• | 1ST QUARTER GAAP NET INCOME OF $1.22 PER COMMON SHARE |
• | 1ST QUARTER CORE EARNINGS(1) OF $0.58 PER COMMON SHARE |
• | GAAP BOOK VALUE OF $17.12 PER COMMON SHARE |
• | REPURCHASED $15 MILLION OF COMMON STOCK |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
March 31, 2018 | December 31, 2017 | |||||
Assets: | ||||||
Cash and cash equivalents | $ | 100,752 | $ | 63,569 | ||
Non-Agency RMBS, at fair value | 2,760,711 | 2,851,316 | ||||
Agency MBS, at fair value | 4,557,799 | 4,364,828 | ||||
Loans held for investment, at fair value | 13,619,995 | 13,678,263 | ||||
Accrued interest receivable | 98,669 | 100,789 | ||||
Other assets | 99,631 | 114,391 | ||||
Derivatives, at fair value, net | 93,171 | 48,914 | ||||
Total assets (1) | $ | 21,330,728 | $ | 21,222,070 | ||
Liabilities: | ||||||
Repurchase agreements ($8.7 billion and $8.8 billion, pledged as collateral, respectively) | $ | 7,202,924 | $ | 7,250,452 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.5 billion and $1.6 billion pledged as collateral, respectively) | 194,967 | 205,780 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($13.2 billion and $13.3 billion pledged as collateral, respectively) | 9,321,154 | 9,388,657 | ||||
Payable for investments purchased | 766,250 | 567,440 | ||||
Accrued interest payable | 69,929 | 61,888 | ||||
Dividends payable | 95,335 | 95,365 | ||||
Accounts payable and other liabilities | 9,426 | 17,191 | ||||
Derivatives, at fair value, net | — | 320 | ||||
Total liabilities (1) | $ | 17,659,985 | $ | 17,587,093 | ||
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 shares issued and outstanding, respectively ($325,000 liquidation preference) | 130 | 130 | ||||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 186,969,715 and 187,809,288 shares issued and outstanding, respectively | 1,870 | 1,878 | ||||
Additional paid-in-capital | 3,814,391 | 3,826,691 | ||||
Accumulated other comprehensive income | 709,244 | 796,902 | ||||
Cumulative earnings | 3,206,859 | 2,967,852 | ||||
Cumulative distributions to stockholders | (4,061,809 | ) | (3,958,534 | ) | ||
Total stockholders' equity | $ | 3,670,743 | $ | 3,634,977 | ||
Total liabilities and stockholders' equity | $ | 21,330,728 | $ | 21,222,070 |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | ||||||
(dollars in thousands, except share and per share data) | ||||||
(Unaudited) | ||||||
For the Quarters Ended | ||||||
March 31, 2018 | March 31, 2017 | |||||
Net interest income: | ||||||
Interest income (1) | $ | 297,132 | $ | 251,344 | ||
Interest expense (2) | 149,251 | 110,231 | ||||
Net interest income | 147,881 | 141,113 | ||||
Other-than-temporary impairments: | ||||||
Total other-than-temporary impairment losses | (294 | ) | (2,713 | ) | ||
Portion of loss recognized in other comprehensive income | (864 | ) | (15,988 | ) | ||
Net other-than-temporary credit impairment losses | (1,158 | ) | (18,701 | ) | ||
Other investment gains (losses): | ||||||
Net unrealized gains (losses) on derivatives | 81,419 | 4,896 | ||||
Net realized gains (losses) on derivatives | 13,085 | (9,358 | ) | |||
Net gains (losses) on derivatives | 94,504 | (4,462 | ) | |||
Net unrealized gains (losses) on financial instruments at fair value | 14,466 | 72,243 | ||||
Net realized gains (losses) on sales of investments | — | 5,167 | ||||
Gains (losses) on extinguishment of debt | 9,670 | — | ||||
Total other gains (losses) | 118,640 | 72,948 | ||||
Other expenses: | ||||||
Compensation and benefits | 8,411 | 7,556 | ||||
General and administrative expenses | 5,489 | 4,040 | ||||
Servicing fees | 11,334 | 9,588 | ||||
Deal expenses | 1,088 | 11,353 | ||||
Total other expenses | 26,322 | 32,537 | ||||
Income (loss) before income taxes | 239,041 | 162,823 | ||||
Income taxes | 34 | 16 | ||||
Net income (loss) | $ | 239,007 | $ | 162,807 | ||
