NEW YORK–(BUSINESS WIRE)–Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the third quarter ended September 30, 2022.
Financial Highlights:
- 3RD QUARTER GAAP NET LOSS OF $0.88 PER DILUTED COMMON SHARE
- 3RD QUARTER EARNINGS AVAILABLE FOR DISTRIBUTION(1) OF $0.27 PER DILUTED COMMON SHARE.
- GAAP BOOK VALUE OF $7.44 PER COMMON SHARE
Business Highlights:
Third Quarter
- Extended an existing $489 million non-mark-to-market facility by 29 months to February 2025
- Entered into $885 million pay fixed interest rate swaps
- Committed to purchase $687 million Residential Loans
- Purchased and closed on $66 million Business Purpose Loans
- Sponsored $370 million CIM 2022-R3 Securitization, which reduced our recourse leverage
Post Quarter
- Cash balance increased to about $350 million as of October 31, 2022
- Entered an additional $1.1 billion of pay fixed interest rate swaps
- Entered $250 million 2-year, non-mark-to-market financing facility bringing our non and limited mark-to- market financing to nearly 50%
- Expect to close the purchase of $476 million Residential Loans into a long-term non-mark-to market structure which we expect will generate double digit returns
- Sponsored $145 million CIM 2022-NR1 Securitization, which further reduced our recourse leverage
“In the third quarter, elevated market volatility led to higher rates and wider spreads putting further pressure on our book value. However, these market conditions have brought new opportunities on both sides of the balance sheet,” said Mohit Marria, CEO and Chief Investment Officer. “This quarter we committed to purchasing approximately $750 million mortgage loans, completed a $370 million securitization, and entered into $885 million of new interest rate swaps as a liability hedge against further increases in interest rates.” Mr. Marria further stated, “Since quarter end, we have increased our cash position, entered into an additional $1.1 billion of hedges, closed a new non-mark-to-market financing facility, expect to close a purchase of jumbo prime loans into another long-term non-mark-to-market structure, and lastly, completed a $145 million securitization. We believe we are well positioned to take advantage of new market opportunities and that our patience and investment discipline will benefit our shareholders over the long-term.”
(1) Earnings available for distribution per adjusted diluted common share is a non-GAAP measure. See additional discussion on page 6.
Other Information
Chimera Investment Corporation is a publicly traded real estate investment trust, or REIT, that is primarily engaged in the business of investing directly or indirectly through its subsidiaries, on a leveraged basis, in a diversified portfolio of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency CMBS, Agency RMBS, and other real estate related securities.
|
CHIMERA INVESTMENT CORPORATION |
||||||
|
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION |
||||||
|
(dollars in thousands, except share and per share data) |
||||||
|
(Unaudited) |
||||||
|
|
September 30, 2022 |
December 31, 2021 |
||||
|
Cash and cash equivalents |
$ |
86,234 |
|
$ |
385,741 |
|
|
Non-Agency RMBS, at fair value (net of allowance for credit losses of $3 million and $213 thousand, respectively) |
|
1,191,298 |
|
|
1,810,208 |
|
|
Agency RMBS, at fair value |
|
38,470 |
|
|
60,487 |
|
|
Agency CMBS, at fair value |
|
427,984 |
|
|
761,208 |
|
|
Loans held for investment, at fair value |
|
11,707,299 |
|
|
12,261,926 |
