MARYLAND | 26-0630461 |
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) |
Large accelerated filer þ | Accelerated filer o | Non-accelerated filer o | Smaller reporting company o |
Class
|
Outstanding at June 21, 2013
|
Common Stock, $.01 par value
|
1,027,593,441
|
Part I. FINANCIAL INFORMATION
|
|
Item 1. Consolidated Financial Statements:
|
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1
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|
|
2
|
3
|
|
4
|
|
5
|
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35
|
|
55
|
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59
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60
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60
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Item 5. Other Information | 60 |
61
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S-1
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CHIMERA INVESTMENT CORPORATION
|
||||||||
(dollars in thousands, except share and per share data)
|
||||||||
March 31, 2012
(Unaudited)
|
December 31, 2011 (1)
|
|||||||
Assets:
|
||||||||
Cash and cash equivalents
|
$ | 131,273 | $ | 206,299 | ||||
Non-Agency RMBS, at fair value
|
||||||||
Senior
|
822 | 1,020 | ||||||
Senior interest-only
|
200,941 | 188,679 | ||||||
Subordinated
|
635,627 | 606,895 | ||||||
Subordinated interest-only
|
22,405 | 22,019 | ||||||
Agency RMBS, at fair value
|
2,949,803 | 3,144,531 | ||||||
Accrued interest receivable
|
25,144 | 22,709 | ||||||
Other assets
|
12,596 | 1,403 | ||||||
Subtotal
|
3,978,611 | 4,193,555 | ||||||
Assets of Consolidated VIEs:
|
||||||||
Non-Agency RMBS transferred to consolidated variable interest entities ("VIEs"), at fair value
|
3,267,779 | 3,270,332 | ||||||
Securitized loans held for investment, net of allowance for loan losses of $13.8 million and $13.9 million, respectively
|
983,587 | 256,632 | ||||||
Accrued interest receivable
|
24,585 | 26,616 | ||||||
Subtotal
|
4,275,951 | 3,553,580 | ||||||
Total assets
|
$ | 8,254,562 | $ | 7,747,135 | ||||
Liabilities:
|
||||||||
Repurchase agreements, Agency RMBS ($2.6 billion and $2.8 billion pledged as collateral, respectively)
|
$ | 2,502,870 | $ | 2,672,989 | ||||
Accrued interest payable
|
2,928 | 3,294 | ||||||
Dividends payable
|
112,946 | 112,937 | ||||||
Accounts payable and other liabilities
|
1,572 | 1,687 | ||||||
Investment management fees and expenses payable to affiliate
|
12,963 | 12,958 | ||||||
Interest rate swaps, at fair value
|
43,655 | 44,467 | ||||||
Subtotal
|
2,676,934 | 2,848,332 | ||||||
Non-Recourse Liabilities of Consolidated VIEs
|
||||||||
Securitized debt, Non-Agency RMBS transferred to consolidated VIEs ($3.3 billion and $3.3 billion pledged as collateral, respectively)
|
1,507,268 | 1,630,276 | ||||||
Securitized debt, loans held for investment ($993.8 million and $238.0 million pledged as collateral, respectively)
|
890,374 | 212,778 | ||||||
Accrued interest payable
|
9,394 | 8,130 | ||||||
Subtotal
|
2,407,036 | 1,851,184 | ||||||
Total liabilities
|
$ | 5,083,970 | $ | 4,699,516 | ||||
Commitments and Contingencies (See Note 15)
|
||||||||
Stockholders' Equity:
|
||||||||
Common stock: par value $0.01 per share; 1,500,000,000 shares authorized, 1,027,505,477 and 1,027,467,089 shares issued and outstanding, respectively
|
$ | 10,268 | $ | 10,267 | ||||
Additional paid-in-capital
|
3,603,936 | 3,603,739 | ||||||
Accumulated other comprehensive income (loss)
|
588,941 | 433,453 | ||||||
Retained earnings (accumulated deficit)
|
(1,032,553 | ) | (999,840 | ) | ||||
Total stockholders' equity
|
$ | 3,170,592 | $ | 3,047,619 | ||||
Total liabilities and stockholders' equity
|
$ | 8,254,562 | $ | 7,747,135 | ||||
(1) Derived from the audited consolidated financial statements.
|
||||||||
See accompanying notes to consolidated financial statements.
|
CHIMERA INVESTMENT CORPORATION
|
||||||||
(dollars in thousands, except share and per share data)
|
||||||||
(unaudited)
|
||||||||
For the Quarter Ended
|
||||||||
March 31, 2012
|
March 31, 2011
|
|||||||
Net Interest Income:
|
||||||||
Interest income
|
$ | 51,319 | $ | 58,086 | ||||
Interest expense
|
(2,326 | ) | (3,052 | ) | ||||
Interest income, Non-Agency RMBS and securitized loans transferred to consolidated VIEs
|
98,349 | 113,957 | ||||||
Interest expense, Non-Agency RMBS and securitized loans transferred to consolidated VIEs
|
(34,049 | ) | (32,525 | ) | ||||
Net interest income (expense)
|
113,293 | 136,466 | ||||||
Other-than-temporary impairments:
|
||||||||
Total other-than-temporary impairment losses
|
(56,961 | ) | (70,217 | ) | ||||
Non-credit portion of loss recognized in other comprehensive income (loss)
|
8,597 | 37,034 | ||||||
Net other-than-temporary credit impairment losses
|
(48,364 | ) | (33,183 | ) | ||||
Other gains (losses):
|
||||||||
Net unrealized gains (losses) on interest rate swaps
|
812 | 9,831 | ||||||
Net realized gains (losses) on interest rate swaps
|
(4,398 | ) | (2,847 | ) | ||||
Net gains (losses) on interest rate swaps
|
(3,586 | ) | 6,984 | |||||
Net unrealized gains (losses) on interest-only RMBS
|
17,947 | 4,106 | ||||||
Net realized gains (losses) on sales of investments
|
16,010 | 2,642 | ||||||
Total other gains (losses)
|
30,371 | 13,732 | ||||||
Net investment income (loss)
|
95,300 | 117,015 | ||||||
Other expenses:
|
||||||||
Management fees
|
12,909 | 12,750 | ||||||
Provision for loan losses
|
167 | 1,442 | ||||||
General and administrative expenses
|
1,989 | 1,487 | ||||||
Total other expenses
|
15,065 | 15,679 | ||||||
Income (loss) before income taxes
|
80,235 | 101,336 | ||||||
Income taxes
|
2 | 698 | ||||||
Net income (loss)
|
$ | 80,233 | $ | 100,638 | ||||
Net income (loss) per share available to common shareholders:
|
||||||||
Basic
|
$ | 0.08 | $ | 0.10 | ||||
Diluted
|
$ | 0.08 | $ | 0.10 | ||||
Weighted average number of common shares outstanding:
|
||||||||
Basic
|
1,026,762,092 | 1,026,209,153 | ||||||
Diluted
|
1,027,489,586 | 1,027,063,055 | ||||||
Dividends declared per share of common stock
|
$ | 0.11 | $ | 0.14 | ||||
Comprehensive income (loss):
|
||||||||
Net income (loss)
|
$ | 80,233 | $ | 100,638 | ||||
Other comprehensive income (loss):
|
||||||||
Unrealized gains (losses) on available-for-sale securities, net
|
170,186 | (128,569 | ) | |||||
Reclassification adjustment for net losses included in net income (loss) for other-than-
temporary credit impairment losses
|
(14,252 | ) | 33,183 | |||||
Reclassification adjustment for net realized losses (gains) included in net income (loss)
|
(446 | ) | (2,642 | ) | ||||
Other comprehensive income (loss)
|
155,488 | (98,028 | ) | |||||
Comprehensive income (loss)
|
$ | 235,721 | $ | 2,610 | ||||
See accompanying notes to consolidated financial statements.
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||||||||||||
(dollars in thousands, except per share data)
|
|||||||||||||||||||
(unaudited)
|
|||||||||||||||||||
Common Stock
Par Value
|
Additional Paid-
in Capital
|
Accumulated
Other
Comprehensive
Income (Loss)
|
Retained
Earnings
(Accumulated
Deficit)
|
Total
|
|||||||||||||||
Balance, December 31, 2010
|
$ | 10,261 | $ | 3,601,890 | $ | 680,123 | $ | (613,688 | ) | $ | 3,678,586 | ||||||||
Net income
|
- | - | - | 100,638 | 100,638 | ||||||||||||||
Unrealized gains (losses) on available-for-sale securities, net
|
- | - | (128,569 | ) | - | (128,569 | ) | ||||||||||||
Reclassification adjustment for net losses included in net
income (loss) for other-than-temporary credit impairment
losses
|
- | - | 33,183 | - | 33,183 | ||||||||||||||
Reclassification adjustment for net realized losses (gains)
included in net income (loss)
|
- | - | (2,642 | ) | - | (2,642 | ) | ||||||||||||
Proceeds from direct purchase and dividend reinvestment
|
1 | 310 | - | - | 311 | ||||||||||||||
Proceeds from common stock offerings
|
- | 11 | - | - | 11 | ||||||||||||||
Proceeds from restricted stock grants
|
- | 128 | - | - | 128 | ||||||||||||||
Common dividends declared, $0.14 per share
|
- | - | - | (143,676 | ) | (143,676 | ) | ||||||||||||
Balance, March 31, 2011
|
$ | 10,262 | $ | 3,602,339 | $ | 582,095 | $ | (656,726 | ) | $ | 3,537,970 | ||||||||
Balance, December 31, 2011
|
$ | 10,267 | $ | 3,603,739 | $ | 433,453 | $ | (999,840 | ) | $ | 3,047,619 | ||||||||
Net income
|
- | - | - | 80,233 | 80,233 | ||||||||||||||
Unrealized gains (losses) on available-for-sale securities, net
|
- | - | 170,186 | - | 170,186 | ||||||||||||||
Reclassification adjustment for net losses included in net
income (loss) for other-than-temporary credit impairment
losses
|
- | - | (14,252 | ) | - | (14,252 | ) | ||||||||||||
Reclassification adjustment for net realized losses (gains)
included in net income (loss)
|
- | - | (446 | ) | - | (446 | ) | ||||||||||||
Proceeds from direct purchase and dividend reinvestment
|
1 | 116 | - | - | 117 | ||||||||||||||
Proceeds from restricted stock grants
|
- | 81 | - | - | 81 | ||||||||||||||
Common dividends declared, $0.11 per share
|
- | - | - | (112,946 | ) | (112,946 | ) | ||||||||||||
Balance, March 31, 2012
|
$ | 10,268 | $ | 3,603,936 | $ | 588,941 | $ | (1,032,553 | ) | $ | 3,170,592 | ||||||||
See accompanying notes to consolidated financial statements.
|
CHIMERA INVESTMENT CORPORATION
|
||||||||
(dollars in thousands)
|
||||||||
(unaudited)
|
||||||||
For the Quarter Ended
|
||||||||
March 31, 2012
|
March 31, 2011
|
|||||||
Cash Flows From Operating Activities:
|
||||||||
Net income (loss)
|
$ | 80,233 | $ | 100,638 | ||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
|
||||||||
(Accretion) amortization of investment discounts/premiums, net
|
(10,355 | ) | (9,190 | ) | ||||
Amortization of deferred financing costs
|
3,221 | 456 | ||||||
Amortization of debt issue costs of securitized debt
|
8,103 | 3,352 | ||||||
Unrealized losses (gains) on interest rate swaps
|
(812 | ) | (9,831 | ) | ||||
Net unrealized losses (gains) on interest-only RMBS
|
(17,947 | ) | (4,106 | ) | ||||
Realized losses (gains) on sales of investments, net
|
(16,010 | ) | (2,642 | ) | ||||
Net other-than-temporary credit impairment losses
|
48,364 | 33,183 | ||||||
Provision for loan losses
|
167 | 1,442 | ||||||
Equity-based compensation expense
|
81 | 128 | ||||||
Changes in operating assets:
|
||||||||
Decrease (increase) in accrued interest receivable, net
|
(1,288 | ) | (9,163 | ) | ||||
Decrease (increase) in other assets
|
2 | (58 | ) | |||||
Changes in operating liabilities:
|
||||||||
Increase (decrease) in accounts payable and other liabilities
|
(115 | ) | 841 | |||||
Increase (decrease) in investment management fees and expenses payable to affiliate
|
5 | 385 | ||||||
Increase (decrease) in accrued interest payable, net
|
898 | 902 | ||||||
Net cash provided by (used in) operating activities
|
$ | 94,547 | $ | 106,337 | ||||
Cash Flows From Investing Activities:
|
||||||||
RMBS portfolio:
|
||||||||
Purchases
|
$ | (91,429 | ) | $ | (3,095,715 | ) | ||
Sales
|
79,059 | 646,356 | ||||||
Principal payments
|
183,612 | 135,868 | ||||||
RMBS transferred to consolidated VIEs:
|
||||||||
Principal payments
|
132,630 | 194,385 | ||||||
Securitized loans:
|
||||||||
Purchases
|
(753,692 | ) | - | |||||
Principal payments
|
21,061 | 25,337 | ||||||
Net cash provided by (used in) investing activities
|
$ | (428,759 | ) | $ | (2,093,769 | ) | ||
Cash Flows From Financing Activities:
|
||||||||
Proceeds from repurchase agreements
|
$ | 2,034,833 | $ | 4,563,683 | ||||
Payments on repurchase agreements
|
(2,204,952 | ) | (2,502,073 | ) | ||||
Net proceeds from common stock offerings
|
- | 11 | ||||||
Payment of deferred financing costs
|
(4,369 | ) | - | |||||
Proceeds from securitized debt borrowings, loans held for investment
|
696,113 | - | ||||||
Payments on securitized debt borrowings, loans held for investment
|
(19,730 | ) | (23,861 | ) | ||||
Proceeds from securitized debt borrowings, RMBS transferred to consolidated VIEs
|
- | 311,012 | ||||||
Payments on securitized debt borrowings, RMBS transferred to consolidated VIEs
|
(129,889 | ) | (178,084 | ) | ||||
Net proceeds from direct purchase and dividend reinvestment
|
117 | 311 | ||||||
Common dividends paid
|
(112,937 | ) | (174,445 | ) | ||||
Net cash provided by (used in) financing activities
|
$ | 259,186 | $ | 1,996,554 | ||||
Net increase (decrease) in cash and cash equivalents
|
$ | (75,026 | ) | $ | 9,122 | |||
Cash and cash equivalents at beginning of period
|
206,299 | 7,173 | ||||||
Cash and cash equivalents at end of period
|
$ | 131,273 | $ | 16,295 | ||||
Supplemental disclosure of cash flow information:
|
||||||||
Interest received
|
$ | 138,909 | $ | 154,000 | ||||
Interest paid
|
$ | 27,374 | $ | 31,797 | ||||
Taxes paid
|
$ | - | $ | 3 | ||||
Management fees and expenses paid to affiliates
|
$ | 12,958 | $ | 12,229 | ||||
Non-cash investing activities:
|
||||||||
Receivable for investments sold
|
$ | - | $ | 6,192 | ||||
Payable for investments purchased
|
$ | - | $ | 311,610 | ||||
Net change in unrealized gain (loss) on available-for sale securities
|
$ | 155,488 | $ | (98,028 | ) | |||
Non-cash financing activities:
|
||||||||
Common dividends declared, not yet paid
|
$ | 112,946 | $ | 143,676 | ||||
See accompanying notes to consolidated financial statements.
|
|
●
|
Agency RMBS
|
|
●
|
Non-Agency RMBS that meet each 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 substantially all contractual cash flows of the security.
|
|
1.
|
The security is rated below AA (or is unrated) or the security can be contractually prepaid such that the Company would not recover substantially all of its recorded investment.
|
|
2.
|
The security is rated AA or higher and the Company expects to collect substantially all, but not all contractual cash flows.
|
March 31, 2012
|
||||||||||||||||||||||||||||||||
(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
|
$ | 912 | $ | - | $ | (59 | ) | $ | 853 | $ | 822 | $ | 3 | $ | (34 | ) | $ | (31 | ) | |||||||||||||
Senior interest-only
|
3,990,375 | 195,652 | - | 195,652 | 200,941 | 19,398 | (14,109 | ) | 5,289 | |||||||||||||||||||||||
Subordinated
|
1,362,600 | - | (708,154 | ) | 654,446 | 635,627 | 43,211 | (62,030 | ) | (18,819 | ) | |||||||||||||||||||||
Subordinated interest-only
|
277,150 | 20,348 | - | 20,348 | 22,405 | 2,057 | - | 2,057 | ||||||||||||||||||||||||
RMBS transferred to consolidated variable interest entities ("VIEs")
|
5,187,368 | 10,237 | (2,329,017 | ) | 2,764,039 | 3,267,779 | 518,107 | (14,367 | ) | 503,740 | ||||||||||||||||||||||
Agency RMBS
|
2,832,413 | 85,020 | (157 | ) | 2,840,824 | 2,949,803 | 109,269 | (290 | ) | 108,979 | ||||||||||||||||||||||
Total
|
$ | 13,650,818 | $ | 311,257 | $ | (3,037,387 | ) | $ | 6,476,162 | $ | 7,077,377 | $ | 692,045 | $ | (90,830 | ) | $ | 601,215 | ||||||||||||||
December 31, 2011
|
||||||||||||||||||||||||||||||||
(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
|
$ | 1,115 | $ | - | $ | (56 | ) | $ | 1,059 | $ | 1,020 | $ | 2 | $ | (41 | ) | $ | (39 | ) | |||||||||||||
Senior interest-only
|
3,734,452 | 199,288 | - | 199,288 | 188,679 | 11,308 | (21,917 | ) | (10,609 | ) | ||||||||||||||||||||||
Subordinated
|
1,378,891 | - | (724,739 | ) | 654,152 | 606,895 | 30,997 | (78,254 | ) | (47,257 | ) | |||||||||||||||||||||
Subordinated interest-only
|
277,560 | 21,910 | - | 21,910 | 22,019 | 1,663 | (1,554 | ) | 109 | |||||||||||||||||||||||
RMBS transferred to consolidated variable interest entities ("VIEs")
|
5,265,128 | 19,869 | (2,382,995 | ) | 2,902,002 | 3,270,332 | 420,505 | (52,175 | ) | 368,330 | ||||||||||||||||||||||
Agency RMBS
|
3,018,347 | 90,403 | (159 | ) | 3,027,285 | 3,144,531 | 117,601 | (355 | ) | 117,246 | ||||||||||||||||||||||
Total
|
$ | 13,675,493 | $ | 331,470 | $ | (3,107,949 | ) | $ | 6,805,696 | $ | 7,233,476 | $ | 582,076 | $ | (154,296 | ) | $ | 427,780 |
For the Quarter Ended
|
|||||||||
March 31, 2012
|
March 31, 2011
|
||||||||
(dollars in thousands)
|
|||||||||
Balance at beginning of period
|
$ | 2,342,462 | $ | 2,521,723 | |||||
Purchases
|
86,847 | 63,233 | |||||||
Accretion
|
(95,108 | ) | (96,425 | ) | |||||
Reclassification (to) from non-accretable difference
|
(11,662 | ) | (42,430 | ) | |||||
Sales
|
(21,663 | ) | (47,380 | ) | |||||
Balance at end of period
|
$ | 2,300,876 | $ | 2,398,721 |
For the Quarter Ended
|
||||||||
March 31, 2012
|
December 31, 2011
|
|||||||
(dollars in thousands)
|
||||||||
Outstanding principal balance:
|
||||||||
Beginning of period
|
5,563,895 | 5,589,919 | ||||||
End of period
|
5,376,864 | 5,563,895 | ||||||
Carrying value:
|
||||||||
Beginning of period
|
$ | 2,880,478 | $ | 3,009,179 | ||||
End of period
|
$ | 2,772,969 | $ | 2,880,478 |
March 31, 2012 | |||||||||||||||||||||||||||||||||||||
(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
|
$ | - | $ | - | - | $ | 114 | $ | (34 | ) | 1 | $ | 114 | $ | (34 | ) | 1 | ||||||||||||||||||||
Senior interest-only
|
68,425 | (9,158 | ) | 10 | 15,751 | (4,951 | ) | 10 | 84,176 | (14,109 | ) | 20 | |||||||||||||||||||||||||
Subordinated
|
51,386 | (5,591 | ) | 7 | 245,467 | (56,439 | ) | 26 | 296,853 | (62,030 | ) | 33 | |||||||||||||||||||||||||
RMBS transferred to consolidated VIEs
|
- | - | - | 412,595 | (14,367 | ) | 10 | 412,595 | (14,367 | ) | 10 | ||||||||||||||||||||||||||
Agency RMBS
|
4,094 | (150 | ) | 2 | 1,464 | (140 | ) | 1 | 5,558 | (290 | ) | 3 | |||||||||||||||||||||||||
Total
|
$ | 123,905 | $ | (14,899 | ) | 19 | $ | 675,391 | $ | (75,931 | ) | 48 | $ | 799,296 | $ | (90,830 | ) | 67 | |||||||||||||||||||
December 31, 2011
|
|||||||||||||||||||||||||||||||||||||
(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
|
$ | - | $ | - | - | $ | 127 | $ | (41 | ) | 1 | $ | 127 | $ | (41 | ) | 1 | ||||||||||||||||||||
Senior interest-only
|
99,351 | (18,756 | ) | 26 | 17,647 | (3,161 | ) | 12 | 116,998 | (21,917 | ) | 38 | |||||||||||||||||||||||||
Subordinated
|
321,416 | (52,824 | ) | 33 | 111,167 | (25,430 | ) | 17 | 432,583 | (78,254 | ) | 50 | |||||||||||||||||||||||||
Subordinated interest-only
|
16,300 | (1,554 | ) | 2 | - | - | - | 16,300 | (1,554 | ) | 2 | ||||||||||||||||||||||||||
RMBS transferred to consolidated VIEs
|
- | - | - | 594,369 | (52,175 | ) | 18 | 594,369 | (52,175 | ) | 18 | ||||||||||||||||||||||||||
Agency RMBS
|
3,888 | (355 | ) | 2 | - | - | - | 3,888 | (355 | ) | 2 | ||||||||||||||||||||||||||
Total
|
$ | 440,955 | $ | (73,489 | ) | 63 | $ | 723,310 | $ | (80,807 | ) | 48 | $ | 1,164,265 | $ | (154,296 | ) | 111 |
For the Quarter Ended
|
||||||||
March 31, 2012
|
March 31, 2011
|
|||||||
Other-than-temporary impairments
|
(dollars in thousands)
|
|||||||
Total other-than-temporary impairment losses
|
$ | (56,961 | ) | $ | (70,217 | ) | ||
Non-credit portion of loss recognized in other comprehensive income (loss)
|
8,597 | 37,034 | ||||||
Net other-than-temporary credit impairment losses
|
$ | (48,364 | ) | $ | (33,183 | ) |
For the Quarter Ended | ||||||||
March 31, 2012
|
March 31, 2011
|
|||||||
(dollars in thousands)
|
||||||||
Cumulative credit loss beginning balance
|
$ | 81,837 | $ | 85,740 | ||||
Additions:
|
||||||||
Other-than-temporary impairments not previously recognized
|
34,112 | 17,105 | ||||||
Reductions for securities sold during the period
|
(290 | ) | (1,177 | ) | ||||
Increases related to other-than-temporary impairments on securities with
previously recognized other-than-temporary impairments
|
14,252 | 16,078 | ||||||
Reductions for increases in cash flows expected to be collected that are
recognized over the remaing life of the security
|
(31,030 | ) | (19,500 | ) | ||||
Cumulative credit loss ending balance
|
$ | 98,881 | $ | 98,246 |
For the Quarter Ended
|
|||
March 31, 2012
|
March 31, 2011
|
||
Loss Severity
|
|||
Weighted Average
|
54%
|
61%
|
|
Range
|
33% - 74%
|
38% - 97%
|
|
60+ days delinquent
|
|||
Weighted Average
|
28%
|
33%
|
|
Range
|
0% - 45%
|
0% - 52%
|
|
Credit Enhancement (1)
|
|||
Weighted Average
|
14%
|
7%
|
|
Range
|
0% - 72%
|
1% - 88%
|
|
3 Month CPR
|
|||
Weighted Average
|
14%
|
16%
|
|
Range
|
0% - 25%
|
4% - 36%
|
|
12 Month CPR
|
|||
Weighted Average
|
16%
|
16%
|
|
Range
|
9% - 35%
|
4% - 27%
|
|
(1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures.
