• | 4TH QUARTER GAAP NET LOSS OF $(0.63) PER COMMON SHARE |
• | 4TH QUARTER CORE EARNINGS(1) OF $0.58 PER COMMON SHARE |
• | FULL YEAR GAAP EARNINGS OF $1.97 PER COMMON SHARE |
• | FULL YEAR CORE EARNINGS(1) OF $2.35 PER COMMON SHARE |
• | GAAP BOOK VALUE OF $15.90 PER COMMON SHARE |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
(Unaudited) | ||||||
December 31, 2018 | December 31, 2017 | |||||
Cash and cash equivalents | $ | 47,486 | $ | 63,569 | ||
Non-Agency RMBS, at fair value | 2,486,130 | 2,851,316 | ||||
Agency MBS, at fair value | 12,188,950 | 4,364,828 | ||||
Loans held for investment, at fair value | 12,572,581 | 13,678,263 | ||||
Accrued interest receivable | 123,442 | 100,789 | ||||
Other assets | 252,582 | 114,391 | ||||
Derivatives, at fair value, net | 37,468 | 48,914 | ||||
Total assets (1) | $ | 27,708,639 | $ | 21,222,070 | ||
Liabilities: | ||||||
Repurchase agreements ($15.8 billion and $8.8 billion, pledged as collateral, respectively) | $ | 14,030,465 | $ | 7,250,452 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.0 billion and $1.6 billion pledged as collateral, respectively) | 159,955 | 205,780 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($12.3 billion and $13.3 billion pledged as collateral, respectively) | 8,455,376 | 9,388,657 | ||||
Payable for investments purchased | 1,136,157 | 567,440 | ||||
Accrued interest payable | 110,402 | 61,888 | ||||
Dividends payable | 95,986 | 95,365 | ||||
Accounts payable and other liabilities | 16,469 | 17,191 | ||||
Derivatives, at fair value, net | — | 320 | ||||
Total liabilities (1) | $ | 24,004,810 | $ | 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 | ||||
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, 187,052,398 and 187,809,288 shares issued and outstanding, respectively | 1,871 | 1,878 | ||||
Additional paid-in-capital | 4,072,093 | 3,826,691 | ||||
Accumulated other comprehensive income | 626,832 | 796,902 | ||||
Cumulative earnings | 3,379,489 | 2,967,852 | ||||
Cumulative distributions to stockholders | (4,376,748 | ) | (3,958,534 | ) | ||
Total stockholders' equity | $ | 3,703,829 | $ | 3,634,977 | ||
Total liabilities and stockholders' equity | $ | 27,708,639 | $ | 21,222,070 |
CHIMERA INVESTMENT CORPORATION | |||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||
(dollars in thousands, except share and per share data) | |||||||||
(Unaudited) | |||||||||
For the Year Ended | |||||||||
December 31, 2018 | December 31, 2017 | December 31, 2016 | |||||||
Net interest income: | |||||||||
Interest income (1) | $ | 1,273,316 | $ | 1,138,758 | $ | 934,068 | |||
Interest expense (2) | 679,108 | 532,748 | 347,857 | ||||||
Net interest income | 594,208 | 606,010 | 586,211 | ||||||
Other-than-temporary impairments: | |||||||||
Total other-than-temporary impairment losses | (2,556 | ) | (5,169 | ) | (9,589 | ) | |||
Portion of loss recognized in other comprehensive income | (19,235 | ) | (56,687 | ) | (48,398 | ) | |||
Net other-than-temporary credit impairment losses | (21,791 | ) | (61,856 | ) | (57,987 | ) | |||
Other investment gains (losses): | |||||||||
Net unrealized gains (losses) on derivatives | (141,162 | ) | 47,976 | 50,093 | |||||
Realized gains (losses) on terminations of interest rate swaps | — | (16,143 | ) | (60,616 | ) | ||||
Net realized gains (losses) on derivatives | 18,369 | (25,645 | ) | (44,886 | ) | ||||
Net gains (losses) on derivatives | (122,793 | ) | 6,188 | (55,409 | ) | ||||
Net unrealized gains (losses) on financial instruments at fair value | 46,632 | 111,410 | 59,552 | ||||||
Net realized gains (losses) on sales of investments | (2,743 | ) | 9,123 | 18,155 | |||||
Gains (losses) on extinguishment of debt | 26,376 | (35,274 | ) | (477 | ) | ||||
Total other gains (losses) | (52,528 | ) | 91,447 | 21,821 | |||||
Other income: | |||||||||
Other income | — | — | 95,000 | ||||||
Total other income | — | — | 95,000 | ||||||
Other expenses: | |||||||||
Compensation and benefits | 35,114 | 30,212 | 26,901 | ||||||
General and administrative expenses | 23,936 | 17,650 | 17,516 | ||||||
Servicing fees | 40,773 | 41,690 | 31,178 | ||||||
Deal expenses | 8,338 | 21,273 | 17,424 | ||||||
