CHIMERA INVESTMENT CORPORATION | ||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
(dollars in thousands, except share and per share data) | ||||||||
(Unaudited) | ||||||||
September 30, 2020 | December 31, 2019 | |||||||
Cash and cash equivalents | $ | 325,717 | $ | 109,878 | ||||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and $0 thousand, respectively) | 2,218,289 | 2,614,408 | ||||||
Agency RMBS, at fair value | 99,988 | 6,490,293 | ||||||
Agency CMBS, at fair value | 1,754,740 | 2,850,717 | ||||||
Loans held for investment, at fair value | 13,533,252 | 14,292,815 | ||||||
Receivable for investments sold | — | 446,225 | ||||||
Accrued interest receivable | 86,727 | 116,423 | ||||||
Other assets | 75,155 | 194,301 | ||||||
Derivatives, at fair value, net | — | 3,611 | ||||||
Total assets (1) | $ | 18,093,868 | $ | 27,118,671 | ||||
Liabilities: | ||||||||
Secured financing agreements ($6.7 billion and $15.4 billion pledged as collateral, respectively) | $ | 4,700,037 | $ | 13,427,545 | ||||
Securitized debt, collateralized by Non-Agency RMBS ($528 million and $598 million pledged as collateral, respectively) | 117,904 | 133,557 | ||||||
Securitized debt at fair value, collateralized by loans held for investment ($12.4 billion and $12.1 billion pledged as collateral, respectively) | 8,757,449 | 8,179,608 | ||||||
Long term debt | 70,641 | — | ||||||
Payable for investments purchased | 614,583 | 1,256,337 | ||||||
Accrued interest payable | 36,451 | 63,600 | ||||||
Dividends payable | 76,362 | 98,568 | ||||||
Accounts payable and other liabilities | 23,899 | 6,163 | ||||||
Total liabilities (1) | $ | 14,397,326 | $ | 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, 232,190,087 and 187,226,081 shares issued and outstanding, respectively | 2,322 | 1,873 | ||||||
Additional paid-in-capital | 4,517,819 | 4,275,963 | ||||||
Accumulated other comprehensive income | 554,981 | 708,336 | ||||||
Cumulative earnings | 3,734,659 | 3,793,040 | ||||||
Cumulative distributions to stockholders | (5,113,611) | (4,826,291) | ||||||
Total stockholders' equity | $ | 3,696,542 | $ | 3,953,293 | ||||
Total liabilities and stockholders' equity | $ | 18,093,868 | $ | 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 Nine Months Ended | |||||||||||||
September 30, 2020 | September 30, 2019 | September 30, 2020 | September 30, 2019 | |||||||||||
Net interest income: | ||||||||||||||
Interest income (1) | $ | 247,905 | $ | 330,144 | $ | 794,094 | $ | 1,020,448 | ||||||
Interest expense (2) | 124,557 | 188,551 | 395,897 | 589,611 | ||||||||||
Net interest income | 123,348 | 141,593 | 398,197 | 430,837 | ||||||||||
Increase/(decrease) in provision for credit losses | (1,650) | — | 167 | — | ||||||||||
Net other-than-temporary credit impairment losses | — | — | — | (4,853) | ||||||||||
Other investment gains (losses): | ||||||||||||||
Net unrealized gains (losses) on derivatives | — | 31,620 | 201,000 | (189,865) | ||||||||||
Realized gains (losses) on terminations of interest rate swaps | — | (148,114) | (463,966) | (351,372) | ||||||||||
Net realized gains (losses) on derivatives | — | (20,178) | (41,086) | (37,151) | ||||||||||