|
March 31, 2012
|
|||||||||||||||||||||||||
(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
|
$ | 3 | $ | - | $ | 3 | $ | (34 | ) | $ | - | $ | (34 | ) | |||||||||||
Senior interest-only
|
- | 19,398 | 19,398 | - | (14,109 | ) | (14,109 | ) | |||||||||||||||||
Subordinated
|
43,211 | - | 43,211 | (62,030 | ) | - | (62,030 | ) | |||||||||||||||||
Subordinated interest-only
|
- | 2,057 | 2,057 | - | - | - | |||||||||||||||||||
RMBS transferred to consolidated VIEs
|
512,889 | 5,218 | 518,107 | (14,367 | ) | - | (14,367 | ) | |||||||||||||||||
Agency RMBS
|
109,269 | - | 109,269 | - | (290 | ) | (290 | ) | |||||||||||||||||
Total
|
$ | 665,372 | $ | 26,673 | $ | 692,045 | $ | (76,431 | ) | $ | (14,399 | ) | $ | (90,830 | ) | ||||||||||
December 31, 2011
|
|||||||||||||||||||||||||
(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
|
$ | 2 | $ | - | $ | 2 | $ | (41 | ) | $ | - | $ | (41 | ) | |||||||||||
Senior interest-only
|
- | 11,308 | 11,308 | - | (21,917 | ) | (21,917 | ) | |||||||||||||||||
Subordinated
|
30,997 | - | 30,997 | (78,254 | ) | - | (78,254 | ) | |||||||||||||||||
Subordinated interest-only
|
- | 1,663 | 1,663 | - | (1,554 | ) | (1,554 | ) | |||||||||||||||||
RMBS transferred to consolidated VIEs
|
415,688 | 4,817 | 420,505 | (52,175 | ) | - | (52,175 | ) | |||||||||||||||||
Agency RMBS
|
117,236 | 365 | 117,601 | - | (355 | ) | (355 | ) | |||||||||||||||||
Total
|
$ | 563,923 | $ | 18,153 | $ | 582,076 | $ | (130,470 | ) | $ | (23,826 | ) | $ | (154,296 | ) |
March 31, 2012
|
||||||||||||||||||||
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
|
$ | 912 | $ | 93.58 | $ | 90.21 | 0.97 | % | 3.17 | % | ||||||||||
Senior, interest only
|
$ | 3,990,375 | $ | 4.90 | $ | 5.04 | 1.92 | % | 12.51 | % | ||||||||||
Subordinated
|
$ | 1,362,600 | $ | 48.03 | $ | 46.65 | 3.28 | % | 10.21 | % | ||||||||||
Subordinated, interest only
|
$ | 277,150 | $ | 7.34 | $ | 8.08 | 2.81 | % | 5.13 | % | ||||||||||
RMBS transferred to consolidated variable interest entities
|
$ | 5,187,368 | $ | 54.38 | $ | 64.29 | 5.24 | % | 14.87 | % | ||||||||||
Agency Mortgage-Backed Securities
|
$ | 2,832,413 | $ | 103.08 | $ | 107.03 | 4.66 | % | 3.96 | % | ||||||||||
(1) Bond Equivalent Yield at period end.
|
||||||||||||||||||||
December 31, 2011
|
||||||||||||||||||||
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
|
$ | 1,115 | $ | 95.13 | $ | 91.55 | 1.02 | % | 2.95 | % | ||||||||||
Senior, interest only
|
$ | 3,734,452 | $ | 5.34 | $ | 5.05 | 1.96 | % | 13.28 | % | ||||||||||
Subordinated
|
$ | 1,378,891 | $ | 47.44 | $ | 44.01 | 3.44 | % | 9.57 | % | ||||||||||
Subordinated, interest only
|
$ | 277,560 | $ | 7.89 | $ | 7.93 | 2.94 | % | 9.93 | % | ||||||||||
RMBS transferred to consolidated variable interest entities
|
$ | 5,265,128 | $ | 55.14 | $ | 62.11 | 5.32 | % | 14.56 | % | ||||||||||
Agency Mortgage-Backed Securities
|
$ | 3,018,347 | $ | 103.07 | $ | 107.06 | 4.66 | % | 3.83 | % | ||||||||||
(1) Bond Equivalent Yield at period end.
|
March 31, 2012
|
December 31, 2011
|
||
AAA
|
0.00%
|
0.53%
|
|
AA
|
0.62%
|
0.14%
|
|
A
|
0.19%
|
0.45%
|
|
BBB
|
1.50%
|
1.54%
|
|
BB
|
0.00%
|
0.00%
|
|
B
|
2.17%
|
0.43%
|
|
Below B or not rated
|
95.52%
|
96.91%
|
|
Total
|
100.00%
|
100.00%
|
March 31, 2012
|
||||||||||||||||||||
(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
|
$ | 708 | $ | - | $ | 114 | $ | - | $ | 822 | ||||||||||
Senior interest-only
|
- | 88,397 | 101,509 | 11,035 | 200,941 | |||||||||||||||
Subordinated
|
5,382 | 83,003 | 244,949 | 302,293 | 635,627 | |||||||||||||||
Subordinated interest-only
|
- | - | 1,840 | 20,565 | 22,405 | |||||||||||||||
RMBS transferred to consolidated VIEs
|
22,454 | 426,244 | 2,026,999 | 792,082 | 3,267,779 | |||||||||||||||
Agency RMBS
|
- | 2,648,549 | 301,254 | - | 2,949,803 | |||||||||||||||
Total fair value
|
$ | 28,544 | $ | 3,246,193 | $ | 2,676,665 | $ | 1,125,975 | $ | 7,077,377 | ||||||||||
Amortized cost
|
||||||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||||||
Senior
|
$ | 706 | $ | - | $ | 147 | $ | - | $ | 853 | ||||||||||
Senior interest-only
|
- | 98,707 | 88,659 | 8,286 | 195,652 | |||||||||||||||
Subordinated
|
4,533 | 74,349 | 269,699 | 305,865 | 654,446 | |||||||||||||||
Subordinated interest-only
|
- | - | 1,775 | 18,573 | 20,348 | |||||||||||||||
RMBS transferred to consolidated VIEs
|
20,514 | 355,814 | 1,697,511 | 690,200 | 2,764,039 | |||||||||||||||
Agency RMBS
|
- | 2,544,188 | 296,636 | - | 2,840,824 | |||||||||||||||
Total amortized cost
|
$ | 25,753 | $ | 3,073,058 | $ | 2,354,427 | $ | 1,022,924 | $ | 6,476,162 | ||||||||||
December 31, 2011
|
||||||||||||||||||||
(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
|
$ | 892 | $ | - | $ | 128 | $ | - | $ | 1,020 | ||||||||||
Senior interest-only
|
- | 85,633 | 69,204 | 33,842 | 188,679 | |||||||||||||||
Subordinated
|
6,530 | 101,984 | 259,549 | 238,832 | 606,895 | |||||||||||||||
Subordinated interest-only
|
- | - | 1,812 | 20,207 | 22,019 | |||||||||||||||
RMBS transferred to consolidated VIEs
|
25,375 | 338,616 | 2,119,030 | 787,311 | 3,270,332 | |||||||||||||||
Agency RMBS
|
17,932 | 1,735,106 | 824,645 | 566,848 | 3,144,531 | |||||||||||||||
Total fair value
|
$ | 50,729 | $ | 2,261,339 | $ | 3,274,368 | $ | 1,647,040 | $ | 7,233,476 | ||||||||||
Amortized cost
|
||||||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||||||
Senior
|
$ | 891 | $ | - | $ | 168 | $ | - | $ | 1,059 | ||||||||||
Senior interest-only
|
- | 95,974 | 69,953 | 33,361 | 199,288 | |||||||||||||||
Subordinated
|
5,616 | 98,657 | 300,489 | 249,390 | 654,152 | |||||||||||||||
Subordinated interest-only
|
- | - | 1,946 | 19,964 | 21,910 | |||||||||||||||
RMBS transferred to consolidated VIEs
|
32,806 | 296,144 | 1,827,000 | 746,052 | 2,902,002 | |||||||||||||||
Agency RMBS
|
17,610 | 1,663,917 | 798,632 | 547,126 | 3,027,285 | |||||||||||||||
Total amortized cost
|
$ | 56,923 | $ | 2,154,692 | $ | 2,998,188 | $ | 1,595,893 | $ | 6,805,696 |
March 31, 2012
|
December 31, 2011
|
||||
Weighted average maturity (years)
|
25.5
|
25.7
|
|||
Weighted average amortized loan to value (1)
|
71.6%
|
71.5%
|
|||
Weighted average FICO (2)
|
718.2
|
718.4
|
|||
Weighted average loan balance (in thousands)
|
$483.1
|
$469.0
|
|||
Weighted average percentage owner occupied
|
84.6%
|
85.3%
|
|||
Weighted average percentage single family residence
|
65.1%
|
65.6%
|
|||
Weighted average current credit enhancement
|
4.2%
|
4.5%
|
|||
Weighted average geographic concentration of top five states
|
CA
|
36.9%
|
CA
|
38.1%
|
|
FL
|
8.3%
|
FL
|
8.5%
|
||
NY
|
6.0%
|
NY
|
6.1%
|
||
NJ
|
2.7%
|
NJ
|
2.7%
|
||
VA
|
2.6%
|
VA
|
2.4%
|
||
(1) Value represents appraised value of the collateral at the time of loan origination.
|
|||||
(2) FICO as determined at the time of loan origination.
|
Origination Year
|
March 31, 2012
|
December 31, 2011
|
2001
|
0.2%
|
0.2%
|
2003
|
0.9%
|
0.9%
|
2004
|
1.3%
|
1.3%
|
2005
|
13.0%
|
13.8%
|
2006
|
32.8%
|
31.8%
|
2007
|
48.7%
|
48.7%
|
2008
|
3.1%
|
3.3%
|
Total
|
100.0%
|
100.0%
|
For the Quarter Ended | ||||||||
March 31, 2012
|
December 31, 2011
|
|||||||
(dollars in thousands)
|
||||||||
Balance, beginning of period
|
$ | 256,632 | $ | 281,589 | ||||
Purchases
|
753,692 | - | ||||||
Principal paydowns
|
(21,061 | ) | (20,179 | ) | ||||
Net periodic amortization (accretion)
|
(5,509 | ) | (929 | ) | ||||
Change to loan loss provision
|
(167 | ) | (3,849 | ) | ||||
Balance, end of period
|
$ | 983,587 | $ | 256,632 |
March 31, 2012
|
December 31, 2011
|
|||||||
Securitized loans, at amortized cost
|
$ | 997,395 | $ | 270,570 | ||||
Less: allowance for loan losses
|
13,808 | 13,938 | ||||||
Securitized loans held for investment
|
$ | 983,587 | $ | 256,632 |
March 31, 2012
|
December 31, 2011
|
||||
Number of loans
|
1211
|
392
|
|||
Weighted average maturity (years)
|
28.2
|
25.8
|
|||
Weighted average loan to value (1)
|
71.3%
|
75.5%
|
|||
Weighted average FICO (2)
|
766
|
752
|
|||
Weighted average loan balance (in thousands)
|
$816.4
|
$684.0
|
|||
Weighted average percentage owner occupied
|
93.7%
|
91.1%
|
|||
Weighted average percentage single family residence
|
64.2%
|
58.1%
|
|||
Weighted average geographic concentration of top five states
|
CA
|
37.1%
|
CA
|
36.0%
|
|
NY
|
7.8%
|
FL
|
6.1%
|
||
WA
|
6.7%
|
AZ
|
5.8%
|
||
VA
|
4.8%
|
NJ
|
5.4%
|
||
TX
|
4.7%
|
IL
|
5.3%
|
||
(1) Value represents appraised value of the collateral at the time of loan origination.
|
|||||
(2) FICO as determined at the time of loan origination.
|
For the Quarter Ended | ||||||||
March 31, 2012
|
December 31, 2011
|
|||||||
(dollars in thousands)
|
||||||||
Balance, beginning of period
|
$ | 13,938 | $ | 11,428 | ||||
Provision for loan losses
|
167 | 3,849 | ||||||
Charge-offs
|
(297 | ) | (1,339 | ) | ||||
Balance, end of period
|
$ | 13,808 | $ | 13,938 |
30 Days
Delinquent
|
60 Days
Delinquent
|
90+ Days
Delinquent
|
Bankruptcy
|
Foreclosure
|
REO
|
Total
|
||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||
March 31, 2012
|
$ | 2,318 | $ | 0 | $ | 2,316 | $ | 2,259 | $ | 3,432 | $ | 5,366 | $ | 15,691 | ||||||||||||||
December 31, 2011
|
$ | 1,342 | $ | 1,828 | $ | 2,338 | $ | 1,659 | $ | 3,626 | $ | 5,201 | $ | 15,994 |
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)
|
|||||||||||||||||||||||
March 31, 2012
|
2 | $ | 1,304 | $ | 1,372 | $ | 1,385 | $ | 1,385 | $ | 0 | ||||||||||||
March 31, 2011
|
4 | $ | 2,476 | $ | 2,659 | $ | 2,689 | $ | 2,689 | $ | 0 |
March 31, 2012
|
||||||||||||
Level 1
|
Level 2
|
Level 3
|
||||||||||
(dollars in thousands)
|
||||||||||||
Assets:
|
||||||||||||
Non-Agency RMBS
|
||||||||||||
Senior
|
$ | - | $ | - | $ | 822 | ||||||
Senior interest-only
|
- | - | 200,941 | |||||||||
Subordinated
|
- | - | 635,627 | |||||||||
Subordinated interest-only
|
- | - | 22,405 | |||||||||
RMBS transferred to consolidated VIEs
|
- | - | 3,267,779 | |||||||||
Agency mortgage-backed securities
|
- | 2,949,803 | - | |||||||||
Liabilities:
|
||||||||||||
Interest rate swaps
|
- | 43,655 | - | |||||||||
December 31, 2011
|
||||||||||||
Level 1
|
Level 2
|
Level 3
|
||||||||||
(dollars in thousands)
|
||||||||||||
Assets:
|
||||||||||||
Non-Agency RMBS
|
||||||||||||
Senior
|
$ | - | $ | - | $ | 1,020 | ||||||
Senior interest-only
|
- | - | 188,679 | |||||||||
Subordinated
|
- | - | 606,895 | |||||||||
Subordinated interest-only
|
- | - | 22,019 | |||||||||
RMBS transferred to consolidated VIEs
|
- | - | 3,270,332 | |||||||||
Agency mortgage-backed securities
|
- | 3,144,531 | - | |||||||||
Liabilities:
|
||||||||||||
Interest rate swaps
|
- | 44,467 | - |
Fair Value Reconciliation, Level 3
|
||||||||
(dollars in thousands)
|
||||||||
For the Quarter Ended
|
For the Year Ended
|
|||||||
March 31, 2012
|
December 31, 2011
|
|||||||
Non-Agency RMBS | ||||||||
Beginning balance Level 3 assets
|
$ | 4,088,945 | $ | 5,529,109 | ||||
Transfers in to Level 3 assets
|
- | - | ||||||
Transfers out of Level 3 assets
|
- | - | ||||||
Purchases
|
91,429 | 446,207 | ||||||
Principal payments
|
(135,164 | ) | (695,277 | ) | ||||
Sales
|
(79,059 | ) | (631,642 | ) | ||||
Accretion of purchase discounts
|
21,138 | 81,224 | ||||||
Gains (losses) included in net income
|
||||||||
Other than temporary credit impairment losses
|
(48,364 | ) | (357,105 | ) | ||||
Realized gains (losses) on sales
|
16,010 | 445 | ||||||
Net unrealized gains (losses) on interest-only RMBS
|
18,246 | (14,717 | ) | |||||
Gains (losses) included in other comprehensive income
|
||||||||
Total unrealized gains (losses) for the period
|
154,393 | (269,299 | ) | |||||
Ending balance Level 3 assets
|
$ | 4,127,574 | $ | 4,088,945 |
Significant Inputs
|
||||||||||||||||
Weighted
Average Discount Rate
|
Prepayment Speed (CPR)
|
Cumulative
Default Rate
|
Loss
Severity
|
|||||||||||||
Range | ||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||
Senior
|
3.7 | % | 1% - 10 | % | 0% - 20 | % | 50% - 75 | % | ||||||||
Senior interest-only
|
13.1 | % | 1% - 20 | % | 0% - 25 | % | 50% - 85 | % | ||||||||
Subordinated
|
22.7 | % | 1% - 20 | % | 0% - 22 | % | 50% - 85 | % | ||||||||
Subordinated interest-only
|
11.8 | % | 3% - 10 | % | 0% - 22 | % | 50% - 77 | % | ||||||||
RMBS transferred to consolidated VIEs
|
8.3 | % | 1% - 13 | % | 0% - 35 | % | 50% - 85 | % |
March 31, 2012
|
December 31, 2011
|
||||||||||||||||||
Level in Fair
Value
Hierarchy
|
Carrying
Amount
|
Fair Value
|
Carrying Amount
|
Fair Value
|
|||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Non-Agency RMBS
|
3 | $ | 4,127,574 | $ | 4,127,574 | $ | 4,088,945 | $ | 4,088,945 | ||||||||||
Agency RMBS
|
2 | 2,949,803 | 2,949,803 | 3,144,531 | 3,144,531 | ||||||||||||||
Securitized loans held for investment
|
3 | 983,587 | 993,782 | 256,632 | 237,977 | ||||||||||||||
Repurchase agreements
|
2 | (2,502,870 | ) | (2,506,838 | ) | (2,672,989 | ) | (2,677,402 | ) | ||||||||||
Securitized debt, non-Agency RMBS transferred to consolidated VIEs
|
3 | (1,507,268 | ) | (1,449,553 | ) | (1,630,276 | ) | (1,546,237 | ) | ||||||||||
Securitized debt, loans held for investment
|
3 | (890,374 | ) | (892,659 | ) | (212,778 | ) | (222,921 | ) | ||||||||||
Interest rate swaps
|
2 | (43,655 | ) | (43,655 | ) | (44,467 | ) | (44,467 | ) |
March 31, 2012
|
December 31, 2011
|
|||||||
(dollars in thousands) | ||||||||
Overnight
|
$ | - | $ | - | ||||
1-29 days
|
1,350,377 | 1,368,945 | ||||||
30 to 59 days
|
377,686 | 836,007 | ||||||
60 to 89 days
|
296,201 | - | ||||||
90 to 119 days
|
92,110 | 171,836 | ||||||
Greater than or equal to 120 days
|
386,496 | 296,201 | ||||||
Total
|
$ | 2,502,870 | $ | 2,672,989 |
March 31, 2012
|
December 31, 2011 | |||||||
(dollars in thousands) | ||||||||
Within One Year
|
$ | 563,445 | $ | 488,886 | ||||
One to Three Years
|
712,367 | 598,921 | ||||||
Three to Five Years
|
398,825 | 276,965 | ||||||
Greater Than or Equal to Five Years
|
660,853 | 404,386 | ||||||
Total
|
$ | 2,335,490 | $ | 1,769,158 |
March 31, 2012
|
December 31, 2011
|
|||||||
(dollars in thousands) | ||||||||
Assets
|
||||||||
Non-Agency RMBS transferred to consolidated VIEs
|
$ | 3,267,779 | $ | 3,270,332 | ||||
Securitized loans
|
983,587 | 256,632 | ||||||
Accrued interest receivable
|
24,585 | 26,616 | ||||||
Liabilities
|
||||||||
Securitized debt, non-Agency RMBS transferred to consolidated VIEs
|
$ | 1,507,268 | $ | 1,630,276 | ||||
Securitized debt, loans held for investment
|
890,374 | 212,778 | ||||||
Accrued interest payable
|
9,394 | 8,130 |
For the Quarter Ended
|
||||||||
March 31, 2012
|
March 31, 2011
|
|||||||
(dollars in thousands) | ||||||||
Interest income, Non-Agency RMBS and securitized loans transferred to consolidated VIEs
|
$ | 98,349 | $ | 113,957 | ||||
Interest expense, Non-Agency RMBS and securitized loans transferred to consolidated VIEs
|
(34,049 | ) | (32,525 | ) | ||||
Net interest income
|
$ | 64,300 | $ | 81,432 | ||||
Total other-than-temporary impairment losses
|
(26,046 | ) | (60,192 | ) | ||||
Non-credit portion of loss recognized in (reclassed from) other comprehensive income (loss)
|
(2,391 | ) | 32,603 | |||||
Net other-than-temporary credit impairment losses
|
$ | (28,437 | ) | $ | (27,589 | ) |
For the Quarter Ended | ||||||||
March 31, 2012
|
March 31, 2011
|
|||||||
(dollars in thousands) | ||||||||
Amortization of deferred financing costs
|
3,221 | 456 | ||||||
Amortization of debt issue costs of securitized debt
|
8,103 | 3,352 | ||||||
Payment of deferred financing costs
|
(4,369 | ) | - | |||||
Principal payments
|
132,630 | 194,385 | ||||||
Proceeds from securitized debt borrowings, loans held for investment
|
696,113 | - | ||||||
Payments on securitized debt borrowings, loans held for investment
|
(19,730 | ) | (23,861 | ) | ||||
Proceeds from securitized debt borrowings, RMBS transferred to consolidated VIEs
|
- | 311,012 | ||||||
Payments on securitized debt borrowings, RMBS transferred to consolidated VIEs
|
(129,889 | ) | (178,084 | ) | ||||
Decrease (increase) in accrued interest receivable
|
(2,031 | ) | 173 | |||||
Increase (decrease) in accrued interest payable
|
1,264 | 474 | ||||||
Net cash provided by/(used in) consolidated VIEs
|
$ | 685,312 | $ | 307,907 |
March 31, 2012
|
December 31, 2011
|
|||||||||||||||
Amortized Cost
|
Fair Value
|
Amortized Cost
|
Fair Value
|
|||||||||||||
(dollars in thousands)
|
||||||||||||||||
Assets
|
||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||
Senior
|
$ | 147 | $ | 114 | $ | 168 | $ | 127 | ||||||||
Senior interest-only
|
- | 319 | 128 | 266 | ||||||||||||
Subordinated
|
3,677 | 3,748 | 4,651 | 4,858 | ||||||||||||
Agency RMBS
|
1,864 | 1,738 | 1,890 | 2,273 | ||||||||||||
Total
|
$ | 5,688 | $ | 5,919 | $ | 6,837 | $ | 7,524 |
Location on Consolidated
Statement of Financial
Condition
|
Notional Amount
|
Net Estimated Fair Value/Carrying Value
|
Value of Agency
RMBS Pledged as
Collateral
|
||||||||||
(dollars in thousands)
|
|||||||||||||
March 31, 2012
|
Liabilities
|
$ | 1,355,000 | $ | (43,655 | ) | $ | 48,646 | |||||
December 31, 2011
|
Liabilities
|
$ | 950,000 | $ | (44,467 | ) | $ | 46,647 |
Location on Consolidated Statements of Operations and
Comprehensive Income
|
||||||||
Net Unrealized Gains (Losses)
on Interest Rate Swaps
|
Net Realized Gains (Losses) on
Interest Rate Swaps
|
|||||||
(dollars in thousands)
|
||||||||
For the Quarter Ended:
|
||||||||
March 31, 2012
|
$ | 812 | $ | (4,398 | ) | |||
March 31, 2011
|
$ | 9,831 | $ | (2,847 | ) |
March 31, 2012
|
|||||||||||||||||
Interest Rate Swaps - Asset
|
Interest Rate Swaps - Liability
|
||||||||||||||||
Notional
|
Unrealized Gains
|
Notional
|
Unrealized Losses
|
||||||||||||||
(dollars in thousands)
|
|||||||||||||||||
Gross Amounts
|
$ | 255,000 | $ | 844 | $ | 1,100,000 | $ | 44,499 | |||||||||
Amounts Offset
|
(255,000 | ) | (844 | ) | 255,000 | (844 | ) | ||||||||||
Netted Amounts
|
$ | - | $ | - | $ | 1,355,000 | $ | 43,655 | |||||||||
December 31, 2011
|
|||||||||||||||||
Interest Rate Swaps - Asset
|
Interest Rate Swaps - Liability
|
||||||||||||||||
Notional
|
Unrealized Gains
|
Notional
|
Unrealized Losses
|
||||||||||||||
(dollars in thousands)
|
|||||||||||||||||
Gross Amounts
|
$ | - | $ | - | $ | 950,000 | $ | 44,467 | |||||||||
Amounts Offset
|
- | - | - | - | |||||||||||||
Netted Amounts
|
$ | - | $ | - | $ | 950,000 | $ | 44,467 |
For the Quarter Ended | ||||||||
March 31, 2012
|
March 31, 2011
|
|||||||
(dollars in thousands) | ||||||||
Numerator:
|
||||||||
Net income
|
$ | 80,233 | $ | 100,638 | ||||
Effect of dilutive securities:
|
- | - | ||||||
Dilutive net income available to stockholders
|
$ | 80,233 | $ | 100,638 | ||||
Denominator:
|
||||||||
Weighted Average Basic Shares
|
1,026,762,092 | 1,026,209,153 | ||||||
Effect of dilutive securities
|
727,494 | 853,902 | ||||||
Weighted Average Dilutive Shares
|
1,027,489,586 | 1,027,063,055 | ||||||
Net income per average share attributable to common stockholders - Basic
|
$ | 0.08 | $ | 0.10 | ||||
Net income per average share attributable to common stockholders - Diluted
|
$ | 0.08 | $ | 0.10 |
For the Quarter Ended
|
||||||||||||||||
March 31, 2012
|
March 31, 2011
|
|||||||||||||||
Number of Shares
|
Weighted Average
Grant Date Fair
Value
|
Number of Shares
|
Weighted Average
Grant Date Fair Value
|
|||||||||||||
Unvested shares outstanding - beginning of period
|
758,400 | 17.72 | 884,800 | 17.72 | ||||||||||||
Granted
|
- | - | - | - | ||||||||||||
Vested
|
(31,421 | ) | 17.72 | (31,038 | ) | 17.72 | ||||||||||
Forfeited
|
(179 | ) | 17.72 | (562 | ) | 17.72 | ||||||||||
Unvested shares outstanding - end of period
|
726,800 | 17.72 | 853,200 | 17.72 |
|
●
|
our business and investment strategy;
|
|
●
|
our ability to maintain existing financing arrangements, obtain future financing arrangements and the terms of such arrangements, particularly in light of the Restatement and other matters discussed in this Form 10-Q;
|
|
●
|
our ability to timely file our periodic reports with the SEC
|
|
●
|
general volatility of the securities markets in which we invest;
|
|
●
|
the impact of and changes to various government programs;
|
|
●
|
our expected investments;
|
|
●
|
changes in the value of our investments;
|
|
●
|
interest rate mismatches between our investments and our borrowings used to fund such purchases;
|
|
●
|
changes in interest rates and mortgage prepayment rates;
|
|
●
|
effects of interest rate caps on our adjustable-rate investments;
|
|
●
|
rates of default or decreased recovery rates on our investments;
|
|
●
|
prepayments of the mortgage and other loans underlying our mortgage-backed or other asset-backed securities;
|
|
●
|
the degree to which our hedging strategies may or may not protect us from interest rate volatility;
|
|
●
|
impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters;
|
|
●
|
availability of investment opportunities in real estate-related and other securities;
|
|
●
|
availability of qualified personnel;
|
|
●
|
estimates relating to our ability to make distributions to our stockholders in the future;
|
|
●
|
our understanding of our competition;
|
|
●
|
market trends in our industry, interest rates, the debt securities markets or the general economy;
|
|
●
|
our ability to maintain our classification as a REIT for federal income tax purposes; and
|
|
●
|
our ability to maintain our exemption from registration under the Investment Company Act of 1940.
