• | GAAP EARNINGS OF $0.92 PER SHARE |
• | CORE EARNINGS(1) OF $0.68 PER SHARE |
• | GAAP BOOK VALUE OF $16.18 PER SHARE |
• | BOARD DECLARES INCREASED FOURTH QUARTER 2016 DIVIDEND OF $0.50 PER SHARE OF COMMON STOCK |
• | BOARD DECLARES A FOURTH QUARTER 2016 DIVIDEND OF $0.42222 PER SHARE OF 8% SERIES A CUMULATIVE REDEEMABLE PREFERRED STOCK |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
(Unaudited) | ||||||
September 30, 2016 | December 31, 2015 | |||||
Assets: | ||||||
Cash and cash equivalents | $ | 156,608 | $ | 114,062 | ||
Non-Agency RMBS, at fair value | 3,437,235 | 3,675,841 | ||||
Agency MBS, at fair value | 4,362,550 | 6,514,824 | ||||
Securitized loans held for investment, at fair value | 8,909,037 | 4,768,416 | ||||
Accrued interest receivable | 84,328 | 66,247 | ||||
Other assets | 216,790 | 189,796 | ||||
Derivatives, at fair value, net | 2,153 | 15,460 | ||||
Total assets (1) | $ | 17,168,701 | $ | 15,344,646 | ||
Liabilities: | ||||||
Repurchase agreements, MBS ($7.3 billion and $8.8 billion pledged as collateral, respectively) | $ | 5,817,519 | $ | 7,439,339 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.9 billion and $2.1 billion pledged as collateral, respectively) | 380,715 | 529,415 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($8.9 billion and $4.8 billion pledged as collateral, respectively) | 7,191,462 | 3,720,496 | ||||
Payable for investments purchased | 578,499 | 560,641 | ||||
Accrued interest payable | 49,743 | 37,432 | ||||
Dividends payable | 90,645 | 90,097 | ||||
Accounts payable and other liabilities | 15,309 | 11,404 | ||||
Derivatives, at fair value | 8,009 | 9,634 | ||||
Total liabilities (1) | 14,131,901 | 12,398,458 | ||||
Commitments and Contingencies | ||||||
Stockholders' Equity: | ||||||
Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively | $ | — | $ | — | ||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,729,765 and 187,711,868 shares issued and outstanding, respectively | 1,877 | 1,877 | ||||
Additional paid-in-capital | 3,367,943 | 3,366,568 | ||||
Accumulated other comprehensive income | 897,703 | 773,791 | ||||
Accumulated deficit | (1,230,723 | ) | (1,196,048 | ) | ||
Total stockholders' equity | $ | 3,036,800 | $ | 2,946,188 | ||
Total liabilities and stockholders' equity | $ | 17,168,701 | $ | 15,344,646 |
CHIMERA INVESTMENT CORPORATION | ||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME | ||||||||||||
(dollars in thousands, except share and per share data) | ||||||||||||
(Unaudited) | ||||||||||||
For the Quarter Ended | For the Nine Months Ended | |||||||||||
September 30, 2016 | September 30, 2015 | September 30, 2016 | September 30, 2015 | |||||||||
Net Interest Income: | ||||||||||||
Interest income (1) | $ | 250,953 | $ | 211,876 | $ | 673,246 | $ | 670,825 | ||||
Interest expense (2) | 94,911 | 67,910 | 241,120 | 194,410 | ||||||||
Net interest income | 156,042 | 143,966 | 432,126 | 476,415 | ||||||||
Other-than-temporary impairments: | ||||||||||||
Total other-than-temporary impairment losses | (993 | ) | (3,129 | ) | (8,555 | ) | (6,389 | ) | ||||
Portion of loss recognized in other comprehensive income | (10,581 | ) | (14,703 | ) | (34,652 | ) | (46,359 | ) | ||||
Net other-than-temporary credit impairment losses | (11,574 | ) | (17,832 | ) | (43,207 | ) | (52,748 | ) | ||||
Other investment gains (losses): | ||||||||||||
