• | 2ND QUARTER GAAP NET INCOME OF $0.58 PER COMMON SHARE |
• | 2ND QUARTER CORE EARNINGS(1) OF $0.59 PER COMMON SHARE |
• | GAAP BOOK VALUE OF $17.01 PER COMMON SHARE |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
June 30, 2018 | December 31, 2017 | |||||
Assets: | ||||||
Cash and cash equivalents | $ | 90,671 | $ | 63,569 | ||
Non-Agency RMBS, at fair value | 2,593,422 | 2,851,316 | ||||
Agency MBS, at fair value | 6,989,329 | 4,364,828 | ||||
Loans held for investment, at fair value | 13,246,521 | 13,678,263 | ||||
Accrued interest receivable | 106,877 | 100,789 | ||||
Other assets | 106,594 | 114,391 | ||||
Derivatives, at fair value, net | 129,341 | 48,914 | ||||
Total assets (1) | $ | 23,262,755 | $ | 21,222,070 | ||
Liabilities: | ||||||
Repurchase agreements ($10.6 billion and $8.8 billion, pledged as collateral, respectively) | $ | 9,127,048 | $ | 7,250,452 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.3 billion and $1.6 billion pledged as collateral, respectively) | 179,742 | 205,780 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($13.0 billion and $13.3 billion pledged as collateral, respectively) | 9,340,368 | 9,388,657 | ||||
Payable for investments purchased | 784,425 | 567,440 | ||||
Accrued interest payable | 71,405 | 61,888 | ||||
Dividends payable | 95,807 | 95,365 | ||||
Accounts payable and other liabilities | 13,818 | 17,191 | ||||
Derivatives, at fair value, net | — | 320 | ||||
Total liabilities (1) | $ | 19,612,613 | $ | 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, 187,006,450 and 187,809,288 shares issued and outstanding, respectively | 1,870 | 1,878 | ||||
Additional paid-in-capital | 3,816,631 | 3,826,691 | ||||
Accumulated other comprehensive income | 671,651 | 796,902 | ||||
Cumulative earnings | 3,324,968 | 2,967,852 | ||||
Cumulative distributions to stockholders | (4,165,166 | ) | (3,958,534 | ) | ||
Total stockholders' equity | $ | 3,650,142 | $ | 3,634,977 | ||
Total liabilities and stockholders' equity | $ | 23,262,755 | $ | 21,222,070 |
CHIMERA INVESTMENT CORPORATION | |||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||||||
(dollars in thousands, except share and per share data) | |||||||||||||
(Unaudited) | |||||||||||||
For the Quarters Ended | For the Six Months Ended | ||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||
Net interest income: | |||||||||||||
Interest income (1) | $ | 306,436 | $ | 288,644 | $ | 603,567 | $ | 539,988 | |||||
Interest expense (2) | 161,266 | 137,955 | 310,518 | 248,186 | |||||||||
Net interest income | 145,170 | 150,689 | 293,049 | 291,802 | |||||||||
Other-than-temporary impairments: | |||||||||||||
Total other-than-temporary impairment losses | (805 | ) | (749 | ) | (1,099 | ) | (3,462 | ) | |||||
Portion of loss recognized in other comprehensive income | (8,326 | ) | (12,760 | ) | (9,190 | ) | (28,748 | ) | |||||
Net other-than-temporary credit impairment losses | (9,131 | ) | (13,509 | ) | (10,289 | ) | (32,210 | ) | |||||
Other investment gains (losses): | |||||||||||||
Net unrealized gains (losses) on derivatives | 25,895 | 5,802 | 107,314 | 10,698 | |||||||||
Realized gains (losses) on terminations of interest rate swaps | — | (16,143 | ) | — | (16,143 | ) | |||||||
