Exhibit 99.1
Chimera
Investment Corporation Reports Net Income for 2014 of $589 Million or
$0.57 Per Share, Core Earnings of $402 Million or $0.39 Per Share And
GAAP Book Value of $3.51 Per Share.
NEW YORK--(BUSINESS WIRE)--March 2, 2015--Chimera Investment Corporation
(NYSE:CIM) today announced its financial results for the yearend and
fourth quarter 2014 as follows:
2014 Annual Financial Highlights
-
Average earning assets grew to $10.0 billion from $5.8 billion in 2013
based on amortized cost
-
Net Income of $589 million as compared to $363 million in 2013
-
GAAP book value of $3.51 per share, an increase of 8% from 2013
-
Economic book value of $3.18 per share, an increase of 13% from 2013
-
Annual return on average equity was 17%, up from 11% in 2013
-
Core earnings of $0.39 per share, up from $0.34 per share for 2013(1)
4th Quarter 2014 Financial Highlights
-
GAAP book value of $3.51 per share, from $3.50 per share for the 3rd
quarter of 2014
-
Economic book value of $3.18 per share, up from $3.15 per share for
the 3rd quarter of 2014
-
Core earnings of $0.12 per share, up from $0.11 per share in the 3rd
quarter of 2014(1)
-
Net interest income of $177 million, up from $151 million in the 3rd
quarter of 2014
The Company reported GAAP net income for the quarter ended December 31,
2014 of $6 million or $0.01 per average share as compared to net income
for the quarter ended December 31, 2013 of $72 million or $0.07 per
average share.
The Company declared a common stock dividend of $0.09 per share for the
quarter ended December 31, 2014. The annualized dividend yield on the
Company’s common stock for the quarter ended December 31, 2014 was 11%.
Leverage was 3.8:1 and recourse leverage was 2.6:1 at December 31, 2014.
(1) 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, gain on deconsolidation,
extinguishment of debt and certain other non-recurring gains or losses.
Core earnings includes interest income and expense as well as realized
gains or losses on derivatives used to hedge interest rate risk. Core
earnings is provided for purposes of comparability to other peer
issuers, but has important limitations. 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.
Other Information
Chimera Investment Corporation invests in residential mortgage loans,
residential mortgage-backed securities, real estate-related securities
and various other asset classes. The Company’s principal business
objective is to generate income from the spread between yields on its
investments and its cost of borrowing and hedging activities. The
Company is a Maryland corporation that has elected to be taxed as a real
estate investment trust (“REIT”).
Conference Call
The Company will hold the 2014 earnings conference call on Tuesday,
March 3, 2015, at 10:00 a.m. EST. The number to call is 888-317-6003 for
domestic calls and 412-317-6061 for international calls and the pass
code is 2020295. The replay number is 877-344-7529 for domestic calls
and 412-317-0088 for international calls and the pass code is 10060578.
The replay is available for one week after the earnings call. There will
be a web cast of the call on www.chimerareit.com. If you would
like to be added to the email distribution list, please visit www.chimerareit.com,
click on Email Alerts, complete the email notification form and click
the Submit button. For further information, please contact Investor
Relations at 1-866-315-9930 or visit www.chimerareit.com.
