• | GAAP EARNINGS OF $0.69 PER COMMON SHARE |
• | CORE EARNINGS(1) OF $0.62 PER COMMON SHARE |
• | GAAP BOOK VALUE OF $16.92 PER COMMON SHARE |
• | ADDED $783 MILLION OF RESIDENTIAL MORTGAGE LOANS |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
September 30, 2017 | December 31, 2016 | |||||
Assets: | ||||||
Cash and cash equivalents | $ | 38,055 | $ | 177,714 | ||
Non-Agency RMBS, at fair value | 2,950,348 | 3,330,063 | ||||
Agency MBS, at fair value | 4,354,872 | 4,167,754 | ||||
Loans held for investment, at fair value | 13,538,052 | 8,753,653 | ||||
Receivable for investment sold | 11,235 | — | ||||
Accrued interest receivable | 99,421 | 79,697 | ||||
Other assets | 172,876 | 166,350 | ||||
Derivatives, at fair value, net | 22,525 | 9,677 | ||||
Total assets (1) | $ | 21,187,384 | $ | 16,684,908 | ||
Liabilities: | ||||||
Repurchase agreements ($8.2 billion and $7.0 billion, pledged as collateral, respectively) | $ | 6,709,821 | $ | 5,600,903 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.6 billion and $1.8 billion pledged as collateral, respectively) | 233,113 | 334,124 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($13.0 billion and $8.8 billion pledged as collateral, respectively) | 9,683,062 | 6,941,097 | ||||
Payable for investments purchased | 733,142 | 520,532 | ||||
Accrued interest payable | 64,280 | 48,670 | ||||
Dividends payable | 95,000 | 97,005 | ||||
Accounts payable and other liabilities | 21,331 | 16,694 | ||||
Derivatives, at fair value | 1,204 | 2,350 | ||||
Total liabilities (1) | $ | 17,540,953 | $ | 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, 187,781,000 and 187,739,634 shares issued and outstanding, respectively | 1,878 | 1,877 | ||||
Additional paid-in-capital | 3,825,832 | 3,508,779 | ||||
Accumulated other comprehensive income | 813,118 | 718,106 | ||||
Cumulative earnings | 2,860,244 | 2,443,184 | ||||
Cumulative distributions to stockholders | (3,854,829 | ) | (3,548,471 | ) | ||
Total stockholders' equity | $ | 3,646,431 | $ | 3,123,533 | ||
Total liabilities and stockholders' equity | $ | 21,187,384 | $ | 16,684,908 |
Net Income | |||||||||||||
(dollars in thousands, except share and per share data) | |||||||||||||
(unaudited) | |||||||||||||
For the Quarters Ended | For the Nine Months Ended | ||||||||||||
September 30, 2017 | September 30, 2016 | September 30, 2017 | September 30, 2016 | ||||||||||
Net interest income: | |||||||||||||
Interest income (1) | $ | 296,813 | $ | 250,953 | $ | 836,801 | $ | 673,246 | |||||
Interest expense (2) | 140,358 | 94,911 | 388,544 | 241,120 | |||||||||
Net interest income | 156,455 | 156,042 | 448,257 | 432,126 | |||||||||
Other-than-temporary impairments: | |||||||||||||
Total other-than-temporary impairment losses | (784 | ) | (993 | ) | (4,245 | ) | (8,555 | ) | |||||
Portion of loss recognized in other comprehensive income | (10,684 | ) | (10,581 | ) | (39,431 | ) | (34,652 | ) | |||||
Net other-than-temporary credit impairment losses | (11,468 | ) | (11,574 | ) | (43,676 | ) | (43,207 | ) | |||||
Other investment gains (losses): | |||||||||||||
Net unrealized gains (losses) on derivatives | 9,204 | 27,628 | 19,902 | (51,382 | ) | ||||||||