Net gains (losses) on derivatives | — | (136,672) | (304,052) | (578,388) | ||||||||||
Net unrealized gains (losses) on financial instruments at fair value | 260,766 | 130,825 | (172,042) | 522,386 | ||||||||||
Net realized gains (losses) on sales of investments | 65,041 | 1,596 | 167,275 | 2,673 | ||||||||||
Gains (losses) on extinguishment of debt | (55,794) | — | (55,338) | (608) | ||||||||||
Total other gains (losses) | 270,013 | (4,251) | (364,157) | (53,937) | ||||||||||
Other expenses: | ||||||||||||||
Compensation and benefits | 10,287 | 12,191 | 33,476 | 38,675 | ||||||||||
General and administrative expenses | 6,811 | 6,528 | 19,050 | 18,569 | ||||||||||
Servicing fees | 8,898 | 8,881 | 28,359 | 27,125 | ||||||||||
Transaction expenses | 1,624 | 3,415 | 11,239 | 4,289 | ||||||||||
Total other expenses | 27,620 | 31,015 | 92,124 | 88,658 | ||||||||||
Income (loss) before income taxes | 367,391 | 106,327 | (58,251) | 283,389 | ||||||||||
Income taxes | 62 | 1 | 130 | 156 | ||||||||||
Net income (loss) | $ | 367,329 | $ | 106,326 | $ | (58,381) | $ | 283,233 | ||||||
Dividends on preferred stock | 18,438 | 18,438 | 55,313 | 54,267 | ||||||||||
Net income (loss) available to common shareholders | $ | 348,891 | $ | 87,888 | $ | (113,694) | $ | 228,966 | ||||||
Net income (loss) per share available to common shareholders: | ||||||||||||||
Basic | $ | 1.50 | $ | 0.47 | $ | (0.55) | $ | 1.22 | ||||||
Diluted | $ | 1.32 | $ | 0.47 | $ | (0.55) | $ | 1.22 | ||||||
Weighted average number of common shares outstanding: | ||||||||||||||
Basic | 232,127,224 | 187,158,167 | 206,237,705 | 187,141,377 | ||||||||||
Diluted | 265,346,359 | 188,440,171 | 206,237,705 | 188,331,109 | ||||||||||
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, 2020 | September 30, 2019 | September 30, 2020 | September 30, 2019 | |||||||||||
Comprehensive income (loss): | ||||||||||||||
Net income (loss) | $ | 367,329 | $ | 106,326 | $ | (58,381) | $ | 283,233 | ||||||
Other comprehensive income: | ||||||||||||||
Unrealized gains (losses) on available-for-sale securities, net (1) | 40,470 | 29,980 | (97,334) | 115,198 | ||||||||||
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 | (22,999) | — | (56,021) | 22,187 | ||||||||||
Other comprehensive income (loss) | 17,471 | 29,980 | (153,355) | 142,238 | ||||||||||
Comprehensive income (loss) before preferred stock dividends | $ | 384,800 | $ | 136,306 | $ | (211,736) | $ | 425,471 | ||||||
Dividends on preferred stock | $ | 18,438 | $ | 18,438 | $ | 55,313 | $ | 54,267 | ||||||
Comprehensive income (loss) available to common stock shareholders | $ | 366,362 | $ | 117,868 | $ | (267,049) | $ | 371,204 |
For the Quarters Ended | |||||||||||||||||
September 30, 2020 | June 30, 2020 | March 31, 2020 | December 31, 2019 | September 30, 2019 | |||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||||
GAAP Net income available to common stockholders | $ | 348,891 | $ | (73,393) | $ | (389,193) | $ | 111,881 | $ | 87,888 | |||||||
Adjustments: | |||||||||||||||||
Interest expense on long term debt | 1,495 | 4,391 | — | — | — | ||||||||||||
Increase (decrease) in provision for credit losses | (1,650) | (4,497) | 6,314 | — | — | ||||||||||||