|
Asset Class
|
Principal Investments | |
RMBS
|
● |
Non-Agency RMBS, including investment-grade and non-investment grade classes, including the BB-rated, B-rated and non-rated classes.
|
● | Interest-only RMBS. | |
● | Agency 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. | |
● | FHA/VA insured loans, which are mortgage loans that comply to 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 and non-rated classes. |
March 31, 2012
|
||||||||||||
GAAP Book Value
|
Adjustments
|
Estimated
Economic Book
Value
|
||||||||||
(dollars in thousands, except per share data)
|
||||||||||||
Assets:
|
||||||||||||
Non-Agency Mortgage-Backed Securities, at fair value
|
||||||||||||
Senior
|
$ | 822 | $ | - | $ | 822 | ||||||
Senior interest-only
|
200,941 | - | 200,941 | |||||||||
Subordinated
|
635,627 | - | 635,627 | |||||||||
Subordinated interest-only
|
22,405 | - | 22,405 | |||||||||
RMBS transferred to consolidated VIEs
|
3,267,779 | (1,771,434 | ) | 1,496,345 | ||||||||
Agency Mortgage-Backed Securities, at fair value
|
2,949,803 | - | 2,949,803 | |||||||||
Securitized loans held for investment, net of allowance for loan losses
|
983,587 | (901,250 | ) | 82,337 | ||||||||
Other assets
|
193,598 | - | 193,598 | |||||||||
Total assets
|
$ | 8,254,562 | $ | (2,672,684 | ) | $ | 5,581,878 | |||||
Liabilities:
|
||||||||||||
Repurchase agreements, Agency RMBS
|
2,502,870 | - | 2,502,870 | |||||||||
Securitized debt, Non-Agency RMBS transferred to consolidated VIEs
|
1,507,268 | (1,507,268 | ) | - | ||||||||
Securitized debt, loans held for investment
|
890,374 | (890,374 | ) | - | ||||||||
Other liabilities
|
183,458 | - | 183,458 | |||||||||
Total liabilities
|
5,083,970 | (2,397,642 | ) | 2,686,328 | ||||||||
Total stockholders' equity
|
3,170,592 | (275,042 | ) | 2,895,550 | ||||||||
Total liabilities and stockholders' equity
|
$ | 8,254,562 | $ | (2,672,684 | ) | $ | 5,581,878 | |||||
Book Value Per Share
|
$ | 3.09 | $ | (0.27 | ) | $ | 2.82 | |||||
December 31, 2011
|
||||||||||||
GAAP Book Value
|
Adjustments
|
Estimated
Economic Book
Value
|
||||||||||
(dollars in thousands, except per share data)
|
||||||||||||
Assets:
|
||||||||||||
Non-Agency Mortgage-Backed Securities, at fair value
|
||||||||||||
Senior
|
$ | 1,020 | $ | - | $ | 1,020 | ||||||
Senior interest-only
|
188,679 | - | 188,679 | |||||||||
Subordinated
|
606,895 | - | 606,895 | |||||||||
Subordinated interest-only
|
22,019 | - | 22,019 | |||||||||
RMBS transferred to consolidated VIEs
|
3,270,332 | (1,789,514 | ) | 1,480,818 | ||||||||
Agency Mortgage-Backed Securities, at fair value
|
3,144,531 | - | 3,144,531 | |||||||||
Securitized loans held for investment, net of allowance for loan losses
|
256,632 | - | 256,632 | |||||||||
Other assets
|
257,027 | - | 257,027 | |||||||||
Total assets
|
$ | 7,747,135 | $ | (1,789,514 | ) | $ | 5,957,621 | |||||
Liabilities:
|
||||||||||||
Repurchase agreements, Agency RMBS
|
2,672,989 | - | 2,672,989 | |||||||||
Securitized debt, Non-Agency RMBS transferred to consolidated VIEs
|
1,630,276 | (1,630,276 | ) | - | ||||||||
Securitized debt, loans held for investment
|
212,778 | - | 212,778 | |||||||||
Other liabilities
|
183,473 | - | 183,473 | |||||||||
Total liabilities
|
4,699,516 | (1,630,276 | ) | 3,069,240 | ||||||||
Total stockholders' equity
|
3,047,619 | (159,238 | ) | 2,888,381 | ||||||||
Total liabilities and stockholders' equity
|
$ | 7,747,135 | $ | (1,789,514 | ) | $ | 5,957,621 | |||||
Book Value Per Share
|
$ | 2.97 | $ | (0.15 | ) | $ | 2.81 |
March 31, 2012
|
December 31, 2011
|
||||||||
Interest earning assets at period-end *
|
$ | 8,060,964 | $ | 7,490,108 | |||||
Interest bearing liabilities at period-end
|
$ | 4,900,512 | $ | 4,516,043 | |||||
Leverage at period-end
|
1.5:1
|
1.5:1
|
|||||||
Leverage at period-end (recourse)
|
0.8:1
|
0.9:1
|
|||||||
Portfolio Composition, at principal (notional) value
|
|||||||||
Non-Agency RMBS
|
73.9 | % | 75.4 | % | |||||
Senior
|
0.0 | % | 0.0 | % | |||||
Senior, interest only
|
27.3 | % | 26.1 | % | |||||
Subordinated
|
9.3 | % | 9.7 | % | |||||
Subordinated, interest only
|
1.9 | % | 1.9 | % | |||||
RMBS transferred to consolidated variable interest entities
|
35.4 | % | 37.7 | % | |||||
Agency RMBS
|
19.3 | % | 21.1 | % | |||||
Securitized loans
|
6.8 | % | 3.5 | % | |||||
Fixed-rate percentage of portfolio
|
76.0 | % | 74.9 | % | |||||
Adjustable-rate percentage of portfolio
|
24.0 | % | 25.1 | % | |||||
*
|
Excludes cash and cash equivalents.
|
March 31, 2012
|
|||||||||||||||||||||||||||||||||||||||||||
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
|
$ | 912 | $ | 93.58 | $ | 90.21 | 0.97 | % | 3.17 | % | 23.40 | % | 19.65 | % | 25.87 | % | 75.02 | % | 73.40 | % | $ | - | |||||||||||||||||||||
Senior, interest only
|
$ | 3,990,375 | $ | 4.90 | $ | 5.04 | 1.92 | % | 12.51 | % | 14.93 | % | 16.39 | % | 20.94 | % | 50.92 | % | 0.00 | % | $ | - | |||||||||||||||||||||
Subordinated
|
$ | 1,362,600 | $ | 48.03 | $ | 46.65 | 3.28 | % | 10.21 | % | 17.82 | % | 17.92 | % | 19.22 | % | 50.82 | % | 19.77 | % | $ | 7,558 | |||||||||||||||||||||
Subordinated, interest only
|
$ | 277,150 | $ | 7.34 | $ | 8.08 | 2.81 | % | 5.13 | % | 14.66 | % | 15.08 | % | 23.74 | % | 45.53 | % | 0.00 | % | $ | - | |||||||||||||||||||||
RMBS transferred to consolidated
variable interest entities
|
$ | 5,187,368 | $ | 54.38 | $ | 64.29 | 5.24 | % | 14.87 | % | 14.25 | % | 14.40 | % | 31.82 | % | 58.24 | % | 3.47 | % | $ | 49,814 | |||||||||||||||||||||
Agency Mortgage-Backed Securities
|
$ | 2,832,413 | $ | 103.08 | $ | 107.03 | 4.66 | % | 3.96 | % | 19.91 | % | 14.75 | % |
NA
|
NA
|
100.00 | % | $ | - | |||||||||||||||||||||||
Securitized loans
|
$ | 988,708 | $ | 100.92 | $ | 100.51 | 5.05 | % | 4.27 | % | 26.66 | % | 24.45 | % | 5.43 | % | 30.67 | % | 17.07 | % | $ | 293 | |||||||||||||||||||||
(1) Bond Equivalent Yield at period end.
|
|||||||||||||||||||||||||||||||||||||||||||
December 31, 2011
|
|||||||||||||||||||||||||||||||||||||||||||
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
|
$ | 1,115 | $ | 95.13 | $ | 91.55 | 1.02 | % | 2.95 | % | 20.23 | % | 14.55 | % | 30.99 | % | 68.49 | % | 75.11 | % | $ | - | |||||||||||||||||||||
Senior, interest only
|
$ | 3,734,452 | $ | 5.34 | $ | 5.05 | 1.96 | % | 13.28 | % | 15.80 | % | 17.02 | % | 19.77 | % | 49.98 | % | 0.00 | % | $ | - | |||||||||||||||||||||
Subordinated
|
$ | 1,378,891 | $ | 47.44 | $ | 44.01 | 3.44 | % | 9.57 | % | 16.48 | % | 17.56 | % | 19.48 | % | 50.07 | % | 19.03 | % | $ | 19,964 | |||||||||||||||||||||
Subordinated, interest only
|
$ | 277,560 | $ | 7.89 | $ | 7.93 | 2.94 | % | 9.93 | % | 13.31 | % | 15.07 | % | 24.30 | % | 45.80 | % | 0.00 | % | $ | - | |||||||||||||||||||||
RMBS transferred to consolidated
|
|||||||||||||||||||||||||||||||||||||||||||
variable interest entities
|
$ | 5,265,128 | $ | 55.14 | $ | 62.11 | 5.32 | % | 14.56 | % | 12.40 | % | 14.70 | % | 32.26 | % | 57.61 | % | 4.15 | % | $ | 161,263 | |||||||||||||||||||||
Agency Mortgage-Backed Securities
|
$ | 2,937,041 | $ | 103.07 | $ | 107.06 | 4.66 | % | 3.83 | % | 28.49 | % | 24.59 | % | NA | NA | 100.00 | % | $ | - | |||||||||||||||||||||||
Securitized loans
|
$ | 268,122 | $ | 100.92 | $ | 83.14 | 3.05 | % | 4.77 | % | 24.91 | % | 23.51 | % | 6.17 | % | 39.86 | % | 8.86 | % | $ | 1,323 | |||||||||||||||||||||
|
|||||||||||||||||||||||||||||||||||||||||||
(1) Bond Equivalent Yield at period end.
|
|||||||||||||||||||||||||||||||||||||||||||
(2) Calculated based on reported losses to date, utilizing widest data set available (i.e., life-time losses, 12-month loss, etc.).
|
For the Quarter Ended | ||||||||||||||||
March 31, 2012
|
March 31, 2011
|
|||||||||||||||
(dollars in thousands)
|
||||||||||||||||
Accretable Discount
|
Non-Accretable
Difference
|
Accretable Discount
|
Non-Accretable
Difference
|
|||||||||||||
Balance at beginning of period
|
$ | 1,176,019 | $ | 1,931,930 | $ | 1,098,061 | $ | 1,879,475 | ||||||||
Accretion of discount
|
(36,330 | ) | - | (28,358 | ) | - | ||||||||||
Principal Writedowns
|
- | (57,372 | ) | - | (41,387 | ) | ||||||||||
Purchases
|
29,562 | 16,063 | 8,967 | 64,365 | ||||||||||||
Sales
|
33,939 | (104,945 | ) | 7,191 | (104,342 | ) | ||||||||||
Net other-than-temporary credit impairment losses
|
- | 48,364 | - | 33,183 | ||||||||||||
Transfers from credit reserve
|
35,946 | (35,946 | ) | 33,268 | (33,268 | ) | ||||||||||
Transfers to credit reserve
|
(26,862 | ) | 26,862 | (60,737 | ) | 60,737 | ||||||||||
Balance at end of period
|
$ | 1,212,274 | $ | 1,824,956 | $ | 1,058,392 | $ | 1,858,763 |
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 | $ | 232,690 | $ | - | $ | 11,755 | 0.14% | ||||||||||||
Germany
|
1 | 312,109 | (14,783 | ) | 20,098 | 0.24% | ||||||||||||||
Netherlands
|
1 | 296,638 | - | 14,582 | 0.18% | |||||||||||||||
Switzerland
|
2 | 476,079 | (28,871 | ) | 26,641 | 0.32% | ||||||||||||||
United Kingdom
|
1 | 221,095 | - | 7,936 | 0.10% | |||||||||||||||
Total
|
6 | $ | 1,538,611 | $ | (43,654 | ) | $ | 81,012 | 0.98% | |||||||||||
(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.
|
GAAP Net
Interest
Income
|
Less:
Realized Net
Losses on
Interest Rate
Swaps
|
Economic
Net
Interest
Income (1)
|
GAAP
Interest
Expense
|
Add: Realized
Net Losses on
Interest Rate
Swaps
|
Economic
Interest
Expense
|
|||||||||||||||||||
For the Quarter Ended March 31, 2012
|
$ | 113,293 | $ | 4,398 | $ | 108,892 | $ | 36,375 | $ | 4,398 | $ | 40,773 | ||||||||||||
For the Year Ended December 31, 2011
|
$ | 570,166 | $ | 15,929 | $ | 554,223 | $ | 134,858 | $ | 15,929 | $ | 150,787 | ||||||||||||
For the Quarter Ended December 31, 2011
|
$ | 136,845 | $ | 4,285 | $ | 132,559 | $ | 30,696 | $ | 4,285 | $ | 34,981 | ||||||||||||
For the Quarter Ended September 30, 2011
|
$ | 152,789 | $ | 4,500 | $ | 148,289 | $ | 32,792 | $ | 4,500 | $ | 37,292 | ||||||||||||
For the Quarter Ended June 30, 2011
|
$ | 144,066 | $ | 4,297 | $ | 139,767 | $ | 35,793 | $ | 4,297 | $ | 40,090 | ||||||||||||
For the Quarter Ended March 31, 2011
|
$ | 136,466 | $ | 2,847 | $ | 133,608 | $ | 35,577 | $ | 2,847 | $ | 38,424 | ||||||||||||
(1) Excludes cash and cash equivalents.
|
Net Income (Loss)
|
||||||||
(dollars in thousands)
|
||||||||
March 31, 2012
|
March 31, 2011
|
|||||||
Net Interest Income:
|
||||||||
Interest income
|
$ | 51,319 | $ | 58,086 | ||||
Interest expense
|
(2,326 | ) | (3,052 | ) | ||||
Interest income, Non-Agency RMBS and securitized loans transferred to consolidated VIEs
|
98,349 | 113,957 | ||||||
Interest expense, Non-Agency RMBS and securitized loans transferred to consolidated VIEs
|
(34,049 | ) | (32,525 | ) | ||||
Net interest income (expense)
|
113,293 | 136,466 | ||||||
Other-than-temporary impairments:
|
||||||||
Total other-than-temporary impairment losses
|
(56,961 | ) | (70,217 | ) | ||||
Non-credit portion of loss recognized in other comprehensive income (loss)
|
8,597 | 37,034 | ||||||
Net other-than-temporary credit impairment losses
|
(48,364 | ) | (33,183 | ) | ||||
Other gains (losses):
|
||||||||
Unrealized gains (losses) on interest rate swaps
|
812 | 9,831 | ||||||
Realized gains (losses) on interest rate swaps
|
(4,398 | ) | (2,847 | ) | ||||
Gains (losses) on interest rate swaps
|
(3,586 | ) | 6,984 | |||||
Net unrealized gains (losses) on interest-only RMBS
|
17,947 | 4,106 | ||||||
Realized gains (losses) on sales of investments, net
|
16,010 | 2,642 | ||||||
Total other gains (losses)
|
30,371 | 13,732 | ||||||
Net investment income (loss)
|
95,300 | 117,015 | ||||||
Other expenses:
|
||||||||
Management fee to affiliate
|
12,909 | 12,750 | ||||||
Provision for loan losses
|
167 | 1,442 | ||||||
General and administrative expenses
|
1,989 | 1,487 | ||||||
Total other expenses
|
15,065 | 15,679 | ||||||
Income (loss) before income taxes
|
80,235 | 101,336 | ||||||
Income taxes
|
2 | 698 | ||||||
Net income (loss)
|
$ | 80,233 | $ | 100,638 |
Average Cost of Funds
|
||||||||||||||||||||||||||||||||
Average Borrowed Funds
|
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 quarter ended
March 31, 2012
|
$ | 4,358,333 | $ | 40,773 | 3.74 | % | 0.26 | % | 0.76 | % | (0.50 | %) | 3.48 | % | 2.98 | % | ||||||||||||||||
For the year ended
December 31, 2011
|
$ | 5,989,117 | $ | 150,787 | 2.52 | % | 0.23 | % | 0.51 | % | (0.28 | %) | 2.29 | % | 2.01 | % | ||||||||||||||||
For the quarter ended
December 31, 2011
|
$ | 5,317,006 | $ | 34,981 | 2.63 | % | 0.26 | % | 0.68 | % | (0.42 | %) | 2.37 | % | 1.95 | % | ||||||||||||||||
For the quarter ended
September 30, 2011
|
$ | 6,390,222 | $ | 37,292 | 2.33 | % | 0.21 | % | 0.47 | % | (0.26 | %) | 2.12 | % | 1.86 | % | ||||||||||||||||
For the quarter ended
June 30, 2011
|
$ | 6,560,926 | $ | 40,090 | 2.44 | % | 0.20 | % | 0.42 | % | (0.22 | %) | 2.24 | % | 2.02 | % | ||||||||||||||||
For the quarter ended
March 31, 2011
|
$ | 5,688,313 | $ | 38,424 | 2.70 | % | 0.26 | % | 0.46 | % | (0.20 | %) | 2.44 | % | 2.24 | % | ||||||||||||||||
(1) Includes effect of realized losses on interest rate swaps.
|
Economic Net Interest Income
|
||||||||||||||||||||||||||||||||
Average
Earning Assets
Held (1)
|
Interest
Earned on
Assets (1)
|
Yield on
Average
Interest
Earning
Assets
|
Average Debt
Balance
|
Economic
Interest
Expense (2)
|
Economic
Average Cost of
Funds
|
Economic Net
Interest
Income (1) (2)
|
Net Interest
Rate Spread
|
|||||||||||||||||||||||||
(Ratios have been annualized, dollars in thousands)
|
||||||||||||||||||||||||||||||||
For the quarter ended March 31, 2012
|
$ | 9,664,096 | $ | 149,665 | 6.19 | % | $ | 4,358,333 | $ | 40,773 | 2.93 | % | $ | 108,892 | 3.26 | % | ||||||||||||||||
For the year ended December 31, 2011
|
$ | 11,438,442 | $ | 705,010 | 6.16 | % | $ | 5,989,117 | $ | 150,787 | 2.52 | % | $ | 554,223 | 3.64 | % | ||||||||||||||||
For the quarter ended December 31, 2011
|
$ | 10,636,688 | $ | 167,540 | 6.30 | % | $ | 5,317,006 | $ | 34,981 | 2.63 | % | $ | 132,559 | 3.67 | % | ||||||||||||||||
For the quarter ended September 30, 2011
|
$ | 11,803,044 | $ | 185,581 | 6.29 | % | $ | 6,390,222 | $ | 37,292 | 2.33 | % | $ | 148,289 | 3.96 | % | ||||||||||||||||
For the quarter ended June 30, 2011
|
$ | 12,078,396 | $ | 179,857 | 5.96 | % | $ | 6,560,926 | $ | 40,090 | 2.44 | % | $ | 139,767 | 3.52 | % | ||||||||||||||||
For the quarter ended March 31, 2011
|
$ | 11,235,639 | $ | 172,032 | 6.12 | % | $ | 5,688,313 | $ | 38,424 | 2.70 | % | $ | 133,608 | 3.42 | % | ||||||||||||||||
(1) Excludes cash and cash equivalents.
|
||||||||||||||||||||||||||||||||
(2) Includes effect of realized losses on interest rate swaps.
