CHIMERA INVESTMENT CORPORATION | ||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
(dollars in thousands, except share and per share data) | ||||||||
(Unaudited) | ||||||||
December 31, 2020 | December 31, 2019 | |||||||
Cash and cash equivalents | $ | 269,090 | $ | 109,878 | ||||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $180 thousand and $0 thousand, respectively) | 2,150,714 | 2,614,408 | ||||||
Agency RMBS, at fair value | 90,738 | 6,490,293 | ||||||
Agency CMBS, at fair value | 1,740,368 | 2,850,717 | ||||||
Loans held for investment, at fair value | 13,112,129 | 14,292,815 | ||||||
Receivable for investments sold | — | 446,225 | ||||||
Accrued interest receivable | 81,158 | 116,423 | ||||||
Other assets | 78,822 | 194,301 | ||||||
Derivatives, at fair value, net | — | 3,611 | ||||||
Total assets (1) | $ | 17,523,019 | $ | 27,118,671 | ||||
Liabilities: | ||||||||
Secured financing agreements ($6.7 billion and $15.4 billion pledged as collateral, respectively) | $ | 4,636,847 | $ | 13,427,545 | ||||
Securitized debt, collateralized by Non-Agency RMBS ($505 million and $598 million pledged as collateral, respectively) | 113,433 | 133,557 | ||||||
Securitized debt at fair value, collateralized by loans held for investment ($12.4 billion and $12.1 billion pledged as collateral, respectively) | 8,711,677 | 8,179,608 | ||||||
Long term debt | 51,623 | — | ||||||
Payable for investments purchased | 106,169 | 1,256,337 | ||||||
Accrued interest payable | 40,950 | 63,600 | ||||||
Dividends payable | 77,213 | 98,568 | ||||||
Accounts payable and other liabilities | 5,721 | 6,163 | ||||||
Total liabilities (1) | $ | 13,743,633 | $ | 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, 230,556,760 and 187,226,081 shares issued and outstanding, respectively | 2,306 | 1,873 | ||||||
Additional paid-in-capital | 4,538,029 | 4,275,963 | ||||||
Accumulated other comprehensive income | 558,096 | 708,336 | ||||||
Cumulative earnings | 3,881,894 | 3,793,040 | ||||||
Cumulative distributions to stockholders | (5,201,311) | (4,826,291) | ||||||
Total stockholders' equity | $ | 3,779,386 | $ | 3,953,293 | ||||
Total liabilities and stockholders' equity | $ | 17,523,019 | $ | 27,118,671 |
CHIMERA INVESTMENT CORPORATION | |||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||||
(dollars in thousands, except share and per share data) | |||||||||||
(Unaudited) | |||||||||||
For the Year Ended | |||||||||||
December 31, 2020 | December 31, 2019 | December 31, 2018 | |||||||||
Net interest income: | |||||||||||
Interest income (1) | $ | 1,030,250 | $ | 1,361,110 | $ | 1,273,316 | |||||
Interest expense (2) | 516,181 | 758,814 | 679,108 | ||||||||
Net interest income | 514,069 | 602,296 | 594,208 | ||||||||
Increase/(decrease) in provision for credit losses | 180 | — | $ | — | |||||||
Net other-than-temporary credit impairment losses | — | (4,853) | (21,791) | ||||||||
Other investment gains (losses): | |||||||||||
Net unrealized gains (losses) on derivatives | 201,000 | (106,209) | (141,162) | ||||||||
Realized gains (losses) on terminations of interest rate swaps | (463,966) | (359,726) | — | ||||||||
Net realized gains (losses) on derivatives | (41,086) | (34,423) | 18,369 | ||||||||