|
|
Receivable for investments sold |
|
14,118 |
|
|
— |
|
|
Accrued interest receivable |
|
69,330 |
|
|
69,513 |
|
|
Other assets |
|
130,198 |
|
|
58,320 |
|
|
Derivatives, at fair value |
|
4,389 |
|
|
— |
|
|
Total assets (1) |
$ |
13,669,320 |
|
$ |
15,407,403 |
|
|
Liabilities: |
|
|
||||
|
Secured financing agreements ($3.8 billion and $4.4 billion pledged as collateral, respectively) |
$ |
2,820,931 |
|
$ |
3,261,613 |
|
|
Securitized debt, collateralized by Non-Agency RMBS ($281 million and $365 million pledged as collateral, respectively) |
|
79,967 |
|
|
87,999 |
|
|
Securitized debt at fair value, collateralized by Loans held for investment ($10.6 billion and $11.0 billion pledged as collateral, respectively) |
|
7,354,311 |
|
|
7,726,043 |
|
|
Payable for investments purchased |
|
644,120 |
|
|
477,415 |
|
|
Accrued interest payable |
|
25,773 |
|
|
20,416 |
|
|
Dividends payable |
|
63,860 |
|
|
86,152 |
|
|
Accounts payable and other liabilities |
|
26,654 |
|
|
11,574 |
|
|
Total liabilities (1) |
$ |
11,015,616 |
|
$ |
11,671,212 |
|
|
Stockholders’ Equity: |
|
|
||||
|
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized: |
|
|
||||
|
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference) |
$ |
58 |
|
$ |
58 |
|
|
8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively ($325,000 liquidation preference) |
|
130 |
|
|
130 |
|
|
7.75% Series C cumulative redeemable: 10,400,000 shares issued and outstanding, respectively ($260,000 liquidation preference) |
|
104 |
|
|
104 |
|
|
8.00% Series D cumulative redeemable: 8,000,000 shares issued and outstanding, respectively ($200,000 liquidation preference) |
|
80 |
|
|
80 |
|
|
Common stock: par value $0.01 per share; 500,000,000 shares authorized, 231,751,256 and 236,951,266 shares issued and outstanding, respectively |
|
2,318 |
|
|
2,370 |
|
|
Additional paid-in-capital |
|
4,314,942 |
|
|
4,359,045 |
|
|
Accumulated other comprehensive income |
|
244,204 |
|
|
405,054 |
|
|
Cumulative earnings |
|
3,941,742 |
|
|
4,552,008 |
|
|
Cumulative distributions to stockholders |
|
(5,849,874 |
) |
|
(5,582,658 |
) |
|
Total stockholders’ equity |
$ |
2,653,704 |
|
$ |
3,736,191 |
|
|
Total liabilities and stockholders’ equity |
$ |
13,669,320 |
|
$ |
15,407,403 |
|
|
(1) The Company’s consolidated statements of financial condition include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of September 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $10,790,005 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $7,005,717 and $7,223,655, respectively. |
||||||
|
Net Income (Loss) |
|||||||||||||
|
(dollars in thousands, except share and per share data) |
|||||||||||||
|
(unaudited) |
|||||||||||||
|
|
For the Quarters Ended |
|
For the Nine Months Ended |
||||||||||
|
|
September 30, 2022 |
June 30, 2022 |
|
September 30, 2022 |
September 30, 2021 |
||||||||
|
Net interest income: |
|
|
|
|
|
||||||||
|
Interest income (1) |
$ |
188,303 |
|
$ |
195,357 |
|
|
$ |
585,835 |
|
$ |
716,384 |
|
|
Interest expense (2) |
|
83,464 |
|
|
78,467 |
|
|
|
226,403 |
|
|
260,029 |
|
|
Net interest income |
|
104,839 |
|
|
116,890 |
|
|
|
359,432 |
|
|
456,355 |
|
|
|
|
|
|
|
|
||||||||
|
Increase (decrease) in provision for credit losses |
|
(1,534 |
) |
|
4,497 |
|
|
|
3,203 |
|
|
(58 |
) |
|
|
|
|
|
|
|
||||||||
|
Other investment gains (losses): |
|
|
|
|
|
||||||||
|
Net unrealized gains (losses) on derivatives |
|
10,307 |
|
|
(1,618 |
) |
|
|
8,689 |
|
|
— |
|
|
