• | 3RD QUARTER GAAP NET INCOME OF $0.47 PER COMMON SHARE |
• | 3RD QUARTER CORE EARNINGS(1) OF $0.50 PER COMMON SHARE |
• | GAAP BOOK VALUE OF $16.38 PER COMMON SHARE |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
(Unaudited) | ||||||
September 30, 2019 | December 31, 2018 | |||||
Cash and cash equivalents | $ | 160,894 | $ | 47,486 | ||
Non-Agency RMBS, at fair value | 2,649,834 | 2,486,130 | ||||
Agency MBS, at fair value | 11,615,323 | 12,188,950 | ||||
Loans held for investment, at fair value | 13,101,728 | 12,572,581 | ||||
Accrued interest receivable | 125,601 | 123,442 | ||||
Other assets | 973,681 | 252,582 | ||||
Derivatives, at fair value, net | 5,228 | 37,468 | ||||
Total assets (1) | $ | 28,632,289 | $ | 27,708,639 | ||
Liabilities: | ||||||
Repurchase agreements ($17.0 billion and $15.8 billion pledged as collateral, respectively) | $ | 15,002,106 | $ | 14,030,465 | ||
Securitized debt, collateralized by Non-Agency RMBS ($612 million and $1.0 billion pledged as collateral, respectively) | 139,163 | 159,955 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($11.5 billion and $12.3 billion pledged as collateral, respectively) | 7,800,786 | 8,455,376 | ||||
Payable for investments purchased | 1,484,572 | 1,136,157 | ||||
Accrued interest payable | 81,232 | 110,402 | ||||
Dividends payable | 98,006 | 95,986 | ||||
Accounts payable and other liabilities | 31,380 | 16,469 | ||||
Total liabilities (1) | $ | 24,637,245 | $ | 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, 187,158,540 and 187,052,398 shares issued and outstanding, respectively | 1,872 | 1,871 | ||||
Additional paid-in-capital | 4,274,721 | 4,072,093 | ||||
Accumulated other comprehensive income | 769,070 | 626,832 | ||||
Cumulative earnings | 3,662,722 | 3,379,489 | ||||
Cumulative distributions to stockholders | (4,713,713 | ) | (4,376,748 | ) | ||
Total stockholders' equity | $ | 3,995,044 | $ | 3,703,829 | ||
Total liabilities and stockholders' equity | $ | 28,632,289 | $ | 27,708,639 |
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, 2019 | September 30, 2018 | September 30, 2019 | September 30, 2018 | |||||||||
Net interest income: | ||||||||||||
Interest income (1) | $ | 330,144 | $ | 321,715 | $ | 1,020,448 | $ | 925,282 | ||||
Interest expense (2) | 188,551 | 174,671 | 589,611 | 485,189 | ||||||||
Net interest income | 141,593 | 147,044 | 430,837 | 440,093 | ||||||||
Other-than-temporary impairments: | ||||||||||||
Total other-than-temporary impairment losses | — | (772 | ) | (801 | ) | (1,871 | ) | |||||
Portion of loss recognized in other comprehensive income | — | (6,461 | ) | (4,052 | ) | (15,651 | ) | |||||
Net other-than-temporary credit impairment losses | — | (7,233 | ) | (4,853 | ) | (17,522 | ) | |||||
Other investment gains (losses): | ||||||||||||
Net unrealized gains (losses) on derivatives | 31,620 | 71,197 | (189,865 | ) | 178,511 | |||||||
Realized gains (losses) on terminations of interest rate swaps | (148,114 | ) | — | (351,372 | ) | — | ||||||
Net realized gains (losses) on derivatives | (20,178 | ) | 2,881 | (37,151 | ) | 14,573 | ||||||
Net gains (losses) on derivatives | (136,672 | ) | 74,078 | (578,388 | ) | 193,084 | ||||||
