• | GAAP EARNINGS OF $0.84 PER COMMON SHARE |
• | CORE EARNINGS(1) OF $0.51 PER COMMON SHARE |
• | GAAP BOOK VALUE OF $16.20 PER COMMON SHARE |
• | SPONSORED FOUR RESIDENTIAL MORTGAGE LOAN SECURITIZATIONS TOTALING $4.1 BILLION, INCURRED $11 MILLION IN SECURITIZATION DEAL EXPENSES |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
March 31, 2017 | December 31, 2016 | |||||
Assets: | ||||||
Cash and cash equivalents | $ | 82,556 | $ | 177,714 | ||
Non-Agency RMBS, at fair value | 3,228,391 | 3,330,063 | ||||
Agency MBS, at fair value | 4,101,851 | 4,167,754 | ||||
Securitized loans held for investment, at fair value | 12,713,273 | 8,753,653 | ||||
Accrued interest receivable | 99,669 | 79,697 | ||||
Other assets | 190,021 | 166,350 | ||||
Derivatives, at fair value, net | 10,889 | 9,677 | ||||
Total assets (1) | $ | 20,426,650 | $ | 16,684,908 | ||
Liabilities: | ||||||
Repurchase agreements ($7.3 billion and $7.0 billion, MBS pledged as collateral, respectively) | $ | 5,851,204 | $ | 5,600,903 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.8 billion pledged as collateral, respectively) | 303,389 | 334,124 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($12.7 billion and $8.8 billion pledged as collateral, respectively) | 10,111,293 | 6,941,097 | ||||
Payable for investments purchased | 473,269 | 520,532 | ||||
Accrued interest payable | 67,596 | 48,670 | ||||
Dividends payable | 97,008 | 97,005 | ||||
Accounts payable and other liabilities | 9,176 | 16,694 | ||||
Derivatives, at fair value | 1,627 | 2,350 | ||||
Total liabilities (1) | $ | 16,914,562 | $ | 13,561,375 | ||
Stockholders' Equity: | ||||||
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized: | ||||||
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference) | $ | 58 | $ | 58 | ||
8.00% Series B cumulative redeemable: 13,000,000 and 0 shares issued and outstanding, respectively ($325,000 liquidation preference) | 130 | $ | — | |||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,779,489 and 187,739,634 shares issued and outstanding, respectively | 1,878 | 1,877 | ||||
Additional paid-in-capital | 3,824,197 | 3,508,779 | ||||
Accumulated other comprehensive income | 727,711 | 718,106 | ||||
Cumulative earnings | 2,605,991 | 2,443,184 | ||||
Cumulative distributions to stockholders | (3,647,877 | ) | (3,548,471 | ) | ||
Total stockholders' equity | $ | 3,512,088 | $ | 3,123,533 | ||
Total liabilities and stockholders' equity | $ | 20,426,650 | $ | 16,684,908 |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | ||||||
(dollars in thousands, except share and per share data) | ||||||
For the Quarters Ended | ||||||
March 31, 2017 | March 31, 2016 | |||||
Net Interest Income: | ||||||
Interest income (1) | $ | 251,344 | $ | 201,194 | ||
Interest expense (2) | 110,231 | 62,981 | ||||
Net interest income | 141,113 | 138,213 | ||||
Other-than-temporary impairments: | ||||||
Total other-than-temporary impairment losses | (2,713 | ) | (4,423 | ) | ||
Portion of loss recognized in other comprehensive income | (15,988 | ) | (6,255 | ) | ||
Net other-than-temporary credit impairment losses | (18,701 | ) | (10,678 | ) | ||
Other investment gains (losses): | ||||||
Net unrealized gains (losses) on derivatives | 4,896 | (101,110 | ) | |||
Realized gains (losses) on terminations of interest rate swaps | — | (458 | ) | |||
Net realized gains (losses) on derivatives | (9,358 | ) | (34,969 | ) | ||
Net gains (losses) on derivatives | (4,462 | ) | (136,537 | ) | ||
Net unrealized gains (losses) on financial instruments at fair value | 72,243 | 16,871 | ||||
Net realized gains (losses) on sales of investments | 5,167 | (2,674 | ) | |||
Gains (losses) on Extinguishment of Debt | — | (1,766 | ) | |||
Total other gains (losses) | 72,948 | (124,106 | ) | |||
Other income: | ||||||
Other income | — | 95,000 | ||||
Total other income | — | 95,000 | ||||
Other expenses: | ||||||
Compensation and benefits | 7,556 | 5,222 | ||||
General and administrative expenses | 4,040 | 4,503 | ||||
Servicing Fees of consolidated VIEs | 9,588 | 5,577 | ||||
Deal Expenses | 11,353 | — | ||||
Total other expenses | 32,537 | 15,302 | ||||