|
Management Fees, G&A Expenses and Operating Expense Ratios
|
||||||||||||
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 quarter ended March 31, 2012
|
$ | 14,898 | 0.74 | % | 1.92 | % | ||||||
For the year ended December 31, 2011
|
$ | 59,236 | 0.75 | % | 1.76 | % | ||||||
For the quarter ended December 31, 2011
|
$ | 14,945 | 0.68 | % | 1.87 | % | ||||||
For the quarter ended September 30, 2011
|
$ | 15,082 | 0.61 | % | 1.78 | % | ||||||
For the quarter ended June 30, 2011
|
$ | 14,972 | 0.59 | % | 1.72 | % | ||||||
For the quarter ended March 31, 2011
|
$ | 14,237 | 0.62 | % | 1.58 | % |
Components of Return on Average Equity
|
||||||||||||||||||||||||
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
|
Income Tax Benefit/Average Equity
|
Return on
Average
Equity
|
|||||||||||||||||||
(Ratios have been annualized)
|
||||||||||||||||||||||||
For the quarter ended March 31, 2012
|
14.01 | % | (4.18 | %) | 2.41 | % | (1.92 | %) | 0.00 | % | 10.32 | % | ||||||||||||
For the year ended December 31, 2011
|
16.47 | % | (9.16 | %) | (1.46 | %) | (1.76 | %) | (0.02 | %) | 4.08 | % | ||||||||||||
For the quarter ended December 31, 2011
|
16.59 | % | (7.82 | %) | (1.55 | %) | (1.87 | %) | 0.00 | % | 5.35 | % | ||||||||||||
For the quarter ended September 30, 2011
|
17.49 | % | (17.75 | %) | (5.06 | %) | (1.78 | %) | 0.02 | % | (7.08 | %) | ||||||||||||
For the quarter ended June 30, 2011
|
16.04 | % | (7.23 | %) | (0.87 | %) | (1.72 | %) | (0.01 | %) | 6.19 | % | ||||||||||||
For the quarter ended March 31, 2011
|
14.81 | % | (3.55 | %) | 1.55 | % | (1.58 | %) | (0.07 | %) | 11.16 | % | ||||||||||||
* Includes the effect of realized losses on interest rate swaps
|
March 31, 2012
|
December 31, 2011
|
|||||||
(dollars in thousands) | ||||||||
Overnight
|
$ | - | $ | - | ||||
1-29 days
|
1,350,377 | 1,368,945 | ||||||
30 to 59 days
|
377,686 | 836,007 | ||||||
60 to 89 days
|
296,201 | - | ||||||
90 to 119 days
|
92,110 | 171,836 | ||||||
Greater than or equal to 120 days
|
386,496 | 296,201 | ||||||
Total
|
$ | 2,502,870 | $ | 2,672,989 |
Period
|
Average Repurchase
Balance
|
Repurchase Balance at
Period End
|
||||||
(dollars in thousands)
|
||||||||
Quarter Ended March 31, 2012
|
$ | 2,554,295 | $ | 2,502,870 | ||||
Year Ended December 31, 2011
|
$ | 3,843,683 | $ | 2,672,989 | ||||
Quarter Ended December 31, 2011
|
$ | 3,379,539 | $ | 2,672,989 | ||||
Quarter Ended September 30, 2011
|
$ | 4,301,251 | $ | 4,171,190 | ||||
Quarter Ended June 30, 2011
|
$ | 4,308,787 | $ | 4,320,487 | ||||
Quarter Ended March 31, 2011
|
$ | 3,385,155 | $ | 3,870,407 |
March 31, 2012
|
||||||||||||||||||||
Contractual Obligations
|
Within One
Year
|
One to Three
Years
|
Three to Five
Years
|
Greater Than
or Equal to
Five Years
|
Total
|
|||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
Repurchase agreements for RMBS
|
$ | 2,502,870 | $ | - | $ | - | $ | - | $ | 2,502,870 | ||||||||||
Securitized debt
|
563,445 | 712,367 | 398,825 | 660,853 | 2,335,490 | |||||||||||||||
Interest expense on RMBS repurchase agreements (1)
|
3,968 | - | - | - | 3,968 | |||||||||||||||
Interest expense on securitized debt (1)
|
98,492 | 133,640 | 90,237 | 273,565 | 595,934 | |||||||||||||||
Total
|
$ | 3,168,775 | $ | 846,007 | $ | 489,062 | $ | 934,418 | $ | 5,438,262 | ||||||||||
(1) Interest is based on variable rates in effect as of March 31, 2012.
|
March 31, 2012
|
||||||||
Change in Interest Rate
|
Projected Percentage
Change in Net Interest
Income
|
Projected Percentage
Change in Portfolio Value
|
||||||
-75 Basis Points
|
13.66% | 4.68% | ||||||
-50 Basis Points
|
8.40% | 4.17% | ||||||
-25 Basis Points
|
3.86% | 3.64% | ||||||
Base Interest Rate
|
- | - | ||||||
+25 Basis Points
|
(3.72%) | 2.46% | ||||||
+50 Basis Points
|
(7.51%) | 1.78% | ||||||
+75 Basis Points
|
(11.61%) | 1.01% |
|
●
|
monitoring and adjusting, if necessary, the reset index and interest rate related to our RMBS and our financings;
|
|
●
|
attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods;
|
|
●
|
using derivatives, financial futures, swaps, options, caps, floors and forward sales to adjust the interest rate sensitivity of our investments and our borrowings;
|
|
●
|
using securitization financing to lower average cost of funds relative to short-term financing vehicles further allowing us to receive the benefit of attractive terms for an extended period of time in contrast to short term financing and maturity dates of the investments included in the securitization; 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.
|
(dollars in thousands)
|
||||||||||||||||||||
Within 3
Months
|
3-12 Months
|
1 Year to 3
Years
|
Greater than 3
Years
|
Total
|
||||||||||||||||
Rate sensitive assets
|
$ | 3,170,897 | $ | 1,228,395 | $ | 1,372,746 | $ | 8,867,488 | $ | 14,639,526 | ||||||||||
Cash equivalents
|
131,273 | - | - | - | 131,273 | |||||||||||||||
Total rate sensitive assets
|
3,302,170 | 1,228,395 | 1,372,746 | 8,867,488 | 14,770,799 | |||||||||||||||
Rate sensitive liabilities
|
802,695 | 826,664 | 151,929 | 1,805,306 | 3,586,594 | |||||||||||||||
Interest rate sensitivity gap
|
$ | 2,499,475 | $ | 401,731 | $ | 1,220,817 | $ | 7,062,182 | $ | 11,184,205 | ||||||||||
Cumulative rate sensitivity gap
|
$ | 2,499,475 | $ | 2,901,206 | $ | 4,122,023 | $ | 11,184,205 | ||||||||||||
Cumulative interest rate sensitivity gap as a
|
||||||||||||||||||||
percentage of total rate sensitive assets
|
17 | % | 20 | % | 28 | % | 76 | % |
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 Registration Statement on Amendment No. 2 to Form S-11 (File No. 333-145525) filed on November 5, 2007 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).
|
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 A. Alexandra Denahan, Principal 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 A. Alexandra Denahan, Principal 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 **
|
CHIMERA INVESTMENT CORPORATION
|
|
By: /s/ Matthew Lambiase
|
|
Matthew Lambiase
|
|
Chief Executive Officer and President
|
|
June 21, 2013
|
Signatures
|
Title
|
Date
|
|
/s/ Matthew Lambiase
|
Chief Executive Officer, President, and Director (Principal Executive Officer)
|
June 21, 2013
|
|
Matthew Lambiase
|
|||
/s/ A. Alexandra Denahan
|
Principal Financial Officer
|
June 21, 2013
|
|
A. Alexandra Denahan
|
|||
/s/ Jeremy Diamond
|
Director
|
June 21, 2013 | |
Jeremy Diamond
|
|||
/s/ Mark Abrams
|
Director
|
June 21, 2013
|
|
Mark Abrams
|
|||
/s/ Paul A. Keenan
|
Director
|
June 21, 2013
|
|
Paul A. Keenan
|
|||
/s/ Paul Donlin
|
Director
|
June 21, 2013
|
|
Paul Donlin
|
/s/ Gerard Creagh
|
Director
|
June 21, 2013
|
|
Gerard Creagh
|
|||
/s/ Dennis Mahoney
|
Director
|
June 21, 2013
|
|
Dennis Mahoney
|
|||
/s/ John P. Reilly
|
Director
|
June 21, 2013
|
|
John P. Reilly
|
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Chimera Investment Corporation;
|
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
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3.
|
Based on my knowledge, the consolidated financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
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4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
|
|
a.
|
Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
b.
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
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c.
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d.
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
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5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
|
a.
|
All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
|
b.
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: June 21, 2013
|
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/s/ Matthew Lambiase
|
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Matthew Lambiase
|
|
Chief Executive Officer and President (Principal Executive Officer)
|
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Chimera Investment Corporation;
|
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
|
3.
|
Based on my knowledge, the consolidated financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
|
|
a.
|
Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
b.
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
c.
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d.
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
|
a.
|
All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
|
b.
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: June 21, 2013
|
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/s/ A. Alexandra Denahan
|
|
A. Alexandra Denahan
|
|
Principal Financial Officer
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
|
/s/ Matthew Lambiase
|
|
Matthew Lambiase
|
|
Chief Executive Officer and President
|
|
June 21, 2013 |
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
|
/s/ A. Alexandra Denahan
|
|
A. Alexandra Denahan
|
|
Principal Financial Officer
|
|
June 21, 2013 |
Common Stock
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Mar. 31, 2012
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Common Stock |
10. Common Stock
On
January 28, 2011 the Company entered into an equity distribution
agreement with FIDAC and UBS Securities LLC
(“UBS”). Through this agreement, the Company
may sell through UBS, as its sales agent, up to 125,000,000 shares
of its common stock in ordinary brokers’ transactions at
market prices or other transactions as agreed between the Company
and UBS. The Company did not sell any shares of its
common stock under the equity distribution agreement during the
quarter ended March 31, 2012 or 2011. As a result of the
Company’s delay in filing its SEC reports by the filing date
required by the SEC (including the grace period permitted by Rule
12b-25 under the Securities Exchange Act of 1934, as amended), the
Company will not be able to issue shares of its common stock under
the equity distribution agreement until filings with the SEC have
been timely made for a full year.
On
September 24, 2009, the Company implemented a Dividend Reinvestment
and Share Purchase Plan (“DRSPP”). The DRSPP
provides holders of record of its common stock an opportunity to
automatically reinvest all or a portion of their cash distributions
received on common stock in additional shares of the
Company’s common stock as well as to make optional cash
payments to purchase shares of its common stock. Persons who are
not already stockholders may also purchase the Company’s
common stock under the plan through optional cash
payments. The DRSPP is administered by the
Administrator, Computershare. The DRSPP was suspended during the
quarter ended March 31, 2012 when the Company was no longer current
in its filings with the SEC. During the quarter ending
March 31, 2012 the Company raised $117 thousand by issuing 39,000
shares through the DRSPP. During the quarter ended
March 31, 2011 the Company raised $311 thousand by issuing 74,000
shares through the DRSPP. As a result of the Company’s delay
in filing its SEC reports by the filing date required by the SEC
(including the grace period permitted by Rule 12b-25 under the
Securities Exchange Act of 1934, as amended), the Company will not
be able to issue shares under the DRSPP until filings with the SEC
have been timely made for a full year.
During
the quarter ended March 31, 2012 the Company declared dividends to
common shareholders totaling $112.9 million, or $0.11 per
share. During the quarter ended March 31, 2011, the
Company declared dividends to common shareholders totaling $143.7
million, or $0.14 per share.
There
was no preferred stock issued or outstanding as of March 31, 2012
and December 31, 2011.
Earnings
per share for the quarters ended March 31, 2012 and 2011,
respectively, is computed as follows:
|
Securitized Loans Held For Investment - Summary (Detail) (Residential Mortgage Backed Securities [Member], USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2012
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Dec. 31, 2011
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Mar. 31, 2011
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Dec. 31, 2010
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Residential Mortgage Backed Securities [Member]
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||||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||||
Securitized loans, at amortized cost | $ 997,395 | $ 270,570 | ||
Less: allowance for loan losses | 13,808 | 13,938 | 13,938 | 11,428 |
Securitized loans held for investment | $ 983,587 | $ 256,632 |
Residential Mortgage-Backed Securities
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3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2012
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Residential Mortgage-Backed Securities |
3. Residential Mortgage-Backed Securities
The
Company classifies its Non-Agency RMBS as senior, senior
interest-only, subordinated, subordinated interest-only, Non-Agency
RMBS transferred to consolidated VIEs and Agency
RMBS. Senior interests in Non-Agency RMBS are considered
to be entitled to the first principal repayments in their pro-rata
ownership interests. The total fair value of the
Non-Agency RMBS that are held by the re-securitization trusts
consolidated pursuant to ASC 810 was $3.3 billion and $3.3 billion
at March 31, 2012 and December 31, 2011,
respectively. See Note 8 of these consolidated financial
statements for further discussion of consolidated
VIEs.
The
following tables present the principal or notional value, total
premium, total discount, amortized cost, fair value, gross
unrealized gains, gross unrealized losses, and net unrealized gain
(loss) related to the Company’s available-for-sale RMBS
portfolio as of March 31, 2012 and December 31, 2011, by asset
class.
The
table below presents changes in Accretable Yield, or the excess of
the security’s cash flows expected to be collected over the
Company’s investment, solely as it pertains to the
Company’s Non-Agency RMBS portfolio accounted for according
to the provisions of ASC 310-30.
The
table below presents the outstanding principal balance and related
carrying amount at the beginning and ending of the quarterly
periods ending March 31, 2012 and December 31, 2011 as it pertains
to the Company’s Non-Agency RMBS portfolio accounted for
according to the provisions of ASC 310-30.
The
following tables present the gross unrealized losses and estimated
fair value of the Company’s RMBS by length of time that such
securities have been in a continuous unrealized loss position at
March 31, 2012 and December 31, 2011. All securities in
an unrealized loss position have been evaluated by the Company for
OTTI as discussed in Note 2(d).
At
March 31, 2012, the Company did not intend to sell any of its RMBS
that were in an unrealized loss position, and it was not more
likely than not that the Company would be required to sell these
RMBS before recovery of their amortized cost basis, which may be at
their maturity. With respect to RMBS held by consolidated VIEs, the
ability of any entity to cause the sale by the VIE prior to the
maturity of these RMBS is either expressly prohibited, not
probable, or is limited to specified events of default, none of
which have occurred to date.
Gross
unrealized losses on the Company’s Agency RMBS were $290
thousand and $355 thousand at March 31, 2012 and December 31, 2011,
respectively. Given the credit quality inherent in Agency RMBS, the
Company does not consider any of the current impairments on its
Agency RMBS to be credit related. In evaluating whether
it is more likely than not that it will be required to sell any
impaired security before its anticipated recovery, which may be at
their maturity, the Company considers the significance of each
investment, the amount of impairment, the projected future
performance of such impaired securities, as well as the
Company’s current and anticipated leverage capacity and
liquidity position. Based on these analyses, the Company determined
that at March 31, 2012 and December 31, 2011 unrealized losses on
its Agency RMBS were temporary.
Gross
unrealized losses on the Company’s Non-Agency RMBS (including
Non-Agency RMBS held by consolidated VIEs) were $90.5 million and
$153.9 million at March 31, 2012 and December 31, 2011,
respectively. Based upon the most recent evaluation, the Company
does not consider these unrealized losses to be indicative of OTTI
and does not believe that these unrealized losses are credit
related, but rather are due to non-credit related factors. The
Company has reviewed its Non-Agency RMBS that are in an unrealized
loss position to identify those securities with losses that are
other-than-temporary based on an assessment of changes in cash
flows expected to be collected for such RMBS, which considers
recent bond performance and expected future performance of the
underlying collateral.
A
summary of the OTTI included in earnings for the quarters ended
March 31, 2012 and 2011 is presented below.
Net
other-than-temporary credit impairment losses recognized in
earnings are estimated using significant unobservable
inputs. The following table presents a roll forward of
the credit loss component of OTTI on the Company’s Non-Agency
RMBS for which a non-credit component of OTTI was previously
recognized in other comprehensive income. The table
delineates between those securities that are recognizing OTTI for
the first time as opposed to those that have previously recognized
OTTI.
The
significant inputs used to measure the component of OTTI recognized
in earnings for the Company’s Non-Agency RMBS are summarized
as follows:
The
following tables present a summary of unrealized gains and losses
at March 31, 2012 and December 31, 2011. Interest-only
RMBS included in the tables below represent the right to receive a
specified proportion of the contractual interest cash flows of the
underlying unamortized principal balance of specific
securities. At March 31, 2012, interest-only RMBS had a
net unrealized gain of $12.3 million and had an amortized cost of
$232.1 million. At December 31, 2011, interest-only RMBS had
a net unrealized loss of $5.7 million and had an amortized cost of
$237.8 million.
The
fair value of IOs at March 31, 2012 and December 31, 2011 was
$244.4 million, and $232.1 million, respectively.
Changes
in prepayments, actual cash flows, and cash flows expected to be
collected, among other items, are affected by the collateral
characteristics of each asset class. The portfolio is
most heavily weighted to contain Non-Agency RMBS with credit
risk. The Company chooses assets for the portfolio after
carefully evaluating each investment’s risk
profile.
The
following tables provide a summary of the Company’s RMBS
portfolio at March 31, 2012 and December 31, 2011.
The
following table presents the weighted average credit rating, based
on the lowest rating available, of the Company’s Non-Agency
RMBS portfolio at March 31, 2012 and December 31,
2011.
Actual
maturities of RMBS are generally shorter than the stated
contractual maturities. Actual maturities of the
Company’s RMBS are affected by the contractual lives of the
underlying mortgages, periodic payments of principal and
prepayments of principal. The following tables provide a
summary of the fair value and amortized cost of the Company’s
RMBS at March 31, 2012 and December 31, 2011 according to their
estimated weighted-average life classifications. The
weighted-average lives of the RMBS in the tables below are based on
lifetime expected prepayment rates using the prepayment model for
the Agency RMBS portfolio and the Company’s prepayment
assumptions for the Non-Agency RMBS. The prepayment
model considers current yield, forward yield, steepness of the
interest rate curve, current mortgage rates, mortgage rates of the
outstanding loan, loan age, margin, and volatility.
The
Non-Agency RMBS portfolio is subject to credit risk. The
Company seeks to mitigate credit risk through its asset selection
process. The Non-Agency RMBS portfolio is primarily
collateralized by what the Company classifies as Alt-A first lien
mortgages. The Company categorizes collateral as Alt-A
regardless of whether the loans were originally described as
“prime” if the behavior of the collateral when the
Company purchased the security more typically resembles
Alt-A. The Company defines Alt-A collateral
characteristics to be evidenced by the 60+ day delinquency bucket
of the pool being greater than 5% and the weighted average FICO
scores at the time of origination as greater than
650. At March 31, 2012, 97.5% of the Non-Agency RMBS
collateral was Alt-A. At December 31, 2011, 97.4% of the
Non-Agency RMBS collateral was Alt-A.
The
Non-Agency RMBS in the Portfolio have the following collateral
characteristics at March 31, 2012 and December 31,
2011.
The
table below presents the origination year of the underlying loans
related to the Company’s portfolio of Non-Agency RMBS at
March 31, 2012 and December 31, 2011.
During
the quarter ended March 31, 2012, the Company sold RMBS with a
carrying value of $63.0 million for realized gains of $16.0
million. During the quarter ended March 31, 2011, the
Company sold RMBS with a carrying value of $643.8 million for
realized gains of $2.6 million.
|
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Summary of the Significant Accounting Policies (Policies)
|
3 Months Ended | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2012
|
||||||||||||||||||||||||||||
Restatement |
Restatement
The
Company restated its previously issued (i) consolidated statement
of financial condition included in its Annual Report on Form 10-K
as of December 31, 2010 and (ii) consolidated statements of
operations and comprehensive income, consolidated statements of
changes in stockholders’ equity, and consolidated statements
of cash flows for the years ended December 31, 2010 and 2009,
including the cumulative effect of the restatement on retained
earnings (accumulated deficit) as of the earliest period presented
(the “Restatement”) as part of its Form 10-K for the
year ended December 31, 2011. The Restatement also
impacted each of the quarters for the periods beginning with the
Company’s inception in November 2007 through the quarter
ended September 30, 2011. The historical interim
periods included in this Form 10-Q have been restated to reflect
the Restatement.
|
|||||||||||||||||||||||||||
Basis of Presentation and Consolidation |
(a) Basis of Presentation and Consolidation
The
accompanying consolidated financial statements and related notes of
the Company have been prepared in accordance with accounting
principles generally accepted in the United States ("U.S. GAAP").
In the opinion of management, all adjustments considered necessary
for a fair presentation of the Company's financial position,
results of operations and cash flows have been
included. The accompanying unaudited consolidated
interim financial statements should be read in conjunction with the
consolidated financial statements and the related
management’s discussion and analysis of financial condition
and results of operations filed with our Annual Report on Form 10-K
for the fiscal year ended December 31, 2011.
The
consolidated financial statements include, on a consolidated basis,
the Company’s accounts, the accounts of its wholly-owned
subsidiaries, and variable interest entities (“VIEs”)
in which the Company is the primary beneficiary. All significant
intercompany balances and transactions have been eliminated in
consolidation.
VIEs
are defined as entities in which equity investors (i) do not have
the characteristics of a controlling financial interest, and/or
(ii) do not have sufficient equity at risk for the entity to
finance its activities without additional subordinated financial
support from other parties. The entity that consolidates a VIE is
known as its primary beneficiary, and is generally the entity with
(i) the power to direct the activities that most significantly
impact the VIE’s economic performance, and (ii) the right to
receive benefits from the VIE or the obligation to absorb losses of
the VIE that could be significant to the VIE. For VIEs
that do not have substantial on going activities, the power to
direct the activities that most significantly impact the
VIEs’ economic performance may be determined by an
entity’s involvement with the design and structure of the
VIE.
The
Company uses securitization trusts considered to be VIEs in its
securitization and re-securitization transactions. Prior
to January 1, 2010, these VIEs met the definition of Qualified
Special Purpose Entities (“QSPE”) and, as such, were
not subject to consolidation by the Company. Effective
January 1, 2010, all such VIEs were considered for consolidation
based on the criteria in ASC 810, Consolidation,
resulting in the consolidation of certain VIEs that were not
previously consolidated. Non-Agency RMBS transferred to
consolidated VIEs are composed entirely of senior
certificates.
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Statement of Financial Condition Presentation |
(b) Statement of Financial Condition Presentation
The
Company’s consolidated statements of financial condition
separately present: (i) the Company’s direct assets and
liabilities, and (ii) the assets and liabilities of consolidated
securitization vehicles. Assets of each consolidated VIE can only
be used to satisfy the obligations of that VIE, and the liabilities
of consolidated VIEs are non-recourse to the Company.
The
Company has aggregated all the assets and liabilities of the
consolidated securitization vehicles due to the determination that
these entities are substantively similar and therefore a further
disaggregated presentation would not be more meaningful. The notes
to the consolidated financial statements describe the
Company’s direct assets and liabilities and the assets and
liabilities of consolidated securitization vehicles. See
Note 8 for additional information related to the Company’s
investments in consolidated securitization vehicles.
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Cash and Cash Equivalents |
(c) Cash and Cash Equivalents
Cash
and cash equivalents include cash on hand and cash deposited
overnight in money market funds, which are not bank deposits and
are not insured or guaranteed by the Federal Deposit Insurance
Corporation. There were no restrictions on cash and cash
equivalents at March 31, 2012 and December 31, 2011.
