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) |
Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||||||
Common Stock, par value $0.01 per share | CIM | New York Stock Exchange | ||||||
8.00% Series A Cumulative Redeemable Preferred Stock | CIM PRA | New York Stock Exchange | ||||||
8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock | CIM PRB | New York Stock Exchange | ||||||
7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock | CIM PRC | New York Stock Exchange | ||||||
8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock | CIM PRD | New York Stock Exchange |
(d) | Exhibits | ||||
99.1 | |||||
99.2 |
CHIMERA INVESTMENT CORPORATION | ||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
(dollars in thousands, except share and per share data) | ||||||||
(Unaudited) | ||||||||
June 30, 2021 | December 31, 2020 | |||||||
Cash and cash equivalents | $ | 346,951 | $ | 269,090 | ||||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $508 thousand and $180 thousand, respectively) | 1,919,668 | 2,150,714 | ||||||
Agency RMBS, at fair value | 76,820 | 90,738 | ||||||
Agency CMBS, at fair value | 1,236,507 | 1,740,368 | ||||||
Loans held for investment, at fair value | 12,150,868 | 13,112,129 | ||||||
Accrued interest receivable | 75,314 | 81,158 | ||||||
Other assets | 53,931 | 78,822 | ||||||
Total assets (1)
|
$ | 15,860,059 | $ | 17,523,019 | ||||
Liabilities: | ||||||||
Secured financing agreements ($4.8 billion and $6.7 billion pledged as collateral, respectively) | $ | 3,554,428 | $ | 4,636,847 | ||||
Securitized debt, collateralized by Non-Agency RMBS ($453 million and $505 million pledged as collateral, respectively) | 99,559 | 113,433 | ||||||
Securitized debt at fair value, collateralized by Loans held for investment ($11.5 billion and $12.4 billion pledged as collateral, respectively) | 8,371,511 | 8,711,677 | ||||||
Long term debt | 20,550 | 51,623 | ||||||
Payable for investments purchased | 58,467 | 106,169 | ||||||
Accrued interest payable | 23,128 | 40,950 | ||||||
Dividends payable | 87,050 | 77,213 | ||||||
Accounts payable and other liabilities | 17,935 | 5,721 | ||||||
Total liabilities (1)
|
$ | 12,232,628 | $ | 13,743,633 | ||||
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 shares issued and outstanding, respectively ($200,000 liquidation preference) | 80 | 80 | ||||||
Common stock: par value $0.01 per share; 500,000,000 shares authorized, 235,557,640 and 230,556,760 shares issued and outstanding, respectively | 2,356 | 2,306 | ||||||
Additional paid-in-capital | 4,352,986 | 4,538,029 | ||||||
Accumulated other comprehensive income | 456,113 | 558,096 | ||||||
Cumulative earnings | 4,202,806 | 3,881,894 | ||||||
Cumulative distributions to stockholders | (5,387,202) | (5,201,311) | ||||||
Total stockholders' equity | $ | 3,627,431 | $ | 3,779,386 | ||||
Total liabilities and stockholders' equity | $ | 15,860,059 | $ | 17,523,019 |
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, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | ||||||||||||||||||||
Net interest income: | |||||||||||||||||||||||
Interest income (1)
|
$ | 252,677 | $ | 245,922 | $ | 495,805 | $ | 546,189 | |||||||||||||||
Interest expense (2)
|
80,610 | 129,256 | 188,677 | 271,339 | |||||||||||||||||||
Net interest income | 172,067 | 116,666 | 307,128 | 274,850 | |||||||||||||||||||
