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)
|
•
|
4TH QUARTER GAAP NET INCOME OF $0.60 PER COMMON SHARE
|
•
|
4TH QUARTER CORE EARNINGS(1) OF $0.64 PER COMMON SHARE WHICH INCLUDES $0.07 CENTS OF INCOME FROM SECURITIES THAT HAVE BEEN CALLED
|
•
|
FULL YEAR GAAP EARNINGS OF $1.82 PER COMMON SHARE
|
•
|
FULL YEAR CORE EARNINGS OF $2.25 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)
|
||||||
|
December 31, 2019
|
December 31, 2018
|
||||
Cash and cash equivalents
|
$
|
109,878
|
|
$
|
47,486
|
|
Non-Agency RMBS, at fair value
|
2,614,408
|
|
2,486,130
|
|
||
Agency RMBS, at fair value
|
6,490,293
|
|
9,240,057
|
|
||
Agency CMBS, at fair value
|
2,850,717
|
|
2,948,893
|
|
||
Loans held for investment, at fair value
|
14,292,815
|
|
12,572,581
|
|
||
Receivable for investments sold
|
446,225
|
|
—
|
|
||
Accrued interest receivable
|
116,423
|
|
123,442
|
|
||
Other assets
|
194,301
|
|
252,582
|
|
||
Derivatives, at fair value, net
|
3,611
|
|
37,468
|
|
||
Total assets (1)
|
$
|
27,118,671
|
|
$
|
27,708,639
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($15.4 billion and $15.8 billion pledged as collateral, respectively)
|
$
|
13,427,545
|
|
$
|
14,030,465
|
|
Securitized debt, collateralized by Non-Agency RMBS ($598 million and $1.0 billion pledged as collateral, respectively)
|
133,557
|
|
159,955
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($12.1 billion and $12.3 billion pledged as collateral, respectively)
|
8,179,608
|
|
8,455,376
|
|
||
Payable for investments purchased
|
1,256,337
|
|
1,136,157
|
|
||
Accrued interest payable
|
63,600
|
|
110,402
|
|
||
Dividends payable
|
98,568
|
|
95,986
|
|
||
Accounts payable and other liabilities
|
6,163
|
|
16,469
|
|
||
Total liabilities (1)
|
$
|
23,165,378
|
|
$
|
24,004,810
|
|
|
|
|
|
|
||
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, 187,226,081 and 187,052,398 shares issued and outstanding, respectively
|
1,873
|
|
1,871
|
|
||
Additional paid-in-capital
|
4,275,963
|
|
4,072,093
|
|
||
Accumulated other comprehensive income
|
708,336
|
|
626,832
|
|
||
Cumulative earnings
|
3,793,040
|
|
3,379,489
|
|
||
Cumulative distributions to stockholders
|
(4,826,291
|
)
|
(4,376,748
|
)
|
||
Total stockholders' equity
|
$
|
3,953,293
|
|
$
|
3,703,829
|
|
Total liabilities and stockholders' equity
|
$
|
27,118,671
|
|
$
|
27,708,639
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
|||||||||
(dollars in thousands, except share and per share data)
|
|||||||||
(Unaudited)
|
|||||||||
|
For the Year Ended
|
||||||||
|
December 31, 2019
|
December 31, 2018
|
December 31, 2017
|
||||||
Net interest income:
|
|
|
|
||||||
Interest income (1)
|
$
|
1,361,110
|
|
$
|
1,273,316
|
|
$
|
1,138,758
|
|
Interest expense (2)
|
758,814
|
|
679,108
|
|
532,748
|
|
|||
Net interest income
|
602,296
|
|
594,208
|
|
606,010
|
|
|||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|||
Total other-than-temporary impairment losses
|
(801
|
)
|
(2,556
|
)
|
(5,169
|
)
|
|||
Portion of loss recognized in other comprehensive income
|
(4,052
|
)
|
(19,235
|
)
|
(56,687
|
)
|
|||
Net other-than-temporary credit impairment losses
|
(4,853
|
)
|
(21,791
|
)
|
(61,856
|
)
|
|||
