• | 4TH QUARTER GAAP EARNINGS OF $1.17 PER COMMON SHARE |
• | 4TH QUARTER CORE EARNINGS(1) OF $0.65 PER COMMON SHARE |
• | FULL YEAR GAAP EARNINGS OF $2.92 PER COMMON SHARE UP FROM $1.25 PER COMMON SHARE IN 2015 |
• | FULL YEAR CORE EARNINGS OF $2.42 PER COMMON SHARE UP FROM $2.37 PER COMMON SHARE IN 2015 |
• | GAAP BOOK VALUE OF $15.87 PER COMMON SHARE UP FROM $15.70 PER COMMON SHARE IN 2015, COMPARED TO $16.18 IN 3RD QUARTER 2016 |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
December 31, 2016 | December 31, 2015 | |||||
Assets: | ||||||
Cash and cash equivalents | $ | 177,714 | $ | 114,062 | ||
Non-Agency RMBS, at fair value | 3,330,063 | 3,675,841 | ||||
Agency MBS, at fair value | 4,167,754 | 6,514,824 | ||||
Securitized loans held for investment, at fair value | 8,753,653 | 4,768,416 | ||||
Accrued interest receivable | 79,697 | 66,247 | ||||
Other assets | 166,350 | 189,796 | ||||
Derivatives, at fair value, net | 9,677 | 15,460 | ||||
Total assets (1) | $ | 16,684,908 | $ | 15,344,646 | ||
Liabilities: | ||||||
Repurchase agreements, MBS ($7.0 billion and $8.8 billion pledged as collateral, respectively) | $ | 5,600,903 | $ | 7,439,339 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.8 billion and $2.1 billion pledged as collateral, respectively) | 334,124 | 529,415 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($8.8 billion and $4.8 billion pledged as collateral, respectively) | 6,941,097 | 3,720,496 | ||||
Payable for investments purchased | 520,532 | 560,641 | ||||
Accrued interest payable | 48,670 | 37,432 | ||||
Dividends payable | 97,005 | 90,097 | ||||
Accounts payable and other liabilities | 16,694 | 11,404 | ||||
Derivatives, at fair value | 2,350 | 9,634 | ||||
Total liabilities (1) | $ | 13,561,375 | $ | 12,398,458 | ||
Stockholders' Equity: | ||||||
Preferred Stock: par value $0.01 per share; 8% Series A cumulative redeemable; 100,000,000 shares authorized, 5,800,000 and 0 shares issued and outstanding, respectively ($145,000 liquidation preference) | $ | 58 | $ | — | ||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,739,634 and 187,711,868 shares issued and outstanding, respectively | 1,877 | 1,877 | ||||
Additional paid-in-capital | 3,508,779 | 3,366,568 | ||||
Accumulated other comprehensive income | 718,106 | 773,791 | ||||
Cumulative earnings | 2,443,184 | 1,891,239 | ||||
Cumulative distributions to stockholders | (3,548,471 | ) | (3,087,287 | ) | ||
Total stockholders' equity | $ | 3,123,533 | $ | 2,946,188 | ||
Total liabilities and stockholders' equity | $ | 16,684,908 | $ | 15,344,646 |
CHIMERA INVESTMENT CORPORATION | |||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||
(dollars in thousands, except share and per share data) | |||||||||
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
Net Interest Income: | |||||||||
Interest income (1) | $ | 934,068 | $ | 872,737 | $ | 687,795 | |||
Interest expense (2) | 347,857 | 259,365 | 147,785 | ||||||
Net interest income | 586,211 | 613,372 | 540,010 | ||||||
Other-than-temporary impairments: | |||||||||
Total other-than-temporary impairment losses | (9,589 | ) | (8,700 | ) | (8,713 | ) | |||
Portion of loss recognized in other comprehensive income | (48,398 | ) | (58,744 | ) | (55,279 | ) | |||
