• | GAAP NET LOSS OF $(0.37) PER COMMON SHARE |
• | CORE EARNINGS(1) OF $0.32 PER COMMON SHARE |
• | GAAP BOOK VALUE OF $10.63 PER COMMON SHARE |
• | FINANCED NEARLY $2 BILLION OF NON-AGENCY SECURITIES ON NON-MARK-TO-MARKET FACILITIES |
• | REMOVED THE MARK-TO-MARKET WAREHOUSE FINANCING RISK OF OUR NON-SECURITIZED RESIDENTIAL LOAN PORTFOLIO THROUGH THREE SECURITIZATIONS AND A NEW NON-MARK-TO-MARKET FACILITY |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
(Unaudited) | ||||||
June 30, 2020 | December 31, 2019 | |||||
Cash and cash equivalents | $ | 302,553 | $ | 109,878 | ||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $2 million and $0 million, respectively) | 2,184,170 | 2,614,408 | ||||
Agency RMBS, at fair value | 107,263 | 6,490,293 | ||||
Agency CMBS, at fair value | 2,612,344 | 2,850,717 | ||||
Loans held for investment, at fair value | 13,036,833 | 14,292,815 | ||||
Receivable for investments sold | — | 446,225 | ||||
Accrued interest receivable | 89,387 | 116,423 | ||||
Other assets | 115,601 | 194,301 | ||||
Derivatives, at fair value, net | — | 3,611 | ||||
Total assets (1) | $ | 18,448,151 | $ | 27,118,671 | ||
Liabilities: | ||||||
Secured financing agreements ($7.8 billion and $15.4 billion pledged as collateral, respectively) | $ | 5,944,201 | $ | 13,427,545 | ||
Securitized debt, collateralized by Non-Agency RMBS ($524 million and $598 million pledged as collateral, respectively) | 124,414 | 133,557 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($12.2 billion and $12.1 billion pledged as collateral, respectively) | 8,530,111 | 8,179,608 | ||||
Long Term Debt | 71,600 | — | ||||
Payable for investments purchased | 246,770 | 1,256,337 | ||||
Accrued interest payable | 41,336 | 63,600 | ||||
Dividends payable | 75,554 | 98,568 | ||||
Accounts payable and other liabilities | 18,286 | 6,163 | ||||
Total liabilities (1) | $ | 15,052,272 | $ | 23,165,378 | ||
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 shares issued and outstanding, respectively ($200,000 liquidation preference) | 80 | 80 | ||||
Common stock: par value $0.01 per share; 500,000,000 shares authorized, 232,003,526 and 187,226,081 shares issued and outstanding, respectively | 2,320 | 1,873 | ||||
Additional paid-in-capital | 4,515,043 | 4,275,963 | ||||
Accumulated other comprehensive income | 537,510 | 708,336 | ||||
Cumulative earnings | 3,367,330 | 3,793,040 | ||||
Cumulative distributions to stockholders | (5,026,696 | ) | (4,826,291 | ) | ||
Total stockholders' equity | $ | 3,395,879 | $ | 3,953,293 | ||
Total liabilities and stockholders' equity | $ | 18,448,151 | $ | 27,118,671 |
CHIMERA INVESTMENT CORPORATION | ||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | ||||||||||||
(dollars in thousands, except share and per share data) | ||||||||||||
(Unaudited) | ||||||||||||
For the Quarters Ended | For the Six Months Ended | |||||||||||
June 30, 2020 | June 30, 2019 | June 30, 2020 | June 30, 2019 | |||||||||
Net interest income: | ||||||||||||
Interest income (1) | $ | 245,922 | $ | 339,914 | $ | 546,189 | $ | 690,303 | ||||
Interest expense (2) | 129,256 | 198,110 | 271,339 | 401,060 | ||||||||
Net interest income | 116,666 | 141,804 | 274,850 | 289,243 | ||||||||
Increase/(decrease) in provision for credit losses | (4,497 | ) | — | 1,817 | — | |||||||
Net other-than-temporary credit impairment losses | — | — | — | (4,853 | ) | |||||||
Other investment gains (losses): | ||||||||||||
