• | 1ST QUARTER GAAP NET INCOME OF $0.54 PER COMMON SHARE |
• | 1ST QUARTER CORE EARNINGS(1) OF $0.57 PER COMMON SHARE |
• | GAAP BOOK VALUE OF $16.15 PER COMMON SHARE |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
(Unaudited) | ||||||
March 31, 2019 | December 31, 2018 | |||||
Cash and cash equivalents | $ | 122,850 | $ | 47,486 | ||
Non-Agency RMBS, at fair value | 2,538,043 | 2,486,130 | ||||
Agency MBS, at fair value | 12,238,044 | 12,188,950 | ||||
Loans held for investment, at fair value | 12,400,203 | 12,572,581 | ||||
Receivable for investment sold | 1,414,478 | — | ||||
Accrued interest receivable | 122,746 | 123,442 | ||||
Other assets | 500,593 | 252,582 | ||||
Derivatives, at fair value, net | 946 | 37,468 | ||||
Total assets (1) | $ | 29,337,903 | $ | 27,708,639 | ||
Liabilities: | ||||||
Repurchase agreements ($17.2 billion and $15.8 billion pledged as collateral, respectively) | $ | 15,323,874 | $ | 14,030,465 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.0 billion pledged as collateral, respectively) | 153,179 | 159,955 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($11.8 billion and $12.3 billion pledged as collateral, respectively) | 8,124,760 | 8,455,376 | ||||
Payable for investments purchased | 1,513,657 | 1,136,157 | ||||
Accrued interest payable | 124,759 | 110,402 | ||||
Dividends payable | 99,050 | 95,986 | ||||
Accounts payable and other liabilities | 45,447 | 16,469 | ||||
Derivatives, at fair value, net | — | — | ||||
Total liabilities (1) | $ | 25,384,726 | $ | 24,004,810 | ||
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 shares issued and outstanding, respectively ($260,000 liquidation preference) | 104 | 104 | ||||
8.00% Series D cumulative redeemable: 8,000,000 and 0 shares issued and outstanding, respectively ($200,000 liquidation preference) | 80 | — | ||||
Common stock: par value $0.01 per share; 500,000,000 and 300,000,000 shares authorized, 187,144,009 and 187,052,398 shares issued and outstanding, respectively | 1,871 | 1,871 | ||||
Additional paid-in-capital | 4,268,063 | 4,072,093 | ||||
Accumulated other comprehensive income | 672,988 | 626,832 | ||||
Cumulative earnings | 3,497,636 | 3,379,489 | ||||
Cumulative distributions to stockholders | (4,487,753 | ) | (4,376,748 | ) | ||
Total stockholders' equity | $ | 3,953,177 | $ | 3,703,829 | ||
Total liabilities and stockholders' equity | $ | 29,337,903 | $ | 27,708,639 |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | ||||||
(dollars in thousands, except share and per share data) | ||||||
(Unaudited) | ||||||
For the Quarters Ended | ||||||
March 31, 2019 | March 31, 2018 | |||||
Net interest income: | ||||||
Interest income (1) | $ | 350,389 | $ | 297,132 | ||
Interest expense (2) | 202,950 | 149,251 | ||||
Net interest income | 147,439 | 147,881 | ||||
Other-than-temporary impairments: | ||||||
Total other-than-temporary impairment losses | (801 | ) | (294 | ) | ||
Portion of loss recognized in other comprehensive income | (4,052 | ) | (864 | ) | ||
Net other-than-temporary credit impairment losses | (4,853 | ) | (1,158 | ) | ||
Other investment gains (losses): | ||||||
Net unrealized gains (losses) on derivatives | (89,315 | ) | 81,419 | |||
Realized gains (losses) on terminations of interest rate swaps | (108,046 | ) | — | |||
Net realized gains (losses) on derivatives | (7,277 | ) | 13,085 | |||
Net gains (losses) on derivatives | (204,638 | ) | 94,504 | |||
Net unrealized gains (losses) on financial instruments at fair value | 200,812 | 14,466 | ||||
Net realized gains (losses) on sales of investments | 8,603 | — | ||||
Gains (losses) on extinguishment of debt | — | 9,670 | ||||
Total other gains (losses) | 4,777 | 118,640 | ||||
Other expenses: | ||||||
Compensation and benefits | 14,370 | 8,411 | ||||
General and administrative expenses | 5,883 | 5,489 | ||||
Servicing fees | 8,963 | 11,334 | ||||
Deal expenses | — | 1,088 | ||||
Total other expenses | 29,216 | 26,322 | ||||
