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)
|
•
|
1
ST
QUARTER GAAP NET INCOME OF
$0.54
PER COMMON SHARE
|
•
|
1
ST
QUARTER CORE EARNINGS
(1)
OF
$0.57
PER COMMON SHARE
|
•
|
GAAP BOOK VALUE OF
$16.15
PER COMMON SHARE
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
March 31, 2019
|
December 31, 2018
|
||||
Cash and cash equivalents
|
$
|
122,850
|
|
$
|
47,486
|
|
Non-Agency RMBS, at fair value
|
2,538,043
|
|
2,486,130
|
|
||
Agency MBS, at fair value
|
12,238,044
|
|
12,188,950
|
|
||
Loans held for investment, at fair value
|
12,400,203
|
|
12,572,581
|
|
||
Receivable for investment sold
|
1,414,478
|
|
—
|
|
||
Accrued interest receivable
|
122,746
|
|
123,442
|
|
||
Other assets
|
500,593
|
|
252,582
|
|
||
Derivatives, at fair value, net
|
946
|
|
37,468
|
|
||
Total assets
(1)
|
$
|
29,337,903
|
|
$
|
27,708,639
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($17.2 billion and $15.8 billion pledged as collateral, respectively)
|
$
|
15,323,874
|
|
$
|
14,030,465
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.0 billion pledged as collateral, respectively)
|
153,179
|
|
159,955
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($11.8 billion and $12.3 billion pledged as collateral, respectively)
|
8,124,760
|
|
8,455,376
|
|
||
Payable for investments purchased
|
1,513,657
|
|
1,136,157
|
|
||
Accrued interest payable
|
124,759
|
|
110,402
|
|
||
Dividends payable
|
99,050
|
|
95,986
|
|
||
Accounts payable and other liabilities
|
45,447
|
|
16,469
|
|
||
Derivatives, at fair value, net
|
—
|
|
—
|
|
||
Total liabilities
(1)
|
$
|
25,384,726
|
|
$
|
24,004,810
|
|
|
|
|
|
|
||
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 shares issued and outstanding, respectively ($260,000 liquidation preference)
|
104
|
|
104
|
|
||
8.00% Series D cumulative redeemable: 8,000,000 and 0 shares issued and outstanding, respectively ($200,000 liquidation preference)
|
80
|
|
—
|
|
||
Common stock: par value $0.01 per share; 500,000,000 and 300,000,000 shares authorized, 187,144,009 and 187,052,398 shares issued and outstanding, respectively
|
1,871
|
|
1,871
|
|
||
Additional paid-in-capital
|
4,268,063
|
|
4,072,093
|
|
||
Accumulated other comprehensive income
|
672,988
|
|
626,832
|
|
||
Cumulative earnings
|
3,497,636
|
|
3,379,489
|
|
||
Cumulative distributions to stockholders
|
(4,487,753
|
)
|
(4,376,748
|
)
|
||
Total stockholders' equity
|
$
|
3,953,177
|
|
$
|
3,703,829
|
|
Total liabilities and stockholders' equity
|
$
|
29,337,903
|
|
$
|
27,708,639
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
For the Quarters Ended
|
|||||
|
March 31, 2019
|
March 31, 2018
|
||||
Net interest income:
|
|
|
||||
Interest income
(1)
|
$
|
350,389
|
|
$
|
297,132
|
|
Interest expense
(2)
|
202,950
|
|
149,251
|
|
||
Net interest income
|
147,439
|
|
147,881
|
|
||
Other-than-temporary impairments:
|
|
|
|
|
||
Total other-than-temporary impairment losses
