Maryland
|
1-33796
|
26-0630461
|
(State or Other Jurisdiction
|
(Commission
|
(IRS Employer
|
of Incorporation)
|
File Number)
|
Identification No.)
|
520 Madison Avenue, 32nd Fl
|
|
New York, New York
|
10022
|
(Address of principal executive offices)
|
(Zip Code)
|
•
|
3
RD
QUARTER GAAP NET INCOME OF
$0.79
PER COMMON SHARE
|
•
|
3
RD
QUARTER CORE EARNINGS
(1)
OF
$0.60
PER COMMON SHARE
|
•
|
GAAP BOOK VALUE OF
$17.02
PER COMMON SHARE
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
September 30, 2018
|
December 31, 2017
|
||||
Assets:
|
|
|
||||
Cash and cash equivalents
|
$
|
121,046
|
|
$
|
63,569
|
|
Non-Agency RMBS, at fair value
|
2,507,707
|
|
2,851,316
|
|
||
Agency MBS, at fair value
|
9,406,092
|
|
4,364,828
|
|
||
Loans held for investment, at fair value
|
12,729,559
|
|
13,678,263
|
|
||
Accrued interest receivable
|
114,798
|
|
100,789
|
|
||
Other assets
|
145,655
|
|
114,391
|
|
||
Derivatives, at fair value, net
|
155,069
|
|
48,914
|
|
||
Total assets
(1)
|
$
|
25,179,926
|
|
$
|
21,222,070
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($12.6 billion and $8.8 billion, pledged as collateral, respectively)
|
$
|
11,143,102
|
|
$
|
7,250,452
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.1 billion and $1.6 billion pledged as collateral, respectively)
|
167,718
|
|
205,780
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($12.5 billion and $13.3 billion pledged as collateral, respectively)
|
8,826,879
|
|
9,388,657
|
|
||
Payable for investments purchased
|
903,424
|
|
567,440
|
|
||
Accrued interest payable
|
110,228
|
|
61,888
|
|
||
Dividends payable
|
96,809
|
|
95,365
|
|
||
Accounts payable and other liabilities
|
18,585
|
|
17,191
|
|
||
Derivatives, at fair value, net
|
—
|
|
320
|
|
||
Total liabilities
(1)
|
$
|
21,266,745
|
|
$
|
17,587,093
|
|
|
|
|
|
|
||
Commitments and Contingencies (See Note 15)
|
|
|
|
|
||
|
|
|
|
|
||
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 and 0 shares issued and outstanding, respectively ($260,000 liquidation preference)
|
104
|
|
—
|
|
||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,006,943 and 187,809,288 shares issued and outstanding, respectively
|
1,870
|
|
1,878
|
|
||
Additional paid-in-capital
|
4,069,868
|
|
3,826,691
|
|
||
Accumulated other comprehensive income
|
627,936
|
|
796,902
|
|
||
Cumulative earnings
|
3,482,287
|
|
2,967,852
|
|
||
Cumulative distributions to stockholders
|
(4,269,072
|
)
|
(3,958,534
|
)
|
||
Total stockholders' equity
|
$
|
3,913,181
|
|
$
|
3,634,977
|
|
Total liabilities and stockholders' equity
|
$
|
25,179,926
|
|
$
|
21,222,070
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
|||||||||||||
(dollars in thousands, except share and per share data)
|
|||||||||||||
(Unaudited)
|
|||||||||||||
|
For the Quarters Ended
|
|
For the Nine Months Ended
|
||||||||||
|
September 30, 2018
|
September 30, 2017
|
|
September 30, 2018
|
September 30, 2017
|
||||||||
Net interest income:
|
|
|
|
|
|
||||||||
Interest income
(1)
|
$
|
321,715
|
|
$
|
296,813
|
|
|
$
|
925,282
|
|
$
|
836,801
|
|
Interest expense
(2)
|