Net other-than-temporary credit impairment losses | (57,987 | ) | (67,444 | ) | (63,992 | ) | |||
Other investment gains (losses): | |||||||||
Net unrealized gains (losses) on derivatives | 50,093 | 67,385 | (103,496 | ) | |||||
Realized gains (losses) on terminations of interest rate swaps | (60,616 | ) | (98,949 | ) | — | ||||
Net realized gains (losses) on derivatives | (44,886 | ) | (83,073 | ) | (82,852 | ) | |||
Net gains (losses) on derivatives | (55,409 | ) | (114,637 | ) | (186,348 | ) | |||
Net unrealized gains (losses) on financial instruments at fair value | 59,552 | (158,433 | ) | 193,534 | |||||
Net realized gains (losses) on sales of investments | 18,155 | 77,074 | 91,709 | ||||||
Gain (loss) on deconsolidation | — | (256 | ) | 47,846 | |||||
Gains (losses) on Extinguishment of Debt | (477 | ) | (5,930 | ) | (2,184 | ) | |||
Total other gains (losses) | 21,821 | (202,182 | ) | 144,557 | |||||
Other income: | |||||||||
Other income | 95,000 | — | 23,783 | ||||||
Total other income | 95,000 | — | 23,783 | ||||||
Other expenses: | |||||||||
Management fees | — | 24,609 | 32,514 | ||||||
Expense recoveries from Manager | — | (6,906 | ) | (8,936 | ) | ||||
Net management fees | — | 17,703 | 23,578 | ||||||
Provision for loan losses, net | — | — | (232 | ) | |||||
Compensation and benefits | 26,901 | 10,544 | — | ||||||
General and administrative expenses | 17,516 | 31,633 | 20,403 | ||||||
Servicing Fees of consolidated VIEs | 31,178 | 25,244 | 10,004 | ||||||
Deal Expenses | 17,424 | 8,272 | 1,398 | ||||||
Total other expenses | 93,019 | 93,396 | 31,368 | ||||||
Income (loss) before income taxes | 552,026 | 250,350 | 589,207 | ||||||
Income taxes | 83 | 1 | 2 | ||||||
Net income (loss) | $ | 551,943 | $ | 250,349 | $ | 589,205 | |||
Dividend on preferred stock | 2,449 | — | — | ||||||
Net income (loss) available to common shareholders | $ | 549,494 | $ | 250,349 | $ | 589,205 | |||
Net income (loss) per share available to common shareholders: | |||||||||
Basic | $ | 2.93 | $ | 1.25 | $ | 2.87 | |||
Diluted | $ | 2.92 | $ | 1.25 | $ | 2.87 | |||
Weighted average number of common shares outstanding: | |||||||||
Basic | 187,728,634 | 199,563,196 | 205,450,095 | ||||||
Diluted | 188,024,838 | 199,650,177 | 205,508,769 | ||||||
Dividends declared per share of common stock | $ | 2.44 | $ | 1.92 | $ | 1.80 | |||
For the Quarter Ended | ||||||||||||
December 31, 2016 | September 30, 2016 | June 30, 2016 | March 31, 2016 | |||||||||
(dollars in thousands, except per share data) | ||||||||||||
Net Interest Income: | ||||||||||||
Interest income | $ | 260,823 | $ | 250,953 | $ | 221,096 | $ | 201,194 | ||||
Interest expense | 106,737 | 94,911 | 83,227 | 62,981 | ||||||||
Net interest income | 154,086 | 156,042 | 137,869 | 138,213 | ||||||||
Other-than-temporary impairments: | ||||||||||||
Total other-than-temporary impairment losses | (1,034 | ) | (993 | ) | (3,139 | ) | (4,423 | ) | ||||
Portion of loss recognized in other comprehensive income | (13,746 | ) | (10,581 | ) | (17,816 | ) | (6,255 | ) | ||||
Net other-than-temporary credit impairment losses | (14,780 | ) | (11,574 | ) | (20,955 | ) | (10,678 | ) | ||||
Net gains (losses) on derivatives | 115,523 | 13,360 | (47,755 | ) | (136,537 | ) | ||||||
Net unrealized gains (losses) on financial instruments at fair value | (20,664 | ) | 32,999 | 30,347 | 16,871 | |||||||
