UNITED STATES
SECURITIES
AND EXCHANGE COMMISSION
Washington,
DC 20549
______________
FORM
8-K
CURRENT
REPORT
PURSUANT
TO SECTION 13 OR 15(d) OF THE
SECURITIES
EXCHANGE ACT OF 1934
Date
of Report (Date of earliest event reported):
August
11, 2014
CHIMERA
INVESTMENT CORPORATION
(Exact
name of registrant as specified in its charter)
Maryland |
1-33796 |
26-0630461 |
(State or Other Jurisdiction of Incorporation) |
(Commission File Number) |
(IRS Employer Identification No.) |
1211 Avenue of the Americas Suite 2902 New York, New York |
10036 |
(Address of principal executive offices) |
(Zip Code) |
Registrant’s telephone number, including area code: (646) 454-3759
No Change
(Former
Name or Former Address, if Changed Since Last Report)
Check the
appropriate box below if the Form 8-K filing is intended to
simultaneously satisfy the filing obligation of the registrant under any
of the following provisions:
⃞ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
⃞ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
⃞ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
⃞ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
Item 2.02. Results of Operations and Financial Condition
On August 11, 2014, the registrant issued a press release announcing its financial results for the quarter ended June 30, 2014. A copy of the press release is furnished as Exhibit 99.1 to this report.
On August 11, 2014, the registrant posted supplemental financial
information on the Investor Relations section of its website
(www.chimerareit.com). A copy of the supplemental financial information
is furnished as Exhibit 99.2 to this report and incorporated herein by
reference.
(d) | Exhibits | |
99.1 |
Press Release, dated August 11, 2014, issued by Chimera Investment Corporation |
|
99.2 | Supplemental Financial Information for the quarter ended June 30, 2014 |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Chimera Investment Corporation |
||||
|
|
By: |
/s/ Rob Colligan |
|
Name: |
Rob Colligan |
|||
Title: |
Chief Financial Officer |
|||
Date: |
August 11, 2014 |
Exhibit 99.1
Chimera Investment Corporation Reports EPS for the 2nd Quarter 2014 of $0.10 Per Share and Book Value of $3.35 Per Share
NEW YORK--(BUSINESS WIRE)--August 11, 2014--Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the quarter ended June 30, 2014.
Financial Performance and Key Metrics
The Company reported net income for the quarter ended June 30, 2014 of $105 million or $0.10 per average share compared to $100 million or $0.10 per average share and $143 million or $0.14 per average share for the quarters ended March 31, 2014 and June 30, 2013 respectively. Net income for the six months ended June 30, 2014 was $205 million or $0.20 per average share as compared to net income for the six months ended June 30, 2013 of $223 million or $0.22 per average share.
GAAP book value was $3.35 per share, an increase of 2% from March 31, 2014 and an increase of 3% from December 31, 2013. Economic book value was $3.09 per share, an increase of 2% from March 31, 2014 and an increase of 10% from December 31, 2013. Book value increases reflect the favorable market fundamentals for both Agency and Non-Agency RMBS during the second quarter of 2014.
During the quarter ended June 30, 2014, the Company purchased $6 billion of Agency RMBS and deconsolidated portions of a re-securitization. The re-securitization transaction yielded a $48 million gain for GAAP reporting and approximately $25 million on a tax basis. For the quarter, the company purchased $52 million of Non-Agency RMBS and sold $38 million, bringing year to date Non-Agency RMBS purchases to $189 million and sales to $51 million. Year to date purchases of Non-Agency RMBS have been primarily focused on Non-Agency senior positions and sales have been focused on senior Interest Only positions.
The Company declared a common stock dividend of $0.09 per share for the quarter ended June 30, 2014 and announced the continuation of a $0.09 dividend for the third and fourth quarter of 2014. The annualized dividend yield on the Company’s common stock for the quarter ended June 30, 2014, based on the June 30, 2014 closing price of $3.19, was 11.3%.
For the quarter ended June 30, 2014, the yield on average interest earning assets was 7.84% and the annualized cost of average borrowed funds, including the net interest payments on interest rate swaps, was 2.92% for a net interest spread of 4.92% and net interest rate margin of 5.93%. For the six months ended June 30, 2014, the yield on average interest earning assets was 8.25% and the annualized cost of average borrowed funds, including the net interest payments on interest rate swaps, was 3.16% for a net interest spread of 5.09% and interest rate margin of 6.28%.