Net unrealized (gains) losses on derivatives | — | — | (201,000) | (83,656) | (31,620) | ||||||||||||
Net unrealized (gains) losses on financial instruments at fair value | (260,766) | 171,921 | 260,887 | 112,751 | (130,825) | ||||||||||||
Net realized (gains) losses on sales of investments | (65,041) | (26,380) | (75,854) | (17,687) | (1,596) | ||||||||||||
(Gains) losses on extinguishment of debt | 55,794 | (459) | — | (9,926) | — | ||||||||||||
Realized (gains) losses on terminations of interest rate swaps | — | — | 463,966 | 8,353 | 148,114 | ||||||||||||
Net realized (gains) losses on Futures (1) | — | — | 34,700 | (8,229) | 19,138 | ||||||||||||
Transaction expenses | 1,624 | 4,710 | 4,906 | 6,639 | 3,415 | ||||||||||||
Stock Compensation expense for retirement eligible awards | (275) | (273) | 1,189 | (45) | (145) | ||||||||||||
Core Earnings | $ | 80,072 | $ | 76,020 | $ | 105,915 | $ | 120,081 | $ | 94,369 | |||||||
GAAP net income per diluted common share | $ | 1.32 | $ | (0.37) | $ | (2.08) | $ | 0.59 | $ | 0.47 | |||||||
Core earnings per adjusted diluted common share (2) | $ | 0.33 | $ | 0.32 | $ | 0.56 | $ | 0.64 | $ | 0.50 | |||||||
(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, 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 | $ | 1,629,183 | $ | 51.33 | 81.81 | 4.5 | % | 16.5 | % | ||||||||
Subordinated | 915,631 | 63.57 | 64.58 | 3.6 | % | 6.3 | % | ||||||||||
Interest-only | 6,056,933 | 4.33 | 4.85 | 1.5 | % | 16.8 | % | ||||||||||
Agency RMBS | |||||||||||||||||
Interest-only | 1,343,378 | 9.24 | 7.44 | 1.9 | % | 1.5 | % | ||||||||||
Agency CMBS | |||||||||||||||||
Project loans | 1,538,077 | 101.82 | 112.24 | 4.1 | % | 3.9 | % | ||||||||||
Interest-only | 1,383,665 | 1.89 | 2.06 | 0.7 | % | 7.9 | % |
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 | % |
September 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 | 1,610,030 | 0.58% | 0.20% - 3.02% | 9,709,387 | 2.26% | 1.90% - 3.62% | |||||||||||||||||
30 to 59 days | 212,333 | 2.35% | 1.85% - 2.55% | 800,648 | 2.96% | 2.15% - 3.52% | |||||||||||||||||
60 to 89 days | 14,626 | 1.83% | 1.55% - 2.45% | 608,520 | 3.00% | 2.59% - 3.35% | |||||||||||||||||
90 to 119 days | — | NA | NA | — | NA | NA | |||||||||||||||||
120 to 180 days | 606,072 | 4.23% | 1.34% - 6.61% | 809,077 | 3.38% | 3.06% - 3.46% | |||||||||||||||||
180 days to 1 year | 1,004,318 | 6.02% | 3.25% - 7.99% | 580,886 | 3.42% | 3.26% - 3.51% | |||||||||||||||||
1 to 2 years | 92,695 | 4.50% | 4.50% - 4.50% | 427,981 | 3.28% | 3.19% - 3.30% | |||||||||||||||||
2 to 3 years | 395,829 | 7.00% | 7.00% - 7.00% | — | NA | NA | |||||||||||||||||
Greater than 3 years | 764,134 | 3.84% | 1.55% - 5.56% | 491,046 | 3.20% | 3.19% - 3.20% | |||||||||||||||||
Total | $ | 4,700,037 | 3.44% | $ | 13,427,545 | 2.52% |
September 30, 2020 | December 31, 2019 | |||||||
Interest earning assets at period-end (1) | $ | 17,606,269 | $ | 26,248,233 | ||||
Interest bearing liabilities at period-end | $ | 13,646,031 | $ | 21,740,710 | ||||
GAAP Leverage at period-end | 3.7:1 | 5.5:1 | ||||||
GAAP Leverage at period-end (recourse) | 1.3:1 | 3.4:1 | ||||||
