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CHIMERA INVESTMENT CORPORATION REPORTS 1ST QUARTER 2024 EARNINGS
This press release features multimedia. View the full release here: https://www.businesswire.com/news/home/20240509401236/en/
Financial Highlights:
1ST QUARTER GAAP NET INCOME OF $0.45 PER DILUTED COMMON SHARE 1ST QUARTER EARNINGS AVAILABLE FOR DISTRIBUTION(1) OF $0.12 PER DILUTED COMMON SHARE GAAP BOOK VALUE OF $7.11 PER COMMON SHARE
"Chimera's book value increased in the first quarter to $7.11 per share and generated an economic return (2) of 7% for the period," said Phillip J. Kardis, Chimera's President and CEO. "Since the beginning of the year, we acquired approximately $50 million in subordinated tranches of new issue mortgage securitizations and settled on $78 million of residential transition loans. We believe these investments will provide accretive returns to the portfolio while preserving liquidity for future deployment."
(1) Earnings available for distribution per adjusted diluted common share is a non-GAAP measure. 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 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)
March 31, 2024 December 31, 2023
------------------------------------------------------------------------------------------------------------------------------------------------------------------------ -------------------------------------------------- --------------------------------------------------
Cash and cash equivalents $ 168,958 $ 221,684
Non-Agency RMBS, at fair value (net of allowance for credit losses of $20 million and $19 million, respectively) 1,059,863 1,043,806
Agency MBS, at fair value 65,999 102,484
Loans held for investment, at fair value 11,074,519 11,397,046
Accrued interest receivable 81,147 76,960
Other assets 96,086 87,018
------------------------------------------------------------------------------------------------------------------------------------------------------------------------ -------------------- ---------- -------------------- -------------------- ---------- --------------------
Total assets (1) $ 12,546,572 $ 12,928,998
------------------------------------------------------------------------------------------------------------------------------------------------------------------------ -------------------- ---------- -------------------- -------------------- ---------- --------------------
Liabilities:
Secured financing agreements ($3.6 billion and $3.6 billion pledged as collateral, respectively, and includes $340 million and $374 million at fair value, respectively) $ 2,384,678 $ 2,432,115
Securitized debt, collateralized by Non-Agency RMBS ($244 million and $249 million pledged as collateral, respectively) 73,162 75,012
Securitized debt at fair value, collateralized by Loans held for investment ($10.5 billion and $10.7 billion pledged as collateral, respectively) 7,336,345 7,601,881
Payable for investments purchased 6,135 158,892
Accrued interest payable 35,481 38,272
Dividends payable 54,849 54,552
Accounts payable and other liabilities 10,336 9,355
------------------------------------------------------------------------------------------------------------------------------------------------------------------------ -------------------- ---------- -------------------- -------------------- ---------- --------------------
Total liabilities (1) $ 9,900,986 $ 10,370,079
------------------------------------------------------------------------------------------------------------------------------------------------------------------------ -------------------- ---------- -------------------- -------------------- ---------- --------------------
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, 241,417,867 and 241,360,656 shares issued and outstanding, respectively 2,415 2,414
Additional paid-in-capital 4,371,502 4,368,520
Accumulated other comprehensive income 185,447 185,668
Cumulative earnings 4,294,500 4,165,046
Cumulative distributions to stockholders (6,208,650 ) (6,163,101 )
------------------------------------------------------------------------------------------------------------------------------------------------------------------------ -------------------- ---------- -------------------- -------------------- ---------- --------------------
Total stockholders' equity $ 2,645,586 $ 2,558,919
------------------------------------------------------------------------------------------------------------------------------------------------------------------------ -------------------- ---------- -------------------- -------------------- ---------- --------------------
(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 March 31, 2024, and December 31, 2023, total assets of consolidated VIEs were $10,299,963 and $10,501,840, respectively, and total liabilities of consolidated VIEs were $7,093,458 and $7,349,109, respectively.
