785 | $ | 1,063,087 | $ | (53,499 | ) | $ | (67,902 | ) | $ | (121,401 | ) | ||||||||||
|
December 31, 2014
|
||||||||||||||||||||
|
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 Mortgage-Backed Securities
|
||||||||||||||||||||
|
Senior
|
$ | 3,435,362 | $ | 55.09 | $ | 79.63 | 4.3 | % | 15.9 | % | ||||||||||
|
Senior, interest-only
|
$ | 5,221,937 | $ | 4.35 | $ | 3.97 | 1.6 | % | 14.4 | % | ||||||||||
|
Subordinated
|
$ | 690,599 | $ | 50.18 | $ | 65.79 | 3.1 | % | 10.6 | % | ||||||||||
|
Subordinated, interest-only
|
$ | 216,403 | $ | 4.43 | $ | 3.14 | 0.9 | % | 9.2 | % | ||||||||||
|
Agency Mortgage-Backed Securities
|
||||||||||||||||||||
|
Pass-through
|
$ | 7,774,266 | $ | 104.96 | $ | 106.19 | 4.0 | % | 3.2 | % | ||||||||||
|
Interest-only
|
$ | 3,884,523 | $ | 4.89 | $ | 4.79 | 0.9 | % | 3.1 | % | ||||||||||
|
(1) Bond Equivalent Yield at period end.
|
|
December 31, 2013
|
||||||||||||||||||||
|
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 Mortgage-Backed Securities
|
||||||||||||||||||||
|
Senior
|
$ | 3,959,756 | $ | 54.47 | $ | 77.27 | 4.5 | % | 15.3 | % | ||||||||||
|
Senior, interest only
|
$ | 5,823,618 | $ | 4.99 | $ | 4.13 | 1.5 | % | 17.8 | % | ||||||||||
|
Subordinated
|
$ | 830,632 | $ | 40.96 | $ | 55.09 | 2.9 | % | 13.5 | % | ||||||||||
|
Subordinated, interest only
|
$ | 274,462 | $ | 5.34 | $ | 6.04 | 1.7 | % | 9.0 | % | ||||||||||
|
Agency Mortgage-Backed Securities
|
||||||||||||||||||||
|
Pass-through
|
$ | 1,898,131 | $ | 104.52 | $ | 105.24 | 3.6 | % | 3.3 | % | ||||||||||
|
Interest only
|
$ | 247,344 | $ | 17.69 | $ | 17.30 | 3.2 | % | 5.3 | % | ||||||||||
|
(1) Bond Equivalent Yield at period end.
|
|
December 31, 2014
|
December 31, 2013
|
|||
|
AAA
|
0.9 | % | 0.0 | % |
|
AA
|
0.4 | % | 0.7 | % |
| A | 0.0 | % | 0.0 | % |
|
BBB
|
0.4 | % | 0.0 | % |
|
BB
|
1.9 | % | 1.4 | % |
| B | 5.6 | % | 4.3 | % |
|
Below B or not rated
|
90.8 | % | 93.6 | % |
|
Total
|
100.0 | % | 100.0 | % |
| 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
|
$ | 1,656 | $ | 306,309 | $ | 1,678,226 | $ | 749,589 | $ | 2,735,780 | ||||||||||
|
Senior interest-only
|
515 | 60,403 | 110,800 | 35,498 | 207,216 | |||||||||||||||
|
Subordinated
|
- | 80,414 | 245,438 | 128,496 | 454,348 | |||||||||||||||
|
Subordinated interest-only
|
- | - | 5,447 | 1,358 | 6,805 | |||||||||||||||
|
Agency RMBS
|
||||||||||||||||||||
|
Pass-through
|
- | 4,237,658 | 3,781,890 | 235,871 | 8,255,419 | |||||||||||||||
|
Interest-only
|
- | 82,994 | 103,109 | - | 186,103 | |||||||||||||||
|
Total fair value
|
$ | 2,171 | $ | 4,767,778 | $ | 5,924,910 | $ | 1,150,812 | $ | 11,845,671 | ||||||||||
|
Amortized cost
|
||||||||||||||||||||
|
Non-Agency RMBS
|
||||||||||||||||||||
|
Senior
|
$ | 1,205 | $ | 255,009 | $ | 1,129,932 | $ | 506,309 | $ | 1,892,455 | ||||||||||
|
Senior interest-only
|
1,294 | 65,291 | 124,996 | 35,724 | 227,305 | |||||||||||||||
|
Subordinated
|
- | 58,448 | 188,502 | 99,616 | 346,566 | |||||||||||||||
|
Subordinated interest-only
|
- | - | 8,413 | 1,164 | 9,577 | |||||||||||||||
|
Agency RMBS
|
||||||||||||||||||||
|
Pass-through
|
- | 4,173,986 | 3,750,831 | 234,999 | 8,159,816 | |||||||||||||||
|
Interest-only
|
- | 83,659 | 106,138 | - | 189,797 | |||||||||||||||
|
Total amortized cost
|
$ | 2,499 | $ | 4,636,393 | $ | 5,308,812 | $ | 877,812 | $ | 10,825,516 | ||||||||||
| December 31, 2013 | ||||||||||||||||||||
| (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
|
$ | 5,724 | $ | 306,035 | $ | 2,039,282 | $ | 708,557 | $ | 3,059,598 | ||||||||||
|
Senior interest-only
|
376 | 103,688 | 104,969 | 31,692 | 240,725 | |||||||||||||||
|
Subordinated
|
3,359 | 63,177 | 321,333 | 69,700 | 457,569 | |||||||||||||||
|
Subordinated interest-only
|
- | - | 14,862 | 1,709 | 16,571 | |||||||||||||||
|
Agency RMBS
|
||||||||||||||||||||
|
Pass-through
|
- | 20,375 | 1,808,346 | 126,075 | 1,954,796 | |||||||||||||||
|
Interest-only
|
54 | 636 | 42,092 | - | 42,782 | |||||||||||||||
|
Total fair value
|
$ | 9,513 | $ | 493,911 | $ | 4,330,884 | $ | 937,733 | $ | 5,772,041 | ||||||||||
|
Amortized cost
|
||||||||||||||||||||
|
Non-Agency RMBS
|
||||||||||||||||||||
|
Senior
|
$ | 4,744 | $ | 233,335 | $ | 1,416,903 | $ | 501,978 | $ | 2,156,960 | ||||||||||
|
Senior interest-only
|
1,017 | 138,649 | 117,008 | 34,087 | 290,761 | |||||||||||||||
|
Subordinated
|
2,877 | 50,483 | 243,350 | 43,522 | 340,232 | |||||||||||||||
|
Subordinated interest-only
|
- | - | 13,344 | 1,322 | 14,666 | |||||||||||||||
|
Agency RMBS
|
||||||||||||||||||||
|
Pass-through
|
- | 18,608 | 1,837,611 | 127,751 | 1,983,970 | |||||||||||||||
|
Interest-only
|
122 | 825 | 42,819 | - | 43,766 | |||||||||||||||
|
Total amortized cost
|
$ | 8,760 | $ | 441,900 | $ | 3,671,035 | $ | 708,660 | $ | 4,830,355 | ||||||||||
| December 31, 2014 | December 31, 2013 | |||||||
|
