NEW YORK–(BUSINESS WIRE)–Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the third quarter ended September 30, 2023.
Financial Highlights:
- 3RD QUARTER GAAP NET LOSS OF $(0.07) PER DILUTED COMMON SHARE
- 3RD QUARTER EARNINGS AVAILABLE FOR DISTRIBUTION(1) OF $0.13 PER DILUTED COMMON SHARE.
- GAAP BOOK VALUE OF $6.90 PER COMMON SHARE
“Credit performance and income generation of our assets have continued to meet or exceed our initial investment expectations. We believe the recent action taken on our debt refinancing and the rightsizing of our common stock dividend will significantly benefit our shareholders over the long term.” said Phil Kardis, CEO. “We expect that once interest rates moderate and ultimately begin to decline, the portfolio will benefit both in terms of reduced financing costs and improved economic portfolio performance.”
|
(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, 2023 |
December 31, 2022 |
||||
|
Cash and cash equivalents |
$ |
138,591 |
|
$ |
264,600 |
|
|
Non-Agency RMBS, at fair value (net of allowance for credit losses of $16 million and $7 million, respectively) |
|
1,024,609 |
|
|
1,147,481 |
|
|
Agency MBS, at fair value |
|
127,706 |
|
|
430,944 |
|
|
Loans held for investment, at fair value |
|
11,426,932 |
|
|
11,359,236 |
|
|
Accrued interest receivable |
|
72,815 |
|
|
61,768 |
|
|
Other assets |
|
96,764 |
|
|
133,866 |
|
|
Derivatives, at fair value |
|
— |
|
|
4,096 |
|
|
Total assets (1) |
$ |
12,887,417 |
|
$ |
13,401,991 |
|
|
Liabilities: |
|
|
||||
|
Secured financing agreements ($3.7 billion and $4.7 billion pledged as collateral, respectively, and includes $340 million and $374 million at fair value, respectively) |
$ |
2,603,911 |
|
$ |
3,434,765 |
|
|
Securitized debt, collateralized by Non-Agency RMBS ($250 million and $276 million pledged as collateral, respectively) |
|
75,819 |
|
|
78,542 |
|
|
Securitized debt at fair value, collateralized by Loans held for investment ($11.0 billion and $10.0 billion pledged as collateral, respectively) |
|
7,598,721 |
|
|
7,100,742 |
|
|
Payable for investments purchased |
|
6,237 |
|
|
9,282 |
|
|
Accrued interest payable |
|
35,670 |
|
|
30,696 |
|
|
Dividends payable |
|
49,881 |
|
|
64,545 |
|
|
Accounts payable and other liabilities |
|
22,721 |
|
|
16,616 |
|
|
Total liabilities (1) |
$ |
10,392,960 |
|
$ |
10,735,188 |
|
|
|
|
|
||||
|
|
|
|
||||
|
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, 226,760,148 and 231,824,192 shares issued and outstanding, respectively |
|
2,268 |
|
|
2,318 |
|
|
Additional paid-in-capital |
|
4,291,775 |
|
|
4,318,388 |
|
|
Accumulated other comprehensive income |
|
181,227 |
|
|
229,345 |
|
|
Cumulative earnings |
|
4,134,502 |
|
|
4,038,942 |
|
|
Cumulative distributions to stockholders |
|
(6,115,687 |
) |
|
(5,922,562 |
) |
|
Total stockholders’ equity |
$ |
2,494,457 |
|
$ |
2,666,803 |
|
|
Total liabilities and stockholders’ equity |
$ |
12,887,417 |
|
$ |
13,401,991 |
|
|
