- 1st QUARTER 2016 CORE EARNINGS(1) OF
$0.58 PER SHARE AND GAAP EARNINGS OF $0.44 PER SHARE
- ECONOMIC BOOK VALUE(1) OF $14.46 PER
SHARE AND GAAP BOOK VALUE OF $15.52 PER SHARE
- BOARD DECLARES SECOND QUARTER 2016
DIVIDEND OF $0.48 PER SHARE; EXPECTS TO MAINTAIN A $0.48 DIVIDEND
FOR THE REMAINING TWO QUARTERS OF 2016
The Board of Directors of Chimera announced the declaration of
its second quarter cash dividend of $0.48 per common share. The
dividend is payable July 29, 2016, to common stockholders of
record on June 30, 2016. The ex-dividend date is June 28,
2016. The Board of Directors also announced that it expects to
maintain a quarterly cash dividend of $0.48 per common share for
the third and fourth quarters of 2016.
The Company distributes dividends based on its current estimate
of taxable earnings per common share, not GAAP earnings.
Taxable and GAAP earnings will typically differ due to items
such as differences in premium amortization, accretion of
discounts, unrealized and realized gains and losses, and
credit loss recognition. Portions of the dividend may be
ordinary income, capital gains or a return of capital.
(1) Core earnings and economic book value are non-GAAP measures.
See additional discussion on page 4.
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) (Unaudited) March 31, 2016
December 31, 2015
Assets:
Cash and cash equivalents
$ 190,453 $ 114,062 Non-Agency RMBS, at fair value 3,580,250
3,675,841 Agency MBS, at fair value 6,661,289 6,514,824 Securitized
loans held for investment, at fair value 4,613,492 4,768,416
Accrued interest receivable 65,053 66,247 Other assets 190,855
189,796 Derivatives, at fair value, net
5,565 15,460 Total assets (1)
$ 15,306,957 $ 15,344,646
Liabilities: Repurchase agreements, MBS ($8.9
billion and $8.8 billion pledged as collateral, respectively) $
7,545,631 $ 7,439,339 Securitized debt, collateralized by
Non-Agency RMBS ($2.0 billion and $2.1 billion pledged as
collateral, respectively) 492,107 529,415 Securitized debt at fair
value, collateralized by loans held for investment ($4.6 billion
and $4.8 billion pledged as collateral, respectively) 3,617,294
3,720,496 Payable for investments purchased 582,875 560,641 Accrued
interest payable 45,873 37,432 Dividends payable 90,367 90,097
Accounts payable and other liabilities 5,594 11,404 Derivatives, at
fair value 13,581
9,634 Total liabilities (1)
12,393,322 12,398,458
Commitments and Contingencies
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, 187,729,765 and 187,711,868
shares issued and outstanding, respectively 1,877 1,877 Additional
paid-in-capital 3,366,670 3,366,568 Accumulated other comprehensive
income 842,265 773,791 Accumulated deficit
(1,297,177 ) (1,196,048 ) Total
stockholders' equity $ 2,913,635
$ 2,946,188 Total liabilities and stockholders'
equity $ 15,306,957 $
15,344,646
(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 March 31, 2016 and December 31, 2015, total assets of
consolidated VIEs were $6,795,923 and $7,031,278, respectively, and
total liabilities of consolidated VIEs were $4,121,346 and
$4,262,017, respectively.
