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News

Chimera Investment Corporation Reports 3rd Quarter 2020 Earnings

Wed, 04 Nov 2020
  • GAAP Net Income of $1.32 Per Common Share
  • Core Earnings(1) of $0.33 Per Common Share
  • GAAP Book Value of $11.91 Per Common Share

NEW YORK--(BUSINESS WIRE)-- Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the third quarter ended September 30, 2020. The Company’s GAAP net income for the third quarter was $349 million, or $1.32 per common share. Core earnings(1) for the third quarter was $80 million, or $0.33 per common share.

This press release features multimedia. View the full release here: https://www.businesswire.com/news/home/20201104005043/en/

“Over the past six months we have concentrated the company’s efforts on strengthening the balance sheet and protecting our valuable credit assets” said Matthew Lambiase, President and Chief Executive Officer. “These actions contributed to this quarters strong performance and enabled us to complete three securitizations while purchasing $640 million loans for our portfolio.”

(1) Core earnings per adjusted diluted common share is a non-GAAP measure. See additional discussion below.

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 our 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, 2020

December 31, 2019

Cash and cash equivalents

$

325,717

 

$

109,878

 

Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and
$0 thousand, respectively)

2,218,289

 

2,614,408

 

Agency RMBS, at fair value

99,988

 

6,490,293

 

Agency CMBS, at fair value

1,754,740

 

2,850,717

 

Loans held for investment, at fair value

13,533,252

 

14,292,815

 

Receivable for investments sold

 

446,225

 

Accrued interest receivable

86,727

 

116,423

 

Other assets

75,155

 

194,301

 

Derivatives, at fair value, net

 

3,611

 

Total assets (1)

$

18,093,868

 

$

27,118,671

 

Liabilities:

 

 

Secured financing agreements ($6.7 billion and $15.4 billion pledged as collateral, respectively)

$

4,700,037

 

$

13,427,545

 

Securitized debt, collateralized by Non-Agency RMBS ($528 million and $598 million
pledged as collateral, respectively)

117,904

 

133,557

 

Securitized debt at fair value, collateralized by loans held for investment ($12.4 billion and
$12.1 billion pledged as collateral, respectively)

8,757,449

 

8,179,608

 

Long term debt

70,641

 

 

Payable for investments purchased

614,583

 

1,256,337

 

Accrued interest payable

36,451

 

63,600

 

Dividends payable

76,362

 

98,568

 

Accounts payable and other liabilities

23,899

 

6,163

 

Total liabilities (1)

$

14,397,326

 

$

23,165,378

 

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, 232,190,087 and
187,226,081 shares issued and outstanding, respectively

2,322

 

1,873

 

Additional paid-in-capital

4,517,819

 

4,275,963

 

Accumulated other comprehensive income

554,981

 

708,336

 

Cumulative earnings

3,734,659

 

3,793,040

 

Cumulative distributions to stockholders

(5,113,611)

 

(4,826,291)

 

Total stockholders' equity

$

3,696,542

 

$

3,953,293

 

Total liabilities and stockholders' equity

$

18,093,868

 

$

27,118,671

 

(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“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, 2020, and December 31, 2019, total assets of consolidated VIEs were $12,795,729 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $8,660,123 and $8,064,235, respectively.

CHIMERA INVESTMENT CORPORATION

CONSOLIDATED STATEMENTS OF OPERATIONS

(dollars in thousands, except share and per share data)

(Unaudited)

 

For the Quarters Ended

For the Nine Months Ended

 

September 30,
2020

September 30,
2019

September 30,
2020

September 30,
2019

Net interest income:

 

 

 

 

Interest income (1)

$

247,905

 

$

330,144

 

$

794,094

 

$

1,020,448

 

Interest expense (2)

124,557

 

188,551

 

395,897

 

589,611

 

Net interest income

123,348

 

141,593

 

398,197

 

430,837

 

 

 

 

 

 

Increase/(decrease) in provision for credit losses

(1,650)

 

 

167

 

 

 

 

 

 

 

Net other-than-temporary credit impairment losses

 

 

 

(4,853)

 

 

 

