NEW YORK--(BUSINESS WIRE)--“Chimera took a number of important steps in fiscal year 2015 that enabled us to deliver growth in core earnings per share, further enhance dividend coverage and better position the company to increase long-term value for shareholders,” said Matt Lambiase, Chimera’s President and Chief Executive Officer.
“These steps included internalizing our management function to better align the interests of management with our shareholders, repurchasing $250 million of our stock in 2015, and strategically managing our portfolio and financing. We continued to securitize loan collateral to reduce our financing costs and increase equity capital, including securitizing residential loan collateral acquired in 2014 from Springleaf. Finally, we reallocated capital into assets with more attractive risk-return profiles, and we successfully grew the principal balance of our Agency CMBS portfolio to $952 million, while reducing our exposure to Agency RMBS.
We are confident about our future heading into 2016. The Board increased our share repurchase authorization and plans to pay a quarterly dividend of $0.48 throughout the fiscal year 2016,” Mr. Lambiase concluded.
(1) Core earnings and economic book value are non-GAAP measures. See additional discussion on page 5.
Other Information
Chimera Investment Corporation is a publicly traded real estate investment trust, or REIT, that is primarily engaged in real estate finance. We were incorporated in Maryland on June 01, 2007 and commenced operations on November 21, 2007. We invest, either directly or indirectly through our subsidiaries, in RMBS, residential mortgage loans, Agency CMBS, commercial mortgage loans, real estate-related securities and various other asset classes. We have elected and believe that we are organized and have operated in a manner that enables us to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, or the Code.
Please visit www.chimerareit.com and click on Investor Relations for additional information about the Company.
| CHIMERA INVESTMENT CORPORATION | ||||||||
| CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
| (dollars in thousands, except share and per share data) | ||||||||
| December 31, 2015 | December 31, 2014 | |||||||
| Assets: | ||||||||
| Cash and cash equivalents | $ | 114,062 | $ | 164,620 | ||||
| Non-Agency RMBS, at fair value | 3,675,841 | 3,404,149 | ||||||
| Agency RMBS, at fair value | 6,514,824 | 8,441,522 | ||||||
| Securitized loans held for investment, net of allowance for loan losses of $0 million and $7 million, respectively | - | 626,112 | ||||||
| Securitized loans held for investment, at fair value | 4,768,416 | 4,699,215 | ||||||
| Receivable for investments sold | - | 1,572,056 | ||||||
| Accrued interest receivable | 66,247 | 71,099 | ||||||
| Other assets | 189,796 | 172,601 | ||||||
| Derivatives, at fair value, net | 15,460 | 3,631 | ||||||
| Total assets (1) | $ | 15,344,646 | $ | 19,155,005 | ||||
| Liabilities: | ||||||||
| Repurchase agreements, RMBS ($8.8 billion and $9.3 billion pledged as collateral, respectively) | $ | 7,439,339 | $ | 8,455,381 | ||||
| Securitized debt, collateralized by Non-Agency RMBS ($2.1 billion and $2.5 billion pledged as collateral, respectively) | 529,415 | 704,915 | ||||||
| Securitized debt, collateralized by loans held for investment ($0 million and $626 million pledged as collateral, respectively) | - | 521,997 | ||||||
| Securitized debt at fair value, collateralized by loans held for investment ($4.8 billion and $4.7 billion pledged as collateral, respectively) | 3,720,496 | 3,868,366 | ||||||
| Payable for investments purchased | 560,641 | 1,845,282 | ||||||
| Accrued interest payable | 37,432 | 31,888 | ||||||
| Dividends payable | 90,097 | 92,483 | ||||||
| Accounts payable and other liabilities | 11,404 | 2,469 | ||||||
| Investment management fees payable | - | 10,357 | ||||||
| Derivatives, at fair value | 9,634 | 14,177 | ||||||
| Total liabilities (1) | 12,398,458 | 15,547,315 | ||||||
| Commitments and Contingencies (See Note 16) | ||||||||
| Stockholders' Equity: | ||||||||
| Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively | $ | - | $ | - | ||||
| Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,711,868 and 205,546,144 shares issued and outstanding, respectively | 1,877 | 2,055 | ||||||
| Additional paid-in-capital | 3,366,568 | 3,614,411 | ||||||
| Accumulated other comprehensive income | 773,791 | 1,046,680 | ||||||
| Accumulated deficit | (1,196,048 | ) | (1,055,456 | ) | ||||