Periodic interest cost of swaps, net |
|
(122 |
) |
|
— |
|
|
|
(122 |
) |
|
— |
|
|
Net gains (losses) on derivatives |
|
10,185 |
|
|
(1,618 |
) |
|
|
8,567 |
|
|
— |
|
|
Net unrealized gains (losses) on financial instruments at fair value |
|
(239,513 |
) |
|
(239,246 |
) |
|
|
(848,925 |
) |
|
545,643 |
|
|
Net realized gains (losses) on sales of investments |
|
(37,031 |
) |
|
— |
|
|
|
(37,031 |
) |
|
45,313 |
|
|
Gains (losses) on extinguishment of debt |
|
— |
|
|
(2,897 |
) |
|
|
(2,897 |
) |
|
(284,535 |
) |
|
Other investment gains (losses) |
|
(462 |
) |
|
980 |
|
|
|
517 |
|
|
— |
|
|
Total other gains (losses) |
|
(266,821 |
) |
|
(242,781 |
) |
|
|
(879,769 |
) |
|
306,421 |
|
|
Other expenses: |
|
|
|
|
|
||||||||
|
Compensation and benefits |
|
10,000 |
|
|
8,859 |
|
|
|
30,211 |
|
|
35,363 |
|
|
General and administrative expenses |
|
4,836 |
|
|
5,944 |
|
|
|
16,493 |
|
|
16,672 |
|
|
Servicing and asset manager fees |
|
8,516 |
|
|
9,315 |
|
|
|
27,122 |
|
|
27,659 |
|
|
Transaction expenses |
|
2,341 |
|
|
6,727 |
|
|
|
12,872 |
|
|
25,614 |
|
|
Total other expenses |
|
25,693 |
|
|
30,845 |
|
|
|
86,698 |
|
|
105,308 |
|
|
Income (loss) before income taxes |
|
(186,141 |
) |
|
(161,233 |
) |
|
|
(610,238 |
) |
|
657,526 |
|
|
Income taxes |
|
4 |
|
|
94 |
|
|
|
28 |
|
|
5,146 |
|
|
Net income (loss) |
$ |
(186,145 |
) |
$ |
(161,327 |
) |
|
$ |
(610,266 |
) |
$ |
652,380 |
|
|
Dividends on preferred stock |
|
18,438 |
|
|
18,438 |
|
|
|
55,283 |
|
|
55,313 |
|
|
Net income (loss) available to common shareholders |
$ |
(204,583 |
) |
$ |
(179,765 |
) |
|
$ |
(665,549 |
) |
$ |
597,067 |
|
|
|
|
|
|
|
|
||||||||
|
Net income (loss) per share available to common shareholders: |
|
|
|
|
|
||||||||
|
Basic |
$ |
(0.88 |
) |
$ |
(0.76 |
) |
|
$ |
(2.84 |
) |
$ |
2.57 |
|
|
Diluted |
$ |
(0.88 |
) |
$ |
(0.76 |
) |
|
$ |
(2.84 |
) |
$ |
2.42 |
|
|
|
|
|
|
|
|
||||||||
|
Weighted average number of common shares outstanding: |
|
|
|
|
|
||||||||
|
Basic |
|
231,750,422 |
|
|
235,310,440 |
|
|
|
234,671,912 |
|
|
232,717,010 |
|
|
Diluted |
|
231,750,422 |
|
|
235,310,440 |
|
|
|
234,671,912 |
|
|
247,358,823 |
|
|
|
|
|
|
|
|
||||||||
|
Dividends declared per share of common stock |
$ |
0.23 |
|
$ |
0.33 |
|
|
$ |
0.89 |
|
$ |
0.96 |
|
|
(1) Includes interest income of consolidated VIEs of $139,598 and $140,209 for the quarters ended September 30, 2022 and June 30, 2022, respectively, and $410,873 and $446,198 for the nine months ended September 30, 2022 and 2021, respectively. See Note 9 to consolidated financial statements for further discussion. |
|||||||||||||
|
(2) Includes interest expense of consolidated VIEs of $50,030 and $50,193 for the quarters ended September 30, 2022 and June 30, 2022, respectively, and $142,714 and $159,666 for the nine months ended September 30, 2022 and 2021, respectively. See Note 9 to consolidated financial statements for further discussion. |
|||||||||||||
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
||||||||
|
CHIMERA INVESTMENT CORPORATION |
||||||||||||
|
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) |
||||||||||||
|
(dollars in thousands, except share and per share data) |
||||||||||||
|
(Unaudited) |
||||||||||||
|
|
|
|
|
|
||||||||
|
|
For the Quarters Ended |
For the Nine Months Ended |
||||||||||
|
|
September 30, 2022 |
June 30, 2022 |
September 30, 2022 |
September 30, 2021 |
||||||||
|
Comprehensive income (loss): |
|
|
|
|
||||||||
|
Net income (loss) |
$ |