Gain (loss) on deconsolidation | — | — | — | — | ||||||||
Gain (loss) on Extinguishment of Debt | 1,334 | (45 | ) | — | (1,766 | ) | ||||||
Net realized gains (losses) on sales of investments | 11,121 | 3,079 | 6,631 | (2,674 | ) | |||||||
Other Income | — | — | — | 95,000 | ||||||||
Total other expenses | 24,698 | 21,031 | 31,987 | 15,302 | ||||||||
Net income | $ | 221,903 | $ | 172,817 | $ | 74,127 | $ | 83,098 | ||||
Dividend on preferred stock | $ | 2,449 | $ | — | $ | — | $ | — | ||||
Net income (loss) available to common shareholders | $ | 219,454 | $ | 172,817 | $ | 74,127 | $ | 83,098 | ||||
Net income per common share-basic | $ | 1.17 | $ | 0.92 | $ | 0.39 | $ | 0.44 |
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
(dollars in thousands, except per share data) | |||||||||
GAAP Net income available to common stockholders | $ | 549,494 | $ | 250,349 | $ | 589,205 | |||
Adjustments: | |||||||||
Net other-than-temporary credit impairment losses | 57,987 | 67,444 | 63,992 | ||||||
Net unrealized (gains) losses on derivatives | (50,093 | ) | (67,385 | ) | 103,496 | ||||
Net unrealized (gains) losses on financial instruments at fair value | (59,552 | ) | 158,433 | (193,534 | ) | ||||
Net realized (gains) losses on sales of investments | (18,155 | ) | (77,074 | ) | (91,709 | ) | |||
(Gains) losses on extinguishment of debt | 477 | 5,930 | 2,184 | ||||||
Realized (gains) losses on terminations of interest rate swaps | 60,616 | 98,949 | — | ||||||
Net realized (gains) losses on derivatives - Futures(1) | 9,170 | 35,523 | 38,552 | ||||||
Total other (gains) losses | (95,000 | ) | 256 | (71,629 | ) | ||||
Core Earnings | $ | 454,944 | $ | 472,425 | $ | 440,557 | |||
GAAP net income per basic common share | $ | 2.93 | $ | 1.25 | $ | 2.87 | |||
Core earnings per basic common share(2) | $ | 2.42 | $ | 2.37 | $ | 2.14 |
For the Quarters Ended | |||||||||||||||
December 31, 2016 | September 30, 2016 | June 30, 2016 | March 31, 2016 | December 31, 2015 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | 219,454 | $ | 172,817 | $ | 74,127 | $ | 83,098 | $ | 115,380 | |||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | 14,780 | 11,574 | 20,955 | 10,678 | 14,696 | ||||||||||
Net unrealized (gains) losses on derivatives | (101,475 | ) | (27,628 | ) | (22,100 | ) | 101,110 | (46,842 | ) | ||||||
Net unrealized (gains) losses on financial instruments at fair value | 20,664 | (32,999 | ) | (30,347 | ) | (16,871 | ) | 69,793 | |||||||
Net realized (gains) losses on sales of investments | (11,121 | ) | (3,079 | ) | (6,631 | ) | 2,674 | (34,285 | ) | ||||||
(Gains) losses on extinguishment of debt | (1,334 | ) | 45 | — | 1,766 | (8,906 | ) | ||||||||
Realized (gains) losses on terminations of interest rate swaps | — | — | 60,158 | 458 | (754 | ) | |||||||||
Net realized (gains) losses on Futures (1) | (19,628 | ) | 7,823 | (635 | ) | 21,609 | (9,018 | ) | |||||||
Total other (gains) losses | — | — | — | — | 256 | ||||||||||
Other income | — | — | — | (95,000 | ) | — | |||||||||
Core Earnings | $ | 121,340 | $ | 128,553 | $ | 95,527 | $ | 109,522 | $ | 100,320 | |||||
GAAP net income per basic common share | $ | 1.17 | $ | 0.92 | $ | 0.39 | $ | 0.44 | $ | 0.61 | |||||