Net unrealized gains (losses) on derivatives | — | (132,171 | ) | 201,000 | (221,486 | ) | ||||||
Realized gains (losses) on terminations of interest rate swaps | — | (95,211 | ) | (463,966 | ) | (203,257 | ) | |||||
Net realized gains (losses) on derivatives | — | (9,697 | ) | (41,086 | ) | (16,974 | ) | |||||
Net gains (losses) on derivatives | — | (237,079 | ) | (304,052 | ) | (441,717 | ) | |||||
Net unrealized gains (losses) on financial instruments at fair value | (171,921 | ) | 190,748 | (432,809 | ) | 391,561 | ||||||
Net realized gains (losses) on sales of investments | 26,380 | (7,526 | ) | 102,234 | 1,077 | |||||||
Gains (losses) on extinguishment of debt | 459 | (608 | ) | 459 | (608 | ) | ||||||
Total other gains (losses) | (145,082 | ) | (54,465 | ) | (634,168 | ) | (49,687 | ) | ||||
Other expenses: | ||||||||||||
Compensation and benefits | 10,255 | 12,114 | 23,190 | 26,484 | ||||||||
General and administrative expenses | 6,562 | 6,217 | 12,239 | 12,019 | ||||||||
Servicing fees | 9,473 | 9,280 | 19,462 | 18,243 | ||||||||
Transaction expenses | 4,710 | 813 | 9,616 | 895 | ||||||||
Total other expenses | 31,000 | 28,424 | 64,507 | 57,641 | ||||||||
Income (loss) before income taxes | (54,919 | ) | 58,915 | (425,642 | ) | 177,062 | ||||||
Income taxes | 36 | 155 | 68 | 155 | ||||||||
Net income (loss) | $ | (54,955 | ) | $ | 58,760 | $ | (425,710 | ) | $ | 176,907 | ||
Dividends on preferred stock | 18,438 | 18,438 | 36,875 | 35,829 | ||||||||
Net income (loss) available to common shareholders | $ | (73,393 | ) | $ | 40,322 | $ | (462,585 | ) | $ | 141,078 | ||
Net income (loss) per share available to common shareholders: | ||||||||||||
Basic | $ | (0.37 | ) | $ | 0.22 | $ | (2.39 | ) | $ | 0.75 | ||
Diluted | $ | (0.37 | ) | $ | 0.21 | $ | (2.39 | ) | $ | 0.75 | ||
Weighted average number of common shares outstanding: | ||||||||||||
Basic | 199,282,790 | 187,153,007 | 193,150,696 | 187,132,842 | ||||||||
Diluted | 199,282,790 | 188,271,483 | 193,150,696 | 188,254,266 |
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 Six Months Ended | |||||||||||
June 30, 2020 | June 30, 2019 | June 30, 2020 | June 30, 2019 | |||||||||
Comprehensive income (loss): | ||||||||||||
Net income (loss) | $ | (54,955 | ) | $ | 58,760 | $ | (425,710 | ) | $ | 176,907 | ||
Other comprehensive income: | ||||||||||||
Unrealized gains (losses) on available-for-sale securities, net (1) | 61,399 | 58,833 | (137,805 | ) | 85,218 | |||||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | — | — | — | 4,853 | ||||||||
Reclassification adjustment for net realized losses (gains) included in net income | (26,380 | ) | 7,269 | (33,021 | ) | 22,187 | ||||||
Other comprehensive income (loss) | 35,019 | 66,102 | (170,826 | ) | 112,258 | |||||||
Comprehensive income (loss) before preferred stock dividends | $ | (19,936 | ) | $ | 124,862 | $ | (596,536 | ) | $ | 289,165 | ||
Dividends on preferred stock | $ | 18,438 | $ | 18,438 | $ | 36,875 | $ | 35,829 | ||||
Comprehensive income (loss) available to common stock shareholders | $ | (38,374 | ) | $ | 106,424 | $ | (633,411 | ) | $ | 253,336 |
For the Quarters Ended | |||||||||||||||
June 30, 2020 | March 31, 2020 | December 31, 2019 | September 30, 2019 | June 30, 2019 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | (73,393 | ) | $ | (389,193 | ) | $ | 111,881 | $ | 87,888 | $ | 40,322 | |||
Adjustments: | |||||||||||||||
Interest expense on long term debt | 4,391 | — | — | — | — | ||||||||||