Weighted average maturity (years)
|
22.5 | 24.1 | ||||||
|
Weighted average amortized loan to value (1)
|
67.5 | % | 69.4 | % | ||||
|
Weighted average FICO (2)
|
679 | 710 | ||||||
|
Weighted average loan balance (in thousands)
|
$ | 332 | $ | 385 | ||||
|
Weighted average percentage owner occupied
|
83.0 | % | 84.0 | % | ||||
|
Weighted average percentage single family residence
|
65.5 | % | 65.4 | % | ||||
|
Weighted average current credit enhancement
|
1.7 | % | 1.6 | % | ||||
|
Weighted average geographic concentration of top five states
|
CA
|
31.7 | % |
CA
|
33.4 | % | ||
|
FL
|
8.4 | % |
FL
|
9.1 | % | |||
|
NY
|
7.8 | % |
NY
|
7.1 | % | |||
|
NJ
|
2.9 | % |
NJ
|
3.0 | % | |||
|
MD
|
2.7 | % |
MD
|
2.7 | % | |||
|
Origination Year
|
December 31, 2014
|
December 31, 2013
|
|
1999
|
0.2%
|
0.0%
|
|
2000
|
0.6%
|
0.6%
|
|
2001
|
2.1%
|
1.2%
|
|
2002
|
0.4%
|
1.0%
|
|
2003
|
2.5%
|
1.4%
|
|
2004
|
3.9%
|
3.6%
|
|
2005
|
20.4%
|
17.8%
|
|
2006
|
28.5%
|
32.2%
|
|
2007
|
37.6%
|
40.1%
|
|
2008
|
2.1%
|
2.1%
|
|
2013
|
0.9%
|
0.0%
|
|
2014
|
0.8%
|
0.0%
|
|
Total
|
100.0%
|
100.0%
|
|
For the Year Ended
|
||||||||||||
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||
| (dollars in thousands) | ||||||||||||
|
Proceeds from sales
|
$ | 4,036,033 | $ | 1,079,649 | $ | 943,350 | ||||||
|
Gross realized gains
|
98,656 | 72,946 | 85,166 | |||||||||
|
Gross realized losses
|
(6,947 | ) | (4,839 | ) | - | |||||||
|
Net realized gain
|
$ | 91,709 | $ | 68,107 | $ | 85,166 | ||||||
|
For the Year Ended
|
||||||||
|
December 31, 2014
|
December 31, 2013
|
|||||||
| (dollars in thousands) | ||||||||
|
Balance, beginning of period
|
$ | 783,484 | $ | 1,300,131 | ||||
|
Principal paydowns
|
(153,063 | ) | (507,683 | ) | ||||
|
Net periodic amortization (accretion)
|
(4,541 | ) | (10,763 | ) | ||||
|
Change to loan loss provision
|
232 | 1,799 | ||||||
|
Balance, end of period
|
$ | 626,112 | $ | 783,484 | ||||
|
December 31, 2014
|
December 31, 2013
|
|||||||
|
(dollars in thousands)
|
||||||||
|
Securitized loans, at amortized cost
|
$ | 633,386 | $ | 792,547 | ||||
|
Less: allowance for loan losses
|
7,274 | 9,063 | ||||||
|
Securitized loans held for investment
|
$ | 626,112 | $ | 783,484 | ||||
|
December 31, 2014
|
December 31, 2013
|
|||||||
|
Number of loans
|
869 | 1,053 | ||||||
|
Weighted average maturity (years)
|
26.4 | 27.3 | ||||||
|
Weighted average loan to value (1)
|
71.6 | % | 71.7 | % | ||||
|
Weighted average FICO (2)
|
766 | 766 | ||||||
|
Weighted average loan balance (in thousands)
|
$ | 716 | $ | 737 | ||||
|
Weighted average percentage owner occupied
|
95.0 | % | 94.7 | % | ||||
|
Weighted average percentage single family residence
|
71.0 | % | 70.0 | % | ||||
|
Weighted average geographic concentration of top five states
|
CA
|
34.8 | % |
CA
|
34.7 | % | ||
|
NJ
|
5.6 | % |
VA
|
5.6 | % | |||
|
VA
|
5.5 | % |
NY
|
5.5 | % | |||
|
MD
|
5.1 | % |
NJ
|
5.1 | % | |||
|
NY
|
5.1 | % |
TX
|
4.9 | % | |||
|
For the Years Ended
|
||||||||||||
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||
|
(dollars in thousands)
|
||||||||||||
|
Balance, beginning of period
|
$ | 9,063 | $ | 11,624 | $ | 13,938 | ||||||
|
Provision for loan losses
|
(232 | ) | (1,799 | ) | 368 | |||||||
|
Charge-offs
|
(1,557 | ) | (762 | ) | (2,682 | ) | ||||||
|
Balance, end of period
|
$ | 7,274 | $ | 9,063 | $ | 11,624 | ||||||
|
30 Days
Delinquent
|
60 Days
Delinquent
|
90+ Days
Delinquent
|
Bankruptcy
|
Foreclosure
|
REO
|
Total
|
||||||||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||||||||||
|
December 31, 2014
|
$ | 2,621 | $ | 565 | $ | 988 | $ | - | $ | 7,152 | $ | - | $ | 11,326 | ||||||||||||||
|
December 31, 2013
|
$ | 999 | $ | 570 | $ | 2,087 | $ | 473 | $ | 7,530 | $ | 1,179 | $ | 12,838 | ||||||||||||||
|
Number of Loans
Modified During
Period
|
Unpaid Principal
Balance of Modified
Loans (Pre-
modification)
|
Unpaid Principal
Balance of Modified
Loans (Post-
modification)
|
Amortized Cost of
Modified Loans |
Amortized Cost of
Modified Loans For Which There is an Allowance for
Loan Losses
|
Amortized Cost of
Modified Loans For Which There is No Allowance for
Loan Losses
|
|
|
(dollars in thousands)
|
||||||
|
Year Ended
|
||||||
|
December 31, 2014
|
2
|
1,139
|
1,256
|
1,173
|
1,173
|
0
|
|
December 31, 2013
|
3
|
$2,349
|
$2,358
|
$2,248
|
$2,248
|
$0
|
|
From Acquisition to
|
||||
|
December 31, 2014
|
||||
|
(dollars in thousands)
|
||||
|
Balance, beginning of period
|
$ | - | ||
|
Purchases
|
4,722,824 | |||
|
Principal paydowns
|
(173,597 | ) | ||
|
Net periodic amortization (accretion)
|
5,028 | |||
|
Change in fair value
|
144,960 | |||
|
Balance, end of period
|
$ | 4,699,215 | ||
|
Origination Year
|
December 31, 2014
|
||
|
2002 and prior
|
6.0 | % | |
|
2003
|
4.4 | % | |
|
2004
|
12.3 | % | |
|
2005
|
20.6 | % | |
|
2006
|
18.2 | % | |
|
2007
|
