• | GAAP EARNINGS OF $0.56 PER COMMON SHARE |
• | CORE EARNINGS(1) OF $0.60 PER COMMON SHARE |
• | GAAP BOOK VALUE OF $16.54 PER COMMON SHARE |
• | ADDED $1 BILLION OF RESIDENTIAL MORTGAGE LOANS |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
June 30, 2017 | December 31, 2016 | |||||
Assets: | ||||||
Cash and cash equivalents | $ | 168,743 | $ | 177,714 | ||
Non-Agency RMBS, at fair value | 3,111,827 | 3,330,063 | ||||
Agency MBS, at fair value | 3,994,670 | 4,167,754 | ||||
Loans held for investment, at fair value | 13,261,360 | 8,753,653 | ||||
Accrued interest receivable | 98,079 | 79,697 | ||||
Other assets | 168,883 | 166,350 | ||||
Derivatives, at fair value, net | 14,907 | 9,677 | ||||
Total assets (1) | $ | 20,818,469 | $ | 16,684,908 | ||
Liabilities: | ||||||
Repurchase agreements ($7.6 billion and $7.0 billion, MBS pledged as collateral, respectively) | $ | 6,254,153 | $ | 5,600,903 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.7 billion and $1.8 billion pledged as collateral, respectively) | 264,866 | 334,124 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($12.7 billion and $8.8 billion pledged as collateral, respectively) | 9,511,229 | 6,941,097 | ||||
Payable for investments purchased | 1,046,720 | 520,532 | ||||
Accrued interest payable | 54,853 | 48,670 | ||||
Dividends payable | 94,809 | 97,005 | ||||
Accounts payable and other liabilities | 13,445 | 16,694 | ||||
Derivatives, at fair value | 1,707 | 2,350 | ||||
Total liabilities (1) | $ | 17,241,782 | $ | 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, 187,779,367 and 187,739,634 shares issued and outstanding, respectively | 1,878 | 1,877 | ||||
Additional paid-in-capital | 3,824,680 | 3,508,779 | ||||
Accumulated other comprehensive income | 780,283 | 718,106 | ||||
Cumulative earnings | 2,721,008 | 2,443,184 | ||||
Cumulative distributions to stockholders | (3,751,350 | ) | (3,548,471 | ) | ||
Total stockholders' equity | $ | 3,576,687 | $ | 3,123,533 | ||
Total liabilities and stockholders' equity | $ | 20,818,469 | $ | 16,684,908 |
Net Income | |||||||||||||
(dollars in thousands, except share and per share data) | |||||||||||||
(unaudited) | |||||||||||||
For the Quarters Ended | For the Six Months Ended | ||||||||||||
June 30, 2017 | June 30, 2016 | June 30, 2017 | June 30, 2016 | ||||||||||
Net interest income: | |||||||||||||
Interest income (1) | $ | 288,644 | $ | 221,096 | $ | 539,988 | $ | 422,293 | |||||
Interest expense (2) | 137,955 | 83,227 | 248,186 | 146,208 | |||||||||
Net interest income | 150,689 | 137,869 | 291,802 | 276,085 | |||||||||
Other-than-temporary impairments: | |||||||||||||
Total other-than-temporary impairment losses | (749 | ) | (3,139 | ) | (3,462 | ) | (7,562 | ) | |||||
Portion of loss recognized in other comprehensive income | (12,760 | ) | (17,816 | ) | (28,748 | ) | (24,071 | ) | |||||
Net other-than-temporary credit impairment losses | (13,509 | ) | (20,955 | ) | (32,210 | ) | (31,633 | ) | |||||
Other investment gains (losses): | |||||||||||||
Net unrealized gains (losses) on derivatives | 5,802 | 22,100 | 10,698 | (79,010 | ) | ||||||||
Realized gains (losses) on terminations of interest rate swaps | (16,143 | ) | (60,158 | ) | (16,143 | ) | (60,616 | ) | |||||
