CHIMERA INVESTMENT CORPORATION RELEASES 4TH QUARTER 2015 EARNINGS

Released : February 17, 2016

  • 4TH QUARTER 2015 CORE EARNINGS(1) OF $0.53 PER SHARE AND GAAP EARNINGS OF $0.61 PER SHARE
  • FULL YEAR CORE EARNINGS (1) OF $2.37 PER SHARE UP FROM $2.14 IN 2014 AND $1.69 IN 2013.
  • 2015 TAXABLE DIVIDENDS PER SHARE OF $1.92 PER SHARE UP 7% FROM $1.79 IN 2014 AND UP 37% FROM $1.40 IN 2013
  • ECONOMIC BOOK VALUE(1) OF $14.65 PER SHARE AND GAAP BOOK VALUE OF $15.70 PER SHARE
  • BOARD INCREASES EXISTING SHARE BUYBACK PROGRAM BY $100 MILLION TO $350 MILLION
  • BOARD DECLARES FIRST QUARTER 2016 DIVIDEND OF $0.48 PER SHARE; EXPECTS TO MAINTAIN A $0.48 DIVIDEND FOR THE REMAINING THREE QUARTERS OF 2016

NEW YORK--(BUSINESS WIRE)-- “Chimera took a number of important steps in fiscal year 2015 that enabled us to deliver growth in core earnings per share, further enhance dividend coverage and better position the company to increase long-term value for shareholders,” said Matt Lambiase, Chimera’s President and Chief Executive Officer.

“These steps included internalizing our management function to better align the interests of management with our shareholders, repurchasing $250 million of our stock in 2015, and strategically managing our portfolio and financing. We continued to securitize loan collateral to reduce our financing costs and increase equity capital, including securitizing residential loan collateral acquired in 2014 from Springleaf. Finally, we reallocated capital into assets with more attractive risk-return profiles, and we successfully grew the principal balance of our Agency CMBS portfolio to $952 million, while reducing our exposure to Agency RMBS.

We are confident about our future heading into 2016. The Board increased our share repurchase authorization and plans to pay a quarterly dividend of $0.48 throughout the fiscal year 2016,” Mr. Lambiase concluded.

(1) Core earnings and economic book value are non-GAAP measures. See additional discussion on page 5.

Other Information

Chimera Investment Corporation is a publicly traded real estate investment trust, or REIT, that is primarily engaged in real estate finance. We were incorporated in Maryland on June 01, 2007 and commenced operations on November 21, 2007. We invest, either directly or indirectly through our subsidiaries, in RMBS, residential mortgage loans, Agency CMBS, commercial mortgage loans, real estate-related securities and various other asset classes. We have elected and believe that we are organized and have operated in a manner that enables us to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, or the Code.

Please visit www.chimerareit.com and click on Investor Relations for additional information about the Company.

   
CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
 
 
    December 31, 2015   December 31, 2014
Assets:        
Cash and cash equivalents $ 114,062 $ 164,620
Non-Agency RMBS, at fair value 3,675,841 3,404,149
Agency RMBS, at fair value 6,514,824 8,441,522
Securitized loans held for investment, net of allowance for loan losses of $0 million and $7 million, respectively - 626,112
Securitized loans held for investment, at fair value 4,768,416 4,699,215
Receivable for investments sold - 1,572,056
Accrued interest receivable 66,247 71,099
Other assets 189,796 172,601
Derivatives, at fair value, net     15,460       3,631  
Total assets (1)   $ 15,344,646     $ 19,155,005  
 
Liabilities:
Repurchase agreements, RMBS ($8.8 billion and $9.3 billion pledged as collateral, respectively) $ 7,439,339 $ 8,455,381
Securitized debt, collateralized by Non-Agency RMBS ($2.1 billion and $2.5 billion pledged as collateral, respectively) 529,415 704,915
Securitized debt, collateralized by loans held for investment ($0 million and $626 million pledged as collateral, respectively) - 521,997
Securitized debt at fair value, collateralized by loans held for investment ($4.8 billion and $4.7 billion pledged as collateral, respectively) 3,720,496 3,868,366
Payable for investments purchased 560,641 1,845,282
Accrued interest payable 37,432 31,888
Dividends payable 90,097 92,483
Accounts payable and other liabilities 11,404 2,469
Investment management fees payable - 10,357
Derivatives, at fair value     9,634       14,177  
Total liabilities (1)     12,398,458       15,547,315  
 
