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
$1.22
PER COMMON SHARE
|
•
|
1
ST
QUARTER CORE EARNINGS
(1)
OF
$0.58
PER COMMON SHARE
|
•
|
GAAP BOOK VALUE OF
$17.12
PER COMMON SHARE
|
•
|
REPURCHASED $15 MILLION OF COMMON STOCK
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
|
March 31, 2018
|
December 31, 2017
|
||||
Assets:
|
|
|
||||
Cash and cash equivalents
|
$
|
100,752
|
|
$
|
63,569
|
|
Non-Agency RMBS, at fair value
|
2,760,711
|
|
2,851,316
|
|
||
Agency MBS, at fair value
|
4,557,799
|
|
4,364,828
|
|
||
Loans held for investment, at fair value
|
13,619,995
|
|
13,678,263
|
|
||
Accrued interest receivable
|
98,669
|
|
100,789
|
|
||
Other assets
|
99,631
|
|
114,391
|
|
||
Derivatives, at fair value, net
|
93,171
|
|
48,914
|
|
||
Total assets
(1)
|
$
|
21,330,728
|
|
$
|
21,222,070
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($8.7 billion and $8.8 billion, pledged as collateral, respectively)
|
$
|
7,202,924
|
|
$
|
7,250,452
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.5 billion and $1.6 billion pledged as collateral, respectively)
|
194,967
|
|
205,780
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($13.2 billion and $13.3 billion pledged as collateral, respectively)
|
9,321,154
|
|
9,388,657
|
|
||
Payable for investments purchased
|
766,250
|
|
567,440
|
|
||
Accrued interest payable
|
69,929
|
|
61,888
|
|
||
Dividends payable
|
95,335
|
|
95,365
|
|
||
Accounts payable and other liabilities
|
9,426
|
|
17,191
|
|
||
Derivatives, at fair value, net
|
—
|
|
320
|
|
||
Total liabilities
(1)
|
$
|
17,659,985
|
|
$
|
17,587,093
|
|
|
|
|
|
|
||
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
|
|
||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 186,969,715 and 187,809,288 shares issued and outstanding, respectively
|
1,870
|
|
1,878
|
|
||
Additional paid-in-capital
|
3,814,391
|
|
3,826,691
|
|
||
Accumulated other comprehensive income
|
709,244
|
|
796,902
|
|
||
Cumulative earnings
|
3,206,859
|
|
2,967,852
|
|
||
Cumulative distributions to stockholders
|
(4,061,809
|
)
|
(3,958,534
|
)
|
||
Total stockholders' equity
|
$
|
3,670,743
|
|
$
|
3,634,977
|
|
Total liabilities and stockholders' equity
|
$
|
21,330,728
|
|
$
|
21,222,070
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
For the Quarters Ended
|
|||||
|
March 31, 2018
|
March 31, 2017
|
||||
Net interest income:
|
|
|
||||
Interest income
(1)
|
$
|
297,132
|
|
$
|
251,344
|
|
Interest expense
(2)
|
149,251
|
|
110,231
|
|
||
Net interest income
|
147,881
|
|
141,113
|
|
||
Other-than-temporary impairments:
|
|
|
|
|
||
Total other-than-temporary impairment losses
|
(294
|
)
|
(2,713
|
)
|
||
Portion of loss recognized in other comprehensive income
|
(864
|
)
|
(15,988
|
)
|
||
Net other-than-temporary credit impairment losses
|
(1,158
|
)
|
(18,701
|
)
|
||
Other investment gains (losses):
|
|
|
|
|
||
Net unrealized gains (losses) on derivatives
|
81,419
|
|
4,896
|
|
||
Net realized gains (losses) on derivatives
|
13,085
|
|
(9,358
|
)
|
||
Net gains (losses) on derivatives
|
94,504
|
|
(4,462
|
)
|
||
Net unrealized gains (losses) on financial instruments at fair value
|
14,466
|
|
72,243
|
|
||
Net realized gains (losses) on sales of investments
|
—
|
|
5,167
|
|
||