Increase/(decrease) in provision for credit losses | 453 | (4,497) | 327 | 1,817 | |||||||||||||||||||
Other investment gains (losses): | |||||||||||||||||||||||
Net unrealized gains (losses) on derivatives | — | — | — | 201,000 | |||||||||||||||||||
Realized gains (losses) on terminations of interest rate swaps | — | — | — | (463,966) | |||||||||||||||||||
Net realized gains (losses) on derivatives | — | — | — | (41,086) | |||||||||||||||||||
Net gains (losses) on derivatives | — | — | — | (304,052) | |||||||||||||||||||
Net unrealized gains (losses) on financial instruments at fair value | 36,108 | (171,921) | 306,120 | (432,809) | |||||||||||||||||||
Net realized gains (losses) on sales of investments | 7,517 | 26,380 | 45,313 | 102,234 | |||||||||||||||||||
Gains (losses) on extinguishment of debt | (21,777) | 459 | (258,914) | 459 | |||||||||||||||||||
Total other gains (losses) | 21,848 | (145,082) | 92,519 | (634,168) | |||||||||||||||||||
Other expenses: | |||||||||||||||||||||||
Compensation and benefits | 9,230 | 10,255 | 22,669 | 23,190 | |||||||||||||||||||
General and administrative expenses | 6,173 | 5,963 | 11,371 | 11,100 | |||||||||||||||||||
Servicing and asset manager fees | 9,081 | 10,072 | 18,362 | 20,601 | |||||||||||||||||||
Transaction expenses | 5,745 | 4,710 | 22,182 | 9,616 | |||||||||||||||||||
Total other expenses | 30,229 | 31,000 | 74,584 | 64,507 | |||||||||||||||||||
Income (loss) before income taxes | 163,233 | (54,919) | 324,736 | (425,642) | |||||||||||||||||||
Income tax expense (benefit) | (88) | 36 | 3,824 | 68 | |||||||||||||||||||
Net income (loss) | $ | 163,321 | $ | (54,955) | $ | 320,912 | $ | (425,710) | |||||||||||||||
Dividends on preferred stock | 18,438 | 18,438 | 36,875 | 36,875 | |||||||||||||||||||
Net income (loss) available to common shareholders | $ | 144,883 | $ | (73,393) | $ | 284,037 | $ | (462,585) | |||||||||||||||
Net income (loss) per share available to common shareholders: | |||||||||||||||||||||||
Basic | $ | 0.63 | $ | (0.37) | $ | 1.23 | $ | (2.39) | |||||||||||||||
Diluted | $ | 0.60 | $ | (0.37) | $ | 1.14 | $ | (2.39) | |||||||||||||||
Weighted average number of common shares outstanding: | |||||||||||||||||||||||
Basic | 231,638,042 | 199,282,790 | 231,105,595 | 193,150,696 | |||||||||||||||||||
Diluted | 241,739,536 | 199,282,790 | 251,723,940 | 193,150,696 | |||||||||||||||||||
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, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | ||||||||||||||
Comprehensive income (loss): | |||||||||||||||||
Net income (loss) | $ | 163,321 | $ | (54,955) | $ | 320,912 | $ | (425,710) | |||||||||
Other comprehensive income: | |||||||||||||||||
Unrealized gains (losses) on available-for-sale securities, net | (26,215) | 61,399 | (64,867) | (137,805) | |||||||||||||
Reclassification adjustment for net realized losses (gains) included in net income | (11,323) | (26,380) | (37,116) | (33,021) | |||||||||||||
Other comprehensive income (loss) | (37,538) | 35,019 | (101,983) | (170,826) | |||||||||||||
Comprehensive income (loss) before preferred stock dividends | $ | 125,783 | $ | (19,936) | $ | 218,929 | $ | (596,536) | |||||||||
Dividends on preferred stock | $ | 18,438 | $ | 18,438 | $ | 36,875 | $ | 36,875 | |||||||||
Comprehensive income (loss) available to common stock shareholders | $ | 107,345 | $ | (38,374) | $ | 182,054 | $ | (633,411) |