Income (loss) before income taxes | 118,147 | 239,041 | ||||
Income taxes | — | 34 | ||||
Net income (loss) | $ | 118,147 | $ | 239,007 | ||
Dividends on preferred stock | 17,392 | 9,400 | ||||
Net income (loss) available to common shareholders | $ | 100,755 | $ | 229,607 | ||
Net income (loss) per share available to common shareholders: | ||||||
Basic | $ | 0.54 | $ | 1.22 | ||
Diluted | $ | 0.54 | $ | 1.22 | ||
Weighted average number of common shares outstanding: | ||||||
Basic | 187,112,454 | 187,553,281 | ||||
Diluted | 188,199,711 | 188,176,753 |
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, 2019 | March 31, 2018 | |||||
Comprehensive income (loss): | ||||||
Net income (loss) | $ | 118,147 | $ | 239,007 | ||
Other comprehensive income: | ||||||
Unrealized gains (losses) on available-for-sale securities, net | 26,385 | (88,816 | ) | |||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 4,853 | 1,158 | ||||
Reclassification adjustment for net realized losses (gains) included in net income | 14,918 | — | ||||
Other comprehensive income (loss) | 46,156 | (87,658 | ) | |||
Comprehensive income (loss) before preferred stock dividends | $ | 164,303 | $ | 151,349 | ||
Dividends on preferred stock | $ | 17,392 | $ | 9,400 | ||
Comprehensive income (loss) available to common stock shareholders | $ | 146,911 | $ | 141,949 |
For the Quarters Ended | |||||||||||||||
March 31, 2019 | December 31, 2018 | September 30, 2018 | June 30, 2018 | March 31, 2018 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | 100,755 | $ | (117,235 | ) | $ | 147,361 | $ | 108,708 | $ | 229,607 | ||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | 4,853 | 4,269 | 7,233 | 9,131 | 1,158 | ||||||||||
Net unrealized (gains) losses on derivatives | 89,315 | 319,673 | (71,197 | ) | (25,895 | ) | (81,419 | ) | |||||||
Net unrealized (gains) losses on financial instruments at fair value | (200,812 | ) | (84,836 | ) | 34,306 | 18,364 | (14,466 | ) | |||||||
Net realized (gains) losses on sales of investments | (8,603 | ) | (1,213 | ) | 6,123 | (2,167 | ) | — | |||||||
(Gains) losses on extinguishment of debt | — | (7,055 | ) | (9,263 | ) | (387 | ) | (9,670 | ) | ||||||
Realized (gains) losses on terminations of interest rate swaps | 108,046 | — | — | — | — | ||||||||||
Net realized (gains) losses on Futures (1) | 12,579 | (4,320 | ) | (2,799 | ) | 2,210 | (16,424 | ) | |||||||
Core Earnings | $ | 106,133 | $ | 109,283 | $ | 111,764 | $ | 109,964 | $ | 108,786 | |||||
GAAP net income per basic common share | $ | 0.54 | $ | (0.63 | ) | $ | 0.79 | $ | 0.58 | $ | 1.22 | ||||
Core earnings per basic common share(2) | $ | 0.57 | $ | 0.58 | $ | 0.60 | $ | 0.59 | $ | 0.58 | |||||
(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, 2019 | |||||||||||||
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 | $ | 2,347,459 | $ | 54.19 | $ | 81.92 | 5.1 | % | 19.2 | % | |||
Senior, interest-only | 6,227,847 | 4.65 | 4.52 | 1.1 | % | 8.1 | % | ||||||
Subordinated | 446,450 | 59.90 | 71.98 | 4.1 | % | 9.3 | % | ||||||
Subordinated, interest-only | 229,475 | 4.49 | 5.21 | 1.1 | % | 15.9 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 8,686,945 | 102.41 | 103.06 | 4.0 | % | 3.6 | % | ||||||
Commercial pass-through | 3,080,065 | 101.94 | 101.90 | 3.6 | % | 3.4 | % | ||||||
Interest-only | 2,627,192 | 5.53 | 5.59 | 1.0 | % | 5.3 | % | ||||||
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 | % |
March 31, 2019 | December 31, 2018 | |||||
(dollars in thousands) | ||||||
Overnight | $ | 8,504 | $ | — | ||
1 to 29 days | 6,455,405 | 6,326,232 | ||||
30 to 59 days | 4,897,931 | 4,620,656 | ||||
60 to 89 days | 1,507,408 | 1,504,695 | ||||
90 to 119 days | 683,716 | 169,244 | ||||
Greater than or equal to 120 days | 1,770,910 | 1,409,638 | ||||
Total | $ | 15,323,874 | $ | 14,030,465 |
March 31, 2019 | December 31, 2018 | |||||
Interest earning assets at period-end (1) | $ | 27,176,290 | $ | 27,247,661 | ||