Income (loss) before income taxes | 162,823 | 83,127 | ||||
Income taxes | 16 | 29 | ||||
Net income (loss) | $ | 162,807 | $ | 83,098 | ||
Dividend on preferred stock | 5,283 | — | ||||
Net income (loss) available to common shareholders | $ | 157,524 | $ | 83,098 | ||
Net income (loss) per share available to common shareholders: | ||||||
Basic | $ | 0.84 | $ | 0.44 | ||
Diluted | $ | 0.84 | $ | 0.44 | ||
Weighted average number of common shares outstanding: | ||||||
Basic | 187,761,748 | 187,723,472 | ||||
Diluted | 188,195,061 | 187,840,182 | ||||
Dividends declared per share of common stock | $ | 0.50 | $ | 0.98 | ||
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | ||||||
(dollars in thousands, except share and per share data) | ||||||
(Unaudited) | ||||||
For the Quarters Ended | ||||||
March 31, 2017 | March 31, 2016 | |||||
Comprehensive income (loss): | ||||||
Net income (loss) | $ | 162,807 | $ | 83,098 | ||
Other comprehensive income: | ||||||
Unrealized gains (losses) on available-for-sale securities, net | (3,910 | ) | 59,408 | |||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 18,701 | 10,678 | ||||
Reclassification adjustment for net realized losses (gains) included in net income | (5,186 | ) | (1,612 | ) | ||
Other comprehensive income (loss) | 9,605 | 68,474 | ||||
Comprehensive income (loss) before preferred stock dividends | $ | 172,412 | $ | 151,572 | ||
Dividends on preferred stock | $ | 5,283 | $ | — | ||
Comprehensive income (loss) available to common stock shareholders | $ | 167,129 | $ | 151,572 |
For the Quarters Ended | |||||||||||||||
March 31, 2017 | December 31, 2016 | September 30, 2016 | June 30, 2016 | March 31, 2016 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | 157,524 | $ | 219,454 | $ | 172,817 | $ | 74,127 | $ | 83,098 | |||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | 18,701 | 14,780 | 11,574 | 20,955 | 10,678 | ||||||||||
Net unrealized (gains) losses on derivatives | (4,896 | ) | (101,475 | ) | (27,628 | ) | (22,100 | ) | 101,110 | ||||||
Net unrealized (gains) losses on financial instruments at fair value | (72,243 | ) | 20,664 | (32,999 | ) | (30,347 | ) | (16,871 | ) | ||||||
Net realized (gains) losses on sales of investments | (5,167 | ) | (11,121 | ) | (3,079 | ) | (6,631 | ) | 2,674 | ||||||
(Gains) losses on extinguishment of debt | — | (1,334 | ) | 45 | — | 1,766 | |||||||||
Realized (gains) losses on terminations of interest rate swaps | — | — | — | 60,158 | 458 | ||||||||||
Net realized (gains) losses on Futures (1) | 2,084 | (19,628 | ) | 7,823 | (635 | ) | 21,609 | ||||||||
Other income | — | — | — | — | (95,000 | ) | |||||||||
Core Earnings | $ | 96,003 | $ | 121,340 | $ | 128,553 | $ | 95,527 | $ | 109,522 | |||||
GAAP net income per basic common share | $ | 0.84 | $ | 1.17 | $ | 0.92 | $ | 0.39 | $ | 0.44 | |||||
Core earnings per basic common share(2) | $ | 0.51 | $ | 0.65 | $ | 0.68 | $ | 0.51 | $ | 0.58 | |||||
(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. |
March 31, 2017 | |||||||||||||
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 | $ | 3,060,690 | $ | 55.51 | $ | 79.68 | 4.4 | % | 15.8 | % | |||
Senior, interest-only | 5,434,402 | 5.29 | 4.41 | 1.4 | % | 10.9 | % | ||||||
Subordinated | 662,469 | 70.25 | 81.28 | 3.8 | % | 9.1 | % | ||||||
Subordinated, interest-only | 263,126 | 5.18 | 4.48 | 1.0 | % | 12.8 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 2,480,534 | 105.82 | 104.33 | 3.9 | % | 3.0 | % | ||||||
Commercial pass-through | 1,393,290 | 102.51 | 99.24 | 3.6 | % | 2.9 | % | ||||||
Interest-only | 3,248,168 | 4.29 | 4.04 | 0.8 | % | 3.6 | % | ||||||
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 | % | ||||||
(1) Bond Equivalent Yield at period end. |
March 31, 2017 | December 31, 2016 | |||||
(dollars in thousands) | ||||||
Overnight | $ | — | $ | — | ||
1 to 29 days | 3,743,094 | 2,947,604 | ||||
30 to 59 days | 1,107,093 | 958,956 | ||||
60 to 89 days | 320,551 | 407,625 | ||||
90 to 119 days | 40,223 | 559,533 | ||||
Greater than or equal to 120 days | 640,243 | 727,185 | ||||
Total | $ | 5,851,204 | $ | 5,600,903 |