Net unrealized gains (losses) on derivatives | 27,628 | (71,540 | ) | (51,382 | ) | 20,543 | ||||||
Realized gains (losses) on terminations of interest rate swaps | — | — | (60,616 | ) | (99,703 | ) | ||||||
Net realized gains (losses) on derivatives | (14,268 | ) | (21,160 | ) | (58,934 | ) | (80,023 | ) | ||||
Net gains (losses) on derivatives | 13,360 | (92,700 | ) | (170,932 | ) | (159,183 | ) | |||||
Net unrealized gains (losses) on financial instruments at fair value | 32,999 | (40,955 | ) | 80,217 | (88,640 | ) | ||||||
Net realized gains (losses) on sales of investments | 3,079 | 3,539 | 7,035 | 42,789 | ||||||||
Gains (losses) on Extinguishment of Debt | (45 | ) | (19,915 | ) | (1,811 | ) | (14,836 | ) | ||||
Total other gains (losses) | 49,393 | (150,031 | ) | (85,491 | ) | (219,870 | ) | |||||
Other income: | ||||||||||||
Other income | — | — | 95,000 | — | ||||||||
Total other income | — | — | 95,000 | — | ||||||||
Other expenses: | ||||||||||||
Management fees | — | 4,088 | — | 24,610 | ||||||||
Expense recoveries from Manager | — | (1,140 | ) | — | (6,905 | ) | ||||||
Net management fees | — | 2,948 | — | 17,705 | ||||||||
Compensation and benefits | 6,911 | 3,955 | 19,087 | 4,482 | ||||||||
General and administrative expenses | 4,332 | 8,534 | 13,073 | 22,028 | ||||||||
Servicing Fees of consolidated VIEs | 9,788 | 6,499 | 23,139 | 19,276 | ||||||||
Deal Expenses | — | 2,426 | 13,022 | 5,337 | ||||||||
Total other expenses | 21,031 | 24,362 | 68,321 | 68,828 | ||||||||
Income (loss) before income taxes | 172,830 | (48,259 | ) | 330,107 | 134,969 | |||||||
Income taxes | 13 | — | 65 | — | ||||||||
Net income (loss) | $ | 172,817 | $ | (48,259 | ) | $ | 330,042 | $ | 134,969 | |||
Net income (loss) per share available to common shareholders: | ||||||||||||
Basic | $ | 0.92 | $ | (0.24 | ) | $ | 1.76 | $ | 0.65 | |||
Diluted | $ | 0.92 | $ | (0.24 | ) | $ | 1.76 | $ | 0.65 | |||
Weighted average number of common shares outstanding: | ||||||||||||
Basic | 187,729,765 | 197,787,858 | 187,727,667 | 202,891,610 | ||||||||
Diluted | 187,919,792 | 197,875,408 | 187,917,694 | 202,979,160 | ||||||||
Dividends declared per share of common stock | $ | 0.48 | $ | 0.48 | $ | 1.94 | $ | 1.44 | ||||
Comprehensive income (loss): | ||||||||||||
Net income (loss) | $ | 172,817 | $ | (48,259 | ) | $ | 330,042 | $ | 134,969 | |||
Other comprehensive income: | ||||||||||||
Unrealized gains (losses) on available-for-sale securities, net | (18,364 | ) | 16,512 | 94,059 | (121,142 | ) | ||||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 11,574 | 17,832 | 43,207 | 52,748 | ||||||||
Reclassification adjustment for net realized losses (gains) included in net income | (2,680 | ) | (3,903 | ) | (13,354 | ) | (43,038 | ) | ||||
Other comprehensive income (loss) | (9,470 | ) | 30,441 | 123,912 | (111,432 | ) | ||||||
Comprehensive income (loss) | $ | 163,347 | $ | (17,818 | ) | $ | 453,954 | $ | 23,537 |
For the Quarters Ended | |||||||||||||||
September 30, 2016 | June 30, 2016 | March 31, 2016 | December 31, 2015 | September 30, 2015 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income | $ | 172,817 | $ | 74,127 | $ | 83,098 | $ | 115,380 | $ | (48,259 | ) | ||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | 11,574 | 20,955 | 10,678 | 14,696 | 17,832 | ||||||||||