Total other expenses | 108,161 | 110,825 | 93,019 | ||||||
Income (loss) before income taxes | 411,728 | 524,776 | 552,026 | ||||||
Income taxes | 91 | 108 | 83 | ||||||
Net income (loss) | $ | 411,637 | $ | 524,668 | $ | 551,943 | |||
Dividends on preferred stock | 43,197 | 33,484 | 2,449 | ||||||
Net income (loss) available to common shareholders | $ | 368,440 | $ | 491,184 | $ | 549,494 | |||
Net income (loss) per share available to common shareholders: | |||||||||
Basic | $ | 1.97 | $ | 2.62 | $ | 2.93 | |||
Diluted | $ | 1.96 | $ | 2.61 | $ | 2.92 | |||
Weighted average number of common shares outstanding: | |||||||||
Basic | 187,146,170 | 187,780,355 | 187,728,634 | ||||||
Diluted | 187,748,862 | 188,287,320 | 188,024,838 | ||||||
Dividends declared per share of common stock | $ | 2.00 | $ | 2.00 | $ | 2.44 | |||
CHIMERA INVESTMENT CORPORATION | |||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | |||||||||
(dollars in thousands, except share and per share data) | |||||||||
(Unaudited) | |||||||||
For the Year Ended | |||||||||
December 31, 2018 | December 31, 2017 | December 31, 2016 | |||||||
Comprehensive income (loss): | |||||||||
Net income (loss) | $ | 411,637 | $ | 524,668 | $ | 551,943 | |||
Other comprehensive income: | |||||||||
Unrealized gains (losses) on available-for-sale securities, net | (185,570 | ) | 24,218 | (88,527 | ) | ||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 21,791 | 61,856 | 57,987 | ||||||
Reclassification adjustment for net realized losses (gains) included in net income | (6,291 | ) | (7,278 | ) | (25,145 | ) | |||
Other comprehensive income (loss) | (170,070 | ) | 78,796 | (55,685 | ) | ||||
Comprehensive income (loss) before preferred stock dividends | $ | 241,567 | $ | 603,464 | $ | 496,258 | |||
Dividends on preferred stock | $ | 43,197 | $ | 33,484 | $ | 2,449 | |||
Comprehensive income (loss) available to common stock shareholders | $ | 198,370 | $ | 569,980 | $ | 493,809 |
For the Quarters Ended | |||||||||||||||
December 31, 2018 | September 30, 2018 | June 30, 2018 | March 31, 2018 | December 31, 2017 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | (117,235 | ) | $ | 147,361 | $ | 108,708 | $ | 229,607 | $ | 98,208 | ||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | 4,269 | 7,233 | 9,131 | 1,158 | 18,179 | ||||||||||
Net unrealized (gains) losses on derivatives | 319,673 | (71,197 | ) | (25,895 | ) | (81,419 | ) | (28,074 | ) | ||||||
Net unrealized (gains) losses on financial instruments at fair value | (84,836 | ) | 34,306 | 18,364 | (14,466 | ) | 47,637 | ||||||||
Net realized (gains) losses on sales of investments | (1,213 | ) | 6,123 | (2,167 | ) | — | 586 | ||||||||
(Gains) losses on extinguishment of debt | (7,055 | ) | (9,263 | ) | (387 | ) | (9,670 | ) | (12,742 | ) | |||||
Net realized (gains) losses on Futures (1) | (4,320 | ) | (2,799 | ) | 2,210 | (16,424 | ) | (8,204 | ) | ||||||
Core Earnings | $ | 109,283 | $ | 111,764 | $ | 109,964 | $ | 108,786 | $ | 115,590 | |||||
GAAP net income per basic common share | $ | (0.63 | ) | $ | 0.79 | $ | 0.58 | $ | 1.22 | $ | 0.52 | ||||
Core earnings per basic common share(2) | $ | 0.58 | $ | 0.60 | $ | 0.59 | $ | 0.58 | $ | 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. |
December 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 | $ | 2,386,049 | $ | 53.40 | $ | 81.44 | 5.0 | % | 19.5 | % | |||
Senior, interest-only | 5,667,198 | 5.06 | 4.50 | 1.2 | % | 8.4 | % | ||||||
Subordinated | 394,037 | 56.60 | 70.16 | 4.0 | % | 9.9 | % | ||||||
Subordinated, interest-only | 221,549 | 4.48 | 5.26 | 1.1 | % | 16.4 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 8,984,249 | 102.47 | 102.12 | 4.0 | % | 3.6 | % | ||||||
Commercial pass-through | 2,895,679 | 101.98 | 99.50 | 3.6 | % | 3.4 | % | ||||||
Interest-only | 3,028,572 | 4.49 | 4.40 | 0.8 | % | 4.3 | % | ||||||
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. |
December 31, 2018 | December 31, 2017 | |||||
(dollars in thousands) | ||||||
Overnight | $ | — | $ | — | ||
1 to 29 days | 6,326,232 | 4,745,342 | ||||
30 to 59 days | 4,620,656 | 1,206,769 | ||||
60 to 89 days | 1,504,695 | 592,865 | ||||
90 to 119 days | 169,244 | — | ||||
