• | 4TH QUARTER GAAP EARNINGS OF $0.52 PER COMMON SHARE |
• | 4TH QUARTER CORE EARNINGS(1) OF $0.62 PER COMMON SHARE |
• | FULL YEAR GAAP EARNINGS OF $2.61 PER COMMON SHARE |
• | FULL YEAR CORE EARNINGS(1) OF $2.34 PER COMMON SHARE |
• | GAAP BOOK VALUE OF $16.85 PER COMMON SHARE |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
December 31, 2017 | December 31, 2016 | |||||
Assets: | ||||||
Cash and cash equivalents | $ | 63,569 | $ | 177,714 | ||
Non-Agency RMBS, at fair value | 2,851,316 | 3,330,063 | ||||
Agency MBS, at fair value | 4,364,828 | 4,167,754 | ||||
Loans held for investment, at fair value | 13,678,263 | 8,753,653 | ||||
Accrued interest receivable | 100,789 | 79,697 | ||||
Other assets | 114,391 | 166,350 | ||||
Derivatives, at fair value, net | 48,914 | 9,677 | ||||
Total assets (1) | $ | 21,222,070 | $ | 16,684,908 | ||
Liabilities: | ||||||
Repurchase agreements ($8.8 billion and $7.0 billion, pledged as collateral, respectively) | $ | 7,250,452 | $ | 5,600,903 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.6 billion and $1.8 billion pledged as collateral, respectively) | 205,780 | 334,124 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($13.3 billion and $8.8 billion pledged as collateral, respectively) | 9,388,657 | 6,941,097 | ||||
Payable for investments purchased | 567,440 | 520,532 | ||||
Accrued interest payable | 61,888 | 48,670 | ||||
Dividends payable | 95,365 | 97,005 | ||||
Accounts payable and other liabilities | 17,191 | 16,694 | ||||
Derivatives, at fair value | 320 | 2,350 | ||||
Total liabilities (1) | $ | 17,587,093 | $ | 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, 187,809,288 and 187,739,634 shares issued and outstanding, respectively | 1,878 | 1,877 | ||||
Additional paid-in-capital | 3,826,691 | 3,508,779 | ||||
Accumulated other comprehensive income | 796,902 | 718,106 | ||||
Cumulative earnings | 2,967,852 | 2,443,184 | ||||
Cumulative distributions to stockholders | (3,958,534 | ) | (3,548,471 | ) | ||
Total stockholders' equity | $ | 3,634,977 | $ | 3,123,533 | ||
Total liabilities and stockholders' equity | $ | 21,222,070 | $ | 16,684,908 |
CHIMERA INVESTMENT CORPORATION | |||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||
(dollars in thousands, except share and per share data) | |||||||||
For the Year Ended | |||||||||
December 31, 2017 | December 31, 2016 | December 31, 2015 | |||||||
Net interest income: | |||||||||
Interest income (1) | $ | 1,138,758 | $ | 934,068 | $ | 872,737 | |||
Interest expense (2) | 532,748 | 347,857 | 259,365 | ||||||
Net interest income | 606,010 | 586,211 | 613,372 | ||||||
Other-than-temporary impairments: | |||||||||
Total other-than-temporary impairment losses | (5,169 | ) | (9,589 | ) | (8,700 | ) | |||
Portion of loss recognized in other comprehensive income | (56,687 | ) | (48,398 | ) | (58,744 | ) | |||
Net other-than-temporary credit impairment losses | (61,856 | ) | (57,987 | ) | (67,444 | ) | |||
Other investment gains (losses): | |||||||||
Net unrealized gains (losses) on derivatives | 47,976 | 50,093 | 67,385 | ||||||
Realized gains (losses) on terminations of interest rate swaps | (16,143 | ) | (60,616 | ) | (98,949 | ) | |||