Other investment gains (losses):
|
|
|
|
|
|
|
|||
Net unrealized gains (losses) on derivatives
|
(106,209
|
)
|
(141,162
|
)
|
47,976
|
|
|||
Realized gains (losses) on terminations of interest rate swaps
|
(359,726
|
)
|
—
|
|
(16,143
|
)
|
|||
Net realized gains (losses) on derivatives
|
(34,423
|
)
|
18,369
|
|
(25,645
|
)
|
|||
Net gains (losses) on derivatives
|
(500,358
|
)
|
(122,793
|
)
|
6,188
|
|
|||
Net unrealized gains (losses) on financial instruments at fair value
|
409,634
|
|
46,632
|
|
111,410
|
|
|||
Net realized gains (losses) on sales of investments
|
20,360
|
|
(2,743
|
)
|
9,123
|
|
|||
Gains (losses) on extinguishment of debt
|
9,318
|
|
26,376
|
|
(35,274
|
)
|
|||
Total other gains (losses)
|
(61,046
|
)
|
(52,528
|
)
|
91,447
|
|
|||
|
|
|
|
|
|
|
|||
Other expenses:
|
|
|
|
|
|
||||
Compensation and benefits
|
48,880
|
|
35,114
|
|
30,212
|
|
|||
General and administrative expenses
|
26,555
|
|
22,664
|
|
17,650
|
|
|||
Servicing fees
|
36,290
|
|
40,773
|
|
41,690
|
|
|||
Transaction expenses
|
10,928
|
|
9,610
|
|
21,273
|
|
|||
Total other expenses
|
122,653
|
|
108,161
|
|
110,825
|
|
|||
Income (loss) before income taxes
|
413,744
|
|
411,728
|
|
524,776
|
|
|||
Income taxes
|
193
|
|
91
|
|
108
|
|
|||
Net income (loss)
|
$
|
413,551
|
|
$
|
411,637
|
|
$
|
524,668
|
|
|
|
|
|
|
|
||||
Dividends on preferred stock
|
72,704
|
|
43,197
|
|
33,484
|
|
|||
|
|
|
|
|
|
|
|||
Net income (loss) available to common shareholders
|
$
|
340,847
|
|
$
|
368,440
|
|
$
|
491,184
|
|
|
|
|
|
|
|
|
|||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|||
Basic
|
$
|
1.82
|
|
$
|
1.97
|
|
$
|
2.62
|
|
Diluted
|
$
|
1.81
|
|
$
|
1.96
|
|
$
|
2.61
|
|
|
|
|
|
|
|
|
|||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|||
Basic
|
187,156,990
|
|
187,146,170
|
|
187,780,355
|
|
|||
Diluted
|
188,406,444
|
|
187,748,862
|
|
188,287,320
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
|||||||||
(dollars in thousands, except share and per share data)
|
|||||||||
(Unaudited)
|
|||||||||
|
|
|
|
||||||
|
For the Year Ended
|
||||||||
|
December 31, 2019
|
December 31, 2018
|
December 31, 2017
|
||||||
Comprehensive income (loss):
|
|
|
|
||||||
Net income (loss)
|
$
|
413,551
|
|
$
|
411,637
|
|
$
|
524,668
|
|
Other comprehensive income:
|
|
|
|
||||||
Unrealized gains (losses) on available-for-sale securities, net
|
70,855
|
|
(185,570
|
)
|
24,218
|
|
|||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
4,853
|
|
21,791
|
|
61,856
|
|
|||
Reclassification adjustment for net realized losses (gains) included in net income
|
5,796
|
|
(6,291
|
)
|
(7,278
|
)
|
|||
Other comprehensive income (loss)
|
81,504
|
|
(170,070
|
)
|
78,796
|
|
|||
Comprehensive income (loss) before preferred stock dividends
|
$
|
495,055
|
|
$
|
241,567
|
|
$
|
603,464
|
|
Dividends on preferred stock
|
$
|
72,704
|
|
$
|
43,197
|
|
$
|
33,484
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
422,351
|
|
$
|
198,370
|
|
$
|
569,980
|
|
|
December 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
|
$
|
2,024,564
|
|
$
|
52.98
|
|
84.01
|
|
5.0
|
%
|
20.8
|
%
|
Subordinated
|
876,592
|
|
63.15
|
|
71.25
|
|
3.7
|
%
|
6.9
|
%
|
||
Interest-only
|
7,458,653
|
|
4.04
