News
Chimera Investment Corporation Reports Net Income of $67 Million or $0.33 Per Share, Core Earnings of $120 Million or $0.59 Per Share and GAAP Book Value of $17.14 Per Share for the First Quarter of 2015
Mon May 11 2015
1st Quarter 2015 Financial Highlights
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Average earning assets grew to
$15.2 billion for the quarter endedMarch 31, 2015 from$10.0 billion in average assets for the year endedDecember 31, 2014 based on amortized cost -
Net income of
$67 million , up from$6 million earned in the 4th quarter of 2014 -
Core earnings of
$0.59 per share consistent with the 4th quarter of 2014(1) -
Net interest income of
$183 million , up from$177 million in the 4th quarter of 2014 -
GAAP book value of
$17.14 per share, down from$17.55 per share for the 4th quarter of 2014 -
Economic book value of
$15.70 per share, down from$15.90 per share for the 4th quarter of 2014
The Company declared a common stock dividend of
Leverage was 3.7:1 and recourse leverage was 2.6:1 at
(1) Core earnings is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains on the aggregate portfolio, impairment losses, realized gains on sales of investments, gain on deconsolidation, extinguishment of debt and certain other non-recurring gains or losses. Core earnings includes interest income and expense as well as realized gains or losses on derivatives used to hedge interest rate risk, management fees and general and administrative expenses. Core earnings is provided for purposes of comparability to other peer issuers, but has important limitations. Therefore, core earnings should not be viewed in isolation and is not a substitute for net income or net income per basic share computed in accordance with GAAP.
Other Information
Conference Call
The Company will hold the first quarter 2015 earnings conference call on
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.
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| CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME | ||||||||
| (dollars in thousands, except share and per share data) | ||||||||
| For the Quarter Ended | ||||||||
| Net Interest Income: |
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| Interest income (1) | $ | 243,145 | $ | 120,667 | ||||
| Interest expense (2) | 60,456 | 22,425 | ||||||
| Net interest income | 182,689 | 98,242 | ||||||
| Other-than-temporary impairments: | ||||||||
| Total other-than-temporary impairment losses | (1,052 | ) | (400 | ) | ||||
| Portion of loss recognized in other comprehensive income | (6,763 | ) | (1,134 | ) | ||||
| Net other-than-temporary credit impairment losses | (7,815 | ) | (1,534 | ) | ||||
| Other investment gains (losses): | ||||||||
| Net unrealized gains (losses) on derivatives | 4,055 | (2,198 | ) | |||||
| Realized gains (losses) on terminations of interest rate swaps | (68,579 | ) | - | |||||
| Net realized gains (losses) on derivatives | (42,086 | ) | (5,748 | ) | ||||
| Net gains (losses) on derivatives | (106,610 | ) | (7,946 | ) | ||||
| Net unrealized gains (losses) on financial instruments at fair value | (10,425 | ) | 15,010 | |||||
| Net realized gains (losses) on sales of investments | 29,565 | 8,377 | ||||||
| Loss on Extinguishment of Debt | - | (2,184 | ) | |||||
| Total other gains (losses) | (87,470 | ) | 13,257 | |||||
| Other expenses: | ||||||||
| Management fees | 10,326 | 6,221 | ||||||
| Expense recoveries from Manager | (1,113 | ) | (681 | ) | ||||
| Net management fees | 9,213 | 5,540 | ||||||
| General and administrative expenses | 11,149 | 4,055 | ||||||
| Total other expenses | 20,362 | 9,595 | ||||||
| Income before income taxes | 67,042 | 100,370 | ||||||
| Income taxes | 1 | 2 | ||||||
| Net income | $ | 67,041 | $ | 100,368 | ||||
| Net income per share available to common shareholders: | ||||||||
| Basic | $ | 0.33 | $ | 0.50 | ||||
| Diluted | $ | 0.33 | $ | 0.50 | ||||
| Weighted average number of common shares outstanding: | ||||||||
| Basic | 205,527,476 | 205,452,523 | ||||||
| Diluted | 205,566,956 | 205,517,753 | ||||||