| Total stockholders' equity | $ | 2,946,188 | $ | 3,607,690 | ||||
| Total liabilities and stockholders' equity | $ | 15,344,646 | $ | 19,155,005 | ||||
| (1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities ("VIEs") that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corp.). As of December 31, 2015 and 2014, total assets of consolidated VIEs were $7,031,278 and $7,924,232, respectively, and total liabilities of consolidated VIEs were $4,262,017 and $5,111,348, respectively. See Note 8 for further discussion. |
| CHIMERA INVESTMENT CORPORATION | ||||||||||||
| CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME | ||||||||||||
| (dollars in thousands, except share and per share data) | ||||||||||||
|
For the Year Ended |
||||||||||||
| Net Interest Income: | December 31, 2015 | December 31, 2014 | December 31, 2013 | |||||||||
| Interest income (1) | $ | 872,737 | $ | 687,795 | $ | 511,783 | ||||||
| Interest expense (2) | 259,365 | 147,785 | 101,999 | |||||||||
| Net interest income | 613,372 | 540,010 | 409,784 | |||||||||
| Other-than-temporary impairments: | ||||||||||||
| Total other-than-temporary impairment losses | (8,700 | ) | (8,713 | ) | (4,356 | ) | ||||||
| Portion of loss recognized in other comprehensive income | (58,744 | ) | (55,279 | ) | (40,811 | ) | ||||||
| Net other-than-temporary credit impairment losses | (67,444 | ) | (63,992 | ) | (45,167 | ) | ||||||
| Other investment gains (losses): | ||||||||||||
| Net unrealized gains (losses) on derivatives | 67,385 | (103,496 | ) | 34,369 | ||||||||
| Realized gains (losses) on terminations of interest rate swaps | (98,949 | ) | - | - | ||||||||
| Net realized gains (losses) on derivatives | (83,073 | ) | (82,852 | ) | (7,713 | ) | ||||||
| Net gains (losses) on derivatives | (114,637 | ) | (186,348 | ) | 26,656 | |||||||
| Net unrealized gains (losses) on financial instruments at fair value | (158,433 | ) | 193,534 | (44,277 | ) | |||||||
|
Net realized gains (losses) on sale of investments |
77,074 |
91,709 |
68,107 |
|||||||||
| Gain (loss) on deconsolidation | (256 | ) | 47,846 | - | ||||||||
| Gains (losses) on Extinguishment of Debt | (5,930 | ) | (2,184 | ) | - | |||||||
| Realized losses on principal write-downs of Non-Agency RMBS | - | - | (18,316 | ) | ||||||||
| Total other gains (losses) | (202,182 | ) | 144,557 | 32,170 | ||||||||
| Other expenses: | ||||||||||||
| Management fees | 24,609 | 32,514 | 25,952 | |||||||||
| Expense recoveries from Manager | (6,906 | ) | (8,936 | ) | (6,788 | ) | ||||||
| Net management fees | 17,703 | 23,578 | 19,164 | |||||||||
| Provision for loan losses, net | - | (232 | ) | (1,799 | ) | |||||||
| Compensation and benefits | 10,544 | - | - | |||||||||
| General and administrative expenses | 31,633 | 20,403 | 14,085 | |||||||||
| Servicing Fees of consolidated VIEs | 25,244 | 10,004 | 2,649 | |||||||||
| Deal Expenses | 8,272 | 1,398 | - | |||||||||
| Other (income) expense | - | (23,783 | ) | - | ||||||||
| Total other expenses | 93,396 | 31,368 | 34,099 | |||||||||
| Income (loss) before income taxes | 250,350 | 589,207 | 362,688 | |||||||||
| Income taxes | 1 | 2 | 2 | |||||||||
| Net income (loss) | $ | 250,349 | $ | 589,205 | $ | 362,686 | ||||||
| Net income (loss) per share available to common shareholders: | ||||||||||||
| Basic | $ | 1.25 | $ | 2.87 | $ | 1.77 | ||||||
| Diluted | $ | 1.25 | $ | 2.87 | $ | 1.76 | ||||||
| Weighted average number of common shares outstanding: | ||||||||||||
| Basic | 199,563,196 | 205,450,095 | 205,418,876 | |||||||||
| Diluted | 199,650,177 | 205,508,769 | 205,514,069 | |||||||||
| Comprehensive income (loss): | ||||||||||||
| Net income (loss) | $ | 250,349 | $ | 589,205 | $ | 362,686 | ||||||
| Other comprehensive income: | ||||||||||||
| Unrealized gains (losses) on available-for-sale securities, net | (263,049 | ) | 134,113 | 23,807 | ||||||||
| Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 67,444 | 63,992 | 45,167 | |||||||||
| Reclassification adjustment for net realized losses (gains) included in net income | (77,284 | ) | (94,382 | ) | (68,107 | ) | ||||||
| Reclassification adjustment for gain on deconsolidation included in net income | - | (47,846 | ) | - | ||||||||
| Other comprehensive income (loss) | (272,889 | ) | 55,877 | 867 | ||||||||
| Comprehensive income (loss) | $ | (22,540 | ) | $ | 645,082 | $ | 363,553 | |||||
|
(1) |
Includes interest income of consolidated VIEs of $575,715, $428,992 and $371,559 for the years ended December 31, 2015, 2014, and 2013 respectively. See Note 8 for further discussion. |