Greater than or equal to 120 days | 1,409,638 | 705,476 | ||||
Total | $ | 14,030,465 | $ | 7,250,452 |
December 31, 2018 | December 31, 2017 | |||||
Interest earning assets at period-end (1) | $ | 27,247,661 | $ | 20,894,407 | ||
Interest bearing liabilities at period-end | $ | 22,645,796 | $ | 16,844,889 | ||
GAAP Leverage at period-end | 6.1:1 | 4.6:1 | ||||
GAAP Leverage at period-end (recourse) | 3.8:1 | 2.0:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 4.7 | % | 5.9 | % | ||
Senior | 2.8 | % | 2.9 | % | ||
Senior, interest only | 1.1 | % | 1.3 | % | ||
Subordinated | 0.8 | % | 1.7 | % | ||
Subordinated, interest only | 0.0 | % | 0.0 | % | ||
RMBS transferred to consolidated VIEs | 2.1 | % | 4.6 | % | ||
Agency MBS | 46.7 | % | 22.2 | % | ||
Residential | 35.0 | % | 11.8 | % | ||
Commercial | 11.2 | % | 9.8 | % | ||
Interest-only | 0.5 | % | 0.6 | % | ||
Loans held for investment | 46.5 | % | 67.3 | % | ||
Fixed-rate percentage of portfolio | 95.8 | % | 93.7 | % | ||
Adjustable-rate percentage of portfolio | 4.2 | % | 6.3 | % |
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 Year Ended December 31, 2018 | $ | 1,273,316 | $ | 679,108 | $ | 1,488 | $ | 680,596 | $ | 594,208 | $ | (1,488 | ) | $ | 760 | $ | 593,480 | |||||||||
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 Quarter Ended December 31, 2018 | $ | 348,033 | $ | 193,920 | $ | 364 | $ | 194,284 | $ | 154,113 | $ | (364 | ) | $ | (140 | ) | $ | 153,609 | ||||||||
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, 2018 | December 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 | $ | 10,577,238 | $ | 95,941 | 3.6 | % | $ | 3,847,658 | $ | 28,812 | 3.0 | % | |||||
Non-Agency RMBS | 1,252,707 | 33,235 | 10.6 | % | 1,187,349 | 24,608 | 8.3 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 555,314 | 39,394 | 28.4 | % | 940,931 | 55,916 | 23.8 | % | |||||||||
Residential mortgage loans held for investment | 12,228,206 | 179,323 | 5.9 | % | 13,048,375 | 192,560 | 5.9 | % | |||||||||
Total | $ | 24,613,465 | $ | 347,893 | 5.7 | % | $ | 19,024,313 | $ | 301,896 | 6.3 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Repurchase agreements collateralized by: | |||||||||||||||||
Agency MBS (2) | $ | 9,535,298 | $ | 62,788 | 2.6 | % | $ | 3,090,155 | $ | 15,651 | 2.0 | % | |||||
Non-Agency RMBS (2) | 533,696 | 5,138 | 3.9 | % | 497,073 | 3,896 | 3.1 | % | |||||||||
Re-REMIC repurchase agreements | 577,335 | 6,403 | 4.4 | % | 867,882 | 7,193 | 3.3 | % | |||||||||
RMBS from loan securitizations | 2,435,931 | 23,445 | 3.8 | % | 2,573,351 | 21,236 | 3.3 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 164,043 | 2,259 | 5.5 | % | 219,446 | 3,796 | 6.9 | % | |||||||||
Securitized debt, collateralized by loans | 8,531,109 | 94,251 | 4.4 | % | 9,451,052 | 96,801 | 4.1 | % | |||||||||
Total | $ | 21,777,412 | $ | 194,284 | 3.6 | % | $ | 16,698,959 | $ | 148,573 | 3.6 | % | |||||
Economic net interest income/net interest rate spread | $ | 153,609 | 2.1 | % | $ | 153,323 | 2.7 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 2,836,053 | 2.5 | % | $ | 2,325,354 | 3.2 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.13 | 1.14 | |||||||||||||||
(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 Year Ended December 31, 2018 | 11.08 | % | 15.98 | % | 11.84 | % |
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 Quarter Ended December 31, 2018 | (10.80 | )% | 16.13 | % | 11.48 | % |
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 Quarters Ended | |||||||||||||||
Accretable Discount (Net of Premiums) | December 31, 2018 | September 30, 2018 | June 30, 2018 | March 31, 2018 | December 31, 2017 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 539,020 | $ | 540,269 | $ | 555,444 | $ | 582,193 | $ | 622,982 | |||||
Accretion of discount | (36,287 | ) | (35,184 | ) | (38,110 | ) | (37,309 | ) | (39,640 | ) | |||||
Purchases | 4,589 | 1,966 | 3,098 | — | (2,914 | ) | |||||||||
Sales and deconsolidation | (625 | ) | (986 | ) | (6,439 | ) | 174 | — | |||||||
Transfers from/(to) credit reserve, net | (934 | ) | 32,955 | 26,276 | 10,386 | 1,765 | |||||||||
Balance, end of period | $ | 505,763 | $ | 539,020 | $ | 540,269 | $ | 555,444 | $ | 582,193 |