Core earnings per basic common share(2) | $ | 0.65 | $ | 0.68 | $ | 0.51 | $ | 0.58 | $ | 0.53 | |||||
(1) Included in net realized gains (losses) on derivatives in the Consolidated Statements of Operations. | |||||||||||||||
(2) We note that core and taxable earnings will typically differ, and may materially differ, due to differences on realized gains and losses on investments and related hedges, credit loss recognition, | |||||||||||||||
timing differences in premium amortization, accretion of discounts, equity compensation and other items. |
December 31, 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 | $ | 3,190,947 | $ | 55.76 | $ | 78.69 | 4.3 | % | 15.5 | % | |||
Senior, interest-only | 5,648,339 | 5.18 | 4.49 | 1.5 | % | 11.7 | % | ||||||
Subordinated | 673,259 | 70.83 | 82.21 | 3.8 | % | 9.2 | % | ||||||
Subordinated, interest-only | 266,927 | 5.20 | 4.50 | 1.1 | % | 13.5 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 2,594,570 | 105.78 | 104.29 | 3.9 | % | 3.0 | % | ||||||
Commercial pass-through | 1,331,543 | 102.64 | 98.91 | 3.6 | % | 2.9 | % | ||||||
Interest-only | 3,356,491 | 4.53 | 4.31 | 0.8 | % | 3.5 | % | ||||||
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. |
December 31, 2016 | December 31, 2015 | |||||
(dollars in thousands) | ||||||
Overnight | $ | — | $ | — | ||
1 to 29 days | 2,947,604 | 3,312,902 | ||||
30 to 59 days | 958,956 | 2,501,513 | ||||
60 to 89 days | 407,625 | 246,970 | ||||
90 to 119 days | 559,533 | 430,026 | ||||
Greater than or equal to 120 days | 727,185 | 947,928 | ||||
Total | $ | 5,600,903 | $ | 7,439,339 |
December 31, 2016 | December 31, 2015 | |||||
Interest earning assets at period-end (1) | $ | 16,251,470 | $ | 14,959,081 | ||
Interest bearing liabilities at period-end | $ | 12,876,124 | $ | 11,689,250 | ||
GAAP Leverage at period-end | 4.1:1 | 4.0:1 | ||||
GAAP Leverage at period-end (recourse) | 1.8:1 | 2.5:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 9.0 | % | 10.4 | % | ||
Senior | 3.9 | % | 4.7 | % | ||
Senior, interest only | 1.9 | % | 1.9 | % | ||
Subordinated | 3.1 | % | 3.7 | % | ||
Subordinated, interest only | 0.1 | % | 0.1 | % | ||
RMBS transferred to consolidated VIEs | 7.6 | % | 10.1 | % | ||
Agency MBS | 27.7 | % | 46.0 | % | ||
Residential | 17.8 | % | 37.2 | % | ||
Commercial | 8.9 | % | 6.8 | % | ||
Interest-only | 1.0 | % | 2.0 | % | ||
Securitized loans held for investment | 55.7 | % | 33.5 | % | ||
Fixed-rate percentage of portfolio | 88.4 | % | 84.7 | % | ||
Adjustable-rate percentage of portfolio | 11.6 | % | 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) | 3.0 | % | 2.5 | % | ||
(1) Excludes cash and cash equivalents. | ||||||
(2) Includes the effect of realized losses on interest rate swaps. |
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 Year Ended December 31, 2016 | $ | 934,068 | $ | 347,857 | $ | 28,107 | $ | — | $ | 375,964 | $ | 586,211 | $ | (28,107 | ) | $ | (882 | ) | $ | 557,222 | |||||||
For the Year Ended December 31, 2015 | $ | 872,737 | $ | 259,365 | $ | 47,227 | $ | (2,217 | ) | $ | 304,375 | $ | 613,372 | $ | (47,227 | ) | $ | 1,218 | $ | 567,363 | |||||||
For the Year Ended December 31, 2014 | $ | 687,795 | $ | 147,785 | $ | 52,522 | $ | — | $ | 200,307 | $ | 540,010 | $ | (52,522 | ) | $ | (22 | ) | $ | 487,466 | |||||||
