Chimera Investment Corporation (NYSE:CIM) today announced its
financial results for the fourth quarter and full year ended
December 31, 2022.
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Financial Highlights:
- 4TH QUARTER GAAP NET INCOME OF $0.34 PER DILUTED COMMON
SHARE
- 4TH QUARTER EARNINGS AVAILABLE FOR DISTRIBUTION(1) OF $0.11 PER
DILUTED COMMON SHARE.
- FULL YEAR GAAP NET LOSS OF $587 MILLION, OR $2.51 PER DILUTED
COMMON SHARE
- FULL YEAR EARNINGS AVAILABLE FOR DISTRIBUTION(1) OF $256
MILLION, OR $1.08 PER DILUTED COMMON SHARE.
- GAAP BOOK VALUE OF $7.49 PER COMMON SHARE
- 4TH QUARTER BOOK VALUE RETURN OF 3.8%, CHANGE IN BOOK VALUE
PLUS DIVIDEND FOR THE QUARTER
Business Highlights:
Fourth Quarter
- Settled $463 million of fixed rate prime jumbo loans into a
financing structure in which we borrowed $383 million for five
years at an effective fixed rate with non-mark-to-market
feature
- Sponsored $145 million CIM 2022-NR1 Securitization which
reduced our mark-to-market mortgage loan warehouse exposure by
approximately $100 million
Post Quarter
- Committed to purchase approximately $900 million of residential
mortgage loans, which is expected to be accretive to future
earnings
- Collapsed CIM Trust 2020-R4, CIM Trust 2020-NR1, CIM Trust
2018-R5, and CIM Trust 2018-R6 and issued CIM Trust 2023-R1 and CIM
Trust 2023-NR1 reducing recourse borrowing amount by approximately
$139 million and releasing approximately $90 million in equity
- As of January 31, we had approximately $365 million in
cash
“Since the end of last year, we have been able to take positive
actions with respect to our financing, hedging, and asset
acquisitions and allocation which we believe position us to
navigate potentially volatile markets in 2023, said Phillip Kardis,
Chief Executive Officer.”
(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)
December 31, 2022
December 31, 2021
Cash and cash equivalents
$
264,600
$
385,741
Non-Agency RMBS, at fair value (net of
allowance for credit losses of $7 million and $213 thousand,
respectively)
1,147,481
1,810,208
Agency RMBS, at fair value
15,148
60,487
Agency CMBS, at fair value
415,796
761,208
Loans held for investment, at fair
value
11,359,236
12,261,926
Accrued interest receivable
61,768
69,513
Other assets
133,866
58,320
Derivatives, at fair value
4,096
—
Total assets (1)
$
13,401,991
$
15,407,403
Liabilities:
Secured financing agreements ($4.7 billion
and $4.4 billion pledged as collateral, respectively, and includes
$374 million and $0 million at fair value, respectively)
$
3,434,765
$
3,261,613
Securitized debt, collateralized by
Non-Agency RMBS ($276 million and $365 million pledged as
collateral, respectively)
78,542
87,999
Securitized debt at fair value,
collateralized by Loans held for investment ($10.0 billion and
$11.0 billion pledged as collateral, respectively)
7,100,742
7,726,043
Payable for investments purchased
9,282
477,415
Accrued interest payable
30,696
20,416
Dividends payable
64,545
86,152
Accounts payable and other liabilities
16,616
11,574
Total liabilities (1)
$
10,735,188
$
11,671,212
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, 231,824,192 and 236,951,266 shares
issued and outstanding, respectively
2,318
2,370
Additional paid-in-capital
4,318,388
4,359,045
Accumulated other comprehensive income
229,345
405,054
Cumulative earnings
4,038,942
4,552,008
Cumulative distributions to
stockholders
(5,922,562
)
(5,582,658
)
Total stockholders' equity
$
2,666,803
$
3,736,191
Total liabilities and stockholders'
equity
$
13,401,991
$
15,407,403
(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 December 31, 2022, and December 31, 2021, total
assets of consolidated VIEs were $10,199,266 and $10,666,591,
respectively, and total liabilities of consolidated VIEs were
$6,772,125 and $7,223,655, respectively.