Net realized gains (losses) on derivatives | (1,393 | ) | (11,481 | ) | 11,693 | (20,839 | ) | ||||||
Net gains (losses) on derivatives | 24,502 | (21,822 | ) | 119,007 | (26,284 | ) | |||||||
Net unrealized gains (losses) on financial instruments at fair value | (18,364 | ) | 67,762 | (3,898 | ) | 140,005 | |||||||
Net realized gains (losses) on sales of investments | 2,167 | 4,541 | 2,167 | 9,708 | |||||||||
Gains (losses) on extinguishment of debt | 387 | (48,014 | ) | 10,057 | (48,014 | ) | |||||||
Total other gains (losses) | 8,692 | 2,467 | 127,333 | 75,415 | |||||||||
Other expenses: | |||||||||||||
Compensation and benefits | 8,689 | 7,671 | 17,100 | 15,227 | |||||||||
General and administrative expenses | 5,860 | 4,585 | 11,349 | 8,625 | |||||||||
Servicing fees | 9,943 | 10,890 | 21,277 | $ | 20,478 | ||||||||
Deal expenses | 2,095 | 1,345 | 3,183 | 12,698 | |||||||||
Total other expenses | 26,587 | 24,491 | 52,909 | 57,028 | |||||||||
Income (loss) before income taxes | 118,144 | 115,156 | 357,184 | $ | 277,979 | ||||||||
Income taxes | 36 | 139 | 68 | $ | 155 | ||||||||
Net income (loss) | $ | 118,108 | $ | 115,017 | $ | 357,116 | $ | 277,824 | |||||
Dividend on preferred stock | 9,400 | 9,400 | 18,800 | 14,683 | |||||||||
Net income (loss) available to common shareholders | $ | 108,708 | $ | 105,617 | $ | 338,316 | $ | 263,141 | |||||
Net income (loss) per share available to common shareholders: | |||||||||||||
Basic | $ | 0.58 | $ | 0.56 | $ | 1.81 | $ | 1.40 | |||||
Diluted | $ | 0.58 | $ | 0.56 | $ | 1.80 | $ | 1.40 | |||||
Weighted average number of common shares outstanding: | |||||||||||||
Basic | 186,994,743 | 187,779,406 | 187,272,469 | 187,770,626 | |||||||||
Diluted | 187,422,145 | 188,142,551 | 187,738,443 | 188,169,093 | |||||||||
Dividends declared per share of common stock | $ | 0.50 | $ | 0.50 | $ | 1.00 | $ | 1.00 | |||||
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, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | |||||||||
Comprehensive income (loss): | ||||||||||||
Net income (loss) | $ | 118,108 | $ | 115,017 | $ | 357,116 | $ | 277,824 | ||||
Other comprehensive income: | ||||||||||||
Unrealized gains (losses) on available-for-sale securities, net | (42,341 | ) | 41,655 | (131,157 | ) | 37,744 | ||||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 9,131 | 13,509 | 10,289 | 32,210 | ||||||||
Reclassification adjustment for net realized losses (gains) included in net income | (4,383 | ) | (2,591 | ) | (4,383 | ) | (7,777 | ) | ||||
Other comprehensive income (loss) | (37,593 | ) | 52,573 | (125,251 | ) | 62,177 | ||||||
Comprehensive income (loss) before preferred stock dividends | $ | 80,515 | $ | 167,590 | $ | 231,865 | $ | 340,001 | ||||
Dividends on preferred stock | $ | 9,400 | $ | 9,400 | $ | 18,800 | $ | 14,683 | ||||
Comprehensive income (loss) available to common stock shareholders | $ | 71,115 | $ | 158,190 | $ | 213,065 | $ | 325,318 |
For the Quarters Ended | |||||||||||||||