This news release and our public documents to which we refer contain or
incorporate by reference certain forward-looking statements within the
meaning of Section 27A of the Securities Act of 1933 and Section 21E of
the Securities Exchange Act of 1934. Forward-looking statements which
are based on various assumptions (some of which are beyond our control)
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,” “will” or similar expressions, or variations on those terms or
the negative of those terms. Actual results could differ materially from
those set forth in forward-looking statements due to a variety of
factors, including, but not limited to, our business and investment
strategy; our projected financial and operating results; our ability to
maintain existing financing arrangements, obtain future financing
arrangements and the terms of such arrangements; general volatility of
the securities markets in which we invest; the implementation, timing
and impact of, and changes to, various government programs, our expected
investments; changes in the value of our investments; interest rate
mismatches between our investments and our borrowings used to fund such
purchases; changes in interest rates and mortgage prepayment rates;
effects of interest rate caps on our adjustable-rate investments; rates
of default or decreased recovery rates on our investments; prepayments
of the mortgage and other loans underlying our mortgage-backed or other
asset-backed securities; the degree to which our hedging strategies may
or may not protect us from interest rate volatility; impact of and
changes in governmental regulations, tax law and rates, accounting
guidance, and similar matters; availability of investment opportunities
in real estate-related and other securities; availability of qualified
personnel; estimates relating to our ability to make distributions to
our stockholders in the future; our understanding of our competition;
market trends in our industry, interest rates, the debt securities
markets or the general economy; our ability to maintain our exemption
from registration under the Investment Company Act of 1940, as amended;
and our ability to maintain our qualification as a REIT for federal
income tax purposes. For a discussion of the risks and uncertainties
which could cause actual results to differ from those contained in the
forward-looking statements, see “Risk Factors” in our Annual Report on
Form 10-K, and any subsequent Quarterly Reports on Form 10-Q. We do not
undertake, and specifically disclaim all obligations, to publicly
release the result of any revisions which may be made to any
forward-looking statements to reflect the occurrence of anticipated or
unanticipated events or circumstances after the date of such statements.
|
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, 2014
|
|
December 31, 2013
|
|
December 31, 2012
|
|
Interest income (1)
|
|
$
|
687,795
|
|
|
$
|
511,783
|
|
|
$
|
589,440
|
|
|
Interest expense (2)
|
|
|
147,785
|
|
|
|
101,999
|
|
|
|
126,558
|
|
|
Net interest income
|
|
|
540,010
|
|
|
|
409,784
|
|
|
|
462,882
|
|
|
|
|
|
|
|
|
|
|
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
Total other-than-temporary impairment losses
|
|
|
(8,713
|
)
|
|
|
(4,356
|
)
|
|
|
(47,632
|
)
|
|
Portion of loss recognized in other comprehensive income
|
|
|
(55,279
|
)
|
|
|
(40,811
|
)
|
|
|
(84,618
|
)
|
|
Net other-than-temporary credit impairment losses
|
|
|
(63,992
|
)
|
|
|
(45,167
|
)
|
|
|
(132,250
