99.1
|
Press Release, dated August 3, 2016, issued by Chimera Investment Corporation
|
99.2
|
Supplemental Financial Information for the quarter and year ended June 30, 2016.
|
•
|
GAAP EARNINGS OF
$0.39
PER SHARE
|
•
|
CORE EARNINGS
(1)
OF
$0.51
PER SHARE, NET OF $0.07 PER SHARE SECURITIZATION DEAL EXPENSES
|
•
|
GAAP BOOK VALUE OF
$15.78
PER SHARE AND ECONOMIC BOOK VALUE
(1)
OF
$14.65
PER SHARE
|
•
|
SPONSORED THREE RESIDENTIAL MORTGAGE LOAN SECURITIZATIONS TOTALING $5 BILLION AND RETAINED $769 MILLION OF SUBORDINATE SECURITIES
|
•
|
REDUCED $2.2 BILLION OF AGENCY MBS HOLDINGS
|
•
|
BOARD DECLARES THIRD QUARTER 2016 DIVIDEND OF $0.48 PER SHARE; EXPECTS TO MAINTAIN A $0.48 DIVIDEND FOR THE FOURTH QUARTER OF 2016
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
June 30, 2016
|
December 31, 2015
|
||||
Assets:
|
|
|
||||
Cash and cash equivalents
|
$
|
67,421
|
|
$
|
114,062
|
|
Non-Agency RMBS, at fair value
|
3,491,480
|
|
3,675,841
|
|
||
Agency MBS, at fair value
|
4,481,503
|
|
6,514,824
|
|
||
Securitized loans held for investment, at fair value
|
9,212,204
|
|
4,768,416
|
|
||
Accrued interest receivable
|
109,644
|
|
66,247
|
|
||
Other assets
|
225,155
|
|
189,796
|
|
||
Derivatives, at fair value, net
|
2,832
|
|
15,460
|
|
||
Total assets
(1)
|
$
|
17,590,239
|
|
$
|
15,344,646
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements, MBS ($7.3 billion and $8.8 billion pledged as collateral, respectively)
|
$
|
5,856,263
|
|
$
|
7,439,339
|
|
Securitized debt, collateralized by Non-Agency RMBS ($2.0 billion and $2.1 billion pledged as collateral, respectively)
|
424,596
|
|
529,415
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($9.2 billion and $4.8 billion pledged as collateral, respectively)
|
7,534,277
|
|
3,720,496
|
|
||
Payable for investments purchased
|
642,169
|
|
560,641
|
|
||
Accrued interest payable
|
60,171
|
|
37,432
|
|
||
Dividends payable
|
90,504
|
|
90,097
|
|
||
Accounts payable and other liabilities
|
10,257
|
|
11,404
|
|
||
Derivatives, at fair value
|
8,922
|
|
9,634
|
|
||
Total liabilities
(1)
|
14,627,159
|
|
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
|
3,367,322
|
|
3,366,568
|
|
||
Accumulated other comprehensive income
|
907,173
|
|
773,791
|
|
||
Accumulated deficit
|
(1,313,292
|
)
|
(1,196,048
|
)
|
||
Total stockholders' equity
|
$
|
2,963,080
|
|
$
|
2,946,188
|
|
Total liabilities and stockholders' equity
|
$
|
17,590,239
|
|
$
|
15,344,646
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
|
||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||
(Unaudited)
|
||||||||||||
|
|
|
||||||||||
|
For the Quarter Ended
|
For the Six Months Ended
|
||||||||||
Net Interest Income:
|
June 30, 2016
|
June 30, 2015
|
June 30, 2016
|
June 30, 2015
|
||||||||
Interest income
(1)
|
$
|
221,096
|
|
$
|
215,804
|
|
$
|
422,293
|
|
$
|
458,949
|
|
Interest expense
(2)
|
83,227
|
|
66,044
|
|
146,208
|
|
126,500
|
|
||||
Net interest income
|
137,869
|
|
149,760
|
|
276,085
|
|
332,449
|
|
||||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
(3,139
|
)
|
(2,208
|
)
|
(7,562
|
)
|
(3,260
|
)
|
||||
Portion of loss recognized in other comprehensive income
|
(17,816
|
)
|
(24,893
|
)
|
(24,071
|
)
|
(31,656
|
)
|
||||
Net other-than-temporary credit impairment losses
|
(20,955
|
)
|
(27,101
|
)
|