 

 

 

Other investment gains (losses):

 

 

 

 

Net unrealized gains (losses) on derivatives

 

31,620

 

201,000

 

(189,865)

 

Realized gains (losses) on terminations of interest rate swaps

 

(148,114)

 

(463,966)

 

(351,372)

 

Net realized gains (losses) on derivatives

 

(20,178)

 

(41,086)

 

(37,151)

 

Net gains (losses) on derivatives

 

(136,672)

 

(304,052)

 

(578,388)

 

Net unrealized gains (losses) on financial instruments at fair value

260,766

 

130,825

 

(172,042)

 

522,386

 

Net realized gains (losses) on sales of investments

65,041

 

1,596

 

167,275

 

2,673

 

Gains (losses) on extinguishment of debt

(55,794)

 

 

(55,338)

 

(608)

 

Total other gains (losses)

270,013

 

(4,251)

 

(364,157)

 

(53,937)

 

 

 

 

 

 

Other expenses:

 

 

 

 

Compensation and benefits

10,287

 

12,191

 

33,476

 

38,675

 

General and administrative expenses

6,811

 

6,528

 

19,050

 

18,569

 

Servicing fees

8,898

 

8,881

 

28,359

 

27,125

 

Transaction expenses

1,624

 

3,415

 

11,239

 

4,289

 

Total other expenses

27,620

 

31,015

 

92,124

 

88,658

 

Income (loss) before income taxes

367,391

 

106,327

 

(58,251)

 

283,389

 

Income taxes

62

 

1

 

130

 

156

 

Net income (loss)

$

367,329

 

$

106,326

 

$

(58,381)

 

$

283,233

 

 

 

 

 

 

Dividends on preferred stock

18,438

 

18,438

 

55,313

 

54,267

 

 

 

 

 

 

Net income (loss) available to common shareholders

$

348,891

 

$

87,888

 

$

(113,694)

 

$

228,966

 

 

 

 

 

 

Net income (loss) per share available to common shareholders:

 

 

 

 

Basic

$

1.50

 

$

0.47

 

$

(0.55)

 

$

1.22

 

Diluted

$

1.32

 

$

0.47

 

$

(0.55)

 

$

1.22

 

 

 

 

 

 

Weighted average number of common shares outstanding:

 

 

 

 

Basic

232,127,224

 

187,158,167

 

206,237,705

 

187,141,377

 

Diluted

265,346,359

 

188,440,171

 

206,237,705

 

188,331,109

 

(1) Includes interest income of consolidated VIEs of $171,442 and $192,622 for the quarters ended September 30, 2020 and 2019, respectively and $515,250 and $600,436 for the nine months ended September 30, 2020 and 2019, respectively.
(2) Includes interest expense of consolidated VIEs of $74,753 and $82,234 for the quarters ended September 30, 2020 and 2019, respectively and $210,198 and $260,790 for the nine months ended September 30, 2020 and 2019, 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,
2020

September 30,
2019

September 30,
2020

September 30,
2019

Comprehensive income (loss):

 

 

 

 

Net income (loss)

$

367,329

 

$

106,326

 

$

(58,381)

 

$

283,233

 

Other comprehensive income:

 

 

 

 

Unrealized gains (losses) on available-for-sale securities, net (1)

40,470

 

29,980

 

(97,334)

 

115,198

 

Reclassification adjustment for net losses included in net income for
other-than-temporary credit impairment losses

 

 

 

4,853

 

Reclassification adjustment for net realized losses (gains) included in net income

(22,999)

 

 

(56,021)

 

22,187

 

Other comprehensive income (loss)

17,471

 

29,980

 

(153,355)

 

142,238

 

Comprehensive income (loss) before preferred stock dividends

$

384,800

 

$

136,306

 

$

(211,736)

 

$

425,471

 

Dividends on preferred stock

$

18,438

 

$

18,438

 

$

55,313

 

$

54,267

 

Comprehensive income (loss) available to common stock shareholders

$

366,362

 

$

117,868

 

$

(267,049)

 

$

371,204

 

(1) Quarter ended and nine months ended September 30, 2020 amounts includes $150 thousand and $15 million, respectively, of unrealized losses on AFS securities for which the Company has recognized an allowance for credit losses.

