þ
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
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EXCHANGE ACT OF 1934
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o
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
|
EXCHANGE ACT OF 1934
|
MARYLAND
|
26-0630461
|
|
(State or other jurisdiction of incorporation or organization)
|
(IRS Employer Identification No.)
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Large accelerated filer þ | Accelerated filer o | Non-accelerated filer o | Smaller reporting company o |
Class
|
Outstanding at November 14, 2011
|
Common Stock, $.01 par value
|
1,027,276,394
|
Part I. FINANCIAL INFORMATION
|
|
Item 1. Consolidated Financial Statements:
|
|
1
|
|
2
|
|
3
|
|
4
|
|
6
|
|
31
|
|
50
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55
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56
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56
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Item 5. Other Information | 57 |
59
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60
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|
CERTIFICATIONS
|
CHIMERA INVESTMENT CORPORATION
|
||||||||
(dollars in thousands, except share and per share data)
|
||||||||
September 30, 2011
(unaudited)
|
December 31, 2010
|
|||||||
Assets:
|
||||||||
Cash and cash equivalents
|
$ | 9,824 | $ | 7,173 | ||||
Non-Agency RMBS, at fair value
|
||||||||
Senior ($146.4 million and $484.1 million resulting from consolidation of VIEs)
|
321,483 | 987,685 | ||||||
Subordinated ($1.4 billion and $1.5 billion resulting from consolidation of VIEs)
|
2,074,409 | 2,210,858 | ||||||
Senior, non-retained (held in consolidated VIEs)
|
2,013,798 | 2,330,568 | ||||||
Agency RMBS, at fair value
|
4,952,721 | 2,133,584 | ||||||
Securitized loans held for investment (held in consolidated VIEs), net of allowance for loan losses of $7.0 million and $6.6 million, respectively
|
286,009 | 353,532 | ||||||
Accrued interest receivable
|
55,539 | 49,088 | ||||||
Other assets
|
422 | 1,212 | ||||||
Total assets
|
$ | 9,714,205 | $ | 8,073,700 | ||||
Liabilities:
|
||||||||
Repurchase agreements, Agency RMBS ($4.4 billion and $1.7 billion of RMBS pledged as collateral, respectively)
|
$ | 4,171,190 | $ | 1,600,078 | ||||
Repurchase agreements, non-Agency RMBS ($0.0 and $249.4 million of RMBS pledged as collateral, respectively)
|
- | 208,719 | ||||||
Securitized debt, loans held for investment, issued by consolidated VIEs ($286.0 million and $353.5 million of securitized loans pledged as collateral, respectively)
|
230,767 | 289,236 | ||||||
Securitized debt, non-Agency RMBS, issued by consolidated VIEs, non-retained ($3.6 billion and $4.4 billion of RMBS pledged as collateral, respectively)
|
1,753,228 | 1,956,079 | ||||||
Payable for investments purchased
|
- | 127,693 | ||||||
Accrued interest payable
|
11,538 | 11,641 | ||||||
Dividends payable
|
133,443 | 174,445 | ||||||
Accounts payable and other liabilities
|
1,583 | 393 | ||||||
Investment management fees payable to affiliate
|
13,417 | 12,422 | ||||||
Interest rate swaps, at fair value ($50.4 million and $12.8 million of RMBS pledged as collateral, respectively)
|
44,970 | 9,988 | ||||||
Total liabilities
|
$ | 6,360,136 | $ | 4,390,694 | ||||
Stockholders' Equity:
|
||||||||
Common stock: par value $0.01 per share; 1,500,000,000 shares authorized, 1,027,246,793 and 1,027,034,357 shares issued and outstanding, respectively
|
$ | 10,264 | $ | 10,261 | ||||
Additional paid-in-capital
|
3,603,040 | 3,601,890 | ||||||
Accumulated other comprehensive income (loss)
|
29,972 | 321,537 | ||||||
Retained earnings (accumulated deficit)
|
(289,207 | ) | (250,682 | ) | ||||
Total stockholders' equity
|
$ | 3,354,069 | $ | 3,683,006 | ||||
Total liabilities and stockholders' equity
|
$ | 9,714,205 | $ | 8,073,700 | ||||
See notes to consolidated financial statements.
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (LOSS)
|
||||||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||||||
(unaudited)
|
For the Quarter Ended
|
For the Nine Months Ended
|
|||||||||||||||
September 30, 2011
|
September 30, 2010
|
September 30, 2011
|
September 30, 2010
|
|||||||||||||
Net Interest Income:
|
||||||||||||||||
Interest income
|
$ | 177,640 | $ | 139,683 | $ | 600,576 | $ | 401,929 | ||||||||
Interest expense
|
7,217 | 8,034 | 22,700 | 21,907 | ||||||||||||
Interest income, non-retained
|
35,030 | 55,088 | 107,569 | 169,723 | ||||||||||||
Interest expense, non-retained
|
25,575 | 32,237 | 81,462 | 87,488 | ||||||||||||
Net interest income (expense)
|
179,878 | 154,500 | 603,983 | 462,257 | ||||||||||||
Other-than-temporary impairments:
|
||||||||||||||||
Total other-than-temporary impairment losses
|
(249,257 | ) | (51,922 | ) | (432,973 | ) | (135,136 | ) | ||||||||
Non-credit portion of loss recognized in other comprehensive income (loss)
|
208,081 | 42,112 | 327,469 | 84,032 | ||||||||||||
Net other-than-temporary credit impairment losses
|
(41,176 | ) | (9,810 | ) | (105,504 | ) | (51,104 | ) | ||||||||
Other gains (losses):
|
||||||||||||||||
Unrealized gains (losses) on interest rate swaps
|
(25,312 | ) | (13,583 | ) | (34,981 | ) | (24,820 | ) | ||||||||
Realized gains (losses) on interest rate swaps
|
(4,500 | ) | (2,493 | ) | (11,644 | ) | (3,192 | ) | ||||||||
Gains (losses) on interest rate swaps
|
(29,812 | ) | (16,076 | ) | (46,625 | ) | (28,012 | ) | ||||||||
Net gains (losses) on interest-only RMBS
|
52 | - | (4,390 | ) | - | |||||||||||
Net gains (losses) on embedded derivatives in interest-only RMBS
|
(28,175 | ) | - | (30,409 | ) | - | ||||||||||
Realized gains (losses) on sales of investments, net
|
28 | 2,032 | 1,342 | 2,374 | ||||||||||||
Total other gains (losses)
|
(57,907 | ) | (14,044 | ) | (80,082 | ) | (25,638 | ) | ||||||||
Net investment income (loss)
|
80,795 | 130,646 | 418,397 | 385,515 | ||||||||||||
Other expenses:
|
||||||||||||||||
Management fee
|
13,252 | 11,318 | 39,154 | 28,695 | ||||||||||||
Provision for loan losses
|
- | 482 | 1,442 | 2,112 | ||||||||||||
General and administrative expenses
|
1,830 | 1,798 | 5,137 | 4,367 | ||||||||||||
Total other expenses
|
15,082 | 13,598 | 45,733 | 35,174 | ||||||||||||
Income (loss) before income taxes
|
65,713 | 117,048 | 372,664 | 350,341 | ||||||||||||
Income taxes
|
(171 | ) | 752 | 645 | 753 | |||||||||||
Net income (loss)
|
$ | 65,884 | $ | 116,296 | $ | 372,019 | $ | 349,588 | ||||||||
Net income (loss) per share-basic and diluted
|
$ | 0.06 | $ | 0.13 | $ | 0.36 | $ | 0.45 | ||||||||
Weighted average number of shares outstanding-basic and diluted
|
1,027,195,404 | 883,147,726 | 1,027,130,136 | 773,777,431 | ||||||||||||
Comprehensive income (loss):
|
||||||||||||||||
Net income (loss)
|
$ | 65,884 | $ | 116,296 | $ | 372,019 | $ | 349,588 | ||||||||
Other comprehensive income (loss):
|
||||||||||||||||
Unrealized gains (losses) on available-for-sale securities, net
|
(58,429 | ) | 24,132 | (395,727 | ) | 100,504 | ||||||||||
Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses
|
41,176 | 9,810 | 105,504 | 51,104 | ||||||||||||
Reclassification adjustment for net realized losses (gains) included in net income (loss)
|
(28 | ) | (2,032 | ) | (1,342 | ) | (2,374 | ) | ||||||||
Other comprehensive income (loss)
|
(17,281 | ) | 31,910 | (291,565 | ) | 149,234 | ||||||||||
Comprehensive income (loss)
|
$ | 48,603 | $ | 148,206 | $ | 80,454 | $ | 498,822 | ||||||||
See notes to consolidated financial statements.