CHIMERA INVESTMENT
CORPORATION
CONSOLIDATED STATEMENTS OF
OPERATIONS
(dollars in thousands, except
share and per share data)
(Unaudited)
For the Year Ended
December 31, 2022
December 31, 2021
December 31, 2020
Net interest income:
Interest income (1)
$
773,121
$
937,546
$
1,030,250
Interest expense (2)
333,293
326,628
516,181
Net interest income
439,828
610,918
514,069
Increase/(decrease) in provision for
credit losses
7,037
33
180
Other investment gains
(losses):
Net unrealized gains (losses) on
derivatives
(1,482
)
—
201,000
Realized gains (losses) on terminations of
interest rate swaps
(561
)
—
(463,966
)
Periodic interest cost of swaps, net
(1,752
)
—
(41,086
)
Net gains (losses) on derivatives
(3,795
)
—
(304,052
)
Net unrealized gains (losses) on financial
instruments at fair value
(736,899
)
437,357
(110,664
)
Net realized gains (losses) on sales of
investments
(76,473
)
45,313
166,946
Gains (losses) on extinguishment of
debt
(2,897
)
(283,556
)
(54,418
)
Other investment gains (losses)
(1,866
)
—
—
Total other gains (losses)
(821,930
)
199,114
(302,188
)
Other expenses:
Compensation and benefits
49,378
46,823
44,811
General and administrative expenses
22,651
22,246
22,914
Servicing and asset manager fees
36,005
36,555
39,896
Transaction expenses
16,146
29,856
15,068
Total other expenses
124,180
135,480
122,689
Income (loss) before income
taxes
(513,319
)
674,519
89,012
Income tax expense (benefit)
(253
)
4,405
158
Net income (loss)
$
(513,066
)
$
670,114
$
88,854
Dividends on preferred stock
73,765
73,764
73,750
Net income (loss) available to common
shareholders
$
(586,831
)
$
596,350
$
15,104
Net income (loss) per share available
to common shareholders:
Basic
$
(2.51
)
$
2.55
$
0.07
Diluted
$
(2.51
)
$
2.44
$
0.07
Weighted average number of common
shares outstanding:
Basic
233,938,745
233,770,474
212,995,533
Diluted
233,938,745
245,496,926
226,438,341
(1) Includes interest income of
consolidated VIEs of $551,253, $586,580, and $683,456 for the years
ended December 31, 2022, 2021, and 2020, respectively.
(2) Includes interest expense of
consolidated VIEs of $197,823, $203,135, and $285,142 for the years
ended December 31, 2022, 2021, and 2020, respectively.
CHIMERA INVESTMENT
CORPORATION
CONSOLIDATED STATEMENTS OF
COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except
share and per share data)
(Unaudited)
For the Year Ended
December 31, 2022
December 31, 2021
December 31, 2020
Comprehensive income (loss):
Net income (loss)
$
(513,066
)
$
670,114
$
88,854
Other comprehensive income:
Unrealized gains (losses) on
available-for-sale securities, net
(175,709
)
(115,926
)
(94,136
)
Reclassification adjustment for net
realized losses (gains) included in net income
—
(37,116
)
(56,104
)
Other comprehensive income (loss)
(175,709
)
$
(153,042
)
$
(150,240
)
Comprehensive income (loss) before
preferred stock dividends
$
(688,775
)
$
517,072
$
(61,386
)
Dividends on preferred stock
$
73,765
$
73,764
$
73,750
Comprehensive income (loss) available
to common stock shareholders
$
(762,540
)
$
443,308
$
(135,136
)
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,
interest expense on long term debt, changes in the provision for
credit losses, other gains or losses on equity investments, and
transaction expenses incurred. In addition, stock compensation
expense charges incurred on awards to retirement eligible employees
is reflected as an expense over a vesting period (36 months) rather
than reported as an immediate expense.