Net Income (Loss)
(dollars in thousands, except share and per share data)
(unaudited)
For the Quarters Ended
------------------------------------------------------------------------------------------------------------
March 31, 2024 March 31, 2023
------------------------------------------------------ ------------------------------------------------------
Net interest income:
Interest income (1) $ 186,574 $ 189,250
Interest expense (2) 121,468 119,615
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Net interest income 65,106 69,635
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
-------------------------------------------------------------------- ------------------------------------------------------ ------------------------------------------------------
Increase (decrease) in provision for credit losses 1,347 3,062
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Other investment gains (losses):
Net unrealized gains (losses) on derivatives 5,189 (8,551 )
Realized gains (losses) on derivatives -- (34,134 )
Periodic interest cost of swaps, net 5,476 2,819
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Net gains (losses) on derivatives 10,665 (39,866 )
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Net unrealized gains (losses) on financial instruments at fair value 76,765 64,592
Net realized gains (losses) on sales of investments (3,750 ) (5,264 )
Gains (losses) on extinguishment of debt -- 2,309
Other investment gains (losses) 4,686 117
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Total other gains (losses) 88,366 21,888
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Other expenses:
Compensation and benefits 9,213 10,491
General and administrative expenses 5,720 5,778
Servicing and asset manager fees 7,663 8,417
Transaction expenses 67 6,409
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Total other expenses 22,663 31,095
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Income (loss) before income taxes 129,462 57,366
Income taxes 8 --
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Net income (loss) $ 129,454 $ 57,366
==================================================================== ==================== ============== ==================== ==================== ============== ====================
Dividends on preferred stock 18,438 18,438
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Net income (loss) available to common shareholders $ 111,016 $ 38,928
==================================================================== ==================== ============== ==================== ==================== ============== ====================
Net income (loss) per share available to common shareholders:
-------------------------------------------------------------------- ------------------------------------------------------ ------------------------------------------------------
Basic $ 0.46 $ 0.17
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Diluted $ 0.45 $ 0.17
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Weighted average number of common shares outstanding:
-------------------------------------------------------------------- ------------------------------------------------------ ------------------------------------------------------
Basic 243,718,142 231,994,620
-------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
(1) Includes interest income of consolidated VIEs of $146,917 and $139,902 for the quarters ended March 31, 2024 and 2023, respectively.
(2) Includes interest expense of consolidated VIEs of $73,123 and $60,152 for the quarters ended March 31, 2024 and 2023, respectively.
CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(Unaudited)
For the Quarters Ended
March 31, 2024 March 31, 2023
------------------------------------------------------ -----------------------------------------------
Comprehensive income (loss):
Net income (loss) $ 129,454 $ 57,366
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net (221 ) (5,905 )
Reclassification adjustment for net realized losses (gains) included in net income -- 1,315
---------------------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- ------- --------------------
Other comprehensive income (loss) $ (221 ) $ (4,590 )
---------------------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- ------- --------------------
Comprehensive income (loss) before preferred stock dividends $ 129,233 $ 52,776
---------------------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- ------- --------------------
Dividends on preferred stock $ 18,438 $ 18,438
---------------------------------------------------------------------------------- -------------------- -------------- -------------------- -------------------- ------- --------------------
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
March 31, 2024 December 31, 2023 September 30, 2023 June 30, 2023 March 31, 2023
(dollars in thousands, except per share data)
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
GAAP Net income (loss) available to common stockholders $ 111,016 $ 12,104 $ (16,268 ) $ 17,586 $ 38,928
-------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ------- -------------------- -------------------- ------- --------------------
Adjustments:
(76,765 ) (6,815 ) 43,988 (6,954 ) (64,592 )
Net unrealized (gains) losses on financial instruments at fair value
3,750 3,752 460 21,758 5,264
Net realized (gains) losses on sales of investments
-- 2,473 -- (4,039 ) (2,309 )
(Gains) losses on extinguishment of debt
1,347 2,330 3,217 2,762 3,062
Increase (decrease) in provision for credit losses
(5,189 ) 15,871 (17 ) (17,994 ) 8,551
Net unrealized (gains) losses on derivatives
-- -- -- 6,822 34,134
Realized (gains) losses on derivatives
67 425 90 8,456 6,409
Transaction expenses
1,024 (391 ) (392 ) (388 ) 2,141
Stock Compensation expense for retirement eligible awards
(4,686 ) 986 (2,381 ) 421 (117 )
Other investment (gains) losses
-------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ------- -------------------- -------------------- ------- --------------------
Earnings available for distribution $ 30,564 $ 30,735 $ 28,697 $ 28,430 $ 31,471
-------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ------- -------------------- -------------------- ------- --------------------
------------------------------------------------------ ------------------------------------------------------ ------------------------------------------------------ ----------------------------------------------- -----------------------------------------------
GAAP net income (loss) per diluted common share $ 0.45 $ 0.05 $ (0.07 ) $ 0.08 $ 0.17
-------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ------- -------------------- -------------------- ------- --------------------
The following tables provide a summary of the Company's MBS portfolio at March 31, 2024 and December 31, 2023.
