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)
|
•
|
GAAP EARNINGS OF
$0.69
PER COMMON SHARE
|
•
|
CORE EARNINGS
(1)
OF
$0.62
PER COMMON SHARE
|
•
|
GAAP BOOK VALUE OF
$16.92
PER COMMON SHARE
|
•
|
ADDED $783 MILLION OF RESIDENTIAL MORTGAGE LOANS
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
|
September 30, 2017
|
December 31, 2016
|
||||
Assets:
|
|
|
||||
Cash and cash equivalents
|
$
|
38,055
|
|
$
|
177,714
|
|
Non-Agency RMBS, at fair value
|
2,950,348
|
|
3,330,063
|
|
||
Agency MBS, at fair value
|
4,354,872
|
|
4,167,754
|
|
||
Loans held for investment, at fair value
|
13,538,052
|
|
8,753,653
|
|
||
Receivable for investment sold
|
11,235
|
|
—
|
|
||
Accrued interest receivable
|
99,421
|
|
79,697
|
|
||
Other assets
|
172,876
|
|
166,350
|
|
||
Derivatives, at fair value, net
|
22,525
|
|
9,677
|
|
||
Total assets
(1)
|
$
|
21,187,384
|
|
$
|
16,684,908
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($8.2 billion and $7.0 billion, pledged as collateral, respectively)
|
$
|
6,709,821
|
|
$
|
5,600,903
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.6 billion and $1.8 billion pledged as collateral, respectively)
|
233,113
|
|
334,124
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($13.0 billion and $8.8 billion pledged as collateral, respectively)
|
9,683,062
|
|
6,941,097
|
|
||
Payable for investments purchased
|
733,142
|
|
520,532
|
|
||
Accrued interest payable
|
64,280
|
|
48,670
|
|
||
Dividends payable
|
95,000
|
|
97,005
|
|
||
Accounts payable and other liabilities
|
21,331
|
|
16,694
|
|
||
Derivatives, at fair value
|
1,204
|
|
2,350
|
|
||
Total liabilities
(1)
|
$
|
17,540,953
|
|
$
|
13,561,375
|
|
|
|
|
|
|
||
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 and 0 shares issued and outstanding, respectively ($325,000 liquidation preference)
|
130
|
|
—
|
|
||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,781,000 and 187,739,634 shares issued and outstanding, respectively
|
1,878
|
|
1,877
|
|
||
Additional paid-in-capital
|
3,825,832
|
|
3,508,779
|
|
||
Accumulated other comprehensive income
|
813,118
|
|
718,106
|
|
||
Cumulative earnings
|
2,860,244
|
|
2,443,184
|
|
||
Cumulative distributions to stockholders
|
(3,854,829
|
)
|
(3,548,471
|
)
|
||
Total stockholders' equity
|
$
|
3,646,431
|
|
$
|
3,123,533
|
|
Total liabilities and stockholders' equity
|
$
|
21,187,384
|
|
$
|
16,684,908
|
|
Net Income
|
|||||||||||||
(dollars in thousands, except share and per share data)
|
|||||||||||||
(unaudited)
|
|||||||||||||
|
For the Quarters Ended
|
|
For the Nine Months Ended
|
||||||||||
|
September 30, 2017
|
September 30, 2016
|
|
September 30, 2017
|
September 30, 2016
|
||||||||
Net interest income:
|
|
|
|
|
|
||||||||
Interest income
(1)
|
$
|
296,813
|
|
$
|
250,953
|
|
|
$
|