|
|
3.87
|
|
1.1
|
%
|
8.4
|
%
|
||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
||
Pass-through
|
6,080,547
|
|
102.15
|
|
104.64
|
|
4.0
|
%
|
3.4
|
%
|
||
Interest-only
|
1,539,941
|
|
9.06
|
|
8.29
|
|
1.6
|
%
|
4.0
|
%
|
||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
||
Project loans
|
2,621,938
|
|
101.82
|
|
106.86
|
|
3.7
|
%
|
3.6
|
%
|
||
Interest-only
|
1,817,246
|
|
2.81
|
|
2.70
|
|
0.7
|
%
|
4.7
|
%
|
|
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
|
%
|
Subordinated
|
394,037
|
|
56.60
|
|
70.16
|
|
4.0
|
%
|
9.9
|
%
|
|||
Interest-only
|
5,888,747
|
|
5.04
|
|
4.53
|
|
1.2
|
%
|
8.7
|
%
|
|||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|||
Pass-through
|
8,984,249
|
|
102.47
|
|
102.12
|
|
4.0
|
%
|
3.6
|
%
|
|||
Interest-only
|
578,284
|
|
11.10
|
|
11.36
|
|
1.5
|
%
|
5.5
|
%
|
|||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|||
Project loans
|
2,895,679
|
|
101.98
|
|
99.50
|
|
3.6
|
%
|
3.4
|
%
|
|||
Interest-only
|
2,450,288
|
|
2.93
|
|
2.76
|
|
0.6
|
%
|
3.2
|
%
|
|
December 31, 2019
|
December 31, 2018
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
—
|
|
$
|
—
|
|
1 to 29 days
|
9,709,387
|
|
6,326,232
|
|
||
30 to 59 days
|
800,648
|
|
4,620,656
|
|
||
60 to 89 days
|
608,520
|
|
1,504,695
|
|
||
90 to 119 days
|
—
|
|
169,244
|
|
||
Greater than or equal to 120 days
|
2,308,990
|
|
1,409,638
|
|
||
Total
|
$
|
13,427,545
|
|
$
|
14,030,465
|
|
|
December 31, 2019
|
December 31, 2018
|
||||
Interest earning assets at period-end (1)
|
$
|
26,248,233
|
|
$
|
27,247,661
|
|
Interest bearing liabilities at period-end
|
$
|
21,740,710
|
|
$
|
22,645,796
|
|
GAAP Leverage at period-end
|
5.5:1
|
|
6.1:1
|
|
||
GAAP Leverage at period-end (recourse)
|
3.4:1
|
|
3.8:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
7.9
|
%
|
6.8
|
%
|
||
Senior
|
4.5
|
%
|
4.9
|
%
|
||
Subordinated
|
2.2
|
%
|
0.8
|
%
|
||
Interest-only
|
1.2
|
%
|
1.1
|
%
|
||
Agency RMBS
|
25.7
|
%
|
35.2
|
%
|
||
Pass-through
|
25.1
|
%
|
35.0
|
%
|
||
Interest-only
|
0.6
|
%
|
0.2
|
%
|
||
Agency CMBS
|
11.0
|
%
|
11.5
|
%
|
||
Project loans
|
10.8
|
%
|
11.2
|
%
|
||
Interest-only
|
0.2
|
%
|
0.3
|
%
|
||
Loans held for investment
|
55.4
|
%
|
46.5
|
%
|
||
Fixed-rate percentage of portfolio
|
95.9
|
%
|
95.8
|
%
|
||
Adjustable-rate percentage of portfolio
|
4.1
|
%
|
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 Year Ended December 31, 2019
|
$
|
1,361,110
|
|
|
$
|
758,814
|
|
$
|
(3,012
|
)
|
$
|
755,802
|
|
|
$
|
602,296
|
|
$
|
3,012
|
|
$
|
(7,938
|
)
|
$
|
597,370
|
|
For the Year Ended December 31, 2018
|
$
|
1,273,316
|
|
|
$
|
679,108
|
|
$
|
1,488
|
|
$
|
680,596
|
|
|
$
|
594,208
|
|
$
|
(1,488
|
)
|
$
|
760
|
|
$
|
593,480
|
|
For the Year Ended December 31, 2017
|
$
|
1,138,758
|
|
|
$
|
532,748
|
|
$
|
15,450
|
|
$
|
548,198
|
|
|
$
|
606,010
|
|
$
|
(15,450
|
)
|
$
|
(1,097
|
)
|
$
|
589,463
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
For the Quarter Ended December 31, 2019
|
$
|
340,662
|
|
|
$
|
169,203
|
|
$
|
5,409
|
|
$
|
174,612
|
|
|
$
|
171,459
|
|
$
|
(5,409
|
)
|
$
|
(1,664
|
)
|
$
|
164,386
|
|
For the Quarter Ended September 30, 2019
|
$
|
330,144
|
|
|
$
|
188,551
|
|
$