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Agency and Non-Agency Residential Mortgage-Backed Securities |
(d) Agency and Non-Agency Residential Mortgage-Backed
Securities
The
Company invests in residential mortgage-backed securities
(“RMBS”) representing interests in obligations backed
by pools of mortgage loans. The Company delineates
between (1) Agency RMBS and (2) Non-Agency RMBS as follows: Agency
RMBS are mortgage pass-through certificates, collateralized
mortgage obligations (“CMOs”), and other RMBS
representing interests in or obligations backed by pools of
mortgage loans issued or guaranteed by agencies of the U.S.
Government, such as Ginnie Mae, or federally chartered corporations
such as Freddie Mac or Fannie Mae where principal and interest
repayments are guaranteed. Non-Agency RMBS are not issued or
guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae and are
therefore subject to credit risk. Repayment of principal
and interest on Non-Agency RMBS is subject to the performance of
the mortgage loans or RMBS collateralizing the
obligation.
The
Company classifies its RMBS as available-for-sale, records
investments at estimated fair value as described in Note 5 of these
consolidated financial statements, and includes unrealized gains
and losses considered to be temporary on all RMBS, excluding
interest-only strips, in other comprehensive income (loss) in the
Consolidated Statements of Operations and Comprehensive
Income. Interest-only strips are recorded at estimated
fair value and all unrealized gains and losses are included in
earnings in the Consolidated Statements of Operations and
Comprehensive Income. From time to time, as part of the
overall management of its portfolio, the Company may sell any of
its RMBS investments and recognize a realized gain or loss as a
component of earnings in the Consolidated Statements of Operations
and Comprehensive Income utilizing the average cost
method.
The
Company’s accounting policy for interest income and
impairment related to its RMBS is as follows:
Interest Income Recognition
The
recognition of interest income on RMBS securities varies depending
on the characteristics of the security as follows:
Agency RMBS and Non-Agency RMBS of High Credit Quality
ASC
310-20, Nonrefundable Fees and Other
Costs (“ASC 310-20”) is applied to the
recognition of interest income for the following
securities:
Under
ASC 310-20, interest income, including premiums and discounts
associated with the acquisition of these securities, is recognized
over the life of such securities using the interest method based on
the contractual cash flows of the security. In
applying the interest method, the Company considers estimates of
future principal prepayments in the calculation of the constant
effective yield. Differences that arise between previously
anticipated prepayments and actual prepayments received, as well as
changes in future prepayment assumptions, result in a recalculation
of the effective yield on the security on a quarterly basis. This
recalculation results in the recognition of an adjustment to the
carrying amount of the security based on the revised prepayment
assumptions and a corresponding increase or decrease in reported
interest income.
Non-Agency RMBS Not of High Credit Quality
Non-Agency
RMBS that are purchased at a discount and that are not of high
credit quality at the time of purchase are accounted for under ASC
310-30, Loans and
Debt Securities Acquired with Deteriorated Credit Quality
(“ASC 310-30”) or ASC 325-40, Beneficial Interests in
Securitized Financial Assets (“ASC 325-40”)
(referred to hereafter as “Non-Agency RMBS Not of High Credit
Quality”).
Non-Agency
RMBS are accounted for under ASC 310-30 if the following conditions
are met as of the acquisition date:
Non-Agency
RMBS are accounted for under ASC 325-40 if both of the following
conditions are met as of the acquisition date:
Interest
income on Non-Agency RMBS Not of High Credit Quality is recognized
using the interest method based on management’s estimates of
cash flows expected to be collected. The effective interest rate on
these securities is based on management’s estimate for each
security of the projected cash flows, which are estimated based on
observation of current market information and include assumptions
related to fluctuations in prepayment speeds and the timing and
amount of credit losses. Quarterly, the Company reviews and, if
appropriate, makes adjustments to its cash flow projections based
on inputs and analyses received from external sources, internal
models, and the Company’s judgments about prepayment rates,
the timing and amount of credit losses, and other factors. Changes
in the amount and/or timing of cash flows from those originally
projected, or from those estimated at the last evaluation date, are
considered to be either positive changes or adverse changes. For
securities accounted for under ASC 325-40, any positive or adverse
change in cash flows that does not result in the recognition of an
other-than-temporary impairment results in a prospective increase
or decrease in the effective interest rate used to recognize
interest income. For securities accounted for under ASC 310-30,
only significant positive changes are reflected prospectively in
the effective interest rate used to recognize interest
income. Adverse changes in cash flows expected to be
collected are generally treated consistently for RMBS accounted for
under ASC 325-40 and ASC 310-30, and generally result in
recognition of an other-than-temporary impairment with no change in
the effective interest rate used to recognize interest
income.
Impairment
Considerations Applicable to all RMBS
When
the fair value of an available-for-sale RMBS is less than its
amortized cost the security is considered impaired. On
at least a quarterly basis the Company evaluates its securities for
other-than-temporary impairment (“OTTI”). If
the Company intends to sell an impaired security, or it is
more-likely-than-not that the Company will be required to sell an
impaired security before its anticipated recovery, then the Company
must recognize an OTTI through a charge to earnings equal to the
entire difference between the investment’s amortized cost and
its fair value at the measurement date. If the Company
does not intend to sell an impaired security and it is not
more-likely-than-not that it would be required to sell an impaired
security before recovery, the Company must further evaluate the
security for impairment due to credit losses. The credit component
of OTTI is recognized in earnings and the remaining or non-credit
component is recorded as a component of OCI. Following the
recognition of an OTTI through earnings, a new amortized cost basis
is established for the security and subsequent recoveries in fair
value may not be adjusted through earnings.
When
evaluating whether the Company intends to sell an impaired security
or will more-likely-than-not be required to sell an impaired
security before recovery, the Company makes judgments that consider
among other things, its liquidity, leverage, contractual
obligations, and targeted investment strategy to determine its
intent and ability to hold the investments that are deemed
impaired. The determination as to whether an OTTI exists
is subjective as such determinations are based on factual
information available at the time of assessment as well as the
Company’s estimates of future conditions. As a
result, the determination of OTTI, its timing and amount, are based
on estimates that may change materially over time.
The
Company’s estimate of the amount and timing of cash flows for
its RMBS is based on its review of the underlying securities or
mortgage loans securing the RMBS. The Company considers
historical information available and expected future performance of
the underlying securities or mortgage loans, including timing of
expected future cash flows, prepayment rates, default rates, loss
severities, delinquency rates, percentage of non-performing loans,
extent of credit support available, Fair Isaac Corporation
(“FICO”) scores at loan origination, year of
origination, loan-to-value ratios, geographic concentrations, as
well as reports by credit rating agencies, such as Moody’s
Investors Service, Inc., Standard & Poor’s Rating
Services or Fitch Ratings, Inc., general market assessments and
dialogue with market participants. As a result,
substantial judgment is used in the Company’s analysis to
determine the expected cash flows for its RMBS.
Considerations Applicable to Non-Agency RMBS of High Credit
Quality
The
impairment assessment for Non-Agency RMBS of High Credit Quality
involves comparing the present value of the remaining cash flows
expected to be collected to the amortized cost of the security at
the assessment date. The discount rate used to calculate
the present value of the expected future cash flows is based on the
security’s effective interest rate as calculated under ASC
310-20 (i.e., the discount rate implicit in the security
as of the last measurement date). If the present
value of the remaining cash flows expected to be collected is less
than the amortized cost basis, an OTTI is recognized in earnings
for the difference. This amount is considered to be the credit loss
component; the remaining difference between amortized cost and the
fair value of the security is considered to be the non-credit
component of the OTTI, which is recognized in other comprehensive
income (loss).
Following
the recognition of an OTTI through earnings for the credit loss
component, a new amortized cost basis is established for the
security and subsequent recoveries in fair value may not be
adjusted through earnings.
Considerations Applicable to Non-Agency RMBS Not of High Credit
Quality
Non-Agency
RMBS within the scope of ASC 325-40 or ASC 310-30 are considered
other-than-temporarily impaired when the following two conditions
exist: (1) the fair value is less than the amortized cost basis,
and (2) there has been an adverse change in cash flows expected to
be collected from the last measurement date (i.e., adverse changes
in either the amount or timing of cash flows from those previously
expected).
The
other-than-temporary impairment is separated into a credit loss
component that is recognized in earnings and a non-credit component
that is recorded in other comprehensive income (loss). The credit
component is comprised of the impact of the fair value decline due
to changes in assumptions related to default (collection) risk and
prepayments. The non-credit component comprises the change in fair
value of the security due to all other factors, including changes
in benchmark interest rates and market liquidity. In
determining the OTTI related to credit losses for securities, the
Company compares the present value of the remaining cash flows
expected to be collected at the current financial reporting date to
the present value of the remaining cash flows expected to be
collected at the original purchase date (or the last date those
estimates were revised for accounting purposes). The
discount rate used to calculate the present value of expected
future cash flows is the effective interest rate used for income
recognition purposes as determined under ASC 325-40 or ASC 310-30
for purposes of recognizing interest income.
Following
the recognition of an OTTI through earnings for the credit
component, a new amortized cost basis is established for the
security and subsequent recoveries in fair value may not be
adjusted through earnings. However, to the extent that there are
subsequent increases in cash flows expected to be collected, the
OTTI previously recorded through earnings may be accreted into
interest income following the guidance in ASC 325-40 or ASC
310-30.
The
determination of whether an OTTI exists and, if so, the extent of
the credit component is subject to significant judgment and
management’s estimates of both historical information
available at the time of assessment, the current market
environment, as well as the Company’s estimates of the future
performance and projected amount and timing of cash flows expected
to be collected on the security. As a result, the timing and amount
of OTTI constitutes an accounting estimate that may change
materially over time.
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Interest-Only RMBS |
(e) Interest-Only RMBS
The
Company invests in interest-only (“IO”) Agency and
Non-Agency RMBS. These IO RMBS represent the Company’s right
to receive a specified proportion of the contractual interest flows
of the collateral. The Company has accounted for IO RMBS at fair
value with changes in fair value recognized in the Company’s
Consolidated Statements of Operations and Comprehensive Income. The
IO RMBS are included in RMBS, at fair value, on the accompanying
Consolidated Statements of Financial Condition. Coupon
income on IO securities is accrued based on the outstanding
notional balance and the security’s contractual terms,
and amortization is computed in accordance with ASC 325-40. Changes
in fair value are presented in Net unrealized gains (losses) on
interest-only RMBS on the Consolidated Statement of Operations and
Comprehensive Income. Interest income reported on IO
securities was $6.0 million and $7.6 million for the quarters ended
March 31, 2012 and March 31, 2011, respectively.
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Securitized Loans Held for Investment and Related Allowance for Loan Losses |
(f) Securitized Loans Held for Investment and Related Allowance for
Loan Losses
The
Company’s securitized residential mortgage loans are
comprised of fixed-rate and variable-rate
loans. Mortgage loans are designated as held for
investment, and are carried at their principal balance outstanding,
plus any premiums, less discounts and allowances for loan
losses. Interest income on loans held for investment is
recognized over the life of the investment using the interest
method. Income recognition is suspended for loans when,
based on information from the servicer, a full recovery of income
and principal becomes doubtful. Income recognition is
resumed when the loan becomes contractually current and performance
is demonstrated to be resumed. The Company estimates the
fair value of securitized loans for disclosure purposes only as
described in Note 5 of these consolidated financial
statements.
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Allowance for Loan Losses - Securitized Loans Held for Investment |
(g) Allowance for Loan Losses – Securitized Loans Held for
Investment
The
securitized loan portfolio is comprised primarily of
non-conforming, single family, owner occupied, jumbo, prime loans
that are not guaranteed as to repayment of principal or
interest. Securitized loans are serviced and modified by
a third-party servicer. The Company is not involved in
the loan modification process, except as it relates to CSMC
2012-CIM1, a securitization vehicle consolidated by the Company
that is collateralized by residential mortgage loans. As
it relates solely to CSMC 2012-CIM1, the Company has the ability to
approve certain loan modifications and determine the course of
action to be taken as it relates to loans in technical default,
including whether or not to proceed with foreclosure.
The
Company has established an allowance for loan losses related to
securitized loans that is composed of a general and specific
reserve. The general reserve relates to loans that have not been
individually evaluated for impairment and is accounted for under
ASC 450, Contingencies. The
general reserve is based on historical loss rates for pools of
loans with similar credit characteristics, adjusted for current
trends and conditions.
Certain
loans are individually evaluated for impairment, including
securitized loans modified by the servicer and loans more than 60
days delinquent under ASC 310, Receivables. Loan
modifications made by the servicer are evaluated to determine if
they constitute troubled debt restructurings
(“TDRs”). A restructuring of a loan
constitutes a TDR if the servicer, for economic or legal reasons
related to the borrower's financial difficulties, grants a
concession to the borrower that it would not otherwise consider.
Impairment of modified loans considered to be TDRs is measured
based on the present value of expected cash flows discounted at the
loan’s effective interest rate at inception. If the present
value of expected cash flows is less than the recorded investment
in the loan, a provision for loan losses is recognized through an
allowance with a corresponding charge to provision for loan losses.
Impairment of all other loans individually evaluated is measured as
the difference between the unpaid principal balance and the
estimated fair value of the collateral, less estimated costs to
sell. The Company charges off the corresponding loan
allowance and related principal balance when the servicer reports
an actual credit writedown.
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Repurchase Agreements |
(h) Repurchase Agreements
The
Company finances the acquisition of a significant portion of its
Agency mortgage-backed securities with repurchase agreements. The
Company examines each of the specified criteria in ASC 860,
Transfers and
Servicing (“ASC 860”), at the inception of each
transaction and has determined that each of the Company’s
repurchase agreements meet the specified criteria in this guidance
to be accounted for as secured borrowings. None of the
Company’s repurchase agreements are accounted for as
components of linked transactions. As a result, the Company
separately accounts for the financial assets posted as collateral
and related repurchase agreements in the accompanying consolidated
financial statements.
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Securitized Debt, Non-Agency RMBS Transferred to Consolidated VIEs, and Securitized Debt, Loans Held for Investment |
(i) Securitized Debt, Non-Agency RMBS Transferred to Consolidated
VIEs, and Securitized Debt, Loans Held for Investment
The
Company has issued securitized debt to finance a portion of its
residential mortgage loan and RMBS portfolios. Certain
transactions involving residential mortgage loans are accounted for
as secured borrowings, and are recorded as “Securitized loans
held for investment” and the corresponding debt as
“Securitized debt, loans held for investment” in the
Consolidated Statements of Financial Condition. These
securitizations are collateralized by residential adjustable or
fixed rate mortgage loans that have been placed in a trust and pay
interest and principal to the debt holders of that
securitization. Re-securitization transactions
classified as “Securitized debt, Non-Agency RMBS transferred
to consolidated VIEs” reflect the transfer to a trust of
fixed or adjustable rate RMBS which are classified as
“Non-Agency RMBS transferred to consolidated VIEs” that
pay interest and principal to the debt holders of that
re-securitization. Re-securitization transactions
completed by the Company that did not qualify as a sale are
accounted for as secured borrowings pursuant to ASC 860. For the
quarter ended March 31, 2012, the Company did not have any
continuing involvement with any loans or securities previously
sold, except as it relates to the loans in the CSMC 2012-CIM1
securitization as further described above. The holders
of securitized debt have no recourse to the Company, and the
Company does not receive any interest or principal paid on such
debt. As of March 31, 2012 and December 31, 2011 the
Company recorded $2.4 billion and $1.9 billion in principal on
securitized debt and accrued interest payable,
respectively. The associated securitized debt is carried
at amortized cost and is non-recourse to the Company. The Company
estimates the fair value of its securitized debt for disclosure
purposes as described in Note 5 to these consolidated financial
statements.
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Fair Value Disclosure |
(j) Fair Value Disclosure
A
complete discussion of the methodology utilized by the Company to
estimate the fair value of its financial instruments is included in
Note 5 to these consolidated financial statements.
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Derivative Financial Instruments |
(k) Derivative Financial Instruments
The
Company’s policies permit it to enter into derivative
contracts, including interest rate swaps and interest rate caps, as
a means of managing its interest rate risk. The Company intends to
use interest rate derivative instruments to manage interest rate
risk rather than to enhance returns. Interest rate swaps
are recorded as either assets or liabilities in the Consolidated
Statements of Financial Condition and measured at fair
value. Net payments on interest rate swaps are included
in the Consolidated Statements of Cash Flows as a component of net
income (loss). Unrealized gains (losses) on interest
rate swaps are removed from net income (loss) to arrive at cash
flows from operating activities. The Company estimates the fair
value of interest rate swaps as described in Note 5 of these
consolidated financial statements.
The
Company elects to net by counterparty the fair value of interest
rate swap contracts. These contracts contain legally
enforceable provisions that allow for netting or setting off of all
individual swaps receivable and payable with each counterparty and,
therefore, the fair value of those swap contracts are reported net
by counterparty. The credit support annex provisions of the
Company’s interest rate swap contracts allow the parties to
mitigate their credit risk by requiring the party which is in a net
payable position to post collateral. As the Company elects to net
by counterparty the fair value of interest rate swap contracts, it
also nets by counterparty any collateral exchanged as part of the
interest rate swap contracts.
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Sales, Securitizations, and Re-Securitizations |
(l) Sales, Securitizations, and Re-Securitizations
The
Company periodically enters into transactions in which it sells
financial assets, such as RMBS, and mortgage
loans. Gains and losses on sales of assets are computed
on the average cost method whereby the Company records a gain or
loss on the difference between the carrying value of the asset and
the proceeds from the sale. In addition, the Company
from time to time securitizes or re-securitizes assets and sells
tranches in the newly securitized assets. These
transactions may be recorded as either a sale and the assets
contributed to the securitization are removed from the Consolidated
Statements of Financial Condition and a gain or loss is recognized,
or as a secured borrowing whereby the assets contributed to the
securitization are not derecognized but rather the debt issued by
the securitization are recorded to reflect the term financing of
the assets. In these securitizations and
re-securitizations, the Company may retain senior or subordinated
interests in the securitized and/or re-securitized
assets.
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Income Taxes |
(m) Income Taxes
The
Company elected to be taxed as a REIT, and therefore it generally
will not be subject to corporate federal or state income tax to the
extent that qualifying distributions are made to stockholders and
the REIT requirements, including certain asset, income,
distribution and stock ownership tests are met. If the Company
failed to qualify as a REIT and did not qualify for certain
statutory relief provisions, the Company would be subject to
federal, state and local income taxes and may be precluded from
qualifying as a REIT for the subsequent four taxable years
following the year in which the REIT qualification was lost. The
Company and CIM Trading made a joint election to treat CIM Trading
as a TRS. As such, CIM Trading is taxable as a domestic C
corporation and subject to federal, state, and local income taxes
based upon its taxable income.
The
provisions of ASC 740, Income Taxes
(“ASC 740”), clarify the accounting for uncertainty in
income taxes recognized in financial statements and prescribe a
recognition threshold and measurement attribute for tax positions
taken or expected to be taken on a tax return. The
Company does not have any unrecognized tax benefits that would
affect its financial position. The Company has not taken any tax
positions that would require disclosure under ASC
740. No accruals for penalties and interest were
necessary as of March 31, 2012 or December 31, 2011.
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Net Income per Share |
(n) Net Income per Share
The
Company calculates basic net income per share by dividing net
income for the period by the basic weighted-average shares of its
common stock outstanding for that period. Diluted net
income per share takes into account the effect of dilutive
instruments, such as unvested restricted stock, but uses the
average share price for the period in determining the number of
incremental shares that are to be added to the diluted weighted
average number of shares outstanding.
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Stock-Based Compensation |
(o) Stock-Based Compensation
The
Company accounts for stock-based compensation awards granted to the
employees of FIDAC and FIDAC’s affiliates in accordance with
ASC 505-50, Equity-Based Payments to
Non-Employees (“ASC 505-50”). Pursuant to
ASC 505-50 the Company measures the fair value of the equity
instrument using the stock prices and other measurement assumptions
as of the earlier of either the date at which a performance
commitment by the recipient is reached or the date at which the
recipient’s performance is complete. Compensation expense
related to the grants of stock is recognized over the vesting
period of such grants based on the fair value of the stock on each
quarterly vesting date, at which the recipient’s performance
is complete.
The
Company accounts for stock-based compensation awards granted to the
Company’s independent directors in accordance with ASC 718,
Compensation – Stock Compensation
(“ASC 718”). Compensation expense for equity based
awards granted to the Company’s independent directors is
recognized pro-rata over the vesting period of such awards, based
upon the fair value of such awards at the grant date.
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Use of Estimates |
(p) Use of Estimates
The
preparation of financial statements in conformity with GAAP
requires management to make estimates and assumptions that affect
the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during
the reporting period. Although the Company’s estimates
contemplate current conditions and how it expects them to change in
the future, it is reasonably possible that actual conditions could
be materially different than anticipated in those estimates, which
could have a material adverse impact on the Company’s results
of operations and its financial condition. Management has made
significant estimates in accounting for income recognition and OTTI
on Agency and Non-Agency RMBS and IO RMBS (Note 3), valuation of
Agency and Non-Agency RMBS (Notes 3 and 5), and interest rate swaps
(Notes 5 and 9). Actual results could differ materially
from those estimates.
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Recent Accounting Pronouncements |
(q) Recent Accounting Pronouncements
Presentation
Balance Sheet (Topic 210)
On
December 23, 2011, the FASB released Accounting Standards Update
(“ASU”) 2011-11, Balance Sheet (Topic 210):
Disclosures about Offsetting Assets and
Liabilities. Under this update, the Company will
be required to disclose both gross information and net information
about both instruments and transactions eligible for offset in the
statement of financial position and transactions subject to an
agreement similar to a master netting arrangement. The
scope would include derivatives, sale and repurchase agreements and
reverse sale and repurchase agreements and securities borrowing and
securities lending arrangements. This disclosure
is intended to enable financial statement users to understand the
effect of such arrangements on the Company’s financial
position. The objective of this update is to support
further convergence between U.S. GAAP and International Financial
Reporting Standards (“IFRS”). This update is
effective for annual reporting periods beginning on or after
January 1, 2013. This update is expected to result in
additional disclosure.
Comprehensive Income (Topic 220)
In
June 2011, the FASB released ASU 2011-05, Comprehensive Income:
Presentation of Comprehensive Income, which attempts to
improve the comparability, consistency, and transparency of
financial reporting and increase the prominence of items reported
in Other Comprehensive Income (“OCI”). ASU
2011-05 requires that all non-owner changes in stockholders’
equity be presented either in a single continuous statement of net
income and comprehensive income or two separate consecutive
statements. Either presentation requires the
presentation on the face of the financial statements any
reclassification adjustments for items that are reclassified from
OCI to net income in the statements. There is no change
in what must be reported in OCI or when an item of OCI must be
reclassified to net income. This update is effective for
fiscal years, and interim periods within those years, beginning
after December 15, 2011. The Company adopted the
provisions of ASU 2011-05 effective January 1,
2012. Adoption of ASU 2011-05 did not have a significant
impact on the Company’s consolidated financial
statements.
On
December 23, 2011, the FASB issued ASU 2011-12, Comprehensive Income:
Deferral of Effective Date for Amendments to the Presentation of
Reclassifications of Items Out of Accumulated Other Comprehensive
Income In ASU No. 2011-05, which defers those changes in ASU
2011-05 that relate to the presentation of reclassification
adjustments out of accumulated OCI. This was done to allow the FASB
time to re-deliberate the presentation, on the face of the
financial statements, of the effects of reclassifications out of
accumulated OCI on the components of net income and
OCI. No other requirements under ASU 2011-05 are
affected by ASU 2011-12. FASB tentatively decided not to
require presentation of reclassification adjustments out of
accumulated other comprehensive income on the face of the financial
statements and to propose new disclosures instead.
In
March 2013, the FASB issued ASU 2013-02 Comprehensive Income:
Reporting of Amounts Reclassified Out of Accumulated Other
Comprehensive Income. This update addresses the
disclosure issue left open at the deferral under ASU 2011-12.