Net gains (losses) on derivatives | (304,052) | (500,358) | (122,793) | ||||||||
Net unrealized gains (losses) on financial instruments at fair value | (110,664) | 409,634 | 46,632 | ||||||||
Net realized gains (losses) on sales of investments | 166,946 | 20,360 | (2,743) | ||||||||
Gains (losses) on extinguishment of debt | (54,418) | 9,318 | 26,376 | ||||||||
Total other gains (losses) | (302,188) | (61,046) | (52,528) | ||||||||
Other expenses: | |||||||||||
Compensation and benefits | 44,811 | 48,880 | 35,114 | ||||||||
General and administrative expenses | 25,346 | 26,555 | 22,664 | ||||||||
Servicing fees | 37,464 | 36,290 | 40,773 | ||||||||
Transaction expenses | 15,068 | 10,928 | 9,610 | ||||||||
Total other expenses | 122,689 | 122,653 | 108,161 | ||||||||
Income (loss) before income taxes | 89,012 | 413,744 | 411,728 | ||||||||
Income taxes | 158 | 193 | 91 | ||||||||
Net income (loss) | $ | 88,854 | $ | 413,551 | $ | 411,637 | |||||
Dividends on preferred stock | 73,750 | 72,704 | 43,197 | ||||||||
Net income (loss) available to common shareholders | $ | 15,104 | $ | 340,847 | $ | 368,440 | |||||
Net income (loss) per share available to common shareholders: | |||||||||||
Basic | $ | 0.07 | $ | 1.82 | $ | 1.97 | |||||
Diluted | $ | 0.07 | $ | 1.81 | $ | 1.96 | |||||
Weighted average number of common shares outstanding: | |||||||||||
Basic | 212,995,533 | 187,156,990 | 187,146,170 | ||||||||
Diluted | 226,438,341 | 188,406,444 | 187,748,862 | ||||||||
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, 2020 | December 31, 2019 | December 31, 2018 | |||||||||
Comprehensive income (loss): | |||||||||||
Net income (loss) | $ | 88,854 | $ | 413,551 | $ | 411,637 | |||||
Other comprehensive income: | |||||||||||
Unrealized gains (losses) on available-for-sale securities, net | (94,136) | 70,855 | (185,570) | ||||||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | — | 4,853 | 21,791 | ||||||||
Reclassification adjustment for net realized losses (gains) included in net income | (56,104) | 5,796 | (6,291) | ||||||||
Other comprehensive income (loss) | (150,240) | 81,504 | (170,070) | ||||||||
Comprehensive income (loss) before preferred stock dividends | $ | (61,386) | $ | 495,055 | $ | 241,567 | |||||
Dividends on preferred stock | $ | 73,750 | $ | 72,704 | $ | 43,197 | |||||
Comprehensive income (loss) available to common stock shareholders | $ | (135,136) | $ | 422,351 | $ | 198,370 |
For the Quarters Ended | |||||||||||||||||
December 31, 2020 | September 30, 2020 | June 30, 2020 | March 31, 2020 | December 31, 2019 | |||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||||
GAAP Net income available to common stockholders | $ | 128,797 | $ | 348,891 | $ | (73,393) | $ | (389,193) | $ | 111,881 | |||||||
Adjustments: | |||||||||||||||||
Interest expense on long term debt | 1,197 | 1,495 | 4,391 | — | — | ||||||||||||
Increase (decrease) in provision for credit losses | 13 | (1,650) | (4,497) | 6,314 | — | ||||||||||||
Net unrealized (gains) losses on derivatives | — | — | — | (201,000) | (83,656) | ||||||||||||
Net unrealized (gains) losses on financial instruments at fair value | (61,379) | (260,766) | 171,921 | 260,887 | 112,751 | ||||||||||||
Net realized (gains) losses on sales of investments | 329 | (65,041) | (26,380) | (75,854) | (17,687) | ||||||||||||