Commitments and Contingencies (See Note 16)
 
Stockholders' Equity:
Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively $ - $ -
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,711,868 and 205,546,144 shares issued and outstanding, respectively 1,877 2,055
Additional paid-in-capital 3,366,568 3,614,411
Accumulated other comprehensive income 773,791 1,046,680
Accumulated deficit     (1,196,048 )     (1,055,456 )
Total stockholders' equity   $ 2,946,188     $ 3,607,690  
Total liabilities and stockholders' equity   $ 15,344,646     $ 19,155,005  
 
(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 Corp.). As of December 31, 2015 and 2014, total assets of consolidated VIEs were $7,031,278 and $7,924,232, respectively, and total liabilities of consolidated VIEs were $4,262,017 and $5,111,348, respectively. See Note 8 for further discussion.
 

     
CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
(dollars in thousands, except share and per share data)
 
 

For the Year Ended

Net Interest Income: December 31, 2015   December 31, 2014   December 31, 2013
Interest income (1) $ 872,737 $ 687,795 $ 511,783
Interest expense (2)     259,365       147,785       101,999  
Net interest income     613,372       540,010       409,784  
 
Other-than-temporary impairments:
Total other-than-temporary impairment losses (8,700 ) (8,713 ) (4,356 )
Portion of loss recognized in other comprehensive income     (58,744 )     (55,279 )     (40,811 )
Net other-than-temporary credit impairment losses     (67,444 )     (63,992 )     (45,167 )
 
Other investment gains (losses):
Net unrealized gains (losses) on derivatives 67,385 (103,496 ) 34,369
Realized gains (losses) on terminations of interest rate swaps (98,949 ) - -
Net realized gains (losses) on derivatives     (83,073 )     (82,852 )     (7,713 )
Net gains (losses) on derivatives     (114,637 )     (186,348 )     26,656  
Net unrealized gains (losses) on financial instruments at fair value (158,433 ) 193,534 (44,277 )

Net realized gains (losses) on sale of investments

77,074

91,709

68,107

Gain (loss) on deconsolidation (256 ) 47,846 -
Gains (losses) on Extinguishment of Debt (5,930 ) (2,184 ) -
Realized losses on principal write-downs of Non-Agency RMBS     -       -       (18,316 )
Total other gains (losses)     (202,182 )     144,557       32,170  
 
Other expenses:
Management fees 24,609 32,514 25,952
Expense recoveries from Manager     (6,906 )     (8,936 )     (6,788 )
Net management fees     17,703       23,578       19,164  
 
Provision for loan losses, net - (232 ) (1,799 )
Compensation and benefits 10,544 - -
General and administrative expenses 31,633 20,403 14,085
Servicing Fees of consolidated VIEs 25,244 10,004 2,649
Deal Expenses 8,272 1,398 -
Other (income) expense     -       (23,783 )     -  
Total other expenses     93,396       31,368       34,099  
 
Income (loss) before income taxes 250,350 589,207 362,688
Income taxes     1       2       2  
Net income (loss)   $ 250,349     $ 589,205     $ 362,686  
 
Net income (loss) per share available to common shareholders:            
Basic   $ 1.25     $ 2.87     $ 1.77  
Diluted   $ 1.25     $ 2.87     $ 1.76  
 
Weighted average number of common shares outstanding:            
Basic     199,563,196       205,450,095       205,418,876  
Diluted     199,650,177       205,508,769       205,514,069  
 
Comprehensive income (loss):
Net income (loss) $ 250,349 $ 589,205 $ 362,686
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net (263,049 ) 134,113 23,807
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses 67,444 63,992 45,167
Reclassification adjustment for net realized losses (gains) included in net income (77,284 ) (94,382 ) (68,107 )
Reclassification adjustment for gain on deconsolidation included in net income     -       (47,846 )     -  
Other comprehensive income (loss)     (272,889 )     55,877       867  
Comprehensive income (loss)   $ (22,540 )   $ 645,082     $ 363,553  
 

(1)

 

Includes interest income of consolidated VIEs of $575,715, $428,992 and $371,559 for the years ended December 31, 2015, 2014, and 2013 respectively. See Note 8 for further discussion.