836,801
|
|
$
|
673,246
|
|
Interest expense
(2)
|
140,358
|
|
94,911
|
|
|
388,544
|
|
241,120
|
|
||||
Net interest income
|
156,455
|
|
156,042
|
|
|
448,257
|
|
432,126
|
|
||||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
(784
|
)
|
(993
|
)
|
|
(4,245
|
)
|
(8,555
|
)
|
||||
Portion of loss recognized in other comprehensive income
|
(10,684
|
)
|
(10,581
|
)
|
|
(39,431
|
)
|
(34,652
|
)
|
||||
Net other-than-temporary credit impairment losses
|
(11,468
|
)
|
(11,574
|
)
|
|
(43,676
|
)
|
(43,207
|
)
|
||||
Other investment gains (losses):
|
|
|
|
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
9,204
|
|
27,628
|
|
|
19,902
|
|
(51,382
|
)
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
—
|
|
—
|
|
|
(16,143
|
)
|
(60,616
|
)
|
||||
Net realized gains (losses) on derivatives
|
(7,841
|
)
|
(14,268
|
)
|
|
(28,680
|
)
|
(58,934
|
)
|
||||
Net gains (losses) on derivatives
|
1,363
|
|
13,360
|
|
|
(24,921
|
)
|
(170,932
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
19,042
|
|
32,999
|
|
|
159,047
|
|
80,217
|
|
||||
Net realized gains (losses) on sales of investments
|
1
|
|
3,079
|
|
|
9,709
|
|
7,035
|
|
||||
Gains (losses) on extinguishment of debt
|
(1
|
)
|
(45
|
)
|
|
(48,016
|
)
|
(1,811
|
)
|
||||
Total other gains (losses)
|
20,405
|
|
49,393
|
|
|
95,819
|
|
(85,491
|
)
|
||||
Other income:
|
|
|
|
|
|
|
|
|
|
||||
Other income
|
—
|
|
—
|
|
|
—
|
|
95,000
|
|
||||
Total other income
|
—
|
|
—
|
|
|
—
|
|
95,000
|
|
||||
Other expenses:
|
|
|
|
|
|
|
|
|
|
||||
Compensation and benefits
|
7,533
|
|
6,911
|
|
|
22,759
|
|
19,087
|
|
||||
General and administrative expenses
|
4,537
|
|
4,332
|
|
|
13,162
|
|
13,073
|
|
||||
Servicing fees
|
10,715
|
|
9,788
|
|
|
31,193
|
|
23,139
|
|
||||
Deal expenses
|
3,357
|
|
—
|
|
|
16,054
|
|
13,022
|
|
||||
Total other expenses
|
26,142
|
|
21,031
|
|
|
83,168
|
|
68,321
|
|
||||
Income (loss) before income taxes
|
139,250
|
|
172,830
|
|
|
417,232
|
|
330,107
|
|
||||
Income taxes
|
18
|
|
13
|
|
|
172
|
|
65
|
|
||||
Net income (loss)
|
$
|
139,232
|
|
$
|
172,817
|
|
|
$
|
417,060
|
|
$
|
330,042
|
|
|
|
|
|
|
|
|
|
|
|
||||
Dividend on preferred stock
|
9,400
|
|
—
|
|
|
24,083
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
129,832
|
|
$
|
172,817
|
|
|
$
|
392,977
|
|
$
|
330,042
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|
|
|
||||
Basic
|
$
|
0.69
|
|
$
|
0.92
|
|
|
$
|
2.09
|
|
$
|
1.76
|
|
Diluted
|
$
|
0.69
|
|
$
|
0.92
|
|
|
$
|
2.09
|
|
$
|
1.76
|
|
|
|
|
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
|
||||
Basic
|
187,779,794
|
|
187,729,765
|
|
|
187,773,715
|
|
187,727,667
|
|
||||
Diluted
|
188,192,111
|
|
187,919,792
|
|
|
188,176,757
|
|
187,917,694
|
|
||||
|
|
|
|
|
|
||||||||
Dividends declared per share of common stock
|
$
|
0.50