This update requires the provision of information about the amounts
reclassified out of accumulated OCI by component. In addition, it
requires presentation, either on the face of the statement where
net income is presented or in the Notes, significant amounts
reclassified out of accumulated OCI by the respective line items of
net income but only if the amount reclassified is required under
U.S. GAAP to be reclassified to net income in its entirety in the
same reporting period. For other amounts that are not required
under U.S. GAAP to be reclassified in their entirety to net income,
a cross-reference must be provided to other disclosures required
under U.S. GAAP that provide additional detail about those amounts.
This update is effective for reporting periods beginning after
December 15, 2012. Adoption of ASU 2013-02 is not expected to have
a significant impact on the consolidated financial
statements.
Broad
Transactions
Fair Value Measurements and Disclosures (Topic
820)
In
May 2011, the FASB released ASU 2011-04, Fair Value Measurement (Topic
820): Amendments to Achieve Common Fair Value Measurement and
Disclosure Requirements in U.S. GAAP and IFRS, further
converging U.S. GAAP and IFRS by providing common fair value
measurement and disclosure requirements. FASB made
changes to the fair value measurement guidance, which include: 1)
prohibiting the inclusion of block discounts in all fair value
measurements, not just Level 1 measurements, 2) adding guidance on
when to include other premiums and discounts in fair value
measurements, 3) clarifying that the concepts of
“highest and best use” and “valuation
premise” apply only when measuring the fair value of
non-financial assets and 4) adding an exception that allows the
measurement of a group of financial assets and liabilities with
offsetting risks (e.g., a portfolio of derivative contracts) at
their net exposure to a particular risk if certain criteria are
met. ASU 2011-04 also requires additional disclosure
related to items categorized as Level 3 in the fair value
hierarchy, including a description of the processes for valuing
these assets, providing quantitative information about the
significant unobservable inputs used to measure fair value and, in
certain cases, explaining the sensitivity of the fair value
measurements to changes in unobservable
inputs. This update is effective for reporting
periods beginning after December 15, 2011. Adoption of ASU 2011-04
increased the footnote disclosure in these consolidated financial
statements.
Transfers and Servicing (Topic 860)
In
April 2011, the FASB issued ASU 2011-03, Transfers and Servicing:
Reconsideration of Effective Control for Repurchase
Agreements. In a typical repurchase agreement
transaction, an entity transfers financial assets to the
counterparty in exchange for cash with an agreement for the
counterparty to return the same or equivalent financial assets for
a fixed price in the future. Prior to this update, one
of the factors in determining whether sale treatment could be used
was whether the transferor maintained effective control of the
transferred assets and, in order to do so, the transferor must have
the ability to repurchase such assets. In connection with the
issuance of ASU 2011-03, the FASB concluded that the assessment of
effective control should focus on a transferor’s contractual
rights and obligations with respect to transferred financial
assets, rather than whether the transferor has the practical
ability to perform in accordance with those rights or
obligations. ASU 2011-03 removes the transferor’s
ability criterion from consideration of effective
control. This update is effective for the first interim
or annual period beginning on or after December 15,
2011. As the Company records repurchase agreements as
secured borrowings and not sales, this update has
no significant effect on the Company’s consolidated
financial statements.
Financial Services – Investment Companies (Topic
946)
In
June 2013, the FASB finalized ASU 2013-08 amending the scope,
measurement and disclosure requirements under Topic 946 –
Financial Services-Investment Companies. The Board decided
not to address issues related to the applicability of investment
company accounting for real estate entities and the measurement of
real estate investments at this time. Further, as stated in
ASC 946-10-15-3, the guidance in Topic 946 does not apply to real
estate investment trusts, and thus has no effect on the
Company’s consolidated financial statements.
|
Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) (USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2012
|
Dec. 31, 2011
|
|||
---|---|---|---|---|---|
Assets | |||||
Accrued interest receivable | $ 25,144 | $ 22,709 | [1] | ||
Liabilities | |||||
Accrued interest payable | 2,928 | 3,294 | [1] | ||
Variable Interest Entity, Primary Beneficiary [Member]
|
|||||
Assets | |||||
Non-Agency RMBS transferred to consolidated VIEs | 3,267,779 | 3,270,332 | |||
Securitized loans | 983,587 | 256,632 | |||
Accrued interest receivable | 24,585 | 26,616 | |||
Liabilities | |||||
Securitized debt, non-Agency RMBS transferred to consolidated VIEs | 1,507,268 | 1,630,276 | |||
Securitized debt, loans held for investment | 890,374 | 212,778 | |||
Accrued interest payable | $ 9,394 | $ 8,130 | |||
|
Securitized Loans Held For Investment - Aging (Detail) (Residential Mortgage [Member], USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2012
|
Dec. 31, 2011
|
---|---|---|
Residential Mortgage [Member]
|
||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
30 Days Delinquent | $ 2,318 | $ 1,342 |
60 Days Delinquent | 0 | 1,828 |
90+ Days Delinquent | 2,316 | 2,338 |
Bankruptcy | 2,259 | 1,659 |
Foreclosure | 3,432 | 3,626 |
REO | 5,366 | 5,201 |
Total | $ 15,691 | $ 15,994 |
Long Term Incentive Plan
|
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2012
|
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Long Term Incentive Plan |
11. Long Term Incentive Plan
The
Company has adopted a long term stock incentive plan to provide
incentives to its independent directors and employees of FIDAC and
its affiliates, to reward their efforts , to attract, reward and
retain personnel and other service providers, and to align their
interest with the common share investors. The incentive
plan authorizes the Compensation Committee of the board of
directors to grant awards, including incentive stock options,
non-qualified stock options, restricted shares and other types of
incentive awards. The specific award granted to an
individual is based upon, in part, the individual’s position
within FIDAC, the individual’s position within the Company,
his or her contribution to the Company’s performance, market
practices, as well as the recommendations of FIDAC. The
incentive plan authorizes the granting of options or other awards
for an aggregate of the greater of 8.0% of the outstanding shares
of the Company’s common stock up to a ceiling of 40,000,000
shares.
On
January 2, 2008, the Company granted restricted stock awards in the
amount of 1,301,000 shares to FIDAC’s employees and the
Company’s independent directors. The awards to the
independent directors vested on the date of grant and the awards to
FIDAC’s employees vest quarterly over a period of 10
years. Of these shares, as of March 31, 2012, 574,000
shares have vested and 45,000 shares were forfeited. As
of March 31, 2012 there was $12.9 million of total unrecognized
compensation costs related to non-vested share-based compensation
arrangements granted under the long term incentive plan, based on
the closing price of the shares on the grant date. That cost is
expected to be recognized over a weighted-average period of 5.8
years. The total fair value of shares vested, less those forfeited,
during the quarters ended March 31, 2012 and 2011 was $81 thousand
and $128 thousand, respectively, based on the closing price of the
stock on the vesting date. For the quarters ended March
31, 2012 and 2011, compensation expense associated with the
amortization of the fair value of the restricted stock was
approximately $82 thousand and $131 thousand,
respectively.
The
Company’s independent directors receive a fixed dollar amount
of the Company’s common stock in return for services provided
to the Company. Equity based awards granted to the
independent director’s vest during the year of
service. For the quarters ended March 31, 2012 and 2011,
the company recognized $75 thousand and $68 thousand, respectively,
of stock based compensation to independent directors.
The
following table presents information with respect to the
Company’s restricted stock awards during the quarters ended
March 31, 2012 and March 31, 2011:
|
Income Taxes - Narrative (Detail) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | |
---|---|---|
Mar. 31, 2012
|
Mar. 31, 2011
|
|
Income Taxes [Line Items] | ||
Income taxes | $ 2 | $ 698 |
U.S. federal, state and local tax authorities [Member] | Minimum [Member]
|
||
Income Taxes [Line Items] | ||
Years open to tax examination | 2007 | |
U.S. federal, state and local tax authorities [Member] | Maximum [Member]
|
||
Income Taxes [Line Items] | ||
Years open to tax examination | 2011 |
Securitized Loans Held For Investment - Modified Loans (Detail) (Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member], Securitized Loans Held for Investment [Member], Residential Mortgage [Member], USD $)
In Thousands, unless otherwise specified |
3 Months Ended | |
---|---|---|
Mar. 31, 2012
Loan
|
Mar. 31, 2011
Loan
|
|
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Securitized Loans Held for Investment [Member] | Residential Mortgage [Member]
|
||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans Modified During Period | 2 | 4 |
Unpaid Principal Balance of Modified Loans (Pre-modification) | $ 1,304 | $ 2,476 |
Unpaid Principal Balance of Modified Loans (Post-modification) | 1,372 | 2,659 |
Amortized Cost of Modified Loans | 1,385 | 2,689 |
Amortized Cost of Modified Loans For Which There is an Allowance for Loan Losses | 1,385 | 2,689 |
Amortized Cost of Modified Loans For Which There is No Allowance for Loan Losses | $ 0 | $ 0 |
Residential Mortgage Backed Securities - Accretable Yield (Detail) (Non Agency Residential Mortgage Backed Securities Having Deteriorated Credit When Acquired [Member], USD $)
In Thousands, unless otherwise specified |
3 Months Ended | |
---|---|---|
Mar. 31, 2012
|
Mar. 31, 2011
|
|
Non Agency Residential Mortgage Backed Securities Having Deteriorated Credit When Acquired [Member]
|
||
Investment Holdings [Line Items] | ||
Balance at beginning of period | $ 2,342,462 | $ 2,521,723 |
Purchases | 86,847 | 63,233 |
Accretion | (95,108) | (96,425) |
Reclassification to non-accretable difference | (11,662) | (42,430) |
Sales | (21,663) | (47,380) |
Balance at end of period | $ 2,300,876 | $ 2,398,721 |
Fair Value Measurements (Tables)
|
3 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2012
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Fair Value, Measurement Inputs, Disclosure | The
Company’s financial assets and liabilities carried at fair
value on a recurring basis, including the level in the fair value
hierarchy, at March 31, 2012 and December 31, 2011 is presented
below.
|
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Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The
table below provides a summary of the changes in the fair value of
securities classified as Level 3.
|
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Fair Value Measurements, Significant Unobservable Inputs | A
summary of the significant inputs used to estimate the fair value
of Non-Agency RMBS follows:
|
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Fair Value, by Balance Sheet Grouping | The
following table presents the carrying value and fair value, as
described above, of the Company’s financial instruments at
March 31, 2012 and December 31, 2011.
|
Securitized Loans Held for Investment (Tables)
|
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2012
|
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Summary of Changes in Carrying Value of Securitized Loans Held for Investment | The
following table provides a summary of the changes in the carrying
value of securitized loans held for investment at March 31, 2012
and December 31, 2011:
|
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Schedule Of Securitized Loans Held For Investment Amortized Cost | The
following table represents the Company’s securitized
residential mortgage loans classified as held for investment at
March 31, 2012 and December 31, 2011:
|
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Schedule Of Securitized Loans Held For Investment Key Characteristics Of Underlying Collateral | The
securitized loan portfolio is collateralized by prime, jumbo, first
lien residential mortgages of which 55.2% were originated during
2011, 19.6% during 2010, and the remaining 25.2% of the loans were
originated prior to 2010. A summary of key
characteristics of these loans follows.
|
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Summary Of Allowance For Losses | The
following table summarizes the changes in the allowance for loan
losses for the securitized mortgage loan portfolio during the
quarters ended March 31, 2012 and December 31, 2011:
|
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Schedule Of Loans Greater Than 30 Days Delinquent | The
following table summarizes the outstanding principal balance of
loans 30 days delinquent and greater at March 31, 2012 and December
31, 2011.
|
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Schedule Of Loans Modified | The
following table presents the loans that were modified by the
servicer during the period.
|
Residential Mortgage-Backed Securities - Credit Ratings (Detail) (Non-Agency RMBS [Member])
|
Mar. 31, 2012
|
Dec. 31, 2011
|
---|---|---|
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 100.00% | 100.00% |
AAA Credit Rating [Member]
|
||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.00% | 0.53% |
AA Credit Rating [Member]
|
||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.62% | 0.14% |
A Credit Rating [Member]
|
||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.19% | 0.45% |
BBB Credit Rating [Member]
|
||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 1.50% | 1.54% |
BB Credit Rating [Member]
|
||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.00% | 0.00% |
B Credit Rating [Member]
|
||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 2.17% | 0.43% |
Below B or Not Rated Credit Rating [Member]
|
||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 95.52% | 96.91% |
Organization - Narrative (Detail)
|
3 Months Ended |
---|---|
Mar. 31, 2012
|
|
Organization, Consolidation and Presentation of Financial Statements Disclosure [Line Items] | |
Percentage of the Company's common shares owned by Annaly Capital Management, Inc. | 4.38% |
Company manager | Fixed Income Discount Advisory Company |
Nature of relationship | FIDAC is a wholly-owned subsidiary of Annaly |
Residential Mortgage Backed Securities - Unrealized Loss Positions (Detail) (Residential Mortgage Backed Securities [Member], USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2012
Item
|
Dec. 31, 2011
Item
|
---|---|---|
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 123,905 | $ 440,955 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | (14,899) | (73,489) |
Number of Securities of RMBS in continuous loss position for less than 12 months | 19 | 63 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | 675,391 | 723,310 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | (75,931) | (80,807) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | 48 | 48 |
Estimated fair value of RMBS in continuous loss position | 799,296 | 1,164,265 |
Unrealized losses on RMBS in continuous loss position | (90,830) | (154,296) |
Number of Securities in continuous loss position | 67 | 111 |
Non-Agency RMBS - Senior [Member]
|
||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | 0 | 0 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | 0 | 0 |
Number of Securities of RMBS in continuous loss position for less than 12 months | 0 | 0 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | 114 | 127 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | (34) | (41) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | 1 | 1 |
Estimated fair value of RMBS in continuous loss position | 114 | 127 |
Unrealized losses on RMBS in continuous loss position | (34) | (41) |
Number of Securities in continuous loss position | 1 | 1 |
Non-Agency RMBS - Senior interest-only [Member]
|
||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | 68,425 | 99,351 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | (9,158) | (18,756) |
Number of Securities of RMBS in continuous loss position for less than 12 months | 10 | 26 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | 15,751 | 17,647 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | (4,951) | (3,161) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | 10 | 12 |
Estimated fair value of RMBS in continuous loss position | 84,176 | 116,998 |
Unrealized losses on RMBS in continuous loss position | (14,109) | (21,917) |
Number of Securities in continuous loss position | 20 | 38 |
Non-Agency RMBS - Subordinated [Member]
|
||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | 51,386 | 321,416 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | (5,591) | (52,824) |
Number of Securities of RMBS in continuous loss position for less than 12 months | 7 | 33 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | 245,467 | 111,167 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | (56,439) | (25,430) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | 26 | 17 |
Estimated fair value of RMBS in continuous loss position | 296,853 | 432,583 |
Unrealized losses on RMBS in continuous loss position | (62,030) | (78,254) |
Number of Securities in continuous loss position | 33 | 50 |
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]
|
||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | 0 | |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | 0 | |
Number of Securities of RMBS in continuous loss position for less than 12 months | 0 | |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | 412,595 | 594,369 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | (14,367) | (52,175) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | 10 | 18 |
Estimated fair value of RMBS in continuous loss position | 412,595 | 594,369 |
Unrealized losses on RMBS in continuous loss position | (14,367) | (52,175) |
Number of Securities in continuous loss position | 10 | 18 |
Agency RMBS [Member]
|
||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | 4,094 | 3,888 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | (150) | (355) |
Number of Securities of RMBS in continuous loss position for less than 12 months | 2 | 2 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | 1,464 | |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | (140) | |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | 1 | |
Estimated fair value of RMBS in continuous loss position | 5,558 | 3,888 |
Unrealized losses on RMBS in continuous loss position | (290) | (355) |
Number of Securities in continuous loss position | 3 | 2 |
Non-Agency RMBS - Subordinated interest-only [Member]
|
||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | 16,300 | |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | (1,554) | |
Number of Securities of RMBS in continuous loss position for less than 12 months | 2 | |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | 0 | |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | 0 | |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | 0 | |
Estimated fair value of RMBS in continuous loss position | 16,300 | |
Unrealized losses on RMBS in continuous loss position | $ (1,554) | |
Number of Securities in continuous loss position | 2 |
Residential Mortgage Backed Securities - Year Originated (Detail) (Non-Agency RMBS [Member])
|
Mar. 31, 2012
|
Dec. 31, 2011
|
---|---|---|
Non-Agency RMBS [Member]
|
||
Origination Year as a Percentage of Outstanding Principal Balance | ||
2001 | 0.20% | 0.20% |
2003 | 0.90% | 0.90% |
2004 | 1.30% | 1.30% |
2005 | 13.00% | 13.80% |
2006 | 32.80% | 31.80% |
2007 | 48.70% | 48.70% |
2008 | 3.10% | 3.30% |
Total | 100.00% | 100.00% |
Interest Rate Swaps (Tables)
|
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2012
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location | The
table below summarizes the location and fair value of interest rate
swaps reported in the Consolidated Statements of Financial
Condition as of March 31, 2012 and December 31, 2011.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Interest Rate Derivatives - Location, Amounts, and Netting | The
effect of the Company’s interest rate swaps on the
Consolidated Statements of Operations and Comprehensive Income is
presented below.
|
Repurchase Agreements - Maturities (Detail) (USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2012
|
Dec. 31, 2011
|
---|---|---|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 2,502,870 | $ 2,672,989 |
Overnight [Member]
|
||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 0 | 0 |
1-30 days [Member]
|
||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 1,350,377 | 1,368,945 |
30 to 59 days [Member]
|
||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 377,686 | 836,007 |
60 to 89 days [Member]
|
||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 296,201 | |
90 to 189 days [Member]
|
||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 92,110 | 171,836 |
Greater than or equal to 120 days [Member]
|
||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 386,496 | $ 296,201 |
Interest Rate Swaps - Statement of Financial Condition (Detail) (USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2012
|
Dec. 31, 2011
|
|||
---|---|---|---|---|---|
Derivatives, Fair Value [Line Items] | |||||
Derivative liabilities - Net estimated fair value/carrying value | $ (43,655) | $ (44,467) | [1] | ||
Liabilities [Member] | Interest Rate Swaps [Member]
|
|||||
Derivatives, Fair Value [Line Items] | |||||
Derivative liabilities - Notional amount | 1,355,000 | 950,000 | |||
Derivative liabilities - Net estimated fair value/carrying value | (43,655) | (44,467) | |||
Net Estimated Fair Value of RMBS Pledged as Collateral | $ 48,646 | $ 46,647 | |||
|
Repurchase Agreements - Narrative (Detail) (USD $)
|
3 Months Ended | |
---|---|---|
Mar. 31, 2012
D
|
Dec. 31, 2011
D
|
|
Short-term Debt [Line Items] | ||
Repurchase agreements outstanding | $ 2,502,870,000 | $ 2,672,989,000 |
Weighted average borrowing rates | 0.37% | 0.35% |
Weighted average remaining maturities, in days | 49 | 48 |
RMBS pledged as collateral under repurchase agreements, at estimated fair value | 2,600,000,000 | 2,800,000,000 |
The average daily balances of the Company's repurchase agreements for the quarters | $ 2,600,000,000 | $ 3,400,000,000 |
Description of variable interest rate | The interest rates of these repurchase agreements are generally indexed to the one-month or the three-month LIBOR rate and re-price accordingly |
Residential Mortgage Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) (Non-Agency RMBS [Member])
|
3 Months Ended | |||||
---|---|---|---|---|---|---|
Mar. 31, 2012
|
Mar. 31, 2011
|
|||||
Minimum [Member]
|
||||||
Investment Holdings [Line Items] | ||||||
Loss Severity | 33.00% | 38.00% | ||||
60+ days delinquent | 0.00% | 0.00% | ||||
Credit Enhancement | 0.00% | [1] | 1.00% | [1] | ||
3 Month CPR | 0.00% | 4.00% | ||||
12 Month CPR | 9.00% | 4.00% | ||||
Maximum [Member]
|
||||||
Investment Holdings [Line Items] | ||||||
Loss Severity | 74.00% | 97.00% | ||||
60+ days delinquent | 45.00% | 52.00% | ||||
Credit Enhancement | 72.00% | [1] | 88.00% | [1] | ||
3 Month CPR | 25.00% | 36.00% | ||||
12 Month CPR | 35.00% | 27.00% | ||||
Weighted Average [Member]
|
||||||
Investment Holdings [Line Items] | ||||||
Loss Severity | 54.00% | 61.00% | ||||
60+ days delinquent | 28.00% | 33.00% | ||||
Credit Enhancement | 14.00% | [1] | 7.00% | [1] | ||
3 Month CPR | 14.00% | 16.00% | ||||
12 Month CPR | 16.00% | 16.00% | ||||
|
Variable Interest Entities - Effect on Consolidated Cash Flow (Detail) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | |
---|---|---|
Mar. 31, 2012
|
Mar. 31, 2011
|
|
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Amortization of deferred financing costs | $ 3,221 | $ 456 |
Amortization of debt issue costs of securitized debt | 8,103 | 3,352 |
Payment of deferred financing costs | (4,369) | |
Proceeds from securitized debt borrowings, loans held for investment | 696,113 | |
Payments on securitized debt borrowings, loans held for investment | (19,730) | (23,861) |
Proceeds from securitized debt borrowings, RMBS transferred to consolidated VIEs | 311,012 | |
Payments on securitized debt borrowings, RMBS transferred to consolidated VIEs | (129,889) | (178,084) |
Decrease (increase) in accrued interest receivable | (1,288) | (9,163) |
Increase (decrease) in accrued interest payable | 898 | 902 |
Residential Mortgage Backed Securities transferred to consolidated VIEs [Member]
|
||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Principal payments | 132,630 | 194,385 |
Variable Interest Entity, Primary Beneficiary [Member]
|
||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Amortization of deferred financing costs | 3,221 | 456 |
Amortization of debt issue costs of securitized debt | 8,103 | 3,352 |
Payment of deferred financing costs | (4,369) | |
Proceeds from securitized debt borrowings, loans held for investment | 696,113 | |
Payments on securitized debt borrowings, loans held for investment | (19,730) | (23,861) |
Proceeds from securitized debt borrowings, RMBS transferred to consolidated VIEs | 311,012 | |
Payments on securitized debt borrowings, RMBS transferred to consolidated VIEs | (129,889) | (178,084) |
Decrease (increase) in accrued interest receivable | (2,031) | 173 |
Increase (decrease) in accrued interest payable | 1,264 | 474 |
Net cash provided by/(used in) consolidated VIEs | 685,312 | 307,907 |
Variable Interest Entity, Primary Beneficiary [Member] | Residential Mortgage Backed Securities transferred to consolidated VIEs [Member]
|
||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Principal payments | $ 132,630 | $ 194,385 |
Residential Mortgage-Backed Securities (Tables)
|
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2012
|
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Schedule of Available-for-sale Securities Reconciliation | The
following tables present the principal or notional value, total
premium, total discount, amortized cost, fair value, gross
unrealized gains, gross unrealized losses, and net unrealized gain
(loss) related to the Company’s available-for-sale RMBS
portfolio as of March 31, 2012 and December 31, 2011, by asset
class.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Changes in Accretable Yield | The
table below presents changes in Accretable Yield, or the excess of
the security’s cash flows expected to be collected over the
Company’s investment, solely as it pertains to the
Company’s Non-Agency RMBS portfolio accounted for according
to the provisions of ASC 310-30.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Non-Agency RMBS Having Deteriorated Credit When Acquired | The
table below presents the outstanding principal balance and related
carrying amount at the beginning and ending of the quarterly
periods ending March 31, 2012 and December 31, 2011 as it pertains
to the Company’s Non-Agency RMBS portfolio accounted for
according to the provisions of ASC 310-30.
|
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Schedule of Temporary Impairment Losses, Investments | The
following tables present the gross unrealized losses and estimated
fair value of the Company’s RMBS by length of time that such
securities have been in a continuous unrealized loss position at
March 31, 2012 and December 31, 2011. All securities in
an unrealized loss position have been evaluated by the Company for
OTTI as discussed in Note 2(d).
|
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Other than Temporary Impairment, Credit Losses Recognized in Earnings | A
summary of the OTTI included in earnings for the quarters ended
March 31, 2012 and 2011 is presented below.