 

(2)

Includes interest expense of consolidated VIEs of $191,922, $119,103 and $95,229 for the years ended December 31, 2015, 2014, and 2013 respectively. See Note 8 for further discussion.

 

 
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(unaudited)
     
For the Quarter Ended
December 31, 2015 September 30, 2015 June 30, 2015 March 31, 2015
    (dollars in thousands, except per share data)
Net Interest Income:
Interest income $ 201,912 $ 211,876 $ 215,804 $ 243,145
Interest expense     64,955       67,910       66,044       60,456  
Net interest income     136,957       143,966       149,760       182,689  
Other-than-temporary impairments:
Total other-than-temporary impairment losses (2,311 ) (3,129 ) (2,208 ) (1,052 )
Portion of loss recognized in other comprehensive income     (12,385 )     (14,703 )     (24,893 )     (6,763 )
Net other-than-temporary credit impairment losses     (14,696 )     (17,832 )     (27,101 )     (7,815 )
Net gains (losses) on derivatives 44,546 (92,700 ) 40,127 (106,610 )
Net unrealized gains (losses) on financial instruments at fair value (69,793 ) (40,955 ) (37,260 ) (10,425 )
Gain (loss) on deconsolidation (256 ) - - -
Gain (loss) on Extinguishment of Debt 8,906 (19,915 ) 5,079 -
Net realized gains (losses) on sales of investments 34,285 3,539 9,685 29,565
Total other expenses     24,569       24,362       24,103       20,362  
Net income   $ 115,380     $ (48,259 )   $ 116,187     $ 67,042  
Net income per share-basic   $ 0.61     $ (0.24 )   $ 0.57     $ 0.33  
 
For the Quarter Ended
December 31, 2014 September 30, 2014 June 30, 2014 March 31, 2014
    (dollars in thousands, except per share data)
Net Interest Income:
Interest income $ 242,455 $ 190,355 $ 134,318 $ 120,667
Interest expense     65,794       38,886       20,680       22,425  
Net interest income     176,661       151,469       113,638       98,242  
Other-than-temporary impairments:
Total other-than-temporary impairment losses (3,774 ) (726 ) (3,813 ) (400 )
Portion of loss recognized in other comprehensive income     (51,347 )     (1,264 )     (1,534 )     (1,134 )
Net other-than-temporary credit impairment losses     (55,121 )     (1,990 )     (5,347 )     (1,534 )
Net gains (losses) on derivatives (125,936 ) (10,177 ) (42,289 ) (7,946 )
Net unrealized gains (losses) on financial instruments at fair value 9,812 162,921 5,791 15,010
Gain of deconsolidation - - 47,846 -
Loss on Extinguishment of Debt - - - (2,184 )
Net realized gains (losses) on sales of investments 23,564 64,107 (4,339 ) 8,377
Total other expenses     22,494       (11,250 )     10,531       9,597  
Net income   $ 6,486     $ 377,580     $ 104,769     $ 100,368  
Net income per share-basic   $ 0.03     $ 1.85     $ 0.50     $ 0.49  
 

Core earnings

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, realized gains or losses on futures, realized gains or losses on swap terminations, gain on deconsolidation, extinguishment of debt and certain other non-recurring gains or losses. As defined, core earnings include interest income and expense as well as realized losses on interest rate swaps used to hedge interest rate risk. Core earnings are provided for the purpose of comparability to other peer issuers, but have important limitations. Core earnings as described above helps evaluate our financial performance without the impact of certain transactions and 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.