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||||||||||
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
|
||||||||||||||||||||
(dollars in thousands, except per share data)
|
||||||||||||||||||||
(unaudited)
|
Common Stock Par Value
|
Additional Paid-in Capital
|
Accumulated Other Comprehensive Income (Loss)
|
Retained Earnings (Accumulated Deficit)
|
Total
|
||||||||||||||||
Balance, December 31, 2009
|
$ | 6,693 | $ | 2,290,614 | $ | (99,754 | ) | $ | (70,991 | ) | $ | 2,126,562 | ||||||||
Net income (loss)
|
- | - | - | 349,588 | 349,588 | |||||||||||||||
Cumulative effect of change in accounting principle
|
- | - | - | (88,187 | ) | (88,187 | ) | |||||||||||||
Other comprehensive income (loss)
|
- | - | 149,234 | - | 149,234 | |||||||||||||||
Proceeds from direct purchase and dividend reinvestment
|
- | 263 | - | - | 263 | |||||||||||||||
Proceeds from common stock offerings
|
2,128 | 765,425 | - | - | 767,553 | |||||||||||||||
Restricted stock grants
|
1 | 357 | - | - | 358 | |||||||||||||||
Common dividends declared, $0.52 per share
|
- | - | - | (403,024 | ) | (403,024 | ) | |||||||||||||
Balance, September 30, 2010
|
$ | 8,822 | $ | 3,056,659 | $ | 49,480 | $ | (212,614 | ) | $ | 2,902,347 | |||||||||
Balance, December 31, 2010
|
$ | 10,261 | $ | 3,601,890 | $ | 321,537 | $ | (250,682 | ) | $ | 3,683,006 | |||||||||
Net income (loss)
|
- | - | - | 372,019 | 372,019 | |||||||||||||||
Other comprehensive income (loss)
|
- | - | (291,565 | ) | - | (291,565 | ) | |||||||||||||
Proceeds from direct purchase and dividend reinvestment
|
3 | 783 | - | - | 786 | |||||||||||||||
Proceeds from common stock offerings
|
- | 7 | - | - | 7 | |||||||||||||||
Restricted stock grants
|
- | 360 | - | - | 360 | |||||||||||||||
Common dividends declared, $0.40 per share
|
- | - | - | (410,544 | ) | (410,544 | ) | |||||||||||||
Balance, September 30, 2011
|
$ | 10,264 | $ | 3,603,040 | $ | 29,972 | $ | (289,207 | ) | $ | 3,354,069 | |||||||||
See notes to consolidated financial statements.
|
CHIMERA INVESTMENT CORPORATION
|
||||||||
(dollars in thousands)
|
||||||||
(unaudited)
|
CHIMERA INVESTMENT CORPORATION
|
||||||||
CONSOLIDATED STATEMENTS OF CASH FLOW
|
||||||||
(dollars in thousands)
|
||||||||
(unaudited)
|
Supplemental disclosure of cash flow information:
|
||||||||
Interest paid
|
$ | 94,813 | $ | 104,658 | ||||
Taxes paid
|
$ | - | $ | 753 | ||||
Non-cash investing activities:
|
||||||||
Payable for investments purchased
|
$ | - | $ | 279,649 | ||||
Net change in unrealized gain on available-for sale securities
|
$ | (291,565 | ) | $ | 149,234 | |||
Non-cash financing activities:
|
||||||||
Common dividends declared, not yet paid
|
$ | 133,443 | $ | 158,811 | ||||
See notes to consolidated financial statements.
|
September 30, 2011
|
|||||||||||||||||||||||||
(dollars in thousands)
|
|||||||||||||||||||||||||
Principal Value
|
Unamortized Premium
|
Unamortized Discount
|
Gross Unrealized Gain
|
Gross Unrealized Loss
|
Fair Value
|
||||||||||||||||||||
Non-Agency RMBS
|
|||||||||||||||||||||||||
Senior
|
$ | 1,282 | $ | 385,867 | $ | (40 | ) | $ | 26,294 | $ | (91,920 | ) | $ | 321,483 | |||||||||||
Subordinated
|
4,886,224 | 71,268 | (2,427,201 | ) | 109,914 | (565,796 | ) | 2,074,409 | |||||||||||||||||
Senior, non-retained
|
1,794,023 | 28,927 | (150,540 | ) | 341,388 | - | 2,013,798 | ||||||||||||||||||
Agency RMBS
|
4,643,099 | 134,489 | (160 | ) | 175,458 | (165 | ) | 4,952,721 | |||||||||||||||||
Total
|
$ | 11,324,628 | $ | 620,551 | $ | (2,577,941 | ) | $ | 653,054 | $ | (657,881 | ) | $ | 9,362,411 |
December 31, 2010
|
|||||||||||||||||||||||||
(dollars in thousands)
|
|||||||||||||||||||||||||
Principal Value
|
Unamortized Premium
|
Unamortized Discount
|
Gross Unrealized Gain
|
Gross Unrealized Loss
|
Fair Value
|
||||||||||||||||||||
Non-Agency RMBS
|
|||||||||||||||||||||||||
Senior
|
$ | 664,251 | $ | 427,822 | $ | (9,026 | ) | $ | 31,946 | $ | (127,308 | ) | $ | 987,685 | |||||||||||
Subordinated
|
4,962,829 | 60,469 | (2,793,867 | ) | 214,613 | (233,186 | ) | 2,210,858 | |||||||||||||||||
Senior, non-retained
|
2,008,167 | 77,264 | (159,707 | ) | 404,844 | - | 2,330,568 | ||||||||||||||||||
Agency RMBS
|
2,035,823 | 67,133 | - | 47,718 | (17,090 | ) | 2,133,584 | ||||||||||||||||||
Total
|
$ | 9,671,070 | $ | 632,688 | $ | (2,962,600 | ) | $ | 699,121 | $ | (377,584 | ) | $ | 7,662,695 |
September 30, 2011
|
|||||||||||||||||||||||||
(dollars in thousands)
|
|||||||||||||||||||||||||
Unrealized Loss Position For:
|
|||||||||||||||||||||||||
Less than 12 Months
|
12 Months or More
|
Total
|
|||||||||||||||||||||||
RMBS
|
Estimated Fair Value
|
Unrealized Losses
|
Estimated Fair Value
|
Unrealized Losses
|
Estimated Fair Value
|
Unrealized Losses
|
|||||||||||||||||||
Non-Agency RMBS
|
|||||||||||||||||||||||||
Senior
|
$ | 94,895 | $ | (17,673 | ) | $ | 68,746 | $ | (74,247 | ) | $ | 163,641 | $ | (91,920 | ) | ||||||||||
Subordinated
|
336,333 | (105,777 | ) | 1,098,682 | (460,019 | ) | 1,435,015 | (565,796 | ) | ||||||||||||||||
Agency
|
1,548 | (165 | ) | - | - | 1,548 | (165 | ) | |||||||||||||||||
Total
|
$ | 432,776 | $ | (123,615 | ) | $ | 1,167,428 | $ | (534,266 | ) | $ | 1,600,204 | $ | (657,881 | ) |
December 31, 2010
|
|||||||||||||||||||||||||
(dollars in thousands)
|
|||||||||||||||||||||||||
Unrealized Loss Position For:
|
|||||||||||||||||||||||||
Less than 12 Months
|
12 Months or More
|
Total
|
|||||||||||||||||||||||
RMBS
|
Estimated Fair Value
|
Unrealized Losses
|
Estimated Fair Value
|
Unrealized Losses
|
Estimated Fair Value
|
Unrealized Losses
|
|||||||||||||||||||
Non-Agency RMBS
|
|||||||||||||||||||||||||
Senior
|
$ | 382,969 | $ | (4,814 | ) | $ | 227,610 | $ | (122,494 | ) | $ | 610,579 | $ | (127,308 | ) | ||||||||||
Subordinated
|
408,087 | (13,452 | ) | 783,232 | (219,734 | ) | 1,191,319 | (233,186 | ) | ||||||||||||||||
Agency
|
600,464 | (17,090 | ) | - | - | 600,464 | (17,090 | ) | |||||||||||||||||
Total
|
$ | 1,391,520 | $ | (35,356 | ) | $ | 1,010,842 | $ | (342,228 | ) | $ | 2,402,362 | $ | (377,584 | ) |
For the Quarter Ended
|
||||||||
September 30, 2011
|
September 30, 2010
|
|||||||
(dollars in thousands) | ||||||||
Cumulative credit loss beginning balance
|
$ | 163,757 | $ | 65,805 | ||||
Additions:
|
||||||||
Other-than-temporary impairments not previously recognized
|
10,378 | 7,578 | ||||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
30,798 | 2,232 | ||||||
Cumulative credit loss ending balance
|