26.3 | % | |
|
2008
|
9.9 | % | |
|
2009
|
1.2 | % | |
|
2010 and later
|
1.1 | % | |
|
Total
|
100.0 | % |
|
December 31, 2014
|
||||
|
Number of loans
|
58,170 | |||
|
Weighted average maturity (years)
|
5.3 | |||
|
Weighted average loan to value (1)
|
80.3 | % | ||
|
Weighted average FICO (1)
|
629 | |||
|
Weighted average loan balance (in thousands)
|
$ | 79 | ||
|
Weighted average percentage owner occupied
|
95.8 | % | ||
|
Weighted average percentage single family residence
|
73.6 | % | ||
|
Weighted average geographic concentration of top five states
|
CA
|
9.3 | % | |
|
FL
|
7.0 | % | ||
|
NC
|
7.0 | % | ||
|
VA
|
6.4 | % | ||
|
OH
|
6.0 | % | ||
|
30 Days
Delinquent
|
60 Days
Delinquent
|
90+ Days
Delinquent
|
Bankruptcy
|
Foreclosure
|
REO
|
Total
|
||||||||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||||||||||
|
December 31, 2014
|
226,154 | 92,363 | 192,245 | 154,279 | 80,148 | 16,556 | 761,745 | |||||||||||||||||||||
|
December 31, 2014
|
||||||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
|
Loan Balance
|
Number of
Loans
|
Interest Rate
|
Maturity Date
|
Total
Principal
|
30-89 Days
Delinquent
|
90+ Days
Delinquent
|
||||||||||||||
|
Held-for-Investment
|
||||||||||||||||||||
|
Adjustable rate loans:
|
||||||||||||||||||||
| $ | 250 to $500 | 7 |
2.00% to 3.00%
|
8/1/2037 - 2/1/2042
|
3,131 | - | - | |||||||||||||
| $ | 500 to $750 | 12 |
2.00% to 4.00%
|
1/1/2038 - 4/1/2038
|
7,497 | 565 | - | |||||||||||||
| $ | 750 to $1,000 | 5 |
2.75% to 2.875%
|
1/1/2038 - 4/1/2038
|
4,328 | - | - | |||||||||||||
|
Over $1,000
|
4 |
2.875% to 4.00%
|
12/1/2037 - 3/1/2038
|
5,879 | - | 1,730 | ||||||||||||||
| 28 | 20,835 | 565 | 1,730 | |||||||||||||||||
|
Hybrid loans:
|
||||||||||||||||||||
| $ | 0 to $250 | 3 |
6.50% to 6.83%
|
8/1/2037 - 1/1/2038
|
283 | - | - | |||||||||||||
| $ | 250 to $500 | 11 |
2.125% to 6.875%
|
6/1/2037 - 4/1/2038
|
5,123 | - | 498 | |||||||||||||
| $ | 500 to $750 | 31 |
2.75% to 7.188%
|
5/1/2037 - 4/1/2038
|
18,817 | 1,154 | 1,709 | |||||||||||||
| $ | 750 to $1,000 | 5 |
5.625% to 6.35%
|
4/1/2037 - 4/1/2038
|
4,327 | - | - | |||||||||||||
|
Over $1,000
|
3 |
3.00% to 5.75%
|
2/1/2038 - 4/1/2038
|
4,170 | - | 1,629 | ||||||||||||||
| 53 | 32,720 | 1,154 | 3,836 | |||||||||||||||||
|
Fixed loans:
|
||||||||||||||||||||
| $ | 0 to $250 | 2 |
4.375% to 6.75%
|
6/1/2037 - 8/1/2042
|
85 | - | - | |||||||||||||
| $ | 250 to $500 | 137 |
2.00% to 7.875%
|
7/1/2022 - 10/1/2042
|
61,868 | - | 958 | |||||||||||||
| $ | 500 to $750 | 371 |
2.00% to 7.875%
|
9/1/2022 - 10/1/2042
|
230,894 | 506 | 1,616 | |||||||||||||
| $ | 750 to $1,000 | 190 |
3.50% to 7.00%
|
9/1/2037 - 10/1/2042
|
165,065 | 961 | - | |||||||||||||
|
Over $1,000
|
88 |
2.25% to 7.125%
|
1/1/2038 - 10/1/2042
|
110,440 | - | - | ||||||||||||||
| 788 | 568,352 | 1,467 | 2,574 | |||||||||||||||||
|
Total
|
869 | 621,907 | 3,186 | 8,140 | ||||||||||||||||
|
Held-for-Investment at fair value:
|
||||||||||||||||||||
|
Adjustable rate loans:
|
||||||||||||||||||||
| $ | 0 to $250 | 570 |
1.625% to 13.99%
|
5/1/2017 - 11/1/2054
|
57,908 | 1,451 | 3,663 | |||||||||||||
| $ | 250 to $500 | 61 |
1.875% to 9.375%
|
3/1/2034 - 5/1/2054
|
19,641 | 395 | 3,138 | |||||||||||||
| $ | 500 to $750 | 4 |
4.29% to 5.75%
|
2/1/2032 - 6/1/2035
|
2,210 | - | 547 | |||||||||||||
| 635 | 79,759 | 1,846 | 7,348 | |||||||||||||||||
|
Fixed loans:
|
||||||||||||||||||||
| $ | 0 to $250 | 55,300 |
0.00% to 24.00%
|
7/1/2012 - 5/1/2062
|
3,789,721 | 275,076 | 356,916 | |||||||||||||
| $ | 250 to $500 | 2,128 |
0.00% to 11.93%
|
6/1/2014 - 11/1/2065
|
688,464 | 37,387 | 75,661 | |||||||||||||
| $ | 500 to $750 | 106 |
2.00% to 9.75%
|
6/1/2022 - 9/1/2057
|
60,445 | 3,405 | 3,303 | |||||||||||||
| $ | 750 to $1,000 | 1 |
5.50% to 5.50%
|
7/1/2037 - 7/1/2037
|
804 | 804 | - | |||||||||||||
| 57,535 | 4,539,434 | 316,672 | 435,880 | |||||||||||||||||
|
Total
|
58,170 | 4,619,193 | 318,518 | 443,228 | ||||||||||||||||
|
December 31, 2013
|
||||||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
|
Loan Balance
|
Number of
Loans
|
Interest Rate
|
Maturity Date
|
Total
Principal
|
30-89 Days
Delinquent
|
90+ Days
Delinquent
|
||||||||||||||
|
Held-for-Investment
|
||||||||||||||||||||
|
Adjustable rate loans:
|
||||||||||||||||||||
| $ | 250 to $500 | 4 |
3.00% to 3.125%
|
1/1/2038 - 1/1/2038
|
1,739 | - | - | |||||||||||||
| $ | 500 to $750 | 16 |
2.00% to 4.00%
|
12/1/2037 - 2/1/2042
|
9,828 | 1,275 | 531 | |||||||||||||
| $ | 750 to $1,000 | 6 |
3.00% to 3.125%
|
1/1/2038 - 4/1/2038
|
5,173 | - | - | |||||||||||||
|
Over $1,000
|
4 |
3.00% to 3.125%
|
12/1/2037 - 3/1/2038
|
5,916 | - | - | ||||||||||||||
| 30 | 22,656 | 1,275 | 531 | |||||||||||||||||
|
Hybrid loans:
|
||||||||||||||||||||
| $ | 0 to $250 | 3 |
6.50% to 6.83%
|
8/1/2037 - 1/1/2038
|
291 | - | - | |||||||||||||
| $ | 250 to $500 | 14 |