Realized gains (losses) on terminations of interest rate swaps | — | — | (16,143 | ) | (60,616 | ) | |||||||
Net realized gains (losses) on derivatives | (7,841 | ) | (14,268 | ) | (28,680 | ) | (58,934 | ) | |||||
Net gains (losses) on derivatives | 1,363 | 13,360 | (24,921 | ) | (170,932 | ) | |||||||
Net unrealized gains (losses) on financial instruments at fair value | 19,042 | 32,999 | 159,047 | 80,217 | |||||||||
Net realized gains (losses) on sales of investments | 1 | 3,079 | 9,709 | 7,035 | |||||||||
Gains (losses) on extinguishment of debt | (1 | ) | (45 | ) | (48,016 | ) | (1,811 | ) | |||||
Total other gains (losses) | 20,405 | 49,393 | 95,819 | (85,491 | ) | ||||||||
Other income: | |||||||||||||
Other income | — | — | — | 95,000 | |||||||||
Total other income | — | — | — | 95,000 | |||||||||
Other expenses: | |||||||||||||
Compensation and benefits | 7,533 | 6,911 | 22,759 | 19,087 | |||||||||
General and administrative expenses | 4,537 | 4,332 | 13,162 | 13,073 | |||||||||
Servicing fees | 10,715 | 9,788 | 31,193 | 23,139 | |||||||||
Deal expenses | 3,357 | — | 16,054 | 13,022 | |||||||||
Total other expenses | 26,142 | 21,031 | 83,168 | 68,321 | |||||||||
Income (loss) before income taxes | 139,250 | 172,830 | 417,232 | 330,107 | |||||||||
Income taxes | 18 | 13 | 172 | 65 | |||||||||
Net income (loss) | $ | 139,232 | $ | 172,817 | $ | 417,060 | $ | 330,042 | |||||
Dividend on preferred stock | 9,400 | — | 24,083 | — | |||||||||
Net income (loss) available to common shareholders | $ | 129,832 | $ | 172,817 | $ | 392,977 | $ | 330,042 | |||||
Net income (loss) per share available to common shareholders: | |||||||||||||
Basic | $ | 0.69 | $ | 0.92 | $ | 2.09 | $ | 1.76 | |||||
Diluted | $ | 0.69 | $ | 0.92 | $ | 2.09 | $ | 1.76 | |||||
Weighted average number of common shares outstanding: | |||||||||||||
Basic | 187,779,794 | 187,729,765 | 187,773,715 | 187,727,667 | |||||||||
Diluted | 188,192,111 | 187,919,792 | 188,176,757 | 187,917,694 | |||||||||
Dividends declared per share of common stock | $ | 0.50 | $ | 0.48 | $ | 1.50 | $ | 1.94 | |||||
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 Nine Months Ended | |||||||||||
September 30, 2017 | September 30, 2016 | September 30, 2017 | September 30, 2016 | |||||||||
Comprehensive income (loss): | ||||||||||||
Net income (loss) | $ | 139,232 | $ | 172,817 | $ | 417,060 | $ | 330,042 | ||||
Other comprehensive income: | ||||||||||||
Unrealized gains (losses) on available-for-sale securities, net | 21,370 | (18,364 | ) | 59,114 | 94,059 | |||||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 11,468 | 11,574 | 43,676 | 43,207 | ||||||||
Reclassification adjustment for net realized losses (gains) included in net income | (1 | ) | (2,680 | ) | (7,778 | ) | (13,354 | ) | ||||
Other comprehensive income (loss) | 32,837 | (9,470 | ) | 95,012 | 123,912 | |||||||
Comprehensive income (loss) before preferred stock dividends | $ | 172,069 | $ | 163,347 | $ | 512,072 | $ | 453,954 | ||||
Dividends on preferred stock | $ | 9,400 | $ | — | $ | 24,083 | $ | — | ||||
Comprehensive income (loss) available to common stock shareholders | $ | 162,669 | $ | 163,347 | $ | 487,989 | $ | 453,954 |
For the Quarters Ended | |||||||||||||||