174,671
|
|
140,358
|
|
|
485,189
|
|
388,544
|
|
||||
Net interest income
|
147,044
|
|
156,455
|
|
|
440,093
|
|
448,257
|
|
||||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
(772
|
)
|
(784
|
)
|
|
(1,871
|
)
|
(4,245
|
)
|
||||
Portion of loss recognized in other comprehensive income
|
(6,461
|
)
|
(10,684
|
)
|
|
(15,651
|
)
|
(39,431
|
)
|
||||
Net other-than-temporary credit impairment losses
|
(7,233
|
)
|
(11,468
|
)
|
|
(17,522
|
)
|
(43,676
|
)
|
||||
Other investment gains (losses):
|
|
|
|
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
71,197
|
|
9,204
|
|
|
178,511
|
|
19,902
|
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
—
|
|
—
|
|
|
—
|
|
(16,143
|
)
|
||||
Net realized gains (losses) on derivatives
|
2,881
|
|
(7,841
|
)
|
|
14,573
|
|
(28,680
|
)
|
||||
Net gains (losses) on derivatives
|
74,078
|
|
1,363
|
|
|
193,084
|
|
(24,921
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
(34,306
|
)
|
19,042
|
|
|
(38,204
|
)
|
159,047
|
|
||||
Net realized gains (losses) on sales of investments
|
(6,123
|
)
|
1
|
|
|
(3,956
|
)
|
9,709
|
|
||||
Gains (losses) on extinguishment of debt
|
9,263
|
|
(1
|
)
|
|
19,320
|
|
(48,016
|
)
|
||||
Total other gains (losses)
|
42,912
|
|
20,405
|
|
|
170,244
|
|
95,819
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Other expenses:
|
|
|
|
|
|
|
|
|
|||||
Compensation and benefits
|
8,642
|
|
7,533
|
|
|
25,741
|
|
22,759
|
|
||||
General and administrative expenses
|
5,615
|
|
4,537
|
|
|
16,964
|
|
13,162
|
|
||||
Servicing fees
|
9,766
|
|
10,715
|
|
|
31,044
|
|
31,193
|
|
||||
Deal expenses
|
1,372
|
|
3,357
|
|
|
4,555
|
|
16,054
|
|
||||
Total other expenses
|
25,395
|
|
26,142
|
|
|
78,304
|
|
83,168
|
|
||||
Income (loss) before income taxes
|
157,328
|
|
139,250
|
|
|
514,511
|
|
417,232
|
|
||||
Income taxes
|
7
|
|
18
|
|
|
76
|
|
172
|
|
||||
Net income (loss)
|
$
|
157,321
|
|
$
|
139,232
|
|
|
$
|
514,435
|
|
$
|
417,060
|
|
|
|
|
|
|
|
|
|
|
|
||||
Dividend on preferred stock
|
9,960
|
|
9,400
|
|
|
28,760
|
|
24,083
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
147,361
|
|
$
|
129,832
|
|
|
$
|
485,675
|
|
$
|
392,977
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|
|
|
||||
Basic
|
$
|
0.79
|
|
$
|
0.69
|
|
|
$
|
2.59
|
|
$
|
2.09
|
|
Diluted
|
$
|
0.79
|
|
$
|
0.69
|
|
|
$
|
2.59
|
|
$
|
2.09
|
|
|
|
|
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
|
||||
Basic
|
187,006,777
|
|
187,779,794
|
|
|
187,182,932
|
|
187,773,715
|
|
||||
Diluted
|
187,584,958
|
|
188,192,111
|
|
|
187,705,831
|
|
188,176,757
|
|
||||
|
|
|
|
|
|
|
|
|
|||||
Dividends declared per share of common stock
|
$
|
0.50
|
|
$
|
0.50
|
|
|
$
|
1.50
|
|
$
|
1.50
|
|
|
|
|
|
|
|
|
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||
(Unaudited)
|
||||||||||||
|
|
|
|
|
||||||||
|
For the Quarters Ended
|
For the Nine Months Ended
|
||||||||||
|
September 30, 2018
|
September 30, 2017
|
September 30, 2018
|
September 30, 2017
|
||||||||
Comprehensive income (loss):
|
|
|
|
|
||||||||
Net income (loss)
|
$
|
157,321
|
|
$
|
139,232
|
|
$
|
514,435
|
|
$