Portfolio Composition, at amortized cost | ||||||||
Non-Agency RMBS | 10.2 | % | 7.9 | % | ||||
Senior | 5.1 | % | 4.5 | % | ||||
Subordinated | 3.5 | % | 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 | 9.7 | % | 11.0 | % | ||||
Project loans | 9.5 | % | 10.8 | % | ||||
Interest-only | 0.2 | % | 0.2 | % | ||||
Loans held for investment | 79.3 | % | 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 September 30, 2020 | $ | 247,905 | $ | 124,557 | $ | — | $ | (1,495) | $ | 123,062 | $ | 123,348 | $ | — | $ | 1,487 | $ | 124,835 | |||||||||||||||||
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 | |||||||||||||||||||||||
September 30, 2020 | September 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 | $ | 127,273 | $ | 495 | 1.6 | % | $ | 8,474,168 | $ | 68,984 | 3.3 | % | |||||||||||
Agency CMBS | 1,770,009 | 25,571 | 5.8 | % | 2,304,541 | 20,179 | 3.5 | % | |||||||||||||||
Non-Agency RMBS | 1,692,702 | 56,311 | 13.3 | % | 1,956,631 | 70,374 | 14.4 | % | |||||||||||||||
Loans held for investment | 12,943,898 | 165,520 | 5.1 | % | 12,017,663 | 168,142 | 5.6 | % | |||||||||||||||
Total | $ | 16,533,882 | $ | 247,897 | 6.0 | % | $ | 24,753,003 | $ | 327,679 | 5.3 | % | |||||||||||
Liabilities and stockholders' equity: | |||||||||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||||||||
Secured financing agreements collateralized by: | |||||||||||||||||||||||
Agency RMBS | $ | 76,755 | $ | 208 | 1.1 | % | $ | 7,948,235 | $ | 50,492 | 2.5 | % | |||||||||||
Agency CMBS | 1,680,566 | 1,141 | 0.3 | % | 2,160,190 | 14,097 | 2.6 | % | |||||||||||||||
Non-Agency RMBS | 1,171,542 | 17,495 | 6.0 | % | 1,376,214 | 12,916 | 3.8 | % | |||||||||||||||
Loans held for investment | 2,340,689 | 27,814 | 4.8 | % | 3,112,001 | 29,775 | 3.8 | % | |||||||||||||||
Securitized debt | 8,711,513 | 76,404 | 3.5 | % | 7,819,135 | 82,234 | 4.2 | % | |||||||||||||||
Total | $ | 13,981,065 | $ | 123,062 | 3.5 | % | $ | 22,415,775 | $ | 189,514 | 3.4 | % | |||||||||||
Economic net interest income/net interest rate spread | $ | 124,835 | 2.5 | % | $ | 138,165 | 1.9 | % | |||||||||||||||
Net interest-earning assets/net interest margin | $ | 2,552,817 | 3.0 | % | $ | 2,337,228 | 2.2 | % | |||||||||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.18 | 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 September 30, 2020 | 41.43 | % | 14.08 | % | 12.24 | % | |||||
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 Quarters Ended | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Accretable Discount (Net of Premiums) | September 30, 2020 | June 30, 2020 | March 31, 2020 | December 31, 2019 | September 30, 2019 | ||||||||||||
Balance, beginning of period | $ | 410,447 | $ | 438,232 | $ | 494,255 | $ | 494,780 | $ | 514,095 | |||||||
Accretion of discount | (20,045) | (22,508) | (24,784) | (44,342) | (33,256) | ||||||||||||
Purchases | 2,096 | — | (4,336) | (12,541) | (13,772) | ||||||||||||
Sales and deconsolidation | — | (23,425) | 438 | (786) | 1,536 | ||||||||||||
Transfers from/(to) credit reserve, net | 30,483 | 18,148 | (27,341) | 57,144 | 26,177 | ||||||||||||
Balance, end of period | $ | 422,981 | $ | 410,447 | $ | 438,232 | $ | 494,255 | $ | 494,780 |