September 30, 2017 | June 30, 2017 | March 31, 2017 | December 31, 2016 | September 30, 2016 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | 129,832 | $ | 105,617 | $ | 157,524 | $ | 219,454 | $ | 172,817 | |||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | 11,468 | 13,509 | 18,701 | 14,780 | 11,574 | ||||||||||
Net unrealized (gains) losses on derivatives | (9,204 | ) | (5,802 | ) | (4,896 | ) | (101,475 | ) | (27,628 | ) | |||||
Net unrealized (gains) losses on financial instruments at fair value | (19,042 | ) | (67,762 | ) | (72,243 | ) | 20,664 | (32,999 | ) | ||||||
Net realized (gains) losses on sales of investments | (1 | ) | (4,541 | ) | (5,167 | ) | (11,121 | ) | (3,079 | ) | |||||
(Gains) losses on extinguishment of debt | 1 | 48,014 | — | (1,334 | ) | 45 | |||||||||
Realized (gains) losses on terminations of interest rate swaps | — | 16,143 | — | — | — | ||||||||||
Net realized (gains) losses on Futures (1) | 3,267 | 6,914 | 2,084 | (19,628 | ) | 7,823 | |||||||||
Core Earnings | $ | 116,321 | $ | 112,092 | $ | 96,003 | $ | 121,340 | $ | 128,553 | |||||
GAAP net income per basic common share | $ | 0.69 | $ | 0.56 | $ | 0.84 | $ | 1.17 | $ | 0.92 | |||||
Core earnings per basic common share(2) | $ | 0.62 | $ | 0.60 | $ | 0.51 | $ | 0.65 | $ | 0.68 | |||||
(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. |
September 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 | $ | 2,821,535 | $ | 54.54 | $ | 81.68 | 4.4 | % | 16.7 | % | |||
Senior, interest-only | 4,948,265 | 5.42 | 4.30 | 1.4 | % | 7.8 | % | ||||||
Subordinated | 531,526 | 66.62 | 79.30 | 4.1 | % | 9.2 | % | ||||||
Subordinated, interest-only | 256,286 | 5.06 | 4.52 | 1.0 | % | 8.4 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 2,316,838 | 105.54 | 104.80 | 3.8 | % | 2.9 | % | ||||||
Commercial pass-through | 1,774,802 | 102.26 | 102.09 | 3.6 | % | 3.2 | % | ||||||
Interest-only | 3,176,110 | 3.82 | 3.61 | 0.7 | % | 3.5 | % | ||||||
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. |
September 30, 2017 | December 31, 2016 | |||||
(dollars in thousands) | ||||||
Overnight | $ | — | $ | — | ||
1 to 29 days | 3,777,160 | 2,947,604 | ||||
30 to 59 days | 1,591,370 | 958,956 | ||||
60 to 89 days | 330,186 | 407,625 | ||||
90 to 119 days | 28,798 | 559,533 | ||||
Greater than or equal to 120 days | 982,307 | 727,185 | ||||
Total | $ | 6,709,821 | $ | 5,600,903 |
For the Quarter Ended | For the Year Ended | |||||
September 30, 2017 | December 31, 2016 | |||||
Interest earning assets at period-end (1) | $ | 20,843,272 | $ | 16,251,470 | ||
Interest bearing liabilities at period-end | $ | 16,625,996 | $ | 12,876,124 | ||
GAAP Leverage at period-end | 4.6:1 | 4.1:1 | ||||
GAAP Leverage at period-end (recourse) | 1.8:1 | 1.8:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 6.2 | % | 9.0 | % | ||
Senior | 2.9 | % | 3.9 | % | ||
Senior, interest only | 1.4 | % | 1.9 | % | ||
Subordinated | 1.8 | % | 3.1 | % | ||
Subordinated, interest only | 0.1 | % | 0.1 | % | ||
RMBS transferred to consolidated VIEs | 4.9 | % | 7.6 | % | ||
Agency MBS | 22.2 | % | 27.7 | % | ||
Residential | 12.4 | % | 17.8 | % | ||
Commercial | 9.2 | % | 8.9 | % | ||
Interest-only | 0.6 | % | 1.0 | % | ||
Loans held for investment | 66.7 | % | 55.7 | % | ||