For the Quarters Ended | |||||||||||||||||
June 30, 2021 | March 31, 2021 | December 31, 2020 | September 30, 2020 | June 30, 2020 | |||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||||
GAAP Net income available to common stockholders | $ | 144,883 | $ | 139,153 | $ | 128,797 | $ | 348,891 | $ | (73,393) | |||||||
Adjustments: | |||||||||||||||||
Net unrealized (gains) losses on financial instruments at fair value | (36,108) | (270,012) | (61,379) | (260,766) | 171,921 | ||||||||||||
Net realized (gains) losses on sales of investments | (7,517) | (37,796) | 329 | (65,041) | (26,380) | ||||||||||||
(Gains) losses on extinguishment of debt | 21,777 | 237,137 | (919) | 55,794 | (459) | ||||||||||||
Interest expense on long term debt | 959 | 1,076 | 1,197 | 1,495 | 4,391 | ||||||||||||
Increase (decrease) in provision for credit losses | 453 | (126) | 13 | (1,650) | (4,497) | ||||||||||||
Transaction expenses | 5,745 | 16,437 | 3,827 | 1,624 | 4,710 | ||||||||||||
Stock Compensation expense for retirement eligible awards | (361) | 661 | (225) | (275) | (273) | ||||||||||||
Core Earnings | $ | 129,831 | $ | 86,530 | $ | 71,640 | $ | 80,072 | $ | 76,020 | |||||||
GAAP net income per diluted common share | $ | 0.60 | $ | 0.54 | $ | 0.49 | $ | 1.32 | $ | (0.37) | |||||||
Core earnings per adjusted diluted common share | $ | 0.54 | $ | 0.36 | $ | 0.29 | $ | 0.33 | $ | 0.32 |
June 30, 2021 | |||||||||||||||||
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
|
$ | 1,405,783 | $ | 49.69 | 79.45 | 4.4 | % | 17.4 | % | ||||||||
Subordinated
|
827,198 | 67.30 | 73.04 | 3.9 | % | 6.5 | % | ||||||||||
Interest-only
|
4,217,507 | 5.06 | 4.71 | 1.7 | % | 12.7 | % | ||||||||||
Agency RMBS | |||||||||||||||||
Interest-only | 1,164,844 | 9.47 | 6.60 | 1.3 | % | 1.4 | % | ||||||||||
Agency CMBS | |||||||||||||||||
Project loans
|
974,756 | 101.78 | 112.25 | 4.2 | % | 4.1 | % | ||||||||||
Interest-only
|
2,412,480 | 5.71 | 5.90 | 0.7 | % | 4.6 | % |
December 31, 2020 | |||||||||||||||||
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
|
$ | 1,560,135 | $ | 50.65 | $ | 81.90 | 4.5 | % | 16.9 | % | |||||||
Subordinated
|
905,674 | 62.46 | 67.43 | 3.8 | % | 6.3 | % | ||||||||||
Interest-only
|
5,628,240 | 4.43 | 4.66 | 1.5 | % | 16.2 | % | ||||||||||
Agency RMBS | |||||||||||||||||
Interest-only
|
1,262,963 | 9.41 | 7.18 | 1.7 | % | 1.6 | % | ||||||||||
Agency CMBS | |||||||||||||||||
Project loans
|
1,527,621 | 101.81 | 112.23 | 4.1 | % | 3.8 | % | ||||||||||
Interest-only
|
1,326,665 | 1.78 | 1.95 | 0.6 | % | 8.4 | % |
June 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||
Principal (1)
|
Weighted Average Borrowing Rates | Range of Borrowing Rates |
Principal (1)
|
Weighted Average Borrowing Rates | Range of Borrowing Rates | ||||||||||||||||||
Overnight | $ | 105,673 | 0.73% | 0.70% - 0.78% | $ | — | NA | NA | |||||||||||||||
1 to 29 days | 1,248,179 | 0.84% | 0.08% - 3.25% | 1,521,134 | 0.38% | 0.20% - 2.72% | |||||||||||||||||
30 to 59 days | 267,897 | 1.57% | 1.38% - 1.96% | 481,257 | 4.35% | 2.42% - 6.61% | |||||||||||||||||
60 to 89 days | 459,140 | 2.16% | 1.38% - 2.44% | 352,684 | 2.78% | 1.34% - 6.30% | |||||||||||||||||
90 to 119 days | 51,944 | 1.82% | 1.82% - 1.82% | 301,994 | 7.97% | 7.97% - 7.97% | |||||||||||||||||
120 to 180 days | 122,765 | 1.77% | 1.77% - 1.77% | 595,900 | 5.29% | 2.40% - 6.26% | |||||||||||||||||