Leverage was 2.6:1 and recourse leverage was 2.4:1 as of June 30, 2014 compared to 0.9:1 of leverage and 0.5:1 of recourse leverage as of March 31, 2014 and 1.0:1 of leverage and 0.5:1 of recourse leverage as of December 31, 2013.
Other Information
Chimera Investment Corporation invests in residential mortgage loans, residential mortgage-backed securities, real estate-related securities and various other asset classes. The Company’s principal business objective is to generate income from the spread between yields on its investments and its cost of borrowing and hedging activities. The Company is a Maryland corporation that has elected to be taxed as a real estate investment trust (“REIT”).
Conference Call
The Company will hold the second quarter 2014 earnings conference call on Tuesday, August 12, 2014, at 10:00 a.m. EDT. The number to call is 888-317-6003 for domestic calls and 412-317-6061 for international calls and the pass code is 0155047. The replay number is 877-344-7529 for domestic calls and 412-317-0088 for international calls and the pass code is 10049861. The replay is available for one week after the earnings call. There will be a web cast of the call on www.chimerareit.com . If you would like to be added to the email distribution list, please visit www.chimerareit.com , click on Email Alerts, complete the email notification form and click the Submit button. For further information, please contact Investor Relations at 1-866-315-9930 or visit www.chimerareit.com .
This news release and our public documents to which we refer contain or incorporate by reference certain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934. Forward-looking statements which are based on various assumptions (some of which are beyond our control) may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may,” “would,” “will” or similar expressions, or variations on those terms or the negative of those terms. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, 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 implementation, timing and 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 exemption from registration under the Investment Company Act of 1940, as amended; and our ability to maintain our qualification as a REIT for federal income tax purposes. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q. We do not undertake, and specifically disclaim all obligations, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such 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 Six Months Ended | |||||||||||||||
June 30, 2014 | June 30, 2013 | June 30, 2014 | June 30, 2013 | |||||||||||||
Net Interest Income: | ||||||||||||||||
Interest income | $ | 49,056 | $ | 33,629 | $ | 84,512 | $ | 62,696 | ||||||||
Interest expense | (3,504 | ) | (1,629 | ) | (5,230 | ) | (3,462 | ) | ||||||||
Interest income, Assets of consolidated VIEs | 85,262 | 93,936 | 170,473 | 190,664 | ||||||||||||
Interest expense, Non-recourse liabilities of consolidated VIEs | (17,176 | ) | (24,982 | ) | (37,875 | ) | (51,978 | ) | ||||||||
Net interest income (expense) | 113,638 | 100,954 | 211,880 | 197,920 | ||||||||||||
Other-than-temporary impairments: | ||||||||||||||||
Total other-than-temporary impairment losses | (3,813 | ) | - | (4,213 | ) | - | ||||||||||
Portion of loss recognized in other comprehensive income (loss) | (1,534 | ) | - | (2,668 | ) | (6,163 | ) | |||||||||
Net other-than-temporary credit impairment losses | (5,347 | ) | - | (6,881 | ) | (6,163 | ) | |||||||||
Other gains (losses): | ||||||||||||||||
Net unrealized gains (losses) on derivatives | (22,497 | ) | 13,178 | (24,695 | ) | 18,580 | ||||||||||