Net realized gains (losses) on derivatives | (25,645 | ) | (44,886 | ) | (83,073 | ) | |||
Net gains (losses) on derivatives | 6,188 | (55,409 | ) | (114,637 | ) | ||||
Net unrealized gains (losses) on financial instruments at fair value | 111,410 | 59,552 | (158,433 | ) | |||||
Net realized gains (losses) on sales of investments | 9,123 | 18,155 | 77,074 | ||||||
Gain (loss) on deconsolidation | — | — | (256 | ) | |||||
Gains (losses) on extinguishment of debt | (35,274 | ) | (477 | ) | (5,930 | ) | |||
Total other gains (losses) | 91,447 | 21,821 | (202,182 | ) | |||||
Other income: | |||||||||
Other income | — | 95,000 | — | ||||||
Total other income | — | 95,000 | — | ||||||
Other expenses: | |||||||||
Management fees (net of recoveries) | — | — | 17,703 | ||||||
Compensation and benefits | 30,212 | 26,901 | 10,544 | ||||||
General and administrative expenses | 17,650 | 17,516 | 31,633 | ||||||
Servicing fees | 41,690 | 31,178 | 25,244 | ||||||
Deal expenses | 21,273 | 17,424 | 8,272 | ||||||
Total other expenses | 110,825 | 93,019 | 93,396 | ||||||
Income (loss) before income taxes | 524,776 | 552,026 | 250,350 | ||||||
Income taxes | 108 | 83 | 1 | ||||||
Net income (loss) | $ | 524,668 | $ | 551,943 | $ | 250,349 | |||
Dividend on preferred stock | 33,484 | 2,449 | — | ||||||
Net income (loss) available to common shareholders | $ | 491,184 | $ | 549,494 | $ | 250,349 | |||
Net income (loss) per share available to common shareholders: | |||||||||
Basic | $ | 2.62 | $ | 2.93 | $ | 1.25 | |||
Diluted | $ | 2.61 | $ | 2.92 | $ | 1.25 | |||
Weighted average number of common shares outstanding: | |||||||||
Basic | 187,780,355 | 187,728,634 | 199,563,196 | ||||||
Diluted | 188,287,320 | 188,024,838 | 199,650,177 | ||||||
Dividends declared per share of common stock | $ | 2.00 | $ | 2.44 | $ | 1.92 | |||
CHIMERA INVESTMENT CORPORATION | |||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | |||||||||
(dollars in thousands, except share and per share data) | |||||||||
For the Year Ended | |||||||||
December 31, 2017 | December 31, 2016 | December 31, 2015 | |||||||
Comprehensive income (loss): | |||||||||
Net income (loss) | $ | 524,668 | $ | 551,943 | $ | 250,349 | |||
Other comprehensive income: | |||||||||
Unrealized gains (losses) on available-for-sale securities, net | 24,218 | (88,527 | ) | (263,049 | ) | ||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 61,856 | 57,987 | 67,444 | ||||||
Reclassification adjustment for net realized losses (gains) included in net income | (7,278 | ) | (25,145 | ) | (77,284 | ) | |||
Other comprehensive income (loss) | 78,796 | (55,685 | ) | (272,889 | ) | ||||
Comprehensive income (loss) before preferred stock dividends | $ | 603,464 | $ | 496,258 | $ | (22,540 | ) | ||
Dividends on preferred stock | $ | 33,484 | $ | 2,449 | $ | — | |||
Comprehensive income (loss) available to common stock shareholders | $ | 569,980 | $ | 493,809 | $ | (22,540 | ) |
For the Quarters Ended | |||||||||||||||
December 31, 2017 | September 30, 2017 | June 30, 2017 | March 31, 2017 | December 31, 2016 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | 98,208 | $ | 129,832 | $ | 105,617 | $ | 157,524 | $ | 219,454 | |||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | 18,179 | 11,468 | 13,509 | 18,701 | 14,780 | ||||||||||