The following table provides GAAP measures of net income and net income per basic share available to common stockholders for the years ended December 31, 2015, 2014, and 2013 and details with respect to reconciling the line items to core earnings and related per average basic common share amounts:

   
For the Year Ended
December 31, 2015   December 31, 2014   December 31, 2013  
(dollars in thousands, except per share data)
GAAP Net income $ 250,349     $ 589,205     $ 362,686  
Adjustments:
Net other-than-temporary credit impairment losses 67,444 63,992 45,167
Net unrealized (gains) losses on derivatives (67,385 ) 103,496 (34,369 )
Net unrealized (gains) losses on financial instruments at fair value 158,433 (193,534 ) 44,277
Net realized (gains) losses on sales of investments (77,074 ) (91,709 ) (68,107 )
(Gains) losses on extinguishment of debt 5,930 2,184 -
Realized (gains) losses on terminations of interest rate swaps 98,949 - -
Net realized (gains) losses on derivatives 35,523 38,552 (2,029 )
Total other (gains) losses   256       (71,629 )     -  
Core Earnings $ 472,425     $ 440,557     $ 347,625  
         
GAAP net income per basic common share $ 1.25     $ 2.87     $ 1.77  
Core earnings per basic common share $ 2.37     $ 2.14     $ 1.69  
 
For the Quarter Ended
December 31, 2015 September 30, 2015 June 30, 2015 March 31, 2015 December 31, 2014
(dollars in thousands, except per share data)
GAAP Net income $ 115,380     $ (48,259 )   $ 116,187     $ 67,041     $ 6,485  
Adjustments:
Net other-than-temporary credit impairment losses 14,696 17,832 27,101 7,815 55,122
Net unrealized (gains) losses on derivatives (46,842 ) 71,540 (88,028 ) (4,055 ) 91,777
Net unrealized (gains) losses on financial instruments at fair value 69,793 40,955 37,260 10,425 (9,812 )
Net realized (gains) losses on sales of investments (34,285 ) (3,539 ) (9,685 ) (29,565 ) (23,564 )
(Gains) losses on extinguishment of debt (8,906 ) 19,915 (5,079 ) - -
Realized (gains) losses on terminations of interest rate swaps (754 ) - 31,124 68,579 -
Net realized (gains) losses on derivatives (9,018 ) 9,309 7,778 27,454 17,523
Total other (gains) losses   256       -       -       -       -  
Core Earnings $ 100,320     $ 107,753     $ 116,658     $ 147,694     $ 137,531  
                 
GAAP net income per basic common share $ 0.61     $ (0.24 )   $ 0.57     $ 0.33     $ 0.03  
Core earnings per basic common share $ 0.53     $ 0.54     $ 0.57     $ 0.72     $ 0.67  
 
Note - The Company has excluded the impact of realized gains and losses on treasury futures in core earnings. For the years ended 2015, 2014 and 2013 the Company had a realized loss of $36 million, a realized loss of $39 million and a realized gain of $2 million, respectively on its treasury futures. Realized gains and losses on futures are the costs the Company has incurred on its futures portfolio.

The following tables provide a summary of the Company’s RMBS portfolio at December 31, 2015 and 2014.

         
    December 31, 2015
   

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 $ 3,651,869 $ 57.47 $ 77.39 3.8% 13.7%
Senior, interest-only 5,426,029 4.95 4.32 1.7% 12.9%
Subordinated 762,466 69.25 79.26 3.2% 8.8%
Subordinated, interest-only 284,931 5.34 3.95 1.2% 10.9%
Agency MBS
Residential pass-through 5,045,418 105.07 104.41 3.7% 2.8%
Commercial pass-through 952,091 102.27 102.28 3.4% 2.9%
Interest-only 6,722,472 4.17 4.06 0.8% 3.4%
 
(1) Bond Equivalent Yield at period end.                    
 
 
    December 31, 2014
   

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 $ 3,435,362 $ 55.09 $ 79.63 4.3% 15.9%
Senior, interest-only 5,221,937 4.35 3.97 1.6% 14.4%
Subordinated 690,599 50.18 65.79 3.1% 10.6%
Subordinated, interest-only 216,403 4.43 3.14 0.9% 9.2%
Agency MBS
Pass-through 7,774,266 104.96 106.19 4.0% 3.2%
Interest-only 3,884,523 4.89 4.79 0.9% 3.1%
 
(1) Bond Equivalent Yield at period end.                    
 