March 31, 2024
-------------------- -------------------------------------------------------------------------------------------------------------------------------------------------------
Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1)
at Period-End Cost Basis Coupon
(dollars in thousands)
-------------------- --------------------------------- --------------------------------- --------------------------- ------------------- ---------------------------------------
Non-Agency RMBS
$ 1,057,200 $ 45.50 62.83 5.7 % 16.9 %
Senior
610,429 53.85 51.49 3.8 % 7.2 %
Subordinated
2,819,698 5.57 2.88 0.5 % 6.2 %
Interest-only
Agency RMBS
388,676 5.01 3.83 0.1 % 6.6 %
Interest-only
Agency CMBS
48,651 101.28 89.84 3.7 % 3.6 %
Project loans
(1) Bond Equivalent Yield at period end.
December 31, 2023 December 31, 2023
-------------------- --------------------------------------------------------------------------------------------------------------------------------------------------------------------
Principal or Notional Value at Period-End Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1)
(dollars in thousands) Cost Basis Coupon
-------------------- ---------------------------------------- --------------------------------- --------------------------------- ------------------- ---------------------------------------
Non-Agency RMBS
$ 1,073,632 $ 45.69 $ 62.98 5.7 % 17.3 %
Senior
583,049 50.92 47.49 3.3 % 6.7 %
Subordinated
2,874,680 5.49 3.16 0.5 % 4.2 %
Interest-only
Agency RMBS
392,284 4.90 3.83 0.1 % 5.7 %
Interest-only
Agency CMBS
86,572 101.44 91.46 4.0 % 3.8 %
Project loans
(1) Bond Equivalent Yield at period end.
At March 31, 2024 and December 31, 2023, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.
March 31, 2024 March 31, 2024 March 31, 2024 December 31, 2023
(dollars in thousands) (dollars in thousands)
---------------------- ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Principal Principal Weighted Average Borrowing Rates Weighted Average Borrowing Rates Range of Borrowing Rates Range of Borrowing Rates Principal Weighted Average Borrowing Rates Weighted Average Borrowing Rates Range of Borrowing Rates Range of Borrowing Rates
---------------------- ---------------------------------- -------------------------------- ------------------------------------ ------------------------ ------------------------ ---------------------------------- -------------------------------- ------------------------------------ ------------------------ ------------------------
Overnight $ $ -- N/A N/A N/A N/A $ -- N/A N/A NA NA
1 to 29 days $ $ 259,229 7.56 7.56 % 6.20% - 8.18% 6.20% - 8.18% $ 272,490 7.35 7.35 % 6.30% - 8.22% 6.30% - 8.22%
30 to 59 days 473,497 6.71 6.71 % 5.44% - 7.82% 5.44% - 7.82% 495,636 6.68 6.68 % 5.58% - 7.87% 5.58% - 7.87%
60 to 89 days 194,024 7.21 7.21 % 5.84% - 7.58% 5.84% - 7.58% 305,426 7.17 7.17 % 5.93% - 7.85% 5.93% - 7.85%
90 to 119 days 69,793 6.29 6.29 % 6.29% - 6.29% 6.29% - 6.29% 54,376 7.46 7.46 % 6.59% - 7.80% 6.59% - 7.80%
120 to 180 days 187,582 6.89 6.89 % 6.35% - 7.65% 6.35% - 7.65% 105,727 7.09 7.09 % 6.72% - 7.80% 6.72% - 7.80%
180 days to 1 year 616,005 9.50 9.50 % 6.63% - 12.50% 6.63% - 12.50% 39,620 7.06 7.06 % 6.66% - 7.39% 6.66% - 7.39%
1 to 2 years 244,967 8.33 8.33 % 8.33% - 8.33% 8.33% - 8.33% 808,601 9.36 9.36 % 8.36% - 12.50% 8.36% - 12.50%
2 to 3 years -- N/A N/A N/A N/A -- N/A N/A N/A N/A
Greater than 3 years 358,581 5.08 5.08 % 5.08% - 5.08% 5.08% - 5.08% 362,215 5.11 5.11 % 5.10% - 7.15% 5.10% - 7.15%
-------------------- ---------------------- -------------------- -------------- -------------------------------- ---------------- -------------------- ------------------------ -------------------- -------------- -------------------------------- ---------------- -------------------- ------------------------
The following table summarizes certain characteristics of our portfolio at March 31, 2024 and December 31, 2023.