Increase (decrease) in provision for credit losses | (4,497 | ) | 6,314 | — | — | — | |||||||||
Net unrealized (gains) losses on derivatives | — | (201,000 | ) | (83,656 | ) | (31,620 | ) | 132,171 | |||||||
Net unrealized (gains) losses on financial instruments at fair value | 171,921 | 260,887 | 112,751 | (130,825 | ) | (190,748 | ) | ||||||||
Net realized (gains) losses on sales of investments | (26,380 | ) | (75,854 | ) | (17,687 | ) | (1,596 | ) | 7,526 | ||||||
(Gains) losses on extinguishment of debt | (459 | ) | — | (9,926 | ) | — | 608 | ||||||||
Realized (gains) losses on terminations of interest rate swaps | — | 463,966 | 8,353 | 148,114 | 95,211 | ||||||||||
Net realized (gains) losses on Futures (1) | — | 34,700 | (8,229 | ) | 19,138 | 13,544 | |||||||||
Transaction expenses | 4,710 | 4,906 | 6,639 | 3,415 | 812 | ||||||||||
Stock Compensation expense for retirement eligible awards | (273 | ) | 1,189 | (45 | ) | (145 | ) | (144 | ) | ||||||
Core Earnings | $ | 76,020 | $ | 105,915 | $ | 120,081 | $ | 94,369 | $ | 99,302 | |||||
GAAP net income per diluted common share | $ | (0.37 | ) | $ | (2.08 | ) | $ | 0.59 | $ | 0.47 | $ | 0.21 | |||
Core earnings per adjusted diluted common share (2) | $ | 0.32 | $ | 0.56 | $ | 0.64 | $ | 0.50 | $ | 0.53 | |||||
(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. |
June 30, 2020 | ||||||||||||
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 | $ | 1,697,252 | $ | 51.81 | 79.06 | 4.6 | % | 16.8 | % | |||
Subordinated | 893,311 | 62.91 | 58.51 | 3.6 | % | 6.4 | % | |||||
Interest-only | 6,380,154 | 4.31 | 5.01 | 1.5 | % | 15.5 | % | |||||
Agency RMBS | ||||||||||||
Interest-only | 1,425,919 | 9.16 | 7.52 | 1.4 | % | 2.1 | % | |||||
Agency CMBS | ||||||||||||
Project loans | 2,297,301 | 101.71 | 111.97 | 3.8 | % | 3.7 | % | |||||
Interest-only | 1,690,539 | 2.40 | 2.37 | 0.7 | % | 5.0 | % |
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 | % |
June 30, 2020 | December 31, 2019 | ||||||||||
(dollars in thousands) | |||||||||||
Principal | Weighted Average Borrowing Rates | Range of Borrowing Rates | Principal | Weighted Average Borrowing Rates | Range of Borrowing Rates | ||||||
Overnight | $ | — | NA | NA | $ | — | NA | NA | |||
1 to 29 days | 2,311,122 | 0.48% | 0.21% - 2.74% | 9,709,387 | 2.26% | 1.90% - 3.62% | |||||
30 to 59 days | 296,041 | 2.55% | 1.97% - 2.67% | 800,648 | 2.96% | 2.15% - 3.52% | |||||
60 to 89 days (1) | 65,390 | 2.37% | 2.15% - 2.43% | 608,520 | 3.00% | 2.59% - 3.35% | |||||
90 to 119 days | — | NA | NA | — | NA | NA | |||||
120 to 180 days | 191,904 | 1.96% | 1.66% - 2.93% | 809,077 | 3.38% | 3.06% - 3.46% | |||||
180 days to 1 year | 1,497,192 | 5.34% | 1.68% - 8.74% | 580,886 | 3.42% | 3.26% - 3.51% | |||||
1 to 2 years | 187,187 | 2.92% | 1.68% - 4.50 % | 427,981 | 3.28% | 3.19% - 3.30% | |||||
2 to 3 years | 400,000 | 7.00% | 7.00% - 7.00% | — | NA | NA | |||||
Greater than 3 years | 794,581 | 3.91% | 1.58% - 5.56 % | 491,046 | 3.20% | 3.19% - 3.20% | |||||
Total | $ | 5,743,417 | 2.93% | $ | 13,427,545 | 2.52% |
June 30, 2020 | December 31, 2019 | |||||
Interest earning assets at period-end (1) | $ | 17,940,610 | $ | 26,248,233 | ||
Interest bearing liabilities at period-end | $ | 14,670,326 | $ | 21,740,710 | ||
GAAP Leverage at period-end | 4.3:1 | 5.5:1 | ||||
GAAP Leverage at period-end (recourse) | 1.8:1 | 3.4:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 10.0 | % | 7.9 | % | ||
Senior | 5.1 | % | 4.5 | % | ||
Subordinated | 3.3 | % | 2.2 | % | ||