At December 31, 2015 and 2014, the repurchase agreements collateralized by RMBS had the following remaining maturities.

   
December 31, 2015 December 31, 2014
    (dollars in thousands)
Overnight $ - $ -
1 to 29 days 3,312,902 2,652,717
30 to 59 days 2,501,513 1,371,856
60 to 89 days 246,970 656,915
90 to 119 days 430,026 2,068,740
Greater than or equal to 120 days     947,928     1,705,153
Total   $ 7,439,339   $ 8,455,381
 

The following table summarizes certain characteristics of our portfolio at December 31, 2015 and 2014.

   
    December 31, 2015   December 31, 2014
 
Interest earning assets at period-end (1) $ 14,959,081 $ 17,170,998
Interest bearing liabilities at period-end $ 11,689,250 $ 13,550,659
Leverage at period-end 4.0:1 3.8:1
Leverage at period-end (recourse) 2.7:1 2.6:1
Portfolio Composition, at amortized cost
Non-Agency RMBS 10.4 % 5.1 %
Senior 4.7 % 1.5 %
Senior, interest only 1.9 % 1.4 %
Subordinated 3.7 % 2.2 %
Subordinated, interest only 0.1 % 0.1 %
RMBS transferred to consolidated VIEs 10.1 % 10.3 %
Agency MBS 46.0 % 52.1 %
Residential 37.2 % 50.9 %
Commercial 6.8 % N/A
Interest-only 2.0 % 1.2 %
Securitized loans held for investment 33.5 % 32.5 %
Fixed-rate percentage of portfolio 84.7 % 92.5 %
Adjustable-rate percentage of portfolio 15.3 % 7.5 %
Annualized yield on average interest earning assets for the year ended 6.0 % 6.9 %
Annualized cost of funds on average borrowed funds for the year ended (2)     2.5 %     2.5 %
(1) Excludes cash and cash equivalents.
(2) Includes the effect of realized losses on interest rate swaps.
 

Economic Book Value

The table below presents our estimated economic book value. We calculate and disclose this non-GAAP measurement because we believe it represents an estimate of the fair value of the assets we own or are able to dispose of, pledge, or otherwise monetize. The estimated economic book value should not be viewed in isolation and is not a substitute for book value computed in accordance with GAAP.

             
December 31, 2015
(dollars in thousands, except per share data)
                 
GAAP Book Value $ 2,946,188
GAAP Book Value per Share $ 15.70
 

Economic Adjustments:

Assets of Consolidated VIEs (6,908,910 )
Non-Recourse Liabilities of Consolidated VIEs 4,249,911
Interests in VIEs eliminated in consolidation 2,462,713
                 
Total Adjustments - Net                 (196,286 )
Total Adjustments - Net (per share)                 1.05  
 
Economic Book Value               $ 2,749,902  
Economic Book Value per Share               $ 14.65  
 
 
December 31, 2014
(dollars in thousands, except per share data)
                 
GAAP Book Value $ 3,607,690
GAAP Book Value per Share $ 17.55
 

Economic Adjustments:

Assets of Consolidated VIEs (7,798,794 )
Non-Recourse Liabilities of Consolidated VIEs 5,095,278
Interests in VIEs eliminated in consolidation 2,367,953
                 
Total Adjustments - Net                 (335,563 )
Total Adjustments - Net (per share)                 1.63  
 
Economic Book Value               $ 3,272,127  
Economic Book Value per Share               $ 15.92  
 

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 Year Ended
December 31, 2015 December 31, 2014
(dollars in thousands)
    Average

Balance

  Interest   Average

Yield/Cost

  Average

Balance

  Interest   Average

Yield/Cost

Assets:

                       
Interest-earning assets (1):
Agency RMBS $ 6,569,743 $ 192,501 2.9 % $ 5,222,882 $ 180,206 3.5 %
Non-Agency RMBS 1,274,344 105,647 8.3 % 801,547 78,577 9.8 %
Non-Agency RMBS transferred to consolidated VIEs 1,554,681 266,141 17.1 % 1,867,986 295,475 15.8 %
Jumbo Prime securitized residential mortgage loans held for investment 540,156 21,913 4.1 % 720,965 30,010 4.2 %
Seasoned sub-prime securitized residential mortgage loans held for investment     4,527,246     287,661   6.4 %     1,419,155     103,505   7.3 %

Total

  $ 14,466,170   $ 873,863   6.0 %   $ 10,032,535   $ 687,773   6.9 %
                         

Liabilities and stockholders' equity:

                       
Interest-bearing liabilities:
Agency repurchase agreements (2) $ 5,776,980 $ 77,975 1.3 % $ 4,749,283 $ 71,569 1.5 %
Non-Agency repurchase agreements 1,627,909 36,694 2.3 % 444,599 9,634 2.2 %
Securitized debt, collateralized by Non-Agency RMBS 620,611 35,282 5.7 % 799,473 53,367 6.7 %
Securitized debt, collateralized by jumbo prime residential mortgage loans 431,179 16,766 3.9 % 720,965 21,602 3.0 %
Securitized debt, collateralized by seasoned sub-prime residential mortgage loans     3,734,069     137,658   3.7 %     1,174,682     44,134   3.8 %

Total

  $ 12,190,748   $ 304,375   2.5 %   $ 7,889,002   $ 200,306   2.5 %
                         

Net economic interest income/net interest rate spread

      $ 569,488   3.5 %       $ 487,467   4.4 %
                         

Net interest-earning assets/net interest margin

  $ 2,275,422       3.9 %   $ 2,143,533       4.9 %
                         

Ratio of interest-earning assets to interest bearing liabilities

    1.19             1.27        

(1) Interest-earning assets at amortized cost

(2) Interest includes periodic cash settlements on swaps

 
 
For the Quarter Ended
December 31, 2015 December 31, 2014
(dollars in thousands)
    Average

Balance

  Interest   Average

Yield/Cost

  Average

Balance

  Interest   Average

Yield/Cost

Assets:

                       
Interest-earning assets (1):
Agency RMBS $ 5,967,169 $ 37,762 2.5 % $ 7,898,850 $ 70,884 3.6 %
Non-Agency RMBS 1,452,460 27,993 7.7 % 810,882 16,786 8.3 %
Non-Agency RMBS transferred to consolidated VIEs 1,465,966 64,045 17.5 % 1,697,510 70,058 16.5 %
Jumbo Prime securitized residential mortgage loans held for investment 474,543 3,688 3.1 % 666,017 8,564 5.1 %
Seasoned sub-prime securitized residential mortgage loans held for investment     4,522,426     68,411   6.1 %     4,612,214     76,153   6.6 %

Total

  $ 13,882,564   $ 201,899   5.8 %   $ 15,685,473   $ 242,445   6.2 %
                         

Liabilities and stockholders' equity:

                       
Interest-bearing liabilities:
Agency repurchase agreements (2) $ 5,296,934 $ 20,045 1.5 % $ 7,215,664 $ 25,533 1.4 %
Non-Agency repurchase agreements 2,095,149 12,677 2.4 % 1,032,058 5,695 2.2 %
Securitized debt, collateralized by Non-Agency RMBS 550,634 8,171 5.9 % 723,905 13,808 7.6 %
Securitized debt, collateralized by jumbo prime residential mortgage loans 368,975 3,041 3.3 % 547,370 4,541 3.3 %
Securitized debt, collateralized by seasoned sub-prime residential mortgage loans     3,601,921     32,693   3.6 %     3,817,717     33,895   3.6 %

Total

  $ 11,913,613   $ 76,627   2.6 %   $ 13,336,714   $ 83,472   2.5 %
                         

Net economic interest income/net interest rate spread

      $ 125,272   3.2 %       $ 158,973   3.7 %
                         

Net interest-earning assets/net interest margin

  $ 1,968,951       3.6 %   $ 2,348,761       4.1 %

 

                       

Ratio of interest-earning assets to interest bearing liabilities

    1.17             1.18        

(1) Interest-earning assets at amortized cost

(2) Interest includes periodic cash settlements on swaps

 

The table below shows our economic net interest income, realized gains (losses) on sale of assets and the credit related OTTI, realized and unrealized gains (losses) on interest rate swaps and IOs, total management fee and G&A expenses, and income tax, each as a percentage of average equity, and the return on average equity for the periods presented.