Net realized gains (losses) on derivatives | (19,792 | ) | (5,391 | ) | (25,540 | ) | (10,921 | ) | ||||||||
Net gains (losses) on derivatives | (42,289 | ) | 7,787 | (50,235 | ) | 7,659 | ||||||||||
Net unrealized gains (losses) on interest-only RMBS | 5,791 | (12,974 | ) | 20,801 | (13,987 | ) | ||||||||||
Net realized gains (losses) on sales of investments | (4,339 | ) | 54,117 | 4,038 | 54,123 | |||||||||||
Gain of deconsolidation | 47,846 | - | 47,846 | - | ||||||||||||
Loss on Extinguishment of Debt | - | - | (2,184 | ) | - | |||||||||||
Total other gains (losses) | 7,009 | 48,930 | 20,266 | 47,795 | ||||||||||||
Net investment income (loss) | 115,300 | 149,884 | 225,265 | 239,552 | ||||||||||||
Other expenses: | ||||||||||||||||
Management fees | 6,271 | 6,498 | 12,492 | 12,947 | ||||||||||||
Expense recoveries from Manager | (2,164 | ) | (3,315 | ) | (2,845 | ) | (5,170 | ) | ||||||||
Net management fees | 4,107 | 3,183 | 9,647 | 7,777 | ||||||||||||
Provision for loan losses, net | 214 | (1,703 | ) | 533 | (1,279 | ) | ||||||||||
General and administrative expenses | 6,210 | 5,197 | 9,946 | 10,044 | ||||||||||||
Total other expenses | 10,531 | 6,677 | 20,126 | 16,542 | ||||||||||||
Income (loss) before income taxes | 104,769 | 143,207 | 205,139 | 223,010 | ||||||||||||
Income taxes | - | - | 2 | 2 | ||||||||||||
Net income (loss) | $ | 104,769 | $ | 143,207 | $ | 205,137 | $ | 223,008 | ||||||||
Net income (loss) per share available to common shareholders: | ||||||||||||||||
Basic | $ | 0.10 | $ | 0.14 | $ | 0.20 | $ | 0.22 | ||||||||
Diluted | $ | 0.10 | $ | 0.14 | $ | 0.20 | $ | 0.22 | ||||||||
Weighted average number of common shares outstanding: | ||||||||||||||||
Basic | 1,027,208,949 | 1,027,066,041 | 1,027,235,633 | 1,027,052,341 | ||||||||||||
Diluted | 1,027,534,449 | 1,027,593,441 | 1,027,561,456 | 1,027,594,472 | ||||||||||||
Dividends declared per share of common stock | $ | 0.09 | $ | 0.09 | $ | 0.18 | $ | 0.18 | ||||||||
Comprehensive income (loss): | ||||||||||||||||
Net income (loss) | $ | 104,769 | $ | 143,207 | $ | 205,137 | $ | 223,008 | ||||||||
Other comprehensive income (loss): | ||||||||||||||||
Unrealized gains (losses) on available-for-sale securities, net | 100,647 | (22,582 | ) | 138,150 | 95,012 | |||||||||||
Reclassification adjustment for net losses included in net income
(loss) for other-than-
|
5,347 | - | 6,881 | 6,163 | ||||||||||||
Reclassification adjustment for net realized losses (gains) included in net income (loss) | 37 | (54,117 | ) | (8,340 | ) | (54,123 | ) | |||||||||
Reclassification adjustment for gain on deconsolidation included in net income | (47,846 | ) | - | (47,846 | ) | - | ||||||||||
Other comprehensive income (loss) | 58,185 | (76,699 | ) | 88,845 | 47,052 | |||||||||||
Comprehensive income (loss) | $ | 162,954 | $ | 66,508 | $ | 293,982 | $ | 270,060 | ||||||||
The following tables provide a summary of the Company’s RMBS portfolio at June 30, 2014 and December 31, 2013.
At June 30, 2014 and December 31, 2013, the repurchase agreements collateralized by RMBS had the following remaining maturities.
June 30, 2014 | December 31, 2013 | |||||||
(dollars in thousands) | ||||||||
Overnight | $ | - | $ | - | ||||
1-29 days | 1,694,284 | 644,332 | ||||||
30 to 59 days | 1,085,418 | 606,945 | ||||||
60 to 89 days | 1,684,618 | - | ||||||
90 to 119 days | 63,545 | 129,049 | ||||||
Greater than or equal to 120 days | 1,036,689 | 278,235 | ||||||
Total | $ | 5,564,554 | $ | 1,658,561 | ||||
The following table summarizes certain characteristics of our portfolio at June 30, 2014 and December 31, 2013.