Earnings available for distribution is the Economic net interest
income, 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. Economic net interest income is a
non-GAAP financial measure that equals GAAP net interest income
adjusted for interest expense on long term debt, net periodic
interest cost of interest rate swaps and excludes interest earned
on cash. See a reconciliation of Economic net interest income to
the most relevant GAAP measure below.
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.
Certain prior period amounts have been reclassified to conform to
the current period's presentation.
For the Quarters Ended
December 31, 2022
September 30, 2022
June 30, 2022
March 31, 2022
December 31, 2021
(dollars in thousands, except per
share data)
GAAP Net income (loss) available to
common stockholders
$
78,716
$
(204,583
)
$
(179,765
)
$
(281,202
)
$
(718
)
Adjustments:
Net unrealized (gains) losses on financial
instruments at fair value
(112,026
)
239,513
239,246
370,167
108,286
Net realized (gains) losses on sales of
investments
39,443
37,031
—
—
—
(Gains) losses on extinguishment of
debt
—
—
2,897
—
(980
)
Increase (decrease) in provision for
credit losses
3,834
(1,534
)
4,497
240
92
Net unrealized (gains) losses on
derivatives
10,171
(10,307
)
1,618
—
—
Realized (gains) losses on terminations of
interest rate swaps
561
—
—
—
—
Transaction expenses
3,274
2,341
6,727
3,804
4,241
Stock Compensation expense for retirement
eligible awards
(309
)
(310
)
(309
)
723
(363
)
Other investment (gains) losses
2,383
462
(980
)
—
—
Earnings available for
distribution
$
26,047
$
62,613
$
73,931
$
93,732
$
110,558
GAAP net income (loss) per diluted
common share
$
0.34
$
(0.88
)
$
(0.76
)
$
(1.19
)
$
—
Earnings available for distribution per
adjusted diluted common share
$
0.11
$
0.27
$
0.31
$
0.39
$
0.46
The following tables provide a summary of the Company’s MBS
portfolio at December 31, 2022 and December 31, 2021.
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
439,591
68.60
65.27
4.2
%
6.8
%
Interest-only
3,286,545
4.95
3.01
0.6
%
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.
December 31, 2021
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
$
1,283,788
$
48.02
$
76.78
4.5
%
18.0
%
Subordinated
845,432
68.10
77.12
3.8
%
7.1
%
Interest-only
3,904,665
4.90
4.42
1.7
%
13.2
%
Agency RMBS
Interest-only
992,978
10.37
6.09
1.3
%
0.3
%
Agency CMBS
Project loans
560,565
101.77
109.61
4.3
%
4.1
%
Interest-only
2,578,640
5.70
5.69
0.7
%
4.6
%
(1) Bond Equivalent Yield at period
end.
At December 31, 2022 and December 31, 2021, the secured
financing agreements collateralized by MBS and Loans held for
investment had the following remaining maturities and borrowing
rates.