(Gains) losses on extinguishment of debt | (919) | 55,794 | (459) | — | (9,926) | ||||||||||||
Realized (gains) losses on terminations of interest rate swaps | — | — | — | 463,966 | 8,353 | ||||||||||||
Net realized (gains) losses on Futures (1) | — | — | — | 34,700 | (8,229) | ||||||||||||
Transaction expenses | 3,827 | 1,624 | 4,710 | 4,906 | 6,639 | ||||||||||||
Stock Compensation expense for retirement eligible awards | (225) | (275) | (273) | 1,189 | (45) | ||||||||||||
Core Earnings | $ | 71,640 | $ | 80,072 | $ | 76,020 | $ | 105,915 | $ | 120,081 | |||||||
GAAP net income per diluted common share | $ | 0.49 | $ | 1.32 | $ | (0.37) | $ | (2.08) | $ | 0.59 | |||||||
Core earnings per adjusted diluted common share (2) | $ | 0.29 | $ | 0.33 | $ | 0.32 | $ | 0.56 | $ | 0.64 | |||||||
(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, 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 | $ | 1,560,135 | $ | 50.65 | 81.90 | 4.5 | % | 16.9 | % | ||||||||
Subordinated | 905,674 | 62.46 | 67.43 | 3.8 | % | 6.3 | % | ||||||||||
Interest-only | 5,628,240 | 4.43 | 4.66 | 1.5 | % | 16.2 | % | ||||||||||
Agency RMBS | |||||||||||||||||
Interest-only | 1,262,963 | 9.41 | 7.18 | 1.7 | % | 1.6 | % | ||||||||||
Agency CMBS | |||||||||||||||||
Project loans | 1,527,621 | 101.81 | 112.23 | 4.1 | % | 3.8 | % | ||||||||||
Interest-only | 1,326,665 | 1.78 | 1.95 | 0.6 | % | 8.4 | % |
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, 2020 | December 31, 2019 | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||
Principal (1) | 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 | 1,521,134 | 0.38% | 0.20% - 2.72% | 9,709,387 | 2.26% | 1.90% - 3.62% | |||||||||||||||||
30 to 59 days | 481,257 | 4.35% | 2.42% - 6.61% | 800,648 | 2.96% | 2.15% - 3.52% | |||||||||||||||||
60 to 89 days | 352,684 | 2.78% | 1.34% - 6.30% | 608,520 | 3.00% | 2.59% - 3.35% | |||||||||||||||||
90 to 119 days | 301,994 | 7.97% | 7.97% - 7.97% | — | NA | NA | |||||||||||||||||
120 to 180 days | 595,900 | 5.29% | 2.40% - 6.26% | 809,077 | 3.38% | 3.06% - 3.46% | |||||||||||||||||
180 days to 1 year | 345,204 | 3.60% | 3.25% - 4.50% | 580,886 | 3.42% | 3.26% - 3.51% | |||||||||||||||||
1 to 2 years | — | NA | NA | 427,981 | 3.28% | 3.19% - 3.30% | |||||||||||||||||
2 to 3 years | 642,696 | 4.91% | 1.65% - 7.00% | — | NA | NA | |||||||||||||||||
Greater than 3 years | 395,978 | 5.56% | 5.56% - 5.56% | 491,046 | 3.20% | 3.19% - 3.20% | |||||||||||||||||
Total | $ | 4,636,847 | 3.41% | $ | 13,427,545 | 2.52% |
December 31, 2020 | December 31, 2019 | |||||||
Interest earning assets at period-end (1) | $ | 17,093,949 | $ | 26,248,233 | ||||
Interest bearing liabilities at period-end | $ | 13,513,580 | $ | 21,740,710 | ||||
GAAP Leverage at period-end | 3.6:1 | 5.5:1 | ||||||
GAAP Leverage at period-end (recourse) | 1.2:1 | 3.4:1 | ||||||
Portfolio Composition, at amortized cost | ||||||||
Non-Agency RMBS | 10.2 | % | 7.9 | % | ||||
Senior | 5.0 | % | 4.5 | % | ||||
Subordinated | 3.6 | % | 2.2 | % | ||||
Interest-only | 1.6 | % | 1.2 | % | ||||
Agency RMBS | 0.7 | % | 25.7 | % | ||||
Pass-through | — | % | 25.1 | % | ||||
Interest-only | 0.7 | % | 0.6 | % | ||||
Agency CMBS | 10.0 | % | 11.0 | % | ||||
Project loans | 9.9 | % | 10.8 | % | ||||
