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)
|
•
|
2
ND
QUARTER GAAP NET INCOME OF
$0.22
PER COMMON SHARE
|
•
|
2
ND
QUARTER CORE EARNINGS
(1)
OF
$0.53
PER COMMON SHARE
|
•
|
GAAP BOOK VALUE OF
$16.24
PER COMMON SHARE
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
June 30, 2019
|
December 31, 2018
|
||||
Cash and cash equivalents
|
$
|
54,034
|
|
$
|
47,486
|
|
Non-Agency RMBS, at fair value
|
2,699,367
|
|
2,486,130
|
|
||
Agency MBS, at fair value
|
12,154,575
|
|
12,188,950
|
|
||
Loans held for investment, at fair value
|
12,301,263
|
|
12,572,581
|
|
||
Receivable for investments sold
|
75,059
|
|
—
|
|
||
Accrued interest receivable
|
121,393
|
|
123,442
|
|
||
Other assets
|
231,828
|
|
252,582
|
|
||
Derivatives, at fair value, net
|
211
|
|
37,468
|
|
||
Total assets
(1)
|
$
|
27,637,730
|
|
$
|
27,708,639
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($16.4 billion and $15.8 billion pledged as collateral, respectively)
|
$
|
14,514,719
|
|
$
|
14,030,465
|
|
Securitized debt, collateralized by Non-Agency RMBS ($962 million and $1.0 billion pledged as collateral, respectively)
|
145,130
|
|
159,955
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($11.5 billion and $12.3 billion pledged as collateral, respectively)
|
7,881,087
|
|
8,455,376
|
|
||
Payable for investments purchased
|
921,507
|
|
1,136,157
|
|
||
Accrued interest payable
|
84,234
|
|
110,402
|
|
||
Dividends payable
|
97,091
|
|
95,986
|
|
||
Accounts payable and other liabilities
|
25,012
|
|
16,469
|
|
||
Total liabilities
(1)
|
$
|
23,668,780
|
|
$
|
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, 187,157,432 and 187,052,398 shares issued and outstanding, respectively
|
1,872
|
|
1,871
|
|
||
Additional paid-in-capital
|
4,272,001
|
|
4,072,093
|
|
||
Accumulated other comprehensive income
|
739,090
|
|
626,832
|
|
||
Cumulative earnings
|
3,556,396
|
|
3,379,489
|
|
||
Cumulative distributions to stockholders
|
(4,600,781
|
)
|
(4,376,748
|
)
|
||
Total stockholders' equity
|
$
|
3,968,950
|
|
$
|
3,703,829
|
|
Total liabilities and stockholders' equity
|
$
|
27,637,730
|
|
$
|
27,708,639
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||
(Unaudited)
|
||||||||||||
|
For the Quarters Ended
|
For the Six Months Ended
|
||||||||||
|
June 30, 2019
|
June 30, 2018
|
June 30, 2019
|
June 30, 2018
|
||||||||
Net interest income:
|
|
|
|
|
||||||||
Interest income
(1)
|
$
|
339,914
|
|
$
|
306,436
|
|
$
|
690,303
|
|
$
|
603,567
|
|
Interest expense
(2)
|
198,110
|
|
161,266
|
|
401,060
|
|
310,518
|
|
||||
Net interest income
|
141,804
|
|
145,170
|
|
289,243
|
|
293,049
|
|
||||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
—
|
|
(805
|
)
|
(801
|
)
|
(1,099
|
)
|
||||
Portion of loss recognized in other comprehensive income
|
—
|
|
(8,326
|
)
|