$ | 204,933 | $ | 75,615 |
For the Nine Months Ended | ||||||||
September 30, 2011
|
September 30, 2010
|
|||||||
(dollars in thousands) | ||||||||
Cumulative credit loss beginning balance
|
$ | 99,429 | $ | 24,511 | ||||
Additions:
|
||||||||
Other-than-temporary impairments not previously recognized
|
31,722 | 48,485 | ||||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
73,782 | 2,619 | ||||||
Cumulative credit loss ending balance
|
$ | 204,933 | $ | 75,615 |
September 30, 2011
|
December 31, 2010
|
||||
AAA
|
10.06 | % | 14.67 | % | |
AA
|
3.25 | % | 5.34 | % | |
A | 0.79 | % | 0.92 | % | |
BBB
|
3.15 | % | 0.61 | % | |
BB
|
0.00 | % | 0.01 | % | |
B | 0.00 | % | 0.00 | % | |
Below B or not rated
|
82.75 | % | 78.45 | % | |
Total
|
100.00 | % | 100.00 | % |
September 30, 2011
|
||||||||||||||||
(dollars in thousands)
|
||||||||||||||||
Weighted Average Life
|
||||||||||||||||
Less than one year
|
Greater than one year and less than five years
|
Greater than five years
|
Total
|
|||||||||||||
Fair value
|
||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||
Senior
|
$ | 2,689 | $ | 101,014 | $ | 217,780 | $ | 321,483 | ||||||||
Subordinated
|
9,091 | 252,830 | 1,812,488 | 2,074,409 | ||||||||||||
Senior, non-retained
|
389,722 | 1,134,445 | 489,631 | 2,013,798 | ||||||||||||
Agency RMBS
|
- | 4,621,100 | 331,621 | 4,952,721 | ||||||||||||
Total fair value
|
$ | 401,502 | $ | 6,109,389 | $ | 2,851,520 | $ | 9,362,411 | ||||||||
Amortized cost
|
||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||
Senior
|
$ | 6,045 | $ | 117,825 | $ | 263,239 | $ | 387,109 | ||||||||
Subordinated
|
34,932 | 292,302 | 2,203,057 | 2,530,291 | ||||||||||||
Senior, non-retained
|
169,674 | 1,033,844 | 468,892 | 1,672,410 | ||||||||||||
Agency RMBS
|
- | 4,450,696 | 326,732 | 4,777,428 | ||||||||||||
Total amortized cost
|
$ | 210,651 | $ | 5,894,667 | $ | 3,261,920 | $ | 9,367,238 |
December 31, 2010
|
||||||||||||||||
(dollars in thousands)
|
||||||||||||||||
Weighted Average Life
|
||||||||||||||||
Less than one year
|
Greater than one year and less than five years
|
Greater than five years
|
Total
|
|||||||||||||
Fair Value
|
||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||
Senior
|
$ | 26,964 | $ | 587,075 | $ | 373,646 | $ | 987,685 | ||||||||
Subordinated
|
7,941 | 218,986 | 1,983,931 | 2,210,858 | ||||||||||||
Senior, non-retained
|
200,468 | 1,889,732 | 240,368 | 2,330,568 | ||||||||||||
Agency RMBS
|
- | 1,560,859 | 572,725 | 2,133,584 | ||||||||||||
Total fair value
|
$ | 235,373 | $ | 4,256,652 | $ | 3,170,670 | $ | 7,662,695 | ||||||||
Amortized Cost
|
||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||
Senior
|
$ | 27,050 | $ | 588,484 | $ | 467,513 | $ | 1,083,047 | ||||||||
Subordinated
|
13,816 | 252,520 | 1,963,095 | 2,229,431 | ||||||||||||
Senior, non-retained
|
236,792 | 1,463,188 | 225,744 | 1,925,724 | ||||||||||||
Agency RMBS
|
- | 1,513,644 | 589,312 | 2,102,956 | ||||||||||||
Total amortized cost
|
$ | 277,658 | $ | 3,817,836 | $ | 3,245,664 | $ | 7,341,158 |
September 30, 2011
|
December 31, 2010
|
|||||||||
Number of securities in portfolio
|
520 | 581 | ||||||||
Weighted average maturity (years)
|
26.5 | 27.4 | ||||||||
Weighted average amortized loan to value
|
72.0 | % | 72.5 | % | ||||||
Weighted average FICO
|
715.8 | 717.3 | ||||||||
Weighted average loan balance (in thousands)
|
$ | 474.1 | $ | 447.6 | ||||||
Weighted average percentage owner occupied
|
85.2 | % | 83.3 | % | ||||||
Weighted average percentage single family residence
|
64.1 | % | 63.1 | % | ||||||
Weighted average current credit enhancement
|
12.1 | % | 16.0 | % | ||||||
Weighted average geographic concentration
|
CA
|
38.4 | % |
CA
|
57.8 | % | ||||
FL
|
8.4 | % |
FL
|
13.3 | % | |||||
NY
|
6.3 | % |
NY
|
7.3 | % | |||||
NJ
|
2.4 | % |
VA
|
3.9 | % | |||||
VA
|
2.2 | % |
NJ
|
3.3 | % |
Origination Year
|
September 30, 2011
|
December 31, 2010
|
||||||
2003
|
0.8 | % | 0.0 | % | ||||
2004
|
1.1 | % | 0.1 | % | ||||
2005
|
13.4 | % | 13.4 | % | ||||
2006
|
41.0 | % | 27.0 | % | ||||
2007
|
40.9 | % | 56.1 | % | ||||
2008
|
2.8 | % | 3.3 | % | ||||
2009
|
0.0 | % | 0.1 | % | ||||
Total
|
100.0 | % | 100.0 | % |
September 30, 2011
|
December 31, 2010
|
|||||||
(dollars in thousands) | ||||||||
Securitized loans, at amortized cost
|
$ | 293,018 | $ | 360,118 | ||||
Less: allowance for loan losses
|
7,009 | 6,586 | ||||||
Securitized loans held for investment
|
$ | 286,009 | $ | 353,532 | ||||
September 30, 2011
|
December 31, 2010
|
|||||||||
Number of loans
|
422 | 513 | ||||||||
Weighted average maturity (years)
|
25.9 | 26.6 | ||||||||
Weighted average original loan to value
|
74.9 | % | 74.5 | % | ||||||
Weighted average FICO
|
752 | 755 | ||||||||
Weighted average loan balance (in thousands)
|
$ | 686.3 | $ | 694.3 | ||||||
Weighted average percentage owner occupied
|
91.2 | % | 90.5 | % | ||||||
Weighted average percentage single family residence
|
58.3 | % | 58.2 | % | ||||||
Weighted average geographic concentration
|
CA
|
35.1 | % |
CA
|
33.3 | % | ||||
FL
|
6.9 | % |
FL
|
6.7 | % | |||||
AZ
|
5.7 | % |
NJ
|
5.3 | % | |||||
IL
|
5.4 | % |
IL
|
5.3 | % | |||||
NJ
|
5.2 | % |
AZ
|
5.2 | % |
For the Quarter Ended | ||||||||
September 30, 2011
|
September 30, 2010
|
|||||||
(dollars in thousands) | ||||||||
Balance, beginning of period
|
$ | 7,484 | $ | 5,569 | ||||
Provision for loan losses
|
- | 482 | ||||||
Charge-offs
|
(475 | ) | (10 | ) | ||||
Balance, end of period
|
$ | 7,009 | $ | 6,041 | ||||
For the Nine Months Ended
|
||||||||
September 30, 2011
|
September 30, 2010
|
|||||||
Balance, beginning of period
|
$ | 6,586 | $ | 4,551 | ||||
Provision for loan losses
|
1,442 | 2,112 | ||||||
Charge-offs
|
(1,019 | ) | (622 | ) | ||||
Balance, end of period
|
$ | 7,009 | $ | 6,041 |
30 Days
Delinquent
|
60 Days
Delinquent
|
90+ Days
Delinquent
|
Bankruptcy
|
Foreclosure
|
REO
|
Total
|
||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||
September 30, 2011
|
$ | 1,565 | $ | 0 | $ | 3,208 | $ | 417 | $ | 7,507 | $ | 4,007 | $ | 16,704 | ||||||||||||||
December 31, 2010
|
$ | 1,664 | $ | 1,554 | $ | 9,649 | $ | 937 | $ | 1,295 | $ | 1,120 | $ | 16,219 |
Number of Loans
Modified During
Period
|
Pre-Modification
Recorded Investment
|
Post Modification
Recorded Invesment
|
||||||||||
(dollars in thousands) | ||||||||||||
September 30, 2011
|
2 | $ | 1,970 | $ | 2,162 | |||||||
December 31, 2010
|
14 | 11,385 | 11,975 |
September 30, 2011
|
||||||||||||
Level 1
|
Level 2
|
Level 3
|