Interest-only | 0.1 | % | 0.2 | % | ||||
Loans held for investment | 79.1 | % | 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 Year Ended December 31, 2020 | $ | 1,030,250 | $ | 516,181 | $ | 6,385 | $ | (7,082) | $ | 515,484 | $ | 514,069 | $ | (6,385) | $ | 5,755 | $ | 513,439 | |||||||||||||||||
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 Quarter Ended December 31, 2020 | $ | 236,156 | $ | 120,285 | $ | — | $ | (1,197) | $ | 119,088 | $ | 115,871 | $ | — | $ | 1,177 | $ | 117,048 | |||||||||||||||||
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, 2020 | December 31, 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 | $ | 121,440 | $ | 479 | 1.6 | % | $ | 7,417,646 | $ | 63,108 | 3.4 | % | |||||||||||
Agency CMBS | 1,455,855 | 15,400 | 4.2 | % | 2,298,601 | 24,856 | 4.3 | % | |||||||||||||||
Non-Agency RMBS | 1,650,268 | 56,259 | 13.6 | % | 1,976,632 | 81,429 | 16.5 | % | |||||||||||||||
Loans held for investment | 12,770,508 | 163,998 | 5.1 | % | 12,851,351 | 169,605 | 5.3 | % | |||||||||||||||
Total | $ | 15,998,071 | $ | 236,136 | 5.9 | % | $ | 24,544,230 | $ | 338,998 | 5.5 | % | |||||||||||
Liabilities and stockholders' equity: | |||||||||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||||||||
Secured financing agreements collateralized by: | |||||||||||||||||||||||
Agency RMBS | $ | 71,689 | $ | 173 | 1.0 | % | $ | 7,015,513 | $ | 37,949 | 2.2 | % | |||||||||||
Agency CMBS | 1,323,972 | 738 | 0.2 | % | 2,272,069 | 14,819 | 2.6 | % | |||||||||||||||
Non-Agency RMBS | 1,069,348 | 13,797 | 5.2 | % | 1,404,981 | 11,466 | 3.3 | % | |||||||||||||||
Loans held for investment | 2,200,314 | 26,627 | 4.8 | % | 3,786,840 | 33,781 | 3.6 | % | |||||||||||||||
Securitized debt | 8,630,854 | 77,753 | 3.6 | % | 7,758,406 | 76,597 | 3.9 | % | |||||||||||||||
Total | $ | 13,296,177 | $ | 119,088 | 3.6 | % | $ | 22,237,809 | $ | 174,612 | 3.1 | % | |||||||||||
Economic net interest income/net interest rate spread | $ | 117,048 | 2.3 | % | $ | 164,386 | 2.4 | % | |||||||||||||||
Net interest-earning assets/net interest margin | $ | 2,701,894 | 2.9 | % | $ | 2,306,421 | 2.7 | % | |||||||||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.20 | 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 Year Ended December 31, 2020 | 2.46 | % | 14.21 | % | 12.43 | % | |||||
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 Quarter Ended December 31, 2020 | 15.76 | % | 12.53 | % | 10.21 | % | |||||
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 Quarters Ended | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Accretable Discount (Net of Premiums) | December 31, 2020 | September 30, 2020 | June 30, 2020 | March 31, 2020 | December 31, 2019 | ||||||||||||
Balance, beginning of period | $ | 422,981 | $ | 410,447 | $ | 438,232 | $ | 494,255 | $ | 494,780 | |||||||
Accretion of discount | (21,281) | (20,045) | (22,508) | (24,784) | (44,342) | ||||||||||||
Purchases | 758 | 2,096 | — | (4,336) | (12,541) | ||||||||||||
Sales and deconsolidation | 98 | — | (23,425) | 438 | (786) | ||||||||||||
Transfers from/(to) credit reserve, net | 7,134 | 30,483 | 18,148 | (27,341) | 57,144 | ||||||||||||
Balance, end of period | $ | 409,690 | $ | 422,981 | $ | 410,447 | $ | 438,232 | $ | 494,255 |