|
)
|
|
|
|
|
|
|
|
|
|
Other investment gains (losses):
|
|
|
|
|
|
|
|
Net unrealized gains (losses) on derivatives
|
|
|
(103,496
|
)
|
|
|
34,369
|
|
|
|
(9,473
|
)
|
|
Net realized gains (losses) on derivatives
|
|
|
(82,852
|
)
|
|
|
(7,713
|
)
|
|
|
(20,223
|
)
|
|
Net gains (losses) on derivatives
|
|
|
(186,348
|
)
|
|
|
26,656
|
|
|
|
(29,696
|
)
|
|
Net unrealized gains (losses) on financial instruments at fair value
|
|
|
193,534
|
|
|
|
(44,277
|
)
|
|
|
833
|
|
|
Net realized gains (losses) on sales of investments
|
|
|
91,709
|
|
|
|
68,107
|
|
|
|
85,166
|
|
|
Gain of deconsolidation
|
|
|
47,846
|
|
|
|
-
|
|
|
|
-
|
|
|
Loss on Extinguishment of Debt
|
|
|
(2,184
|
)
|
|
|
-
|
|
|
|
-
|
|
|
Realized losses on principal write-downs of Non-Agency RMBS
|
|
|
-
|
|
|
|
(18,316
|
)
|
|
|
-
|
|
|
Total other gains (losses)
|
|
|
144,557
|
|
|
|
32,170
|
|
|
|
56,303
|
|
|
|
|
|
|
|
|
|
|
Other expenses:
|
|
|
|
|
|
|
|
Management fees
|
|
|
32,514
|
|
|
|
25,952
|
|
|
|
49,525
|
|
|
Expense recoveries from Manager
|
|
|
(8,936
|
)
|
|
|
(6,788
|
)
|
|
|
(4,712
|
)
|
|
Net management fees
|
|
|
23,578
|
|
|
|
19,164
|
|
|
|
44,813
|
|
|
Provision for loan losses, net
|
|
|
(232
|
)
|
|
|
(1,799
|
)
|
|
|
368
|
|
|
General and administrative expenses
|
|
|
31,805
|
|
|
|
16,734
|
|
|
|
13,986
|
|
|
Other (income) expense
|
|
|
(23,783
|
)
|
|
|
-
|
|
|
|
-
|
|
|
Total other expenses
|
|
|
31,368
|
|
|
|
34,099
|
|
|
|
59,167
|
|
|
Income before income taxes
|
|
|
589,207
|
|
|
|
362,688
|
|
|
|
327,768
|
|
|
Income taxes
|
|
|
2
|
|
|
|
2
|
|
|
|
1
|
|
|
Net income
|
|
$
|
589,205
|
|
|
$
|
362,686
|
|
|
$
|
327,767
|
|
|
|
|
|
|
|
|
|
|
Net income per share available to common shareholders:
|
|
|
|
|
|
|
|
Basic
|
|
$
|
0.57
|
|
|
$
|
0.35
|
|
|
$
|
0.32
|
|
|
Diluted
|
|
$
|
0.57
|
|
|
$
|
0.35
|
|
|
$
|
0.32
|
|
|
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
Basic
|
|
|
1,027,250,475
|
|
|
|
1,027,094,379
|
|
|
|
1,026,831,033
|
|
|
Diluted
|
|
|
1,027,543,847
|
|
|
|
1,027,570,343
|
|
|
|
1,027,499,255
|
|
|
|
|
|
|
|
|
|
|
Dividends declared per share of common stock
|
|
$
|
0.36
|
|
|
$
|
0.56
|
|
|
$
|
0.38
|
|
|
|
|
|
|
|
|
|
|
Comprehensive income:
|
|
|
|
|
|
|
|
Net income
|
|
$
|
589,205
|
|
|
$
|
362,686
|
|
|
$
|
327,767
|
|
|
Other comprehensive income:
|
|
|
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities, net
|
|
|
134,113
|
|
|
|
23,807
|
|
|
|
509,399
|
|
|
Reclassification adjustment for net losses included in net income
for other-than-
temporary credit impairment losses
|
|
|
63,992
|
|
|
|
45,167
|
|
|
|
132,250
|
|
|
Reclassification adjustment for net realized losses (gains) included
in net income
|
|
|
(94,382
|
)
|
|
|
(68,107
|
)
|
|
|
(85,166
|
)
|
|
Reclassification adjustment for gain on deconsolidation included in
net income
|
|
|
(47,846
|
)
|
|
|
-
|
|
|
|
-
|
|
|
Other comprehensive income
|
|
|
55,877
|
|
|
|
867
|
|
|
|
556,483
|
|
|
Comprehensive income
|
|
$
|
645,082
|
|
|
$
|
363,553
|
|
|
$
|
884,250
|
|
|
(1) Includes interest income of consolidated VIEs of $428,992,
$371,559 and $417,351 for the years ended December 31, 2014, 2013
and 2012 respectively. See Note 8 for further discussion.
|
|
(2) Includes interest expense of consolidated VIEs of $119,103,
$95,229 and $115,880 for the years ended December 31, 2014, 2013 and
2012 respectively. See Note 8 for further discussion.
|
|
|
|
The following table provides a summary of quarterly results for 2013 and
2014.