||||||||||
(dollars in thousands)
|
||||||||||||
Assets:
|
||||||||||||
Non-Agency RMBS
|
||||||||||||
Senior
|
$ | - | $ | 321,483 | $ | - | ||||||
Subordinated
|
- | 2,074,409 | - | |||||||||
Senior, non-retained
|
- | 2,013,798 | - | |||||||||
Agency mortgage-backed securities
|
- | 4,952,721 | - | |||||||||
Liabilities:
|
||||||||||||
Interest rate swaps
|
- | 44,970 | - | |||||||||
December 31, 2010
|
||||||||||||
Level 1
|
Level 2
|
Level 3
|
||||||||||
(dollars in thousands)
|
||||||||||||
Assets:
|
||||||||||||
Non-Agency RMBS
|
||||||||||||
Senior
|
$ | - | $ | 987,685 | $ | - | ||||||
Subordinated
|
- | 2,210,858 | - | |||||||||
Senior, non-retained
|
- | 2,330,568 | - | |||||||||
Agency mortgage-backed securities
|
- | 2,133,584 | - | |||||||||
Liabilities:
|
||||||||||||
Interest rate swaps
|
- | 9,988 | - |
September 30, 2011
|
December 31, 2010
|
|||||||||||||||
Carrying
Amount
|
Estimated Fair
Value
|
Carrying
Amount
|
Estimated Fair
Value
|
|||||||||||||
(dollars in thousands) | ||||||||||||||||
Non-Agency RMBS
|
$ | 4,409,690 | $ | 4,409,690 | $ | 5,529,111 | $ | 5,529,111 | ||||||||
Agency RMBS
|
4,952,721 | 4,952,721 | 2,133,584 | 2,133,584 | ||||||||||||
Securitized loans held for investment
|
286,009 | 276,482 | 353,532 | 345,410 | ||||||||||||
Repurchase agreements
|
(4,171,190 | ) | (4,176,507 | ) | (1,808,797 | ) | (1,811,575 | ) | ||||||||
Securitized debt
|
(230,767 | ) | (242,048 | ) | (289,236 | ) | (303,102 | ) | ||||||||
Securitized debt, non-retained
|
(1,753,228 | ) | (1,684,847 | ) | (1,956,079 | ) | (1,887,121 | ) | ||||||||
Interest rate swaps
|
(44,970 | ) | (44,970 | ) | (9,988 | ) | (9,988 | ) |
September 30, 2011
|
December 31, 2010
|
|||||||
(dollars in thousands) | ||||||||
Overnight
|
$ | - | $ | - | ||||
1-29 days
|
1,440,366 | 232,265 | ||||||
30 to 59 days
|
1,211,182 | 970,394 | ||||||
60 to 89 days
|
203,362 | 545,442 | ||||||
90 to 119 days
|
430,443 | 60,696 | ||||||
Greater than or equal to 120 days
|
885,837 | - | ||||||
Total
|
$ | 4,171,190 | $ | 1,808,797 |
September 30, 2011
|
December 31, 2010
|
|||||||
(dollars in thousands) | ||||||||
Within One Year
|
$ | 526,455 | $ | 634,988 | ||||
One to Three Years
|
682,984 | 831,305 | ||||||
Three to Five Years
|
287,912 | 305,953 | ||||||
Greater Than or Equal to Five Years
|
429,544 | 417,977 | ||||||
Total
|
$ | 1,926,895 | $ | 2,190,223 |
September 30, 2011
|
December 31, 2010
|
|||||||
(dollars in thousands)
|
||||||||
Assets
|
||||||||
Non-Agency RMBS
|
$ | 3,608,720 | $ | 4,357,631 | ||||
Securitized loans
|
286,009 | 353,532 | ||||||
Liabilities
|
||||||||
Securitized debt, non-retained
|
$ | 1,753,228 | $ | 1,956,079 | ||||
Securitized debt, loans held for investment
|
230,767 | 289,236 |
For the Quarter Ended
|
||||||||
September 30, 2011
|
September 30, 2010
|
|||||||
(dollars in thousands)
|
||||||||
Interest income, non-retained
|
$ | 35,030 | $ | 55,088 | ||||
Interest income, securitized loans
|
4,085 | 6,884 | ||||||
Interest expense, non-retained
|
25,575 | 32,237 | ||||||
Interest expense, securized loans
|
4,068 | 8,333 | ||||||
Net interest income
|
$ | 9,472 | $ | 21,402 | ||||
For the Nine Months Ended
|
||||||||
September 30, 2011
|
September 30, 2010
|
|||||||
(dollars in thousands)
|
||||||||
Interest income, non-retained
|
$ | 107,569 | $ | 169,723 | ||||
Interest income, securitized loans
|
12,787 | 17,958 | ||||||
Interest expense, non-retained
|
81,462 | 87,488 | ||||||
Interest expense, securitized loans
|
13,540 | 17,896 | ||||||
Net interest income
|
$ | 25,354 | $ | 82,297 | ||||
For the Nine Months Ended
|
||||||||
September 30, 2011
|
September 30, 2010
|
|||||||
Proceeds from securitized debt borrowings, non-retained
|
$ | 311,012 | $ | 1,127,873 | ||||
Payments on securitized debt borrowings, non-retained
|
(520,730 | ) | (403,449 | ) | ||||
Payments on securitized debt borrowings, loans held for investment
|
(58,469 | ) | (70,684 | ) | ||||
(Accretion) amortization of debt issue costs of securitized debt, non-retained
|
6,867 | 8,892 | ||||||
Increase (decrease) in accrued interest receivable
|
3,709 | 9,388 | ||||||
Increase (decrease) in accrued interest payable
|
(1,241 | ) | (9,194 | ) | ||||
Net cash flows, non-retained
|
$ | (258,852 | ) | $ | 662,826 |
September 30, 2011
|
December 31, 2010
|
|||||||||||||||
Amortized Cost
|
Fair Value
|
Amortized Cost
|
Fair Value
|
|||||||||||||
(dollars in thousands) | ||||||||||||||||
Assets
|
||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||
Senior
|
$ | 265 | $ | 482 | $ | 400 | $ | 559 | ||||||||
Subordinated
|
3,029 | 5,480 | 5,420 | 6,485 | ||||||||||||
Agency RMBS
|
2,020 | 1,868 | 2,680 | 2,530 | ||||||||||||
Total
|
$ | 5,314 | $ | 7,830 | $ | 8,500 | $ | 9,574 |
Location on Consolidated
Statement of Financial
Condition
|
Notional Amount
|
Net Estimated Fair
Value/Carrying Value
|
Net Estimated Fair
Value of RMBS
Pledged as Collateral
|
|||||||||||
(dollars in thousands) | ||||||||||||||
September 30, 2011
|
Assets
|
$ | - | $ | - | $ | - | |||||||
September 30, 2011
|
Liabilities
|
$ | 950,000 | $ | (44,970 | ) | $ | 50,415 | ||||||
December 31, 2010
|
Assets
|
$ | - | $ | - | $ | - | |||||||
December 31, 2010
|
Liabilities
|
$ | 450,000 | $ | (9,988 | ) | $ | 12,818 |
Increase/Decrease in Net Income (Loss) to Common Shareholders
|
|||||||||
(dollars in thousands, except share and per share data)
|
|||||||||
(unaudited)
|
For the Quarter ended September 30, 2010
|
For the Nine Months ended September 30, 2010
|
|||||||
Previously reported Net Income
|
$ | 126,435 | $ | 376,624 | ||||
Restated Account Adjustments
|
||||||||
Interest Income
|
(722 | ) | (982 | ) | ||||
Interest expense
|
2,493 | 3,192 | ||||||
Interest Income Non-Retained
|
(3,002 | ) | 10,943 | |||||
Sub-total Interest Income
|
(1,231 | ) | 13,153 | |||||
Total other-than-temporary impairment losses
|
(50,608 | ) | (86,389 | ) | ||||
Non-credit portion of loss recognized in OCI
|
41,676 | 45,600 | ||||||
Net other-than-temporary impairment losses
|
(8,932 | ) | (40,789 | ) | ||||
Realized gains (losses) on interest rate swaps
|
(2,493 | ) | (3,192 | ) | ||||
Realized losses on principal write-downs of non-Agency RMBS
|
2,517 | 3,792 | ||||||
Total Adjustments
|
(10,139 | ) | (27,036 | ) | ||||
Restated Net Income (Loss) to Common Stockholders
|
$ | 116,296 | $ | 349,588 |
Consolidated Statement of Operations and Comprehensive Income (Loss)
|
||||||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||||||
(unaudited)
|