Dividend on preferred stock | 9,400 | 5,283 | ||||
Net income (loss) available to common shareholders | $ | 229,607 | $ | 157,524 | ||
Net income (loss) per share available to common shareholders: | ||||||
Basic | $ | 1.22 | $ | 0.84 | ||
Diluted | $ | 1.22 | $ | 0.84 | ||
Weighted average number of common shares outstanding: | ||||||
Basic | 187,553,281 | 187,761,748 | ||||
Diluted | 188,176,753 | 188,195,061 | ||||
Dividends declared per share of common stock | $ | 0.50 | $ | 0.50 | ||
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, 2018 | March 31, 2017 | |||||
Comprehensive income (loss): | ||||||
Net income (loss) | $ | 239,007 | $ | 162,807 | ||
Other comprehensive income: | ||||||
Unrealized gains (losses) on available-for-sale securities, net | (88,816 | ) | (3,910 | ) | ||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 1,158 | 18,701 | ||||
Reclassification adjustment for net realized losses (gains) included in net income | — | (5,186 | ) | |||
Other comprehensive income (loss) | (87,658 | ) | 9,605 | |||
Comprehensive income (loss) before preferred stock dividends | $ | 151,349 | $ | 172,412 | ||
Dividends on preferred stock | $ | 9,400 | $ | 5,283 | ||
Comprehensive income (loss) available to common stock shareholders | $ | 141,949 | $ | 167,129 |
For the Quarters Ended | |||||||||||||||
March 31, 2018 | December 31, 2017 | September 30, 2017 | June 30, 2017 | March 31, 2017 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | 229,607 | $ | 98,208 | $ | 129,832 | $ | 105,617 | $ | 157,524 | |||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | 1,158 | 18,179 | 11,468 | 13,509 | 18,701 | ||||||||||
Net unrealized (gains) losses on derivatives | (81,419 | ) | (28,074 | ) | (9,204 | ) | (5,802 | ) | (4,896 | ) | |||||
Net unrealized (gains) losses on financial instruments at fair value | (14,466 | ) | 47,637 | (19,042 | ) | (67,762 | ) | (72,243 | ) | ||||||
Net realized (gains) losses on sales of investments | — | 586 | (1 | ) | (4,541 | ) | (5,167 | ) | |||||||
(Gains) losses on extinguishment of debt | (9,670 | ) | (12,742 | ) | 1 | 48,014 | — | ||||||||
Realized (gains) losses on terminations of interest rate swaps | — | — | — | 16,143 | — | ||||||||||
Net realized (gains) losses on Futures (1) | (16,424 | ) | (8,204 | ) | 3,267 | 6,914 | 2,084 | ||||||||
Core Earnings | $ | 108,786 | $ | 115,590 | $ | 116,321 | $ | 112,092 | $ | 96,003 | |||||
GAAP net income per basic common share | $ | 1.22 | $ | 0.52 | $ | 0.69 | $ | 0.56 | $ | 0.84 | |||||
Core earnings per basic common share(2) | $ | 0.58 | $ | 0.62 | $ | 0.62 | $ | 0.60 | $ | 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. |
March 31, 2018 | |||||||||||||
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 | $ | 2,627,375 | $ | 53.96 | $ | 81.96 | 4.6 | % | 17.1 | % | |||
Senior, interest-only | 4,646,297 | 5.42 | 4.25 | 1.3 | % | 7.0 | % | ||||||
Subordinated | 495,128 | 67.34 | 81.13 | 4.1 | % | 9.3 | % | ||||||
Subordinated, interest-only | 196,208 | 3.68 | 4.12 | 0.8 | % | 12.4 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 2,265,632 | 105.56 | 102.07 | 3.9 | % | 3.0 | % | ||||||
Commercial pass-through | 2,153,980 | 102.15 | 99.71 | 3.6 | % | 3.3 | % | ||||||
Interest-only | 2,960,181 | 3.53 | 3.29 | 0.7 | % | 3.2 | % | ||||||
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 | % | ||||||
(1) Bond Equivalent Yield at period end. |
March 31, 2018 | December 31, 2017 | |||||
(dollars in thousands) | ||||||
Overnight | $ | — | $ | — | ||
1 to 29 days | 4,140,691 | 4,745,342 | ||||
30 to 59 days | 1,538,864 | 1,206,769 | ||||
60 to 89 days | 685,239 | 592,865 | ||||
90 to 119 days | — | — | ||||
Greater than or equal to 120 days | 838,130 | 705,476 | ||||
Total | $ | 7,202,924 | $ | 7,250,452 |
March 31, 2018 | December 31, 2017 | |||||