|
|
|
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
|
|
|
|
9,595
|
|
|
Net income
|
|
$
|
6,486
|
|
|
$
|
377,580
|
|
|
$
|
104,769
|
|
|
$
|
100,368
|
|
|
Net income per share-basic and diluted
|
|
$
|
0.01
|
|
|
$
|
0.37
|
|
|
$
|
0.10
|
|
|
$
|
0.10
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Quarter Ended
|
|
|
|
December 31, 2013
|
|
September 30, 2013
|
|
June 30, 2013
|
|
March 31, 2013
|
|
|
|
(dollars in thousands, except per share data)
|
|
Net Interest Income:
|
|
|
|
|
|
|
|
|
|
Interest income
|
|
$
|
128,062
|
|
|
$
|
130,361
|
|
|
$
|
127,565
|
|
|
$
|
125,795
|
|
|
Interest expense
|
|
|
21,485
|
|
|
|
25,074
|
|
|
|
26,611
|
|
|
|
28,829
|
|
|
Net interest income
|
|
|
106,577
|
|
|
|
105,287
|
|
|
|
100,954
|
|
|
|
96,966
|
|
|
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
|
|
Total other-than-temporary impairment losses
|
|
|
(2,147
|
)
|
|
|
(2,209
|
)
|
|
|
-
|
|
|
|
-
|
|
|
Portion of loss recognized in other comprehensive income
|
|
|
(20,402
|
)
|
|
|
(14,246
|
)
|
|
|
-
|
|
|
|
(6,163
|
)
|
|
Net other-than-temporary credit impairment losses
|
|
|
(22,549
|
)
|
|
|
(16,455
|
)
|
|
|
-
|
|
|
|
(6,163
|
)
|
|
Net gains (losses) on derivatives
|
|
|
22,361
|
|
|
|
(3,364
|
)
|
|
|
7,787
|
|
|
|
(128
|
)
|
|
Net unrealized gains (losses) on financial instruments at fair value
|
|
|
(2,416
|
)
|
|
|
(27,874
|
)
|
|
|
(12,974
|
)
|
|
|
(1,013
|
)
|
|
Net realized gains (losses) on sales of investments
|
|
|
(4,832
|
)
|
|
|
18,816
|
|
|
|
54,117
|
|
|
|
6
|
|
|
Realized losses on principal write-downs of Non-Agency RMBS
|
|
|
(18,316
|
)
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
Total other expenses
|
|
|
8,514
|
|
|
|
9,043
|
|
|
|
6,677
|
|
|
|
9,867
|
|
|
Net income
|
|
$
|
72,311
|
|
|
$
|
67,367
|
|
|
$
|
143,207
|
|
|
$
|
79,801
|
|
|
Net income per share-basic and diluted
|
|
$
|
0.07
|
|
|
$
|
0.07
|
|
|
$
|
0.14
|
|
|
$
|
0.08
|
|
The following tables provide a reconciliation of core earnings for the
years ended 2014, 2013 and 2012.
|
|
|
For the Year Ended
|
|
|
|
December 31, 2014
|
|
December 31, 2013
|
|
December 31, 2012
|
|
|
|
(dollars in thousands, except per share data)
|
|
GAAP Net income
|
|
$
|
589,205
|
|
|
$
|
362,686
|
|
|
$
|
327,767
|
|
|
Adjustments:
|
|
|
|
|
|
|
|
Net other-than-temporary credit impairment losses
|
|
|
63,992
|
|
|
|
45,167
|
|
|
|
132,250
|
|
|
Net unrealized (gains) losses on derivatives
|
|
|
103,496
|
|
|
|
(34,369
|
)
|
|
|
9,473
|
|
|
Net unrealized gains (losses) on financial instruments at fair value
|
|
|
(193,534
|
)
|
|
|
44,277
|
|
|
|
(833
|
)
|
|
Net realized gains (losses) on sales of investments
|
|
|
(91,709
|
)
|
|
|
(68,107
|
)
|
|
|
(85,166
|
)
|
|
Total other (gains) losses
|
|
|
(69,445
|
)
|
|
|
-
|
|
|
|
-
|
|
|
Core Earnings
|
|
$
|
402,005
|
|
|
$
|
349,654
|
|
|
$
|
383,491
|
|
|
|
|
|
|
|
|
|
|
GAAP net income per basic common share
|
|
$
|
0.57
|
|
|
$
|
0.35
|
|
|
$
|
0.32
|
|
|
Core earnings per basic common share
|
|
$
|
0.39
|
|
|
$
|
0.34
|
|
|
$
|
0.37
|
|
The following tables provide a summary of the Company’s RMBS portfolio
at December 31, 2014 and 2013.