Net unrealized (gains) losses on derivatives | (27,628 | ) | (22,100 | ) | 101,110 | (46,842 | ) | 71,540 | |||||||
Net unrealized (gains) losses on financial instruments at fair value | (32,999 | ) | (30,347 | ) | (16,871 | ) | 69,793 | 40,955 | |||||||
Net realized (gains) losses on sales of investments | (3,079 | ) | (6,631 | ) | 2,674 | (34,285 | ) | (3,539 | ) | ||||||
(Gains) losses on extinguishment of debt | 45 | — | 1,766 | (8,906 | ) | 19,915 | |||||||||
Realized (gains) losses on terminations of interest rate swaps | — | 60,158 | 458 | (754 | ) | — | |||||||||
Net realized (gains) losses on Futures (1) | 7,823 | (635 | ) | 21,609 | (9,018 | ) | 9,309 | ||||||||
Total other (gains) losses | — | — | — | 256 | — | ||||||||||
Other income | — | — | (95,000 | ) | — | — | |||||||||
Core Earnings | $ | 128,553 | $ | 95,527 | $ | 109,522 | $ | 100,320 | $ | 107,753 | |||||
GAAP net income per basic common share | $ | 0.92 | $ | 0.39 | $ | 0.44 | $ | 0.61 | $ | (0.24 | ) | ||||
Core earnings per basic common share | $ | 0.68 | $ | 0.51 | $ | 0.58 | $ | 0.53 | $ | 0.54 | |||||
(1) Included in net realized gains (losses) on derivatives in the Consolidated Statement of Operations. |
September 30, 2016 | |||||||||||||
Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | |||||||||
Non-Agency RMBS | |||||||||||||
Senior | $ | 3,308,463 | $ | 55.95 | $ | 78.14 | 4.0 | % | 15.2 | % | |||
Senior, interest-only | 5,733,457 | 5.29 | 5.08 | 2.0 | % | 11.1 | % | ||||||
Subordinated | 668,946 | 69.83 | 81.74 | 3.4 | % | 10.2 | % | ||||||
Subordinated, interest-only | 269,868 | 5.26 | 5.00 | 1.1 | % | 11.4 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 2,672,093 | 105.20 | 107.09 | 3.9 | % | 2.7 | % | ||||||
Commercial pass-through | 1,273,235 | 102.61 | 105.56 | 3.6 | % | 2.9 | % | ||||||
Interest-only | 3,474,731 | 4.71 | 4.52 | 0.9 | % | 3.7 | % | ||||||
December 31, 2015 | |||||||||||||
Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | |||||||||
Non-Agency RMBS | |||||||||||||
Senior | $ | 3,651,869 | $ | 57.47 | $ | 77.39 | 3.8 | % | 13.7 | % | |||
Senior, interest-only | 5,426,029 | 4.95 | 4.32 | 1.7 | % | 12.9 | % | ||||||
Subordinated | 762,466 | 69.25 | 79.26 | 3.2 | % | 8.8 | % | ||||||
Subordinated, interest-only | 284,931 | 5.34 | 3.95 | 1.2 | % | 10.9 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 5,045,418 | 105.07 | 104.41 | 3.7 | % | 2.8 | % | ||||||
Commercial pass-through | 952,091 | 102.27 | 102.28 | 3.4 | % | 2.9 | % | ||||||
Interest-only | 6,722,472 | 4.17 | 4.06 | 0.8 | % | 3.4 | % | ||||||
(1) Bond Equivalent Yield at period end. |
September 30, 2016 | December 31, 2015 | |||||
(dollars in thousands) | ||||||
Overnight | $ | — | $ | — | ||
1 to 29 days | 2,856,171 | 3,312,902 | ||||
30 to 59 days | 432,336 | 2,501,513 | ||||
60 to 89 days | 920,977 | 246,970 | ||||
90 to 119 days | 842,876 | 430,026 | ||||
Greater than or equal to 120 days | 765,159 | 947,928 | ||||
Total | $ | 5,817,519 | $ | 7,439,339 |
September 30, 2016 | December 31, 2015 | |||||
Interest earning assets at period-end (1) | $ | 16,708,822 | $ | 14,959,081 | ||
Interest bearing liabilities at period-end | $ | 13,389,696 | $ | 11,689,250 | ||
GAAP Leverage at period-end | 4.4:1 | 4.0:1 | ||||
GAAP Leverage at period-end (recourse) | 1.9:1 | 2.5:1 | ||||
Economic Leverage at period-end (recourse) | 2.1:1 | 2.7:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 8.9 | % | 10.4 | % | ||