Net realized gains (losses) on derivatives | (11,481 | ) | (9,697 | ) | (20,839 | ) | (44,666 | ) | |||||
Net gains (losses) on derivatives | (21,822 | ) | (47,755 | ) | (26,284 | ) | (184,292 | ) | |||||
Net unrealized gains (losses) on financial instruments at fair value | 67,762 | 30,347 | 140,005 | 47,218 | |||||||||
Net realized gains (losses) on sales of investments | 4,541 | 6,631 | 9,708 | 3,956 | |||||||||
Gains (losses) on extinguishment of debt | (48,014 | ) | — | (48,014 | ) | (1,766 | ) | ||||||
Total other gains (losses) | 2,467 | (10,777 | ) | 75,415 | (134,884 | ) | |||||||
Other income: | |||||||||||||
Other income | — | — | — | 95,000 | |||||||||
Total other income | — | — | — | 95,000 | |||||||||
Other expenses: | |||||||||||||
Compensation and benefits | 7,671 | 6,954 | 15,227 | 12,176 | |||||||||
General and administrative expenses | 4,585 | 4,238 | 8,625 | 8,741 | |||||||||
Servicing fees | 10,890 | 7,773 | 20,478 | 13,351 | |||||||||
Deal expenses | 1,345 | 13,022 | 12,698 | 13,022 | |||||||||
Total other expenses | 24,491 | 31,987 | 57,028 | 47,290 | |||||||||
Income (loss) before income taxes | 115,156 | 74,150 | 277,979 | 157,278 | |||||||||
Income taxes | 139 | 23 | 155 | 52 | |||||||||
Net income (loss) | $ | 115,017 | $ | 74,127 | $ | 277,824 | $ | 157,226 | |||||
Dividend on preferred stock | 9,400 | — | 14,683 | — | |||||||||
Net income (loss) available to common shareholders | $ | 105,617 | $ | 74,127 | $ | 263,141 | $ | 157,226 | |||||
Net income (loss) per share available to common shareholders: | |||||||||||||
Basic | $ | 0.56 | $ | 0.39 | $ | 1.40 | $ | 0.84 | |||||
Diluted | $ | 0.56 | $ | 0.39 | $ | 1.40 | $ | 0.84 | |||||
Weighted average number of common shares outstanding: | |||||||||||||
Basic | 187,779,406 | 187,729,765 | 187,770,626 | 187,726,618 | |||||||||
Diluted | 188,142,551 | 187,925,046 | 188,169,093 | 187,882,614 | |||||||||
Dividends declared per share of common stock | $ | 0.50 | $ | 0.48 | $ | 1.00 | $ | 1.46 | |||||
CHIMERA INVESTMENT CORPORATION | ||||||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | ||||||||||||
(dollars in thousands, except share and per share data) | ||||||||||||
(Unaudited) | ||||||||||||
For the Quarters Ended | For the Six Months Ended | |||||||||||
June 30, 2017 | June 30, 2016 | June 30, 2017 | June 30, 2016 | |||||||||
Comprehensive income (loss): | ||||||||||||
Net income (loss) | $ | 115,017 | $ | 74,127 | $ | 277,824 | $ | 157,226 | ||||
Other comprehensive income: | ||||||||||||
Unrealized gains (losses) on available-for-sale securities, net | 41,655 | 53,015 | 37,744 | 112,423 | ||||||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 13,509 | 20,955 | 32,210 | 31,633 | ||||||||
Reclassification adjustment for net realized losses (gains) included in net income | (2,591 | ) | (9,062 | ) | (7,777 | ) | (10,674 | ) | ||||
Other comprehensive income (loss) | 52,573 | 64,908 | 62,177 | 133,382 | ||||||||
Comprehensive income (loss) before preferred stock dividends | $ | 167,590 | $ | 139,035 | $ | 340,001 | $ | 290,608 | ||||
Dividends on preferred stock | $ | 9,400 | $ | — | $ | 14,683 | $ | — | ||||
Comprehensive income (loss) available to common stock shareholders | $ | 158,190 | $ | 139,035 | $ | 325,318 | $ | 290,608 |
For the Quarters Ended | |||||||||||||||