||
|
(2) |
Includes interest expense of consolidated VIEs of $191,922, $119,103 and $95,229 for the years ended December 31, 2015, 2014, and 2013 respectively. See Note 8 for further discussion. |
||
|
|
|||
| CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (LOSS) | ||||||||||||||||
| (dollars in thousands, except share and per share data) | ||||||||||||||||
| (unaudited) | ||||||||||||||||
| For the Quarter Ended | ||||||||||||||||
| December 31, 2015 | September 30, 2015 | June 30, 2015 | March 31, 2015 | |||||||||||||
| (dollars in thousands, except per share data) | ||||||||||||||||
| Net Interest Income: | ||||||||||||||||
| Interest income | $ | 201,912 | $ | 211,876 | $ | 215,804 | $ | 243,145 | ||||||||
| Interest expense | 64,955 | 67,910 | 66,044 | 60,456 | ||||||||||||
| Net interest income | 136,957 | 143,966 | 149,760 | 182,689 | ||||||||||||
| Other-than-temporary impairments: | ||||||||||||||||
| Total other-than-temporary impairment losses | (2,311 | ) | (3,129 | ) | (2,208 | ) | (1,052 | ) | ||||||||
| Portion of loss recognized in other comprehensive income | (12,385 | ) | (14,703 | ) | (24,893 | ) | (6,763 | ) | ||||||||
| Net other-than-temporary credit impairment losses | (14,696 | ) | (17,832 | ) | (27,101 | ) | (7,815 | ) | ||||||||
| Net gains (losses) on derivatives | 44,546 | (92,700 | ) | 40,127 | (106,610 | ) | ||||||||||
| Net unrealized gains (losses) on financial instruments at fair value | (69,793 | ) | (40,955 | ) | (37,260 | ) | (10,425 | ) | ||||||||
| Gain (loss) on deconsolidation | (256 | ) | - | - | - | |||||||||||
| Gain (loss) on Extinguishment of Debt | 8,906 | (19,915 | ) | 5,079 | - | |||||||||||
| Net realized gains (losses) on sales of investments | 34,285 | 3,539 | 9,685 | 29,565 | ||||||||||||
| Total other expenses | 24,569 | 24,362 | 24,103 | 20,362 | ||||||||||||
| Net income | $ | 115,380 | $ | (48,259 | ) | $ | 116,187 | $ | 67,042 | |||||||
| Net income per share-basic | $ | 0.61 | $ | (0.24 | ) | $ | 0.57 | $ | 0.33 | |||||||
| For the Quarter Ended | ||||||||||||||||
| December 31, 2014 | September 30, 2014 | June 30, 2014 | March 31, 2014 | |||||||||||||
| (dollars in thousands, except per share data) | ||||||||||||||||
| Net Interest Income: | ||||||||||||||||
| Interest income | $ | 242,455 | $ | 190,355 | $ | 134,318 | $ | 120,667 | ||||||||
| Interest expense | 65,794 | 38,886 | 20,680 | 22,425 | ||||||||||||
| Net interest income | 176,661 | 151,469 | 113,638 | 98,242 | ||||||||||||
| Other-than-temporary impairments: | ||||||||||||||||
| Total other-than-temporary impairment losses | (3,774 | ) | (726 | ) | (3,813 | ) | (400 | ) | ||||||||
| Portion of loss recognized in other comprehensive income | (51,347 | ) | (1,264 | ) | (1,534 | ) | (1,134 | ) | ||||||||
| Net other-than-temporary credit impairment losses | (55,121 | ) | (1,990 | ) | (5,347 | ) | (1,534 | ) | ||||||||
| Net gains (losses) on derivatives | (125,936 | ) | (10,177 | ) | (42,289 | ) | (7,946 | ) | ||||||||
| Net unrealized gains (losses) on financial instruments at fair value | 9,812 | 162,921 | 5,791 | 15,010 | ||||||||||||
| Gain of deconsolidation | - | - | 47,846 | - | ||||||||||||
| Loss on Extinguishment of Debt | - | - | - | (2,184 | ) | |||||||||||
| Net realized gains (losses) on sales of investments | 23,564 | 64,107 | (4,339 | ) | 8,377 | |||||||||||
| Total other expenses | 22,494 | (11,250 | ) | 10,531 | 9,597 | |||||||||||
| Net income | $ | 6,486 | $ | 377,580 | $ | 104,769 | $ | 100,368 | ||||||||
| Net income per share-basic | $ | 0.03 | $ | 1.85 | $ | 0.50 | $ | 0.49 | ||||||||
Core earnings
Core earnings is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains on the aggregate portfolio, impairment losses, realized gains on sales of investments, realized gains or losses on futures, realized gains or losses on swap terminations, gain on deconsolidation, extinguishment of debt and certain other non-recurring gains or losses. As defined, core earnings include interest income and expense as well as realized losses on interest rate swaps used to hedge interest rate risk. Core earnings are provided for the purpose of comparability to other peer issuers, but have important limitations. Core earnings as described above helps evaluate our financial performance without the impact of certain transactions and is of limited usefulness as an analytical tool. Therefore, core earnings should not be viewed in isolation and is not a substitute for net income or net income per basic share computed in accordance with GAAP.