Gains (losses) on extinguishment of debt
|
9,670
|
|
—
|
|
||
Total other gains (losses)
|
118,640
|
|
72,948
|
|
||
|
|
|
|
|
||
Other expenses:
|
|
|
|
|
||
Compensation and benefits
|
8,411
|
|
7,556
|
|
||
General and administrative expenses
|
5,489
|
|
4,040
|
|
||
Servicing fees
|
11,334
|
|
9,588
|
|
||
Deal expenses
|
1,088
|
|
11,353
|
|
||
Total other expenses
|
26,322
|
|
32,537
|
|
||
Income (loss) before income taxes
|
239,041
|
|
162,823
|
|
||
Income taxes
|
34
|
|
16
|
|
||
Net income (loss)
|
$
|
239,007
|
|
$
|
162,807
|
|
|
|
|
|
|
||
Dividend on preferred stock
|
9,400
|
|
5,283
|
|
||
|
|
|
|
|
||
Net income (loss) available to common shareholders
|
$
|
229,607
|
|
$
|
157,524
|
|
|
|
|
|
|
||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
||
Basic
|
$
|
1.22
|
|
$
|
0.84
|
|
Diluted
|
$
|
1.22
|
|
$
|
0.84
|
|
|
|
|
|
|
||
Weighted average number of common shares outstanding:
|
|
|
|
|
||
Basic
|
187,553,281
|
|
187,761,748
|
|
||
Diluted
|
188,176,753
|
|
188,195,061
|
|
||
|
|
|
|
|
||
Dividends declared per share of common stock
|
$
|
0.50
|
|
$
|
0.50
|
|
|
|
|
|
|
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, 2018
|
March 31, 2017
|
||||
Comprehensive income (loss):
|
|
|
||||
Net income (loss)
|
$
|
239,007
|
|
$
|
162,807
|
|
Other comprehensive income:
|
|
|
||||
Unrealized gains (losses) on available-for-sale securities, net
|
(88,816
|
)
|
(3,910
|
)
|
||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
1,158
|
|
18,701
|
|
||
Reclassification adjustment for net realized losses (gains) included in net income
|
—
|
|
(5,186
|
)
|
||
Other comprehensive income (loss)
|
(87,658
|
)
|
9,605
|
|
||
Comprehensive income (loss) before preferred stock dividends
|
$
|
151,349
|
|
$
|
172,412
|
|
Dividends on preferred stock
|
$
|
9,400
|
|
$
|
5,283
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
141,949
|
|
$
|
167,129
|
|
|
March 31, 2018
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
—
|
|
$
|
—
|
|
1 to 29 days
|
4,140,691
|
|
4,745,342
|
|
||
30 to 59 days
|
1,538,864
|
|
1,206,769
|
|
||
60 to 89 days
|
685,239
|
|
592,865
|
|
||
90 to 119 days
|
—
|
|
—
|
|
||
Greater than or equal to 120 days
|
838,130
|
|
705,476
|
|
||
Total
|
$
|
7,202,924
|
|
$
|
7,250,452
|
|
|
March 31, 2018
|
December 31, 2017
|
||||
Interest earning assets at period-end
(1)
|
$
|
20,938,505
|
|
$
|
20,894,407
|
|
Interest bearing liabilities at period-end
|
$
|
16,719,045
|
|
$
|
16,844,889
|
|
GAAP Leverage at period-end
|
4.6:1
|
|
4.6:1
|
|
||
GAAP Leverage at period-end (recourse)
|
2.0:1
|
|
2.0:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
5.7
|
%
|
5.9
|
%
|
||
Senior
|
2.7
|
%
|
2.9
|
%
|
||
Senior, interest only
|
1.3
|
%
|
1.3
|
%
|
||
Subordinated
|
1.7
|
%
|
1.7
|
%
|
||
Subordinated, interest only
|
0.0
|
%
|
0.0
|
%
|
||
RMBS transferred to consolidated VIEs
|
4.4
|
%
|
4.6
|
%
|
||
Agency MBS
|
23.5
|
%
|
22.2
|
%
|
||
Residential
|
12.0
|
%
|
11.8
|
%
|
||
Commercial
|
11.0
|
%
|
9.8
|
%
|
||
Interest-only
|
0.5
|
%
|
0.6
|
%
|
||
Loans held for investment
|
66.4
|
%
|
67.3
|
%
|
||
Fixed-rate percentage of portfolio
|
94.0
|
%
|
93.7
|
%
|
||
Adjustable-rate percentage of portfolio
|
6.0
|
%
|
6.3
|
%
|
||
Annualized yield on average interest earning assets for the periods ended