For the Quarter ended
September 30, 2010
|
For the Nine Months ended
September 30, 2010
|
|||||||||||||||
As Previously Reported
|
Restated
|
As Previously Reported
|
Restated
|
|||||||||||||
Statement of Operations:
|
||||||||||||||||
Interest income
|
$ | 140,405 | $ | 139,683 | $ | 402,911 | $ | 401,929 | ||||||||
Interest income, non-retained
|
$ | 58,090 | $ | 55,088 | $ | 158,780 | $ | 169,723 | ||||||||
Interest Expense
|
$ | 10,527 | $ | 8,034 | $ | 25,099 | $ | 21,907 | ||||||||
Net Interest Income
|
$ | 155,731 | $ | 154,500 | $ | 449,104 | $ | 462,257 | ||||||||
Total other-than-temporary impairment losses
|
$ | (1,314 | ) | $ | (51,922 | ) | $ | 48,747 | $ | (135,136 | ) | |||||
Non-credit portion of loss recognized in other comprehensive income
|
$ | 436 | $ | 42,112 | $ | 38,432 | $ | 84,032 | ||||||||
Net other-than-temporary credit impairment losses
|
$ | (878 | ) | $ | (9,810 | ) | $ | (10,315 | ) | $ | (51,104 | ) | ||||
Realized gains (losses) on interest rate swaps
|
$ | - | $ | (2,493 | ) | $ | - | $ | (3,192 | ) | ||||||
Realized losses on principal write-downs on non-Agency RMBS
|
$ | (2,517 | ) | $ | - | $ | 3,792 | $ | - | |||||||
Total other gains (losses)
|
$ | (14,068 | ) | $ | (14,044 | ) | $ | (26,238 | ) | $ | (25,638 | ) | ||||
Net investment income (loss)
|
$ | 140,785 | $ | 130,646 | $ | 412,551 | $ | 385,515 | ||||||||
Net Income (Loss)
|
$ | 126,435 | $ | 116,296 | $ | 376,624 | $ | 349,588 | ||||||||
Net income per share-basic and diluted
|
$ | 0.14 | $ | 0.13 | $ | 0.49 | $ | 0.45 | ||||||||
Comprehensive income:
|
||||||||||||||||
Net income (loss)
|
$ | 126,435 | $ | 116,296 | $ | 376,624 | $ | 349,588 | ||||||||
Unrealized gain (losses) on securities available-for-sale
|
$ | 20,408 | $ | 24,132 | $ | 110,465 | $ | 100,504 | ||||||||
Reclassification adjustment for net losses included in the net income (loss) for other-than-temporary credit impairment losses
|
$ | 878 | $ | 9,810 | $ | 10,315 | $ | 51,104 | ||||||||
Reclassification adjustment for realized losses (gains) included in net income (loss)
|
$ | 485 | $ | (2,032 | ) | $ | 1,418 | $ | (2,374 | ) | ||||||
Other comprehensive income (loss)
|
$ | 21,771 | $ | 31,910 | $ | 122,198 | $ | 149,234 | ||||||||
Comprehensive income (loss)
|
$ | 148,206 | $ | 148,206 | $ | 498,822 | $ | 498,822 |
Consolidated Statements of Financial Condition
|
||||||||
(dollars in thousands, except share and per share data)
|
||||||||
(unaudited)
|
||||||||
December 31, 2010
|
||||||||
As Previously
Reported
|
Restated
|
|||||||
Stockholders Equity:
|
||||||||
Accumulated other comprehensive income
|
$ | 274,651 | $ | 321,537 | ||||
Retained earnings (accumulated deficit)
|
$ | (203,796 | ) | $ | (250,682 | ) |
Consolidated Statements of Changes in Shareholder Equity
|
||||||||||||||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||||||||||||||
(unaudited)
|
Accumulated Other
Comprehensive Income (Loss)
|
Retained Earnings
(Accumulated Deficit)
|
Total Stockholders' Equity
|
||||||||||||||||||||||
As Previously Reported
|
Restated
|
As Previously Reported
|
Restated
|
As Previously Reported
|
Restated
|
|||||||||||||||||||
Balance, December 31, 2009
|
$ | (99,754 | ) | $ | (99,754 | ) | $ | (70,991 | ) | $ | (70,991 | ) | $ | 2,126,562 | $ | 2,126,562 | ||||||||
Net income (loss)
|
$ | - | $ | - | $ | 376,624 | $ | 349,588 | - | - | ||||||||||||||
Other comprehensive income (loss)
|
$ | 122,198 | $ | 149,234 | $ | - | $ | - | - | - | ||||||||||||||
Balance, September 30, 2010
|
$ | 22,444 | $ | 49,480 | $ | (185,578 | ) | $ | (212,614 | ) | $ | 2,902,347 | $ | 2,902,347 | ||||||||||
Balance, December 31, 2010
|
$ | 274,651 | $ | 321,537 | $ | (203,796 | ) | $ | (250,682 | ) | $ | 3,683,006 | $ | 3,683,006 |
Consolidated Statement of Cash Flows
|
||||||||
(dollars in thousands, except share and per share data)
|
||||||||
(unaudited)
|
For the Nine Months Ended
September 30, 2010
|
||||||||
As Previously Reported
|
Restated
|
|||||||
Cash Flows From Operating Activities:
|
||||||||
Net income (loss)
|
$ | 376,624 | $ | 349,588 | ||||
(Accretion) amortization of investment discounts/premiums
|
$ | (187,869 | ) | $ | (197,830 | ) | ||
(Accretion) amortization of debt issue costs of securitized debt, non-retained
|
$ | - | $ | 8,892 | ||||
Realized losses on principal write-downs of non-Agency RMBS
|
$ | 3,792 | $ | - | ||||
Net other-than-temporary credit impairment losses
|
$ | 10,315 | $ | 51,104 | ||||
Net cash provided by operating activities
|
$ | 225,432 | $ | 234,324 | ||||
Cash Flows From Financing Activities:
|
||||||||
Payments on securitized debt borrowings, non-retained
|
$ | (394,557 | ) | $ | (403,449 | ) | ||
Net cash provided by financing activities
|
$ | 665,268 | $ | 656,376 | ||||
Non-cash investing activities:
|
||||||||
Net change in unrealized gain on available-for sale securities
|
$ | 122,198 | $ | 149,234 |
·
|
our business and investment strategy;
|
·
|
our projected financial and operating results;
|
·
|
our ability to maintain existing financing arrangements, obtain future financing arrangements and the terms of such arrangements;
|
·
|
general volatility of the securities markets in which we invest;
|
·
|
the impact of and changes to various government programs;
|
·
|
our expected investments;
|
·
|
changes in the value of our investments;
|
·
|
interest rate mismatches between our investments and our borrowings used to fund such purchases;
|
·
|
changes in interest rates and mortgage prepayment rates;
|
·
|
effects of interest rate caps on our adjustable-rate investments;
|
·
|
rates of default or decreased recovery rates on our investments;
|
·
|
prepayments of the mortgage and other loans underlying our mortgage-backed or other asset-backed securities;
|
·
|
the degree to which our hedging strategies may or may not protect us from interest rate volatility;
|
·
|
impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters;
|
·
|
availability of investment opportunities in real estate-related and other securities;
|
·
|
availability of qualified personnel;
|
·
|
estimates relating to our ability to make distributions to our stockholders in the future;
|
·
|
our understanding of our competition;
|
·
|
market trends in our industry, interest rates, the debt securities markets or the general economy;
|
·
|
our ability to maintain our classification as a REIT for federal income tax purposes; and
|
·
|
our ability to maintain our exemption from registration under the Investment Company Act of 1940.
