• | 4TH QUARTER GAAP NET INCOME OF $0.60 PER COMMON SHARE |
• | 4TH QUARTER CORE EARNINGS(1) OF $0.64 PER COMMON SHARE WHICH INCLUDES $0.07 CENTS OF INCOME FROM SECURITIES THAT HAVE BEEN CALLED |
• | FULL YEAR GAAP EARNINGS OF $1.82 PER COMMON SHARE |
• | FULL YEAR CORE EARNINGS OF $2.25 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) | ||||||
December 31, 2019 | December 31, 2018 | |||||
Cash and cash equivalents | $ | 109,878 | $ | 47,486 | ||
Non-Agency RMBS, at fair value | 2,614,408 | 2,486,130 | ||||
Agency RMBS, at fair value | 6,490,293 | 9,240,057 | ||||
Agency CMBS, at fair value | 2,850,717 | 2,948,893 | ||||
Loans held for investment, at fair value | 14,292,815 | 12,572,581 | ||||
Receivable for investments sold | 446,225 | — | ||||
Accrued interest receivable | 116,423 | 123,442 | ||||
Other assets | 194,301 | 252,582 | ||||
Derivatives, at fair value, net | 3,611 | 37,468 | ||||
Total assets (1) | $ | 27,118,671 | $ | 27,708,639 | ||
Liabilities: | ||||||
Repurchase agreements ($15.4 billion and $15.8 billion pledged as collateral, respectively) | $ | 13,427,545 | $ | 14,030,465 | ||
Securitized debt, collateralized by Non-Agency RMBS ($598 million and $1.0 billion pledged as collateral, respectively) | 133,557 | 159,955 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($12.1 billion and $12.3 billion pledged as collateral, respectively) | 8,179,608 | 8,455,376 | ||||
Payable for investments purchased | 1,256,337 | 1,136,157 | ||||
Accrued interest payable | 63,600 | 110,402 | ||||
Dividends payable | 98,568 | 95,986 | ||||
Accounts payable and other liabilities | 6,163 | 16,469 | ||||
Total liabilities (1) | $ | 23,165,378 | $ | 24,004,810 | ||
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, 187,226,081 and 187,052,398 shares issued and outstanding, respectively | 1,873 | 1,871 | ||||
Additional paid-in-capital | 4,275,963 | 4,072,093 | ||||
Accumulated other comprehensive income | 708,336 | 626,832 | ||||
Cumulative earnings | 3,793,040 | 3,379,489 | ||||
Cumulative distributions to stockholders | (4,826,291 | ) | (4,376,748 | ) | ||
Total stockholders' equity | $ | 3,953,293 | $ | 3,703,829 | ||
Total liabilities and stockholders' equity | $ | 27,118,671 | $ | 27,708,639 |
CHIMERA INVESTMENT CORPORATION | |||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||
(dollars in thousands, except share and per share data) | |||||||||
(Unaudited) | |||||||||
For the Year Ended | |||||||||
December 31, 2019 | December 31, 2018 | December 31, 2017 | |||||||
Net interest income: | |||||||||
Interest income (1) | $ | 1,361,110 | $ | 1,273,316 | $ | 1,138,758 | |||
Interest expense (2) | 758,814 | 679,108 | 532,748 | ||||||
Net interest income | 602,296 | 594,208 | 606,010 | ||||||
Other-than-temporary impairments: | |||||||||
Total other-than-temporary impairment losses | (801 | ) | (2,556 | ) | (5,169 | ) | |||
Portion of loss recognized in other comprehensive income | (4,052 | ) | (19,235 | ) | (56,687 | ) | |||
Net other-than-temporary credit impairment losses | (4,853 | ) | (21,791 | ) | (61,856 | ) | |||
Other investment gains (losses): | |||||||||
