• | 3RD QUARTER GAAP NET INCOME OF $0.79 PER COMMON SHARE |
• | 3RD QUARTER CORE EARNINGS(1) OF $0.60 PER COMMON SHARE |
• | GAAP BOOK VALUE OF $17.02 PER COMMON SHARE |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
(Unaudited) | ||||||
September 30, 2018 | December 31, 2017 | |||||
Assets: | ||||||
Cash and cash equivalents | $ | 121,046 | $ | 63,569 | ||
Non-Agency RMBS, at fair value | 2,507,707 | 2,851,316 | ||||
Agency MBS, at fair value | 9,406,092 | 4,364,828 | ||||
Loans held for investment, at fair value | 12,729,559 | 13,678,263 | ||||
Accrued interest receivable | 114,798 | 100,789 | ||||
Other assets | 145,655 | 114,391 | ||||
Derivatives, at fair value, net | 155,069 | 48,914 | ||||
Total assets (1) | $ | 25,179,926 | $ | 21,222,070 | ||
Liabilities: | ||||||
Repurchase agreements ($12.6 billion and $8.8 billion, pledged as collateral, respectively) | $ | 11,143,102 | $ | 7,250,452 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.1 billion and $1.6 billion pledged as collateral, respectively) | 167,718 | 205,780 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($12.5 billion and $13.3 billion pledged as collateral, respectively) | 8,826,879 | 9,388,657 | ||||
Payable for investments purchased | 903,424 | 567,440 | ||||
Accrued interest payable | 110,228 | 61,888 | ||||
Dividends payable | 96,809 | 95,365 | ||||
Accounts payable and other liabilities | 18,585 | 17,191 | ||||
Derivatives, at fair value, net | — | 320 | ||||
Total liabilities (1) | $ | 21,266,745 | $ | 17,587,093 | ||
Commitments and Contingencies (See Note 15) | ||||||
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 | ||||
7.75% Series C cumulative redeemable: 10,400,000 and 0 shares issued and outstanding, respectively ($260,000 liquidation preference) | 104 | — | ||||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,006,943 and 187,809,288 shares issued and outstanding, respectively | 1,870 | 1,878 | ||||
Additional paid-in-capital | 4,069,868 | 3,826,691 | ||||
Accumulated other comprehensive income | 627,936 | 796,902 | ||||
Cumulative earnings | 3,482,287 | 2,967,852 | ||||
Cumulative distributions to stockholders | (4,269,072 | ) | (3,958,534 | ) | ||
Total stockholders' equity | $ | 3,913,181 | $ | 3,634,977 | ||
Total liabilities and stockholders' equity | $ | 25,179,926 | $ | 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 Nine Months Ended | ||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | ||||||||||
Net interest income: | |||||||||||||
Interest income (1) | $ | 321,715 | $ | 296,813 | $ | 925,282 | $ | 836,801 | |||||
Interest expense (2) | 174,671 | 140,358 | 485,189 | 388,544 | |||||||||
Net interest income | 147,044 | 156,455 | 440,093 | 448,257 | |||||||||
Other-than-temporary impairments: | |||||||||||||
Total other-than-temporary impairment losses | (772 | ) | (784 | ) | (1,871 | ) | (4,245 | ) | |||||
Portion of loss recognized in other comprehensive income | (6,461 | ) | (10,684 | ) | (15,651 | ) | (39,431 | ) | |||||
Net other-than-temporary credit impairment losses | (7,233 | ) | (11,468 | ) | (17,522 | ) | (43,676 | ) | |||||
Other investment gains (losses): | |||||||||||||
Net unrealized gains (losses) on derivatives | 71,197 | 9,204 | 178,511 | 19,902 | |||||||||
Realized gains (losses) on terminations of interest rate swaps | — | — | — | (16,143 | ) | ||||||||
Net realized gains (losses) on derivatives | 2,881 | (7,841 | ) | 14,573 | (28,680 | ) | |||||||
Net gains (losses) on derivatives | 74,078 | 1,363 | 193,084 | (24,921 | ) | ||||||||
Net unrealized gains (losses) on financial instruments at fair value | (34,306 | ) | 19,042 | (38,204 | ) | 159,047 | |||||||
Net realized gains (losses) on sales of investments | (6,123 | ) | 1 | (3,956 | ) | 9,709 | |||||||
Gains (losses) on extinguishment of debt | 9,263 | (1 | ) | 19,320 | (48,016 | ) | |||||||
Total other gains (losses) | 42,912 | 20,405 | 170,244 | 95,819 | |||||||||
Other expenses: | |||||||||||||
Compensation and benefits | 8,642 | 7,533 | 25,741 | 22,759 | |||||||||
General and administrative expenses | 5,615 | 4,537 | 16,964 | 13,162 | |||||||||
Servicing fees | 9,766 | 10,715 | 31,044 | 31,193 | |||||||||
Deal expenses | 1,372 | 3,357 | 4,555 | 16,054 | |||||||||