June 30, 2018 | March 31, 2018 | December 31, 2017 | September 30, 2017 | June 30, 2017 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | 108,708 | $ | 229,607 | $ | 98,208 | $ | 129,832 | $ | 105,617 | |||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | 9,131 | 1,158 | 18,179 | 11,468 | 13,509 | ||||||||||
Net unrealized (gains) losses on derivatives | (25,895 | ) | (81,419 | ) | (28,074 | ) | (9,204 | ) | (5,802 | ) | |||||
Net unrealized (gains) losses on financial instruments at fair value | 18,364 | (14,466 | ) | 47,637 | (19,042 | ) | (67,762 | ) | |||||||
Net realized (gains) losses on sales of investments | (2,167 | ) | — | 586 | (1 | ) | (4,541 | ) | |||||||
(Gains) losses on extinguishment of debt | (387 | ) | (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) | 2,210 | (16,424 | ) | (8,204 | ) | 3,267 | 6,914 | ||||||||
Core Earnings | $ | 109,964 | $ | 108,786 | $ | 115,590 | $ | 116,321 | $ | 112,092 | |||||
GAAP net income per basic common share | $ | 0.58 | $ | 1.22 | $ | 0.52 | $ | 0.69 | $ | 0.56 | |||||
Core earnings per basic common share(2) | $ | 0.59 | $ | 0.58 | $ | 0.62 | $ | 0.62 | $ | 0.60 | |||||
(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, 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 | $ | 2,522,667 | $ | 53.23 | $ | 81.81 | 4.8 | % | 17.7 | % | |||
Senior, interest-only | 5,282,885 | 5.73 | 4.78 | 1.4 | % | 9.1 | % | ||||||
Subordinated | 365,499 | 56.13 | 73.00 | 4.0 | % | 10.8 | % | ||||||
Subordinated, interest-only | 206,557 | 4.49 | 5.07 | 0.9 | % | 11.8 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 4,527,730 | 103.70 | 101.88 | 4.0 | % | 3.4 | % | ||||||
Commercial pass-through | 2,300,891 | 102.08 | 98.81 | 3.6 | % | 3.4 | % | ||||||
Interest-only | 3,010,512 | 3.65 | 3.42 | 0.7 | % | 3.3 | % | ||||||
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. |
June 30, 2018 | December 31, 2017 | |||||
(dollars in thousands) | ||||||
Overnight | $ | — | $ | — | ||
1 to 29 days | 4,757,404 | 4,745,342 | ||||
30 to 59 days | 1,915,294 | 1,206,769 | ||||
60 to 89 days | 1,460,284 | 592,865 | ||||
90 to 119 days | 90,183 | — | ||||
Greater than or equal to 120 days | 903,883 | 705,476 | ||||
Total | $ | 9,127,048 | $ | 7,250,452 |
June 30, 2018 | December 31, 2017 | |||||
Interest earning assets at period-end (1) | $ | 22,829,272 | $ | 20,894,407 | ||
Interest bearing liabilities at period-end | $ | 18,647,158 | $ | 16,844,889 | ||
GAAP Leverage at period-end | 5.1:1 | 4.6:1 | ||||
GAAP Leverage at period-end (recourse) | 2.5:1 | 2.0:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 5.3 | % | 5.9 | % | ||
Senior | 3.0 | % | 2.9 | % | ||
Senior, interest only | 1.4 | % | 1.3 | % | ||
Subordinated | 0.9 | % | 1.7 | % | ||
Subordinated, interest only | 0.0 | % | 0.0 | % | ||
RMBS transferred to consolidated VIEs | 3.2 | % | 4.6 | % | ||
Agency MBS | 32.7 | % | 22.2 | % | ||
Residential | 21.5 | % | 11.8 | % | ||
Commercial | 10.7 | % | 9.8 | % | ||
Interest-only | 0.5 | % | 0.6 | % | ||
Loans held for investment | 58.8 | % | 67.3 | % | ||
Fixed-rate percentage of portfolio | 94.7 | % | 93.7 | % | ||
Adjustable-rate percentage of portfolio | 5.3 | % | 6.3 | % | ||
Annualized yield on average interest earning assets for the periods ended | 6.1 | % | 6.3 | % | ||
Annualized cost of funds on average borrowed funds for the periods ended (2) | 3.6 | % | 3.6 | % |