|
6.2
|
%
|
6.3
|
%
|
||
Annualized cost of funds on average borrowed funds for the periods ended
(2)
|
3.7
|
%
|
3.6
|
%
|
|
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 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 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
|
||||||||||||||||
|
March 31, 2018
|
|
March 31, 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
|
$
|
3,880,870
|
|
$
|
33,342
|
|
3.4
|
%
|
|
$
|
3,730,939
|
|
$
|
27,632
|
|
3.0
|
%
|
Non-Agency RMBS
|
1,150,135
|
|
22,004
|
|
7.7
|
%
|
|
1,372,359
|
|
30,205
|
|
8.8
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
896,139
|
|
52,107
|
|
23.3
|
%
|
|
1,141,388
|
|
60,134
|
|
21.1
|
%
|
||||
Residential mortgage loans held for investment
|
13,265,821
|
|
189,822
|
|
5.7
|
%
|
|
9,091,646
|
|
132,854
|
|
5.8
|
%
|
||||
Total
|
$
|
19,192,965
|
|
$
|
297,275
|
|
6.2
|
%
|
|
$
|
15,336,332
|
|
$
|
250,825
|
|
6.5
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency MBS
(2)
|
$
|
3,253,529
|
|
$
|
16,140
|
|
2.0
|
%
|
|
$
|
3,120,531
|
|
$
|
11,473
|
|
1.5
|
%
|
Non-Agency RMBS
|
411,143
|
|
3,025
|
|
2.9
|
%
|
|
745,920
|
|
5,532
|
|
3.0
|
%
|
||||
Re-Remic repurchase agreements
|
828,745
|
|
7,727
|
|
3.7
|
%
|
|
605,366
|
|
4,669
|
|
3.1
|
%
|
||||
RMBS from loan securitizations
|
2,763,631
|
|
25,358
|
|
3.7
|
%
|
|
1,328,324
|
|
9,978
|
|
3.0
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
200,374
|
|
2,825
|
|
5.6
|
%
|
|
318,756
|
|
5,012
|
|
6.3
|
%
|
||||
Securitized debt, collateralized by loans
|
9,185,049
|
|
96,788
|
|
4.2
|
%
|
|
7,121,397
|
|
77,673
|
|
4.4
|
%
|
||||
Total
|
$
|
16,642,471
|
|
$
|
151,863
|
|
3.7
|
%
|
|
$
|
13,240,294
|
|
$
|
114,337
|
|
3.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
145,412
|
|
2.5
|
%
|
|
|
|
$
|
136,488
|
|
3.0
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,550,494
|
|
|
|
3.0
|
%
|
|
$
|
2,096,038
|
|
|
|
3.6
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.15
|
|
|
|
|
|
|
1.16
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(2) Interest includes cash paid on swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Return on Average Equity
|
Economic Net Interest Income/Average Equity *
|
Core Earnings/Average Equity
|
|||
|
(Ratios have been annualized)
|
|||||
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
|
%
|
For the Quarter Ended June 30, 2017
|
12.98
|
%
|
16.57
|
%
|
12.65
|
%
|
For the Quarter Ended March 31, 2017
|
19.63
|
%
|
16.46
|
%
|
11.57
|
%
|
|
For the Quarters Ended
|
||||||||||||||
Accretable Discount (Net of Premiums)
|
March 31, 2018
|
|
December 31, 2017
|
|
September 30, 2017
|
|
June 30, 2017
|
|
March 31, 2017
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
582,193
|
|
$
|
622,982
|
|
$
|
627,724
|
|
$
|
648,659
|
|
$
|
683,648
|
|
Accretion of discount
|
(37,309
|
)
|
(39,640
|
)
|
(43,502
|
)
|
(42,625
|
)
|
(43,715
|
)
|
|||||
Purchases
|
—
|
|
(2,914
|
)
|
1,723
|
|
(108
|
)
|
(3,642
|
)
|
|||||
Sales and deconsolidation
|
174
|
|
—
|
|
5,792
|
|
212
|
|
(7,303
|
)
|
|||||
Transfers from/(to) credit reserve, net
|
10,386
|
|
1,765
|
|
31,245
|
|
21,586
|
|
19,671
|
|
|||||
Balance, end of period
|
$
|
555,444
|
|
$
|
582,193
|
|
$
|
622,982
|
|
$
|
627,724
|
|
$
|
648,659
|
|