|
September 30, 2011
|
||||||||||||
GAAP Book Value
|
Adjustments
|
Estimated
Economic Book
Value
|
||||||||||
(dollars in thousands)
|
||||||||||||
Assets:
|
||||||||||||
Non-Agency Mortgage-Backed Securities, at fair value
|
||||||||||||
Senior
|
$ | 321,483 | $ | - | $ | 321,483 | ||||||
Subordinated
|
2,074,409 | - | 2,074,409 | |||||||||
Senior, non-retained
|
2,013,798 | (2,013,798 | ) | - | ||||||||
Agency Mortgage-Backed Securities, at fair value
|
4,952,721 | - | 4,952,721 | |||||||||
Securitized loans held for investment, net of allowance for loan losses
|
286,009 | - | 286,009 | |||||||||
Other current assets
|
65,785 | - | 65,785 | |||||||||
Total assets
|
$ | 9,714,205 | $ | (2,013,798 | ) | $ | 7,700,407 | |||||
Repurchase agreements
|
4,171,190 | - | 4,171,190 | |||||||||
Securitized debt
|
230,767 | - | 230,767 | |||||||||
Securitized debt, non-retained
|
1,753,228 | (1,753,228 | ) | - | ||||||||
Other liabilities
|
204,951 | - | 204,951 | |||||||||
Total liabilities
|
6,360,136 | (1,753,228 | ) | 4,606,908 | ||||||||
Total stockholders' equity
|
3,354,069 | (260,570 | ) | 3,093,499 | ||||||||
Total liabilities and stockholders' equity
|
$ | 9,714,205 | $ | (2,013,798 | ) | $ | 7,700,407 | |||||
Book Value Per Share
|
$ | 3.27 | $ | (0.26 | ) | $ | 3.01 | |||||
December 31, 2010
|
||||||||||||
GAAP Book Value
|
Adjustments
|
Estimated
Economic
Book Value
|
||||||||||
Assets:
|
(dollars in thousands)
|
|||||||||||
Non-Agency Mortgage-Backed Securities, at fair value
|
||||||||||||
Senior
|
$ | 987,685 | $ | - | $ | 987,685 | ||||||
Subordinated
|
2,210,858 | - | 2,210,858 | |||||||||
Senior, non-retained
|
2,330,568 | (2,330,568 | ) | - | ||||||||
Agency Mortgage-Backed Securities, at fair value
|
2,133,584 | - | 2,133,584 | |||||||||
Securitized loans held for investment, net of allowance for loan losses
|
353,532 | - | 353,532 | |||||||||
Other current assets
|
57,473 | - | 57,473 | |||||||||
Total assets
|
$ | 8,073,700 | $ | (2,330,568 | ) | $ | 5,743,132 | |||||
Repurchase agreements
|
1,808,797 | - | 1,808,797 | |||||||||
Securitized debt
|
289,236 | - | 289,236 | |||||||||
Securitized debt, non-retained
|
1,956,079 | (1,956,079 | ) | - | ||||||||
Other liabilities
|
336,582 | - | 336,582 | |||||||||
Total liabilities
|
4,390,694 | (1,956,079 | ) | 2,434,615 | ||||||||
Total stockholders' equity
|
3,683,006 | (374,489 | ) | 3,308,517 | ||||||||
Total liabilities and stockholders' equity
|
$ | 8,073,700 | $ | (2,330,568 | ) | $ | 5,743,132 | |||||
Book Value Per Share
|
$ | 3.59 | $ | (0.36 | ) | $ | 3.23 |
CHIMERA INVESTMENT CORPORATION
|
||||||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (LOSS)
|
||||||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||||||
(unaudited)
|
For the Quarter Ended
|
For the Nine Months Ended
|
|||||||||||||||
September 30, 2011
|
September 30, 2010
|
September 30, 2011
|
September 30, 2010
|
|||||||||||||
Net Interest Income:
|
||||||||||||||||
Interest income
|
$ | 177,640 | $ | 139,683 | $ | 600,576 | $ | 401,929 | ||||||||
Interest expense
|
7,217 | 8,034 | 22,700 | 21,907 | ||||||||||||
Interest income, non-retained
|
35,030 | 55,088 | 107,569 | 169,723 | ||||||||||||
Interest expense, non-retained
|
25,575 | 32,237 | 81,462 | 87,488 | ||||||||||||
Net interest income (expense)
|
179,878 | 154,500 | 603,983 | 462,257 | ||||||||||||
Other-than-temporary impairments:
|
||||||||||||||||
Total other-than-temporary impairment losses
|
(249,257 | ) | (51,922 | ) | (432,973 | ) | (135,136 | ) | ||||||||
Non-credit portion of loss recognized in other comprehensive income (loss)
|
208,081 | 42,112 | 327,469 | 84,032 | ||||||||||||
Net other-than-temporary credit impairment losses
|
(41,176 | ) | (9,810 | ) | (105,504 | ) | (51,104 | ) | ||||||||
Other gains (losses):
|
||||||||||||||||
Unrealized gains (losses) on interest rate swaps
|
(25,312 | ) | (13,583 | ) | (34,981 | ) | (24,820 | ) | ||||||||
Realized gains (losses) on interest rate swaps
|
(4,500 | ) | (2,493 | ) | (11,644 | ) | (3,192 | ) | ||||||||
Gains (losses) on interest rate swaps
|
(29,812 | ) | (16,076 | ) | (46,625 | ) | (28,012 | ) | ||||||||
Net gains (losses) on interest-only RMBS
|
52 | - | (4,390 | ) | - | |||||||||||
Net gains (losses) on embedded derivatives in interest-only RMBS
|
(28,175 | ) | - | (30,409 | ) | - | ||||||||||
Realized gains (losses) on sales of investments, net
|
28 | 2,032 | 1,342 | 2,374 | ||||||||||||
Total other gains (losses)
|
(57,907 | ) | (14,044 | ) | (80,082 | ) | (25,638 | ) | ||||||||
Net investment income (loss)
|
80,795 | 130,646 | 418,397 | 385,515 | ||||||||||||
Other expenses:
|
||||||||||||||||
Management fee
|
13,252 | 11,318 | 39,154 | 28,695 | ||||||||||||
Provision for loan losses
|
- | 482 | 1,442 | 2,112 | ||||||||||||
General and administrative expenses
|
1,830 | 1,798 | 5,137 | 4,367 | ||||||||||||
Total other expenses
|
15,082 | 13,598 | 45,733 | 35,174 | ||||||||||||
Income (loss) before income taxes
|
65,713 | 117,048 | 372,664 | 350,341 | ||||||||||||
Income taxes
|
(171 | ) | 752 | 645 | 753 | |||||||||||
Net income (loss)
|
$ | 65,884 | $ | 116,296 | $ | 372,019 | $ | 349,588 | ||||||||
Net income (loss) per share-basic and diluted
|
$ | 0.06 | $ | 0.13 | $ | 0.36 | $ | 0.45 | ||||||||
Weighted average number of shares outstanding-basic and diluted
|
1,027,195,404 | 883,147,726 | 1,027,130,136 | 773,777,431 | ||||||||||||
Comprehensive income (loss):
|
||||||||||||||||
Net income (loss)
|
$ | 65,884 | $ | 116,296 | $ | 372,019 | $ | 349,588 | ||||||||
Other comprehensive income (loss):
|
||||||||||||||||
Unrealized gains (losses) on available-for-sale securities, net
|
(58,429 | ) | 24,132 | (395,727 | ) | 100,504 | ||||||||||
Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses
|
41,176 | 9,810 | 105,504 | 51,104 | ||||||||||||
Reclassification adjustment for net realized losses (gains) included in net income (loss)
|
(28 | ) | (2,032 | ) | (1,342 | ) | (2,374 | ) | ||||||||
Other comprehensive income (loss)
|
(17,281 | ) | 31,910 | (291,565 | ) | 149,234 | ||||||||||
Comprehensive income (loss)
|
$ | 48,603 | $ | 148,206 | $ | 80,454 | $ | 498,822 | ||||||||
See notes to consolidated financial statements.
|
Management Fees, Loan Loss Provision and G&A Expenses and Operating Expense Ratios
|
||||||||||||
Total Management
Fee, Loan Loss
Provision and G&A
Expenses
|
Total Management
Fee, Loan Loss
Provision and G&A
Expenses/Total Assets
|
Total Management
Fee, Loan Loss
Provision and G&A
Expenses/Average
Equity
|
||||||||||
(Ratios have been annualized, dollars in thousands)
|
||||||||||||
For the quarter ended September 30, 2011
|
$ | 15,082 | 0.61 | % | 1.78 | % | ||||||
For the quarter ended June 30, 2011
|
$ | 14,972 | 0.59 | % | 1.72 | % | ||||||
For the quarter ended March 31, 2011
|
$ | 15,679 | 0.68 | % | 1.74 | % | ||||||
For the year ended December 31, 2010
|
$ | 49,628 | 0.78 | % | 1.71 | % | ||||||
For the quarter ended December 31, 2010
|
$ | 14,454 | 0.76 | % | 1.76 | % | ||||||
For the quarter ended September 30, 2010
|
$ | 13,598 | 0.77 | % | 1.87 | % |
September 30, 2011
|
December 31, 2010
|
|||||||
Overnight
|
$ | - | $ | - | ||||
1-29 days
|
1,440,366 | 232,265 | ||||||
30 to 59 days
|
1,211,182 | 970,394 | ||||||
60 to 89 days
|
203,362 | 545,442 | ||||||
90 to 119 days
|
430,443 | 60,696 | ||||||
Greater than or equal to 120 days
|
885,837 | - | ||||||
Total
|
$ | 4,171,190 | $ | 1,808,797 |
Period
|
Average Repurchase
Balance
|
Repurchase Balance at
Quarter End
|
||||||
(dollars in thousands)
|
||||||||
Quarter Ended September 30, 2011
|
$ | 4,301,251 | $ | 4,171,190 | ||||
Quarter Ended June 30, 2011
|
4,308,787 | 4,320,487 | ||||||
Quarter Ended March 31, 2011
|
3,385,155 | 3,870,407 | ||||||
Year Ended December 31, 2010
|
1,525,280 | 1,808,797 | ||||||
Quarter Ended December 31, 2010
|
1,575,917 | 1,808,797 | ||||||
Quarter Ended September 30, 2010
|
1,272,017 | 1,568,223 | ||||||
September 30, 2011
|
||||||||
Change in Interest Rate
|
Projected Percentage Change in Net Interest Income
|
Projected Percentage Change in Portfolio Value
|
||||||
-75 Basis Points
|
(10.75 | %) | 4.88 | % | ||||
-50 Basis Points
|
(8.36 | %) | 3.23 | % | ||||
-25 Basis Points
|
(5.99 | %) | 1.60 | % | ||||
Base Interest Rate
|
- | - | ||||||
+25 Basis Points
|
1.02 | % | (1.58 | %) | ||||
+50 Basis Points
|
1.33 | % | (3.14 | %) | ||||
+75 Basis Points
|
1.65 | % | (4.68 | %) |
●
|
monitoring and adjusting, if necessary, the reset index and interest rate related to our RMBS and our financings;
|
●
|
attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods;
|
●
|
using derivatives, financial futures, swaps, options, caps, floors and forward sales to adjust the interest rate sensitivity of our investments and our borrowings;
|
●
|
using securitization financing to lower average cost of funds relative to short-term financing vehicles further allowing us to receive the benefit of attractive terms for an extended period of time in contrast to short term financing and maturity dates of the investments included in the securitization; and
|
●
|
actively managing, on an aggregate basis, the interest rate indices, interest rate adjustment periods, and gross reset margins of our investments and the interest rate indices and adjustment periods of our financings.