(186,145 |
) |
$ |
(161,327 |
) |
$ |
(610,266 |
) |
$ |
652,380 |
|
|
Other comprehensive income: |
|
|
|
|
||||||||
|
Unrealized gains (losses) on available-for-sale securities, net |
|
(61,526 |
) |
|
(58,369 |
) |
|
(160,850 |
) |
$ |
(82,065 |
) |
|
Reclassification adjustment for net realized losses (gains) included in net income |
|
— |
|
|
— |
|
|
— |
|
$ |
(37,116 |
) |
|
Other comprehensive income (loss) |
|
(61,526 |
) |
|
(58,369 |
) |
|
(160,850 |
) |
$ |
(119,181 |
) |
|
Comprehensive income (loss) before preferred stock dividends |
$ |
(247,671 |
) |
$ |
(219,696 |
) |
$ |
(771,116 |
) |
$ |
533,199 |
|
|
Dividends on preferred stock |
$ |
18,438 |
|
$ |
18,438 |
|
$ |
55,283 |
|
$ |
55,313 |
|
|
Comprehensive income (loss) available to common stock shareholders |
$ |
(266,109 |
) |
$ |
(238,134 |
) |
$ |
(826,399 |
) |
$ |
477,886 |
|
Earnings available for distribution
Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, realized gains or losses on the sales of investments, gains or losses on the extinguishment of debt, interest expense on long term debt, changes in the provision for credit losses, other gains or losses on equity investments, and transaction expenses incurred. In addition, stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (36 months) rather than reported as an immediate expense.
As defined, Earnings available for distribution is the Economic net interest income, as defined previously, reduced by compensation and benefits expenses (adjusted for awards to retirement eligible employees), general and administrative expenses, servicing and asset manager fees, income tax benefits or expenses incurred during the period, as well as the preferred dividend charges. We view Earnings available for distribution as a consistent measure of our investment portfolio’s ability to generate income for distribution to common stockholders. Earnings available for distribution is one of the metrics, but not the exclusive metric, that our Board of Directors uses to determine the amount, if any, of dividends on our common stock. Other metrics that our Board of Directors may consider when determining the amount, if any, of dividends on our common stock include (among others) REIT taxable income, dividend yield, book value, reinvestment opportunities and other cash needs. In addition, Earnings available for distribution is different than REIT taxable income and the determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income (subject to certain adjustments) to our stockholders in order to maintain qualification as a REIT is not based on Earnings available for distribution. Therefore, Earnings available for distribution should not be considered as an indication of our REIT taxable income, a guaranty of our ability to pay dividends, or as a proxy for the amount of dividends we may pay, because Earnings available for distribution excludes certain items that impact our cash needs. We believe Earnings available for distribution as described above helps us and investors evaluate our financial performance period over period without the impact of certain transactions. Therefore, Earnings available for distribution 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. In addition, our methodology for calculating Earnings available for distribution may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our Earnings available for distribution may not be comparable to the Earnings available for distribution reported by other REITs.