|
|
|
|
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 Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior
|
|
$
|
344,951
|
|
$
|
55.09
|
|
$
|
79.63
|
|
4.3%
|
|
15.9%
|
|
|
Senior, interest only
|
|
$
|
5,178,737
|
|
$
|
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%
|
|
|
RMBS transferred to consolidated VIEs
|
|
$
|
3,133,611
|
|
$
|
53.51
|
|
$
|
80.03
|
|
4.5%
|
|
17.4%
|
|
Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
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%
|
|
Securitized loans
|
|
$
|
5,241,100
|
|
$
|
99.13
|
|
$
|
101.74
|
|
6.6%
|
|
6.3%
|
|
(1) Bond Equivalent Yield at period end. Weighted Average Yield is
calculated using each investment's respective amortized cost.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2013
|
|
|
|
|
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 Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior
|
|
$
|
128,217
|
|
$
|
69.27
|
|
$
|
69.95
|
|
1.4%
|
|
5.9%
|
|
|
Senior, interest only
|
|
$
|
5,742,781
|
|
$
|
4.93
|
|
$
|
3.99
|
|
1.4%
|
|
17.2%
|
|
|
Subordinated
|
|
$
|
830,632
|
|
$
|
40.96
|
|
$
|
55.09
|
|
2.9%
|
|
13.5%
|
|
|
Subordinated, interest only
|
|
$
|
274,462
|
|
$
|
5.34
|
|
$
|
6.04
|
|
1.7%
|
|
9.0%
|
|
|
RMBS transferred to consolidated VIEs
|
|
$
|
3,912,376
|
|
$
|
54.17
|
|
$
|
77.82
|
|
4.7%
|
|
15.8%
|
|
Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
Pass-through
|
|
$
|
1,898,131
|
|
$
|
104.52
|
|
$
|
105.24
|
|
3.6%
|
|
3.3%
|
|
|
Interest-only
|
|
$
|
247,344
|
|
$
|
17.69
|
|
$
|
16.76
|
|
3.2%
|
|
5.3%
|
|
Securitized loans
|
|
$
|
776,074
|
|
$
|
102.12
|
|
$
|
98.26
|
|
4.7%
|
|
3.5%
|
|
(1) Bond Equivalent Yield at period end. Weighted Average Yield is
calculated using each investment's respective amortized cost.
|
|
|
The following table summarizes certain characteristics of our non-agency
portfolio at December 31, 2014 and December 31, 2013.
|
|
|
December 31, 2014
|
|
December 31, 2013
|
|
Weighted average maturity (years)
|
|
|
22.5
|
|
|
24.1
|
|
Weighted average amortized loan to value (1)
|
|
|
67.5%
|
|
|
69.4%
|
|
Weighted average FICO (2)
|
|
|
679
|
|
|
710
|
|
Weighted average loan balance (in thousands)
|
|
|
$ 332
|
|
|
$ 385
|
|
Weighted average percentage owner occupied
|
|
|
83.0%
|
|
|
84.0%
|
|
Weighted average percentage single family residence
|
|
|
65.5%
|
|
|
65.4%
|
|
Weighted average current credit enhancement
|
|
|
1.7%
|
|
|
1.6%
|
|
Weighted average geographic concentration of top five states
|
|
CA
|
31.7%
|
|
CA
|
33.4%
|
|
|
|
FL
|
8.4%
|
|
FL
|
9.1%
|
|
|
|
NY
|
7.8%
|
|
NY
|
7.1%
|
|
|
|
NJ
|
2.9%
|
|
NJ
|
3.0%
|
|
|
|
MD
|
2.7%
|
|
MD
|
2.7%
|
|
(1) Value represents appraised value of the collateral at the time
of loan origination.
|
|
(2) FICO as determined at the time of loan origination.
|
At December 31, 2014 and 2013, the repurchase agreements collateralized
by RMBS had the following remaining maturities.