Net unrealized gains (losses) on derivatives | (106,209 | ) | (141,162 | ) | 47,976 | ||||
Realized gains (losses) on terminations of interest rate swaps | (359,726 | ) | — | (16,143 | ) | ||||
Net realized gains (losses) on derivatives | (34,423 | ) | 18,369 | (25,645 | ) | ||||
Net gains (losses) on derivatives | (500,358 | ) | (122,793 | ) | 6,188 | ||||
Net unrealized gains (losses) on financial instruments at fair value | 409,634 | 46,632 | 111,410 | ||||||
Net realized gains (losses) on sales of investments | 20,360 | (2,743 | ) | 9,123 | |||||
Gains (losses) on extinguishment of debt | 9,318 | 26,376 | (35,274 | ) | |||||
Total other gains (losses) | (61,046 | ) | (52,528 | ) | 91,447 | ||||
Other expenses: | |||||||||
Compensation and benefits | 48,880 | 35,114 | 30,212 | ||||||
General and administrative expenses | 26,555 | 22,664 | 17,650 | ||||||
Servicing fees | 36,290 | 40,773 | 41,690 | ||||||
Transaction expenses | 10,928 | 9,610 | 21,273 | ||||||
Total other expenses | 122,653 | 108,161 | 110,825 | ||||||
Income (loss) before income taxes | 413,744 | 411,728 | 524,776 | ||||||
Income taxes | 193 | 91 | 108 | ||||||
Net income (loss) | $ | 413,551 | $ | 411,637 | $ | 524,668 | |||
Dividends on preferred stock | 72,704 | 43,197 | 33,484 | ||||||
Net income (loss) available to common shareholders | $ | 340,847 | $ | 368,440 | $ | 491,184 | |||
Net income (loss) per share available to common shareholders: | |||||||||
Basic | $ | 1.82 | $ | 1.97 | $ | 2.62 | |||
Diluted | $ | 1.81 | $ | 1.96 | $ | 2.61 | |||
Weighted average number of common shares outstanding: | |||||||||
Basic | 187,156,990 | 187,146,170 | 187,780,355 | ||||||
Diluted | 188,406,444 | 187,748,862 | 188,287,320 |
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, 2019 | December 31, 2018 | December 31, 2017 | |||||||
Comprehensive income (loss): | |||||||||
Net income (loss) | $ | 413,551 | $ | 411,637 | $ | 524,668 | |||
Other comprehensive income: | |||||||||
Unrealized gains (losses) on available-for-sale securities, net | 70,855 | (185,570 | ) | 24,218 | |||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 4,853 | 21,791 | 61,856 | ||||||
Reclassification adjustment for net realized losses (gains) included in net income | 5,796 | (6,291 | ) | (7,278 | ) | ||||
Other comprehensive income (loss) | 81,504 | (170,070 | ) | 78,796 | |||||
Comprehensive income (loss) before preferred stock dividends | $ | 495,055 | $ | 241,567 | $ | 603,464 | |||
Dividends on preferred stock | $ | 72,704 | $ | 43,197 | $ | 33,484 | |||
Comprehensive income (loss) available to common stock shareholders | $ | 422,351 | $ | 198,370 | $ | 569,980 |
For the Quarters Ended | |||||||||||||||
December 31, 2019 | September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | 111,881 | $ | 87,888 | $ | 40,322 | $ | 100,755 | $ | (117,235 | ) | ||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | — | — | — | 4,853 | 4,269 | ||||||||||
Net unrealized (gains) losses on derivatives | (83,656 | ) | (31,620 | ) | 132,171 | 89,315 | 319,673 | ||||||||
Net unrealized (gains) losses on financial instruments at fair value | 112,751 | (130,825 | ) | (190,748 | ) | (200,812 | ) | (84,836 | ) | ||||||