         
   

Economic Net Interest
Income/Average Equity *

 

Realized Gains (Losses)
on Sales and
OTTI/Average Equity

 

Realized and Unrealized Gains
(Losses) on Interest Rate Swaps
and IOs/Average Equity

 

Total Management Fee,
Compensation and G&A
Expenses/Average Equity

  Return on Average Equity
    (Ratios have been annualized)
For The Year Ended December 31, 2015   15.70%   (0.01%)   (1.42%)   (2.05%)   11.58%
For The Year Ended December 31, 2014   14.06%   17.67%   (1.83%)   (1.60%)   16.99%
For The Year Ended December 31, 2013   11.70%   0.72%   (0.29%)   (1.04%)   10.55%
                     
                     
For The Quarter Ended December 31, 2015   14.98%   1.27%   (1.54%)   (2.45%)   33.02%
For The Quarter Ended September 30, 2015   15.05%   (1.74%)   5.72%  

(2.18%)

  (5.89%)
For The Quarter Ended June 30, 2015   15.06%   (2.00%)   3.55%  

(2.04%)

  13.64%
For The Quarter Ended March 31, 2015   17.06%   2.44%   (8.96%)  

(1.57%)

  7.52%
* Includes effect of realized losses on interest rate swaps.
 

The following table presents changes to Accretable Discount and Non-Accretable Difference as it pertains to our entire Non-Agency RMBS portfolio for assets with purchase discounts during the previous five quarters.

         
For the Quarters Ended
December 31, 2015 September 30, 2015 June 30, 2015 March 31, 2015 December 31, 2014
(dollars in thousands)
    Accretable Discount
Balance, beginning of period $ 1,003,385 $ 1,035,492 $ 990,332 $ 987,861 $ 977,042
Accretion of discount (43,520 ) (41,498 ) (41,302 ) (44,350 ) (44,165 )
Purchases 1,845 6,194 28,894 80,712 2,636
Sales and deconsolidation (35,144 ) (22,645 ) (1,458 ) (29,147 ) (1,977 )
Transfers from/(to) credit reserve, net     27,882       25,842       59,026       (4,744 )     54,325  
Balance, end of period   $ 954,448     $ 1,003,385     $ 1,035,492     $ 990,332     $ 987,861  
 
For the Quarters Ended
December 31, 2015 September 30, 2015 June 30, 2015 March 31, 2015 December 31, 2014
(dollars in thousands)
    Non-Accretable Difference
Balance, beginning of period $ 879,440 $ 1,001,560 $ 947,202 $ 908,927 $ 933,668
Principal Writedowns (27,064 ) (32,587 ) (34,261 ) (39,955 ) (37,044 )
Purchases 27,855 13,279 121,253 80,712 2,636
Sales and deconsolidation (29,347 ) (94,802 ) (709 ) (15,041 ) -
Net other-than-temporary credit impairment losses 14,716 17,832 27,101 7,815 63,992
Transfers to/(from) credit reserve, net     (27,882 )     (25,842 )     (59,026 )     4,744       (54,325 )
Balance, end of period   $ 837,718     $ 879,440     $ 1,001,560     $ 947,202     $ 908,927  
 

Disclaimer

The information contained in this press release is based on various assumptions (some of which are beyond the control of Chimera Investment Corporation, the “Company”) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may,” “would,” “projected,” “will” or similar expressions, or variations on those terms or the negative of those terms. The Company’s forward-looking statements are subject to numerous risks, uncertainties and other factors. Furthermore, none of the financial information contained in this material has been audited or approved by the Company’s independent registered public accounting firm.

Investor Relations
866-315-9930
www.chimerareit.com

Source: Chimera Investment Corporation