Interest earning assets at period-end (1) | $ | 20,938,505 | $ | 20,894,407 | ||
Interest bearing liabilities at period-end | $ | 16,719,045 | $ | 16,844,889 | ||
GAAP Leverage at period-end | 4.6:1 | 4.6:1 | ||||
GAAP Leverage at period-end (recourse) | 2.0:1 | 2.0:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 5.7 | % | 5.9 | % | ||
Senior | 2.7 | % | 2.9 | % | ||
Senior, interest only | 1.3 | % | 1.3 | % | ||
Subordinated | 1.7 | % | 1.7 | % | ||
Subordinated, interest only | 0.0 | % | 0.0 | % | ||
RMBS transferred to consolidated VIEs | 4.4 | % | 4.6 | % | ||
Agency MBS | 23.5 | % | 22.2 | % | ||
Residential | 12.0 | % | 11.8 | % | ||
Commercial | 11.0 | % | 9.8 | % | ||
Interest-only | 0.5 | % | 0.6 | % | ||
Loans held for investment | 66.4 | % | 67.3 | % | ||
Fixed-rate percentage of portfolio | 94.0 | % | 93.7 | % | ||
Adjustable-rate percentage of portfolio | 6.0 | % | 6.3 | % | ||
Annualized yield on average interest earning assets for the periods ended | 6.2 | % | 6.3 | % | ||
Annualized cost of funds on average borrowed funds for the periods ended (2) | 3.7 | % | 3.6 | % |
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, 2018 | $ | 297,132 | $ | 149,251 | $ | 2,612 | $ | 151,863 | $ | 147,881 | $ | (2,612 | ) | $ | 143 | $ | 145,412 | |||||||||
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 Quarter Ended | |||||||||||||||||
March 31, 2018 | March 31, 2017 | ||||||||||||||||
(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 | $ | 3,880,870 | $ | 33,342 | 3.4 | % | $ | 3,730,939 | $ | 27,632 | 3.0 | % | |||||
Non-Agency RMBS | 1,150,135 | 22,004 | 7.7 | % | 1,372,359 | 30,205 | 8.8 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 896,139 | 52,107 | 23.3 | % | 1,141,388 | 60,134 | 21.1 | % | |||||||||
Residential mortgage loans held for investment | 13,265,821 | 189,822 | 5.7 | % | 9,091,646 | 132,854 | 5.8 | % | |||||||||
Total | $ | 19,192,965 | $ | 297,275 | 6.2 | % | $ | 15,336,332 | $ | 250,825 | 6.5 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Repurchase agreements collateralized by: | |||||||||||||||||
Agency MBS (2) | $ | 3,253,529 | $ | 16,140 | 2.0 | % | $ | 3,120,531 | $ | 11,473 | 1.5 | % | |||||
Non-Agency RMBS | 411,143 | 3,025 | 2.9 | % | 745,920 | 5,532 | 3.0 | % | |||||||||
Re-Remic repurchase agreements | 828,745 | 7,727 | 3.7 | % | 605,366 | 4,669 | 3.1 | % | |||||||||
RMBS from loan securitizations | 2,763,631 | 25,358 | 3.7 | % | 1,328,324 | 9,978 | 3.0 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 200,374 | 2,825 | 5.6 | % | 318,756 | 5,012 | 6.3 | % | |||||||||
Securitized debt, collateralized by loans | 9,185,049 | 96,788 | 4.2 | % | 7,121,397 | 77,673 | 4.4 | % | |||||||||
Total | $ | 16,642,471 | $ | 151,863 | 3.7 | % | $ | 13,240,294 | $ | 114,337 | 3.5 | % | |||||
Economic net interest income/net interest rate spread | $ | 145,412 | 2.5 | % | $ | 136,488 | 3.0 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 2,550,494 | 3.0 | % | $ | 2,096,038 | 3.6 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.15 | 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, 2018 | 26.17 | % | 15.92 | % | 11.91 | % |
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) | March 31, 2018 | December 31, 2017 | September 30, 2017 | June 30, 2017 | March 31, 2017 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 582,193 | $ | 622,982 | $ | 627,724 | $ | 648,659 | $ | 683,648 | |||||
Accretion of discount | (37,309 | ) | (39,640 | ) | (43,502 | ) | (42,625 | ) | (43,715 | ) | |||||
Purchases | — | (2,914 | ) | 1,723 | (108 | ) | (3,642 | ) | |||||||
Sales and deconsolidation | 174 | — | 5,792 | 212 | (7,303 | ) | |||||||||
Transfers from/(to) credit reserve, net | 10,386 | 1,765 | 31,245 | 21,586 | 19,671 | ||||||||||
Balance, end of period | $ | 555,444 | $ | 582,193 | $ | 622,982 | $ | 627,724 | $ | 648,659 |