|
963
|
|
$
|
189,514
|
|
|
$
|
141,593
|
|
$
|
(963
|
)
|
$
|
(2,465
|
)
|
$
|
138,165
|
|
For the Quarter Ended June 30, 2019
|
$
|
339,914
|
|
|
$
|
198,110
|
|
$
|
(3,923
|
)
|
$
|
194,187
|
|
|
$
|
141,804
|
|
$
|
3,923
|
|
$
|
(2,237
|
)
|
$
|
143,490
|
|
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, 2019
|
|
December 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 RMBS
|
$
|
7,417,646
|
|
$
|
63,108
|
|
3.4
|
%
|
|
$
|
8,753,062
|
|
$
|
80,131
|
|
3.7
|
%
|
Agency CMBS
|
2,298,601
|
|
24,856
|
|
4.3
|
%
|
|
1,824,176
|
|
15,810
|
|
3.5
|
%
|
||||
Non-Agency RMBS
|
1,976,632
|
|
81,429
|
|
16.5
|
%
|
|
1,808,020
|
|
72,628
|
|
16.1
|
%
|
||||
Loans held for investment
|
12,851,351
|
|
169,605
|
|
5.3
|
%
|
|
12,228,206
|
|
179,323
|
|
5.9
|
%
|
||||
Total
|
$
|
24,544,230
|
|
$
|
338,998
|
|
5.5
|
%
|
|
$
|
24,613,464
|
|
$
|
347,892
|
|
5.7
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency RMBS
|
$
|
7,015,513
|
|
$
|
37,949
|
|
2.2
|
%
|
|
$
|
7,989,603
|
|
$
|
52,942
|
|
2.7
|
%
|
Agency CMBS
|
2,272,069
|
|
14,819
|
|
2.6
|
%
|
|
1,545,695
|
|
9,845
|
|
2.5
|
%
|
||||
Non-Agency RMBS
|
1,404,981
|
|
11,466
|
|
3.3
|
%
|
|
1,111,030
|
|
11,540
|
|
4.2
|
%
|
||||
Loans held for investment
|
3,786,840
|
|
33,781
|
|
3.6
|
%
|
|
2,435,931
|
|
23,445
|
|
3.8
|
%
|
||||
Securitized debt
|
7,758,406
|
|
76,597
|
|
3.9
|
%
|
|
8,695,152
|
|
96,511
|
|
4.4
|
%
|
||||
Total
|
$
|
22,237,809
|
|
$
|
174,612
|
|
3.1
|
%
|
|
$
|
21,777,411
|
|
$
|
194,283
|
|
3.6
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
164,386
|
|
2.4
|
%
|
|
|
|
$
|
153,609
|
|
2.1
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,306,421
|
|
|
|
2.7
|
%
|
|
$
|
2,836,053
|
|
|
|
2.5
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.10
|
|
|
|
|
|
|
1.13
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(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 Year Ended December 31, 2019
|
10.56
|
%
|
15.26
|
%
|
13.93
|
%
|
For the Year Ended December 31, 2018
|
11.08
|
%
|
15.98
|
%
|
14.31
|
%
|
For the Year Ended December 31, 2017
|
15.00
|
%
|
16.85
|
%
|
14.91
|
%
|
|
|
|
|
|
|
|
For the Quarter Ended December 31, 2019
|
13.12
|
%
|
16.55
|
%
|
15.78
|
%
|
For the Quarter Ended September 30, 2019
|
10.68
|
%
|
13.88
|
%
|
12.37
|
%
|
For the Quarter Ended June 30, 2019
|
5.93
|
%
|
14.49
|
%
|
13.10
|
%
|
For the Quarter Ended March 31, 2019
|
12.34
|
%
|
15.81
|
%
|
14.37
|
%
|
|
For the Quarters Ended
|
||||||||||||||
Accretable Discount (Net of Premiums)
|
December 31, 2019
|
|
September 30, 2019
|
|
June 30, 2019
|
|
March 31, 2019
|
|
December 31, 2018
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
494,780
|
|
$
|
514,095
|
|
$
|
485,040
|
|
$
|
505,763
|
|
$
|
539,020
|
|
Accretion of discount
|
(44,342
|
)
|
(33,256
|
)
|
(35,964
|
)
|
(35,551
|
)
|
(36,287
|
)
|
|||||
Purchases
|
(12,541
|
)
|
(13,772
|
)
|
48,736
|
|
6,638
|
|
4,589
|
|
|||||
Sales and deconsolidation
|
(786
|
)
|
1,536
|
|
409
|
|
127
|
|
(625
|
)
|
|||||
Transfers from/(to) credit reserve, net
|
57,144
|
|
26,177
|
|
15,874
|
|
8,063
|
|
(934
|
)
|
|||||
Balance, end of period
|
$
|
494,255
|
|
$
|
494,780
|
|
$
|
514,095
|
|
$
|
485,040
|
|
$
|
505,763
|
|