The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to Earnings available for distribution and related per average diluted common share amounts. Earnings available for distribution is presented on an adjusted dilutive shares basis. Certain prior period amounts have been reclassified to conform to the current period’s presentation.
|
|
For the Quarters Ended |
||||||||||||||
|
|
September 30, 2022 |
June 30, 2022 |
March 31, 2022 |
December 31, 2021 |
September 30, 2021 |
||||||||||
|
|
(dollars in thousands, except per share data) |
||||||||||||||
|
GAAP Net income (loss) available to common stockholders |
$ |
(204,583 |
) |
$ |
(179,765 |
) |
$ |
(281,202 |
) |
$ |
(718 |
) |
$ |
313,030 |
|
|
Adjustments: |
|
|
|
|
|
||||||||||
|
Net unrealized (gains) losses on financial instruments at fair value |
|
239,513 |
|
|
239,246 |
|
|
370,167 |
|
|
108,286 |
|
|
(239,524 |
) |
|
Net realized (gains) losses on sales of investments |
|
37,031 |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(Gains) losses on extinguishment of debt |
|
— |
|
|
2,897 |
|
|
— |
|
|
(980 |
) |
|
25,622 |
|
|
Interest expense on long term debt |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
238 |
|
|
Increase (decrease) in provision for credit losses |
|
(1,534 |
) |
|
4,497 |
|
|
240 |
|
|
92 |
|
|
(386 |
) |
|
Net unrealized (gains) losses on derivatives |
|
(10,307 |
) |
|
1,618 |
|
|
— |
|
|
— |
|
|
— |
|
|
Transaction expenses |
|
2,341 |
|
|
6,727 |
|
|
3,804 |
|
|
4,241 |
|
|
3,432 |
|
|
Stock Compensation expense for retirement eligible awards |
|
(310 |
) |
|
(309 |
) |
|
723 |
|
|
(363 |
) |
|
(365 |
) |
|
Other investment (gains) losses |
|
462 |
|
|
(980 |
) |
|
— |
|
|
— |
|
|
— |
|
|
Earnings available for distribution |
$ |
62,613 |
|
$ |
73,931 |
|
$ |
93,732 |
|
$ |
110,558 |
|
$ |
102,047 |
|
|
|
|
|
|
|
|
||||||||||
|
GAAP net income (loss) per diluted common share |
$ |
(0.88 |
) |
$ |
(0.76 |
) |
$ |
(1.19 |
) |
$ |
— |
|
$ |
1.30 |
|
|
Earnings available for distribution per adjusted diluted common share |
$ |
0.27 |
|
$ |
0.31 |
|
$ |
0.39 |
|
$ |
0.46 |
|
$ |
0.42 |
|
The following tables provide a summary of the Company’s MBS portfolio at September 30, 2022 and December 31, 2021.