The following table provides GAAP measures of net income and net income per basic share available to common stockholders for the years ended December 31, 2015, 2014, and 2013 and details with respect to reconciling the line items to core earnings and related per average basic common share amounts:
| For the Year Ended | ||||||||||||||||||||
| December 31, 2015 | December 31, 2014 | December 31, 2013 | ||||||||||||||||||
| (dollars in thousands, except per share data) | ||||||||||||||||||||
| GAAP Net income | $ | 250,349 | $ | 589,205 | $ | 362,686 | ||||||||||||||
| Adjustments: | ||||||||||||||||||||
| Net other-than-temporary credit impairment losses | 67,444 | 63,992 | 45,167 | |||||||||||||||||
| Net unrealized (gains) losses on derivatives | (67,385 | ) | 103,496 | (34,369 | ) | |||||||||||||||
| Net unrealized (gains) losses on financial instruments at fair value | 158,433 | (193,534 | ) | 44,277 | ||||||||||||||||
| Net realized (gains) losses on sales of investments | (77,074 | ) | (91,709 | ) | (68,107 | ) | ||||||||||||||
| (Gains) losses on extinguishment of debt | 5,930 | 2,184 | - | |||||||||||||||||
| Realized (gains) losses on terminations of interest rate swaps | 98,949 | - | - | |||||||||||||||||
| Net realized (gains) losses on derivatives | 35,523 | 38,552 | (2,029 | ) | ||||||||||||||||
| Total other (gains) losses | 256 | (71,629 | ) | - | ||||||||||||||||
| Core Earnings | $ | 472,425 | $ | 440,557 | $ | 347,625 | ||||||||||||||
| GAAP net income per basic common share | $ | 1.25 | $ | 2.87 | $ | 1.77 | ||||||||||||||
| Core earnings per basic common share | $ | 2.37 | $ | 2.14 | $ | 1.69 | ||||||||||||||
| For the Quarter Ended | ||||||||||||||||||||
| December 31, 2015 | September 30, 2015 | June 30, 2015 | March 31, 2015 | December 31, 2014 | ||||||||||||||||
| (dollars in thousands, except per share data) | ||||||||||||||||||||
| GAAP Net income | $ | 115,380 | $ | (48,259 | ) | $ | 116,187 | $ | 67,041 | $ | 6,485 | |||||||||
| Adjustments: | ||||||||||||||||||||
| Net other-than-temporary credit impairment losses | 14,696 | 17,832 | 27,101 | 7,815 | 55,122 | |||||||||||||||
| Net unrealized (gains) losses on derivatives | (46,842 | ) | 71,540 | (88,028 | ) | (4,055 | ) | 91,777 | ||||||||||||
| Net unrealized (gains) losses on financial instruments at fair value | 69,793 | 40,955 | 37,260 | 10,425 | (9,812 | ) | ||||||||||||||
| Net realized (gains) losses on sales of investments | (34,285 | ) | (3,539 | ) | (9,685 | ) | (29,565 | ) | (23,564 | ) | ||||||||||
| (Gains) losses on extinguishment of debt | (8,906 | ) | 19,915 | (5,079 | ) | - | - | |||||||||||||
| Realized (gains) losses on terminations of interest rate swaps | (754 | ) | - | 31,124 | 68,579 | - | ||||||||||||||
| Net realized (gains) losses on derivatives | (9,018 | ) | 9,309 | 7,778 | 27,454 | 17,523 | ||||||||||||||
| Total other (gains) losses | 256 | - | - | - | - | |||||||||||||||
| Core Earnings | $ | 100,320 | $ | 107,753 | $ | 116,658 | $ | 147,694 | $ | 137,531 | ||||||||||
| GAAP net income per basic common share | $ | 0.61 | $ | (0.24 | ) | $ | 0.57 | $ | 0.33 | $ | 0.03 | |||||||||
| Core earnings per basic common share | $ | 0.53 | $ | 0.54 | $ | 0.57 | $ | 0.72 | $ | 0.67 | ||||||||||
| Note - The Company has excluded the impact of realized gains and losses on treasury futures in core earnings. For the years ended 2015, 2014 and 2013 the Company had a realized loss of $36 million, a realized loss of $39 million and a realized gain of $2 million, respectively on its treasury futures. Realized gains and losses on futures are the costs the Company has incurred on its futures portfolio. |
The following tables provide a summary of the Company’s RMBS portfolio at December 31, 2015 and 2014.