2.000% to 6.50%
|
6/1/2037 - 4/1/2038
|
6,434 | - | 467 | |||||||||||||
| $ | 500 to $750 | 40 |
2.00% to 7.188%
|
5/1/2037 - 5/1/2038
|
24,251 | 1,153 | 2,870 | |||||||||||||
| $ | 750 to $1,000 | 11 |
2.00% to 6.375%
|
4/1/2037 - 5/1/2038
|
9,797 | 999 | 1,796 | |||||||||||||
|
Over $1,000
|
4 |
2.00% to 6.875%
|
2/1/2038 - 4/1/2038
|
5,350 | - | 2,807 | ||||||||||||||
| 72 | 46,123 | 2,152 | 7,940 | |||||||||||||||||
|
Fixed loans:
|
||||||||||||||||||||
| $ | 0 to $250 | 2 |
6.47% to 6.75%
|
6/1/2037 - 1/1/2038
|
112 | - | - | |||||||||||||
| $ | 250 to $500 | 137 |
2.00% to 7.875%
|
7/1/2022 - 10/1/2042
|
62,741 | 1,285 | 1,455 | |||||||||||||
| $ | 500 to $750 | 434 |
2.00% to 7.875%
|
9/1/2022 - 10/1/2042
|
269,882 | - | 1,124 | |||||||||||||
| $ | 750 to $1,000 | 262 |
3.50% to 7.00%
|
9/1/2037 - 10/1/2042
|
226,670 | - | 786 | |||||||||||||
|
Over $1,000
|
116 |
2.25% to 7.125%
|
3/1/2013 - 10/1/2042
|
147,890 | - | - | ||||||||||||||
| 951 | 707,295 | 1,285 | 3,365 | |||||||||||||||||
|
Total
|
1,053 | 776,074 | 4,712 | 11,836 | ||||||||||||||||
|
December 31, 2014
|
||||||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Counterparty and Cash Collateral, netting
|
Total
|
||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
|
Assets:
|
||||||||||||||||||||
|
Non-Agency RMBS
|
||||||||||||||||||||
|
Senior
|
$ | - | $ | - | $ | 2,735,780 | $ | - | $ | 2,735,780 | ||||||||||
|
Senior interest-only
|
- | - | 207,216 | - | 207,216 | |||||||||||||||
|
Subordinated
|
- | - | 454,348 | - | 454,348 | |||||||||||||||
|
Subordinated interest-only
|
- | - | 6,805 | - | 6,805 | |||||||||||||||
|
Securitized loans held for investment, at fair value
|
- | - | 4,699,215 | - | 4,699,215 | |||||||||||||||
|
Agency RMBS
|
||||||||||||||||||||
|
Pass-through
|
- | 8,255,419 | - | - | 8,255,419 | |||||||||||||||
|
Interest-only
|
- | 186,103 | - | - | 186,103 | |||||||||||||||
|
Derivatives
|
4,798 | (1,167 | ) | 3,631 | ||||||||||||||||
|
Liabilities:
|
||||||||||||||||||||
|
Securitized debt at fair value, collateralized by loans held for investment
|
- | - | (3,868,366 | ) | - | (3,868,366 | ) | |||||||||||||
|
Derivatives
|
(7,227 | ) | (113,679 | ) | (71 | ) | 106,800 | (14,177 | ) | |||||||||||
|
Total
|
$ | (7,227 | ) | $ | 8,332,641 | $ | 4,234,927 | $ | 105,633 | $ | 12,665,974 | |||||||||
|
December 31, 2013
|
||||||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Counterparty and Cash Collateral, netting
|
Total
|
||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
|
Assets:
|
||||||||||||||||||||
|
Non-Agency RMBS
|
||||||||||||||||||||
|
Senior
|
$ | - | $ | - | $ | 3,059,598 | $ | - | $ | 3,059,598 | ||||||||||
|
Senior interest-only
|
- | - | 240,725 | - | 240,725 | |||||||||||||||
|
Subordinated
|
- | - | 457,569 | - | 457,569 | |||||||||||||||
|
Subordinated interest-only
|
- | - | 16,571 | - | 16,571 | |||||||||||||||
|
Agency RMBS
|
||||||||||||||||||||
|
Pass-through
|
- | 1,954,796 | - | - | 1,954,796 | |||||||||||||||
|
Interest-only
|
- | 42,782 | - | - | 42,782 | |||||||||||||||
|
Derivatives, net
|
10,629 | - | - | (2,534 | ) | 8,095 | ||||||||||||||
|
Liabilities:
|
||||||||||||||||||||
|
Derivatives, net
|
- | (30,199 | ) | - | - | (30,199 | ) | |||||||||||||
|
Total
|
$ | 10,629 | $ | 1,967,379 | $ | 3,774,463 | $ | (2,534 | ) | $ | 5,749,937 | |||||||||
|
Fair Value Reconciliation, Level 3
|
||||||||||||||||||||
|
For the Year Ended
|
||||||||||||||||||||
|
December 31, 2014
|
||||||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||
|
Non-Agency RMBS
|
Derivatives
|
Securitized Loans
|
Securitized Debt
|
Total
|
||||||||||||||||
|
Beginning balance Level 3 assets
|
$ | 3,774,463 | $ | - | $ | - | $ | - | $ | 3,774,463 | ||||||||||
|
Transfers in to Level 3 assets
|
- | - | - | - | - | |||||||||||||||
|
Transfers out of Level 3 assets
|
- | - | - | - | - | |||||||||||||||
|
Purchases
|
454,506 | - | 4,722,824 | (4,309,055 | ) | 868,275 | ||||||||||||||
|
Principal payments
|
(324,768 | ) | - | (173,597 | ) | 412,652 | (85,713 | ) | ||||||||||||
|
Sales and Settlements
|
(602,573 | ) | (8,479 | ) | - | - | (611,052 | ) | ||||||||||||
|
Accretion of purchase discounts
|
99,512 | - | 5,028 | 2,026 | 106,566 | |||||||||||||||
|
Gains (losses) included in net income
|
||||||||||||||||||||
|
Other than temporary credit impairment losses
|
(63,992 | ) | - | - | - | (63,992 | ) | |||||||||||||
|
Realized gains (losses) on sales and settlements
|
62,634 | 8,749 | - | - | 71,383 | |||||||||||||||
|
Realized gain on deconsolidation
|
47,846 | - | - | - | 47,846 | |||||||||||||||
|
Net unrealized gains (losses) included in income
|
25,271 | (341 | ) | 144,960 | 26,011 | 195,901 | ||||||||||||||
|
Gains (losses) included in other comprehensive income
|
||||||||||||||||||||
|
Total unrealized gains (losses) for the period
|