|
|
September 30, 2022 |
|||||||||||||
|
|
Principal or |
Weighted |
Weighted |
Weighted |
Weighted Average |
|||||||||
|
Non-Agency RMBS |
|
|
|
|
||||||||||
|
Senior |
$ |
1,171,759 |
$ |
46.17 |
67.11 |
5.0 |
% |
16.8 |
% |
|||||
|
Subordinated |
|
506,901 |
|
67.54 |
60.90 |
4.6 |
% |
6.9 |
% |
|||||
|
Interest-only |
|
3,363,236 |
|
4.95 |
2.86 |
1.0 |
% |
7.4 |
% |
|||||
|
Agency RMBS |
|
|
|
|
|
|||||||||
|
Interest-only |
|
1,229,240 |
|
5.48 |
3.13 |
0.8 |
% |
1.6 |
% |
|||||
|
Agency CMBS |
|
|
|
|
|
|||||||||
|
Project loans |
|
303,369 |
|
101.89 |
97.99 |
4.3 |
% |
4.1 |
% |
|||||
|
Interest-only |
|
2,704,539 |
|
5.35 |
4.83 |
0.7 |
% |
3.8 |
% |
|||||
|
(1) Bond Equivalent Yield at period end. |
||||||||||||||
|
|
December 31, 2021 |
||||||||||||||
|
|
Principal or |
Weighted |
Weighted |
Weighted |
Weighted Average |
||||||||||
|
Non-Agency RMBS |
|
|
|
|
|||||||||||
|
Senior |
$ |
1,283,788 |
$ |
48.02 |
$ |
76.78 |
4.5 |
% |
18.0 |
% |
|||||
|
Subordinated |
|
845,432 |
|
68.10 |
|
77.12 |
3.8 |
% |
7.1 |
% |
|||||
|
Interest-only |
|
3,904,665 |
|
4.90 |
|
4.42 |
1.7 |
% |
13.2 |
% |
|||||
|
Agency RMBS |
|
|
|
|
|
||||||||||
|
Interest-only |
|
992,978 |
|
10.37 |
|
6.09 |
1.3 |
% |
0.3 |
% |
|||||
|
Agency CMBS |
|
|
|
|
|
||||||||||
|
Project loans |
|
560,565 |
|
101.77 |
|
109.61 |
4.3 |
% |
4.1 |
% |
|||||
|
Interest-only |
|
2,578,640 |
|
5.70 |
|
5.69 |
0.7 |
% |
4.6 |
% |
|||||
|
(1) Bond Equivalent Yield at period end. |
|||||||||||||||
At September 30, 2022 and December 31, 2021, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.
|
|
September 30, 2022 |
|
December 31, 2021 |
|||||||||
|
|
(dollars in thousands) |
|||||||||||
|
|
Principal |
Weighted |
Range of |
|
Principal (1) |
Weighted |
Range of |
|||||
|
1 to 29 days |
425,202 |
3.84% |
2.77% – 6.11% |
|
1,018,670 |
0.73% |
0.11% – 1.95% |
|||||
|
30 to 59 days |
434,926 |
3.40% |
2.74% – 4.13% |
|
379,031 |
1.66% |
1.55% – 1.70% |
|||||
|
60 to 89 days |
181,282 |
4.26% |
2.45% – 4.93% |
|
342,790 |
1.86% |
0.90% – 2.35% |
|||||
|
90 to 119 days |
146,780 |
4.36% |
3.63% – 5.96% |
|
67,840 |
1.66% |
1.66% – 1.66% |
|||||
|
120 to 180 days |
546,867 |
5.18% |
3.98% – 6.06% |
|
157,944 |
1.38% |
0.95% – 1.45% |
|||||
|
180 days to 1 year |
596,387 |
4.67% |
4.33% – 5.33% |
|
895,210 |
3.70% |
1.95% – 4.38% |
|||||
|
1 to 2 years |
— |
NA |
NA |
|
143,239 |
3.05% |
3.05% – 3.05% |
|||||
|
2 to 3 years |
489,487 |
6.79% |
6.79% – 6.79% |
|
— |
NA |
NA |
|||||
|
Greater than 3 years |
— |
NA |
NA |
|
256,889 |
5.56% |
5.56% – 5.56% |
|||||
|
Total |
$ 2,820,931 |
4.77% |
|
|
$ 3,261,613 |
2.30% |
|
|||||
|
(1) The principal balance for secured financing agreements in the table above is net of $3 million of deferred financing cost as of December 31, 2021. |
||||||||||||
The following table summarizes certain characteristics of our portfolio at September 30, 2022 and December 31, 2021.