For the Quarter Ended December 31, 2016 | $ | 260,823 | $ | 106,737 | $ | 4,151 | $ | — | $ | 110,888 | $ | 154,086 | $ | (4,151 | ) | $ | 40 | $ | 149,975 | ||||||||
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, 2016 | December 31, 2015 | ||||||||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||||||
Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | ||||||||||||
Assets: | |||||||||||||||||
Interest-earning assets (1): | |||||||||||||||||
Agency MBS | $ | 3,730,032 | $ | 38,494 | 4.1 | % | $ | 5,967,169 | $ | 37,762 | 2.5 | % | |||||
Non-Agency RMBS | 1,390,837 | 32,098 | 9.2 | % | 1,452,456 | 27,993 | 7.7 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 1,208,217 | 61,021 | 20.2 | % | 1,465,966 | 64,045 | 17.5 | % | |||||||||
Jumbo Prime securitized residential mortgage loans held for investment | 355,578 | 2,958 | 3.3 | % | 474,543 | 3,688 | 3.1 | % | |||||||||
Seasoned subprime securitized residential mortgage loans held for investment | 8,337,725 | 126,292 | 6.1 | % | 4,523,675 | 68,411 | 6.0 | % | |||||||||
Total | $ | 15,022,389 | $ | 260,863 | 6.9 | % | $ | 13,883,809 | $ | 201,899 | 5.8 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Agency repurchase agreements (2) | $ | 3,199,755 | $ | 11,340 | 1.4 | % | $ | 5,296,934 | $ | 20,045 | 1.5 | % | |||||
Non-Agency repurchase agreements | 2,499,313 | 18,579 | 3.0 | % | 2,095,149 | 12,677 | 2.4 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 357,422 | 5,610 | 6.3 | % | 550,634 | 8,171 | 5.9 | % | |||||||||
Securitized debt, collateralized by jumbo prime residential mortgage loans | 261,882 | 2,128 | 3.2 | % | 370,160 | 3,041 | 3.3 | % | |||||||||
Securitized debt, collateralized by seasoned subprime residential mortgage loans | 6,720,323 | 73,231 | 4.4 | % | 3,601,082 | 32,694 | 3.6 | % | |||||||||
Total | $ | 13,038,695 | $ | 110,888 | 3.4 | % | $ | 11,913,959 | $ | 76,628 | 2.6 | % | |||||
Economic net interest income/net interest rate spread | $ | 149,975 | 3.5 | % | $ | 125,271 | 3.2 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 1,983,694 | 4.0 | % | $ | 1,969,850 | 3.6 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.15 | 1.17 | |||||||||||||||
(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 Year Ended December 31, 2016 | 18.42 | % | 18.59 | % | 15.18 | % |
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 | % |
For the Quarter Ended December 31, 2016 | 28.82 | % | 19.48 | % | 15.76 | % |
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 | % |
* Includes effect of realized losses on interest rate swaps. |
For the Quarters Ended | |||||||||||||||
Accretable Discount (Net of Premiums) | December 31, 2016 | September 30, 2016 | June 30, 2016 | March 31, 2016 | December 31, 2015 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 733,060 | $ | 769,764 | $ | 778,847 | $ | 824,154 | $ | 873,091 | |||||
Accretion of discount | (44,427 | ) | (44,455 | ) | (42,297 | ) | (45,481 | ) | (43,520 | ) | |||||
Purchases | (33,987 | ) | 8,959 | (1,001 | ) | (11,102 | ) | 1,845 | |||||||
Sales and deconsolidation | (2,138 | ) | (14,386 | ) | (20,590 | ) | — | (35,144 | ) | ||||||
Transfers from/(to) credit reserve, net | 31,140 | 13,178 | 54,805 | 11,276 | 27,882 | ||||||||||
Balance, end of period | $ | 683,648 | $ | 733,060 | $ | 769,764 | $ | 778,847 | $ | 824,154 |