December 31, 2022
December 31, 2021
(dollars in thousands)
Principal (1)
Weighted Average Borrowing
Rates
Range of Borrowing
Rates
Principal (1)
Weighted Average Borrowing
Rates
Range of Borrowing
Rates
1 to 29 days
493,918
4.66%
3.63% - 6.16%
1,018,670
0.73%
0.11% - 1.95%
30 to 59 days
762,768
6.14%
4.60% - 7.34%
379,031
1.66%
1.55% - 1.70%
60 to 89 days
225,497
6.04%
4.70% - 7.12%
342,790
1.86%
0.90% - 2.35%
90 to 119 days
43,180
6.54%
5.50% - 6.70%
67,840
1.66%
1.66% - 1.66%
120 to 180 days
401,638
5.88%
5.57% - 6.92%
157,944
1.38%
0.95% - 1.45%
180 days to 1 year
402,283
6.06%
5.63% - 6.64%
895,210
3.70%
1.95% - 4.38%
1 to 2 years
251,286
13.98%
13.98% - 13.98%
143,239
3.05%
3.05% - 3.05%
2 to 3 years
480,022
8.07%
8.07% - 8.07%
—
NA
NA
Greater than 3 years
382,839
5.14%
5.10% - 6.07%
256,889
5.56%
5.56% - 5.56%
Total
$ 3,443,431
6.61%
$ 3,261,613
2.30%
(1) The outstanding balance for secured
financing agreements in the table above is net of $1 million and $3
million of deferred financing cost as of December 31, 2022 and
2021, respectively.
The following table summarizes certain characteristics of our
portfolio at December 31, 2022 and December 31, 2021.
December 31, 2022
December 31, 2021
GAAP Leverage at period-end
4.0:1
3.0:1
GAAP Leverage at period-end (recourse)
1.3:1
0.9:1
December 31, 2022
December 31, 2021
December 31, 2022
December 31, 2021
Portfolio Composition
Amortized Cost
Fair Value
Non-Agency RMBS
7.5 %
10.1 %
8.9 %
12.1 %
Senior
4.0 %
4.5 %
5.9 %
6.5 %
Subordinated
2.3 %
4.2 %
2.2 %
4.4 %
Interest-only
1.2 %
1.4 %
0.8 %
1.2 %
Agency RMBS
0.1 %
0.8 %
0.1 %
0.4 %
Pass-through
— %
— %
— %
— %
Interest-only
0.1 %
0.8 %
0.1 %
0.4 %
Agency CMBS
3.3 %
5.3 %
3.2 %
5.2 %
Project loans
2.3 %
4.2 %
2.2 %
4.2 %
Interest-only
1.0 %
1.1 %
1.0 %
1.0 %
Loans held for investment
89.1 %
83.8 %
87.8 %
82.3 %
Fixed-rate percentage of portfolio
96.5 %
95.4 %
95.6 %
94.4 %
Adjustable-rate percentage of
portfolio
3.5 %
4.6 %
4.4 %
5.6 %
Economic Net Interest Income
Our Economic net interest income is a non-GAAP financial measure
that equals GAAP net interest income adjusted for interest expense
on long term debt, 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
interest payments on long term debt and any interest earned on
cash, is referred to as Economic interest expense. Where indicated,
net interest income reflecting interest payments on long term debt,
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
Interest Expense on Long Term
Debt
Economic Interest Expense
GAAP Net Interest Income
Net Realized
Gains (Losses) on Interest Rate
Swaps
Other (1)
Economic Net Interest Income
For the Year Ended December 31, 2022
$
773,121
$
333,293
$
1,752
$
—
$
335,045
$
439,828
$
(1,752
)
$
(2,505
)
$
435,571
For the Year Ended December 31, 2021
$
937,546
$
326,628
$
—
$
(2,274
)
$
324,354
$
610,918
$
—
$
2,208
$
613,126
For the Year Ended December 31, 2020
$
1,030,250
$
516,181
$
6,385
$
(7,082
)
$
515,484
$
514,069
$
(6,385
)
$
5,755
$
513,439
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
For the Quarter Ended June 30, 2022
$
195,357
$
78,467
$
—
$
—
$
78,467
$
116,890
$
—
$
(81
)
$
116,809
For the Quarter Ended March 31, 2022
$
202,175
$
64,473
$
—
$
—
$
64,473
$
137,702
$
—
$
(18
)
$
137,684
(1) Primarily interest expense on Long
term debt, periodic net interest cost on swaps and interest income
on cash and cash equivalents.
The table below shows our average earning assets held, interest
earned on assets, yield on average interest earning assets, average
debt balance, economic interest expense, economic average cost of
funds, economic net interest income, and net interest rate spread
for the periods presented.