|
Within 3
Months
|
3-12 Months
|
1 Year to 3
Years
|
Greater than 3
Years
|
Total
|
||||||||||||||||
Rate sensitive assets
|
$ | 793,939 | $ | 2,794,264 | $ | 1,715,586 | $ | 13,268,311 | $ | 18,572,100 | ||||||||||
Cash equivalents
|
9,824 | - | - | - | 9,824 | |||||||||||||||
Total rate sensitive assets
|
803,763 | 2,794,264 | 1,715,586 | 13,268,311 | 18,581,924 | |||||||||||||||
Rate sensitive liabilities
|
1,960,928 | 1,782,517 | 189,973 | 1,323,842 | 5,257,260 | |||||||||||||||
Interest rate sensitivity gap
|
$ | (1,157,165 | ) | $ | 1,011,747 | $ | 1,525,613 | $ | 11,944,469 | $ | 13,324,664 | |||||||||
Cumulative rate sensitivity gap
|
$ | (1,157,165 | ) | $ | (145,418 | ) | $ | 1,380,195 | $ | 13,324,664 | ||||||||||
Cumulative interest rate sensitivity gap as a
|
||||||||||||||||||||
percentage of total rate sensitive assets
|
-6 | % | -1 | % | 7 | % | 72 | % |
ITEM 4.
|
|
(a)
|
During the third quarter of 2011, we determined that the application of ASC 325-40,
Investments – Other, Beneficial Interests in Securitized Financial Assets
, should be applied rather than ASC 320-10,
Investments – Debt and Equity Securities
, in evaluating non-Agency RMBS that are not of high credit quality for other-than-temporary impairment and related interest income recognition. We consider a non-Agency RMBS to be not of high credit quality when it does not have an actual or implied rating of AA or higher at the time of acquisition. We evaluated the effect of the change in application of the accounting principle or standard on our consolidated financial statements. We do not believe the adjustments resulting from this change in application are material to our consolidated financial statements for any reported period.
|
|
(b)
|
In connection with the adjustments, we further evaluated our internal control over financial reporting. We determined that as of September 30, 2011 the above referenced error in application of accounting standards demonstrated a material weakness in our internal control over financial reporting and our existing disclosure controls and procedures were not effective in preventing or detecting this error.
|
|
(c)
|
In order to remediate the material weakness in our internal control over financial reporting we have engaged an independent registered public accounting firm and accounting research consulting firm with affiliates worldwide (the “SAS 50 Advisor”) to assist us with our application of accounting standards to all aspects of our financial reporting. We have implemented the following changes to internal controls:
|
●
|
We have arranged to utilize the SAS 50 Advisor going forward for our accounting standards research support.
|
●
|
We have enhanced the internal review procedures over the application of existing and proposed GAAP standards as it applies to our consolidated financial reporting.
|
Increase/Decrease in Net Income (Loss) to Common Stockholders
|
|
(dollars in thousands, except share and per share data)
|
|
(unaudited)
|
For the Quarter Ended
|
For the Six Months Ended
|
For the Year Ended
|
||||||||||||||||||||||||||||||||||
March 31, 2010
|
June 30,
2010
|
September 30, 2010
|
December 31, 2010
|
March 31, 2011
|
June 30,
2011
|
June 30,
2010
|
June 30,
2011
|
December 31, 2010
|
||||||||||||||||||||||||||||
Previously reported Net Income
|
125,610 | 124,579 | 126,435 | 156,227 | 163,362 | 117,843 | 250,189 | 281,205 | 532,851 | |||||||||||||||||||||||||||
Restated Account Adjustments
|
- | - | - | |||||||||||||||||||||||||||||||||
Interest Income
|
(608 | ) | 348 | (722 | ) | 583 | 7,559 | 14,568 | (260 | ) | 22,127 | (399 | ) | |||||||||||||||||||||||
Interest Expense
|
- | 699 | 2,493 | 2,596 | 2,847 | - | 699 | 2,847 | 5,788 | |||||||||||||||||||||||||||
Interest Income Non-Retained
|
13,481 | 464 | (3,002 | ) | (2,762 | ) | 12,965 | 9,987 | 13,945 | 22,952 | 8,181 | |||||||||||||||||||||||||
Net Interest Income
|
12,873 | 1,511 | (1,231 | ) | 417 | 23,371 | 24,555 | 14,384 | 47,926 | 13,570 | ||||||||||||||||||||||||||
Total other-than-temporary impairment losses
|
(39,372 | ) | 3,591 | (50,608 | ) | (30,421 | ) | (64,919 | ) | (112,666 | ) | (35,781 | ) | (177,585 | ) | (116,810 | ) | |||||||||||||||||||
Non-credit portion of loss recognized in OCI
|
12,022 | (8,098 | ) | 41,676 | 8,969 | 34,169 | 82,757 | 3,924 | 116,926 | 54,569 | ||||||||||||||||||||||||||
Net other-than-temporary credit impairment losses
|
(27,350 | ) | (4,507 | ) | (8,932 | ) | (21,452 | ) | (30,750 | ) | (29,909 | ) | (31,857 | ) | (60,659 | ) | (62,241 | ) | ||||||||||||||||||
Realized gains (losses) on interest rate swaps
|
- | (699 | ) | (2,493 | ) | (2,596 | ) | (2,847 | ) | - | (699 | ) | (2,847 | ) | (5,788 | ) | ||||||||||||||||||||
Realized gains (losses) on sales of investments, net
|
- | - | - | 188 | (1,049 | ) | (1 | ) | - | (1,050 | ) | 188 | ||||||||||||||||||||||||
Realized losses on principal write-downs of non-Agency RMBS
|
949 | 326 | 2,517 | 3,593 | 19,520 | 22,040 | 1,275 | 41,560 | 7,385 | |||||||||||||||||||||||||||
Total Adjustments
|
(13,528 | ) | (3,369 | ) | (10,139 | ) | (19,850 | ) | 8,245 | 16,685 | (16,897 | ) | 24,930 | (46,886 | ) | |||||||||||||||||||||
- | - | - | ||||||||||||||||||||||||||||||||||
Restated Net Income (Loss) to Common Stockholders
|
112,082 | 121,210 | 116,296 | 136,377 | 171,607 | 134,528 | 233,292 | 306,135 | 485,965 | |||||||||||||||||||||||||||
Consolidated Statement of Operations and Comprehensive Income (Loss)
|
|
(dollars in thousands, except share and per share data)
|
|
(unaudited)
|
For the Quarter ended March 31, 2010
|
For the Quarter ended
June 30, 2010
|
For the Quarter ended September 30, 2010
|
For the Quarter ended December 31, 2010
|
For the Quarter ended March 31, 2011
|
For the Quarter ended
June 30, 2011
|
|||||||||||||||||||||||||||||||||||||||||||
As Previously Reported
|
Restated
|
As Previously Reported
|
Restated
|
As Previously Reported
|
Restated
|
As Previously Reported
|
Restated
|
As Previously Reported
|
Restated
|
As Previously Reported
|
Restated
|
|||||||||||||||||||||||||||||||||||||
Statement of Operations:
|
||||||||||||||||||||||||||||||||||||||||||||||||
Interest income
|
$ | 128,984 | $ | 128,376 | $ | 133,522 | $ | 133,870 | $ | 140,405 | $ | 139,683 | $ | 159,967 | $ | 160,550 | $ | 206,574 | $ | 214,133 | $ | 194,235 | $ | 208,803 | ||||||||||||||||||||||||
Interest expense
|
$ | 7,374 | $ | 7,374 | $ | 7,198 | $ | 6,499 | $ | 10,527 | $ | 8,034 | $ | 12,076 | $ | 9,480 | $ | 10,849 | $ | 8,002 | $ | 7,481 | $ | 7,481 | ||||||||||||||||||||||||
Interest income, non-retained
|
$ | 50,861 | $ | 64,342 | $ | 49,829 | $ | 50,293 | $ | 58,090 | $ | 55,088 | $ | 33,780 | $ | 31,018 | $ | 21,159 | $ | 34,124 | $ | 28,428 | $ | 38,415 | ||||||||||||||||||||||||
Net Interest Income
|
$ | 138,641 | $ | 151,514 | $ | 155,431 | $ | 156,243 | $ | 155,731 | $ | 154,500 | $ | 154,098 | $ | 154,515 | $ | 189,309 | $ | 212,680 | $ | 186,870 | $ | 211,425 | ||||||||||||||||||||||||
Total other-than-temporary impairment losses
|
$ | (22,687 | ) | $ | (62,059 | ) | $ | (24,746 | ) | $ | (21,155 | ) | $ | (1,314 | ) | $ | (51,922 | ) | $ | (5,596 | ) | $ | (36,017 | ) | $ | (4,205 | ) | $ | (69,124 | ) | $ | (1,926 | ) | $ | (114,592 | ) | ||||||||||||
Non-credit portion of loss recognized in other comprehensive income
|
$ | 20,143 | $ | 32,165 | $ | 17,853 | $ | 9,755 | $ | 436 | $ | 42,112 | $ | 3,233 | $ | 12,202 | $ | 1,580 | $ | 35,749 | $ | 882 | $ | 83,639 | ||||||||||||||||||||||||
Net other-than-temporary credit impairment losses
|
$ | (2,544 | ) | $ | (29,894 | ) | $ | (6,893 | ) | $ | (11,400 | ) | $ | (878 | ) | $ | (9,810 | ) | $ | (2,363 | ) | $ | (23,815 | ) | $ | (2,625 | ) | $ | (33,375 | ) | $ | (1,044 | ) | $ | (30,953 | ) | ||||||||||||