Total other expenses | 25,395 | 26,142 | 78,304 | 83,168 | |||||||||
Income (loss) before income taxes | 157,328 | 139,250 | 514,511 | 417,232 | |||||||||
Income taxes | 7 | 18 | 76 | 172 | |||||||||
Net income (loss) | $ | 157,321 | $ | 139,232 | $ | 514,435 | $ | 417,060 | |||||
Dividend on preferred stock | 9,960 | 9,400 | 28,760 | 24,083 | |||||||||
Net income (loss) available to common shareholders | $ | 147,361 | $ | 129,832 | $ | 485,675 | $ | 392,977 | |||||
Net income (loss) per share available to common shareholders: | |||||||||||||
Basic | $ | 0.79 | $ | 0.69 | $ | 2.59 | $ | 2.09 | |||||
Diluted | $ | 0.79 | $ | 0.69 | $ | 2.59 | $ | 2.09 | |||||
Weighted average number of common shares outstanding: | |||||||||||||
Basic | 187,006,777 | 187,779,794 | 187,182,932 | 187,773,715 | |||||||||
Diluted | 187,584,958 | 188,192,111 | 187,705,831 | 188,176,757 | |||||||||
Dividends declared per share of common stock | $ | 0.50 | $ | 0.50 | $ | 1.50 | $ | 1.50 | |||||
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, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||
Comprehensive income (loss): | ||||||||||||
Net income (loss) | $ | 157,321 | $ | 139,232 | $ | 514,435 | $ | 417,060 | ||||
Other comprehensive income: | ||||||||||||
Unrealized gains (losses) on available-for-sale securities, net | (50,728 | ) | 21,370 | (181,885 | ) | 59,114 | ||||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 7,233 | 11,468 | 17,522 | 43,676 | ||||||||
Reclassification adjustment for net realized losses (gains) included in net income | (220 | ) | (1 | ) | (4,603 | ) | (7,778 | ) | ||||
Other comprehensive income (loss) | (43,715 | ) | 32,837 | (168,966 | ) | 95,012 | ||||||
Comprehensive income (loss) before preferred stock dividends | $ | 113,606 | $ | 172,069 | $ | 345,469 | $ | 512,072 | ||||
Dividends on preferred stock | $ | 9,960 | $ | 9,400 | $ | 28,760 | $ | 24,083 | ||||
Comprehensive income (loss) available to common stock shareholders | $ | 103,646 | $ | 162,669 | $ | 316,709 | $ | 487,989 |
For the Quarters Ended | |||||||||||||||
September 30, 2018 | June 30, 2018 | March 31, 2018 | December 31, 2017 | September 30, 2017 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | 147,361 | $ | 108,708 | $ | 229,607 | $ | 98,208 | $ | 129,832 | |||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | 7,233 | 9,131 | 1,158 | 18,179 | 11,468 | ||||||||||
Net unrealized (gains) losses on derivatives | (71,197 | ) | (25,895 | ) | (81,419 | ) | (28,074 | ) | (9,204 | ) | |||||
Net unrealized (gains) losses on financial instruments at fair value | 34,306 | 18,364 | (14,466 | ) | 47,637 | (19,042 | ) | ||||||||
Net realized (gains) losses on sales of investments | 6,123 | (2,167 | ) | — | 586 | (1 | ) | ||||||||
(Gains) losses on extinguishment of debt | (9,263 | ) | (387 | ) | (9,670 | ) | (12,742 | ) | 1 | ||||||
Realized (gains) losses on terminations of interest rate swaps | — | — | — | — | — | ||||||||||
Net realized (gains) losses on Futures (1) | (2,799 | ) | 2,210 | (16,424 | ) | (8,204 | ) | 3,267 | |||||||
Core Earnings | $ | 111,764 | $ | 109,964 | $ | 108,786 | $ | 115,590 | $ | 116,321 | |||||
GAAP net income per basic common share | $ | 0.79 | $ | 0.58 | $ | 1.22 | $ | 0.52 | $ | 0.69 | |||||
Core earnings per basic common share(2) | $ | 0.60 | $ | 0.59 | $ | 0.58 | $ | 0.62 | $ | 0.62 | |||||
(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, 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 | $ | 2,413,931 | $ | 52.46 | $ | 81.81 | 4.9 | % | 18.8 | % | |||
Senior, interest-only | 5,844,053 | 5.09 | 4.15 | 1.2 | % | 9.1 | % | ||||||
Subordinated | 379,077 | 57.66 | 73.34 | 4.3 | % | 11.0 | % | ||||||
Subordinated, interest-only | 244,298 | 4.36 | 5.17 | 1.2 | % | 16.1 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 6,730,675 | 103.18 | 101.19 | 4.0 | % | 3.5 | % | ||||||
Commercial pass-through | 2,532,460 | 102.00 | 97.75 | 3.6 | % | 3.4 | % | ||||||
Interest-only | 2,865,073 | 4.32 | 4.17 | 0.8 | % | 4.1 | % | ||||||
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. |
September 30, 2018 | December 31, 2017 | |||||
(dollars in thousands) | ||||||
Overnight | $ | 123,417 | $ | — | ||