(68,750 | ) | - | - | - | (68,750 | ) | |||||||||||||
|
Ending balance Level 3 assets
|
$ | 3,404,149 | $ | (71 | ) | $ | 4,699,215 | $ | (3,868,366 | ) | $ | 4,234,927 | ||||||||
|
Fair Value Reconciliation, Level 3
|
||||||||||||
|
For the Year Ended
|
||||||||||||
|
December 31, 2013
|
||||||||||||
|
(dollars in thousands)
|
||||||||||||
|
Non-Agency RMBS
|
Derivatives
|
Total
|
||||||||||
|
Beginning balance Level 3 assets
|
$ | 3,961,208 | - | $ | 3,961,208 | |||||||
|
Transfers in to Level 3 assets
|
- | - | - | |||||||||
|
Transfers out of Level 3 assets
|
- | - | - | |||||||||
|
Purchases
|
317,299 | - | 317,299 | |||||||||
|
Principal payments
|
(475,092 | ) | - | (475,092 | ) | |||||||
|
Sales and Settlements
|
(181,215 | ) | (10,221 | ) | (191,436 | ) | ||||||
|
Accretion of purchase discounts
|
106,290 | - | 106,290 | |||||||||
|
Gains (losses) included in net income
|
||||||||||||
|
Other than temporary credit impairment losses
|
(45,167 | ) | - | (45,167 | ) | |||||||
|
Realized gains (losses) on sales and settlements
|
36,645 | 10,221 | 46,866 | |||||||||
|
Realized losses on principal write-downs of Non-Agency RMBS
|
(18,316 | ) | - | (18,316 | ) | |||||||
|
Net unrealized gains (losses) included in income
|
(43,252 | ) | - | (43,252 | ) | |||||||
|
Gains (losses) included in other comprehensive income
|
||||||||||||
|
Total unrealized gains (losses) for the period
|
116,063 | - | 116,063 | |||||||||
|
Ending balance Level 3 assets
|
$ | 3,774,463 | $ | - | $ | 3,774,463 | ||||||
|
December 31, 2014
|
December 31, 2013
|
|||||||||||||||
|
Significant Inputs
|
Significant Inputs
|
|||||||||||||||
|
Weighted Average
Discount Rate
|
CPR
|
CDR
|
Loss
Severity
|
Weighted Average
Discount Rate
|
CPR
|
CDR
|
Loss
Severity
|
|||||||||
|
Range
|
Range
|
|||||||||||||||
|
Non-Agency RMBS
|
||||||||||||||||
|
Senior
|
4.7%
|
1% - 12%
|
0% - 29%
|
50% - 85%
|
6.4%
|
1% - 6%
|
0% - 33%
|
50% - 85%
|
||||||||
|
Senior interest-only
|
14.4%
|
1% - 25%
|
0% - 32%
|
50% - 85%
|
14.1%
|
1% - 28%
|
0% - 33%
|
50% - 85%
|
||||||||
|
Subordinated
|
5.8%
|
1% - 16%
|
0% - 19%
|
10% - 78%
|
6.1%
|
1% - 22%
|
0% - 38%
|
50% - 85%
|
||||||||
|
Subordinated interest-only
|
22.0%
|
1% - 10%
|
0% - 14%
|
50% - 65%
|
12.7%
|
2% - 13%
|
0% - 18%
|
50% - 73%
|
||||||||
|
RMBS transferred to consolidated VIEs
|
4.6%
|
1% - 16%
|
0% - 31%
|
50% - 85%
|
5.3%
|
1% - 20%
|
0% - 33%
|
50% - 85%
|
||||||||
|
December 31, 2014
|
|||||||
|
Significant Inputs
|
|||||||
|
CPR
|
CDR
|
Loss Severity
|
|||||
|
Range
|
Range
|
Range
|
|||||
|
Securitized debt at fair value, collateralized by loans held for investment
|
3% - 8% | 0% - 9% | 50% - 73% | ||||
|
December 31, 2014
|
||||||||
|
Significant Inputs
|
||||||||
|
Base Rate
|
Weighted Average/Percent of loan pool
|
|||||||
|
Factor:
|
||||||||
|
Coupon
|
||||||||
|
Clean
|
4.36 | % | 6.56 | % | ||||
|
Reperforming
|
5.34 | % | 6.59 | % | ||||
|
FICO
|
620 | 637 | ||||||
|
Loan-to-value (LTV)
|
90 | % | 81 | % | ||||
|
Occupancy
|
||||||||
|
Owner Occupied
|
N/A | 96 | % | |||||
|
Investor
|
N/A | 4 | % | |||||
|
Secondary
|
N/A | 0 | % | |||||
|
Property Type
|
||||||||
|
Single family
|
N/A | 79 | % | |||||
|
Manufactured housing
|
N/A | 15 | % | |||||
|
Multi-family/mixed use/other
|
N/A | 6 | % | |||||
|
December 31, 2014
|
||||||||||||
|
(dollars in thousands)
|
||||||||||||
|
Level in Fair Value Hierarchy
|
Carrying Amount
|
Fair Value
|
||||||||||
|
Securitized loans held for investment
|
3 | 626,112 | 626,100 | |||||||||
|
Repurchase agreements
|
2 | (8,455,381 | ) | (8,473,836 | ) | |||||||
|
Securitized debt, collateralized by Non-Agency RMBS
|
3 | (704,915 | ) | (708,623 | ) | |||||||
|
Securitized debt, collateralized by loans held for investment
|
3 | (521,997 | ) | (514,851 | ) | |||||||
|
December 31, 2013
|
||||||||||||
|
(dollars in thousands)
|
||||||||||||
|
Level in Fair Value Hierarchy
|
Carrying Amount
|
Fair Value
|
||||||||||
|
Securitized loans held for investment
|
3 | 783,484 | 762,550 | |||||||||
|
Repurchase agreements
|
2 | (1,658,561 | ) | (1,660,941 | ) | |||||||
|
Securitized debt, collateralized by Non-Agency RMBS
|
3 | (933,732 | ) | (940,712 | ) | |||||||
|
Securitized debt, collateralized by loans held for investment
|
3 | (669,981 | ) | (647,628 | ) | |||||||
|
December 31, 2014
|
December 31, 2013
|
|||||||
|
(dollars in thousands)
|
||||||||
|
Overnight
|
$ | - | $ | - | ||||
|
1-29 days
|
2,652,717 | 644,332 | ||||||
|
30 to 59 days
|
1,371,856 | 606,945 | ||||||
|
60 to 89 days
|
656,915 | - | ||||||
|
90 to 119 days
|
2,068,740 | 129,049 | ||||||
|
Greater than or equal to 120 days
|
1,705,153 | 278,235 | ||||||
|
Total
|
$ | 8,455,381 | $ | 1,658,561 | ||||
|
December 31, 2014
|
||||
|
(dollars in thousands)
|
||||
|
Year
|
Principal
|
|||
|
2015
|
1,431,168 | |||
|
2016
|
2,270,792 | |||
|
2017
|
262,094 | |||