March 31, 2024 December 31, 2023 --------------------------- -------------- ----------------- GAAP Leverage at period-end 3.7:1 4.0:1
March 31, 2024 December 31, 2023 March 31, 2024 December 31, 2023
------------- ---------------- ------------- ----------------
Portfolio Composition Amortized Cost Fair Value
----------------------------- -----------------------------
7.9 % 7.5 % 8.7 % 8.3 %
Non-Agency RMBS
3.9 % 4.0 % 5.4 % 5.4 %
Senior
2.7 % 2.3 % 2.6 % 2.2 %
Subordinated
1.3 % 1.2 % 0.7 % 0.7 %
Interest-only
0.2 % 0.2 % 0.1 % 0.1 %
Agency RMBS
0.2 % 0.2 % 0.1 % 0.1 %
Interest-only
0.5 % 0.7 % 0.4 % 0.7 %
Agency CMBS
0.4 % 0.6 % 0.4 % 0.6 %
Project loans
0.1 % 0.1 % 0.1 % 0.1 %
Interest-only
91.4 % 91.6 % 90.8 % 90.9 %
Loans held for investment
96.5 % 96.5 % 96.0 % 95.9 %
Fixed-rate percentage of portfolio
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 GAAP Periodic Interest Cost of Interest Rate Swaps Economic Interest GAAP Net Interest Periodic Interest Cost of Interest Rate Swaps Other (1) Economic
Interest Interest Expense Income Net
Income Expense Interest
Income
---------------------------------------- ----------- ----------- ------------------------------------------- ---------------- ---------------- -------------------------------------------- ------------ ----------
For the Quarter Ended March 31, 2024 $ 186,574 $ 121,468 $ (5,476 ) $ 115,992 $ 65,106 $ 5,476 $ (2,581 ) $ 68,001
---------------------------------------- ---- ------- ---- ------- --------------- --------------- ------------- -------- -------- -------- -------- ---------------------- ---------------------- --- ------ --- ---- ------
For the Quarter Ended December 31, 2023 $ 191,204 $ 126,553 $ (5,296 ) $ 121,257 $ 64,651 $ 5,296 $ (1,651 ) $ 68,296
---------------------------------------- ---- ------- ---- ------- --------------- --------------- ------------- -------- -------- -------- -------- ---------------------- ---------------------- --- ------ --- ---- ------
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
---------------------------------------- ---- ------- ---- ------- --------------- --------------- ------------- -------- -------- -------- -------- ---------------------- ---------------------- --- ------ --- ---- ------
(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 For the Quarter Ended
---------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
March 31, 2024 December 31, 2023 March 31, 2023
(dollars in thousands) (dollars in thousands) (dollars in thousands)
Average Interest Average Average Interest Interest Average Average Interest Interest Average
Balance Yield/Cost Balance Yield/Cost Balance Yield/Cost
---------------------------------------------------------------- ----------------------------------- ---------------------------------- ------------------- ---------------------------------- -------------------- ---------------------------------- ------------------- ------------------------------ -------------------- ------------------------------ -------------------
Assets:
---------------------------------------------------------------- ----------------------------------- ---------------------------------- ------------------- ---------------------------------- -------------------- ---------------------------------- ------------------- ------------------------------ -------------------- ------------------------------ -------------------
Interest-earning assets (1):
$ 19,363 $ 325 6.7 % $ 19,136 $ $ 303 6.3 % $ 18,692 $ $ 322 6.9 %
Agency RMBS
60,345 715 4.7 % 105,270 1,138 4.3 % 307,846 2,957 3.8 %
Agency CMBS
961,903 28,935 12.0 % 950,366 29,611 12.5 % 990,721 30,098 12.2 %
Non-Agency RMBS
11,643,716 154,018 5.3 % 11,882,662 158,501 5.3 % 12,334,025 152,838 5.0 %
Loans held for investment
---------------------------------------------------------------- -------------------- --------------- -------------------- -------------- -------------- ----- -------------------- -------------- -------------------- -------------------- -------------- -------------- ----- -------------------- ---------- -------------------- -------------------- ---------- ---------- ---------
Total $ 12,685,327 $ 183,993 5.8 % $ 12,957,434 $ $ 189,553 5.9 % $ 13,651,284 $ $ 186,215 5.5 %
---------------------------------------------------------------- -------------------- --------------- -------------------- -------------- -------------- ----- -------------------- -------------- -------------------- -------------------- -------------- -------------- ----- -------------------- ---------- -------------------- -------------------- ---------- ---------- ---------
---------------------------------------------------------------- ----------------------------------- ---------------------------------- ------------------- ---------------------------------- -------------------- ---------------------------------- ------------------- ------------------------------ -------------------- ------------------------------ -------------------