June 30, 2014 | December 31, 2013 | |||||||
Interest earning assets at period-end (1) | $ | 12,364,078 | $ | 6,555,525 | ||||
Interest bearing liabilities at period-end | $ | 6,956,371 | $ | 3,262,274 | ||||
Leverage at period-end | 2.6:1 | 1.0:1 | ||||||
Leverage at period-end (recourse) | 2.4:1 | 0.5:1 | ||||||
Portfolio Composition, at amortized cost | ||||||||
Non-Agency RMBS | 23.5 | % | 49.8 | % | ||||
Senior | 1.9 | % | 1.5 | % | ||||
Senior, interest only | 2.2 | % | 5.1 | % | ||||
Subordinated | 3.0 | % | 6.0 | % | ||||
Subordinated, interest only | 0.1 | % | 0.3 | % | ||||
RMBS transferred to consolidated VIEs | 16.3 | % | 36.9 | % | ||||
Agency RMBS | 70.1 | % | 36.1 | % | ||||
Pass-through | 69.7 | % | 35.3 | % | ||||
Interest-only | 0.4 | % | 0.8 | % | ||||
Securitized loans | 6.4 | % | 14.1 | % | ||||
Fixed-rate percentage of portfolio | 88.0 | % | 76.3 | % | ||||
Adjustable-rate percentage of portfolio | 12.0 | % | 23.7 | % | ||||
(1) Excludes cash and cash equivalents. | ||||||||
The tables below present the adjustments to GAAP book value that we believe are necessary to adequately reflect our calculation of estimated economic book value as of June 30, 2014 and December 31, 2013.
June 30, 2014 | ||||||||||
(dollars in thousands, except per share data) | ||||||||||
GAAP Book
|
Adjustments |
Estimated Economic
|
||||||||
Assets: | ||||||||||
Non-Agency RMBS, at fair value | ||||||||||
Senior | $ | 230,465 | $ | 289,799 | $ | 520,264 | ||||
Senior interest-only | 220,131 | 74,284 | 294,415 | |||||||
Subordinated | 485,544 | 1,374,462 | 1,860,006 | |||||||
Subordinated interest-only | 15,609 | 193 | 15,802 | |||||||
RMBS transferred to consolidated VIEs | 2,682,308 | (2,682,308 | ) | - | ||||||
Agency RMBS, at fair value | ||||||||||
Pass-through | 7,976,923 | - | 7,976,923 | |||||||
Interest-only | 38,627 | - | 38,627 | |||||||
Securitized loans held for investment, net of allowance for loan losses | 714,471 | (714,471 | ) | - | ||||||
Other assets | 201,839 | - | 201,839 | |||||||
Total assets | $ | 12,565,917 | $ | (1,658,041 | ) | $ | 10,907,876 | |||
Liabilities: | ||||||||||
Repurchase agreements, RMBS | 5,564,554 | - | 5,564,554 | |||||||
Securitized debt, collateralized by Non-Agency RMBS | 787,162 | (787,162 | ) | - | ||||||
Securitized debt, collateralized by loans held for investment | 604,655 | (604,655 | ) | - | ||||||
Other liabilities (1) | 2,168,845 | - | 2,168,845 | |||||||
Total liabilities | 9,125,216 | (1,391,817 | ) | 7,733,399 | ||||||
Total stockholders' equity | 3,440,701 | (266,224 | ) | 3,174,477 | ||||||
Total liabilities and stockholders' equity | $ | 12,565,917 | $ | (1,658,041 | ) | $ | 10,907,876 | |||
Book Value Per Share | $ | 3.35 | $ | (0.26 | ) | $ | 3.09 | |||
(1) Primarily payable for investments purchased. | ||||||||||
December 31, 2013 | ||||||||||
(dollars in thousands, except per share data) | ||||||||||
GAAP Book
|
Adjustments |
Estimated Economic
|
||||||||
Assets: | ||||||||||
Non-Agency RMBS, at fair value | ||||||||||
Senior | $ | 89,687 | $ | 12,365 | $ | 102,052 | ||||
Senior interest-only | 229,065 | 116,951 | 346,016 | |||||||
Subordinated | 457,569 | 1,593,924 | 2,051,493 | |||||||
Subordinated interest-only | 16,571 | 280 | 16,851 | |||||||
RMBS transferred to consolidated VIEs | 2,981,571 | (2,981,571 | ) | - | ||||||
Agency RMBS, at fair value | ||||||||||