|
417,060
|
|
Other comprehensive income:
|
|
|
|
|
||||||||
Unrealized gains (losses) on available-for-sale securities, net
|
(50,728
|
)
|
21,370
|
|
(181,885
|
)
|
59,114
|
|
||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
7,233
|
|
11,468
|
|
17,522
|
|
43,676
|
|
||||
Reclassification adjustment for net realized losses (gains) included in net income
|
(220
|
)
|
(1
|
)
|
(4,603
|
)
|
(7,778
|
)
|
||||
Other comprehensive income (loss)
|
(43,715
|
)
|
32,837
|
|
(168,966
|
)
|
95,012
|
|
||||
Comprehensive income (loss) before preferred stock dividends
|
$
|
113,606
|
|
$
|
172,069
|
|
$
|
345,469
|
|
$
|
512,072
|
|
Dividends on preferred stock
|
$
|
9,960
|
|
$
|
9,400
|
|
$
|
28,760
|
|
$
|
24,083
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
103,646
|
|
$
|
162,669
|
|
$
|
316,709
|
|
$
|
487,989
|
|
|
September 30, 2018
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
123,417
|
|
$
|
—
|
|
1 to 29 days
|
4,622,550
|
|
4,745,342
|
|
||
30 to 59 days
|
3,832,236
|
|
1,206,769
|
|
||
60 to 89 days
|
1,208,344
|
|
592,865
|
|
||
90 to 119 days
|
25,196
|
|
—
|
|
||
Greater than or equal to 120 days
|
1,331,359
|
|
705,476
|
|
||
Total
|
$
|
11,143,102
|
|
$
|
7,250,452
|
|
|
September 30, 2018
|
December 31, 2017
|
||||
Interest earning assets at period-end
(1)
|
$
|
24,643,358
|
|
$
|
20,894,407
|
|
Interest bearing liabilities at period-end
|
$
|
20,137,699
|
|
$
|
16,844,889
|
|
GAAP Leverage at period-end
|
5.1:1
|
|
4.6:1
|
|
||
GAAP Leverage at period-end (recourse)
|
2.8:1
|
|
2.0:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
5.1
|
%
|
5.9
|
%
|
||
Senior
|
3.0
|
%
|
2.9
|
%
|
||
Senior, interest only
|
1.2
|
%
|
1.3
|
%
|
||
Subordinated
|
0.9
|
%
|
1.7
|
%
|
||
Subordinated, interest only
|
0.0
|
%
|
0.0
|
%
|
||
RMBS transferred to consolidated VIEs
|
2.4
|
%
|
4.6
|
%
|
||
Agency MBS
|
40.6
|
%
|
22.2
|
%
|
||
Residential
|
29.2
|
%
|
11.8
|
%
|
||
Commercial
|
10.9
|
%
|
9.8
|
%
|
||
Interest-only
|
0.5
|
%
|
0.6
|
%
|
||
Loans held for investment
|
51.9
|
%
|
67.3
|
%
|
||
Fixed-rate percentage of portfolio
|
95.3
|
%
|
93.7
|
%
|
||
Adjustable-rate percentage of portfolio
|
4.7
|
%
|
6.3
|
%
|
||
Annualized yield on average interest earning assets for the quarters ended
|
5.8
|
%
|
6.3
|
%
|
||
Annualized cost of funds on average borrowed funds for the quarters ended
(2)
|
3.6
|
%
|
3.6
|
%
|
|
GAAP
Interest Income |
|
GAAP
Interest Expense |
Net Realized (Gains)
Losses on Interest Rate Swaps |
Economic Interest
Expense |
|
GAAP Net Interest
Income |
Net Realized
Gains (Losses) on Interest Rate Swaps |
Other
(1)
|
Economic
Net Interest Income |
||||||||||||||||
For the Quarter Ended September 30, 2018
|
$
|
321,715
|
|
|
$
|
174,671
|
|
$
|
(242
|
)
|
$
|
174,429
|
|
|
$
|
147,044
|
|
$
|
242
|
|
$
|
321
|
|
$
|
147,607
|
|
For the Quarter Ended June 30, 2018
|
$
|
306,436
|
|
|
$
|
161,266
|
|
$
|
(1,246
|
)
|
$
|
160,020
|
|
|
$
|
145,170
|
|
$
|
1,246
|
|
$
|
436
|
|
$
|
146,852
|
|
For the Quarter Ended March 31, 2018
|
$
|
297,132
|
|
|
$
|
149,251
|
|
$
|
2,612
|
|
$
|
151,863
|
|
|
$
|
147,881