(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, 2023, and December 31, 2022, total assets of consolidated VIEs were $10,758,561 and $10,199,266, respectively, and total liabilities of consolidated VIEs were $7,337,986 and $6,772,125, 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, 2023 |
June 30, 2023 |
|
September 30, 2023 |
September 30, 2022 |
||||||||
|
Net interest income: |
|
|
|
|
|
||||||||
|
Interest income (1) |
$ |
195,591 |
|
$ |
196,859 |
|
|
$ |
581,700 |
|
$ |
585,835 |
|
|
Interest expense (2) |
|
132,193 |
|
|
131,181 |
|
|
|
382,988 |
|
|
226,403 |
|
|
Net interest income |
|
63,398 |
|
|
65,678 |
|
|
|
198,712 |
|
|
359,432 |
|
|
|
|
|
|
|
|
||||||||
|
Increase (decrease) in provision for credit losses |
|
3,217 |
|
|
2,762 |
|
|
|
9,041 |
|
|
3,203 |
|
|
|
|
|
|
|
|
||||||||
|
Other investment gains (losses): |
|
|
|
|
|
||||||||
|
Net unrealized gains (losses) on derivatives |
|
17 |
|
|
17,994 |
|
|
|
9,460 |
|
|
8,689 |
|
|
Realized gains (losses) on derivatives |
|
— |
|
|
(6,822 |
) |
|
|
(40,957 |
) |
|
— |
|
|
Periodic interest cost of swaps, net |
|
4,894 |
|
|
4,159 |
|
|
|
11,871 |
|
|
(122 |
) |
|
Net gains (losses) on derivatives |
|
4,911 |
|
|
15,331 |
|
|
|
(19,626 |
) |
|
8,567 |
|
|
Net unrealized gains (losses) on financial instruments at fair value |
|
(43,988 |
) |
|
6,954 |
|
|
|
27,558 |
|
|
(848,925 |
) |
|
Net realized gains (losses) on sales of investments |
|
(460 |
) |
|
(21,758 |
) |
|
|
(27,482 |
) |
|
(37,031 |
) |
|
Gains (losses) on extinguishment of debt |
|
— |
|
|
4,039 |
|
|
|
6,348 |
|
|
(2,897 |
) |
|
Other investment gains (losses) |
|
2,381 |
|
|
(421 |
) |
|
|
2,077 |
|
|
517 |
|
|
Total other gains (losses) |
|
(37,156 |
) |
|
4,145 |
|
|
|
(11,125 |
) |
|
(879,769 |
) |
|
|
|
|
|
|
|
||||||||
|
Other expenses: |
|
|
|
|
|
||||||||
|
Compensation and benefits |
|
7,124 |
|
|
7,677 |
|
|
|
25,292 |
|
|
30,211 |
|
|
General and administrative expenses |
|
5,427 |
|
|
6,471 |
|
|
|
17,674 |
|
|
16,493 |
|
|
Servicing and asset manager fees |
|
8,139 |
|
|
8,408 |
|
|
|
24,965 |
|
|
27,122 |
|
|
Transaction expenses |
|
90 |
|
|
8,456 |
|
|
|
14,955 |
|
|
12,872 |
|
|
Total other expenses |
|
20,780 |
|
|
31,012 |
|
|
|
82,886 |
|
|
86,698 |
|
|
Income (loss) before income taxes |
|
2,245 |
|
|
36,049 |
|
|
|
95,660 |
|
|
(610,238 |
) |
|
Income taxes |
|
75 |
|
|
25 |
|
|
|
100 |
|
|
28 |
|
|
Net income (loss) |
$ |
2,170 |
|
$ |
36,024 |
|
|
$ |
95,560 |
|
$ |
(610,266 |
) |
|
|
|
|
|
|
|
||||||||
|
Dividends on preferred stock |
|
18,438 |
|
|
18,438 |
|
|
|
55,313 |
|
|
55,283 |
|
|
|
|
|
|
|
|
||||||||
|
Net income (loss) available to common shareholders |
$ |
(16,268 |
) |
$ |
17,586 |
|
|
$ |
40,248 |
|
$ |
(665,549 |
) |
|
|
|
|
|
|
|
||||||||
|
Net income (loss) per share available to common shareholders: |
|
|
|
|
|
||||||||
|
Basic |
$ |
(0.07 |
) |
$ |
0.08 |
|
|
$ |
0.17 |
|
$ |
(2.84 |
) |
|
Diluted |
$ |
(0.07 |
) |
$ |
0.08 |
|
|
$ |
0.17 |
|
$ |
(2.84 |
) |
|
|
|
|
|
|
|
||||||||
|
Weighted average number of common shares outstanding: |
|
|
|
|
|
||||||||
|
Basic |
|
226,734,643 |
|
|
231,628,141 |
|
|
|
230,099,867 |