|
Total
|
$ | 3,964,054 | ||
|
December 31, 2014
|
December 31, 2013
|
|||||||
|
(dollars in thousands)
|
||||||||
|
Within One Year
|
$ | 880,367 | $ | 370,250 | ||||
|
One to Three Years
|
1,427,236 | 497,943 | ||||||
|
Three to Five Years
|
940,975 | 264,456 | ||||||
|
Greater Than Five Years
|
1,673,634 | 396,916 | ||||||
|
Total
|
$ | 4,922,212 | $ | 1,529,565 | ||||
|
SLFMT Trusts
|
||||
|
(dollars in thousands)
|
||||
|
Assets
|
||||
|
Securitized loans held for investment, at fair value
|
$ | 4,722,825 | ||
|
Other Assets
|
84,830 | |||
|
Liabilities
|
||||
|
Securitized debt at fair value
|
$ | 4,033,304 | ||
|
December 31, 2014
|
December 31, 2013
|
|||||||
|
(dollars in thousands)
|
||||||||
|
Assets
|
||||||||
|
Non-Agency RMBS
|
$ | 2,473,467 | $ | 2,981,571 | ||||
|
Securitized loans held for investment, net of allowance for loan losses
|
626,112 | 783,484 | ||||||
|
Securitized loans held for investment, at fair value
|
4,699,215 | - | ||||||
|
Accrued interest receivable
|
39,558 | 17,173 | ||||||
|
Other Assets
|
85,880 | 6,534 | ||||||
|
Liabilities
|
||||||||
|
Securitized debt, collateralized by Non-Agency RMBS
|
$ | 704,915 | $ | 933,732 | ||||
|
Securitized debt, collateralized by loans held for investment
|
521,997 | 669,981 | ||||||
|
Securitized debt at fair value, collateralized by loans held for investment
|
3,868,366 | - | ||||||
|
Accrued interest payable
|
16,070 | 5,278 | ||||||
|
For the Year Ended
|
||||||||||||
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||
|
(dollars in thousands)
|
||||||||||||
|
Interest income
|
$ | 428,992 | $ | 371,559 | $ | 417,351 | ||||||
|
Interest expense
|
119,103 | 95,229 | 115,880 | |||||||||
|
Net interest income
|
$ | 309,889 | $ | 276,330 | $ | 301,471 | ||||||
|
Total other-than-temporary impairment losses
|
(3,374 | ) | (4,170 | ) | $ | (7,619 | ) | |||||
|
Portion of loss recognized in other comprehensive income
|
(55,392 | ) | (33,749 | ) | (76,699 | ) | ||||||
|
Net other-than-temporary credit impairment losses
|
$ | (58,766 | ) | $ | (37,919 | ) | $ | (84,318 | ) | |||
|
December 31, 2014
|
||||||||||||||
|
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
|
$ | 3,573,000 |
Derivatives, at fair value, net
|
$ | - |
Derivatives, at fair value, net
|
(14,061 | ) | ||||||
|
Mortgage Options
|
200,000 |
Derivatives, at fair value, net
|
- |
Derivatives, at fair value, net
|
(71 | ) | ||||||||
|
Swaptions
|
242,000 |
Derivatives, at fair value, net
|
2,889 |
Derivatives, at fair value, net
|
(45 | ) | ||||||||
|
Treasury Futures
|
1,240,000 |
Derivatives, at fair value, net
|
- |
Derivatives, at fair value, net
|
- | |||||||||
|
Total
|
$ | 5,255,000 | $ | 2,889 | $ | (14,177 | ) | |||||||
|
December 31, 2013
|
||||||||||||||
|
Derivative Assets
|
Derivative Liabilities
|
|||||||||||||
|
Derivative Instruments
|
Notional Amount
Outstanding
|
Location on Consolidated
Statements of Financial
Condition
|
Net Estimated Fair
Value/Carrying
Value
|
Location on Consolidated
Statements of Financial
Condition
|
Net Estimated Fair
Value/Carrying Value
|
|||||||||
|
(dollars in thousands)
|
||||||||||||||
|
Interest Rate Swaps
|
$ | 1,355,000 |
Derivatives, at fair value, net
|
$ | - |
Derivatives, at fair value
|
$ | (30,199 | ) | |||||
|
Treasury Futures
|
550,000 |
Derivatives, at fair value, net
|
8,095 |
Derivatives, at fair value
|
- | |||||||||
|
Total
|
$ | 1,905,000 | $ | 8,095 | $ | (30,199 | ) | |||||||
|
|
Net gains (losses) on derivatives
|
||||||||||||
|
For the Year Ended
|
|||||||||||||
|
Derivative Instruments
|
Location on Consolidated Statements of
Operations and Comprehensive Income
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
|||||||||
|
(dollars in thousands)
|
|||||||||||||
|
Interest Rate Swaps
|
Net unrealized gains (losses) on derivatives
|
$ | (84,913 | ) | $ | 23,740 | $ | (9,473 | ) | ||||
|
Interest Rate Swaps
|
Net realized gains (losses) on derivatives
|
(52,523 | ) | (21,857 | ) | (20,223 | ) | ||||||
|
Mortgage Options
|
Net unrealized gains (losses) on derivatives
|
340 | - | - | |||||||||
|
Mortgage Options
|
Net realized gains (losses) on derivatives
|
7,505 | 12,115 | - | |||||||||
|
Treasury Futures
|
Net unrealized gains (losses) on derivatives
|
(17,856 | ) | 10,629 | - | ||||||||
|
Treasury Futures
|
Net realized gains (losses) on derivatives
|
(38,552 | ) | 2,029 | - | ||||||||
|
Swaptions
|
Net unrealized gains (losses) on derivatives
|
(1,067 | ) | - | - | ||||||||
|
Swaptions
|
Net realized gains (losses) on derivatives
|
(24 | ) | - | - | ||||||||
|
Other Derivative Assets
|
Net unrealized gains (losses) on derivatives
|
- | - | - | |||||||||
|
Other Derivative Assets
|
Net realized gains (losses) on derivatives
|
742 | - | - | |||||||||
|
Total
|
$ | (186,348 | ) | $ | 26,656 | $ | (29,696 | ) | |||||
|
For the Year Ended
|
||||||||||||
|