Pass-through | 1,954,796 | - | 1,954,796 | |||||||
Interest-only | 42,782 | - | 42,782 | |||||||
Securitized loans held for investment, net of allowance for loan losses | 783,484 | (783,484 | ) | - | ||||||
Other assets | 380,556 | - | 380,556 | |||||||
Total assets | $ | 6,936,081 | $ | (2,041,535 | ) | $ | 4,894,546 | |||
Liabilities: | ||||||||||
Repurchase agreements, RMBS | 1,658,561 | - | 1,658,561 | |||||||
Securitized debt, collateralized by Non-Agency RMBS | 933,732 | (933,732 | ) | - | ||||||
Securitized debt, collateralized by loans held for investment | 669,981 | (669,981 | ) | - | ||||||
Other liabilities | 342,297 | - | 342,297 | |||||||
Total liabilities | 3,604,571 | (1,603,713 | ) | 2,000,858 | ||||||
Total stockholders' equity | 3,331,510 | (437,822 | ) | 2,893,688 | ||||||
Total liabilities and stockholders' equity | $ | 6,936,081 | $ | (2,041,535 | ) | $ | 4,894,546 | |||
Book Value Per Share | $ | 3.24 | $ | (0.42 | ) | $ | 2.82 | |||
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.
CONTACT:
Chimera Investment Corporation
Investor Relations
866-315-9930
www.chimerareit.com
Exhibit 99.2
\
Q2 2014 Supplemental Financial Information August 11, 2014 WWW.CHIMERAREIT.COM
Disclaimer This material is not intended to be exhaustive, is preliminary in nature and may be subject to change. In addition, much of the information contained herein is based on various assumptions (some of which are beyond the control of Chimera Investment Corporation, the “Company”) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may,” “would,” “projected,” “will” or similar expressions, or variations on those terms or the negative of those terms. The Company’s forward-looking statements are subject to numerous risks, uncertainties and other factors. Furthermore, none of the financial information contained in this material has been audited or approved by the Company’s independent registered public accounting firm. 2
Portfolio Composition Total Portfolio: $12.4 Billion Total Capital: $3.4 Billion Total Leverage 2.6:1 $0 $1 $2 $3 $4 $5 $6 $7 Billions Equity Recourse Funding Non-Recourse Debt Residential Mortgage Credit Portfolio Total Assets: $4.4BN Agency MBS Portfolio Total Assets: $8.0BN(1) Equity $2.7BN Recourse Funding $0.3BN Non-Recourse Debt $1.4BN Equity $0.7BN Recourse Funding $5.3BN Net Investment Analysis Residential Mortgage Credit Portfolio Agency MBS Portfolio Gross Asset Yield: 12.0% 3.5% Financing Cost(2): 4.5% 2.1% Net Interest Spread: 7.5% 1.4% Net Interest Margin: 9.9% 1.7% (1) Financing excludes repurchase agreements added in July 2014 to settle $2b of Agency RMBS purchased in June 2014. (2) Financing cost includes the interest incurred on interest rate swaps. 3
GAAP Asset Allocation: Quarter Over Quarter Comparison June 30, 2014 27% 65% 2% 4% 2% Consolidated RMBS & Loans Agency RMBS Non-Agency Senior Non-Agency Subordinate Non-Agency Senior IO Total Portfolio: $12.4 Billion March 31, 2014 57% 29% 3% 7% 4% Consolidated RMBS & Loans Agency RMBS Non-Agency Senior Non-Agency Subordinate Non-Agency Senior IO Total Portfolio: $6.5 Billion 4
GAAP Financing Sources: Quarter Over Quarter Comparison June 30, 2014 80% 20% Repurchase Agreements, RMBS Non-Recourse Liabilities of Consolidated RMBS and Loans (1) Total Financing: $7.0 Billion(2) March 31, 2014 52% 48% Repurchase Agreements, RMBS Non-Recourse Liabilities of Consolidated RMBS and Loans (1) Total Financing: $3.0 Billion (1) Consists of tranches of RMBS and loan securitizations sold to third parties. (2) Financing excludes repurchase agreements added in July 2014 to settle $2b of Agency RMBS purchased in June 2014. 5