Core earnings

Core earnings is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains on the aggregate portfolio, provision for credit losses, interest expense on long term debt, impairment losses, realized gains on sales of investments, realized gains or losses on futures, realized gains or losses on swap terminations, gain on deconsolidation, extinguishment of debt and expenses incurred in relation to securitizations. 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, core earnings include interest income and expense, as well as periodic cash settlements on interest rate swaps used to hedge interest rate risk and other expenses. Core earnings is inclusive of preferred dividend charges, compensation and benefits (adjusted for awards to retirement eligible employees), general and administrative expenses, servicing fees, as well as income tax expenses incurred during the period. Management believes that the presentation of core earnings provides investors with a useful measure but has important limitations. We believe core earnings as described above helps us evaluate our financial performance period over period without the impact of certain transactions but is of limited usefulness as an analytical tool. 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. In addition, our methodology for calculating core earnings may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our reported core earnings may not be comparable to the core earnings 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 core earnings and related per average diluted common share amounts. The Core earnings is presented on an adjusted dilutive shares basis. The adjusted dilutive shares used for core earnings is a non-GAAP measure which includes the GAAP dilutive shares of 265 million, adjusted for the dilutive effect of approximately 20 million shares on warrants issued in second quarter of 2020. We exclude the dilutive effect of the warrants as the warrant holders do not participate in dividends. Certain prior period amounts have been reclassified to conform to the current period's presentation.

 

For the Quarters Ended

 

September 30,
2020

June 30, 2020

March 31, 2020

December 31, 2019

September 30,
2019

 

(dollars in thousands, except per share data)

GAAP Net income available to common stockholders

$

348,891

 

$

(73,393)

 

$

(389,193)

 

$

111,881

 

$

87,888

 

Adjustments:

 

 

 

 

 

Interest expense on long term debt

1,495

 

4,391

 

 

 

 

Increase (decrease) in provision for credit losses

(1,650)

 

(4,497)

 

6,314

 

 

 

Net unrealized (gains) losses on derivatives

 

 

(201,000)

 

(83,656)

 

(31,620)

 

Net unrealized (gains) losses on financial instruments
at fair value

(260,766)

 

171,921

 

260,887

 

112,751

 

(130,825)

 

Net realized (gains) losses on sales of investments

(65,041)

 

(26,380)

 

(75,854)

 

(17,687)

 

(1,596)

 

(Gains) losses on extinguishment of debt

55,794

 

(459)

 

 

(9,926)

 

 

Realized (gains) losses on terminations of interest rate swaps

 

 

463,966

 

8,353

 

148,114

 

Net realized (gains) losses on Futures (1)

 

 

34,700

 

(8,229)

 

19,138

 

Transaction expenses

1,624

 

4,710

 

4,906

 

6,639

 

3,415

 

Stock Compensation expense for retirement eligible awards

(275)

 

(273)

 

1,189

 

(45)

 

(145)

 

Core Earnings

$

80,072

 

$

76,020

 

$

105,915

 

$

120,081

 

$

94,369

 

 

 

 

 

 

 

GAAP net income per diluted common share

$

1.32

 

$

(0.37)

 

$

(2.08)

 

$

0.59

 

$

0.47

 

Core earnings per adjusted diluted common share (2)

$

0.33

 

$

0.32

 

$

0.56

 

$

0.64

 

$

0.50

 

 

 

 

 

 

 

(1) Included in net realized gains (losses) on derivatives in the Consolidated Statements of Operations.

(2) We note that core and taxable earnings will typically differ, and may materially differ, due to differences on realized gains and losses on investments and related hedges, credit loss recognition, timing differences in premium amortization, accretion of discounts, equity compensation and other items.

The following tables provide a summary of the Company’s MBS portfolio at September 30, 2020 and December 31, 2019.