CHIMERA INVESTMENT
CORPORATION CONSOLIDATED STATEMENTS OF OPERATIONS AND
COMPREHENSIVE INCOME (dollars in thousands, except share and
per share data) (Unaudited) For the Quarter Ended
Net
Interest Income: March 31, 2016 March 31, 2015
Interest income (1) $ 201,194 $ 243,145 Interest expense (2)
62,981 60,456
Net interest income 138,213
182,689
Other-than-temporary impairments: Total other-than-temporary
impairment losses (4,423 ) (1,052 ) Portion of loss recognized in
other comprehensive income (6,255 )
(6,763 ) Net other-than-temporary credit
impairment losses (10,678 )
(7,815 )
Other investment gains
(losses): Net unrealized gains (losses) on derivatives (101,110
) 4,055 Realized gains (losses) on terminations of interest rate
swaps (458 ) (68,579 ) Net realized gains (losses) on derivatives
(34,969 ) (42,086
)
Net gains (losses) on derivatives
(136,537 ) (106,610 ) Net unrealized
gains (losses) on financial instruments at fair value 16,871
(10,425 ) Net realized gains (losses) on sales of investments
(2,674 ) 29,565 Gains (losses) on Extinguishment of Debt
(1,766 ) - Total
other gains (losses) (124,106 )
(87,470 )
Other income: Other income
95,000 -
Total other income 95,000
-
Other expenses:
Management fees - 10,326 Expense recoveries from Manager
- (1,113 ) Net
management fees -
9,213 Compensation and benefits 5,222 471
General and administrative expenses 4,503 4,290 Servicing Fees of
consolidated VIEs 5,577
6,388 Total other expenses
15,302 20,362
Income (loss) before income taxes 83,127 67,042
Income taxes 29
1
Net income (loss) $
83,098 $ 67,041
Net income
(loss) per share available to common shareholders:
Basic 0.44
$ 0.33 Diluted $ 0.44
$ 0.33
Weighted average number of common
shares outstanding:
Basic
187,723,472 205,527,476
Diluted 187,840,182
205,566,956
Comprehensive income
(loss): Net income (loss) $ 83,098 $ 67,041 Other comprehensive
income: Unrealized gains (losses) on available-for-sale securities,
net 59,408 (19,912 )
Reclassification adjustment for net losses
included in netincome for other-than-temporary credit impairment
losses
10,678 7,815
Reclassification adjustment for net
realized losses (gains) includedin net income
(1,612 ) (29,076 )
Other comprehensive income (loss)
68,474 (41,173 ) Comprehensive income
(loss) $ 151,572 $ 25,868
(1) Includes interest income of
consolidated VIEs of $131,980 and $150,618 for the quarters ended
March 31, 2016 and 2015 respectively.
(2) Includes interest expense of
consolidated VIEs of $39,250 and $46,753 for the quarters ended
March 31, 2016 and 2015 respectively.
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
periods presented and details with respect to reconciling the line
items to core earnings and related per average basic common share
amounts:
For the Quarters Ended March 31, 2016 December 31,
2015 September 30, 2015 June 30, 2015 March 31, 2015 (dollars in
thousands, except per share data)
GAAP Net income $ 83,098
$ 115,380 $ (48,259 )
$ 116,187 $ 67,041
Adjustments: Net other-than-temporary credit impairment losses
10,678 14,696 17,832 27,101 7,815 Net unrealized (gains) losses on
derivatives 101,110 (46,842 ) 71,540 (88,028 ) (4,055 ) Net
unrealized (gains) losses on financial instruments at fair value
(16,871 ) 69,793 40,955 37,260 10,425 Net realized (gains) losses
on sales of investments 2,674 (34,285 ) (3,539 ) (9,685 ) (29,565 )
(Gains) losses on extinguishment of debt 1,766 (8,906 ) 19,915
(5,079 ) - Realized (gains) losses on terminations of interest rate
swaps 458 (754 ) - 31,124 68,579 Net realized (gains) losses on
derivatives 21,609 (9,018 ) 9,309 7,778 27,454 Total other (gains)
losses - 256 - - - Other income (95,000 )
- -
- - Core Earnings $ 109,522
$ 100,320 $ 107,753
$ 116,658 $ 147,694
GAAP net income per basic
common share $ 0.44 $ 0.61
$ (0.24 ) $ 0.57 $ 0.33
Core earnings per basic common share $ 0.58
$ 0.53 $ 0.54 $
0.57 $ 0.72
The following tables provide a summary of the Company’s RMBS
portfolio at March 31, 2016 and December 31, 2015.
March 31, 2016
Principal orNotional Valueat
Period-End(dollarsin thousands)
WeightedAverageAmortizedCost Basis
WeightedAverage FairValue
WeightedAverageCoupon
WeightedAverageYield atPeriod-End(1)
Non-Agency RMBS Senior $ 3,572,750 $ 57.57 $ 76.87 3.9% 14.3%
Senior, interest-only 5,343,042 5.04 4.51 1.7% 12.5% Subordinated
735,699 69.18 79.24 3.2% 10.1% Subordinated, interest-only 279,620
5.34 3.52 1.2% 12.5% Agency MBS Residential pass-through 5,063,355
104.91 105.79 3.7% 2.7% Commercial pass-through 1,072,937 102.31
104.90 3.5% 2.9% Interest-only 4,011,154 4.63 4.46 0.9% 3.7%
(1) Bond Equivalent Yield at period end.
December 31, 2015
Principal orNotional Valueat
Period-End(dollars inthousands)
WeightedAverageAmortizedCost Basis
WeightedAverage FairValue
WeightedAverageCoupon
WeightedAverageYield atPeriod-End(1)
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.
At March 31, 2016 and December 31, 2015, the repurchase
agreements collateralized by RMBS had the following remaining
maturities.