Senior | 3.9 | % | 4.7 | % | ||
Senior, interest only | 1.9 | % | 1.9 | % | ||
Subordinated | 3.0 | % | 3.7 | % | ||
Subordinated, interest only | 0.1 | % | 0.1 | % | ||
RMBS transferred to consolidated VIEs | 7.9 | % | 10.1 | % | ||
Agency MBS | 27.2 | % | 46.0 | % | ||
Residential | 17.9 | % | 37.2 | % | ||
Commercial | 8.3 | % | 6.8 | % | ||
Interest-only | 1.0 | % | 2.0 | % | ||
Securitized loans held for investment | 56.0 | % | 33.5 | % | ||
Fixed-rate percentage of portfolio | 88.0 | % | 84.7 | % | ||
Adjustable-rate percentage of portfolio | 12.0 | % | 15.3 | % | ||
Annualized yield on average interest earning assets for the periods ended | 6.4 | % | 6.0 | % | ||
Annualized cost of funds on average borrowed funds for the periods ended (2) | 2.8 | % | 2.5 | % | ||
(1) Excludes cash and cash equivalents. | ||||||
(2) Includes the effect of realized losses on interest rate swaps. |
September 30, 2016 | |||
(dollars in thousands, except per share data) | |||
GAAP Book Value | $ | 3,036,800 | |
GAAP Book Value per Share | $ | 16.18 | |
Economic Adjustments: | |||
Assets of Consolidated VIEs | (10,816,733 | ) | |
Non-Recourse Liabilities of Consolidated VIEs | 7,572,177 | ||
Interests in VIEs eliminated in consolidation | 3,004,546 | ||
Total Adjustments - Net | (240,010 | ) | |
Total Adjustments - Net (per share) | (1.28 | ) | |
Economic Book Value | $ | 2,796,790 | |
Economic Book Value per Share | $ | 14.90 | |
December 31, 2015 | |||
(dollars in thousands, except per share data) | |||
GAAP Book Value | $ | 2,946,188 | |
GAAP Book Value per Share | $ | 15.70 | |
Economic Adjustments: | |||
Assets of Consolidated VIEs | (6,908,910 | ) | |
Non-Recourse Liabilities of Consolidated VIEs | 4,249,911 | ||
Interests in VIEs eliminated in consolidation | 2,462,713 | ||
Total Adjustments - Net | (196,286 | ) | |
Total Adjustments - Net (per share) | (1.05 | ) | |
Economic Book Value | $ | 2,749,902 | |
Economic Book Value per Share | $ | 14.65 |
GAAP Interest Income | GAAP Interest Expense | Net Realized Losses on Interest Rate Swaps | Other (2) | Economic Interest Expense | GAAP Net Interest Income | Net Realized Losses on Interest Rate Swaps | Other (1) (2) | Economic Net Interest Income | |||||||||||||||||||
For the Quarter Ended September 30, 2016 | $ | 250,953 | $ | 94,911 | $ | 4,595 | $ | — | $ | 99,506 | $ | 156,042 | $ | (4,595 | ) | $ | (105 | ) | $ | 151,342 | |||||||
For the Quarter Ended June 30, 2016 | $ | 221,096 | $ | 83,227 | $ | 8,141 | $ | — | $ | 91,368 | $ | 137,869 | $ | (8,141 | ) | $ | (367 | ) | $ | 129,361 | |||||||
For the Quarter Ended March 31, 2016 | $ | 201,194 | $ | 62,981 | $ | 11,220 | $ | — | $ | 74,201 | $ | 138,213 | $ | (11,220 | ) | $ | (448 | ) | $ | 126,545 | |||||||
For the Quarter Ended December 31, 2015 | $ | 201,912 | $ | 64,954 | $ | 11,673 | $ | — | $ | 76,627 | $ | 136,958 | $ | (11,673 | ) | $ | (13 | ) | $ | 125,272 | |||||||
For the Quarter Ended September 30, 2015 | $ | 211,876 | $ | 67,910 | $ | 11,355 | $ | (2,214 | ) | $ | 77,051 | $ | 143,966 | $ | (11,355 | ) | $ | 2,103 | $ | 134,714 |
For the Quarter Ended | |||||||||||||||||
September 30, 2016 | September 30, 2015 | ||||||||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||||||
Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | ||||||||||||
Assets: | |||||||||||||||||