| December 31, 2015 | |||||||||||||
|
Principal or |
Weighted |
Weighted |
Weighted |
Weighted |
|||||||||
| Non-Agency RMBS | |||||||||||||
| Senior | $ | 3,651,869 | $ | 57.47 | $ | 77.39 | 3.8% | 13.7% | |||||
| Senior, interest-only | 5,426,029 | 4.95 | 4.32 | 1.7% | 12.9% | ||||||||
| Subordinated | 762,466 | 69.25 | 79.26 | 3.2% | 8.8% | ||||||||
| Subordinated, interest-only | 284,931 | 5.34 | 3.95 | 1.2% | 10.9% | ||||||||
| Agency MBS | |||||||||||||
| Residential pass-through | 5,045,418 | 105.07 | 104.41 | 3.7% | 2.8% | ||||||||
| Commercial pass-through | 952,091 | 102.27 | 102.28 | 3.4% | 2.9% | ||||||||
| Interest-only | 6,722,472 | 4.17 | 4.06 | 0.8% | 3.4% | ||||||||
| (1) Bond Equivalent Yield at period end. | |||||||||||||
| December 31, 2014 | |||||||||||||
|
Principal or |
Weighted |
Weighted |
Weighted |
Weighted |
|||||||||
| Non-Agency RMBS | |||||||||||||
| Senior | $ | 3,435,362 | $ | 55.09 | $ | 79.63 | 4.3% | 15.9% | |||||
| Senior, interest-only | 5,221,937 | 4.35 | 3.97 | 1.6% | 14.4% | ||||||||
| Subordinated | 690,599 | 50.18 | 65.79 | 3.1% | 10.6% | ||||||||
| Subordinated, interest-only | 216,403 | 4.43 | 3.14 | 0.9% | 9.2% | ||||||||
| Agency MBS | |||||||||||||
| Pass-through | 7,774,266 | 104.96 | 106.19 | 4.0% | 3.2% | ||||||||
| Interest-only | 3,884,523 | 4.89 | 4.79 | 0.9% | 3.1% | ||||||||
| (1) Bond Equivalent Yield at period end. | |||||||||||||
At December 31, 2015 and 2014, the repurchase agreements collateralized by RMBS had the following remaining maturities.
| December 31, 2015 | December 31, 2014 | |||||
| (dollars in thousands) | ||||||
| Overnight | $ | - | $ | - | ||
| 1 to 29 days | 3,312,902 | 2,652,717 | ||||
| 30 to 59 days | 2,501,513 | 1,371,856 | ||||
| 60 to 89 days | 246,970 | 656,915 | ||||
| 90 to 119 days | 430,026 | 2,068,740 | ||||
| Greater than or equal to 120 days | 947,928 | 1,705,153 | ||||
| Total | $ | 7,439,339 | $ | 8,455,381 | ||
The following table summarizes certain characteristics of our portfolio at December 31, 2015 and 2014.
| December 31, 2015 | December 31, 2014 | |||||||
| Interest earning assets at period-end (1) | $ | 14,959,081 | $ | 17,170,998 | ||||
| Interest bearing liabilities at period-end | $ | 11,689,250 | $ | 13,550,659 | ||||
| Leverage at period-end | 4.0:1 | 3.8:1 | ||||||
| Leverage at period-end (recourse) | 2.7:1 | 2.6:1 | ||||||
| Portfolio Composition, at amortized cost | ||||||||
| Non-Agency RMBS | 10.4 | % | 5.1 | % | ||||
| Senior | 4.7 | % | 1.5 | % | ||||
| Senior, interest only | 1.9 | % | 1.4 | % | ||||
| Subordinated | 3.7 | % | 2.2 | % | ||||
| Subordinated, interest only | 0.1 | % | 0.1 | % | ||||
| RMBS transferred to consolidated VIEs | 10.1 | % | 10.3 | % | ||||
| Agency MBS | 46.0 | % | 52.1 | % | ||||
| Residential | 37.2 | % | 50.9 | % | ||||
| Commercial | 6.8 | % | N/A | |||||
| Interest-only | 2.0 | % | 1.2 | % | ||||
| Securitized loans held for investment | 33.5 | % | 32.5 | % | ||||
| Fixed-rate percentage of portfolio | 84.7 | % | 92.5 | % | ||||
| Adjustable-rate percentage of portfolio | 15.3 | % | 7.5 | % | ||||
| Annualized yield on average interest earning assets for the year ended | 6.0 | % | 6.9 | % | ||||
| Annualized cost of funds on average borrowed funds for the year ended (2) | 2.5 | % | 2.5 | % | ||||
| (1) Excludes cash and cash equivalents. | ||||||||
| (2) Includes the effect of realized losses on interest rate swaps. | ||||||||
Economic Book Value
The table below presents our estimated economic book value. We calculate and disclose this non-GAAP measurement because we believe it represents an estimate of the fair value of the assets we own or are able to dispose of, pledge, or otherwise monetize. The estimated economic book value should not be viewed in isolation and is not a substitute for book value computed in accordance with GAAP.