|
|
234,671,912 |
|
|
Diluted |
|
226,734,643 |
|
|
233,867,501 |
|
|
|
232,288,318 |
|
|
234,671,912 |
|
|
|
|
|
|
|
|
||||||||
|
(1) Includes interest income of consolidated VIEs of $153,710 and $139,598 for the quarters ended September 30, 2023 and 2022, respectively, and $443,286 and $410,873 for the nine months ended September 30, 2023 and 2022, respectively. |
|||||||||||||
|
(2) Includes interest expense of consolidated VIEs of $75,902 and $50,030 for the quarters ended September 30, 2023 and 2022, respectively, and $208,678 and $142,714 for the nine months ended September 30, 2023 and 2022, respectively. |
|||||||||||||
|
|
|
|
|
|
||||||||
|
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, 2023 |
September 30, 2022 |
September 30, 2023 |
September 30, 2022 |
||||||||
|
Comprehensive income (loss): |
|
|
|
|
||||||||
|
Net income (loss) |
$ |
2,170 |
|
$ |
(186,145 |
) |
$ |
95,560 |
|
$ |
(610,266 |
) |
|
Other comprehensive income: |
|
|
|
|
||||||||
|
Unrealized gains (losses) on available-for-sale securities, net |
|
(29,447 |
) |
|
(61,526 |
) |
|
(49,431 |
) |
|
(160,850 |
) |
|
Reclassification adjustment for net realized losses (gains) included in net income |
|
— |
|
|
— |
|
|
1,313 |
|
|
— |
|
|
Other comprehensive income (loss) |
|
(29,447 |
) |
|
(61,526 |
) |
$ |
(48,118 |
) |
$ |
(160,850 |
) |
|
Comprehensive income (loss) before preferred stock dividends |
$ |
(27,277 |
) |
$ |
(247,671 |
) |
$ |
47,442 |
|
$ |
(771,116 |
) |
|
Dividends on preferred stock |
$ |
18,438 |
|
$ |
18,438 |
|
$ |
55,313 |
|
$ |
55,283 |
|
|
Comprehensive income (loss) available to common stock shareholders |
$ |
(45,715 |
) |
$ |
(266,109 |
) |
$ |
(7,871 |
) |
$ |
(826,399 |
) |
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, changes in the provision for credit losses, other gains or losses on equity investments, and transaction expenses incurred. Transaction expenses are primarily comprised of costs only incurred at the time of execution of our securitizations and certain structured secured financing agreements and include costs such as underwriting fees, legal fees, diligence fees, bank fees and other similar transaction related expenses. These costs are all incurred prior to or at the execution of the transaction and do not recur. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. We believe that excluding these costs is useful to investors as it is generally consistent with our peer groups treatment of these costs in their non-GAAP measures presentation, mitigates period to period comparability issues tied to the timing of securitization and structured finance transactions, and is consistent with the accounting for the deferral of debt issue costs prior to the fair value election option made by us. In addition, we believe it is important for investors to review this metric which is consistent with how management internally evaluates the performance of the Company. Stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (generally 36 months) rather than reported as an immediate expense.