180 days to 1 year | 146,296 | 1.79% | 0.95% - 1.95% | 345,204 | 3.60% | 3.25% - 4.50% | |||||||||||||||||
1 to 2 years | 837,513 | 3.96% | 2.85% - 4.38% | — | NA | NA | |||||||||||||||||
2 to 3 years | — | NA | NA | 642,696 | 4.91% | 1.65% - 7.00% | |||||||||||||||||
Greater than 3 years | 315,021 | 5.56% | 5.56% - 5.56% | 395,978 | 5.56% | 5.56% - 5.56% | |||||||||||||||||
Total | $ | 3,554,428 | 2.30% | $ | 4,636,847 | 3.41% |
June 30, 2021 | December 31, 2020 | |||||||
GAAP Leverage at period-end | 3.3:1 | 3.6:1 | ||||||
GAAP Leverage at period-end (recourse) | 1.0:1 | 1.2:1 | ||||||
June 30, 2021 | December 31, 2020 | June 30, 2021 | December 31, 2020 | ||||||||||||||
Portfolio Composition | Amortized Cost | Fair Value | |||||||||||||||
Non-Agency RMBS
|
10.4 | % | 10.2 | % | 12.5 | % | 12.6 | % | |||||||||
Senior
|
5.0 | % | 5.0 | % | 7.3 | % | 7.5 | % | |||||||||
Subordinated
|
3.9 | % | 3.6 | % | 3.9 | % | 3.6 | % | |||||||||
Interest-only
|
1.5 | % | 1.6 | % | 1.3 | % | 1.5 | % | |||||||||
Agency RMBS
|
0.8 | % | 0.7 | % | 0.5 | % | 0.5 | % | |||||||||
Pass-through
|
— | % | — | % | — | % | — | % | |||||||||
Interest-only
|
0.8 | % | 0.7 | % | 0.5 | % | 0.5 | % | |||||||||
Agency CMBS
|
8.0 | % | 10.0 | % | 8.0 | % | 10.2 | % | |||||||||
Project loans
|
7.0 | % | 9.9 | % | 7.1 | % | 10.0 | % | |||||||||
Interest-only
|
1.0 | % | 0.1 | % | 0.9 | % | 0.2 | % | |||||||||
Loans held for investment | 80.8 | % | 79.1 | % | 79.0 | % | 76.7 | % | |||||||||
Fixed-rate percentage of portfolio
|
95.0 | % | 94.9 | % | 93.7 | % | 93.2 | % | |||||||||
Adjustable-rate percentage of portfolio
|
5.0 | % | 5.1 | % | 6.3 | % | 6.8 | % |
GAAP
Interest Income |
GAAP
Interest Expense |
Net Realized (Gains)
Losses on Interest Rate Swaps |
Interest Expense on Long Term Debt |
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, 2021 | $ | 252,677 | $ | 80,610 | $ | — | $ | (959) | $ | 79,651 | $ | 172,067 | $ | — | $ | 936 | $ | 173,003 | |||||||||||||||||
For the Quarter Ended March 31, 2021 | $ | 243,127 | $ | 108,066 | $ | — | $ | (1,076) | $ | 106,990 | $ | 135,061 | $ | — | $ | 1,065 | $ | 136,126 | |||||||||||||||||
For the Quarter Ended December 31, 2020 | $ | 236,156 | $ | 120,285 | $ | — | $ | (1,197) | $ | 119,088 | $ | 115,871 | $ | — | $ | 1,177 | $ | 117,048 | |||||||||||||||||
For the Quarter Ended September 30, 2020 | $ | 247,905 | $ | 124,557 | $ | — | $ | (1,495) | $ | 123,062 | $ | 123,348 | $ | — | $ | 1,487 | $ | 124,835 | |||||||||||||||||
For the Quarter Ended June 30, 2020 | $ | 245,922 | $ | 129,256 | $ | — | $ | (4,391) | $ | 124,865 | $ | 116,666 | $ | — | $ | 4,358 | $ | 121,024 |
For the Quarters Ended | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Accretable Discount (Net of Premiums) | June 30, 2021 | March 31, 2021 | December 31, 2020 | September 30, 2020 | June 30, 2020 | ||||||||||||
Balance, beginning of period | $ | 358,562 | $ | 409,690 | $ | 422,981 | $ | 410,447 | $ | 438,232 | |||||||
Accretion of discount | (37,986) | (24,023) | (21,281) | (20,045) | (22,508) | ||||||||||||
Purchases | (3,453) | — | 758 | 2,096 | — | ||||||||||||
Sales and deconsolidation | (17,123) | (41,651) | 98 | — | (23,425) | ||||||||||||
Transfers from/(to) credit reserve, net | 38,024 | 14,546 | 7,134 | 30,483 | 18,148 | ||||||||||||
Balance, end of period | $ | 338,024 | $ | 358,562 | $ | 409,690 | $ | 422,981 | $ | 410,447 |