Net unrealized gains (losses) on financial instruments at fair value | 130,825 | (34,306 | ) | 522,386 | (38,204 | ) | ||||||
Net realized gains (losses) on sales of investments | 1,596 | (6,123 | ) | 2,673 | (3,956 | ) | ||||||
Gains (losses) on extinguishment of debt | — | 9,263 | (608 | ) | 19,320 | |||||||
Total other gains (losses) | (4,251 | ) | 42,912 | (53,937 | ) | 170,244 | ||||||
Other expenses: | ||||||||||||
Compensation and benefits | 12,191 | 8,642 | 38,675 | 25,741 | ||||||||
General and administrative expenses | 6,528 | 5,576 | 18,569 | 16,351 | ||||||||
Servicing fees | 8,881 | 9,766 | 27,125 | 31,044 | ||||||||
Transaction expenses | 3,415 | 1,411 | 4,289 | 5,168 | ||||||||
Total other expenses | 31,015 | 25,395 | 88,658 | 78,304 | ||||||||
Income (loss) before income taxes | 106,327 | 157,328 | 283,389 | 514,511 | ||||||||
Income taxes | 1 | 7 | 156 | 76 | ||||||||
Net income (loss) | $ | 106,326 | $ | 157,321 | $ | 283,233 | $ | 514,435 | ||||
Dividends on preferred stock | 18,438 | 9,960 | 54,267 | 28,760 | ||||||||
Net income (loss) available to common shareholders | $ | 87,888 | $ | 147,361 | $ | 228,966 | $ | 485,675 | ||||
Net income (loss) per share available to common shareholders: | ||||||||||||
Basic | $ | 0.47 | $ | 0.79 | $ | 1.22 | $ | 2.59 | ||||
Diluted | $ | 0.47 | $ | 0.79 | $ | 1.22 | $ | 2.59 | ||||
Weighted average number of common shares outstanding: | ||||||||||||
Basic | 187,158,167 | 187,006,777 | 187,141,377 | 187,182,932 | ||||||||
Diluted | 188,440,171 | 187,584,958 | 188,331,109 | 187,705,831 |
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, 2019 | September 30, 2018 | September 30, 2019 | September 30, 2018 | |||||||||
Comprehensive income (loss): | ||||||||||||
Net income (loss) | $ | 106,326 | $ | 157,321 | $ | 283,233 | $ | 514,435 | ||||
Other comprehensive income: | ||||||||||||
Unrealized gains (losses) on available-for-sale securities, net | 29,980 | (50,728 | ) | 115,198 | (181,885 | ) | ||||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | — | 7,233 | 4,853 | 17,522 | ||||||||
Reclassification adjustment for net realized losses (gains) included in net income | — | (220 | ) | 22,187 | (4,603 | ) | ||||||
Other comprehensive income (loss) | 29,980 | (43,715 | ) | 142,238 | (168,966 | ) | ||||||
Comprehensive income (loss) before preferred stock dividends | $ | 136,306 | $ | 113,606 | $ | 425,471 | $ | 345,469 | ||||
Dividends on preferred stock | $ | 18,438 | $ | 9,960 | $ | 54,267 | $ | 28,760 | ||||
Comprehensive income (loss) available to common stock shareholders | $ | 117,868 | $ | 103,646 | $ | 371,204 | $ | 316,709 |
For the Quarters Ended | |||||||||||||||
September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | September 30, 2018 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | 87,888 | $ | 40,322 | $ | 100,755 | $ | (117,235 | ) | $ | 147,361 | ||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | — | — | 4,853 | 4,269 | 7,233 | ||||||||||
Net unrealized (gains) losses on derivatives | (31,620 | ) | 132,171 | 89,315 | 319,673 | (71,197 | ) | ||||||||
Net unrealized (gains) losses on financial instruments at fair value | (130,825 | ) | (190,748 | ) | (200,812 | ) | (84,836 | ) | 34,306 | ||||||