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 one 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, cash generated from the portfolio, 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. 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.
|
|
For the Quarters Ended |
||||||||||||||
|
|
September 30, 2023 |
June 30, 2023 |
March 31, 2023 |
December 31, 2022 |
September 30, 2022 |
||||||||||
|
|
(dollars in thousands, except per share data) |
||||||||||||||
|
GAAP Net income (loss) available to common stockholders |
$ |
(16,268 |
) |
$ |
17,586 |
|
$ |
38,928 |
|
$ |
78,716 |
|
$ |
(204,583 |
) |
|
Adjustments: |
|
|
|
|
|
||||||||||
|
Net unrealized (gains) losses on financial instruments at fair value |
|
43,988 |
|
|
(6,954 |
) |
|
(64,592 |
) |
|
(112,026 |
) |
|
239,513 |
|
|
Net realized (gains) losses on sales of investments |
|
460 |
|
|
21,758 |
|
|
5,264 |
|
|
39,443 |
|
|
37,031 |
|
|
(Gains) losses on extinguishment of debt |
|
— |
|
|
(4,039 |
) |
|
(2,309 |
) |
|
— |
|
|
— |
|
|
Increase (decrease) in provision for credit losses |
|
3,217 |
|
|
2,762 |
|
|
3,062 |
|
|
3,834 |
|
|
(1,534 |
) |
|
Net unrealized (gains) losses on derivatives |
|
(17 |
) |
|
(17,994 |
) |
|
8,551 |
|
|
10,171 |
|
|
(10,307 |
) |
|
Realized gains (losses) on derivatives |
|
— |
|
|
6,822 |
|
|
34,134 |
|
|
561 |
|
|
— |
|
|
Transaction expenses |
|
90 |
|
|
8,456 |
|
|
6,409 |
|
|
3,274 |
|
|
2,341 |
|
|
Stock Compensation expense for retirement eligible awards |
|
(392 |
) |
|
(388 |
) |
|
2,141 |
|
|
(309 |
) |
|
(310 |
) |
|
Other investment (gains) losses |
|
(2,381 |
) |
|
421 |
|
|
(117 |
) |
|
2,383 |
|
|
462 |
|
|
Earnings available for distribution |
$ |
28,697 |
|
$ |
28,430 |
|
$ |
31,471 |
|
$ |
26,047 |
|
$ |
62,613 |
|
|
|
|
|
|
|
|
||||||||||
|
GAAP net income (loss) per diluted common share |
$ |
(0.07 |
) |
$ |
0.08 |
|
$ |
0.17 |
|
$ |
0.34 |
|
$ |
(0.88 |
) |
|
Earnings available for distribution per adjusted diluted common share |
$ |
0.13 |
|
$ |
0.12 |
|
$ |
0.13 |
|
$ |
0.11 |
|
$ |
0.27 |
|
The following tables provide a summary of the Company’s MBS portfolio at September 30, 2023 and December 31, 2022.
|
|
September 30, 2023 |
||||||||
|
|
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) |
||||
|
Non-Agency RMBS |
|
|
|
|
|||||
|
Senior |
$ |
1,091,694 |
$ |
45.58 |
62.64 |
5.6 |
% |
17.0 |
% |
|
Subordinated |
|
588,224 |
|
50.69 |
45.41 |
3.7 |
% |
6.8 |
% |
|
Interest-only |
|
2,926,629 |
|
5.44 |
2.52 |
0.5 |
% |
5.5 |
% |
|
Agency RMBS |
|
|
|
|
|
||||
|
Interest-only |
|
395,197 |
|
4.82 |
3.52 |
0.2 |
% |
4.7 |
% |
|
Agency CMBS |
|
|
|
|
|
||||
|
Project loans |
|
117,400 |
|
101.54 |
89.73 |
4.1 |
% |
4.0 |
% |
|
Interest-only |
|
481,488 |
|
1.69 |
1.76 |
0.6 |
% |
8.0 |
% |
|
(1) Bond Equivalent Yield at period end. |
|||||||||
|
|
December 31, 2022 |
|||||||||
|
|
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) |
|||||
|
Non-Agency RMBS |
|
|
|
|
||||||
|
Senior |
$ |
1,153,458 |
$ |
46.09 |
$ |
66.05 |
5.3 |
% |
16.4 |
% |
|
Subordinated |
|
611,206 |
|
49.79 |
|
46.94 |
3.1 |
% |
6.8 |
% |
|
Interest-only |
|
3,114,930 |
|
5.14 |
|
3.17 |
0.7 |
% |
5.3 |
% |
|
Agency RMBS |
|
|
|
|
|
|||||
|
Interest-only |
|
409,940 |
|
4.58 |
|
3.70 |
0.9 |
% |
5.0 |
% |
|
Agency CMBS |
|
|
|
|
|
|||||
|
Project loans |
|
302,685 |
|
101.85 |
|
95.62 |
4.3 |
% |
4.1 |
% |
|
Interest-only |
|
2,669,396 |
|
5.23 |
|
4.73 |
0.7 |
% |
3.4 |
% |
|
(1) Bond Equivalent Yield at period end. |
||||||||||
At September 30, 2023 and December 31, 2022, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.
