-
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
“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.
View source version on businesswire.com: http://www.businesswire.com/news/home/20160217006627/en/
Copyright Business Wire 2016