CIM Chimera Investment Corporation New

Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the third quarter ended September 30, 2023.

This press release features multimedia. View the full release here: https://www.businesswire.com/news/home/20231102156290/en/

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

 

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 a pandemic or other national or international crisis on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; 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; our ability to consummate proposed transactions; 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; 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.

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