|
|
September 30, 2023 |
|
December 31, 2022 |
||||||
|
|
(dollars in thousands) |
||||||||
|
|
Principal (1) |
Weighted Average Borrowing Rates |
Range of Borrowing Rates |
|
Principal (1) |
Weighted Average Borrowing Rates |
Range of Borrowing Rates |
||
|
Overnight |
$ |
— |
N/A |
N/A |
|
$ |
— |
N/A |
NA |
|
1 to 29 days |
$ |
200,131 |
7.62% |
6.23% – 8.17% |
|
$ |
493,918 |
4.66% |
3.63% – 6.16% |
|
30 to 59 days |
|
490,698 |
6.57% |
5.47% – 7.87% |
|
|
762,768 |
6.14% |
4.60% – 7.34% |
|
60 to 89 days |
|
93,144 |
6.46% |
6.31% – 7.16% |
|
|
225,497 |
6.04% |
4.70% – 7.12% |
|
90 to 119 days |
|
84,854 |
6.54% |
6.48% – 7.24% |
|
|
43,180 |
6.54% |
5.50% – 6.70% |
|
120 to 180 days |
|
364,014 |
7.27% |
6.42% – 7.85% |
|
|
401,638 |
5.88% |
5.57% – 6.92% |
|
180 days to 1 year |
|
192,722 |
6.67% |
6.64% – 6.67% |
|
|
402,283 |
6.06% |
5.63% – 6.64% |
|
1 to 2 years |
|
838,510 |
11.10% |
9.07% – 13.98% |
|
|
251,286 |
13.98% |
13.98% – 13.98% |
|
2 to 3 years |
|
— |
—% |
0.00% – 0.00% |
|
|
480,022 |
8.07% |
8.07% – 8.07% |
|
Greater than 3 years |
|
367,619 |
5.11% |
5.10% – 7.06% |
|
|
382,839 |
5.14% |
5.10% – 6.07% |
|
Total |
$ |
2,631,692 |
7.99% |
|
|
$ |
3,443,431 |
6.61% |
|
|
(1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively. |
|||||||||
The following table summarizes certain characteristics of our portfolio at September 30, 2023 and December 31, 2022.
|
|
September 30, 2023 |
December 31, 2022 |
|
GAAP Leverage at period-end |
4.1:1 |
4.0:1 |
|
GAAP Leverage at period-end (recourse) |
1.0:1 |
1.3:1 |
|
|
September 30, 2023 |
December 31, 2022 |
|
September 30, 2023 |
December 31, 2022 |
|
Portfolio Composition |
Amortized Cost |
|
Fair Value |
||
|
Non-Agency RMBS |
7.4 % |
7.5 % |
|
8.1 % |
8.9 % |
|
Senior |
3.9 % |
4.0 % |
|
5.4 % |
5.9 % |
|
Subordinated |
2.3 % |
2.3 % |
|
2.1 % |
2.2 % |
|
Interest-only |
1.2 % |
1.2 % |
|
0.6 % |
0.8 % |
|
Agency RMBS |
0.1 % |
0.1 % |
|
0.1 % |
0.1 % |
|
Interest-only |
0.1 % |
0.1 % |
|
0.1 % |
0.1 % |
|
Agency CMBS |
1.0 % |
3.3 % |
|
0.9 % |
3.2 % |
|
Project loans |
0.9 % |
2.3 % |
|
0.8 % |
2.2 % |
|
Interest-only |
0.1 % |
1.0 % |
|
0.1 % |
1.0 % |
|
Loans held for investment |
91.5 % |
89.1 % |
|
90.9 % |
87.8 % |
|
Fixed-rate percentage of portfolio |
96.6 % |
96.5 % |
|
96.1 % |
95.6 % |
|
Adjustable-rate percentage of portfolio |
3.4 % |
3.5 % |
|
3.9 % |
4.4 % |
Economic Net Interest Income
Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest cost of interest rate swaps and excludes 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 any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting 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 Interest Income |