March 31, 2016 December
31, 2015 (dollars in thousands)
Overnight $ - $ - 1 to 29 days 2,984,870 3,312,902 30 to 59 days
2,411,954 2,501,513 60 to 89 days 277,324 246,970 90 to 119 days
777,051 430,026 Greater than or equal to 120 days
1,094,432 947,928 Total
$ 7,545,631 $ 7,439,339
The following table summarizes certain characteristics of our
portfolio at March 31, 2016 and December 31, 2015.
For the
quarter ended, For the year ended,
March 31, 2016 December 31, 2015
Interest earning assets at period-end (1) $ 14,855,031 $
14,959,081 Interest bearing liabilities at period-end $ 11,655,032
$ 11,689,250 GAAP Leverage at period-end 4.0:1 4.0:1 GAAP Leverage
at period-end (recourse) 2.6:1 2.5:1 Economic Leverage at
period-end (recourse) 2.8:1 2.7:1 Portfolio Composition, at
amortized cost Non-Agency RMBS 10.3 % 10.4 % Senior 4.7 % 4.7 %
Senior, interest only 1.9 % 1.9 % Subordinated 3.6 % 3.7 %
Subordinated, interest only 0.1 % 0.1 % RMBS transferred to
consolidated VIEs 9.9 % 10.1 % Agency MBS 46.9 % 46.0 % Residential
37.8 % 37.2 % Commercial 7.8 % 6.8 % Interest-only 1.3 % 2.0 %
Securitized loans held for investment 32.8 % 33.5 % Fixed-rate
percentage of portfolio 84.9 % 84.7 % Adjustable-rate percentage of
portfolio 15.1 % 15.3 % Annualized yield on average interest
earning assets for the periods ended 5.9 % 6.0 % Annualized cost of
funds on average borrowed funds for the periods 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.
March 31, 2016 (dollars in
thousands, except per share data)
GAAP Book Value $ 2,913,635 GAAP
Book Value per Share $ 15.52
Economic
Adjustments:
Assets of Consolidated VIEs (6,670,061 ) Non-Recourse Liabilities
of Consolidated VIEs 4,109,401 Interests in VIEs eliminated in
consolidation 2,361,817
Total Adjustments - Net
(198,843 ) Total Adjustments - Net (per share)
(1.06 ) Economic Book Value
$ 2,714,792 Economic Book Value
per Share $ 14.46
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
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 Quarter Ended March 31,
2016 March 31, 2015 (dollars in thousands) (dollars in thousands)
AverageBalance
Interest
AverageYield/Cost
AverageBalance
Interest
AverageYield/Cost
Assets:
Interest-earning assets (1): Agency MBS $ 6,003,520 $ 37,659 2.5 %
$ 7,491,398 $ 67,786 3.6 % Non-Agency RMBS 1,461,811 31,106 8.5 %
999,067 24,424 9.8 %
Non-Agency RMBS transferred to
consolidated VIEs
1,418,442 64,232 18.1 % 1,639,964 68,183 16.6 %
Jumbo Prime securitized residential
mortgage loans held for investment
442,629 3,833 3.5 % 610,836 8,003 5.2 % Seasoned sub-prime
securitized residential mortgage loans held for investment
4,244,226 63,916
6.0 % 4,499,936
74,431 6.6 % Total $
13,570,628 $ 200,746 5.9 %
$ 15,241,201 $ 242,827
6.4 %
Liabilities and stockholders' equity:
Interest-bearing liabilities:
Agency repurchase agreements (2) $ 5,419,402 $ 21,279 1.6 % $
7,198,680 $ 22,662 1.3 % Non-Agency repurchase agreements 2,077,523
13,671 2.6 % 1,116,675 6,209 2.2 %
Securitized debt, collateralized by
Non-Agency RMBS
510,761 3,996 3.1 % 688,260 7,947 4.6 %
Securitized debt, collateralized by jumbo
prime residential mortgage loans
341,776 2,561 3.0 % 499,075 5,341 4.3 % Securitized debt,
collateralized by seasoned sub-prime residential mortgage loans
3,329,390 32,694
3.9 % 3,808,607
33,466 3.5 % Total
$ 11,678,852 $ 74,201 2.5 %
$ 13,311,297 $ 75,625 2.3
%
Economic net interest income/net interest rate spread
$ 126,545
3.4 % $ 167,202
4.0 %
Net interest-earning assets/net interest
margin $ 1,891,776
3.6 % $ 1,929,904
4.4 %
Ratio of
interest-earning assets to interest bearing liabilities
1.16
1.14
(1) Interest-earning assets at
amortized cost (2) Interest includes periodic cash settlements on
swaps
The table below shows our Net Income, Economic Net Interest
Income and Core Earnings, each as a percentage of average equity.