| December 31, 2015 | ||||||||||
| (dollars in thousands, except per share data) | ||||||||||
| GAAP Book Value | $ | 2,946,188 | ||||||||
| GAAP Book Value per Share | $ | 15.70 | ||||||||
|
Economic Adjustments: |
||||||||||
| Assets of Consolidated VIEs | (6,908,910 | ) | ||||||||
| Non-Recourse Liabilities of Consolidated VIEs | 4,249,911 | |||||||||
| Interests in VIEs eliminated in consolidation | 2,462,713 | |||||||||
| Total Adjustments - Net | (196,286 | ) | ||||||||
| Total Adjustments - Net (per share) | 1.05 | |||||||||
| Economic Book Value | $ | 2,749,902 | ||||||||
| Economic Book Value per Share | $ | 14.65 | ||||||||
| December 31, 2014 | ||||||||||
| (dollars in thousands, except per share data) | ||||||||||
| GAAP Book Value | $ | 3,607,690 | ||||||||
| GAAP Book Value per Share | $ | 17.55 | ||||||||
|
Economic Adjustments: |
||||||||||
| Assets of Consolidated VIEs | (7,798,794 | ) | ||||||||
| Non-Recourse Liabilities of Consolidated VIEs | 5,095,278 | |||||||||
| Interests in VIEs eliminated in consolidation | 2,367,953 | |||||||||
| Total Adjustments - Net | (335,563 | ) | ||||||||
| Total Adjustments - Net (per share) | 1.63 | |||||||||
| Economic Book Value | $ | 3,272,127 | ||||||||
| Economic Book Value per Share | $ | 15.92 | ||||||||
The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods presented.
| For the Year Ended | ||||||||||||||||||
| December 31, 2015 | December 31, 2014 | |||||||||||||||||
| (dollars in thousands) | ||||||||||||||||||
|
Average
Balance |
Interest |
Average
Yield/Cost |
Average
Balance |
Interest |
Average
Yield/Cost |
|||||||||||||
|
Assets: |
||||||||||||||||||
| Interest-earning assets (1): | ||||||||||||||||||
| Agency RMBS | $ | 6,569,743 | $ | 192,501 | 2.9 | % | $ | 5,222,882 | $ | 180,206 | 3.5 | % | ||||||
| Non-Agency RMBS | 1,274,344 | 105,647 | 8.3 | % | 801,547 | 78,577 | 9.8 | % | ||||||||||
| Non-Agency RMBS transferred to consolidated VIEs | 1,554,681 | 266,141 | 17.1 | % | 1,867,986 | 295,475 | 15.8 | % | ||||||||||
| Jumbo Prime securitized residential mortgage loans held for investment | 540,156 | 21,913 | 4.1 | % | 720,965 | 30,010 | 4.2 | % | ||||||||||
| Seasoned sub-prime securitized residential mortgage loans held for investment | 4,527,246 | 287,661 | 6.4 | % | 1,419,155 | 103,505 | 7.3 | % | ||||||||||
|
Total |
$ | 14,466,170 | $ | 873,863 | 6.0 | % | $ | 10,032,535 | $ | 687,773 | 6.9 | % | ||||||
|
Liabilities and stockholders' equity: |
||||||||||||||||||
| Interest-bearing liabilities: | ||||||||||||||||||
| Agency repurchase agreements (2) | $ | 5,776,980 | $ | 77,975 | 1.3 | % | $ | 4,749,283 | $ | 71,569 | 1.5 | % | ||||||
| Non-Agency repurchase agreements | 1,627,909 | 36,694 | 2.3 | % | 444,599 | 9,634 | 2.2 | % | ||||||||||
| Securitized debt, collateralized by Non-Agency RMBS | 620,611 | 35,282 | 5.7 | % | 799,473 | 53,367 | 6.7 | % | ||||||||||
| Securitized debt, collateralized by jumbo prime residential mortgage loans | 431,179 | 16,766 | 3.9 | % | 720,965 | 21,602 | 3.0 | % | ||||||||||
| Securitized debt, collateralized by seasoned sub-prime residential mortgage loans | 3,734,069 | 137,658 | 3.7 | % | 1,174,682 | 44,134 | 3.8 | % | ||||||||||
|
Total |
$ | 12,190,748 | $ | 304,375 | 2.5 | % | $ | 7,889,002 | $ | 200,306 | 2.5 | % | ||||||