Interest-earning assets (1): | |||||||||||||||||
Agency MBS | $ | 3,735,142 | $ | 29,482 | 3.2 | % | $ | 5,935,743 | $ | 42,132 | 2.8 | % | |||||
Non-Agency RMBS | 1,404,995 | 25,879 | 7.4 | % | 1,450,827 | 27,579 | 7.6 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 1,267,633 | 61,272 | 19.3 | % | 1,527,414 | 65,028 | 17.0 | % | |||||||||
Jumbo Prime securitized residential mortgage loans held for investment | 383,916 | 3,025 | 3.2 | % | 510,708 | 3,972 | 3.1 | % | |||||||||
Seasoned subprime securitized residential mortgage loans held for investment | 8,590,865 | 131,190 | 6.1 | % | 4,664,014 | 73,054 | 6.3 | % | |||||||||
Total | $ | 15,382,551 | $ | 250,848 | 6.5 | % | $ | 14,088,706 | $ | 211,765 | 6.0 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Agency repurchase agreements (2) | $ | 3,407,242 | $ | 11,606 | 1.4 | % | $ | 5,243,274 | $ | 18,690 | 1.4 | % | |||||
Non-Agency repurchase agreements | 2,462,140 | 17,185 | 2.8 | % | 1,772,806 | 9,739 | 2.2 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 402,657 | 5,182 | 5.1 | % | 598,562 | 9,946 | 6.6 | % | |||||||||
Securitized debt, collateralized by jumbo prime residential mortgage loans | 287,845 | 2,288 | 3.2 | % | 401,222 | 3,227 | 3.2 | % | |||||||||
Securitized debt, collateralized by seasoned subprime residential mortgage loans | 7,025,781 | 63,245 | 3.6 | % | 3,843,969 | 35,449 | 3.7 | % | |||||||||
Total | $ | 13,585,665 | $ | 99,506 | 2.9 | % | $ | 11,859,833 | $ | 77,051 | 2.6 | % | |||||
Economic net interest income/net interest rate spread | $ | 151,342 | 3.6 | % | $ | 134,714 | 3.4 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 1,796,886 | 3.9 | % | $ | 2,228,873 | 3.8 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.13 | 1.19 | |||||||||||||||
(1) Interest-earning assets at amortized cost | |||||||||||||||||
(2) Interest includes cash paid on swaps |
Return on Average Equity | Economic Net Interest Income/Average Equity * | Core Earnings/Average Equity | ||||
(Ratios have been annualized) | ||||||
For The Quarter Ended September 30, 2016 | 23.04 | % | 20.18 | % | 17.14 | % |
For The Quarter Ended June 30, 2016 | 10.09 | % | 17.61 | % | 13.00 | % |
For The Quarter Ended March 31, 2016 | 11.34 | % | 17.28 | % | 14.95 | % |
For The Quarter Ended December 31, 2015 | 15.22 | % | 16.52 | % | 13.23 | % |
For The Quarter Ended September 30, 2015 | (5.89 | )% | 16.43 | % | 13.14 | % |
For The Year Ended December 31, 2015 | 7.52 | % | 17.12 | % | 14.20 | % |
For The Year Ended December 31, 2014 | 16.99 | % | 14.06 | % | 12.70 | % |
* Includes effect of realized losses on interest rate swaps. |
For the Quarter Ended | For the Nine Months Ended | |||||||||||
September 30, 2016 | September 30, 2015 | September 30, 2016 | September 30, 2015 | |||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||
Balance at beginning of period | $ | 1,714,592 | $ | 1,698,323 | $ | 1,742,744 | $ | 1,534,497 | ||||
Purchases | 18,316 | 133,227 | 60,915 | 241,852 | ||||||||
Yield income earned | (69,850 | ) | (72,557 | ) | (141,256 | ) | (213,267 | ) | ||||
Reclassification (to) from non-accretable difference | (29,490 | ) | 19,205 | (2,031 | ) | 238,012 | ||||||
Sales and deconsolidation | (12,907 | ) | (418 | ) | (39,711 | ) | (23,314 | ) | ||||
Balance at end of period | $ | 1,620,661 | $ | 1,777,780 | $ | 1,620,661 | $ | 1,777,780 |