| Comprehensive income (loss): | ||||||||
| Net income | $ | 67,041 | $ | 100,368 | ||||
| Other comprehensive income: | ||||||||
| Unrealized gains (losses) on available-for-sale securities, net | (19,912 | ) | 37,503 | |||||
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Reclassification adjustment for net losses included in net income
for other-than-
temporary credit impairment losses |
7,815 | 1,534 | ||||||
| Reclassification adjustment for net realized losses (gains) included in net income | (29,076 | ) | (8,377 | ) | ||||
| Other comprehensive income (loss) | (41,173 | ) | 30,660 | |||||
| Comprehensive income | $ | 25,868 | $ | 131,028 | ||||
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(1) Includes interest income of consolidated VIEs of |
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(2) Includes interest expense of consolidated VIEs of |
The following table provides a reconciliation of core earnings for the
quarters ended
| For the Quarter Ended | ||||||||
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| (dollars in thousands, except per share data) | ||||||||
| GAAP Net income | $ | 67,041 | $ | 100,368 | ||||
| Adjustments: | ||||||||
| Net other-than-temporary credit impairment losses | 7,815 | 1,534 | ||||||
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Net unrealized (gains) losses on derivatives |
(4,055 | ) | 2,198 | |||||
| Net unrealized (gains) losses on financial instruments at fair value | 10,425 | (15,010 | ) | |||||
| Net realized (gains) losses on sales of investments | (29,565 | ) | (8,377 | ) | ||||
| Other (gains) losses | - | 2,184 | ||||||
| Realized (gains) losses on terminations of interest rate swaps | 68,579 | - | ||||||
| Core Earnings | $ | 120,240 | $ | 82,897 | ||||
| GAAP net income per basic common share | $ | 0.33 | $ | 0.50 | ||||
| Core earnings per basic common share | $ | 0.59 | $ | 0.40 | ||||
The following tables provide a summary of the Company’s RMBS portfolio
at
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Principal or Notional Value at Period-End
(dollars in thousands) |
Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon |
Weighted Average Yield at Period-End
(1) |
Weighted Average 3 Month CPR at Period-End | Weighted Average 12 Month CPR at Period-End | Weighted Average Delinquency Pipeline 60+ | Weighted Average Loss Severity (2) | Weighted Average Credit Enhancement |
Principal Writedowns During Period
(dollars in thousands) |
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| Senior | $ | 710,159 | $ | 56.75 | $ | 78.68 | 3.9 | % | 14.6 | % | 9.7 | % | 10.0 | % | 29.2 | % | 64.5 | % | 9.5 | % | $ | 7,879 | |||||||||||||||||||||||
| Senior, interest only | $ | 6,133,606 | $ | 4.84 | $ | 4.60 | 1.7 | % | 13.0 | % | 11.9 | % | 12.5 | % | 21.6 | % | 53.9 | % | 0.0 | % | $ | - | |||||||||||||||||||||||
| Subordinated | $ | 711,445 | $ | 53.61 | $ | 68.56 | 3.1 | % | 13.2 | % | 14.3 | % | 15.1 | % | 16.6 | % | 44.3 | % | 11.3 | % | $ | 5,040 | |||||||||||||||||||||||
| Subordinated, interest only | $ | 214,350 | $ | 4.36 | $ | 2.95 | 0.8 | % | 9.4 | % | 9.1 | % | 10.4 | % | 13.3 | % | 45.7 | % | 0.0 | % | $ | - | |||||||||||||||||||||||
| RMBS transferred to consolidated VIEs | $ | 3,054,594 | $ | 53.98 | $ | 80.30 | 4.5 | % | 17.5 | % | 9.3 | % | 10.3 | % | 22.6 | % | 60.5 | % | 1.3 | % | $ | 22,242 | |||||||||||||||||||||||
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| Residential | $ | 6,060,500 | $ | 105.17 | $ | 106.38 | 3.9 | % | 2.4 | % | 13.3 | % | 12.5 | % | NA | NA | NA | $ | - | ||||||||||||||||||||||||||
| Commercial | $ | 432,042 | $ | 102.68 | $ | 104.60 | 4.0 | % | 4.1 | % | 0.0 | % | 0.0 | % | NA | NA | NA | $ | - | ||||||||||||||||||||||||||
| Interest-only | $ | 5,888,224 | $ | 4.51 | $ | 4.49 | 1.0 | % | 5.9 | % | 9.3 | % | 10.0 | % | NA | NA | NA | $ | - | ||||||||||||||||||||||||||
| Securitized loans | $ | 5,073,699 | $ | 99.23 | $ | 101.43 | 6.2 | % | 4.8 | % | 9.8 | % | 8.2 | % | 10.3 | % | 46.0 | % | 36.5 | % | $ | 6,110 | |||||||||||||||||||||||