Net realized (gains) losses on sales of investments | (17,687 | ) | (1,596 | ) | 7,526 | (8,603 | ) | (1,213 | ) | ||||||
(Gains) losses on extinguishment of debt | (9,926 | ) | — | 608 | — | (7,055 | ) | ||||||||
Realized (gains) losses on terminations of interest rate swaps | 8,353 | 148,114 | 95,211 | 108,046 | — | ||||||||||
Net realized (gains) losses on Futures (1) | (8,229 | ) | 19,138 | 13,544 | 12,579 | (4,320 | ) | ||||||||
Transaction expenses | 6,639 | 3,415 | 812 | 62 | 4,441 | ||||||||||
Stock Compensation expense for retirement eligible awards | (45 | ) | (145 | ) | (144 | ) | 1,533 | 99 | |||||||
Core Earnings | $ | 120,081 | $ | 94,369 | $ | 99,302 | $ | 107,728 | $ | 113,823 | |||||
GAAP net income per basic common share | $ | 0.60 | $ | 0.47 | $ | 0.22 | $ | 0.54 | $ | (0.63 | ) | ||||
Core earnings per basic common share (2) | $ | 0.64 | $ | 0.50 | $ | 0.53 | $ | 0.58 | $ | 0.61 | |||||
(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, 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 | $ | 2,024,564 | $ | 52.98 | 84.01 | 5.0 | % | 20.8 | % | |||
Subordinated | 876,592 | 63.15 | 71.25 | 3.7 | % | 6.9 | % | |||||
Interest-only | 7,458,653 | 4.04 | 3.87 | 1.1 | % | 8.4 | % | |||||
Agency RMBS | ||||||||||||
Pass-through | 6,080,547 | 102.15 | 104.64 | 4.0 | % | 3.4 | % | |||||
Interest-only | 1,539,941 | 9.06 | 8.29 | 1.6 | % | 4.0 | % | |||||
Agency CMBS | ||||||||||||
Project loans | 2,621,938 | 101.82 | 106.86 | 3.7 | % | 3.6 | % | |||||
Interest-only | 1,817,246 | 2.81 | 2.70 | 0.7 | % | 4.7 | % |
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 | % | |||
Subordinated | 394,037 | 56.60 | 70.16 | 4.0 | % | 9.9 | % | ||||||
Interest-only | 5,888,747 | 5.04 | 4.53 | 1.2 | % | 8.7 | % | ||||||
Agency RMBS | |||||||||||||
Pass-through | 8,984,249 | 102.47 | 102.12 | 4.0 | % | 3.6 | % | ||||||
Interest-only | 578,284 | 11.10 | 11.36 | 1.5 | % | 5.5 | % | ||||||
Agency CMBS | |||||||||||||
Project loans | 2,895,679 | 101.98 | 99.50 | 3.6 | % | 3.4 | % | ||||||
Interest-only | 2,450,288 | 2.93 | 2.76 | 0.6 | % | 3.2 | % |
December 31, 2019 | December 31, 2018 | |||||
(dollars in thousands) | ||||||
Overnight | $ | — | $ | — | ||
1 to 29 days | 9,709,387 | 6,326,232 | ||||
30 to 59 days | 800,648 | 4,620,656 | ||||
60 to 89 days | 608,520 | 1,504,695 | ||||
90 to 119 days | — | 169,244 | ||||
Greater than or equal to 120 days | 2,308,990 | 1,409,638 | ||||
Total | $ | 13,427,545 | $ | 14,030,465 |
December 31, 2019 | December 31, 2018 | |||||
Interest earning assets at period-end (1) | $ | 26,248,233 | $ | 27,247,661 | ||
Interest bearing liabilities at period-end | $ | 21,740,710 | $ | 22,645,796 | ||
GAAP Leverage at period-end | 5.5:1 | 6.1:1 | ||||
GAAP Leverage at period-end (recourse) | 3.4:1 | 3.8:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 7.9 | % | 6.8 | % | ||
Senior | 4.5 | % | 4.9 | % | ||
Subordinated | 2.2 | % | 0.8 | % | ||
Interest-only | 1.2 | % | 1.1 | % | ||
Agency RMBS | 25.7 | % | 35.2 | % | ||
Pass-through | 25.1 | % | 35.0 | % | ||
Interest-only | 0.6 | % | 0.2 | % | ||
Agency CMBS | 11.0 | % | 11.5 | % | ||