June 30, 2017 | March 31, 2017 | December 31, 2016 | September 30, 2016 | June 30, 2016 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | 105,617 | $ | 157,524 | $ | 219,454 | $ | 172,817 | $ | 74,127 | |||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | 13,509 | 18,701 | 14,780 | 11,574 | 20,955 | ||||||||||
Net unrealized (gains) losses on derivatives | (5,802 | ) | (4,896 | ) | (101,475 | ) | (27,628 | ) | (22,100 | ) | |||||
Net unrealized (gains) losses on financial instruments at fair value | (67,762 | ) | (72,243 | ) | 20,664 | (32,999 | ) | (30,347 | ) | ||||||
Net realized (gains) losses on sales of investments | (4,541 | ) | (5,167 | ) | (11,121 | ) | (3,079 | ) | (6,631 | ) | |||||
(Gains) losses on extinguishment of debt | 48,014 | — | (1,334 | ) | 45 | — | |||||||||
Realized (gains) losses on terminations of interest rate swaps | 16,143 | — | — | — | 60,158 | ||||||||||
Net realized (gains) losses on Futures (1) | 6,914 | 2,084 | (19,628 | ) | 7,823 | (635 | ) | ||||||||
Core Earnings | $ | 112,092 | $ | 96,003 | $ | 121,340 | $ | 128,553 | $ | 95,527 | |||||
GAAP net income per basic common share | $ | 0.56 | $ | 0.84 | $ | 1.17 | $ | 0.92 | $ | 0.39 | |||||
Core earnings per basic common share(2) | $ | 0.60 | $ | 0.51 | $ | 0.65 | $ | 0.68 | $ | 0.51 | |||||
(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. |
June 30, 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 | $ | 2,919,136 | $ | 54.86 | $ | 80.61 | 4.5 | % | 16.2 | % | |||
Senior, interest-only | 5,140,383 | 5.38 | 4.27 | 1.4 | % | 10.7 | % | ||||||
Subordinated | 646,779 | 70.17 | 81.69 | 3.7 | % | 9.1 | % | ||||||
Subordinated, interest-only | 258,908 | 5.13 | 4.19 | 1.1 | % | 11.1 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 2,376,069 | 105.76 | 104.61 | 3.8 | % | 2.9 | % | ||||||
Commercial pass-through | 1,366,273 | 102.65 | 101.38 | 3.6 | % | 3.1 | % | ||||||
Interest-only | 3,262,811 | 3.98 | 3.80 | 0.8 | % | 3.4 | % | ||||||
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. |
June 30, 2017 | December 31, 2016 | |||||
(dollars in thousands) | ||||||
Overnight | $ | — | $ | — | ||
1 to 29 days | 4,194,962 | 2,947,604 | ||||
30 to 59 days | 714,705 | 958,956 | ||||
60 to 89 days | 367,734 | 407,625 | ||||
90 to 119 days | 220,797 | 559,533 | ||||
Greater than or equal to 120 days | 755,955 | 727,185 | ||||
Total | $ | 6,254,153 | $ | 5,600,903 |
For the Quarter Ended | For the Year Ended | |||||
June 30, 2017 | December 31, 2016 | |||||
Interest earning assets at period-end (1) | $ | 20,367,857 | $ | 16,251,470 | ||
Interest bearing liabilities at period-end | $ | 16,030,248 | $ | 12,876,124 | ||
GAAP Leverage at period-end | 4.5:1 | 4.1:1 | ||||
GAAP Leverage at period-end (recourse) | 1.7:1 | 1.8:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 6.9 | % | 9.0 | % | ||
Senior | 3.0 | % | 3.9 | % | ||
Senior, interest only | 1.4 | % | 1.9 | % | ||
Subordinated | 2.4 | % | 3.1 | % | ||
Subordinated, interest only | 0.1 | % | 0.1 | % | ||
RMBS transferred to consolidated VIEs | 5.4 | % | 7.6 | % | ||
Agency MBS | 21.0 | % | 27.7 | % | ||
Residential | 13.0 | % | 17.8 | % | ||
Commercial | 7.3 | % | 8.9 | % | ||
Interest-only | 0.7 | % | 1.0 | % | ||
Loans held for investment | 66.7 | % | 55.7 | % | ||