(31,633
|
)
|
(34,916
|
)
|
||||
Other investment gains (losses):
|
|
|
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
22,100
|
|
88,028
|
|
(79,010
|
)
|
92,083
|
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
(60,158
|
)
|
(31,124
|
)
|
(60,616
|
)
|
(99,703
|
)
|
||||
Net realized gains (losses) on derivatives
|
(9,697
|
)
|
(16,777
|
)
|
(44,666
|
)
|
(58,863
|
)
|
||||
Net gains (losses) on derivatives
|
(47,755
|
)
|
40,127
|
|
(184,292
|
)
|
(66,483
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
30,347
|
|
(37,260
|
)
|
47,218
|
|
(47,685
|
)
|
||||
Net realized gains (losses) on sales of investments
|
6,631
|
|
9,685
|
|
3,956
|
|
39,250
|
|
||||
Gains (losses) on Extinguishment of Debt
|
—
|
|
5,079
|
|
(1,766
|
)
|
5,079
|
|
||||
Total other gains (losses)
|
(10,777
|
)
|
17,631
|
|
(134,884
|
)
|
(69,839
|
)
|
||||
Other income:
|
|
|
|
|
|
|
|
|
||||
Other income
|
—
|
|
—
|
|
95,000
|
|
—
|
|
||||
Total other income
|
—
|
|
—
|
|
95,000
|
|
—
|
|
||||
Other expenses:
|
|
|
|
|
|
|
|
|
||||
Management fees
|
—
|
|
10,196
|
|
—
|
|
20,522
|
|
||||
Expense recoveries from Manager
|
—
|
|
(4,652
|
)
|
—
|
|
(5,765
|
)
|
||||
Net management fees
|
—
|
|
5,544
|
|
—
|
|
14,757
|
|
||||
Compensation and benefits
|
6,954
|
|
36
|
|
12,176
|
|
508
|
|
||||
General and administrative expenses
|
4,238
|
|
9,224
|
|
8,741
|
|
13,513
|
|
||||
Servicing Fees of consolidated VIEs
|
7,773
|
|
6,388
|
|
13,351
|
|
12,776
|
|
||||
Deal Expenses
|
13,022
|
|
2,911
|
|
13,022
|
|
2,911
|
|
||||
Total other expenses
|
31,987
|
|
24,103
|
|
47,290
|
|
44,465
|
|
||||
Income (loss) before income taxes
|
74,150
|
|
116,187
|
|
157,278
|
|
183,229
|
|
||||
Income taxes
|
23
|
|
—
|
|
52
|
|
1
|
|
||||
Net income (loss)
|
$
|
74,127
|
|
$
|
116,187
|
|
$
|
157,226
|
|
$
|
183,228
|
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|
|
||||
Basic
|
$
|
0.39
|
|
$
|
0.57
|
|
$
|
0.84
|
|
$
|
0.89
|
|
Diluted
|
$
|
0.39
|
|
$
|
0.57
|
|
$
|
0.84
|
|
$
|
0.89
|
|
|
|
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
||||
Basic
|
187,729,765
|
|
205,492,089
|
|
187,726,618
|
|
205,509,782
|
|
||||
Diluted
|
187,925,046
|
|
205,579,639
|
|
187,882,614
|
|
205,573,297
|
|
||||
|
|
|
|
|
||||||||
Dividends declared per share of common stock
|
$
|
0.48
|
|
$
|
0.48
|
|
$
|
1.46
|
|
$
|
0.96
|
|
|
|
|
|
|
||||||||
Comprehensive income (loss):
|
|
|
|
|
|
|
|
|
||||
Net income (loss)
|
$
|
74,127
|
|
$
|
116,187
|
|
$
|
157,226
|
|
$
|
183,228
|
|
Other comprehensive income:
|
|
|
|
|
|
|
|
|
||||
Unrealized gains (losses) on available-for-sale securities, net
|
53,015
|
|
(117,742
|
)
|
112,423
|
|
(137,654
|
)
|
||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
20,955
|
|
27,101
|
|
31,633
|
|
34,916
|
|
||||
Reclassification adjustment for net realized losses (gains) included in net income
|
(9,062
|
)
|
(10,059
|
)
|
(10,674
|
)
|
(39,135
|
)
|
||||
Other comprehensive income (loss)
|
64,908
|
|
(100,700
|
)
|
133,382
|
|
(141,873
|
)
|
||||
Comprehensive income (loss)
|
$
|
139,035
|
|
$
|
15,487
|
|
$
|
290,608
|
|
$
|
41,355
|
|
|
June 30, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
331,855
|
|
$
|
—
|
|
1 to 29 days
|
2,491,293
|
|
3,312,902
|
|
||
30 to 59 days
|
804,971
|
|
2,501,513
|
|
||
60 to 89 days
|
1,086,872
|
|
246,970
|
|
||