(4,052
|
)
|
(9,190
|
)
|
||||
Net other-than-temporary credit impairment losses
|
—
|
|
(9,131
|
)
|
(4,853
|
)
|
(10,289
|
)
|
||||
Other investment gains (losses):
|
|
|
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
(132,171
|
)
|
25,895
|
|
(221,486
|
)
|
107,314
|
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
(95,211
|
)
|
—
|
|
(203,257
|
)
|
—
|
|
||||
Net realized gains (losses) on derivatives
|
(9,697
|
)
|
(1,393
|
)
|
(16,974
|
)
|
11,693
|
|
||||
Net gains (losses) on derivatives
|
(237,079
|
)
|
24,502
|
|
(441,717
|
)
|
119,007
|
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
190,748
|
|
(18,364
|
)
|
391,561
|
|
(3,898
|
)
|
||||
Net realized gains (losses) on sales of investments
|
(7,526
|
)
|
2,167
|
|
1,077
|
|
2,167
|
|
||||
Gains (losses) on extinguishment of debt
|
(608
|
)
|
387
|
|
(608
|
)
|
10,057
|
|
||||
Total other gains (losses)
|
(54,465
|
)
|
8,692
|
|
(49,687
|
)
|
127,333
|
|
||||
|
|
|
|
|
|
|
|
|
||||
Other expenses:
|
|
|
|
|
|
|
|
|||||
Compensation and benefits
|
12,114
|
|
8,689
|
|
26,484
|
|
17,100
|
|
||||
General and administrative expenses
|
7,030
|
|
5,860
|
|
12,914
|
|
11,349
|
|
||||
Servicing fees
|
9,280
|
|
9,943
|
|
18,243
|
|
21,277
|
|
||||
Deal expenses
|
—
|
|
2,095
|
|
—
|
|
3,183
|
|
||||
Total other expenses
|
28,424
|
|
26,587
|
|
57,641
|
|
52,909
|
|
||||
Income (loss) before income taxes
|
58,915
|
|
118,144
|
|
177,062
|
|
357,184
|
|
||||
Income taxes
|
155
|
|
36
|
|
155
|
|
68
|
|
||||
Net income (loss)
|
$
|
58,760
|
|
$
|
118,108
|
|
$
|
176,907
|
|
$
|
357,116
|
|
|
|
|
|
|
|
|
|
|
||||
Dividends on preferred stock
|
18,438
|
|
9,400
|
|
35,829
|
|
18,800
|
|
||||
|
|
|
|
|
|
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
40,322
|
|
$
|
108,708
|
|
$
|
141,078
|
|
$
|
338,316
|
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|
|
||||
Basic
|
$
|
0.22
|
|
$
|
0.58
|
|
$
|
0.75
|
|
$
|
1.81
|
|
Diluted
|
$
|
0.21
|
|
$
|
0.58
|
|
$
|
0.75
|
|
$
|
1.80
|
|
|
|
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
||||
Basic
|
187,153,007
|
|
186,994,743
|
|
187,132,842
|
|
187,272,469
|
|
||||
Diluted
|
188,271,483
|
|
187,422,145
|
|
188,254,266
|
|
187,738,443
|
|
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 Six Months Ended
|
||||||||||
|
June 30, 2019
|
June 30, 2018
|
June 30, 2019
|
June 30, 2018
|
||||||||
Comprehensive income (loss):
|
|
|
|
|
||||||||
Net income (loss)
|
$
|
58,760
|
|
$
|
118,108
|
|
$
|
176,907
|
|
$
|
357,116
|
|
Other comprehensive income:
|
|
|
|
|
||||||||
Unrealized gains (losses) on available-for-sale securities, net
|
58,833
|
|
(42,341
|
)
|
85,218
|
|
(131,157
|
)
|
||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
—
|
|
9,131
|
|
4,853
|
|
10,289
|
|
||||
Reclassification adjustment for net realized losses (gains) included in net income