|
|
$
|
0.48
|
|
|
$
|
1.50
|
|
$
|
1.94
|
|
|
|
|
|
|
|
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, 2017
|
September 30, 2016
|
September 30, 2017
|
September 30, 2016
|
||||||||
Comprehensive income (loss):
|
|
|
|
|
||||||||
Net income (loss)
|
$
|
139,232
|
|
$
|
172,817
|
|
$
|
417,060
|
|
$
|
330,042
|
|
Other comprehensive income:
|
|
|
|
|
||||||||
Unrealized gains (losses) on available-for-sale securities, net
|
21,370
|
|
(18,364
|
)
|
59,114
|
|
94,059
|
|
||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
11,468
|
|
11,574
|
|
43,676
|
|
43,207
|
|
||||
Reclassification adjustment for net realized losses (gains) included in net income
|
(1
|
)
|
(2,680
|
)
|
(7,778
|
)
|
(13,354
|
)
|
||||
Other comprehensive income (loss)
|
32,837
|
|
(9,470
|
)
|
95,012
|
|
123,912
|
|
||||
Comprehensive income (loss) before preferred stock dividends
|
$
|
172,069
|
|
$
|
163,347
|
|
$
|
512,072
|
|
$
|
453,954
|
|
Dividends on preferred stock
|
$
|
9,400
|
|
$
|
—
|
|
$
|
24,083
|
|
$
|
—
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
162,669
|
|
$
|
163,347
|
|
$
|
487,989
|
|
$
|
453,954
|
|
|
September 30, 2017
|
December 31, 2016
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
—
|
|
$
|
—
|
|
1 to 29 days
|
3,777,160
|
|
2,947,604
|
|
||
30 to 59 days
|
1,591,370
|
|
958,956
|
|
||
60 to 89 days
|
330,186
|
|
407,625
|
|
||
90 to 119 days
|
28,798
|
|
559,533
|
|
||
Greater than or equal to 120 days
|
982,307
|
|
727,185
|
|
||
Total
|
$
|
6,709,821
|
|
$
|
5,600,903
|
|
|
For the Quarter Ended
|
For the Year Ended
|
||||
|
September 30, 2017
|
December 31, 2016
|
||||
Interest earning assets at period-end
(1)
|
$
|
20,843,272
|
|
$
|
16,251,470
|
|
Interest bearing liabilities at period-end
|
$
|
16,625,996
|
|
$
|
12,876,124
|
|
GAAP Leverage at period-end
|
4.6:1
|
|
4.1:1
|
|
||
GAAP Leverage at period-end (recourse)
|
1.8:1
|
|
1.8:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
6.2
|
%
|
9.0
|
%
|
||
Senior
|
2.9
|
%
|
3.9
|
%
|
||
Senior, interest only
|
1.4
|
%
|
1.9
|
%
|
||
Subordinated
|
1.8
|
%
|
3.1
|
%
|
||
Subordinated, interest only
|
0.1
|
%
|
0.1
|
%
|
||
RMBS transferred to consolidated VIEs
|
4.9
|
%
|
7.6
|
%
|
||
Agency MBS
|
22.2
|
%
|
27.7
|
%
|
||
Residential
|
12.4
|
%
|
17.8
|
%
|
||
Commercial
|
9.2
|
%
|
8.9
|
%
|
||
Interest-only
|
0.6
|
%
|
1.0
|
%
|
||
Loans held for investment
|
66.7
|
%
|
55.7
|
%
|
||
Fixed-rate percentage of portfolio
|
92.0
|
%
|
88.4
|
%
|
||
Adjustable-rate percentage of portfolio
|
8.0
|
%
|
11.6
|
%
|
||
Annualized yield on average interest earning assets for the periods ended
|
6.3
|
%
|
6.4
|
%
|
||
Annualized cost of funds on average borrowed funds for the periods ended
(2)
|
3.6
|
%
|
3.0
|
%
|
|
GAAP
Interest Income |
|
GAAP
Interest Expense |
Net Realized