| (1) Bond Equivalent Yield at period end. Weighted Average Yield is calculated using each investment's respective amortized cost. | |||||||||||||||||||||||||||||||||||||||||||||
| (2) Calculated based on reported losses to date, utilizing widest data set available (i.e., life-time losses, 12-month loss, etc.) | |||||||||||||||||||||||||||||||||||||||||||||
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Principal or Notional Value at Period-End
(dollars in thousands) |
Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon |
Weighted Average Yield at Period-End
(1) |
Weighted Average 3 Month CPR at Period-End | Weighted Average 12 Month CPR at Period-End | Weighted Average Delinquency Pipeline 60+ | Weighted Average Loss Severity (2) | Weighted Average Credit Enhancement |
Principal Writedowns During Period
(dollars in thousands) |
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| Senior | $ | 344,951 | $ | 55.09 | $ | 79.63 | 4.3 | % | 15.9 | % | 10.8 | % | 11.6 | % | 30.9 | % | 68.6 | % | 10.4 | % | $ | 2,190 | |||||||||||||||||||||||
| Senior, interest only | $ | 5,178,737 | $ | 4.35 | $ | 3.97 | 1.6 | % | 14.4 | % | 12.2 | % | 13.0 | % | 21.2 | % | 51.6 | % | 0.0 | % | $ | - | |||||||||||||||||||||||
| Subordinated | $ | 690,599 | $ | 50.18 | $ | 65.79 | 3.1 | % | 10.6 | % | 13.9 | % | 14.8 | % | 15.8 | % | 45.5 | % | 11.7 | % | $ | 5,669 | |||||||||||||||||||||||
| Subordinated, interest only | $ | 216,403 | $ | 4.43 | $ | 3.14 | 0.9 | % | 9.2 | % | 7.0 | % | 11.3 | % | 13.3 | % | 46.1 | % | 0.0 | % | $ | - | |||||||||||||||||||||||
| RMBS transferred to consolidated VIEs | $ | 3,133,610 | $ | 53.51 | $ | 80.03 | 4.5 | % | 17.4 | % | 10.2 | % | 10.7 | % | 21.9 | % | 59.5 | % | 1.3 | % | $ | 25,603 | |||||||||||||||||||||||
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| Residential | $ | 7,774,266 | $ | 104.96 | $ | 106.19 | 4.0 | % | 3.2 | % | 9.7 | % | 10.6 | % | NA | NA | NA | $ | - | ||||||||||||||||||||||||||
| Interest-only | $ | 3,884,523 | $ | 4.89 | $ | 4.79 | 0.9 | % | 3.1 | % | 11.7 | % | 9.5 | % | NA | NA | NA | $ | - | ||||||||||||||||||||||||||
| Securitized loans | $ | 5,241,100 | $ | 99.13 | $ | 101.74 | 6.6 | % | 6.3 | % | 9.8 | % | 8.2 | % | 10.3 | % | 46.0 | % | 36.5 | % | $ | 3,642 | |||||||||||||||||||||||
| (1) Bond Equivalent Yield at period end. Weighted Average Yield is calculated using each investment's respective amortized cost. | |||||||||||||||||||||||||||||||||||||||||||||
| (2) Calculated based on reported losses to date, utilizing widest data set available (i.e., life-time losses, 12-month loss, etc.) | |||||||||||||||||||||||||||||||||||||||||||||
The following table summarizes certain characteristics of our non-agency
portfolio at
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| Weighted average maturity (years) | 24.7 | 22.5 | ||||||||
| Weighted average amortized loan to value (1) | 71.4% | 67.5% | ||||||||
| Weighted average FICO (2) | 693 | 679 | ||||||||
| Weighted average loan balance (in thousands) |
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| Weighted average percentage owner occupied | 81.7% | 83.0% | ||||||||
| Weighted average percentage single family residence | 75.6% | 65.5% | ||||||||
| Weighted average current credit enhancement | 1.7% | 1.7% | ||||||||
| Weighted average geographic concentration of top four states | CA | 32.1% | CA | 31.7% | ||||||
| FL | 8.3% | FL | 8.4% | |||||||
| NY | 7.4% | NY | 7.8% | |||||||
| NJ | 2.2% | NJ | 2.9% | |||||||
| (1) Value represents appraised value of the collateral at the time of loan origination. | ||||||||||
| (2) FICO as determined at the time of loan origination. | ||||||||||
At
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| (dollars in thousands) | ||||||
| Overnight | $ | - | $ | - | ||
| 1 to 29 days | 5,614,649 | 2,652,717 | ||||
| 30 to 59 days | 688,176 | 1,371,856 | ||||
| 60 to 89 days | 774,529 | 656,915 | ||||
| 90 to 119 days | - | 2,068,740 | ||||
| Greater than or equal to 120 days | 1,218,870 | 1,705,153 | ||||
| Total | $ | 8,296,224 | $ | 8,455,381 | ||
The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods presented.