GAAP Interest Income | GAAP Interest Expense | Net Realized (Gains) Losses on Interest Rate Swaps | Economic Interest Expense | GAAP Net Interest Income | Net Realized Gains (Losses) on Interest Rate Swaps | Other (1) | Economic Net Interest Income | |||||||||||||||||||
For the Quarter Ended June 30, 2018 | $ | 306,436 | $ | 161,266 | $ | (1,246 | ) | $ | 160,020 | $ | 145,170 | $ | 1,246 | $ | 436 | $ | 146,852 | |||||||||
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 | |||||||||||||||||
June 30, 2018 | June 30, 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 | $ | 5,149,790 | $ | 43,328 | 3.4 | % | $ | 3,661,335 | $ | 24,289 | 2.7 | % | |||||
Non-Agency RMBS | 1,146,623 | 27,133 | 9.5 | % | 1,335,643 | 29,567 | 8.9 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 788,432 | 49,209 | 25.0 | % | 1,069,509 | 58,486 | 21.9 | % | |||||||||
Residential mortgage loans held for investment | 13,041,746 | 187,202 | 5.7 | % | 12,391,023 | 175,952 | 5.7 | % | |||||||||
Total | $ | 20,126,591 | $ | 306,872 | 6.1 | % | $ | 18,457,510 | $ | 288,294 | 6.2 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Repurchase agreements collateralized by: | |||||||||||||||||
Agency MBS (2) | $ | 4,780,044 | $ | 20,661 | 1.7 | % | $ | 3,156,501 | $ | 12,190 | 1.5 | % | |||||
Non-Agency RMBS | 371,968 | 3,391 | 3.6 | % | 725,698 | 5,229 | 2.9 | % | |||||||||
Re-Remic repurchase agreements | 756,931 | 7,780 | 4.1 | % | 387,493 | 3,573 | 3.7 | % | |||||||||
RMBS from loan securitizations | 2,618,381 | 28,681 | 4.4 | % | 1,823,189 | 14,726 | 3.2 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 187,355 | 2,637 | 5.6 | % | 284,127 | 5,563 | 7.8 | % | |||||||||
Securitized debt, collateralized by loans | 9,168,464 | 96,870 | 4.2 | % | 9,700,805 | 100,160 | 4.1 | % | |||||||||
Total | $ | 17,883,143 | $ | 160,020 | 3.6 | % | $ | 16,077,813 | $ | 141,441 | 3.5 | % | |||||
Economic net interest income/net interest rate spread | $ | 146,852 | 2.5 | % | $ | 146,853 | 2.7 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 2,243,448 | 2.9 | % | $ | 2,379,697 | 3.2 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.13 | 1.15 | |||||||||||||||
(1) Interest-earning assets at amortized cost | |||||||||||||||||
(2) Interest includes net cash paid/received 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, 2018 | 12.91 | % | 16.05 | % | 12.02 | % |
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 Quarters Ended | |||||||||||||||
Accretable Discount (Net of Premiums) | June 30, 2018 | March 31, 2018 | December 31, 2017 | September 30, 2017 | June 30, 2017 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 555,444 | $ | 582,193 | $ | 622,982 | $ | 627,724 | $ | 648,659 | |||||
Accretion of discount | (38,110 | ) | (37,309 | ) | (39,640 | ) | (43,502 | ) | (42,625 | ) | |||||
Purchases | 3,098 | — | (2,914 | ) | 1,723 | (108 | ) | ||||||||
Sales and deconsolidation | (6,439 | ) | 174 | — | 5,792 | 212 | |||||||||
Transfers from/(to) credit reserve, net | 26,276 | 10,386 | 1,765 | 31,245 | 21,586 | ||||||||||
Balance, end of period | $ | 540,269 | $ | 555,444 | $ | 582,193 | $ | 622,982 | $ | 627,724 |