1 to 29 days | 4,622,550 | 4,745,342 | ||||
30 to 59 days | 3,832,236 | 1,206,769 | ||||
60 to 89 days | 1,208,344 | 592,865 | ||||
90 to 119 days | 25,196 | — | ||||
Greater than or equal to 120 days | 1,331,359 | 705,476 | ||||
Total | $ | 11,143,102 | $ | 7,250,452 |
September 30, 2018 | December 31, 2017 | |||||
Interest earning assets at period-end (1) | $ | 24,643,358 | $ | 20,894,407 | ||
Interest bearing liabilities at period-end | $ | 20,137,699 | $ | 16,844,889 | ||
GAAP Leverage at period-end | 5.1:1 | 4.6:1 | ||||
GAAP Leverage at period-end (recourse) | 2.8:1 | 2.0:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 5.1 | % | 5.9 | % | ||
Senior | 3.0 | % | 2.9 | % | ||
Senior, interest only | 1.2 | % | 1.3 | % | ||
Subordinated | 0.9 | % | 1.7 | % | ||
Subordinated, interest only | 0.0 | % | 0.0 | % | ||
RMBS transferred to consolidated VIEs | 2.4 | % | 4.6 | % | ||
Agency MBS | 40.6 | % | 22.2 | % | ||
Residential | 29.2 | % | 11.8 | % | ||
Commercial | 10.9 | % | 9.8 | % | ||
Interest-only | 0.5 | % | 0.6 | % | ||
Loans held for investment | 51.9 | % | 67.3 | % | ||
Fixed-rate percentage of portfolio | 95.3 | % | 93.7 | % | ||
Adjustable-rate percentage of portfolio | 4.7 | % | 6.3 | % | ||
Annualized yield on average interest earning assets for the quarters ended | 5.8 | % | 6.3 | % | ||
Annualized cost of funds on average borrowed funds for the quarters 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 September 30, 2018 | $ | 321,715 | $ | 174,671 | $ | (242 | ) | $ | 174,429 | $ | 147,044 | $ | 242 | $ | 321 | $ | 147,607 | |||||||||
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 | |||||||||||||||||
September 30, 2018 | September 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 | $ | 7,776,334 | $ | 66,863 | 3.4 | % | $ | 3,733,640 | $ | 24,236 | 2.6 | % | |||||
Non-Agency RMBS | 1,186,945 | 29,213 | 9.8 | % | 1,258,634 | 28,590 | 9.1 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 632,155 | 42,416 | 26.8 | % | 1,000,912 | 56,388 | 22.5 | % | |||||||||
Residential mortgage loans held for investment | 12,613,816 | 183,544 | 5.8 | % | 12,959,595 | 187,432 | 5.8 | % | |||||||||
Total | $ | 22,209,250 | $ | 322,036 | 5.8 | % | $ | 18,952,781 | $ | 296,646 | 6.3 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Repurchase agreements collateralized by: | |||||||||||||||||
Agency MBS (2) | $ | 6,720,205 | $ | 38,492 | 2.3 | % | $ | 3,114,689 | $ | 14,211 | 1.8 | % | |||||
Non-Agency RMBS (2) | 428,363 | 4,186 | 3.9 | % | 706,941 | 5,257 | 3.0 | % | |||||||||
Re-REMIC repurchase agreements | 621,042 | 6,681 | 4.3 | % | 443,029 | 3,679 | 3.3 | % | |||||||||
RMBS from loan securitizations | 2,465,678 | 25,449 | 4.1 | % | 2,285,232 | 18,843 | 3.3 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 173,825 | 2,471 | 5.7 | % | 248,989 | 4,416 | 7.1 | % | |||||||||
Securitized debt, collateralized by loans | 8,938,962 | 97,150 | 4.3 | % | 9,399,125 | 97,441 | 4.1 | % | |||||||||
Total | $ | 19,348,075 | $ | 174,429 | 3.6 | % | $ | 16,198,005 | $ | 143,847 | 3.6 | % | |||||
Economic net interest income/net interest rate spread | $ | 147,607 | 2.2 | % | $ | 152,799 | 2.7 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 2,861,175 | 2.7 | % | $ | 2,754,776 | 3.2 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.15 | 1.17 | |||||||||||||||
(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 September 30, 2018 | 16.64 | % | 15.61 | % | 11.82 | % |
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 Quarters Ended | |||||||||||||||
Accretable Discount (Net of Premiums) | September 30, 2018 | June 30, 2018 | March 31, 2018 | December 31, 2017 | September 30, 2017 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 540,269 | $ | 555,444 | $ | 582,193 | $ | 622,982 | $ | 627,724 | |||||
Accretion of discount | (35,184 | ) | (38,110 | ) | (37,309 | ) | (39,640 | ) | (43,502 | ) | |||||
Purchases | 1,966 | 3,098 | — | (2,914 | ) | 1,723 | |||||||||
Sales and deconsolidation | (986 | ) | (6,439 | ) | 174 | — | 5,792 | ||||||||
Transfers from/(to) credit reserve, net | 32,955 | 26,276 | 10,386 | 1,765 | 31,245 | ||||||||||
Balance, end of period | $ | 539,020 | $ | 540,269 | $ | 555,444 | $ | 582,193 | $ | 622,982 |