| For the Quarter Ended | ||||||||||||||||||||
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| (dollars in thousands) | ||||||||||||||||||||
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Average
Balance |
Interest |
Average
Yield/Cost |
Average
Balance |
Interest |
Average
Yield/Cost |
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| Assets: | ||||||||||||||||||||
| Interest-earning assets (1): | ||||||||||||||||||||
| Agency RMBS | $ | 7,491,398 | $ | 67,786 | 3.6% | $ | 1,977,915 | $ | 16,040 | 3.2% | ||||||||||
| Non-Agency RMBS | 999,067 | 24,424 | 9.8% | 779,927 | 19,412 | 10.0% | ||||||||||||||
| Non-Agency RMBS transferred to consolidated VIEs |
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1,639,964 | 68,183 | 16.6% | 2,055,205 | 77,411 | 15.1% | |||||||||||
| Jumbo Prime securitized residential mortgage loans held for investment |
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610,836 | 8,003 | 5.2% | 774,851 | 7,800 | 4.0% | ||||||||||||
| Seasoned sub-prime securitized residential mortgage loans held for investment | 4,499,936 | 74,431 | 6.6% | - | - | 0.0% | ||||||||||||||
| Total | $ | 15,241,201 | $ | 242,827 | 6.4% | $ | 5,587,898 | $ | 120,663 | 8.6% | ||||||||||
| Liabilities and stockholders' equity: | ||||||||||||||||||||
| Interest-bearing liabilities: | ||||||||||||||||||||
| Agency repurchase agreements (2) | $ | 7,198,680 | $ | 22,662 | 1.3% | $ | 1,610,241 | $ | 7,376 | 1.8% | ||||||||||
| Non-Agency repurchase agreements | 1,116,675 | 6,209 | 2.2% | - | - | 0.0% | ||||||||||||||
| Securitized debt, collateralized by Non-Agency RMBS |
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688,260 | 7,947 | 4.6% | 881,198 | 15,154 | 6.9% | |||||||||||||
| Securitized debt, collateralized by jumbo prime residential mortgage loans |
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499,075 | 5,341 | 4.3% | 653,586 | 5,545 | 3.4% | |||||||||||||
| Securitized debt, collateralized by seasoned sub-prime residential mortgage loans | 3,808,607 | 33,466 | 3.5% | - | - | 0.0% | ||||||||||||||
| Total | $ | 13,311,297 | $ | 75,625 | 2.3% | $ | 3,145,025 | $ | 28,075 | 3.6% | ||||||||||
| Net economic interest income/net interest rate spread | $ | 167,202 | 4.0% | $ | 92,588 | 5.1% | ||||||||||||||
| Net interest-earning assets/net interest margin | $ | 1,929,904 | 4.4% | $ | 2,442,873 | 6.6% | ||||||||||||||
| Ratio of interest-earning assets to interest bearing liabilities | 1.14 | 1.78 | ||||||||||||||||||
| (1) Interest-earning assets at amortized cost | ||||||||||||||||||||
| (2) Interest includes cash paid on swaps | ||||||||||||||||||||
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