 

September 30, 2020

 

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

$

1,629,183

 

$

51.33

 

81.81

 

4.5

%

16.5

%

Subordinated

915,631

 

63.57

 

64.58

 

3.6

%

6.3

%

Interest-only

6,056,933

 

4.33

 

4.85

 

1.5

%

16.8

%

Agency RMBS

 

 

 

 

 

Interest-only

1,343,378

 

9.24

 

7.44

 

1.9

%

1.5

%

Agency CMBS

 

 

 

 

 

Project loans

1,538,077

 

101.82

 

112.24

 

4.1

%

3.9

%

Interest-only

1,383,665

 

1.89

 

2.06

 

0.7

%

7.9

%

 

(1) Bond Equivalent Yield at period end.

 

December 31, 2019

 

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

$

2,024,564

 

$

52.98

 

$

84.01

 

5.0

%

20.8

%

Subordinated

876,592

 

63.15

 

71.25

 

3.7

%

6.9

%

Interest-only

7,458,653

 

4.04

 

3.87

 

1.1

%

8.4

%

Agency RMBS

 

 

 

 

 

Pass-through

6,080,547

 

102.15

 

104.64

 

4.0

%

3.4

%

Interest-only

1,539,941

 

9.06

 

8.29

 

1.6

%

4.0

%

Agency CMBS

 

 

 

 

 

Project loans

2,621,938

 

101.82

 

106.86

 

3.7

%

3.6

%

Interest-only

1,817,246

 

2.81

 

2.70

 

0.7

%

4.7

%

 

(1) Bond Equivalent Yield at period end.

At September 30, 2020 and December 31, 2019, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

 

September 30, 2020

 

December 31, 2019

 

(dollars in thousands)

 

Principal

Weighted
Average
Borrowing
Rates

Range of
Borrowing Rates

 

Principal

Weighted
Average
Borrowing
Rates

Range of
Borrowing Rates

Overnight

$

 

NA

NA

 

$

 

NA

NA

1 to 29 days

1,610,030

 

0.58%

0.20% - 3.02%

 

9,709,387

 

2.26%

1.90% - 3.62%

30 to 59 days

212,333

 

2.35%

1.85% - 2.55%

 

800,648

 

2.96%

2.15% - 3.52%

60 to 89 days

14,626

 

1.83%

1.55% - 2.45%

 

608,520

 

3.00%

2.59% - 3.35%

90 to 119 days

 

NA

NA

 

 

NA

NA

120 to 180 days

606,072

 

4.23%

1.34% - 6.61%

 

809,077

 

3.38%

3.06% - 3.46%

180 days to 1 year

1,004,318

 

6.02%

3.25% - 7.99%

 

580,886

 

3.42%

3.26% - 3.51%

1 to 2 years

92,695

 

4.50%

4.50% - 4.50%

 

427,981

 

3.28%

3.19% - 3.30%

2 to 3 years

395,829

 

7.00%

7.00% - 7.00%

 

 

NA

NA

Greater than 3 years

764,134

 

3.84%

1.55% - 5.56%

 

491,046

 

3.20%

3.19% - 3.20%

Total

$

4,700,037

 

3.44%

 

 

$

13,427,545

 

2.52%

 

The following table summarizes certain characteristics of our portfolio at September 30, 2020 and December 31, 2019.

 

September 30, 2020

December 31, 2019

Interest earning assets at period-end (1)

$

17,606,269

 

$

26,248,233

 

Interest bearing liabilities at period-end

$

13,646,031

 

$

21,740,710

 

GAAP Leverage at period-end

3.7:1

5.5:1

GAAP Leverage at period-end (recourse)

1.3:1

3.4:1

Portfolio Composition, at amortized cost

 

 

Non-Agency RMBS

10.2

%

7.9

%

Senior

5.1

%

4.5

%

Subordinated

3.5

%

2.2

%

Interest-only

1.6

%

1.2

%

Agency RMBS

0.8

%

25.7

%

Pass-through

%

25.1

%

Interest-only

0.8

%

0.6

%

Agency CMBS

9.7

%

11.0

%

Project loans

9.5

%

10.8

%

Interest-only

0.2

%

0.2

%

Loans held for investment

79.3

%

55.4

%

Fixed-rate percentage of portfolio

94.9

%

95.9

%

Adjustable-rate percentage of portfolio

5.1

%

4.1

%

 

(1) Excludes cash and cash equivalents.