90 to 119 days
|
432,569
|
|
430,026
|
|
||
Greater than or equal to 120 days
|
708,703
|
|
947,928
|
|
||
Total
|
$
|
5,856,263
|
|
$
|
7,439,339
|
|
|
|
|
||||
|
June 30, 2016
|
December 31, 2015
|
||||
Interest earning assets at period-end
(1)
|
$
|
17,185,187
|
|
$
|
14,959,081
|
|
Interest bearing liabilities at period-end
|
$
|
13,815,136
|
|
$
|
11,689,250
|
|
GAAP Leverage at period-end
|
4.7:1
|
|
4.0:1
|
|
||
GAAP Leverage at period-end (recourse)
|
2.0:1
|
|
2.5:1
|
|
||
Economic Leverage at period-end (recourse)
|
2.1:1
|
|
2.7:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
8.7
|
%
|
10.4
|
%
|
||
Senior
|
3.7
|
%
|
4.7
|
%
|
||
Senior, interest only
|
1.8
|
%
|
1.9
|
%
|
||
Subordinated
|
3.1
|
%
|
3.7
|
%
|
||
Subordinated, interest only
|
0.1
|
%
|
0.1
|
%
|
||
RMBS transferred to consolidated VIEs
|
8.0
|
%
|
10.1
|
%
|
||
Agency MBS
|
26.9
|
%
|
46.0
|
%
|
||
Residential
|
18.3
|
%
|
37.2
|
%
|
||
Commercial
|
7.7
|
%
|
6.8
|
%
|
||
Interest-only
|
0.9
|
%
|
2.0
|
%
|
||
Securitized loans held for investment
|
56.4
|
%
|
33.5
|
%
|
||
Fixed-rate percentage of portfolio
|
87.9
|
%
|
84.7
|
%
|
||
Adjustable-rate percentage of portfolio
|
12.1
|
%
|
15.3
|
%
|
||
Annualized yield on average interest earning assets for the periods ended
|
6.1
|
%
|
6.0
|
%
|
||
Annualized cost of funds on average borrowed funds for the periods ended
(2)
|
2.7
|
%
|
2.5
|
%
|
||
(1) Excludes cash and cash equivalents.
|
|
|
||||
(2) Includes the effect of realized losses on interest rate swaps.
|
|
|
June 30, 2016
|
|||
(dollars in thousands, except per share data)
|
|||
GAAP Book Value
|
$
|
2,963,080
|
|
GAAP Book Value per Share
|
$
|
15.78
|
|
|
|
|
|
Economic Adjustments:
|
|
|
|
Assets of Consolidated VIEs
|
(11,185,498
|
)
|
|
Non-Recourse Liabilities of Consolidated VIEs
|
7,958,873
|
|
|
Interests in VIEs eliminated in consolidation
|
3,013,777
|
|
|
|
|
|
|
Total Adjustments - Net
|
(212,848
|
)
|
|
Total Adjustments - Net (per share)
|
(1.13
|
)
|
|
|
|
|
|
Economic Book Value
|
$
|
2,750,232
|
|
Economic Book Value per Share
|
$
|
14.65
|
|
|
|
||
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
|
|
|
GAAP
Interest Income |
GAAP
Interest Expense |
Add: Net Realized
Losses on Interest Rate Swaps |
Economic Interest
Expense |
GAAP Net Interest
Income |
Less: Net Realized
Losses on Interest Rate Swaps |
Economic
Net Interest Income (1) |
||||||||||||||
For the Quarter Ended June 30, 2016
|
$
|
221,096
|
|
$
|
83,227
|
|
$
|
8,141
|
|
$
|
91,368
|
|
$
|
137,869
|
|
$
|
8,141
|
|
$
|
129,361
|
|
For the Quarter Ended March 31, 2016
|
$
|
201,194
|
|
$
|
62,981
|
|
$
|
11,220
|
|
$
|
74,201
|
|
$
|
138,213
|
|
$
|
11,220
|
|
$
|
126,545
|
|
For the Quarter Ended December 31, 2015
|
$
|
201,912
|
|
$
|
64,954
|
|
$
|
11,673
|
|
$
|
76,627
|
|
$
|
136,958
|
|
$
|
11,673
|
|
$
|
125,272
|
|
For the Quarter Ended September 30, 2015
|
$
|
211,876
|
|
$
|
65,696
|
|
$
|
11,355
|
|
$
|
77,051
|
|
$
|
146,180
|
|
$
|
11,355
|
|
$
|
134,714
|
|
For the Quarter Ended June 30, 2015
|
$
|
215,804
|
|
$
|
66,044
|
|
$
|
9,030
|
|
$
|
75,074
|
|
$
|
149,760
|
|
$
|
9,030
|
|
$
|
140,173
|
|
|
For the Quarter Ended
|
||||||||||||||||
|
June 30, 2016
|
|
June 30, 2015
|
||||||||||||||
|
(dollars in thousands)
|
|
(dollars in thousands)
|
||||||||||||||
|
Average