|
(801
|
)
|
(294
|
)
|
||
Portion of loss recognized in other comprehensive income
|
(4,052
|
)
|
(864
|
)
|
||
Net other-than-temporary credit impairment losses
|
(4,853
|
)
|
(1,158
|
)
|
||
Other investment gains (losses):
|
|
|
|
|
||
Net unrealized gains (losses) on derivatives
|
(89,315
|
)
|
81,419
|
|
||
Realized gains (losses) on terminations of interest rate swaps
|
(108,046
|
)
|
—
|
|
||
Net realized gains (losses) on derivatives
|
(7,277
|
)
|
13,085
|
|
||
Net gains (losses) on derivatives
|
(204,638
|
)
|
94,504
|
|
||
Net unrealized gains (losses) on financial instruments at fair value
|
200,812
|
|
14,466
|
|
||
Net realized gains (losses) on sales of investments
|
8,603
|
|
—
|
|
||
Gains (losses) on extinguishment of debt
|
—
|
|
9,670
|
|
||
Total other gains (losses)
|
4,777
|
|
118,640
|
|
||
|
|
|
|
|
||
Other expenses:
|
|
|
|
|
||
Compensation and benefits
|
14,370
|
|
8,411
|
|
||
General and administrative expenses
|
5,883
|
|
5,489
|
|
||
Servicing fees
|
8,963
|
|
11,334
|
|
||
Deal expenses
|
—
|
|
1,088
|
|
||
Total other expenses
|
29,216
|
|
26,322
|
|
||
Income (loss) before income taxes
|
118,147
|
|
239,041
|
|
||
Income taxes
|
—
|
|
34
|
|
||
Net income (loss)
|
$
|
118,147
|
|
$
|
239,007
|
|
|
|
|
|
|
||
Dividends on preferred stock
|
17,392
|
|
9,400
|
|
||
|
|
|
|
|
||
Net income (loss) available to common shareholders
|
$
|
100,755
|
|
$
|
229,607
|
|
|
|
|
|
|
||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
||
Basic
|
$
|
0.54
|
|
$
|
1.22
|
|
Diluted
|
$
|
0.54
|
|
$
|
1.22
|
|
|
|
|
|
|
||
Weighted average number of common shares outstanding:
|
|
|
|
|
||
Basic
|
187,112,454
|
|
187,553,281
|
|
||
Diluted
|
188,199,711
|
|
188,176,753
|
|
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, 2019
|
March 31, 2018
|
||||
Comprehensive income (loss):
|
|
|
||||
Net income (loss)
|
$
|
118,147
|
|
$
|
239,007
|
|
Other comprehensive income:
|
|
|
||||
Unrealized gains (losses) on available-for-sale securities, net
|
26,385
|
|
(88,816
|
)
|
||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
4,853
|
|
1,158
|
|
||
Reclassification adjustment for net realized losses (gains) included in net income
|
14,918
|
|
—
|
|
||
Other comprehensive income (loss)
|
46,156
|
|
(87,658
|
)
|
||
Comprehensive income (loss) before preferred stock dividends
|
$
|
164,303
|
|
$
|
151,349
|
|
Dividends on preferred stock
|
$
|
17,392
|
|
$
|
9,400
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
146,911
|
|
$
|
141,949
|
|
|
March 31, 2019
|
||||||||||||
|
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
|
$
|
2,347,459
|
|
$
|
54.19
|
|
$
|
81.92
|
|
5.1
|
%
|
19.2
|
%
|
Senior, interest-only
|
6,227,847
|
|
4.65
|
|
4.52
|
|
1.1
|
%
|
8.1
|
%
|
|||
Subordinated
|
446,450
|
|
59.90
|
|
71.98
|
|
4.1
|
%
|
9.3
|
%
|
|||
Subordinated, interest-only
|
229,475
|
|
4.49
|
|
5.21
|
|
1.1
|
%
|
15.9
|
%
|