Agency & Repo Summary ($ in thousands) Agency Pass-Throughs – As of June 30, 2014 Coupon Current Face Weighted Average Price Weighted Average CPR 3.50% $268,494 102.95 5.3 4.00% 6,698,362 105.99 8.3 4.50% 555,247 108.22 10.6 Total $7,522,103 Repo Days to Maturity - As of June 30, 2014 Maturity Principal Balance Weighted Average Rate Weighted Average Days Within 1 day $34,986 0.31% 2 to 30 days 1,374,158 0.34% 31 to 59 days 932,324 0.37% 60 to 89 days 1,822,523 0.34% 120 to 260 days 1,100,234 0.44% Total $5,264,225 0.37% 83 Agency Pass-Throughs – As of March 31, 2014 Coupon Current Face Weighted Average Price Weighted Average CPR 3.50% $273,408 106.42 5.1 4.00% 946,086 105.85 8.9 4.50% 574,290 102.93 11.1 Total $1,793,785 Repo Days to Maturity - As of March 31, 2014 Maturity Principal Balance Weighted Average Rate Weighted Average Days 2 to 30 days $748,081 0.38% 31 to 59 days 647,017 0.45% 60 to 89 days 166,822 0.36% Total $1,561,920 0.41% 40 6
Interest Rate Sensitivity as of June 30, 2014 Agency, Swap and Derivative Portfolio Hedge Book Maturities 30% 31% 39% Short Term 0-5 years Medium Term 5-10 years Long Term 10-30 years Description ($ in thousands) + 100 Basis Points + 50 Basis Points Unchanged -50 Basis Points -100 Basis Points Agency Pass-Through Market Value $7,543,244 $7,774,552 $7,976,923 $8,144,261 $8,283,635 MTM Gain (Loss) (433,679) (202,371) - 167,338 306,712 Percentage Change (5.4%) (2.5%) - 2.1% 3.8% Swap Market Value 3,360,000 3,360,000 3,360,000 3,360,000 3,360,000 MTM Gain (Loss) 195,066 100,355 - (106,467) (219,552) Percentage Change 2.4% 1.3% - (1.3%) (2.8%) Futures Market Value 1,230,000 1,230,000 1,230,000 1,230,000 1,230,000 MTM Gain (Loss) 80,771 41,102 - (42,603) (86,781) Percentage Change 1.0% 0.5% - (0.5%) (1.1%) Net Gain/(Loss) $(157,842) $(60,914) - $18,268 $379 Percentage Change (2.76)% (0.77)% 0.23% 0.00% 7
Consolidated RMBS & Loan Securitizations ($ in thousands) At Origination As of June 30, 2014 Vintage Deal Type Total Original Face Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2014 RMBS Securitization CSMC - 2014-4R $482,261 $482,261 $472,794 472,794 2012 Whole Loan Securitization CSMC - 2012-CIM1 741,939 $707,810 $34,129 212,726 180,229 32,497 2012 Whole Loan Securitization CSMC - 2012-CIM2 425,091 404,261 20,830 149,252 129,132 20,120 2012 Whole Loan Securitization CSMC - 2012-CIM3 329,886 305,804 24,082 238,958 216,805 22,153 2010 RMBS Securitization CSMC - 2010-1R 1,730,581 691,630 1,038,951 886,252 98,091 788,161 2010 RMBS Securitization CSMC - 2010-12R 1,239,176 435,177 803,999 0 0 0 2010 RMBS Securitization CSMC - 2010-11R 566,571 332,299 234,272 365,296 143,595 221,701 2009 RMBS Securitization CSMC - 2009-12R 1,730,698 915,566 815,132 1,171,732 221,481 950,251 2009 RMBS Securitization JPMRR - 2009-7 1,522,474 856,935 665,539 732,153 287,716 444,437 2009 RMBS Securitization JMAC - 2009-R2 281,863 192,500 89,363 130,100 64,560 65,540 2008 Whole Loan Securitization PHH - 2008-CIM1 619,710 549,142 70,568 106,737 87,010 19,727 $9,670,250 $5,391,124 $4,279,126 $4,466,000 $1,428,619 $3,037,380 % of origination remaining 46% 26% 71% 8