Interest bearing liabilities at period-end | $ | 23,601,813 | $ | 22,645,796 | ||
GAAP Leverage at period-end | 6.0:1 | 6.1:1 | ||||
GAAP Leverage at period-end (recourse) | 3.9:1 | 3.8:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 5.0 | % | 4.7 | % | ||
Senior | 2.9 | % | 2.8 | % | ||
Senior, interest only | 1.1 | % | 1.1 | % | ||
Subordinated | 1.0 | % | 0.8 | % | ||
Subordinated, interest only | 0.0 | % | 0.0 | % | ||
RMBS transferred to consolidated VIEs | 2.0 | % | 2.1 | % | ||
Agency MBS | 46.9 | % | 46.7 | % | ||
Residential | 34.2 | % | 35.0 | % | ||
Commercial | 12.1 | % | 11.2 | % | ||
Interest-only | 0.6 | % | 0.5 | % | ||
Loans held for investment | 46.1 | % | 46.5 | % | ||
Fixed-rate percentage of portfolio | 95.8 | % | 95.8 | % | ||
Adjustable-rate percentage of portfolio | 4.2 | % | 4.2 | % |
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 March 31, 2019 | $ | 350,389 | $ | 202,950 | $ | (5,462 | ) | $ | 197,488 | $ | 147,439 | $ | 5,462 | $ | (1,571 | ) | $ | 151,330 | ||||||||
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 | |||||||||||||||||
March 31, 2019 | March 31, 2018 | ||||||||||||||||
(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 | $ | 11,448,243 | $ | 103,595 | 3.6 | % | $ | 3,880,870 | $ | 33,342 | 3.4 | % | |||||
Non-Agency RMBS | 1,272,073 | 32,758 | 10.3 | % | 1,150,135 | 22,004 | 7.7 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 535,031 | 38,769 | 29.0 | % | 896,139 | 52,107 | 23.3 | % | |||||||||
Residential mortgage loans held for investment | 12,102,993 | 173,696 | 5.7 | % | 13,265,821 | 189,822 | 5.7 | % | |||||||||
Total | $ | 25,358,340 | $ | 348,818 | 5.5 | % | $ | 19,192,965 | $ | 297,275 | 6.2 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Repurchase agreements collateralized by: | |||||||||||||||||
Agency MBS (2) | $ | 10,695,015 | $ | 69,311 | 2.6 | % | $ | 3,253,529 | $ | 16,140 | 2.0 | % | |||||
Non-Agency RMBS (2) | 634,481 | 5,691 | 3.6 | % | 411,143 | 3,025 | 2.9 | % | |||||||||
Re-REMIC repurchase agreements | 557,467 | 6,499 | 4.7 | % | 828,745 | 7,727 | 3.7 | % | |||||||||
RMBS from loan securitizations | 2,706,425 | 24,960 | 3.7 | % | 2,763,631 | 25,358 | 3.7 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 156,277 | 1,934 | 5.0 | % | 200,374 | 2,825 | 5.6 | % | |||||||||
Securitized debt, collateralized by loans | 8,150,394 | 89,093 | 4.4 | % | 9,185,049 | 96,788 | 4.2 | % | |||||||||
Total | $ | 22,900,059 | $ | 197,488 | 3.4 | % | $ | 16,642,471 | $ | 151,863 | 3.7 | % | |||||
Economic net interest income/net interest rate spread | $ | 151,330 | 2.1 | % | $ | 145,412 | 2.5 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 2,458,281 | 2.4 | % | $ | 2,550,494 | 3.0 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.11 | 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 Common Equity | ||||
(Ratios have been annualized) | ||||||
For the Quarter Ended March 31, 2019 | 12.34 | % | 15.81 | % | 14.03 | % |
For the Quarter Ended December 31, 2018 | (10.80 | )% | 16.13 | % | 14.09 | % |
For the Quarter Ended September 30, 2018 | 16.64 | % | 15.61 | % | 13.96 | % |
For the Quarter Ended June 30, 2018 | 12.91 | % | 16.05 | % | 13.72 | % |
For the Quarter Ended March 31, 2018 | 26.17 | % | 15.92 | % | 13.61 | % |
For the Quarters Ended | |||||||||||||||
Accretable Discount (Net of Premiums) | March 31, 2019 | December 31, 2018 | September 30, 2018 | June 30, 2018 | March 31, 2018 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 505,763 | $ | 539,020 | $ | 540,269 | $ | 555,444 | $ | 582,193 | |||||
Accretion of discount | (35,551 | ) | (36,287 | ) | (35,184 | ) | (38,110 | ) | (37,309 | ) | |||||
Purchases | 6,638 | 4,589 | 1,966 | 3,098 | — | ||||||||||
Sales and deconsolidation | 127 | (625 | ) | (986 | ) | (6,439 | ) | 174 | |||||||
Transfers from/(to) credit reserve, net | 8,063 | (934 | ) | 32,955 | 26,276 | 10,386 | |||||||||
Balance, end of period | $ | 485,040 | $ | 505,763 | $ | 539,020 | $ | 540,269 | $ | 555,444 |