Project loans | 10.8 | % | 11.2 | % | ||
Interest-only | 0.2 | % | 0.3 | % | ||
Loans held for investment | 55.4 | % | 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 Year Ended December 31, 2019 | $ | 1,361,110 | $ | 758,814 | $ | (3,012 | ) | $ | 755,802 | $ | 602,296 | $ | 3,012 | $ | (7,938 | ) | $ | 597,370 | ||||||||
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 Quarter Ended December 31, 2019 | $ | 340,662 | $ | 169,203 | $ | 5,409 | $ | 174,612 | $ | 171,459 | $ | (5,409 | ) | $ | (1,664 | ) | $ | 164,386 | ||||||||
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, 2019 | December 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 RMBS | $ | 7,417,646 | $ | 63,108 | 3.4 | % | $ | 8,753,062 | $ | 80,131 | 3.7 | % | |||||
Agency CMBS | 2,298,601 | 24,856 | 4.3 | % | 1,824,176 | 15,810 | 3.5 | % | |||||||||
Non-Agency RMBS | 1,976,632 | 81,429 | 16.5 | % | 1,808,020 | 72,628 | 16.1 | % | |||||||||
Loans held for investment | 12,851,351 | 169,605 | 5.3 | % | 12,228,206 | 179,323 | 5.9 | % | |||||||||
Total | $ | 24,544,230 | $ | 338,998 | 5.5 | % | $ | 24,613,464 | $ | 347,892 | 5.7 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Repurchase agreements collateralized by: | |||||||||||||||||
Agency RMBS | $ | 7,015,513 | $ | 37,949 | 2.2 | % | $ | 7,989,603 | $ | 52,942 | 2.7 | % | |||||
Agency CMBS | 2,272,069 | 14,819 | 2.6 | % | 1,545,695 | 9,845 | 2.5 | % | |||||||||
Non-Agency RMBS | 1,404,981 | 11,466 | 3.3 | % | 1,111,030 | 11,540 | 4.2 | % | |||||||||
Loans held for investment | 3,786,840 | 33,781 | 3.6 | % | 2,435,931 | 23,445 | 3.8 | % | |||||||||
Securitized debt | 7,758,406 | 76,597 | 3.9 | % | 8,695,152 | 96,511 | 4.4 | % | |||||||||
Total | $ | 22,237,809 | $ | 174,612 | 3.1 | % | $ | 21,777,411 | $ | 194,283 | 3.6 | % | |||||
Economic net interest income/net interest rate spread | $ | 164,386 | 2.4 | % | $ | 153,609 | 2.1 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 2,306,421 | 2.7 | % | $ | 2,836,053 | 2.5 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.10 | 1.13 | |||||||||||||||
(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 Year Ended December 31, 2019 | 10.56 | % | 15.26 | % | 13.93 | % |
For the Year Ended December 31, 2018 | 11.08 | % | 15.98 | % | 14.31 | % |
For the Year Ended December 31, 2017 | 15.00 | % | 16.85 | % | 14.91 | % |
For the Quarter Ended December 31, 2019 | 13.12 | % | 16.55 | % | 15.78 | % |
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 Quarters Ended | |||||||||||||||
Accretable Discount (Net of Premiums) | December 31, 2019 | September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 494,780 | $ | 514,095 | $ | 485,040 | $ | 505,763 | $ | 539,020 | |||||
Accretion of discount | (44,342 | ) | (33,256 | ) | (35,964 | ) | (35,551 | ) | (36,287 | ) | |||||
Purchases | (12,541 | ) | (13,772 | ) | 48,736 | 6,638 | 4,589 | ||||||||
Sales and deconsolidation | (786 | ) | 1,536 | 409 | 127 | (625 | ) | ||||||||
Transfers from/(to) credit reserve, net | 57,144 | 26,177 | 15,874 | 8,063 | (934 | ) | |||||||||
Balance, end of period | $ | 494,255 | $ | 494,780 | $ | 514,095 | $ | 485,040 | $ | 505,763 |