|
|
September 30, 2022 |
December 31, 2021 |
||
|
GAAP Leverage at period-end |
3.9:1 |
3.0:1 |
||
|
GAAP Leverage at period-end (recourse) |
1.1:1 |
0.9:1 |
|
|
September 30, 2022 |
December 31, 2021 |
|
September 30, 2022 |
December 31, 2021 |
|||||||
|
Portfolio Composition |
Amortized Cost |
|
Fair Value |
|||||||||
|
Non-Agency RMBS |
7.6 |
% |
10.1 |
% |
|
8.9 |
% |
12.1 |
% |
|||
|
Senior |
3.9 |
% |
4.5 |
% |
|
5.9 |
% |
6.5 |
% |
|||
|
Subordinated |
2.5 |
% |
4.2 |
% |
|
2.3 |
% |
4.4 |
% |
|||
|
Interest-only |
1.2 |
% |
1.4 |
% |
|
0.7 |
% |
1.2 |
% |
|||
|
Agency RMBS |
0.5 |
% |
0.8 |
% |
|
0.3 |
% |
0.4 |
% |
|||
|
Pass-through |
— |
% |
— |
% |
|
— |
% |
— |
% |
|||
|
Interest-only |
0.5 |
% |
0.8 |
% |
|
0.3 |
% |
0.4 |
% |
|||
|
Agency CMBS |
3.2 |
% |
5.3 |
% |
|
3.2 |
% |
5.2 |
% |
|||
|
Project loans |
2.2 |
% |
4.2 |
% |
|
2.2 |
% |
4.2 |
% |
|||
|
Interest-only |
1.0 |
% |
1.1 |
% |
|
1.0 |
% |
1.0 |
% |
|||
|
Loans held for investment |
88.7 |
% |
83.8 |
% |
|
87.6 |
% |
82.3 |
% |
|||
|
Fixed-rate percentage of portfolio |
96.3 |
% |
95.4 |
% |
|
95.5 |
% |
94.4 |
% |
|||
|
Adjustable-rate percentage of portfolio |
3.7 |
% |
4.6 |
% |
|
4.5 |
% |
5.6 |
% |
|||
Economic Net Interest Income
Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for interest expense on long term debt, net periodic interest cost of interest rate swaps and any interest earned on cash. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our interest rate swaps, which is presented as a part of Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps are used to manage the increase in interest paid on secured financing agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate swaps with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income of our investment portfolio. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for interest payments on long term debt and any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting interest payments on long term debt, net periodic interest cost of interest rate swaps and any interest earned on cash, is referred to as Economic net interest income.
The following table reconciles the Economic net interest income to GAAP net interest income and Economic interest expense to GAAP interest expense for the periods presented.
|
|
GAAP |
|
GAAP |
Periodic |
Interest |
Economic |
|
GAAP Net |
Other (1) |
Economic |
||||||||||||||||
|
For the Quarter Ended September 30, 2022 |
$ |
188,303 |
|
$ |
83,464 |
$ |
122 |
$ |
— |
|
$ |
83,586 |
|
$ |
104,839 |
$ |
(662 |
) |
$ |
104,177 |
||||||
|
For the Quarter Ended June 30, 2022 |
$ |
195,357 |
|
$ |
78,467 |
$ |
— |
$ |
— |
|
$ |
78,467 |
|
$ |
116,890 |
$ |
(81 |
) |
$ |
116,809 |
||||||
|
For the Quarter Ended March 31, 2022 |
$ |
202,175 |
|
$ |
64,473 |
$ |
— |
$ |
— |
|
$ |
64,473 |
|
$ |
137,702 |
$ |
(18 |
) |
$ |
137,684 |
||||||
|
For the Quarter Ended December 31, 2021 |
$ |
221,162 |
|
$ |
66,598 |
$ |
— |
$ |
— |
|
$ |
66,598 |
|
$ |
154,564 |
$ |
(12 |
) |
$ |
154,552 |
||||||
|
For the Quarter Ended September 30, 2021 |
$ |
220,579 |
|
$ |
71,353 |
$ |
— |
$ |
(239 |
) |
$ |
71,114 |
|
$ |
149,226 |
$ |
220 |
|
$ |
149,446 |
||||||
(1) Primarily interest expense on Long term debt, periodic net interest cost on swaps and interest income on cash and cash equivalents.