|
Net economic interest income/net interest rate spread |
$ | 569,488 | 3.5 | % | $ | 487,467 | 4.4 | % | ||||||||||
|
Net interest-earning assets/net interest margin |
$ | 2,275,422 | 3.9 | % | $ | 2,143,533 | 4.9 | % | ||||||||||
|
Ratio of interest-earning assets to interest bearing liabilities |
1.19 | 1.27 | ||||||||||||||||
|
(1) Interest-earning assets at amortized cost |
||||||||||||||||||
|
(2) Interest includes periodic cash settlements on swaps |
||||||||||||||||||
| For the Quarter Ended | ||||||||||||||||||
| December 31, 2015 | December 31, 2014 | |||||||||||||||||
| (dollars in thousands) | ||||||||||||||||||
|
Average
Balance |
Interest |
Average
Yield/Cost |
Average
Balance |
Interest |
Average
Yield/Cost |
|||||||||||||
|
Assets: |
||||||||||||||||||
| Interest-earning assets (1): | ||||||||||||||||||
| Agency RMBS | $ | 5,967,169 | $ | 37,762 | 2.5 | % | $ | 7,898,850 | $ | 70,884 | 3.6 | % | ||||||
| Non-Agency RMBS | 1,452,460 | 27,993 | 7.7 | % | 810,882 | 16,786 | 8.3 | % | ||||||||||
| Non-Agency RMBS transferred to consolidated VIEs | 1,465,966 | 64,045 | 17.5 | % | 1,697,510 | 70,058 | 16.5 | % | ||||||||||
| Jumbo Prime securitized residential mortgage loans held for investment | 474,543 | 3,688 | 3.1 | % | 666,017 | 8,564 | 5.1 | % | ||||||||||
| Seasoned sub-prime securitized residential mortgage loans held for investment | 4,522,426 | 68,411 | 6.1 | % | 4,612,214 | 76,153 | 6.6 | % | ||||||||||
|
Total |
$ | 13,882,564 | $ | 201,899 | 5.8 | % | $ | 15,685,473 | $ | 242,445 | 6.2 | % | ||||||
|
Liabilities and stockholders' equity: |
||||||||||||||||||
| Interest-bearing liabilities: | ||||||||||||||||||
| Agency repurchase agreements (2) | $ | 5,296,934 | $ | 20,045 | 1.5 | % | $ | 7,215,664 | $ | 25,533 | 1.4 | % | ||||||
| Non-Agency repurchase agreements | 2,095,149 | 12,677 | 2.4 | % | 1,032,058 | 5,695 | 2.2 | % | ||||||||||
| Securitized debt, collateralized by Non-Agency RMBS | 550,634 | 8,171 | 5.9 | % | 723,905 | 13,808 | 7.6 | % | ||||||||||
| Securitized debt, collateralized by jumbo prime residential mortgage loans | 368,975 | 3,041 | 3.3 | % | 547,370 | 4,541 | 3.3 | % | ||||||||||
| Securitized debt, collateralized by seasoned sub-prime residential mortgage loans | 3,601,921 | 32,693 | 3.6 | % | 3,817,717 | 33,895 | 3.6 | % | ||||||||||
|
Total |
$ | 11,913,613 | $ | 76,627 | 2.6 | % | $ | 13,336,714 | $ | 83,472 | 2.5 | % | ||||||
|
Net economic interest income/net interest rate spread |
$ | 125,272 | 3.2 | % | $ | 158,973 | 3.7 | % | ||||||||||
|
Net interest-earning assets/net interest margin |
$ | 1,968,951 | 3.6 | % | $ | 2,348,761 | 4.1 | % | ||||||||||
|
|
||||||||||||||||||
|
Ratio of interest-earning assets to interest bearing liabilities |
1.17 | 1.18 | ||||||||||||||||
|
(1) Interest-earning assets at amortized cost |
||||||||||||||||||
|
(2) Interest includes periodic cash settlements on swaps |
||||||||||||||||||
The table below shows our economic net interest income, realized gains (losses) on sale of assets and the credit related OTTI, realized and unrealized gains (losses) on interest rate swaps and IOs, total management fee and G&A expenses, and income tax, each as a percentage of average equity, and the return on average equity for the periods presented.