|
|
|
December 31, 2014
|
|
December 31, 2013
|
|
|
|
(dollars in thousands)
|
|
Overnight
|
|
$
|
-
|
|
$
|
-
|
|
1-29 days
|
|
|
2,652,717
|
|
|
644,332
|
|
30 to 59 days
|
|
|
1,371,856
|
|
|
606,945
|
|
60 to 89 days
|
|
|
656,915
|
|
|
-
|
|
90 to 119 days
|
|
|
2,068,740
|
|
|
129,049
|
|
Greater than or equal to 120 days
|
|
|
1,705,153
|
|
|
278,235
|
|
Total
|
|
$
|
8,455,381
|
|
$
|
1,658,561
|
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, 2014
|
|
December 31, 2013
|
|
|
|
|
|
|
(dollars in thousands)
|
|
|
|
|
|
|
Average
Balance
|
|
Interest
|
|
Average
Yield/Cost
|
|
Average
Balance
|
|
Interest
|
|
Average
Yield/Cost
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-earning assets (1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS
|
|
|
$
|
5,222,882
|
|
$
|
180,206
|
|
3.5%
|
|
|
$
|
1,885,809
|
|
$
|
69,433
|
|
3.7%
|
|
|
|
Non-Agency RMBS
|
|
|
|
801,547
|
|
|
78,577
|
|
9.8%
|
|
|
|
662,790
|
|
|
70,753
|
|
10.7%
|
|
|
|
Non-Agency RMBS transferred to consolidated VIEs
|
|
|
|
1,867,986
|
|
|
295,475
|
|
15.8%
|
|
|
|
2,262,889
|
|
|
337,645
|
|
14.9%
|
|
|
|
Jumbo Prime securitized residential mortgage loans held for
investment
|
|
|
|
720,965
|
|
|
30,010
|
|
4.2%
|
|
|
|
994,103
|
|
|
33,914
|
|
3.4%
|
|
|
|
Seasoned sub-prime securitized residential mortgage loans held for
investment
|
|
|
|
1,419,155
|
|
|
103,505
|
|
7.3%
|
|
|
|
-
|
|
|
-
|
|
-
|
|
Total
|
|
|
|
|
$
|
10,032,535
|
|
$
|
687,773
|
|
6.9%
|
|
|
$
|
5,805,591
|
|
$
|
511,745
|
|
8.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency repurchase agreements (2)
|
|
|
$
|
4,749,283
|
|
$
|
71,569
|
|
1.5%
|
|
|
$
|
1,534,885
|
|
$
|
28,559
|
|
1.9%
|
|
|
|
Non-Agency repurchase agreements
|
|
|
|
444,599
|
|
|
9,634
|
|
2.2%
|
|
|
|
-
|
|
|
-
|
|
-
|
|
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
|
|
|
799,473
|
|
|
53,367
|
|
6.7%
|
|
|
|
1,129,342
|
|
|
67,870
|
|
6.0%
|
|
|
|
Securitized debt, collateralized by jumbo prime residential mortgage
loans
|
|
|
|
720,965
|
|
|
21,602
|
|
3.0%
|
|
|
|
863,485
|
|
|
27,359
|
|
3.2%
|
|
|
|
Securitized debt, collateralized by seasoned sub-prime residential
mortgage loans
|
|
|
|
1,174,682
|
|
|
44,134
|
|
3.8%
|
|
|
|
-
|
|
|
-
|
|
-
|
|
Total
|
|
|
|
|
$
|
7,889,003
|
|
$
|
200,307
|
|
2.5%
|
|
|
$
|
3,527,712
|
|
$
|
123,788
|
|
3.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net economic interest income/net interest rate spread
|
|
|
|
|
$
|
487,467
|
|
4.4%
|
|
|
|
|
$
|
387,957
|
|
5.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest-earning assets/net interest margin
|
|
|
$
|
2,143,532
|
|
|
|
4.9%
|
|
|
$
|
2,277,879
|
|
|
|
6.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratio of interest-earning assets to interest bearing liabilities
|
|
|
|
1.27
|
|
|
|
|
|
|
|
1.65
|
|
|
|
|
|
(1) Interest-earning assets at amortized cost
|
|
(2) Interest includes cash paid on swaps
|
CONTACT:
Investor Relations
1-866-315-9930