For the Quarter Ended
December 31, 2022
September 30, 2022
December 31, 2021
(dollars in thousands)
(dollars in thousands)
(dollars in thousands)
Average
Balance
Interest
Average
Yield/Cost
Average
Balance
Interest
Average
Yield/Cost
Average
Balance
Interest
Average
Yield/Cost
Assets:
Interest-earning assets (1):
Agency RMBS
$
31,542
$
346
4.4
%
$
110,260
$
274
1.0
%
$
104,684
$
71
0.3
%
Agency CMBS
441,421
4,291
3.9
%
445,191
4,784
4.3
%
851,886
27,711
13.0
%
Non-Agency RMBS
1,013,693
29,304
11.6
%
1,061,412
33,565
12.6
%
1,406,876
51,644
14.7
%
Loans held for investment
12,075,239
151,478
5.0
%
12,022,445
149,140
5.0
%
11,498,173
141,724
4.9
%
Total
$
13,561,895
$
185,419
5.5
%
$
13,639,308
$
187,763
5.5
%
$
13,861,619
$
221,150
6.4
%
Liabilities and stockholders' equity:
Interest-bearing liabilities
(2):
Secured financing agreements
collateralized by:
Agency RMBS
$
4,547
$
46
4.0
%
$
6,560
$
45
2.7
%
$
23,824
$
40
0.7
%
Agency CMBS
358,914
3,464
3.9
%
350,883
2,009
2.3
%
731,577
346
0.2
%
Non-Agency RMBS
788,795
13,275
6.7
%
853,768
7,368
3.5
%
839,898
5,837
2.8
%
Loans held for investment
1,971,144
33,776
6.9
%
1,845,075
21,181
4.6
%
1,872,915
13,281
2.8
%
Securitized debt
8,056,913
57,959
2.9
%
8,176,766
52,983
2.6
%
8,009,117
47,094
2.4
%
Total
$
11,180,313
$
108,520
3.9
%
$
11,233,052
$
83,586
3.0
%
$
11,477,331
$
66,598
2.3
%
Economic net interest income/net
interest rate spread
$
76,899
1.6
%
$
104,177
2.5
%
$
154,552
4.1
%
Net interest-earning assets/net
interest margin
$
2,381,582
2.3
%
$
2,406,256
3.1
%
$
2,384,288
4.5
%
Ratio of interest-earning assets to
interest bearing liabilities
1.21
1.21
1.21
(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 Year Ended December 31, 2022
(16.69) %
14.17 %
11.96 %
For the Year Ended December 31, 2021
18.05 %
16.52 %
15.42 %
For the Year Ended December 31, 2020
2.46 %
14.21 %
12.43 %
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 %
For the Quarter Ended June 30, 2022
(20.45) %
14.81 %
13.29 %
For the Quarter Ended March 31, 2022
(29.72) %
15.57 %
14.38 %
* Excludes long term debt expense.
The following table presents changes to Accretable Discount (net
of premiums) as it pertains to our Non-Agency RMBS portfolio,
excluding premiums on IOs, during the previous five quarters.
For the Quarters Ended
(dollars in thousands)
Accretable Discount (Net of
Premiums)
December 31, 2022
September 30, 2022
June 30, 2022
March 31, 2022
December 31, 2021
Balance, beginning of period
$
207,812
$
241,391
$
258,494
$
333,546
$
352,545
Accretion of discount
(11,128
)
(12,989
)
(17,408
)
(19,470
)
(22,172
)
Purchases
—
—
—
—
—
Sales
(17,935
)
—
—
—
—
Elimination in consolidation
—
—
—
(60,361
)
—
Transfers from/(to) credit reserve,
net
(2,114
)
(20,590
)
305
4,779
3,173
Balance, end of period
$
176,635
$
207,812
$
241,391
$
258,494
$
333,546
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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