Fixed-rate percentage of portfolio | 88.3 | % | 88.4 | % | ||
Adjustable-rate percentage of portfolio | 11.7 | % | 11.6 | % | ||
Annualized yield on average interest earning assets for the periods ended | 6.2 | % | 6.4 | % | ||
Annualized cost of funds on average borrowed funds for the periods ended (2) | 3.5 | % | 3.0 | % |
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 June 30, 2017 | $ | 288,644 | $ | 137,955 | $ | 3,486 | $ | 141,441 | $ | 150,689 | $ | (3,486 | ) | $ | (350 | ) | $ | 146,853 | ||||||||
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 Quarters Ended | |||||||||||||||||
June 30, 2017 | June 30, 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 | $ | 3,661,335 | $ | 24,289 | 2.7 | % | $ | 4,882,776 | $ | 29,376 | 2.4 | % | |||||
Non-Agency RMBS | 1,335,643 | 29,567 | 8.9 | % | 1,432,834 | 30,469 | 8.5 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 1,069,509 | 58,486 | 21.9 | % | 1,346,840 | 62,889 | 18.7 | % | |||||||||
Residential mortgage loans held for investment | 12,391,023 | 175,952 | 5.7 | % | 6,625,810 | 97,994 | 5.9 | % | |||||||||
Total | $ | 18,457,510 | $ | 288,294 | 6.2 | % | $ | 14,288,260 | $ | 220,728 | 6.2 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Repurchase agreements collateralized by: | |||||||||||||||||
Agency MBS (2) | $ | 3,156,501 | $ | 12,190 | 1.5 | % | $ | 4,612,205 | $ | 15,795 | 1.4 | % | |||||
Non-Agency RMBS | 725,698 | 5,229 | 2.9 | % | 693,126 | 5,168 | 3.0 | % | |||||||||
Re-Remic repurchase agreements | 387,493 | 3,573 | 3.7 | % | 686,606 | 6,701 | 3.9 | % | |||||||||
RMBS from loan securitizations | 1,823,189 | 14,726 | 3.2 | % | 872,023 | 4,932 | 2.3 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 284,127 | 5,563 | 7.8 | % | 458,350 | 5,922 | 5.2 | % | |||||||||
Securitized debt, collateralized by loans | 9,700,805 | 100,160 | 4.1 | % | 5,664,470 | 52,849 | 3.7 | % | |||||||||
Total | $ | 16,077,813 | $ | 141,441 | 3.5 | % | $ | 12,986,780 | $ | 91,367 | 2.8 | % | |||||
Economic net interest income/net interest rate spread | $ | 146,853 | 2.7 | % | $ | 129,361 | 3.4 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 2,379,697 | 3.2 | % | $ | 1,301,480 | 3.6 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.15 | 1.10 | |||||||||||||||
(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 June 30, 2017 | 12.98 | % | 16.57 | % | 12.65 | % |
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 | % |
* Includes effect of realized losses on interest rate swaps. |
For the Quarters Ended | |||||||||||||||
Accretable Discount (Net of Premiums) | June 30, 2017 | March 31, 2017 | December 31, 2016 | September 30, 2016 | June 30, 2016 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 648,659 | $ | 683,648 | $ | 733,060 | $ | 769,764 | $ | 778,847 | |||||
Accretion of discount | (42,625 | ) | (43,715 | ) | (44,427 | ) | (44,455 | ) | (42,297 | ) | |||||
Purchases | (108 | ) | (3,642 | ) | (33,987 | ) | 8,959 | (1,001 | ) | ||||||
Sales and deconsolidation | 212 | (7,303 | ) | (2,138 | ) | (14,386 | ) | (20,590 | ) | ||||||
Transfers from/(to) credit reserve, net | 21,586 | 19,671 | 31,140 | 13,178 | 54,805 | ||||||||||
Balance, end of period | $ | 627,724 | $ | 648,659 | $ | 683,648 | $ | 733,060 | $ | 769,764 |