Net realized (gains) losses on sales of investments | (1,596 | ) | 7,526 | (8,603 | ) | (1,213 | ) | 6,123 | |||||||
(Gains) losses on extinguishment of debt | — | 608 | — | (7,055 | ) | (9,263 | ) | ||||||||
Realized (gains) losses on terminations of interest rate swaps | 148,114 | 95,211 | 108,046 | — | — | ||||||||||
Net realized (gains) losses on Futures (1) | 19,138 | 13,544 | 12,579 | (4,320 | ) | (2,799 | ) | ||||||||
Transaction expenses | 3,415 | 812 | 62 | 4,441 | 1,411 | ||||||||||
Stock Compensation expense for retirement eligible awards | (145 | ) | (144 | ) | 1,533 | 99 | — | ||||||||
Core Earnings | $ | 94,369 | $ | 99,302 | $ | 107,728 | $ | 113,823 | $ | 113,175 | |||||
GAAP net income per basic common share | $ | 0.47 | $ | 0.22 | $ | 0.54 | $ | (0.63 | ) | $ | 0.79 | ||||
Core earnings per basic common share (2) | $ | 0.50 | $ | 0.53 | $ | 0.58 | $ | 0.61 | $ | 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. |
September 30, 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 | $ | 2,105,577 | $ | 52.82 | $ | 83.21 | 5.0 | % | 20.5 | % | |||
Senior, interest-only | 7,795,886 | 3.97 | 3.81 | 1.0 | % | 7.9 | % | ||||||
Subordinated | 808,647 | 62.97 | 72.96 | 3.8 | % | 7.5 | % | ||||||
Subordinated, interest-only | 195,807 | 4.62 | 5.58 | 0.9 | % | 15.1 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 7,790,386 | 102.32 | 104.46 | 4.0 | % | 3.2 | % | ||||||
Commercial pass-through | 3,031,643 | 101.90 | 108.80 | 3.7 | % | 3.5 | % | ||||||
Interest-only | 3,206,236 | 5.70 | 5.58 | 1.1 | % | 3.9 | % | ||||||
(1) Bond Equivalent Yield at period end. | |||||||||||||
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 | % | ||||||
(1) Bond Equivalent Yield at period end. |
September 30, 2019 | December 31, 2018 | |||||
(dollars in thousands) | ||||||
Overnight | $ | 35,252 | $ | — | ||
1 to 29 days | 10,204,493 | 6,326,232 | ||||
30 to 59 days | 1,236,687 | 4,620,656 | ||||
60 to 89 days | 619,035 | 1,504,695 | ||||
90 to 119 days | 120,465 | 169,244 | ||||
Greater than or equal to 120 days | 2,786,174 | 1,409,638 | ||||
Total | $ | 15,002,106 | $ | 14,030,465 |
September 30, 2019 | December 31, 2018 | |||||
Interest earning assets at period-end (1) | $ | 27,366,885 | $ | 27,247,661 | ||
Interest bearing liabilities at period-end | $ | 22,942,055 | $ | 22,645,796 | ||
GAAP Leverage at period-end | 5.7:1 | 6.1:1 | ||||
GAAP Leverage at period-end (recourse) | 3.8:1 | 3.8:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 6.3 | % | 4.7 | % | ||
Senior | 3.1 | % | 2.8 | % | ||
Senior, interest only | 1.2 | % | 1.1 | % | ||
Subordinated | 2.0 | % | 0.8 | % | ||
Subordinated, interest only | 0.0 | % | 0.0 | % | ||
RMBS transferred to consolidated VIEs | 1.3 | % | 2.1 | % | ||
Agency MBS | 43.8 | % | 46.7 | % | ||
Residential | 31.1 | % | 35.0 | % | ||
Commercial | 12.0 | % | 11.2 | % | ||
Interest-only | 0.7 | % | 0.5 | % | ||
Loans held for investment | 48.6 | % | 46.5 | % | ||
Fixed-rate percentage of portfolio | 95.9 | % | 95.8 | % | ||