|||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||
Residential pass-through
|
8,686,945
|
|
102.41
|
|
103.06
|
|
4.0
|
%
|
3.6
|
%
|
|||
Commercial pass-through
|
3,080,065
|
|
101.94
|
|
101.90
|
|
3.6
|
%
|
3.4
|
%
|
|||
Interest-only
|
2,627,192
|
|
5.53
|
|
5.59
|
|
1.0
|
%
|
5.3
|
%
|
|||
|
|
|
|
|
|
||||||||
|
December 31, 2018
|
||||||||||||
|
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
|
$
|
2,386,049
|
|
$
|
53.40
|
|
$
|
81.44
|
|
5.0
|
%
|
19.5
|
%
|
Senior, interest-only
|
5,667,198
|
|
5.06
|
|
4.50
|
|
1.2
|
%
|
8.4
|
%
|
|||
Subordinated
|
394,037
|
|
56.60
|
|
70.16
|
|
4.0
|
%
|
9.9
|
%
|
|||
Subordinated, interest-only
|
221,549
|
|
4.48
|
|
5.26
|
|
1.1
|
%
|
16.4
|
%
|
|||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||
Residential pass-through
|
8,984,249
|
|
102.47
|
|
102.12
|
|
4.0
|
%
|
3.6
|
%
|
|||
Commercial pass-through
|
2,895,679
|
|
101.98
|
|
99.50
|
|
3.6
|
%
|
3.4
|
%
|
|||
Interest-only
|
3,028,572
|
|
4.49
|
|
4.40
|
|
0.8
|
%
|
4.3
|
%
|
|
March 31, 2019
|
December 31, 2018
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
8,504
|
|
$
|
—
|
|
1 to 29 days
|
6,455,405
|
|
6,326,232
|
|
||
30 to 59 days
|
4,897,931
|
|
4,620,656
|
|
||
60 to 89 days
|
1,507,408
|
|
1,504,695
|
|
||
90 to 119 days
|
683,716
|
|
169,244
|
|
||
Greater than or equal to 120 days
|
1,770,910
|
|
1,409,638
|
|
||
Total
|
$
|
15,323,874
|
|
$
|
14,030,465
|
|
|
March 31, 2019
|
December 31, 2018
|
||||
Interest earning assets at period-end
(1)
|
$
|
27,176,290
|
|
$
|
27,247,661
|
|
Interest bearing liabilities at period-end
|
$
|
23,601,813
|
|
$
|
22,645,796
|
|
GAAP Leverage at period-end
|
6.0:1
|
|
6.1:1
|
|
||
GAAP Leverage at period-end (recourse)
|
3.9:1
|
|
3.8:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
5.0
|
%
|
4.7
|
%
|
||
Senior
|
2.9
|
%
|
2.8
|
%
|
||
Senior, interest only
|
1.1
|
%
|
1.1
|
%
|
||
Subordinated
|
1.0
|
%
|
0.8
|
%
|
||
Subordinated, interest only
|
0.0
|
%
|
0.0
|
%
|
||
RMBS transferred to consolidated VIEs
|
2.0
|
%
|
2.1
|
%
|
||
Agency MBS
|
46.9
|
%
|
46.7
|
%
|
||
Residential
|
34.2
|
%
|
35.0
|
%
|
||
Commercial
|
12.1
|
%
|
11.2
|
%
|
||
Interest-only
|
0.6
|
%
|
0.5
|
%
|
||
Loans held for investment
|
46.1
|
%
|
46.5
|
%
|
||
Fixed-rate percentage of portfolio
|
95.8
|
%
|
95.8
|
%
|
||
Adjustable-rate percentage of portfolio
|
4.2
|
%
|
4.2
|
%
|
|
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 March 31, 2019
|
$
|
350,389
|
|
|
$
|
202,950
|
|
$
|
(5,462
|
)
|
$
|
197,488
|
|
|
$
|
147,439
|
|
$
|
5,462
|
|
$
|
(1,571
|
)
|
$
|
151,330
|
|
For the Quarter Ended December 31, 2018
|
$
|
348,033
|
|
|
$
|
193,920
|
|
$
|
364
|
|
$
|
194,284
|
|
|
$
|
154,113
|
|
$
|
(364
|
)
|
$
|
(140
|
)
|
$
|
153,609
|
|
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
|
||||||||||||||||
|
March 31, 2019
|
|
March 31, 2018
|
||||||||||||||
|
(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