Liabilities and stockholders' equity:
---------------------------------------------------------------- ----------------------------------- ---------------------------------- ------------------- ---------------------------------- -------------------- ---------------------------------- ------------------- ------------------------------ -------------------- ------------------------------ -------------------
Interest-bearing liabilities (2):
Secured financing agreements collateralized by:
$ -- $ -- -- % $ -- $ $ -- -- % $ 4,095 $ $ 52 5.1 %
Agency RMBS
44,632 661 5.9 % 75,847 1,071 5.6 % 252,102 2,956 4.7 %
Agency CMBS
681,101 11,736 6.9 % 710,550 13,561 7.6 % 762,989 16,063 8.4 %
Non-Agency RMBS
1,696,221 28,106 6.6 % 1,761,188 30,298 6.9 % 2,189,967 34,839 6.4 %
Loans held for investment
8,207,251 75,489 3.7 % 8,422,017 76,327 3.6 % 8,049,843 62,886 3.1 %
Securitized debt
---------------------------------------------------------------- -------------------- --------------- -------------------- -------------- -------------- ----- -------------------- -------------- -------------------- -------------------- -------------- -------------- ----- -------------------- ---------- -------------------- -------------------- ---------- ---------- ---------
Total $ 10,629,205 $ 115,992 4.4 % $ 10,969,602 $ $ 121,257 4.4 % $ 11,258,996 $ $ 116,796 4.1 %
---------------------------------------------------------------- -------------------- --------------- -------------------- -------------- -------------- ----- -------------------- -------------- -------------------- -------------------- -------------- -------------- ----- -------------------- ---------- -------------------- -------------------- ---------- ---------- ---------
---------------------------------------------------------------- ----------------------------------- ---------------------------------- ------------------- ---------------------------------- -------------------- ---------------------------------- ------------------- ------------------------------ -------------------- ------------------------------ -------------------
Economic net interest income/net interest rate spread $ 68,001 1.4 % $ $ 68,296 1.5 % $ $ 69,419 1.4 %
---------------------------------------------------------------- ----------------------------------- -------------------- -------------- -------------- ----- ---------------------------------- -------------------- -------------------- -------------- -------------- ----- ------------------------------ -------------------- -------------------- ---------- ---------- ---------
---------------------------------------------------------------- ----------------------------------- ---------------------------------- ------------------- ---------------------------------- -------------------- ---------------------------------- ------------------- ------------------------------ -------------------- ------------------------------ -------------------
Net interest-earning assets/net interest margin $ 2,056,122 2.1 % $ 1,987,832 2.1 % $ 2,392,288 2.0 %
---------------------------------------------------------------- -------------------- --------------- ---------------------------------- -------------- ----- -------------------- -------------- -------------------- ---------------------------------- -------------- ----- -------------------- ---------- -------------------- ------------------------------ ---------- ---------
---------------------------------------------------------------- ----------------------------------- ---------------------------------- ------------------- ---------------------------------- -------------------- ---------------------------------- ------------------- ------------------------------ -------------------- ------------------------------ -------------------
Ratio of interest-earning assets to interest bearing liabilities 1.19 1.18 1.21
---------------------------------------------------------------- -------------------- --------------- ---------------------------------- ------------------- -------------------- -------------- -------------------- ---------------------------------- ------------------- -------------------- ---------- -------------------- ------------------------------ -------------------
(1) Interest-earning assets at amortized cost
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 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 March 31, 2024 19.90 % 10.45 % 7.31 %
---------------------------------------- ------------ ----------- --------------------- --------------------- ---------------------------- ----------------------------
For the Quarter Ended December 31, 2023 4.84 % 10.81 % 7.70 %
---------------------------------------- ------------ ----------- --------------------- --------------------- ---------------------------- ----------------------------
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 %
---------------------------------------- -----------