Interest-only | 1.6 | % | 1.2 | % | ||
Agency RMBS | 0.8 | % | 25.7 | % | ||
Pass-through | — | % | 25.1 | % | ||
Interest-only | 0.8 | % | 0.6 | % | ||
Agency CMBS | 13.8 | % | 11.0 | % | ||
Project loans | 13.6 | % | 10.8 | % | ||
Interest-only | 0.2 | % | 0.2 | % | ||
Loans held for investment | 75.4 | % | 55.4 | % | ||
Fixed-rate percentage of portfolio | 94.9 | % | 95.9 | % | ||
Adjustable-rate percentage of portfolio | 5.1 | % | 4.1 | % |
GAAP Interest Income | GAAP Interest Expense | Net Realized (Gains) Losses on Interest Rate Swaps | Interest Expense on Long Term Debt | 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 June 30, 2020 | $ | 245,922 | $ | 129,256 | $ | — | $ | (4,391 | ) | $ | 124,865 | $ | 116,666 | $ | — | $ | 4,358 | $ | 121,024 | ||||||||||
For the Quarter Ended March 31, 2020 | $ | 300,266 | $ | 142,083 | $ | 6,385 | $ | — | $ | 148,468 | $ | 158,183 | $ | (6,385 | ) | $ | (1,266 | ) | $ | 150,532 | |||||||||
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 | |||||||||||||||||
June 30, 2020 | June 30, 2019 | ||||||||||||||||
(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 | $ | 132,915 | $ | 682 | 2.1 | % | $ | 8,866,523 | $ | 73,652 | 3.3 | % | |||||
Agency CMBS | 2,223,629 | 20,161 | 3.6 | % | 2,138,240 | 19,573 | 3.7 | % | |||||||||
Non-Agency RMBS | 1,758,255 | 57,515 | 13.1 | % | 1,918,451 | 74,618 | 15.6 | % | |||||||||
Loans held for investment | 13,202,723 | 167,531 | 5.1 | % | 11,906,654 | 169,834 | 5.7 | % | |||||||||
Total | $ | 17,317,522 | $ | 245,889 | 5.7 | % | $ | 24,829,868 | $ | 337,677 | 5.4 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Secured financing agreements collateralized by: | |||||||||||||||||
Agency RMBS | $ | 77,114 | $ | 228 | 1.2 | % | $ | 8,566,949 | $ | 55,147 | 2.6 | % | |||||
Agency CMBS | 2,188,202 | 2,346 | 0.4 | % | 1,896,296 | 11,601 | 2.4 | % | |||||||||
Non-Agency RMBS | 1,292,934 | 22,408 | 6.9 | % | 1,284,996 | 13,155 | 4.1 | % | |||||||||
Loans held for investment | 2,978,013 | 27,338 | 3.7 | % | 2,892,756 | 26,755 | 3.7 | % | |||||||||
Securitized debt | 8,459,641 | 72,545 | 3.4 | % | 7,943,504 | 87,529 | 4.4 | % | |||||||||
Total | $ | 14,995,904 | $ | 124,865 | 3.3 | % | $ | 22,584,501 | $ | 194,187 | 3.4 | % | |||||
Economic net interest income/net interest rate spread | $ | 121,024 | 2.4 | % | $ | 143,490 | 2.0 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 2,321,618 | 2.8 | % | $ | 2,245,367 | 2.3 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.15 | 1.10 | |||||||||||||||
(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 June 30, 2020 | (6.62 | )% | 14.58 | % | 12.72 | % |
For the Quarter Ended March 31, 2020 | (41.21 | )% | 16.73 | % | 15.88 | % |
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 Quarters Ended | |||||||||||||||
Accretable Discount (Net of Premiums) | June 30, 2020 | March 31, 2020 | December 31, 2019 | September 30, 2019 | June 30, 2019 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 438,232 | $ | 494,255 | $ | 494,780 | $ | 514,095 | $ | 485,040 | |||||
Accretion of discount | (22,508 | ) | (24,784 | ) | (44,342 | ) | (33,256 | ) | (35,964 | ) | |||||
Purchases | — | (4,336 | ) | (12,541 | ) | (13,772 | ) | 48,736 | |||||||
Sales and deconsolidation | (23,425 | ) | 438 | (786 | ) | 1,536 | 409 | ||||||||
Transfers from/(to) credit reserve, net | 18,148 | (27,341 | ) | 57,144 | 26,177 | 15,874 | |||||||||
Balance, end of period | $ | 410,447 | $ | 438,232 | $ | 494,255 | $ | 494,780 | $ | 514,095 |