Losses on Interest Rate Swaps |
Economic Interest
Expense |
|
GAAP Net Interest
Income |
Net Realized
Losses on Interest Rate Swaps |
Other
(1)
|
Economic
Net Interest Income |
||||||||||||||||
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 June 30, 2017
|
$
|
288,644
|
|
|
$
|
137,955
|
|
$
|
3,486
|
|
$
|
141,441
|
|
|
$
|
150,689
|
|
$
|
(3,486
|
)
|
$
|
(350
|
)
|
$
|
146,853
|
|
For the Quarter Ended March 31, 2017
|
$
|
251,344
|
|
|
$
|
110,231
|
|
$
|
4,106
|
|
$
|
114,337
|
|
|
$
|
141,113
|
|
$
|
(4,106
|
)
|
$
|
(519
|
)
|
$
|
136,488
|
|
For the Quarter Ended December 31, 2016
|
$
|
260,823
|
|
|
$
|
106,737
|
|
$
|
4,151
|
|
$
|
110,888
|
|
|
$
|
154,086
|
|
$
|
(4,151
|
)
|
$
|
40
|
|
$
|
149,975
|
|
For the Quarter Ended September 30, 2016
|
$
|
250,953
|
|
|
$
|
94,911
|
|
$
|
4,595
|
|
$
|
99,506
|
|
|
$
|
156,042
|
|
$
|
(4,595
|
)
|
$
|
(105
|
)
|
$
|
151,342
|
|
|
For the Quarters Ended
|
||||||||||||||||
|
September 30, 2017
|
|
September 30, 2016
|
||||||||||||||
|
(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
|
$
|
3,733,640
|
|
$
|
24,236
|
|
2.6
|
%
|
|
$
|
3,735,142
|
|
$
|
29,482
|
|
3.2
|
%
|
Non-Agency RMBS
|
1,258,634
|
|
28,590
|
|
9.1
|
%
|
|
1,404,995
|
|
25,879
|
|
7.4
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
1,000,912
|
|
56,388
|
|
22.5
|
%
|
|
1,267,633
|
|
61,272
|
|
19.3
|
%
|
||||
Residential mortgage loans held for investment
|
12,959,595
|
|
187,432
|
|
5.8
|
%
|
|
8,974,781
|
|
134,215
|
|
6.0
|
%
|
||||
Total
|
$
|
18,952,781
|
|
$
|
296,646
|
|
6.3
|
%
|
|
$
|
15,382,551
|
|
$
|
250,848
|
|
6.5
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency MBS
(2)
|
$
|
3,114,689
|
|
$
|
14,211
|
|
1.8
|
%
|
|
$
|
3,407,242
|
|
$
|
11,606
|
|
1.4
|
%
|
Non-Agency RMBS
|
706,941
|
|
5,257
|
|
3.0
|
%
|
|
831,412
|
|
5,700
|
|
2.7
|
%
|
||||
Re-Remic repurchase agreements
|
443,029
|
|
3,679
|
|
3.3
|
%
|
|
660,303
|
|
4,901
|
|
3.0
|
%
|
||||
RMBS from loan securitizations
|
2,285,232
|
|
18,843
|
|
3.3
|
%
|
|
970,425
|
|
6,584
|
|
2.7
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
248,989
|
|
4,416
|
|
7.1
|
%
|
|
402,657
|
|
5,182
|
|
5.1
|
%
|
||||
Securitized debt, collateralized by loans
|
9,399,125
|
|
97,441
|
|
4.1
|
%
|
|
7,313,626
|
|
65,533
|
|
3.6
|
%
|
||||
Total
|
$
|
16,198,005
|
|
$
|
143,847
|
|
3.6
|
%
|
|
$
|
13,585,665
|
|
$
|
99,506
|
|
2.9
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
152,799
|
|
2.7
|
%
|
|
|
|
$
|
151,342
|
|
3.6
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,754,776
|
|
|
|
3.2
|
%
|
|
$
|
1,796,886
|
|
|
|
3.9
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.17
|
|
|
|
|
|
|
1.13
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(2) Interest includes cash paid on swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|