|
Economic Net Interest |
Realized Gains (Losses) |
Realized and Unrealized Gains |
Total Management Fee, |
Return on Average Equity | ||||||
| (Ratios have been annualized) | ||||||||||
| For The Year Ended December 31, 2015 | 15.70% | (0.01%) | (1.42%) | (2.05%) | 11.58% | |||||
| For The Year Ended December 31, 2014 | 14.06% | 17.67% | (1.83%) | (1.60%) | 16.99% | |||||
| For The Year Ended December 31, 2013 | 11.70% | 0.72% | (0.29%) | (1.04%) | 10.55% | |||||
| For The Quarter Ended December 31, 2015 | 14.98% | 1.27% | (1.54%) | (2.45%) | 33.02% | |||||
| For The Quarter Ended September 30, 2015 | 15.05% | (1.74%) | 5.72% |
(2.18%) |
(5.89%) | |||||
| For The Quarter Ended June 30, 2015 | 15.06% | (2.00%) | 3.55% |
(2.04%) |
13.64% | |||||
| For The Quarter Ended March 31, 2015 | 17.06% | 2.44% | (8.96%) |
(1.57%) |
7.52% | |||||
| * Includes effect of realized losses on interest rate swaps. | ||||||||||
The following table presents changes to Accretable Discount and Non-Accretable Difference as it pertains to our entire Non-Agency RMBS portfolio for assets with purchase discounts during the previous five quarters.
| For the Quarters Ended | ||||||||||||||||||||
| December 31, 2015 | September 30, 2015 | June 30, 2015 | March 31, 2015 | December 31, 2014 | ||||||||||||||||
| (dollars in thousands) | ||||||||||||||||||||
| Accretable Discount | ||||||||||||||||||||
| Balance, beginning of period | $ | 1,003,385 | $ | 1,035,492 | $ | 990,332 | $ | 987,861 | $ | 977,042 | ||||||||||
| Accretion of discount | (43,520 | ) | (41,498 | ) | (41,302 | ) | (44,350 | ) | (44,165 | ) | ||||||||||
| Purchases | 1,845 | 6,194 | 28,894 | 80,712 | 2,636 | |||||||||||||||
| Sales and deconsolidation | (35,144 | ) | (22,645 | ) | (1,458 | ) | (29,147 | ) | (1,977 | ) | ||||||||||
| Transfers from/(to) credit reserve, net | 27,882 | 25,842 | 59,026 | (4,744 | ) | 54,325 | ||||||||||||||
| Balance, end of period | $ | 954,448 | $ | 1,003,385 | $ | 1,035,492 | $ | 990,332 | $ | 987,861 | ||||||||||
| For the Quarters Ended | ||||||||||||||||||||
| December 31, 2015 | September 30, 2015 | June 30, 2015 | March 31, 2015 | December 31, 2014 | ||||||||||||||||
| (dollars in thousands) | ||||||||||||||||||||
| Non-Accretable Difference | ||||||||||||||||||||
| Balance, beginning of period | $ | 879,440 | $ | 1,001,560 | $ | 947,202 | $ | 908,927 | $ | 933,668 | ||||||||||
| Principal Writedowns | (27,064 | ) | (32,587 | ) | (34,261 | ) | (39,955 | ) | (37,044 | ) | ||||||||||
| Purchases | 27,855 | 13,279 | 121,253 | 80,712 | 2,636 | |||||||||||||||
| Sales and deconsolidation | (29,347 | ) | (94,802 | ) | (709 | ) | (15,041 | ) | - | |||||||||||
| Net other-than-temporary credit impairment losses | 14,716 | 17,832 | 27,101 | 7,815 | 63,992 | |||||||||||||||
| Transfers to/(from) credit reserve, net | (27,882 | ) | (25,842 | ) | (59,026 | ) | 4,744 | (54,325 | ) | |||||||||||
| Balance, end of period | $ | 837,718 | $ | 879,440 | $ | 1,001,560 | $ | 947,202 | $ | 908,927 | ||||||||||
Disclaimer
The information contained in this press release is based on various assumptions (some of which are beyond the control of Chimera Investment Corporation, the “Company”) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may,” “would,” “projected,” “will” or similar expressions, or variations on those terms or the negative of those terms. The Company’s forward-looking statements are subject to numerous risks, uncertainties and other factors. Furthermore, none of the financial information contained in this material has been audited or approved by the Company’s independent registered public accounting firm.