Realized gains (losses) on interest rate swaps
|
$ | - | $ | - | $ | - | $ | (699 | ) | $ | - | $ | (2,493 | ) | $ | - | $ | (2,596 | ) | $ | - | $ | (2,847 | ) | $ | - | $ | (4,297 | ) | |||||||||||||||||||
Realized losses on principal write-downs on non-Agency RMBS
|
$ | (949 | ) | $ | - | $ | (326 | ) | $ | - | $ | (2,517 | ) | $ | - | $ | (3,593 | ) | $ | - | $ | (19,520 | ) | $ | - | $ | (22,040 | ) | $ | - | ||||||||||||||||||
Total other gains (losses)
|
$ | (607 | ) | $ | 342 | $ | (12,262 | ) | $ | (11,936 | ) | $ | (14,068 | ) | $ | (14,044 | ) | $ | 18,949 | $ | 20,134 | $ | (6,945 | ) | $ | 8,679 | $ | (52,893 | ) | $ | (30,854 | ) | ||||||||||||||||
Net investment income (loss)
|
$ | 135,490 | $ | 121,962 | $ | 136,276 | $ | 132,907 | $ | 140,785 | $ | 130,646 | $ | 170,684 | $ | 150,834 | $ | 179,739 | $ | 187,984 | $ | 132,933 | $ | 149,618 | ||||||||||||||||||||||||
Net Income (Loss)
|
$ | 125,610 | $ | 112,082 | $ | 124,579 | $ | 121,210 | $ | 126,435 | $ | 116,296 | $ | 156,227 | $ | 136,377 | $ | 163,362 | $ | 171,607 | $ | 117,843 | $ | 134,528 | ||||||||||||||||||||||||
Net income per share-basic and diluted
|
$ | 0.19 | $ | 0.17 | $ | 0.16 | $ | 0.16 | $ | 0.14 | $ | 0.13 | $ | 0.16 | $ | 0.14 | $ | 0.16 | $ | 0.17 | $ | 0.11 | $ | 0.13 | ||||||||||||||||||||||||
Comprehensive income:
|
||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss)
|
$ | 125,610 | $ | 112,082 | $ | 124,579 | $ | 121,210 | $ | 126,435 | $ | 116,296 | $ | 156,227 | $ | 136,377 | $ | 163,362 | $ | 171,607 | $ | 117,843 | $ | 134,528 | ||||||||||||||||||||||||
Unrealized gain (losses) on securities available-for-sale
|
$ | 241,581 | $ | 228,708 | $ | (151,524 | ) | $ | (152,336 | ) | $ | 20,408 | $ | 24,132 | $ | 253,962 | $ | 256,141 | $ | (180,153 | ) | $ | (200,677 | ) | $ | (112,066 | ) | $ | (136,621 | ) | ||||||||||||||||||
Reclassification adjustment for net losses included in the net income (loss) for other-than-temporary credit impairment losses
|
$ | 2,544 | $ | 29,894 | $ | 6,893 | $ | 11,400 | $ | 878 | $ | 9,810 | $ | 2,363 | $ | 23,815 | $ | 2,625 | $ | 33,375 | $ | 1,044 | $ | 30,953 | ||||||||||||||||||||||||
Reclassification adjustment for realized losses (gains) included in net income (loss)
|
$ | 607 | $ | (342 | ) | $ | 326 | $ | - | $ | 485 | $ | (2,032 | ) | $ | (4,118 | ) | $ | (7,899 | ) | $ | 16,776 | $ | (1,695 | ) | $ | 22,420 | $ | 381 | |||||||||||||||||||
Other comprehensive income (loss)
|
$ | 244,732 | $ | 258,260 | $ | (144,305 | ) | $ | (140,936 | ) | $ | 21,771 | $ | 31,910 | $ | 252,207 | $ | 272,057 | $ | (160,752 | ) | $ | (168,997 | ) | $ | (88,602 | ) | $ | (105,287 | ) | ||||||||||||||||||
Comprehensive income (loss)
|
$ | 370,342 | $ | 370,342 | $ | (19,726 | ) | $ | (19,726 | ) | $ | 148,206 | $ | 148,206 | $ | 408,434 | $ | 408,434 | $ | 2,610 | $ | 2,610 | $ | 29,241 | $ | 29,241 |
Exhibit 101.INS XBRL
|
Instance Document*
|
Exhibit 101.SCH XBRL
|
Taxonomy Extension Schema Document*
|
Exhibit 101.CAL XBRL
|
Taxonomy Extension Calculation Linkbase Document*
|
Exhibit 101.DEF XBRL
|
Additional Taxonomy Extension Definition Linkbase Document Created*
|
Exhibit 101.LAB XBRL
|
Taxonomy Extension Label Linkbase Document*
|
Exhibit 101.PRE XBRL
|
Taxonomy Extension Presentation Linkbase Document*
|
CHIMERA INVESTMENT CORPORATION
|
|
By:
/s/ Matthew Lambiase
|
|
Matthew Lambiase
|
|
Chief Executive Officer and President
|
|
November 18, 2011
|
|
By:
/s/ A. Alexandra Denahan
|
|
A. Alexandra Denahan
|
|
Chief Financial Officer (Principal Financial Officer)
|
|
November 18, 2011
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Chimera Investment Corporation;
|
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
|
|
a.
|
Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
b.
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
c.
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d.
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
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a.
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All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
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b.
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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Date: November 18, 2011
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/s/ Matthew Lambiase
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Matthew Lambiase
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Chief Executive Officer and President (Principal Executive Officer)
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1.
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I have reviewed this quarterly report on Form 10-Q of Chimera Investment Corporation;
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
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Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
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The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) for the registrant and have:
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a.
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Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
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b.
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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c.
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Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
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d.
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Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
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The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
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|
a.
|
All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
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b.
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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Date: November 18, 2011
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/s/
A. Alexandra Denahan
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A. Alexandra Denahan
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Chief Financial Officer (Principal Financial Officer)
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1.
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The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
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2.
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The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
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/s/ Matthew Lambiase
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Matthew Lambiase
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Chief Executive Officer and President
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November 18, 2011
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1.
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The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
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2.
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The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
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/s/ A. Alexandra Denahan
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A. Alexandra Denahan
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Chief Financial Officer
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November 18, 2011
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