Balance |
Interest
|
Average
Yield/Cost |
|
Average
Balance |
Interest
|
Average
Yield/Cost |
||||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||||
Interest-earning assets
(1)
:
|
|
|
|
|
|
|
|
||||||||||
Agency MBS
|
$
|
4,882,776
|
|
$
|
29,376
|
|
2.4
|
%
|
|
$
|
6,360,739
|
|
$
|
44,821
|
|
2.8
|
%
|
Non-Agency RMBS
|
1,432,834
|
|
30,469
|
|
8.5
|
%
|
|
1,322,212
|
|
25,651
|
|
7.8
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
1,346,840
|
|
62,889
|
|
18.7
|
%
|
|
1,593,971
|
|
68,885
|
|
17.3
|
%
|
||||
Jumbo Prime securitized residential mortgage loans held for investment
|
411,343
|
|
3,489
|
|
3.4
|
%
|
|
559,150
|
|
6,250
|
|
4.5
|
%
|
||||
Seasoned subprime securitized residential mortgage loans held for investment
|
6,214,467
|
|
94,505
|
|
6.1
|
%
|
|
4,518,897
|
|
71,765
|
|
6.4
|
%
|
||||
Total
|
$
|
14,288,260
|
|
$
|
220,728
|
|
6.2
|
%
|
|
$
|
14,354,969
|
|
$
|
217,372
|
|
6.1
|
%
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
||||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
||||||||||
Agency repurchase agreements
(2)
|
$
|
4,612,205
|
|
$
|
15,795
|
|
1.4
|
%
|
|
$
|
5,395,795
|
|
$
|
16,580
|
|
1.2
|
%
|
Non-Agency repurchase agreements
|
2,251,755
|
|
16,801
|
|
3.0
|
%
|
|
1,508,721
|
|
8,069
|
|
2.1
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
458,350
|
|
5,922
|
|
5.2
|
%
|
|
648,437
|
|
9,218
|
|
5.7
|
%
|
||||
Securitized debt, collateralized by jumbo prime residential mortgage loans
|
313,077
|
|
2,450
|
|
3.1
|
%
|
|
447,975
|
|
5,157
|
|
4.6
|
%
|
||||
Securitized debt, collateralized by seasoned subprime residential mortgage loans
|
5,351,393
|
|
50,399
|
|
3.8
|
%
|
|
3,799,069
|
|
36,050
|
|
3.8
|
%
|
||||
Total
|
$
|
12,986,780
|
|
$
|
91,367
|
|
2.8
|
%
|
|
$
|
11,799,997
|
|
$
|
75,074
|
|
2.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
129,361
|
|
3.4
|
%
|
|
|
|
$
|
142,298
|
|
3.6
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
1,301,480
|
|
|
|
3.6
|
%
|
|
$
|
2,554,972
|
|
|
|
4.0
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.10
|
|
|
|
|
|
|
1.22
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(2) Interest includes cash paid on swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Return on Average Equity
|
Economic Net Interest Income/Average Equity *
|
Core Earnings/Average Equity
|
|||
|
(Ratios have been annualized)
|
|||||
For The Quarter Ended June 30, 2016
|
10.09
|
%
|
17.61
|
%
|
13.00
|
%
|
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 Year Ended
|
|
|
|
|
|
|
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
|
%
|
|
For the Quarter Ended
|
For the Six Months Ended
|
||||||||||
|
June 30, 2016
|
June 30, 2015
|
June 30, 2016
|
June 30, 2015
|
||||||||
|
(dollars in thousands)
|
(dollars in thousands)
|
||||||||||
Balance at beginning of period
|
$
|
1,726,541
|
|
$
|
1,536,862
|
|
$
|
1,742,744
|
|
$
|
1,534,497
|
|
Purchases
|
22,417
|
|
23,872
|
|
42,600
|
|
108,625
|
|
||||
Accretion
|
(35,054
|
)
|
(71,005
|
)
|
(71,407
|
)
|
(140,710
|
)
|
||||
Reclassification (to) from non-accretable difference
|
27,492
|
|
211,625
|
|
27,459
|
|
218,807
|
|
||||
Sales and deconsolidation
|
(26,804
|
)
|
(3,031
|
)
|
(26,804
|
)
|
(22,896
|
)
|
||||
Balance at end of period
|
$
|
1,714,592
|
|
$
|
1,698,323
|
|
$
|
1,714,592
|
|
$
|
1,698,323
|
|