December 31, 2014
|
December 31, 2013
|
December 31, 2012
|
||||||||||
|
(dollars in thousands)
|
||||||||||||
|
Numerator:
|
||||||||||||
|
Net income
|
$ | 589,205 | $ | 362,686 | $ | 327,767 | ||||||
|
Effect of dilutive securities:
|
- | - | - | |||||||||
|
Dilutive net income available to stockholders
|
$ | 589,205 | $ | 362,686 | $ | 327,767 | ||||||
|
Denominator:
|
||||||||||||
|
Weighted average basic shares
|
1,027,250,475 | 1,027,094,379 | 1,026,831,033 | |||||||||
|
Effect of dilutive securities
|
293,372 | 475,964 | 668,222 | |||||||||
|
Weighted average dilutive shares
|
1,027,543,847 | 1,027,570,343 | 1,027,499,255 | |||||||||
|
Net income per average share attributable to
common stockholders - Basic
|
$ | 0.57 | $ | 0.35 | $ | 0.32 | ||||||
|
Net income per average share attributable to
common stockholders - Diluted
|
$ | 0.57 | $ | 0.35 | $ | 0.32 | ||||||
|
December 31, 2014
|
||||||||
|
(dollars in thousands)
|
||||||||
|
Unrealized gains
(losses) on available-
for-sale securities, net
|
Total Accumulated
OCI Balance
|
|||||||
|
Balance as of December 31, 2013
|
$ | 990,803 | $ | 990,803 | ||||
|
OCI before reclassifications
|
134,113 | 134,113 | ||||||
|
Amounts reclassified from AOCI
|
(78,236 | ) | (78,236 | ) | ||||
|
Net current period OCI
|
55,877 | 55,877 | ||||||
|
Balance as of December 31, 2014
|
$ | 1,046,680 | $ | 1,046,680 | ||||
|
December 31, 2013
|
||||||||
|
(dollars in thousands)
|
||||||||
|
Balance as of December 31, 2012
|
$ | 989,936 | $ | 989,936 | ||||
|
OCI before reclassifications
|
23,807 | 23,807 | ||||||
|
Amounts reclassified from AOCI
|
(22,940 | ) | (22,940 | ) | ||||
|
Net current period OCI
|
867 | 867 | ||||||
|
Balance as of December 31, 2013
|
$ | 990,803 | $ | 990,803 | ||||
|
December 31, 2014
|
December 31, 2013
|
|||||||||
|
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
|
(dollars in thousands)
|
|||||||||
| $ | 94,382 | $ | 68,107 |
Net realized gains (losses) on sales of investments
|
||||||
| 47,846 | - |
Realized gain on deconsolidation
|
||||||||
| (63,992 | ) | (45,167 | ) |
Net other-than-temporary credit impairment losses
|
||||||
| $ | 78,236 | $ | 22,940 |
Income before income taxes
|
||||||
| - | - |
Income taxes
|
||||||||
| $ | 78,236 | $ | 22,940 |
Net of tax
|
||||||
|
For the Year Ended
|
||||||||||||||||
|
December 31, 2014
|
December 31, 2013
|
|||||||||||||||
|
Number of Shares
|
Weighted
Average Grant
Date Fair Value
|
Number of Shares
|
Weighted
Average Grant
Date Fair Value
|
|||||||||||||
|
Unvested shares outstanding - beginning of period
|
384,000 | 17.72 | 586,000 | 17.72 | ||||||||||||
|
Granted
|
222,894 | 3.32 | 98,688 | 3.04 | ||||||||||||
|
Vested
|
(291,085 | ) | 17.72 | (230,779 | ) | 17.72 | ||||||||||
|
Forfeited
|
(118,409 | ) | 17.72 | (69,909 | ) | 17.72 | ||||||||||
|
Unvested shares outstanding - end of period
|
197,400 | 17.72 | 384,000 | 17.72 | ||||||||||||
|
December 31, 2014
|
||||||||||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||||||
|
Gross Amounts Not Offset with Financial
Assets (Liabilities) in the Consolidated
Statements of Financial Position
|
||||||||||||||||||||||||
|
Gross Amounts
of Recognized
Assets
(Liabilities)
|
Gross Amounts Offset
in the Consolidated
Statements of
Financial Position
|
Net Amounts Offset
in the Consolidated
Statements of
Financial Position
|
Financial
Instruments
|
Cash Collateral
(Received) Pledged (1)
|
Net Amount
|
|||||||||||||||||||
|
Repurchase Agreements
|
$ | (8,455,381 | ) | $ | - | $ | (8,455,381 | ) | $ | 9,309,738 | $ | - | $ | 854,357 | ||||||||||
|
Interest Rate Swaps
|
(113,597 | ) | 99,536 | (14,061 | ) | 19,340 | 64,796 | 70,075 | ||||||||||||||||
|
Treasury Futures
|
(7,227 | ) | 7,227 | - | - | 12,595 | 1 2,595 | |||||||||||||||||
| Mortgage Options | (71 | ) | - | (71 | ) | - | - | (71 | ) | |||||||||||||||
|
Swaptions - Gross Liability
|
(45 | ) | - | (45 | ) | - | - | (45 | ) | |||||||||||||||
|
Swaptions - Gross Asset
|
2,889 | - | 2,889 | - | - | 2,889 | ||||||||||||||||||
|
Total Liabilities
|
$ | (8,573,432 | ) | $ | 106,763 | $ | (8,466,669 | ) | $ | 9,329,078 | $ | 77,391 | $ | 939,800 | ||||||||||
|
(1) Included in other assets
|
||||||||||||||||||||||||
|
December 31, 2013
|
||||||||||||||||||||||||
|
(dollars in thousands)
|
||||||||||||||||||||||||
|
Gross Amounts Not Offset with Financial
Assets (Liabilities) in the Consolidated
Statements of Financial Position
|
||||||||||||||||||||||||
|
Gross Amounts
of Recognized
Assets
(Liabilities)
|
Gross Amounts Offset
in the Consolidated
Statements of
Financial Position
|
Net Amounts Offset
in the Consolidated
Statements of
Financial Position
|
Financial
Instruments
|
Cash Collateral
(Received) Pledged (1)
|
Net Amount
|
|||||||||||||||||||
|
Repurchase agreements
|
$ | (1,658,561 | ) | $ | - | $ | (1,658,561 | ) | $ | 1,737,381 | $ | - | $ | 78,820 | ||||||||||