Adjustable-rate percentage of portfolio | 4.1 | % | 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 September 30, 2019 | $ | 330,144 | $ | 188,551 | $ | 963 | $ | 189,514 | $ | 141,593 | $ | (963 | ) | $ | (2,465 | ) | $ | 138,165 | ||||||||
For the Quarter Ended June 30, 2019 | $ | 339,914 | $ | 198,110 | $ | (3,923 | ) | $ | 194,187 | $ | 141,804 | $ | 3,923 | $ | (2,237 | ) | $ | 143,490 | ||||||||
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 | |||||||||||||||||
September 30, 2019 | September 30, 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 | $ | 10,778,708 | $ | 89,163 | 3.3 | % | $ | 7,776,334 | $ | 66,863 | 3.4 | % | |||||
Non-Agency RMBS | 1,497,124 | 36,146 | 9.7 | % | 1,186,945 | 29,213 | 9.8 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 459,508 | 34,228 | 29.8 | % | 632,155 | 42,416 | 26.8 | % | |||||||||
Residential mortgage loans held for investment | 12,017,663 | 168,142 | 5.6 | % | 12,613,816 | 183,544 | 5.8 | % | |||||||||
Total | $ | 24,753,003 | $ | 327,679 | 5.3 | % | $ | 22,209,250 | $ | 322,036 | 5.8 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Repurchase agreements collateralized by: | |||||||||||||||||
Agency MBS (2) | $ | 10,108,425 | $ | 64,589 | 2.6 | % | $ | 6,720,205 | $ | 38,492 | 2.3 | % | |||||
Non-Agency RMBS (2) | 980,242 | 8,800 | 3.6 | % | 428,363 | 4,186 | 3.9 | % | |||||||||
Re-REMIC repurchase agreements | 395,972 | 4,116 | 4.2 | % | 621,042 | 6,681 | 4.3 | % | |||||||||
RMBS from loan securitizations | 3,112,001 | 29,775 | 3.8 | % | 2,465,678 | 25,449 | 4.1 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 141,997 | 1,821 | 5.1 | % | 173,825 | 2,471 | 5.7 | % | |||||||||
Securitized debt, collateralized by loans | 7,677,138 | 80,413 | 4.2 | % | 8,938,962 | 97,150 | 4.3 | % | |||||||||
Total | $ | 22,415,775 | $ | 189,514 | 3.4 | % | $ | 19,348,075 | $ | 174,429 | 3.6 | % | |||||
Economic net interest income/net interest rate spread | $ | 138,165 | 1.9 | % | $ | 147,607 | 2.2 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 2,337,228 | 2.2 | % | $ | 2,861,175 | 2.7 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.10 | 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 September 30, 2019 | 10.68 | % | 13.88 | % | 12.37 | % |
For the Quarter Ended June 30, 2019 | 5.93 | % | 14.49 | % | 13.10 | % |
For the Quarter Ended March 31, 2019 | 12.34 | % | 15.81 | % | 14.37 | % |
For the Quarter Ended December 31, 2018 | (10.80 | )% | 16.13 | % | 14.79 | % |
For the Quarter Ended September 30, 2018 | 16.64 | % | 15.61 | % | 14.23 | % |
For the Quarters Ended | |||||||||||||||
Accretable Discount (Net of Premiums) | September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | September 30, 2018 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 514,095 | $ | 485,040 | $ | 505,763 | $ | 539,020 | $ | 540,269 | |||||
Accretion of discount | (33,256 | ) | (35,964 | ) | (35,551 | ) | (36,287 | ) | (35,184 | ) | |||||
Purchases | (13,772 | ) | 48,736 | 6,638 | 4,589 | 1,966 | |||||||||
Sales and deconsolidation | 1,536 | 409 | 127 | (625 | ) | (986 | ) | ||||||||
Transfers from/(to) credit reserve, net | 26,177 | 15,874 | 8,063 | (934 | ) | 32,955 | |||||||||
Balance, end of period | $ | 494,780 | $ | 514,095 | $ | 485,040 | $ | 505,763 | $ | 539,020 |