|
7,269
|
|
(4,383
|
)
|
22,187
|
|
(4,383
|
)
|
||||
Other comprehensive income (loss)
|
66,102
|
|
(37,593
|
)
|
112,258
|
|
(125,251
|
)
|
||||
Comprehensive income (loss) before preferred stock dividends
|
$
|
124,862
|
|
$
|
80,515
|
|
$
|
289,165
|
|
$
|
231,865
|
|
Dividends on preferred stock
|
$
|
18,438
|
|
$
|
9,400
|
|
$
|
35,829
|
|
$
|
18,800
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
106,424
|
|
$
|
71,115
|
|
$
|
253,336
|
|
$
|
213,065
|
|
|
June 30, 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
|
$
|
2,264,168
|
|
$
|
54.25
|
|
$
|
83.00
|
|
5.1
|
%
|
19.4
|
%
|
Senior, interest-only
|
6,649,398
|
|
4.39
|
|
4.45
|
|
1.1
|
%
|
8.3
|
%
|
|||
Subordinated
|
723,303
|
|
61.73
|
|
70.77
|
|
3.6
|
%
|
7.8
|
%
|
|||
Subordinated, interest-only
|
213,940
|
|
4.54
|
|
5.75
|
|
1.2
|
%
|
16.3
|
%
|
|||
Agency MBS
|
|
|
|
|
|
|
|
|
|
|
|||
Residential pass-through
|
8,458,870
|
|
102.29
|
|
103.88
|
|
4.0
|
%
|
3.4
|
%
|
|||
Commercial pass-through
|
3,036,622
|
|
101.92
|
|
105.93
|
|
3.6
|
%
|
3.5
|
%
|
|||
Interest-only
|
2,795,851
|
|
5.49
|
|
5.40
|
|
1.1
|
%
|
5.5
|
%
|
|||
(1) Bond Equivalent Yield at period end.
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
||||||||
|
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
|
%
|
|||
(1) Bond Equivalent Yield at period end.
|
|
|
|
|
|
|
June 30, 2019
|
December 31, 2018
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
42,249
|
|
$
|
—
|
|
1 to 29 days
|
4,981,306
|
|
6,326,232
|
|
||
30 to 59 days
|
6,711,006
|
|
4,620,656
|
|
||
60 to 89 days
|
510,500
|
|
1,504,695
|
|
||
90 to 119 days
|
405,762
|
|
169,244
|
|
||
Greater than or equal to 120 days
|
1,863,896
|
|
1,409,638
|
|
||
Total
|
$
|
14,514,719
|
|
$
|
14,030,465
|
|
|
June 30, 2019
|
December 31, 2018
|
||||
Interest earning assets at period-end
(1)
|
$
|
27,155,205
|
|
$
|
27,247,661
|
|
Interest bearing liabilities at period-end
|
$
|
22,540,936
|
|
$
|
22,645,796
|
|
GAAP Leverage at period-end
|
5.7:1
|
|
6.1:1
|
|
||
GAAP Leverage at period-end (recourse)
|
3.7:1
|
|
3.8:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
5.6
|
%
|
4.7
|
%
|
||
Senior
|
2.8
|
%
|
2.8
|
%
|
||
Senior, interest only
|
1.1
|
%
|
1.1
|
%
|
||
Subordinated
|
1.7
|
%
|
0.8
|
%
|
||
Subordinated, interest only
|
0.0
|
%
|
0.0
|
%
|
||
RMBS transferred to consolidated VIEs
|
2.0
|
%
|
2.1
|
%
|
||
Agency MBS
|
46.4
|
%
|
46.7
|
%
|
||
Residential
|
33.7
|
%
|
35.0
|
%
|
||
Commercial
|
12.1
|
%
|
11.2
|
%
|
||
Interest-only
|
0.6
|
%
|
0.5
|
%
|
||
Loans held for investment
|
46.0
|
%
|
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 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, 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
|
||||||||||||||||
|
June 30, 2019
|
|