|
GAAP Interest Expense |
Periodic Interest Cost of Interest Rate Swaps |
Economic Interest Expense |
|
GAAP Net Interest Income |
Periodic Interest Cost of Interest Rate Swaps |
Other (1) |
Economic Net Interest Income |
|||||||||||
|
For the Quarter Ended September 30, 2023 |
$ |
195,591 |
|
$ |
132,193 |
$ |
(4,894 |
) |
$ |
127,299 |
|
$ |
63,398 |
$ |
4,894 |
|
$ |
(2,301 |
) |
$ |
65,991 |
|
For the Quarter Ended June 30, 2023 |
$ |
196,859 |
|
$ |
131,181 |
$ |
(4,159 |
) |
$ |
127,022 |
|
$ |
65,678 |
$ |
4,159 |
|
$ |
(2,884 |
) |
$ |
66,953 |
|
For the Quarter Ended March 31, 2023 |
$ |
189,250 |
|
$ |
119,615 |
$ |
(2,819 |
) |
$ |
116,796 |
|
$ |
69,635 |
$ |
2,819 |
|
$ |
(3,035 |
) |
$ |
69,419 |
|
For the Quarter Ended December 31, 2022 |
$ |
187,286 |
|
$ |
106,891 |
$ |
1,629 |
|
$ |
108,520 |
|
$ |
80,395 |
$ |
(1,629 |
) |
$ |
(1,867 |
) |
$ |
76,899 |
|
For the Quarter Ended September 30, 2022 |
$ |
188,303 |
|
$ |
83,464 |
$ |
122 |
|
$ |
83,586 |
|
$ |
104,839 |
$ |
(122 |
) |
$ |
(540 |
) |
$ |
104,177 |
|
(1) Primarily 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, 2023 |
|
June 30, 2023 |
||||||||||
|
|
(dollars in thousands) |
|
(dollars in thousands) |
||||||||||
|
|
Average Balance |
Interest |
Average Yield/Cost |
|
Average Balance |
Interest |
Average Yield/Cost |
||||||
|
Assets: |
|
|
|
|
|
|
|
||||||
|
Interest-earning assets (1): |
|
|
|
|
|
|
|
||||||
|
Agency RMBS |
$ |
18,990 |
$ |
234 |
4.9 |
% |
|
$ |
18,798 |
$ |
305 |
6.5 |
% |
|
Agency CMBS |
|
124,094 |
|
1,701 |
5.5 |
% |
|
|
165,270 |
|
1,728 |
4.2 |
% |
|
Non-Agency RMBS |
|
961,257 |
|
28,826 |
12.0 |
% |
|
|
976,994 |
|
29,543 |
12.1 |
% |
|
Loans held for investment |
|
12,188,221 |
|
162,530 |
5.3 |
% |
|
|
12,585,384 |
|
162,399 |
5.2 |
% |
|
Total |
$ |
13,292,562 |
$ |
193,290 |
5.8 |
% |
|
$ |
13,746,444 |
$ |
193,975 |
5.6 |
% |
|
|
|
|
|
|
|
|
|
||||||
|
Liabilities and stockholders’ equity: |
|
|
|
|
|
|
|
||||||
|
Interest-bearing liabilities (2): |
|
|
|
|
|
|
|
||||||
|
Secured financing agreements collateralized by: |
|
|
|
|
|
|
|
||||||
|
Agency RMBS |
$ |
— |
$ |
— |
— |
% |
|
$ |
1,994 |
$ |
27 |
5.4 |
% |
|
Agency CMBS |
|
90,205 |
|
1,200 |
5.3 |
% |
|
|
133,306 |
|
1,651 |
5.0 |
% |
|
Non-Agency RMBS |
|
742,579 |
|
17,769 |
9.6 |
% |
|
|
772,486 |
|
17,438 |
9.0 |
% |
|
Loans held for investment |
|
1,832,445 |
|
29,896 |
6.5 |
% |
|
|
2,024,638 |
|
32,652 |
6.5 |
% |
|
Securitized debt |
|
8,663,773 |
|
78,434 |