Net
other-than-temporary credit impairment losses recognized in
earnings are estimated using significant unobservable
inputs. The following table presents a roll forward of
the credit loss component of OTTI on the Company’s Non-Agency
RMBS for which a non-credit component of OTTI was previously
recognized in other comprehensive income. The table
delineates between those securities that are recognizing OTTI for
the first time as opposed to those that have previously recognized
OTTI.
|
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Other than Temporary Impairment of Investments Recorded in Earnings, Significant Inputs and Assumptions | The
significant inputs used to measure the component of OTTI recognized
in earnings for the Company’s Non-Agency RMBS are summarized
as follows:
|
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Summary of Unrealized Gains and Losses on RMBS | The
following tables present a summary of unrealized gains and losses
at March 31, 2012 and December 31, 2011. Interest-only
RMBS included in the tables below represent the right to receive a
specified proportion of the contractual interest cash flows of the
underlying unamortized principal balance of specific
securities. At March 31, 2012, interest-only RMBS had a
net unrealized gain of $12.3 million and had an amortized cost of
$232.1 million. At December 31, 2011, interest-only RMBS had
a net unrealized loss of $5.7 million and had an amortized cost of
$237.8 million.
The
fair value of IOs at March 31, 2012 and December 31, 2011 was
$244.4 million, and $232.1 million, respectively.
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Residential Mortgage-Backed Securities, Collateral Characteristics | The
following tables provide a summary of the Company’s RMBS
portfolio at March 31, 2012 and December 31, 2011.
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Credit Ratings Of Residential MBS | The
following table presents the weighted average credit rating, based
on the lowest rating available, of the Company’s Non-Agency
RMBS portfolio at March 31, 2012 and December 31,
2011.
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Schedule Of Mortgage Backed Securities By Estimated Weighted Average Life Classification | The
following tables provide a summary of the fair value and amortized
cost of the Company’s RMBS at March 31, 2012 and December 31,
2011 according to their estimated weighted-average life
classifications. The weighted-average lives of the RMBS
in the tables below are based on lifetime expected prepayment rates
using the prepayment model for the Agency RMBS portfolio and the
Company’s prepayment assumptions for the Non-Agency
RMBS. The prepayment model considers current yield,
forward yield, steepness of the interest rate curve, current
mortgage rates, mortgage rates of the outstanding loan, loan age,
margin, and volatility.
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Schedule Of Collateral Characteristics Of Underlying Mortgages Of Nonagency MBS Portfolio | The
Non-Agency RMBS in the Portfolio have the following collateral
characteristics at March 31, 2012 and December 31,
2011.
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Schedule Of Percentage Of Non Agency Residential MBS By Year Originated | The
table below presents the origination year of the underlying loans
related to the Company’s portfolio of Non-Agency RMBS at
March 31, 2012 and December 31, 2011.
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CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) (USD $)
|
3 Months Ended | |
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Mar. 31, 2012
|
Mar. 31, 2011
|
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Common dividends declared, per share | $ 0.11 | $ 0.14 |
Organization
|
3 Months Ended |
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Mar. 31, 2012
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Organization |
1. Organization
Chimera
Investment Corporation (the “Company”) was organized in
Maryland on June 1, 2007. The Company commenced
operations on November 21, 2007 when it completed its initial
public offering. The Company elected to be taxed as a
real estate investment trust (“REIT”), under the
Internal Revenue Code of 1986, as amended. The Company
formed the following wholly-owned qualified REIT
subsidiaries: Chimera Securities Holdings, LLC in July
2008; Chimera Asset Holding LLC and Chimera Holding LLC in June
2009; Chimera Special Holding LLC in January 2010 which is a
wholly-owned subsidiary of Chimera Asset Holding LLC. In
July 2010, the Company formed CIM Trading Company LLC, a
wholly-owned taxable REIT subsidiary
(“TRS”).
Annaly
Capital Management, Inc. (“Annaly”) owns approximately
4.38% of the Company’s common shares. The Company
is managed by Fixed Income Discount Advisory Company
(“FIDAC”), an investment advisor registered with the
Securities and Exchange Commission
(“SEC”). FIDAC is a wholly-owned subsidiary
of Annaly.
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Securitized Loans Held for Investment
|
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2012
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Securitized Loans Held for Investment |
4. Securitized Loans Held for Investment
The
Company is considered to be the primary beneficiary of certain VIEs
formed for the purpose of securitizing whole mortgage
loans. Refer to Note 8 for additional details regarding
the Company’s involvement with VIEs.
The
securitized loans held for investment are carried at their
principal balance outstanding, plus unamortized premiums, less
unaccreted discounts and an allowance for loan
losses. During the quarter ended March 31, 2012, the
Company was required to consolidate the CSMC 2012-CIM1 Trust, a
securitization collateralized by high quality, jumbo, prime,
residential mortgage loans. The Company transferred
$741.9 million in principal value to the CSMC 2012-CIM1 Trust that
was recorded as a secured borrowing pursuant to ASC
860. In this transaction, the Company financed $696.3
million of AAA-rated and AA-rated fixed rate bonds by selling the
bonds to third party investors for net proceeds of $696.1
million.
The
following table provides a summary of the changes in the carrying
value of securitized loans held for investment at March 31, 2012
and December 31, 2011:
The
following table represents the Company’s securitized
residential mortgage loans classified as held for investment at
March 31, 2012 and December 31, 2011:
The
securitized loan portfolio is collateralized by prime, jumbo, first
lien residential mortgages of which 55.2% were originated during
2011, 19.6% during 2010, and the remaining 25.2% of the loans were
originated prior to 2010. A summary of key
characteristics of these loans follows.
The
following table summarizes the changes in the allowance for loan
losses for the securitized mortgage loan portfolio during the
quarters ended March 31, 2012 and December 31, 2011:
The
Company has established an allowance for loan losses related to
securitized loans that is composed of a general and specific
reserve. The balance in the allowance for loan losses
related to the general reserve at March 31, 2012 and December 31,
2011 was $6.8 million and $6.3 million,
respectively. The balance in the allowance for loan
losses related to the specific reserve at March 31, 2012 and
December 31, 2011 was $7.0 million and $7.6 million,
respectively.
The
Company’s overall provision for loan losses is described in
Note 2(g). The Company’s general reserve is based
on historical loss rates for pools of loans with similar credit
characteristics, adjusted for current trends and market conditions,
including current trends in delinquencies and
severities. The Company has established a specific
reserve that reflects consideration of loans more than 60 days
delinquent, loans in foreclosure, borrowers that have declared
bankruptcy, and real estate owned. The loan loss
provision related to these loans is measured as the difference
between the unpaid principal balance and the estimated fair value
of the property securing the mortgage, less estimated costs to
sell. The specific reserve also reflects consideration
of concessions granted to borrowers by the servicer in the form of
modifications (i.e., reductions). Loan loss provisions
related to these modifications are based on the contractual
principal and interest payments, post-modification, discounted at
the loan’s original effective interest rate.
The
total unpaid principal balance of impaired loans for which the
Company established a specific reserve was $29.3 million and $32.9
million at March 31, 2012 and December 31, 2011,
respectively. The Company’s recorded investment in
impaired loans for which there is a related allowance for credit
losses at March 31, 2012 and December 31, 2011 was $22.7 million
and $14.3 million, respectively. The total unpaid
principal balance of non-impaired loans for which the Company
established a general reserve was $217.4 million and $235.2 million
at March 31, 2012 and December 31, 2011,
respectively. The Company’s recorded investment in
loans that are not impaired for which there is a related general
reserve for credit losses at March 31, 2012 and December 31, 2011
was $213.0 million and $228.9 million, respectively.
The
following table summarizes the outstanding principal balance of
loans 30 days delinquent and greater at March 31, 2012 and December
31, 2011.
With
the exception of its ability to approve loan modifications solely
as it relates to CSMC 2012 CIM1 as further described in Note 2(g),
the Company does not service or modify loans held for
investment. The trustee and servicer of the respective
securitization are responsible for servicing and modifying these
loans. The Company is required to make certain
assumptions in accounting for loans held for investment due to the
limitation of information available to the Company. The
following table presents the loans that were modified by the
servicer during the period.
Loans are modified by the servicer as a method of loss mitigation. Based on the information available, during the quarter ended March 31, 2012, the Company determined that all loans modified by the servicer were considered troubled debt restructurings, as defined under GAAP. A troubled debt restructuring is generally any modification of a loan to a borrower that is experiencing financial difficulties, where a lender agrees to terms that are more favorable to the borrower than are otherwise available in the current market. All loan modifications during the first quarters of 2012 and 2011 included a reduction of the stated interest rates. Loans modified by the servicer have been individually assessed for impairment and measurement of impairment is based on the excess of the recorded investment in the loan over the present value of the expected cash flows, post modification, discounted at the loan’s effective interest rate at inception. In the absence of additional loan modifications by the servicer in future periods that are considered to be TDR’s, the $4.2 million specific reserve related to TDR’s as of March 31, 2012 will be recognized in net income in future periods by way of a decrease in the provision for loan losses. |
Interest Rate Swaps - Statement of Operations (Detail) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | |
---|---|---|
Mar. 31, 2012
|
Mar. 31, 2011
|
|
Derivative Instruments, Gain (Loss) [Line Items] | ||
Statements of Comprehensive Income (Loss) Unrealized Gains (Losses) on Interest Rate Swaps | $ 812 | $ 9,831 |
Location on Consolidated Statements of Operations and Comprehensive Income (Loss) Realized Gains (Losses) on Interest Rate Swaps | (4,398) | (2,847) |
Interest Rate Swaps [Member] | Unrealized Gains (Losses) on Interest Rate Swaps [Member]
|
||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Statements of Comprehensive Income (Loss) Unrealized Gains (Losses) on Interest Rate Swaps | 812 | 9,831 |
Interest Rate Swaps [Member] | Realized Gains (Losses) on Interest Rate Swaps [Member]
|
||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Location on Consolidated Statements of Operations and Comprehensive Income (Loss) Realized Gains (Losses) on Interest Rate Swaps | $ (4,398) | $ (2,847) |
Summary of the Significant Accounting Policies
|
3 Months Ended | |||||||||||||||||||||||||||
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Mar. 31, 2012
|
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Summary of the Significant Accounting Policies |
2. Summary of the Significant Accounting
Policies
Restatement
The
Company restated its previously issued (i) consolidated statement
of financial condition included in its Annual Report on Form 10-K
as of December 31, 2010 and (ii) consolidated statements of
operations and comprehensive income, consolidated statements of
changes in stockholders’ equity, and consolidated statements
of cash flows for the years ended December 31, 2010 and 2009,
including the cumulative effect of the restatement on retained
earnings (accumulated deficit) as of the earliest period presented
(the “Restatement”) as part of its Form 10-K for the
year ended December 31, 2011. The Restatement also
impacted each of the quarters for the periods beginning with the
Company’s inception in November 2007 through the quarter
ended September 30, 2011. The historical interim
periods included in this Form 10-Q have been restated to reflect
the Restatement.
(a) Basis of Presentation and Consolidation
The
accompanying consolidated financial statements and related notes of
the Company have been prepared in accordance with accounting
principles generally accepted in the United States ("U.S. GAAP").
In the opinion of management, all adjustments considered necessary
for a fair presentation of the Company's financial position,
results of operations and cash flows have been
included. The accompanying unaudited consolidated
interim financial statements should be read in conjunction with the
consolidated financial statements and the related
management’s discussion and analysis of financial condition
and results of operations filed with our Annual Report on Form 10-K
for the fiscal year ended December 31, 2011.
The
consolidated financial statements include, on a consolidated basis,
the Company’s accounts, the accounts of its wholly-owned
subsidiaries, and variable interest entities (“VIEs”)
in which the Company is the primary beneficiary. All significant
intercompany balances and transactions have been eliminated in
consolidation.
VIEs
are defined as entities in which equity investors (i) do not have
the characteristics of a controlling financial interest, and/or
(ii) do not have sufficient equity at risk for the entity to
finance its activities without additional subordinated financial
support from other parties. The entity that consolidates a VIE is
known as its primary beneficiary, and is generally the entity with
(i) the power to direct the activities that most significantly
impact the VIE’s economic performance, and (ii) the right to
receive benefits from the VIE or the obligation to absorb losses of
the VIE that could be significant to the VIE. For VIEs
that do not have substantial on going activities, the power to
direct the activities that most significantly impact the
VIEs’ economic performance may be determined by an
entity’s involvement with the design and structure of the
VIE.
The
Company uses securitization trusts considered to be VIEs in its
securitization and re-securitization transactions. Prior
to January 1, 2010, these VIEs met the definition of Qualified
Special Purpose Entities (“QSPE”) and, as such, were
not subject to consolidation by the Company. Effective
January 1, 2010, all such VIEs were considered for consolidation
based on the criteria in ASC 810, Consolidation,
resulting in the consolidation of certain VIEs that were not
previously consolidated. Non-Agency RMBS transferred to
consolidated VIEs are composed entirely of senior
certificates.
(b) Statement of Financial Condition Presentation
The
Company’s consolidated statements of financial condition
separately present: (i) the Company’s direct assets and
liabilities, and (ii) the assets and liabilities of consolidated
securitization vehicles. Assets of each consolidated VIE can only
be used to satisfy the obligations of that VIE, and the liabilities
of consolidated VIEs are non-recourse to the Company.
The
Company has aggregated all the assets and liabilities of the
consolidated securitization vehicles due to the determination that
these entities are substantively similar and therefore a further
disaggregated presentation would not be more meaningful. The notes
to the consolidated financial statements describe the
Company’s direct assets and liabilities and the assets and
liabilities of consolidated securitization vehicles. See
Note 8 for additional information related to the Company’s
investments in consolidated securitization vehicles.
(c) Cash and Cash Equivalents
Cash
and cash equivalents include cash on hand and cash deposited
overnight in money market funds, which are not bank deposits and
are not insured or guaranteed by the Federal Deposit Insurance
Corporation. There were no restrictions on cash and cash
equivalents at March 31, 2012 and December 31, 2011.
(d) Agency and Non-Agency Residential Mortgage-Backed
Securities
The
Company invests in residential mortgage-backed securities
(“RMBS”) representing interests in obligations backed
by pools of mortgage loans. The Company delineates
between (1) Agency RMBS and (2) Non-Agency RMBS as follows: Agency
RMBS are mortgage pass-through certificates, collateralized
mortgage obligations (“CMOs”), and other RMBS
representing interests in or obligations backed by pools of
mortgage loans issued or guaranteed by agencies of the U.S.
Government, such as Ginnie Mae, or federally chartered corporations
such as Freddie Mac or Fannie Mae where principal and interest
repayments are guaranteed. Non-Agency RMBS are not issued or
guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae and are
therefore subject to credit risk. Repayment of principal
and interest on Non-Agency RMBS is subject to the performance of
the mortgage loans or RMBS collateralizing the
obligation.
The
Company classifies its RMBS as available-for-sale, records
investments at estimated fair value as described in Note 5 of these
consolidated financial statements, and includes unrealized gains
and losses considered to be temporary on all RMBS, excluding
interest-only strips, in other comprehensive income (loss) in the
Consolidated Statements of Operations and Comprehensive
Income. Interest-only strips are recorded at estimated
fair value and all unrealized gains and losses are included in
earnings in the Consolidated Statements of Operations and
Comprehensive Income. From time to time, as part of the
overall management of its portfolio, the Company may sell any of
its RMBS investments and recognize a realized gain or loss as a
component of earnings in the Consolidated Statements of Operations
and Comprehensive Income utilizing the average cost
method.
The
Company’s accounting policy for interest income and
impairment related to its RMBS is as follows:
Interest Income Recognition
The
recognition of interest income on RMBS securities varies depending
on the characteristics of the security as follows:
Agency RMBS and Non-Agency RMBS of High Credit Quality
ASC
310-20, Nonrefundable Fees and Other
Costs (“ASC 310-20”) is applied to the
recognition of interest income for the following
securities:
Under
ASC 310-20, interest income, including premiums and discounts
associated with the acquisition of these securities, is recognized
over the life of such securities using the interest method based on
the contractual cash flows of the security. In
applying the interest method, the Company considers estimates of
future principal prepayments in the calculation of the constant
effective yield. Differences that arise between previously
anticipated prepayments and actual prepayments received, as well as
changes in future prepayment assumptions, result in a recalculation
of the effective yield on the security on a quarterly basis. This
recalculation results in the recognition of an adjustment to the
carrying amount of the security based on the revised prepayment
assumptions and a corresponding increase or decrease in reported
interest income.
Non-Agency RMBS Not of High Credit Quality
Non-Agency
RMBS that are purchased at a discount and that are not of high
credit quality at the time of purchase are accounted for under ASC
310-30, Loans and
Debt Securities Acquired with Deteriorated Credit Quality
(“ASC 310-30”) or ASC 325-40, Beneficial Interests in
Securitized Financial Assets (“ASC 325-40”)
(referred to hereafter as “Non-Agency RMBS Not of High Credit
Quality”).
Non-Agency
RMBS are accounted for under ASC 310-30 if the following conditions
are met as of the acquisition date:
Non-Agency
RMBS are accounted for under ASC 325-40 if both of the following
conditions are met as of the acquisition date:
Interest
income on Non-Agency RMBS Not of High Credit Quality is recognized
using the interest method based on management’s estimates of
cash flows expected to be collected. The effective interest rate on
these securities is based on management’s estimate for each
security of the projected cash flows, which are estimated based on
observation of current market information and include assumptions
related to fluctuations in prepayment speeds and the timing and
amount of credit losses. Quarterly, the Company reviews and, if
appropriate, makes adjustments to its cash flow projections based
on inputs and analyses received from external sources, internal
models, and the Company’s judgments about prepayment rates,
the timing and amount of credit losses, and other factors. Changes
in the amount and/or timing of cash flows from those originally
projected, or from those estimated at the last evaluation date, are
considered to be either positive changes or adverse changes. For
securities accounted for under ASC 325-40, any positive or adverse
change in cash flows that does not result in the recognition of an
other-than-temporary impairment results in a prospective increase
or decrease in the effective interest rate used to recognize
interest income. For securities accounted for under ASC 310-30,
only significant positive changes are reflected prospectively in
the effective interest rate used to recognize interest
income. Adverse changes in cash flows expected to be
collected are generally treated consistently for RMBS accounted for
under ASC 325-40 and ASC 310-30, and generally result in
recognition of an other-than-temporary impairment with no change in
the effective interest rate used to recognize interest
income.
Impairment
Considerations Applicable to all RMBS
When
the fair value of an available-for-sale RMBS is less than its
amortized cost the security is considered impaired. On
at least a quarterly basis the Company evaluates its securities for
other-than-temporary impairment (“OTTI”). If
the Company intends to sell an impaired security, or it is
more-likely-than-not that the Company will be required to sell an
impaired security before its anticipated recovery, then the Company
must recognize an OTTI through a charge to earnings equal to the
entire difference between the investment’s amortized cost and
its fair value at the measurement date. If the Company
does not intend to sell an impaired security and it is not
more-likely-than-not that it would be required to sell an impaired
security before recovery, the Company must further evaluate the
security for impairment due to credit losses. The credit component
of OTTI is recognized in earnings and the remaining or non-credit
component is recorded as a component of OCI. Following the
recognition of an OTTI through earnings, a new amortized cost basis
is established for the security and subsequent recoveries in fair
value may not be adjusted through earnings.
When
evaluating whether the Company intends to sell an impaired security
or will more-likely-than-not be required to sell an impaired
security before recovery, the Company makes judgments that consider
among other things, its liquidity, leverage, contractual
obligations, and targeted investment strategy to determine its
intent and ability to hold the investments that are deemed
impaired. The determination as to whether an OTTI exists
is subjective as such determinations are based on factual
information available at the time of assessment as well as the
Company’s estimates of future conditions. As a
result, the determination of OTTI, its timing and amount, are based
on estimates that may change materially over time.
The
Company’s estimate of the amount and timing of cash flows for
its RMBS is based on its review of the underlying securities or
mortgage loans securing the RMBS. The Company considers
historical information available and expected future performance of
the underlying securities or mortgage loans, including timing of
expected future cash flows, prepayment rates, default rates, loss
severities, delinquency rates, percentage of non-performing loans,
extent of credit support available, Fair Isaac Corporation
(“FICO”) scores at loan origination, year of
origination, loan-to-value ratios, geographic concentrations, as
well as reports by credit rating agencies, such as Moody’s
Investors Service, Inc., Standard & Poor’s Rating
Services or Fitch Ratings, Inc., general market assessments and
dialogue with market participants. As a result,
substantial judgment is used in the Company’s analysis to
determine the expected cash flows for its RMBS.
Considerations Applicable to Non-Agency RMBS of High Credit
Quality
The
impairment assessment for Non-Agency RMBS of High Credit Quality
involves comparing the present value of the remaining cash flows
expected to be collected to the amortized cost of the security at
the assessment date. The discount rate used to calculate
the present value of the expected future cash flows is based on the
security’s effective interest rate as calculated under ASC
310-20 (i.e., the discount rate implicit in the security
as of the last measurement date). If the present
value of the remaining cash flows expected to be collected is less
than the amortized cost basis, an OTTI is recognized in earnings
for the difference. This amount is considered to be the credit loss
component; the remaining difference between amortized cost and the
fair value of the security is considered to be the non-credit
component of the OTTI, which is recognized in other comprehensive
income (loss).
Following
the recognition of an OTTI through earnings for the credit loss
component, a new amortized cost basis is established for the
security and subsequent recoveries in fair value may not be
adjusted through earnings.
Considerations Applicable to Non-Agency RMBS Not of High Credit
Quality
Non-Agency
RMBS within the scope of ASC 325-40 or ASC 310-30 are considered
other-than-temporarily impaired when the following two conditions
exist: (1) the fair value is less than the amortized cost basis,
and (2) there has been an adverse change in cash flows expected to
be collected from the last measurement date (i.e., adverse changes
in either the amount or timing of cash flows from those previously
expected).
The
other-than-temporary impairment is separated into a credit loss
component that is recognized in earnings and a non-credit component
that is recorded in other comprehensive income (loss). The credit
component is comprised of the impact of the fair value decline due
to changes in assumptions related to default (collection) risk and
prepayments. The non-credit component comprises the change in fair
value of the security due to all other factors, including changes
in benchmark interest rates and market liquidity. In
determining the OTTI related to credit losses for securities, the
Company compares the present value of the remaining cash flows
expected to be collected at the current financial reporting date to
the present value of the remaining cash flows expected to be
collected at the original purchase date (or the last date those
estimates were revised for accounting purposes). The
discount rate used to calculate the present value of expected
future cash flows is the effective interest rate used for income
recognition purposes as determined under ASC 325-40 or ASC 310-30
for purposes of recognizing interest income.
Following
the recognition of an OTTI through earnings for the credit
component, a new amortized cost basis is established for the
security and subsequent recoveries in fair value may not be
adjusted through earnings. However, to the extent that there are
subsequent increases in cash flows expected to be collected, the
OTTI previously recorded through earnings may be accreted into
interest income following the guidance in ASC 325-40 or ASC
310-30.
The
determination of whether an OTTI exists and, if so, the extent of
the credit component is subject to significant judgment and
management’s estimates of both historical information
available at the time of assessment, the current market
environment, as well as the Company’s estimates of the future
performance and projected amount and timing of cash flows expected
to be collected on the security. As a result, the timing and amount
of OTTI constitutes an accounting estimate that may change
materially over time.