Economic Net Interest Income

Our “Economic net interest income” is a non-GAAP financial measure, that equals interest income, less interest expense and realized losses on our interest rate swaps. Realized losses on our interest rate swaps are the periodic net settlement payments made or received. 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 Realized gains (losses) on derivatives in our Consolidated Statements of Operations and Comprehensive Income. Interest rate swaps are used to manage the increase in interest paid on repurchase 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 actual interest expense and net interest income. Where indicated, interest expense, including interest payments on interest rate swaps, is referred to as economic interest expense. Where indicated, net interest income reflecting interest payments on interest rate swaps, is referred to as economic net interest income.

The following table reconciles the GAAP and non-GAAP measurements reflected in the Management’s Discussion and Analysis of Financial Condition and Results of Operations.

 

GAAP
Interest
Income

 

GAAP
Interest
Expense

Net
Realized
(Gains)
Losses on
Interest
Rate
Swaps

Interest
Expense
on Long
Term
Debt

Economic
Interest
Expense

 

GAAP Net
Interest
Income

Net
Realized
Gains
(Losses)
on Interest
Rate
Swaps

Other (1)

Economic
Net
Interest
Income

For the Quarter Ended September 30, 2020

$

247,905

 

 

$

124,557

 

$

 

$

(1,495)

 

$

123,062

 

 

$

123,348

 

$

 

$

1,487

 

$

124,835

 

For the Quarter Ended June 30, 2020

$

245,922

 

 

$

129,256

 

$

 

$

(4,391)

 

$

124,865

 

 

$

116,666

 

$

 

$

4,358

 

$

121,024

 

For the Quarter Ended March 31, 2020

$

300,266

 

 

$

142,083

 

$

6,385

 

$

 

$

148,468

 

 

$

158,183

 

$

(6,385)

 

$

(1,266)

 

$

150,532

 

For the Quarter Ended December 31, 2019

$

340,662

 

 

$

169,203

 

$

5,409

 

$

 

$

174,612

 

 

$

171,459

 

$

(5,409)

 

$

(1,664)

 

$

164,386

 

For the Quarter Ended September 30, 2019

$

330,144

 

 

$

188,551

 

$

963

 

$

 

$

189,514

 

 

$

141,593

 

$

(963)

 

$

(2,465)

 

$

138,165

 

 

(1) Primarily interest expense on Long term debt 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, 2020

 

September 30, 2019

 

(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

$

127,273

 

$

495

 

1.6

%

 

$

8,474,168

 

$

68,984

 

3.3

%

Agency CMBS

1,770,009

 

25,571

 

5.8

%

 

2,304,541

 

20,179

 

3.5

%

Non-Agency RMBS

1,692,702

 

56,311

 

13.3

%

 

1,956,631

 

70,374

 

14.4

%

Loans held for investment

12,943,898

 

165,520

 

5.1

%

 

12,017,663

 

168,142

 

5.6

%

Total

$

16,533,882

 

$

247,897

 

6.0

%

 

$

24,753,003

 

$

327,679

 

5.3

%

 

 

 

 

 

 

 

 

Liabilities and stockholders' equity:

 

 

 

 

 

 

 

Interest-bearing liabilities:

 

 

 

 

 

 

 

Secured financing agreements collateralized by:

 

 

 

 

 

 

 

Agency RMBS

$

76,755

 

$

208

 

1.1

%

 

$

7,948,235

 

$

50,492

 

2.5

%

Agency CMBS

1,680,566

 

1,141

 

0.3

%

 

2,160,190

 

14,097

 

2.6

%

Non-Agency RMBS

1,171,542

 

17,495

 

6.0

%

 

1,376,214

 

12,916

 

3.8

%

Loans held for investment

2,340,689

 

27,814

 

4.8

%

 

3,112,001

 

29,775

 

3.8

%

Securitized debt

8,711,513

 

76,404

 

3.5

%

 