Net unrealized (gains) losses on derivatives | (28,074 | ) | (9,204 | ) | (5,802 | ) | (4,896 | ) | (101,475 | ) | |||||
Net unrealized (gains) losses on financial instruments at fair value | 47,637 | (19,042 | ) | (67,762 | ) | (72,243 | ) | 20,664 | |||||||
Net realized (gains) losses on sales of investments | 586 | (1 | ) | (4,541 | ) | (5,167 | ) | (11,121 | ) | ||||||
(Gains) losses on extinguishment of debt | (12,742 | ) | 1 | 48,014 | — | (1,334 | ) | ||||||||
Realized (gains) losses on terminations of interest rate swaps | — | — | 16,143 | — | — | ||||||||||
Net realized (gains) losses on Futures (1) | (8,204 | ) | 3,267 | 6,914 | 2,084 | (19,628 | ) | ||||||||
Core Earnings | $ | 115,590 | $ | 116,321 | $ | 112,092 | $ | 96,003 | $ | 121,340 | |||||
GAAP net income per basic common share | $ | 0.52 | $ | 0.69 | $ | 0.56 | $ | 0.84 | $ | 1.17 | |||||
Core earnings per basic common share(2) | $ | 0.62 | $ | 0.62 | $ | 0.60 | $ | 0.51 | $ | 0.65 | |||||
(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, 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 | $ | 2,733,926 | $ | 54.04 | $ | 81.62 | 4.6 | % | 16.7 | % | |||
Senior, interest-only | 4,862,461 | 5.41 | 4.34 | 1.3 | % | 8.0 | % | ||||||
Subordinated | 501,455 | 66.77 | 80.01 | 4.1 | % | 9.6 | % | ||||||
Subordinated, interest-only | 201,378 | 3.66 | 3.89 | 0.8 | % | 11.8 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 2,227,128 | 105.53 | 104.27 | 3.8 | % | 2.9 | % | ||||||
Commercial pass-through | 1,894,594 | 102.26 | 102.31 | 3.6 | % | 3.2 | % | ||||||
Interest-only | 3,021,840 | 3.68 | 3.45 | 0.7 | % | 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. |
December 31, 2017 | December 31, 2016 | |||||
(dollars in thousands) | ||||||
Overnight | $ | — | $ | — | ||
1 to 29 days | 5,092,458 | 2,947,604 | ||||
30 to 59 days | 1,206,769 | 958,956 | ||||
60 to 89 days | 592,865 | 407,625 | ||||
90 to 119 days | — | 559,533 | ||||
Greater than or equal to 120 days | 358,360 | 727,185 | ||||
Total | $ | 7,250,452 | $ | 5,600,903 |
For the Year Ended | For the Year Ended | |||||
December 31, 2017 | December 31, 2016 | |||||
Interest earning assets at period-end (1) | $ | 20,894,407 | $ | 16,251,470 | ||
Interest bearing liabilities at period-end | $ | 16,844,889 | $ | 12,876,124 | ||
GAAP Leverage at period-end | 4.6:1 | 4.1:1 | ||||
GAAP Leverage at period-end (recourse) | 2.0:1 | 1.8:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 5.9 | % | 9.0 | % | ||
Senior | 2.9 | % | 3.9 | % | ||
Senior, interest only | 1.3 | % | 1.9 | % | ||
Subordinated | 1.7 | % | 3.1 | % | ||
Subordinated, interest only | 0.0 | % | 0.1 | % | ||
RMBS transferred to consolidated VIEs | 4.6 | % | 7.6 | % | ||
Agency MBS | 22.2 | % | 27.7 | % | ||
Residential | 11.8 | % | 17.8 | % | ||
Commercial | 9.8 | % | 8.9 | % | ||
Interest-only | 0.6 | % | 1.0 | % | ||
Loans held for investment | 67.3 | % | 55.7 | % | ||
Fixed-rate percentage of portfolio | 93.7 | % | 88.4 | % | ||