|
$
|
11,448,243
|
|
$
|
103,595
|
|
3.6
|
%
|
|
$
|
3,880,870
|
|
$
|
33,342
|
|
3.4
|
%
|
Non-Agency RMBS
|
1,272,073
|
|
32,758
|
|
10.3
|
%
|
|
1,150,135
|
|
22,004
|
|
7.7
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
535,031
|
|
38,769
|
|
29.0
|
%
|
|
896,139
|
|
52,107
|
|
23.3
|
%
|
||||
Residential mortgage loans held for investment
|
12,102,993
|
|
173,696
|
|
5.7
|
%
|
|
13,265,821
|
|
189,822
|
|
5.7
|
%
|
||||
Total
|
$
|
25,358,340
|
|
$
|
348,818
|
|
5.5
|
%
|
|
$
|
19,192,965
|
|
$
|
297,275
|
|
6.2
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency MBS
(2)
|
$
|
10,695,015
|
|
$
|
69,311
|
|
2.6
|
%
|
|
$
|
3,253,529
|
|
$
|
16,140
|
|
2.0
|
%
|
Non-Agency RMBS
(2)
|
634,481
|
|
5,691
|
|
3.6
|
%
|
|
411,143
|
|
3,025
|
|
2.9
|
%
|
||||
Re-REMIC repurchase agreements
|
557,467
|
|
6,499
|
|
4.7
|
%
|
|
828,745
|
|
7,727
|
|
3.7
|
%
|
||||
RMBS from loan securitizations
|
2,706,425
|
|
24,960
|
|
3.7
|
%
|
|
2,763,631
|
|
25,358
|
|
3.7
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
156,277
|
|
1,934
|
|
5.0
|
%
|
|
200,374
|
|
2,825
|
|
5.6
|
%
|
||||
Securitized debt, collateralized by loans
|
8,150,394
|
|
89,093
|
|
4.4
|
%
|
|
9,185,049
|
|
96,788
|
|
4.2
|
%
|
||||
Total
|
$
|
22,900,059
|
|
$
|
197,488
|
|
3.4
|
%
|
|
$
|
16,642,471
|
|
$
|
151,863
|
|
3.7
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
151,330
|
|
2.1
|
%
|
|
|
|
$
|
145,412
|
|
2.5
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,458,281
|
|
|
|
2.4
|
%
|
|
$
|
2,550,494
|
|
|
|
3.0
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.11
|
|
|
|
|
|
|
1.15
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(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 Common Equity
|
|||
|
(Ratios have been annualized)
|
|||||
For the Quarter Ended March 31, 2019
|
12.34
|
%
|
15.81
|
%
|
14.03
|
%
|
For the Quarter Ended December 31, 2018
|
(10.80
|
)%
|
16.13
|
%
|
14.09
|
%
|
For the Quarter Ended September 30, 2018
|
16.64
|
%
|
15.61
|
%
|
13.96
|
%
|
For the Quarter Ended June 30, 2018
|
12.91
|
%
|
16.05
|
%
|
13.72
|
%
|
For the Quarter Ended March 31, 2018
|
26.17
|
%
|
15.92
|
%
|
13.61
|
%
|
|
For the Quarters Ended
|
||||||||||||||
Accretable Discount (Net of Premiums)
|
March 31, 2019
|
|
December 31, 2018
|
|
September 30, 2018
|
|
June 30, 2018
|
|
March 31, 2018
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
505,763
|
|
$
|
539,020
|
|
$
|
540,269
|
|
$
|
555,444
|
|
$
|
582,193
|
|
Accretion of discount
|
(35,551
|
)
|
(36,287
|
)
|
(35,184
|
)
|
(38,110
|
)
|
(37,309
|
)
|
|||||
Purchases
|
6,638
|
|
4,589
|
|
1,966
|
|
3,098
|
|
—
|
|
|||||
Sales and deconsolidation
|
127
|
|
(625
|
)
|
(986
|
)
|
(6,439
|
)
|
174
|
|
|||||
Transfers from/(to) credit reserve, net
|
8,063
|
|
(934
|
)
|
32,955
|
|
26,276
|
|
10,386
|
|
|||||
Balance, end of period
|
$
|
485,040
|
|
$
|
505,763
|
|
$
|
539,020
|
|
$
|
540,269
|
|
$
|
555,444
|
|