|
Interest Rate Swaps
|
(30,199 | ) | - | (30,199 | ) | 39,470 | - | 9,271 | ||||||||||||||||
|
Mortgage Options
|
- | - | - | - | - | - | ||||||||||||||||||
|
Treasury Futures
|
10,629 | (2,534 | ) | 8,095 | - | - | 8,095 | |||||||||||||||||
|
Total Liabilities
|
$ | (1,678,131 | ) | $ | (2,534 | ) | $ | (1,680,665 | ) | $ | 1,776,851 | $ | - | $ | 96,186 | |||||||||
|
(1) Included in other assets
|
||||||||||||||||||||||||
|
For the Quarter Ended
|
||||||||||||||||
|
December 31, 2014
|
September 30, 2014
|
June 30, 2014
|
March 31, 2014
|
|||||||||||||
|
(dollars in thousands, except per share data)
|
||||||||||||||||
|
Net Interest Income:
|
||||||||||||||||
|
Interest income
|
$ | 242,455 | $ | 190,355 | $ | 134,318 | $ | 120,667 | ||||||||
|
Less interest expense
|
65,794 | 38,886 | 20,680 | 22,425 | ||||||||||||
|
Net interest income
|
176,661 | 151,469 | 113,638 | 98,242 | ||||||||||||
|
Other-than-temporary impairments:
|
||||||||||||||||
|
Total other-than-temporary impairment losses
|
(3,774 | ) | (726 | ) | (3,813 | ) | (400 | ) | ||||||||
|
Portion of loss recognized in other comprehensive income
|
(51,347 | ) | (1,264 | ) | (1,534 | ) | (1,134 | ) | ||||||||
|
Net other-than-temporary credit impairment losses
|
(55,121 | ) | (1,990 | ) | (5,347 | ) | (1,534 | ) | ||||||||
|
Net gains (losses) on derivatives
|
(125,936 | ) | (10,177 | ) | (42,289 | ) | (7,946 | ) | ||||||||
|
Net unrealized gains (losses) on financial instruments at fair value
|
9,812 | 162,921 | 5,791 | 15,010 | ||||||||||||
|
Gain of deconsolidation
|
- | - | 47,846 | - | ||||||||||||
|
Loss on Extinguishment of Debt
|
- | - | - | (2,184 | ) | |||||||||||
|
Net realized gains (losses) on sales of investments
|
23,564 | 64,107 | (4,339 | ) | 8,377 | |||||||||||
|
Total other expenses
|
22,494 | (11,250 | ) | 10,531 | 9,595 | |||||||||||
|
Net income
|
$ | 6,486 | $ | 377,580 | $ | 104,769 | $ | 100,368 | ||||||||
|
Net income per share-basic and diluted
|
$ | 0.01 | $ | 0.37 | $ | 0.10 | $ | 0.10 | ||||||||
|
For the Quarter Ended
|
||||||||||||||||
|
December 31, 2013
|
September 30, 2013
|
June 30, 2013
|
March 31, 2013
|
|||||||||||||
|
(dollars in thousands, except per share data)
|
||||||||||||||||
|
Net Interest Income:
|
||||||||||||||||
|
Interest income
|
$ | 128,062 | $ | 130,361 | $ | 127,565 | $ | 125,795 | ||||||||
|
Less interest expense
|
21,485 | 25,074 | 26,611 | 28,829 | ||||||||||||
|
Net interest income
|
106,577 | 105,287 | 100,954 | 96,966 | ||||||||||||
|
Other-than-temporary impairments:
|
||||||||||||||||
|
Total other-than-temporary impairment losses
|
(2,147 | ) | (2,209 | ) | - | - | ||||||||||
|
Portion of loss recognized in other comprehensive income
|
(20,402 | ) | (14,246 | ) | - | (6,163 | ) | |||||||||
|
Net other-than-temporary credit impairment losses
|
(22,549 | ) | (16,455 | ) | - | (6,163 | ) | |||||||||
|
Net gains (losses) on derivatives
|
22,361 | (3,364 | ) | 7,787 | (128 | ) | ||||||||||
|
Net unrealized gains (losses) on financial instruments at fair value
|
(2,416 | ) | (27,874 | ) | (12,974 | ) | (1,013 | ) | ||||||||
|
Net realized gains (losses) on sales of investments
|
(4,832 | ) | 18,816 | 54,117 | 6 | |||||||||||
| Realized losses on principal write-downs of Non-Agency RMBS | (18,316 | ) | - | - | - | |||||||||||
|
Total other expenses
|
8,514 | 9,043 | 6,677 | 9,865 | ||||||||||||
|
Net income
|
$ | 72,311 | $ | 67,367 | $ | 143,207 | $ | 79,801 | ||||||||
|
Net income per share-basic and diluted
|
$ | 0.07 | $ | 0.07 | $ | 0.14 | $ | 0.08 | ||||||||
|
CHIMERA INVESTMENT CORPORATION
|
|||
| By: |
/s/ Matthew Lambiase
|
||
|
Matthew Lambiase
|
|||
|
Chief Executive Officer and President
|
|||
|
March 2, 2015
|
|||
|
Signatures
|
Title
|
Date
|
|
|
/s/ Matthew Lambiase
|
Chief Executive Officer, President, and
Director (Principal Executive Officer)
|
March 2, 2015
|
|
|
Matthew Lambiase
|
|||
|
/s/ Robert Colligan
|
Chief Financial Officer (Principal Financial
and Accounting Officer)
|
March 2, 2015
|
|
|
Robert Colligan
|
|||
|
/s/ Mark Abrams
|
Director
|
March 2, 2015
|
|
|
Mark Abrams
|
|||
|
/s/ Paul A. Keenan
|
Director
|
March 2, 2015
|
|
|
Paul A. Keenan
|
|||
|
/s/ Paul Donlin
|
Director
|
March 2, 2015
|
|
|
Paul Donlin
|
|||
|
/s/ Gerard Creagh
|
Director
|
March 2, 2015
|
|
|
Gerard Creagh
|
|||
|
/s/ Dennis Mahoney
|
Director
|
March 2, 2015
|
|
|
Dennis Mahoney
|
|||
|
/s/ John P. Reilly
|
Director
|
March 2, 2015
|
|
|
John P. Reilly
|
No information found
* THE VALUE IS THE MARKET VALUE AS OF THE LAST DAY OF THE QUARTER FOR WHICH THE 13F WAS FILED.
| FUND | NUMBER OF SHARES | VALUE ($) | PUT OR CALL |
|---|
| DIRECTORS | AGE | BIO | OTHER DIRECTOR MEMBERSHIPS |
|---|
No information found
No Customers Found
No Suppliers Found
Price
Yield
| Owner | Position | Direct Shares | Indirect Shares |
|---|