Adjustable-rate percentage of portfolio | 6.3 | % | 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 | 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, 2017 | $ | 1,138,758 | $ | 532,748 | $ | 15,450 | $ | — | $ | 548,198 | $ | 606,010 | $ | (15,450 | ) | $ | (1,097 | ) | $ | 589,463 | |||||||||
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 Quarter Ended December 31, 2017 | $ | 301,957 | $ | 144,204 | $ | 4,369 | $ | — | $ | 148,573 | $ | 157,753 | $ | (4,369 | ) | $ | (61 | ) | $ | 153,323 | |||||||||
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 Quarters Ended | |||||||||||||||||
December 31, 2017 | December 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 | $ | 3,847,658 | $ | 28,812 | 3.0 | % | $ | 3,730,032 | $ | 38,494 | 4.1 | % | |||||
Non-Agency RMBS | 1,187,349 | 24,608 | 8.3 | % | 1,390,837 | 32,098 | 9.2 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 940,931 | 55,916 | 23.8 | % | 1,208,217 | 61,022 | 20.2 | % | |||||||||
Residential mortgage loans held for investment | 13,048,375 | 192,560 | 5.9 | % | 8,693,303 | 129,249 | 5.9 | % | |||||||||
Total | $ | 19,024,313 | $ | 301,896 | 6.3 | % | $ | 15,022,389 | $ | 260,863 | 6.9 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Repurchase agreements collateralized by: | |||||||||||||||||
Agency MBS (2) | $ | 3,090,155 | $ | 15,651 | 2.0 | % | $ | 3,199,755 | $ | 11,340 | 1.4 | % | |||||
Non-Agency RMBS | 497,073 | 3,896 | 3.1 | % | 795,900 | 5,668 | 2.9 | % | |||||||||
Re-Remic repurchase agreements | 867,882 | 7,193 | 3.3 | % | 641,137 | 4,761 | 3.0 | % | |||||||||
RMBS from loan securitizations | 2,573,351 | 21,236 | 3.3 | % | 1,062,276 | 8,149 | 3.1 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 219,446 | 3,796 | 6.9 | % | 357,422 | 5,610 | 6.3 | % | |||||||||
Securitized debt, collateralized by loans | 9,451,052 | 96,801 | 4.1 | % | 6,982,205 | 75,360 | 4.3 | % | |||||||||
Total | $ | 16,698,959 | $ | 148,573 | 3.6 | % | $ | 13,038,695 | $ | 110,888 | 3.4 | % | |||||
Economic net interest income/net interest rate spread | $ | 153,323 | 2.7 | % | $ | 149,975 | 3.6 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 2,325,354 | 3.2 | % | $ | 1,983,694 | 3.9 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.14 | 1.15 | |||||||||||||||
(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, 2017 | 15.00 | % | 16.85 | % | 12.58 | % |
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 Quarter Ended December 31, 2017 | 11.82 | % | 16.85 | % | 12.70 | % |
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 Quarters Ended | |||||||||||||||
Accretable Discount (Net of Premiums) | December 31, 2017 | September 30, 2017 | June 30, 2017 | March 31, 2017 | December 31, 2016 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 622,982 | $ | 627,724 | $ | 648,659 | $ | 683,648 | $ | 733,060 | |||||
Accretion of discount | (39,640 | ) | (43,502 | ) | (42,625 | ) | (43,715 | ) | (44,427 | ) | |||||
Purchases | (2,914 | ) | 1,723 | (108 | ) | (3,642 | ) | (33,987 | ) | ||||||
Sales and deconsolidation | — | 5,792 | 212 | (7,303 | ) | (2,138 | ) | ||||||||
Transfers from/(to) credit reserve, net | 1,765 | 31,245 | 21,586 | 19,671 | 31,140 | ||||||||||
Balance, end of period | $ | 582,193 | $ | 622,982 | $ | 627,724 | $ | 648,659 | $ | 683,648 |