7,819,135

 

82,234

 

4.2

%

Total

$

13,981,065

 

$

123,062

 

3.5

%

 

$

22,415,775

 

$

189,514

 

3.4

%

 

 

 

 

 

 

 

 

Economic net interest income/net interest rate spread

 

$

124,835

 

2.5

%

 

 

$

138,165

 

1.9

%

 

 

 

 

 

 

 

 

Net interest-earning assets/net interest margin

$

2,552,817

 

 

3.0

%

 

$

2,337,228

 

 

2.2

%

 

 

 

 

 

 

 

 

Ratio of interest-earning assets to interest bearing liabilities

1.18

 

 

 

 

1.10

 

 

 

 

 

 

 

 

 

 

 

(1) Interest-earning assets at amortized cost

 

 

 

 

 

 

 

(2) Interest includes net cash paid/received on swaps

 

 

 

 

 

 

 

The table below shows our Net Income and Economic Net Interest Income as a percentage of average stockholders' equity and Core Earnings 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 Core Earnings are non-GAAP measures as defined in previous sections.

 

Return on
Average Equity

Economic Net
Interest
Income/Average
Equity *

Core
Earnings/Average
Common Equity

 

(Ratios have been annualized)

For the Quarter Ended September 30, 2020

41.43

%

14.08

%

12.24

%

For the Quarter Ended June 30, 2020

(6.62)

%

14.58

%

12.72

%

For the Quarter Ended March 31, 2020

(41.21)

%

16.73

%

15.88

%

For the Quarter Ended December 31, 2019

13.12

%

16.55

%

15.78

%

For the Quarter Ended September 30, 2019

10.68

%

13.88

%

12.37

%

* Includes effect of realized losses on interest rate swaps and excludes long term debt expense.

The following table presents changes to Accretable Discount (net of premiums) as it pertains to our Non-Agency RMBS portfolio, excluding premiums on IOs, during the previous five quarters.

 

For the Quarters Ended

 

(dollars in thousands)

Accretable Discount (Net of Premiums)

September 30, 2020

June 30, 2020

March 31, 2020

December 31, 2019

September 30, 2019

Balance, beginning of period

$

410,447

 

$

438,232

 

$

494,255

 

$

494,780

 

$

514,095

 

Accretion of discount

(20,045)

 

(22,508)

 

(24,784)

 

(44,342)

 

(33,256)

 

Purchases

2,096

 

 

(4,336)

 

(12,541)

 

(13,772)

 

Sales and deconsolidation

 

(23,425)

 

438

 

(786)

 

1,536

 

Transfers from/(to) credit reserve, net

30,483

 

18,148

 

(27,341)

 

57,144

 

26,177

 

Balance, end of period

$

422,981

 

$

410,447

 

$

438,232

 

$

494,255

 

$

494,780

 

Disclaimer

This press release includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q and Current Reports on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: our business and investment strategy; our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends; our ability to determine accurately the fair market value of our assets; availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations; effect of the novel coronavirus (or COVID-19) pandemic on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; how COVID-19 may affect us, our operations and our personnel; our expected investments; changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets; changes in interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS; rates of default, delinquencies or decreased recovery rates on our investments; general volatility of the securities markets in which we invest; our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; our ability to effect our strategy to securitize residential mortgage loans; interest rate mismatches between our investments and our borrowings used to finance such purchases; effects of interest rate caps on our adjustable-rate investments; the degree to which our hedging strategies may or may not protect us from interest rate volatility; the impact of and changes to various government programs, including in response to COVID-19; impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; market trends in our industry, interest rates, the debt securities markets or the general economy; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; availability of qualified personnel; our ability to maintain our classification as a real estate investment trust, or, REIT, for U.S. federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act; our expectations regarding materiality or significance; and the effectiveness of our disclosure controls and procedures.

Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in Chimera’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.

Readers are advised that the financial information in this press release is based on company data available at the time of this presentation and, in certain circumstances, may not have been audited by the Company’s independent auditors.

Investor Relations
888-895-6557
www.chimerareit.com

Source: Chimera Investment Corporation