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 |
|||||||||||||||||
|
|
September 30, 2022 |
|
June 30, 2022 |
|||||||||||||||
|
|
(dollars in thousands) |
|
(dollars in thousands) |
|||||||||||||||
|
|
Average |
Interest |
Average |
|
Average |
Interest |
Average |
|||||||||||
|
Assets: |
|
|
|
|
|
|
|
|||||||||||
|
Interest-earning assets (1): |
|
|
|
|
|
|
|
|||||||||||
|
Agency RMBS |
$ |
110,260 |
$ |
274 |
1.0 |
% |
|
$ |
126,498 |
$ |
312 |
1.0 |
% |
|||||
|
Agency CMBS |
|
445,191 |
|
4,784 |
4.3 |
% |
|
|
466,403 |
|
5,938 |
5.1 |
% |
|||||
|
Non-Agency RMBS |
|
1,061,412 |
|
33,565 |
12.6 |
% |
|
|
1,098,317 |
|
39,362 |
14.3 |
% |
|||||
|
Loans held for investment |
|
12,022,445 |
|
149,140 |
5.0 |
% |
|
|
12,378,236 |
|
149,664 |
4.8 |
% |
|||||
|
Total |
$ |
13,639,308 |
$ |
187,763 |
5.5 |
% |
|
$ |
14,069,454 |
$ |
195,276 |
5.6 |
% |
|||||
|
|
|
|
|
|
|
|
|
|||||||||||
|
Liabilities and stockholders’ equity: |
|
|
|
|
|
|
|
|||||||||||
|
Interest-bearing liabilities (2): |
|
|
|
|
|
|
|
|||||||||||
|
Secured financing agreements collateralized by: |
|
|
|
|
|
|
|
|||||||||||
|
Agency RMBS |
$ |
6,560 |
$ |
45 |
2.7 |
% |
|
$ |
14,665 |
$ |
36 |
1.0 |
% |
|||||
|
Agency CMBS |
|
350,883 |
|
2,009 |
2.3 |
% |
|
|
336,379 |
|
770 |
0.9 |
% |
|||||
|
Non-Agency RMBS |
|
853,768 |
|
7,368 |
3.5 |
% |
|
|
831,864 |
|
6,221 |
3.0 |
% |
|||||
|
Loans held for investment |
|
1,845,075 |
|
21,181 |
4.6 |
% |
|
|
2,190,270 |
|
18,077 |
3.3 |
% |
|||||
|
Securitized debt |
|
8,176,766 |
|
52,983 |
2.6 |
% |
|
|
8,330,885 |
|
53,363 |
2.6 |
% |
|||||
|
Total |
$ |
11,233,052 |
$ |
83,586 |
3.0 |
% |
|
$ |
11,704,063 |
$ |
78,467 |
2.7 |
% |
|||||
|
|
|
|
|
|
|
|
|
|||||||||||
|
Economic net interest income/net interest rate spread |
|
$ |
104,177 |
2.5 |
% |
|
|
$ |
116,809 |
2.9 |
% |
|||||||
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net interest-earning assets/net interest margin |
$ |
2,406,256 |
|
3.1 |
% |
|
$ |
2,365,391 |
|
3.3 |
% |
|||||||
|
|
|
|
|
|
|
|
|
|||||||||||
|
Ratio of interest-earning assets to interest bearing liabilities |
|
1.21 |
|
|
|
|
1.20 |
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
|
(1) Interest-earning assets at amortized cost |
|
|
|
|
|
|
|
|||||||||||
The table below shows our Net Income and Economic net interest income as a percentage of average stockholders’ equity and Earnings available for distribution as a percentage of average common stockholders’ equity. Return on average equity is defined as our GAAP net income (loss) as a percentage of average equity. Average equity is defined as the average of our beginning and ending stockholders’ equity balance for the period reported.
Contacts
Investor Relations
888-895-6557
www.chimerareit.com