3.6 |
% |
|
|
8,584,803 |
|
75,254 |
3.5 |
% |
|
Total |
$ |
11,329,002 |
$ |
127,299 |
4.5 |
% |
|
$ |
11,517,226 |
$ |
127,022 |
4.4 |
% |
|
|
|
|
|
|
|
|
|
||||||
|
Economic net interest income/net interest rate spread |
|
$ |
65,991 |
1.3 |
% |
|
|
$ |
66,953 |
1.2 |
% |
||
|
|
|
|
|
|
|
|
|
||||||
|
Net interest-earning assets/net interest margin |
$ |
1,963,560 |
|
2.0 |
% |
|
$ |
2,229,219 |
|
1.9 |
% |
||
|
|
|
|
|
|
|
|
|
||||||
|
Ratio of interest-earning assets to interest bearing liabilities |
|
1.17 |
|
|
|
|
1.19 |
|
|
||||
|
|
|
|
|
|
|
|
|
||||||
|
(1) Interest-earning assets at amortized cost |
|||||||||||||
|
(2) Interest includes periodic net interest cost on swaps |
|||||||||||||
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. Economic Net Interest Income and Earnings available for distribution are non-GAAP measures as defined in previous sections.
|
|
Return on Average Equity |
Economic Net Interest Income/Average Equity |
Earnings available for distribution/Average Common Equity |
|
|
(Ratios have been annualized) |
||
|
For the Quarter Ended September 30, 2023 |
0.34 % |
10.40 % |
7.14 % |
|
For the Quarter Ended June 30, 2023 |
5.51 % |
10.24 % |
6.75 % |
|
For the Quarter Ended March 31, 2023 |
8.63 % |
10.45 % |
7.28 % |
|
For the Quarter Ended December 31, 2022 |
14.61 % |
11.56 % |
6.02 % |
|
For the Quarter Ended September 30, 2022 |
(26.47) % |
14.81 % |
13.30 % |
The following table presents changes to Accretable Discount (net of premiums) as it pertains to our Non-Agency RMBS portfolio, excluding premiums on interest-only investments, during the previous five quarters.
|
|
For the Quarters Ended |
||||||||||||||
|
|
(dollars in thousands) |
||||||||||||||
|
Accretable Discount (Net of Premiums) |
September 30, 2023 |
June 30, 2023 |
March 31, 2023 |
December 31, 2022 |
September 30, 2022 |
||||||||||
|
Balance, beginning of period |
$ |
145,322 |
|
$ |
157,253 |
|
$ |
176,635 |
|
$ |
207,812 |
|
$ |
241,391 |
|
|
Accretion of discount |
|
(9,022 |
) |
|
(10,620 |
) |
|
(11,663 |
) |
|
(11,128 |
) |
|
(12,989 |
) |
|
Purchases |
|
(9 |
) |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
Sales |
|
— |
|
|
— |
|
|
— |
|
|
(17,935 |
) |
|
— |
|
|
Elimination in consolidation |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
Transfers from/(to) credit reserve, net |
|
10,961 |
|
|
(1,311 |
) |
|
(7,719 |
) |
|
(2,114 |
) |
|
(20,590 |
) |
|
Balance, end of period |
$ |
147,252 |
|
$ |
145,322 |
|
$ |
157,253 |
|
$ |
176,635 |
|
$ |
207,812 |
|
Contacts
Investor Relations
888-895-6557
www.chimerareit.com