Return on average equity is defined as our GAAP net income (loss)
as a percentage of average equity. Average equity is defined as the
average of Company’s beginning and ending equity balance for the
period reported. Economic Net Interest Income and Core Earnings are
non-GAAP measures as defined in previous sections.
Return on Average Equity
Economic Net InterestIncome/Average Equity
*
Core Earnings/AverageEquity
(Ratios have been annualized) For The
Quarter Ended March 31, 2016 11.34%
17.28% 14.95% For The Quarter Ended December
31, 2015 15.22% 16.52%
13.23% For The Quarter Ended September 30, 2015
(5.89%) 16.43% 13.14% For
The Quarter Ended June 30, 2015 13.35%
16.10% 13.40% For The Quarter Ended March 31,
2015 7.52% 18.76%
16.57%
For The Year Ended December 31, 2015
7.52% 17.12% 14.20% For
The Year Ended December 31, 2014 16.99%
14.06% 12.70% * Includes effect of realized
losses on interest rate swaps.
The table below presents changes in Accretable Yield, or the
excess of the security’s cash flows expected to be collected over
the Company’s investment, solely as it pertains to the Company’s
Non-Agency RMBS portfolio accounted for according to the provisions
of ASC 310-30.
For the Quarter Ended March 31,
2016 March 31, 2015 (dollars in
thousands) Balance at beginning of period $ 1,742,744 $ 1,534,497
Purchases 20,183 84,753 Accretion (36,353 ) (69,705 )
Reclassification (to) from non-accretable difference (33 ) 7,182
Sales and deconsolidation -
(19,865 ) Balance at end of period
$ 1,726,541 $ 1,536,862
Disclaimer
This presentation includes “forward-looking statements” within
the meaning of the safe harbor provisions of the United States
Private Securities Litigation Reform Act of 1995. Actual results
may differ from expectations, estimates and projections and,
consequently, readers should not rely on these forward-looking
statements as predictions of future events. Words such as “expect,”
“target,” “assume,” “estimate,” “project,” “budget,” “forecast,”
“anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,”
“believe,” “predicts,” “potential,” “continue,” and similar
expressions are intended to identify such forward-looking
statements. These forward-looking statements involve significant
risks and uncertainties that could cause actual results to differ
materially from expected results, including, among other things,
those described in our Annual Report on Form 10-K for the year
ended December 31, 2015, and any subsequent Quarterly Reports on
Form 10-Q, under the caption “Risk Factors.” Factors that could
cause actual results to differ include, but are not limited to: the
state of credit markets and general economic conditions; changes in
interest rates and the market value of our assets; the rates of
default or decreased recovery on the mortgages underlying our
target assets; the occurrence, extent and timing of credit losses
within our portfolio; the credit risk in our underlying assets;
declines in home prices; our ability to establish, adjust and
maintain appropriate hedges for the risks in our portfolio; the
availability and cost of our target assets; our ability to borrow
to finance our assets and the associated costs; changes in the
competitive landscape within our industry; our ability to manage
various operational risks and costs associated with our business;
interruptions in or impairments to our communications and
information technology systems; our ability to acquire residential
mortgage loans and successfully securitize the residential mortgage
loans we acquire; our ability to oversee our third party
sub-servicers; the impact of any deficiencies in the servicing or
foreclosure practices of third parties and related delays in the
foreclosure process; our exposure to legal and regulatory claims;
legislative and regulatory actions affecting our business; the
impact of new or modified government mortgage refinance or
principal reduction programs; our ability to maintain our REIT
qualification; and limitations imposed on our business due to our
REIT status and our exempt status under the Investment Company Act
of 1940.
Readers are cautioned not to place undue reliance upon any
forward-looking statements, which speak only as of the date made.
Chimera does not undertake or accept any obligation to release
publicly any updates or revisions to any forward-looking statement
to reflect any change in its expectations or any change in events,
conditions or circumstances on which any such statement is based.
Additional information concerning these and other risk factors is
contained in Chimera’s most recent filings with the Securities and
Exchange Commission (SEC). All subsequent written and oral
forward-looking statements concerning Chimera or matters
attributable to Chimera or any person acting on its behalf are
expressly qualified in their entirety by the cautionary statements
above.
Readers are advised that the financial information in this
presentation is based on company data available at the time of this
presentation and, in certain circumstances, may not have been
audited by the company’s independent auditors.
View source
version on businesswire.com: http://www.businesswire.com/news/home/20160502006166/en/
Investor Relations866-315-9930www.chimerareit.com
Chimera Investment (NYSE:CIM)
Historical Stock Chart
From Aug 2024 to Sep 2024
Chimera Investment (NYSE:CIM)
Historical Stock Chart
From Sep 2023 to Sep 2024