|
|
$
|
(2,612
|
)
|
$
|
143
|
|
$
|
145,412
|
|
For the Quarter Ended December 31, 2017
|
$
|
301,957
|
|
|
$
|
144,204
|
|
$
|
4,369
|
|
$
|
148,573
|
|
|
$
|
157,753
|
|
$
|
(4,369
|
)
|
$
|
(61
|
)
|
$
|
153,323
|
|
For the Quarter Ended September 30, 2017
|
$
|
296,813
|
|
|
$
|
140,358
|
|
$
|
3,489
|
|
$
|
143,847
|
|
|
$
|
156,455
|
|
$
|
(3,489
|
)
|
$
|
(167
|
)
|
$
|
152,799
|
|
|
For the Quarter Ended
|
||||||||||||||||
|
September 30, 2018
|
|
September 30, 2017
|
||||||||||||||
|
(dollars in thousands)
|
|
(dollars in thousands)
|
||||||||||||||
|
Average
Balance |
Interest
|
Average
Yield/Cost |
|
Average
Balance |
Interest
|
Average
Yield/Cost |
||||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||||
Interest-earning assets
(1)
:
|
|
|
|
|
|
|
|
||||||||||
Agency MBS
|
$
|
7,776,334
|
|
$
|
66,863
|
|
3.4
|
%
|
|
$
|
3,733,640
|
|
$
|
24,236
|
|
2.6
|
%
|
Non-Agency RMBS
|
1,186,945
|
|
29,213
|
|
9.8
|
%
|
|
1,258,634
|
|
28,590
|
|
9.1
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
632,155
|
|
42,416
|
|
26.8
|
%
|
|
1,000,912
|
|
56,388
|
|
22.5
|
%
|
||||
Residential mortgage loans held for investment
|
12,613,816
|
|
183,544
|
|
5.8
|
%
|
|
12,959,595
|
|
187,432
|
|
5.8
|
%
|
||||
Total
|
$
|
22,209,250
|
|
$
|
322,036
|
|
5.8
|
%
|
|
$
|
18,952,781
|
|
$
|
296,646
|
|
6.3
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency MBS
(2)
|
$
|
6,720,205
|
|
$
|
38,492
|
|
2.3
|
%
|
|
$
|
3,114,689
|
|
$
|
14,211
|
|
1.8
|
%
|
Non-Agency RMBS
(2)
|
428,363
|
|
4,186
|
|
3.9
|
%
|
|
706,941
|
|
5,257
|
|
3.0
|
%
|
||||
Re-REMIC repurchase agreements
|
621,042
|
|
6,681
|
|
4.3
|
%
|
|
443,029
|
|
3,679
|
|
3.3
|
%
|
||||
RMBS from loan securitizations
|
2,465,678
|
|
25,449
|
|
4.1
|
%
|
|
2,285,232
|
|
18,843
|
|
3.3
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
173,825
|
|
2,471
|
|
5.7
|
%
|
|
248,989
|
|
4,416
|
|
7.1
|
%
|
||||
Securitized debt, collateralized by loans
|
8,938,962
|
|
97,150
|
|
4.3
|
%
|
|
9,399,125
|
|
97,441
|
|
4.1
|
%
|
||||
Total
|
$
|
19,348,075
|
|
$
|
174,429
|
|
3.6
|
%
|
|
$
|
16,198,005
|
|
$
|
143,847
|
|
3.6
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
147,607
|
|
2.2
|
%
|
|
|
|
$
|
152,799
|
|
2.7
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,861,175
|
|
|
|
2.7
|
%
|
|
$
|
2,754,776
|
|
|
|
3.2
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.15
|
|
|
|
|
|
|
1.17
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(2) Interest includes net cash paid/received on swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Return on Average Equity
|
Economic Net Interest Income/Average Equity *
|
Core Earnings/Average Equity
|
|||
|
(Ratios have been annualized)
|
|||||
For the Quarter Ended September 30, 2018
|
16.64
|
%
|
15.61
|
%
|
11.82
|
%
|
For the Quarter Ended June 30, 2018
|
12.91
|
%
|
16.05
|
%
|
12.02
|
%
|
For the Quarter Ended March 31, 2018
|
26.17
|
%
|
15.92
|
%
|
11.91
|
%
|
For the Quarter Ended December 31, 2017
|
11.82
|
%
|
16.85
|
%
|
12.70
|
%
|
For the Quarter Ended September 30, 2017
|
15.42
|
%
|
16.92
|
%
|
12.88
|
%
|