June 30, 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
|
$
|
11,004,763
|
|
$
|
93,225
|
|
3.4
|
%
|
|
$
|
5,149,790
|
|
$
|
43,328
|
|
3.4
|
%
|
Non-Agency RMBS
|
1,400,506
|
|
35,701
|
|
10.2
|
%
|
|
1,146,623
|
|
27,133
|
|
9.5
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
517,945
|
|
38,917
|
|
30.1
|
%
|
|
788,432
|
|
49,209
|
|
25.0
|
%
|
||||
Residential mortgage loans held for investment
|
11,906,654
|
|
169,834
|
|
5.7
|
%
|
|
13,041,746
|
|
187,202
|
|
5.7
|
%
|
||||
Total
|
$
|
24,829,868
|
|
$
|
337,677
|
|
5.4
|
%
|
|
$
|
20,126,591
|
|
$
|
306,872
|
|
6.1
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency MBS (2)
|
$
|
10,463,245
|
|
$
|
66,748
|
|
2.6
|
%
|
|
$
|
4,780,044
|
|
$
|
20,661
|
|
1.7
|
%
|
Non-Agency RMBS (2)
|
750,018
|
|
6,968
|
|
3.7
|
%
|
|
371,968
|
|
3,391
|
|
3.6
|
%
|
||||
Re-REMIC repurchase agreements
|
534,978
|
|
6,187
|
|
4.6
|
%
|
|
756,931
|
|
7,780
|
|
4.1
|
%
|
||||
RMBS from loan securitizations
|
2,892,756
|
|
26,755
|
|
3.7
|
%
|
|
2,618,381
|
|
28,681
|
|
4.4
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
149,896
|
|
1,921
|
|
5.1
|
%
|
|
187,355
|
|
2,637
|
|
5.6
|
%
|
||||
Securitized debt, collateralized by loans
|
7,793,608
|
|
85,608
|
|
4.4
|
%
|
|
9,168,464
|
|
96,870
|
|
4.2
|
%
|
||||
Total
|
$
|
22,584,501
|
|
$
|
194,187
|
|
3.4
|
%
|
|
$
|
17,883,143
|
|
$
|
160,020
|
|
3.6
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
143,490
|
|
2.0
|
%
|
|
|
|
$
|
146,852
|
|
2.5
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,245,367
|
|
|
|
2.3
|
%
|
|
$
|
2,243,448
|
|
|
|
2.9
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
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 Quarter Ended June 30, 2019
|
5.93
|
%
|
14.49
|
%
|
13.02
|
%
|
For the Quarter Ended March 31, 2019
|
12.34
|
%
|
15.81
|
%
|
14.16
|
%
|
For the Quarter Ended December 31, 2018
|
(10.80
|
)%
|
16.13
|
%
|
14.20
|
%
|
For the Quarter Ended September 30, 2018
|
16.64
|
%
|
15.61
|
%
|
14.05
|
%
|
For the Quarter Ended June 30, 2018
|
12.91
|
%
|
16.05
|
%
|
13.79
|
%
|
|
For the Quarters Ended
|
||||||||||||||
Accretable Discount (Net of Premiums)
|
June 30, 2019
|
|
March 31, 2019
|
|
December 31, 2018
|
|
September 30, 2018
|
|
June 30, 2018
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
485,040
|
|
$
|
505,763
|
|
$
|
539,020
|
|
$
|
540,269
|
|
$
|
555,444
|
|
Accretion of discount
|
(35,964
|
)
|
(35,551
|
)
|
(36,287
|
)
|
(35,184
|
)
|
(38,110
|
)
|
|||||
Purchases
|
48,736
|
|
6,638
|
|
4,589
|
|
1,966
|
|
3,098
|
|
|||||
Sales and deconsolidation
|
409
|
|
127
|
|
(625
|
)
|
(986
|
)
|
(6,439
|
)
|
|||||
Transfers from/(to) credit reserve, net
|
15,874
|
|
8,063
|
|
(934
|
)
|
32,955
|
|
26,276
|
|
|||||
Balance, end of period
|
$
|
514,095
|
|
$
|
485,040
|
|
$
|
505,763
|
|
$
|
539,020
|
|
$
|
540,269
|
|