(e) Interest-Only RMBS
The
Company invests in interest-only (“IO”) Agency and
Non-Agency RMBS. These IO RMBS represent the Company’s right
to receive a specified proportion of the contractual interest flows
of the collateral. The Company has accounted for IO RMBS at fair
value with changes in fair value recognized in the Company’s
Consolidated Statements of Operations and Comprehensive Income. The
IO RMBS are included in RMBS, at fair value, on the accompanying
Consolidated Statements of Financial Condition. Coupon
income on IO securities is accrued based on the outstanding
notional balance and the security’s contractual terms,
and amortization is computed in accordance with ASC 325-40. Changes
in fair value are presented in Net unrealized gains (losses) on
interest-only RMBS on the Consolidated Statement of Operations and
Comprehensive Income. Interest income reported on IO
securities was $6.0 million and $7.6 million for the quarters ended
March 31, 2012 and March 31, 2011, respectively.
(f) Securitized Loans Held for Investment and Related Allowance for
Loan Losses
The
Company’s securitized residential mortgage loans are
comprised of fixed-rate and variable-rate
loans. Mortgage loans are designated as held for
investment, and are carried at their principal balance outstanding,
plus any premiums, less discounts and allowances for loan
losses. Interest income on loans held for investment is
recognized over the life of the investment using the interest
method. Income recognition is suspended for loans when,
based on information from the servicer, a full recovery of income
and principal becomes doubtful. Income recognition is
resumed when the loan becomes contractually current and performance
is demonstrated to be resumed. The Company estimates the
fair value of securitized loans for disclosure purposes only as
described in Note 5 of these consolidated financial
statements.
(g) Allowance for Loan Losses – Securitized Loans Held for
Investment
The
securitized loan portfolio is comprised primarily of
non-conforming, single family, owner occupied, jumbo, prime loans
that are not guaranteed as to repayment of principal or
interest. Securitized loans are serviced and modified by
a third-party servicer. The Company is not involved in
the loan modification process, except as it relates to CSMC
2012-CIM1, a securitization vehicle consolidated by the Company
that is collateralized by residential mortgage loans. As
it relates solely to CSMC 2012-CIM1, the Company has the ability to
approve certain loan modifications and determine the course of
action to be taken as it relates to loans in technical default,
including whether or not to proceed with foreclosure.
The
Company has established an allowance for loan losses related to
securitized loans that is composed of a general and specific
reserve. The general reserve relates to loans that have not been
individually evaluated for impairment and is accounted for under
ASC 450, Contingencies. The
general reserve is based on historical loss rates for pools of
loans with similar credit characteristics, adjusted for current
trends and conditions.
Certain
loans are individually evaluated for impairment, including
securitized loans modified by the servicer and loans more than 60
days delinquent under ASC 310, Receivables. Loan
modifications made by the servicer are evaluated to determine if
they constitute troubled debt restructurings
(“TDRs”). A restructuring of a loan
constitutes a TDR if the servicer, for economic or legal reasons
related to the borrower's financial difficulties, grants a
concession to the borrower that it would not otherwise consider.
Impairment of modified loans considered to be TDRs is measured
based on the present value of expected cash flows discounted at the
loan’s effective interest rate at inception. If the present
value of expected cash flows is less than the recorded investment
in the loan, a provision for loan losses is recognized through an
allowance with a corresponding charge to provision for loan losses.
Impairment of all other loans individually evaluated is measured as
the difference between the unpaid principal balance and the
estimated fair value of the collateral, less estimated costs to
sell. The Company charges off the corresponding loan
allowance and related principal balance when the servicer reports
an actual credit writedown.
(h) Repurchase Agreements
The
Company finances the acquisition of a significant portion of its
Agency mortgage-backed securities with repurchase agreements. The
Company examines each of the specified criteria in ASC 860,
Transfers and
Servicing (“ASC 860”), at the inception of each
transaction and has determined that each of the Company’s
repurchase agreements meet the specified criteria in this guidance
to be accounted for as secured borrowings. None of the
Company’s repurchase agreements are accounted for as
components of linked transactions. As a result, the Company
separately accounts for the financial assets posted as collateral
and related repurchase agreements in the accompanying consolidated
financial statements.
(i) Securitized Debt, Non-Agency RMBS Transferred to Consolidated
VIEs, and Securitized Debt, Loans Held for Investment
The
Company has issued securitized debt to finance a portion of its
residential mortgage loan and RMBS portfolios. Certain
transactions involving residential mortgage loans are accounted for
as secured borrowings, and are recorded as “Securitized loans
held for investment” and the corresponding debt as
“Securitized debt, loans held for investment” in the
Consolidated Statements of Financial Condition. These
securitizations are collateralized by residential adjustable or
fixed rate mortgage loans that have been placed in a trust and pay
interest and principal to the debt holders of that
securitization. Re-securitization transactions
classified as “Securitized debt, Non-Agency RMBS transferred
to consolidated VIEs” reflect the transfer to a trust of
fixed or adjustable rate RMBS which are classified as
“Non-Agency RMBS transferred to consolidated VIEs” that
pay interest and principal to the debt holders of that
re-securitization. Re-securitization transactions
completed by the Company that did not qualify as a sale are
accounted for as secured borrowings pursuant to ASC 860. For the
quarter ended March 31, 2012, the Company did not have any
continuing involvement with any loans or securities previously
sold, except as it relates to the loans in the CSMC 2012-CIM1
securitization as further described above. The holders
of securitized debt have no recourse to the Company, and the
Company does not receive any interest or principal paid on such
debt. As of March 31, 2012 and December 31, 2011 the
Company recorded $2.4 billion and $1.9 billion in principal on
securitized debt and accrued interest payable,
respectively. The associated securitized debt is carried
at amortized cost and is non-recourse to the Company. The Company
estimates the fair value of its securitized debt for disclosure
purposes as described in Note 5 to these consolidated financial
statements.
(j) Fair Value Disclosure
A
complete discussion of the methodology utilized by the Company to
estimate the fair value of its financial instruments is included in
Note 5 to these consolidated financial statements.
(k) Derivative Financial Instruments
The
Company’s policies permit it to enter into derivative
contracts, including interest rate swaps and interest rate caps, as
a means of managing its interest rate risk. The Company intends to
use interest rate derivative instruments to manage interest rate
risk rather than to enhance returns. Interest rate swaps
are recorded as either assets or liabilities in the Consolidated
Statements of Financial Condition and measured at fair
value. Net payments on interest rate swaps are included
in the Consolidated Statements of Cash Flows as a component of net
income (loss). Unrealized gains (losses) on interest
rate swaps are removed from net income (loss) to arrive at cash
flows from operating activities. The Company estimates the fair
value of interest rate swaps as described in Note 5 of these
consolidated financial statements.
The
Company elects to net by counterparty the fair value of interest
rate swap contracts. These contracts contain legally
enforceable provisions that allow for netting or setting off of all
individual swaps receivable and payable with each counterparty and,
therefore, the fair value of those swap contracts are reported net
by counterparty. The credit support annex provisions of the
Company’s interest rate swap contracts allow the parties to
mitigate their credit risk by requiring the party which is in a net
payable position to post collateral. As the Company elects to net
by counterparty the fair value of interest rate swap contracts, it
also nets by counterparty any collateral exchanged as part of the
interest rate swap contracts.
(l) Sales, Securitizations, and Re-Securitizations
The
Company periodically enters into transactions in which it sells
financial assets, such as RMBS, and mortgage
loans. Gains and losses on sales of assets are computed
on the average cost method whereby the Company records a gain or
loss on the difference between the carrying value of the asset and
the proceeds from the sale. In addition, the Company
from time to time securitizes or re-securitizes assets and sells
tranches in the newly securitized assets. These
transactions may be recorded as either a sale and the assets
contributed to the securitization are removed from the Consolidated
Statements of Financial Condition and a gain or loss is recognized,
or as a secured borrowing whereby the assets contributed to the
securitization are not derecognized but rather the debt issued by
the securitization are recorded to reflect the term financing of
the assets. In these securitizations and
re-securitizations, the Company may retain senior or subordinated
interests in the securitized and/or re-securitized
assets.
(m) Income Taxes
The
Company elected to be taxed as a REIT, and therefore it generally
will not be subject to corporate federal or state income tax to the
extent that qualifying distributions are made to stockholders and
the REIT requirements, including certain asset, income,
distribution and stock ownership tests are met. If the Company
failed to qualify as a REIT and did not qualify for certain
statutory relief provisions, the Company would be subject to
federal, state and local income taxes and may be precluded from
qualifying as a REIT for the subsequent four taxable years
following the year in which the REIT qualification was lost. The
Company and CIM Trading made a joint election to treat CIM Trading
as a TRS. As such, CIM Trading is taxable as a domestic C
corporation and subject to federal, state, and local income taxes
based upon its taxable income.
The
provisions of ASC 740, Income Taxes
(“ASC 740”), clarify the accounting for uncertainty in
income taxes recognized in financial statements and prescribe a
recognition threshold and measurement attribute for tax positions
taken or expected to be taken on a tax return. The
Company does not have any unrecognized tax benefits that would
affect its financial position. The Company has not taken any tax
positions that would require disclosure under ASC
740. No accruals for penalties and interest were
necessary as of March 31, 2012 or December 31, 2011.
(n) Net Income per Share
The
Company calculates basic net income per share by dividing net
income for the period by the basic weighted-average shares of its
common stock outstanding for that period. Diluted net
income per share takes into account the effect of dilutive
instruments, such as unvested restricted stock, but uses the
average share price for the period in determining the number of
incremental shares that are to be added to the diluted weighted
average number of shares outstanding.
(o) Stock-Based Compensation
The
Company accounts for stock-based compensation awards granted to the
employees of FIDAC and FIDAC’s affiliates in accordance with
ASC 505-50, Equity-Based Payments to
Non-Employees (“ASC 505-50”). Pursuant to
ASC 505-50 the Company measures the fair value of the equity
instrument using the stock prices and other measurement assumptions
as of the earlier of either the date at which a performance
commitment by the recipient is reached or the date at which the
recipient’s performance is complete. Compensation expense
related to the grants of stock is recognized over the vesting
period of such grants based on the fair value of the stock on each
quarterly vesting date, at which the recipient’s performance
is complete.
The
Company accounts for stock-based compensation awards granted to the
Company’s independent directors in accordance with ASC 718,
Compensation – Stock Compensation
(“ASC 718”). Compensation expense for equity based
awards granted to the Company’s independent directors is
recognized pro-rata over the vesting period of such awards, based
upon the fair value of such awards at the grant date.
(p) Use of Estimates
The
preparation of financial statements in conformity with GAAP
requires management to make estimates and assumptions that affect
the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during
the reporting period. Although the Company’s estimates
contemplate current conditions and how it expects them to change in
the future, it is reasonably possible that actual conditions could
be materially different than anticipated in those estimates, which
could have a material adverse impact on the Company’s results
of operations and its financial condition. Management has made
significant estimates in accounting for income recognition and OTTI
on Agency and Non-Agency RMBS and IO RMBS (Note 3), valuation of
Agency and Non-Agency RMBS (Notes 3 and 5), and interest rate swaps
(Notes 5 and 9). Actual results could differ materially
from those estimates.
(q) Recent Accounting Pronouncements
Presentation
Balance Sheet (Topic 210)
On
December 23, 2011, the FASB released Accounting Standards Update
(“ASU”) 2011-11, Balance Sheet (Topic 210):
Disclosures about Offsetting Assets and
Liabilities. Under this update, the Company will
be required to disclose both gross information and net information
about both instruments and transactions eligible for offset in the
statement of financial position and transactions subject to an
agreement similar to a master netting arrangement. The
scope would include derivatives, sale and repurchase agreements and
reverse sale and repurchase agreements and securities borrowing and
securities lending arrangements. This disclosure
is intended to enable financial statement users to understand the
effect of such arrangements on the Company’s financial
position. The objective of this update is to support
further convergence between U.S. GAAP and International Financial
Reporting Standards (“IFRS”). This update is
effective for annual reporting periods beginning on or after
January 1, 2013. This update is expected to result in
additional disclosure.
Comprehensive Income (Topic 220)
In
June 2011, the FASB released ASU 2011-05, Comprehensive Income:
Presentation of Comprehensive Income, which attempts to
improve the comparability, consistency, and transparency of
financial reporting and increase the prominence of items reported
in Other Comprehensive Income (“OCI”). ASU
2011-05 requires that all non-owner changes in stockholders’
equity be presented either in a single continuous statement of net
income and comprehensive income or two separate consecutive
statements. Either presentation requires the
presentation on the face of the financial statements any
reclassification adjustments for items that are reclassified from
OCI to net income in the statements. There is no change
in what must be reported in OCI or when an item of OCI must be
reclassified to net income. This update is effective for
fiscal years, and interim periods within those years, beginning
after December 15, 2011. The Company adopted the
provisions of ASU 2011-05 effective January 1,
2012. Adoption of ASU 2011-05 did not have a significant
impact on the Company’s consolidated financial
statements.
On
December 23, 2011, the FASB issued ASU 2011-12, Comprehensive Income:
Deferral of Effective Date for Amendments to the Presentation of
Reclassifications of Items Out of Accumulated Other Comprehensive
Income In ASU No. 2011-05, which defers those changes in ASU
2011-05 that relate to the presentation of reclassification
adjustments out of accumulated OCI. This was done to allow the FASB
time to re-deliberate the presentation, on the face of the
financial statements, of the effects of reclassifications out of
accumulated OCI on the components of net income and
OCI. No other requirements under ASU 2011-05 are
affected by ASU 2011-12. FASB tentatively decided not to
require presentation of reclassification adjustments out of
accumulated other comprehensive income on the face of the financial
statements and to propose new disclosures instead.
In
March 2013, the FASB issued ASU 2013-02 Comprehensive Income:
Reporting of Amounts Reclassified Out of Accumulated Other
Comprehensive Income. This update addresses the
disclosure issue left open at the deferral under ASU 2011-12.
This update requires the provision of information about the amounts
reclassified out of accumulated OCI by component. In addition, it
requires presentation, either on the face of the statement where
net income is presented or in the Notes, significant amounts
reclassified out of accumulated OCI by the respective line items of
net income but only if the amount reclassified is required under
U.S. GAAP to be reclassified to net income in its entirety in the
same reporting period. For other amounts that are not required
under U.S. GAAP to be reclassified in their entirety to net income,
a cross-reference must be provided to other disclosures required
under U.S. GAAP that provide additional detail about those amounts.
This update is effective for reporting periods beginning after
December 15, 2012. Adoption of ASU 2013-02 is not expected to have
a significant impact on the consolidated financial
statements.
Broad
Transactions
Fair Value Measurements and Disclosures (Topic
820)
In
May 2011, the FASB released ASU 2011-04, Fair Value Measurement (Topic
820): Amendments to Achieve Common Fair Value Measurement and
Disclosure Requirements in U.S. GAAP and IFRS, further
converging U.S. GAAP and IFRS by providing common fair value
measurement and disclosure requirements. FASB made
changes to the fair value measurement guidance, which include: 1)
prohibiting the inclusion of block discounts in all fair value
measurements, not just Level 1 measurements, 2) adding guidance on
when to include other premiums and discounts in fair value
measurements, 3) clarifying that the concepts of
“highest and best use” and “valuation
premise” apply only when measuring the fair value of
non-financial assets and 4) adding an exception that allows the
measurement of a group of financial assets and liabilities with
offsetting risks (e.g., a portfolio of derivative contracts) at
their net exposure to a particular risk if certain criteria are
met. ASU 2011-04 also requires additional disclosure
related to items categorized as Level 3 in the fair value
hierarchy, including a description of the processes for valuing
these assets, providing quantitative information about the
significant unobservable inputs used to measure fair value and, in
certain cases, explaining the sensitivity of the fair value
measurements to changes in unobservable
inputs. This update is effective for reporting
periods beginning after December 15, 2011. Adoption of ASU 2011-04
increased the footnote disclosure in these consolidated financial
statements.
Transfers and Servicing (Topic 860)
In
April 2011, the FASB issued ASU 2011-03, Transfers and Servicing:
Reconsideration of Effective Control for Repurchase
Agreements. In a typical repurchase agreement
transaction, an entity transfers financial assets to the
counterparty in exchange for cash with an agreement for the
counterparty to return the same or equivalent financial assets for
a fixed price in the future. Prior to this update, one
of the factors in determining whether sale treatment could be used
was whether the transferor maintained effective control of the
transferred assets and, in order to do so, the transferor must have
the ability to repurchase such assets. In connection with the
issuance of ASU 2011-03, the FASB concluded that the assessment of
effective control should focus on a transferor’s contractual
rights and obligations with respect to transferred financial
assets, rather than whether the transferor has the practical
ability to perform in accordance with those rights or
obligations. ASU 2011-03 removes the transferor’s
ability criterion from consideration of effective
control. This update is effective for the first interim
or annual period beginning on or after December 15,
2011. As the Company records repurchase agreements as
secured borrowings and not sales, this update has no significant
effect on the Company’s consolidated financial
statements.
Financial Services – Investment Companies (Topic
946)
In
June 2013, the FASB finalized ASU 2013-08 amending the scope,
measurement and disclosure requirements under Topic 946 –
Financial Services-Investment Companies. The Board decided
not to address issues related to the applicability of investment
company accounting for real estate entities and the measurement of
real estate investments at this time. Further, as stated in
ASC 946-10-15-3, the guidance in Topic 946 does not apply to real
estate investment trusts, and thus has no effect on the
Company’s consolidated financial statements.
|
Residential Mortgage Backed Securities - Aggregate Other Than Temporary Impairments (Detail) (Residential Mortgage Backed Securities [Member], USD $)
In Thousands, unless otherwise specified |
3 Months Ended | |
---|---|---|
Mar. 31, 2012
|
Mar. 31, 2011
|
|
Residential Mortgage Backed Securities [Member]
|
||
Other-than-temporary impairments | ||
Total other-than-temporary impairment losses | $ (56,961) | $ (70,217) |
Non-credit portion of loss recognized in other comprehensive income (loss) | 8,597 | 37,034 |
Net other-than-temporary credit impairment losses | $ (48,364) | $ (33,183) |
Repurchase Agreements (Tables)
|
3 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2012
|
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Schedule of Repurchase Agreements | At
March 31, 2012 and December 31, 2011, the repurchase agreements
collateralized by Non-Agency RMBS had the following remaining
maturities.
|
Common Stock (Tables)
|
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2012
|
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Schedule of Earnings Per Share | Earnings
per share for the quarters ended March 31, 2012 and 2011,
respectively, is computed as follows:
|
Consolidation - Narrative (Detail) (Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member])
|
3 Months Ended |
---|---|
Mar. 31, 2012
|
|
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member]
|
|
Variable Interest Entity [Line Items] | |
Variable interest entity, reporting entity involvement, maximum loss exposure determination methodology | The Company's involvement with VIEs for which it is not considered the primary beneficiary generally are in the form of owning securities issued by the trusts, similar to its investments in other RMBS that do not provide the Company with a controlling financial interest. The Company's maximum exposure to loss does not include other-than-temporary impairments or other write-downs that the Company previously recognized through earnings. |
Residential Mortgage Backed Securities - Summary (Detail) (Residential Mortgage Backed Securities [Member], USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2012
|
Dec. 31, 2011
|
---|---|---|
Investment Holdings [Line Items] | ||
Principal or Notional Value | $ 13,650,818 | $ 13,675,493 |
Total Premium | 311,257 | 331,470 |
Total Discount | (3,037,387) | (3,107,949) |
Amortized Cost | 6,476,162 | 6,805,696 |
Fair Value | 7,077,377 | 7,233,476 |
Gross Unrealized Gains | 692,045 | 582,076 |
Gross Unrealized Losses | (90,830) | (154,296) |
Net Unrealized Gain/(Loss) | 601,215 | 427,780 |
Non-Agency RMBS - Senior [Member]
|
||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 912 | 1,115 |
Total Discount | (59) | (56) |
Amortized Cost | 853 | 1,059 |
Fair Value | 822 | 1,020 |
Gross Unrealized Gains | 3 | 2 |
Gross Unrealized Losses | (34) | (41) |
Net Unrealized Gain/(Loss) | (31) | (39) |
Non-Agency RMBS - Senior interest-only [Member]
|
||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 3,990,375 | 3,734,452 |
Total Premium | 195,652 | 199,288 |
Amortized Cost | 195,652 | 199,288 |
Fair Value | 200,941 | 188,679 |
Gross Unrealized Gains | 19,398 | 11,308 |
Gross Unrealized Losses | (14,109) | (21,917) |
Net Unrealized Gain/(Loss) | 5,289 | (10,609) |
Non-Agency RMBS - Subordinated [Member]
|
||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 1,362,600 | 1,378,891 |
Total Discount | (708,154) | (724,739) |
Amortized Cost | 654,446 | 654,152 |
Fair Value | 635,627 | 606,895 |
Gross Unrealized Gains | 43,211 | 30,997 |
Gross Unrealized Losses | (62,030) | (78,254) |
Net Unrealized Gain/(Loss) | (18,819) | (47,257) |
Non-Agency RMBS - Subordinated interest-only [Member]
|
||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 277,150 | 277,560 |
Total Premium | 20,348 | 21,910 |
Amortized Cost | 20,348 | 21,910 |
Fair Value | 22,405 | 22,019 |
Gross Unrealized Gains | 2,057 | 1,663 |
Gross Unrealized Losses | (1,554) | |
Net Unrealized Gain/(Loss) | 2,057 | 109 |
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]
|
||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 5,187,368 | 5,265,128 |
Total Premium | 10,237 | 19,869 |
Total Discount | (2,329,017) | (2,382,995) |
Amortized Cost | 2,764,039 | 2,902,002 |
Fair Value | 3,267,779 | 3,270,332 |
Gross Unrealized Gains | 518,107 | 420,505 |
Gross Unrealized Losses | (14,367) | (52,175) |
Net Unrealized Gain/(Loss) | 503,740 | 368,330 |
Agency RMBS [Member]
|
||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 2,832,413 | 3,018,347 |
Total Premium | 85,020 | 90,403 |
Total Discount | (157) | (159) |
Amortized Cost | 2,840,824 | 3,027,285 |
Fair Value | 2,949,803 | 3,144,531 |
Gross Unrealized Gains | 109,269 | 117,601 |
Gross Unrealized Losses | (290) | (355) |
Net Unrealized Gain/(Loss) | $ 108,979 | $ 117,246 |
Variable Interest Entities - Assets of Non-Consolidated VIEs (Detail) (USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2012
|
Dec. 31, 2011
|
|||
---|---|---|---|---|---|
RMBS, at fair value | |||||
Agency RMBS, at fair value | $ 2,949,803 | $ 3,144,531 | [1] | ||
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member]
|
|||||
RMBS, at amortized cost | |||||
Non-Agency RMBS-Senior at amortized cost | 147 | 168 | |||
Non-Agency RMBS-Senior interest-only at amortized cost | 128 | ||||
Non-Agency RMBS-Subordinated at amortized cost | 3,677 | 4,651 | |||
Agency RMBS, at amortized cost | 1,864 | 1,890 | |||
Total, at amortized cost | 5,688 | 6,837 | |||
RMBS, at fair value | |||||
Non-Agency RMBS-Senior at fair value | 114 | 127 | |||
Non-Agency RMBS-Senior interest-only at fair value | 319 | 266 | |||
Non-Agency RMBS-Subordinated at fair value | 3,748 | 4,858 | |||
Agency RMBS, at fair value | 1,738 | 2,273 | |||
Total, at fair value | $ 5,919 | $ 7,524 | |||
|
Securitized Loans Held for Investment - Allowance for Loan Losses (Detail) (Residential Mortgage Backed Securities [Member], USD $)
In Thousands, unless otherwise specified |
3 Months Ended | |
---|---|---|
Mar. 31, 2012
|
Mar. 31, 2011
|
|
Residential Mortgage Backed Securities [Member]
|
||
The following table summarizes the changes in the allowance for loan losses for the securitized mortgage loan portfolio: | ||
Balance, beginning of period | $ 13,938 | $ 11,428 |
Provision for loan losses | 167 | 3,849 |
Charge-offs | (297) | (1,339) |
Balance, end of period | $ 13,808 | $ 13,938 |