March 31, 2017 | December 31, 2016 | |||||
Interest earning assets at period-end (1) | $ | 20,043,515 | $ | 16,251,470 | ||
Interest bearing liabilities at period-end | $ | 16,265,886 | $ | 12,876,124 | ||
GAAP Leverage at period-end | 4.6:1 | 4.1:1 | ||||
GAAP Leverage at period-end (recourse) | 1.7:1 | 1.8:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 7.1 | % | 9.0 | % | ||
Senior | 3.1 | % | 3.9 | % | ||
Senior, interest only | 1.5 | % | 1.9 | % | ||
Subordinated | 2.4 | % | 3.1 | % | ||
Subordinated, interest only | 0.1 | % | 0.1 | % | ||
RMBS transferred to consolidated VIEs | 5.8 | % | 7.6 | % | ||
Agency MBS | 22.0 | % | 27.7 | % | ||
Residential | 13.8 | % | 17.8 | % | ||
Commercial | 7.5 | % | 8.9 | % | ||
Interest-only | 0.7 | % | 1.0 | % | ||
Securitized loans held for investment | 65.1 | % | 55.7 | % | ||
Fixed-rate percentage of portfolio | 91.0 | % | 88.4 | % | ||
Adjustable-rate percentage of portfolio | 9.0 | % | 11.6 | % | ||
Annualized yield on average interest earning assets for the periods ended | 6.5 | % | 6.4 | % | ||
Annualized cost of funds on average borrowed funds for the periods ended (2) | 3.5 | % | 3.0 | % | ||
(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 | Economic Interest Expense | GAAP Net Interest Income | Net Realized Losses on Interest Rate Swaps | Other (1) | Economic Net Interest Income | |||||||||||||||||
For the Quarter Ended March 31, 2017 | $ | 251,344 | $ | 110,231 | $ | 4,106 | $ | 114,337 | $ | 141,113 | $ | (4,106 | ) | $ | (519 | ) | $ | 136,488 | ||||||
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 | |||||||||||||||||
March 31, 2017 | March 31, 2016 | ||||||||||||||||
(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 | $ | 3,730,939 | $ | 27,632 | 3.0 | % | $ | 6,003,520 | $ | 37,659 | 2.5 | % | |||||
Non-Agency RMBS | 1,372,359 | 30,205 | 8.8 | % | 1,461,811 | 31,106 | 8.5 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 1,141,388 | 60,134 | 21.1 | % | 1,418,442 | 64,232 | 18.1 | % | |||||||||
Residential mortgage loans held for investment | 9,091,646 | 132,854 | 5.8 | % | 4,686,855 | 67,749 | 5.8 | % | |||||||||
Total | $ | 15,336,332 | $ | 250,825 | 6.5 | % | $ | 13,570,628 | $ | 200,746 | 5.9 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Repurchase agreements collateralized by: | |||||||||||||||||
Agency MBS (2) | $ | 3,120,531 | $ | 11,473 | 1.5 | % | $ | 5,419,402 | $ | 21,279 | 1.6 | % | |||||
Non-Agency RMBS | 745,920 | 5,532 | 3.0 | % | 828,757 | 4,941 | 2.4 | % | |||||||||
RMBS from bond securitizations | 605,366 | 4,669 | 3.1 | % | 708,286 | 5,043 | 2.8 | % | |||||||||
RMBS from loan securitizations | 1,328,324 | 9,978 | 3.0 | % | 540,479 | 3,687 | 2.7 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 318,756 | 5,012 | 6.3 | % | 510,761 | 3,996 | 3.1 | % | |||||||||
Securitized debt, collateralized by loans | 7,121,397 | 77,673 | 4.4 | % | 3,671,167 | 35,255 | 3.8 | % | |||||||||
Total | $ | 13,240,294 | $ | 114,337 | 3.5 | % | $ | 11,678,852 | $ | 74,201 | 2.5 | % | |||||
Economic net interest income/net interest rate spread | $ | 136,488 | 3.0 | % | $ | 126,545 | 3.4 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 2,096,038 | 3.6 | % | $ | 1,891,776 | 3.6 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.16 | 1.16 | |||||||||||||||
(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 March 31, 2017 | 19.63 | % | 16.46 | % | 11.57 | % |
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) | March 31, 2017 | December 31, 2016 | September 30, 2016 | June 30, 2016 | March 31, 2016 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 683,648 | $ | 733,060 | $ | 769,764 | $ | 778,847 | $ | 824,154 | |||||
Accretion of discount | (43,715 | ) | (44,427 | ) | (44,455 | ) | (42,297 | ) | (45,481 | ) | |||||
Purchases | (3,642 | ) | (33,987 | ) | 8,959 | (1,001 | ) | (11,102 | ) | ||||||
Sales and deconsolidation | (7,303 | ) | (2,138 | ) | (14,386 | ) | (20,590 | ) | — | ||||||
Transfers from/(to) credit reserve, net | 19,671 | 31,140 | 13,178 | 54,805 | 11,276 | ||||||||||
Balance, end of period | $ | 648,659 | $ | 683,648 | $ | 733,060 | $ | 769,764 | $ | 778,847 |