Fixed-rate percentage of portfolio | 92.0 | % | 88.4 | % | ||
Adjustable-rate percentage of portfolio | 8.0 | % | 11.6 | % | ||
Annualized yield on average interest earning assets for the periods ended | 6.3 | % | 6.4 | % | ||
Annualized cost of funds on average borrowed funds for the periods ended (2) | 3.6 | % | 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 September 30, 2017 | $ | 296,813 | $ | 140,358 | $ | 3,489 | $ | 143,847 | $ | 156,455 | $ | (3,489 | ) | $ | (167 | ) | $ | 152,799 | ||||||||
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 Quarters Ended | |||||||||||||||||
September 30, 2017 | September 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 | $ | 3,733,640 | $ | 24,236 | 2.6 | % | $ | 3,735,142 | $ | 29,482 | 3.2 | % | |||||
Non-Agency RMBS | 1,258,634 | 28,590 | 9.1 | % | 1,404,995 | 25,879 | 7.4 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 1,000,912 | 56,388 | 22.5 | % | 1,267,633 | 61,272 | 19.3 | % | |||||||||
Residential mortgage loans held for investment | 12,959,595 | 187,432 | 5.8 | % | 8,974,781 | 134,215 | 6.0 | % | |||||||||
Total | $ | 18,952,781 | $ | 296,646 | 6.3 | % | $ | 15,382,551 | $ | 250,848 | 6.5 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Repurchase agreements collateralized by: | |||||||||||||||||
Agency MBS (2) | $ | 3,114,689 | $ | 14,211 | 1.8 | % | $ | 3,407,242 | $ | 11,606 | 1.4 | % | |||||
Non-Agency RMBS | 706,941 | 5,257 | 3.0 | % | 831,412 | 5,700 | 2.7 | % | |||||||||
Re-Remic repurchase agreements | 443,029 | 3,679 | 3.3 | % | 660,303 | 4,901 | 3.0 | % | |||||||||
RMBS from loan securitizations | 2,285,232 | 18,843 | 3.3 | % | 970,425 | 6,584 | 2.7 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 248,989 | 4,416 | 7.1 | % | 402,657 | 5,182 | 5.1 | % | |||||||||
Securitized debt, collateralized by loans | 9,399,125 | 97,441 | 4.1 | % | 7,313,626 | 65,533 | 3.6 | % | |||||||||
Total | $ | 16,198,005 | $ | 143,847 | 3.6 | % | $ | 13,585,665 | $ | 99,506 | 2.9 | % | |||||
Economic net interest income/net interest rate spread | $ | 152,799 | 2.7 | % | $ | 151,342 | 3.6 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 2,754,776 | 3.2 | % | $ | 1,796,886 | 3.9 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.17 | 1.13 | |||||||||||||||
(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, 2017 | 15.42 | % | 16.92 | % | 12.88 | % |
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 | % |
* Includes effect of realized losses on interest rate swaps. |
For the Quarters Ended | |||||||||||||||
Accretable Discount (Net of Premiums) | September 30, 2017 | June 30, 2017 | March 31, 2017 | December 31, 2016 | September 30, 2016 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 627,724 | $ | 648,659 | $ | 683,648 | $ | 733,060 | $ | 769,764 | |||||
Accretion of discount | (43,502 | ) | (42,625 | ) | (43,715 | ) | (44,427 | ) | (44,455 | ) | |||||
Purchases | 1,723 | (108 | ) | (3,642 | ) | (33,987 | ) | 8,959 | |||||||
Sales and deconsolidation | 5,792 | 212 | (7,303 | ) | (2,138 | ) | (14,386 | ) | |||||||
Transfers from/(to) credit reserve, net | 31,245 | 21,586 | 19,671 | 31,140 | 13,178 | ||||||||||
Balance, end of period | $ | 622,982 | $ | 627,724 | $ | 648,659 | $ | 683,648 | $ | 733,060 |