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)
|
•
|
4
TH
QUARTER GAAP EARNINGS OF
$0.52
PER COMMON SHARE
|
•
|
4
TH
QUARTER CORE EARNINGS
(1)
OF
$0.62
PER COMMON SHARE
|
•
|
FULL YEAR GAAP EARNINGS OF
$2.61
PER COMMON SHARE
|
•
|
FULL YEAR CORE EARNINGS
(1)
OF
$2.34
PER COMMON SHARE
|
•
|
GAAP BOOK VALUE OF
$16.85
PER COMMON SHARE
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
|
December 31, 2017
|
December 31, 2016
|
||||
Assets:
|
|
|
||||
Cash and cash equivalents
|
$
|
63,569
|
|
$
|
177,714
|
|
Non-Agency RMBS, at fair value
|
2,851,316
|
|
3,330,063
|
|
||
Agency MBS, at fair value
|
4,364,828
|
|
4,167,754
|
|
||
Loans held for investment, at fair value
|
13,678,263
|
|
8,753,653
|
|
||
Accrued interest receivable
|
100,789
|
|
79,697
|
|
||
Other assets
|
114,391
|
|
166,350
|
|
||
Derivatives, at fair value, net
|
48,914
|
|
9,677
|
|
||
Total assets
(1)
|
$
|
21,222,070
|
|
$
|
16,684,908
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($8.8 billion and $7.0 billion, pledged as collateral, respectively)
|
$
|
7,250,452
|
|
$
|
5,600,903
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.6 billion and $1.8 billion pledged as collateral, respectively)
|
205,780
|
|
334,124
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($13.3 billion and $8.8 billion pledged as collateral, respectively)
|
9,388,657
|
|
6,941,097
|
|
||
Payable for investments purchased
|
567,440
|
|
520,532
|
|
||
Accrued interest payable
|
61,888
|
|
48,670
|
|
||
Dividends payable
|
95,365
|
|
97,005
|
|
||
Accounts payable and other liabilities
|
17,191
|
|
16,694
|
|
||
Derivatives, at fair value
|
320
|
|
2,350
|
|
||
Total liabilities
(1)
|
$
|
17,587,093
|
|
$
|
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, 187,809,288 and 187,739,634 shares issued and outstanding, respectively
|
1,878
|
|
1,877
|
|
||
Additional paid-in-capital
|
3,826,691
|
|
3,508,779
|
|
||
Accumulated other comprehensive income
|
796,902
|
|
718,106
|
|
||
Cumulative earnings
|
2,967,852
|
|
2,443,184
|
|
||
Cumulative distributions to stockholders
|
(3,958,534
|
)
|
(3,548,471
|
)
|
||
Total stockholders' equity
|
$
|
3,634,977
|
|
$
|
3,123,533
|
|
Total liabilities and stockholders' equity
|
$
|
21,222,070
|
|
$
|
16,684,908
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
|||||||||
(dollars in thousands, except share and per share data)
|
|||||||||
|
For the Year Ended
|
||||||||
|
December 31, 2017
|
December 31, 2016
|
December 31, 2015
|
||||||
Net interest income:
|
|
|
|
||||||
Interest income
(1)
|
$
|
1,138,758
|
|
$
|
934,068
|
|
$
|
872,737
|
|
Interest expense
(2)
|
532,748
|
|
347,857
|
|
259,365
|
|
|||
Net interest income
|
606,010
|
|
586,211
|
|
613,372
|
|
|||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|||
Total other-than-temporary impairment losses
|
(5,169
|
)
|
(9,589
|
)
|
(8,700
|
)
|
|||
Portion of loss recognized in other comprehensive income
|
(56,687
|
)
|
(48,398
|
)
|
(58,744
|
)
|
|||
Net other-than-temporary credit impairment losses
|
(61,856
|
)
|
(57,987
|
)
|
(67,444
|
)
|
|||
Other investment gains (losses):
|
|
|
|
|
|
|
|||
Net unrealized gains (losses) on derivatives
|
47,976
|
|
50,093
|
|
67,385
|
|
|||
Realized gains (losses) on terminations of interest rate swaps
|
(16,143
|
)
|
(60,616
|
)
|
(98,949
|
)
|
|||
Net realized gains (losses) on derivatives
|
(25,645
|
)
|
(44,886
|
)
|
(83,073
|
)
|
|||
Net gains (losses) on derivatives
|
6,188
|
|
(55,409
|
)
|
(114,637
|
)
|
|||
Net unrealized gains (losses) on financial instruments at fair value
|
111,410
|
|
59,552
|
|
(158,433
|
)
|
|||
Net realized gains (losses) on sales of investments
|
9,123
|
|
18,155
|
|
77,074
|
|
|||
Gain (loss) on deconsolidation
|
—
|
|
—
|
|
(256
|
)
|
|||
Gains (losses) on extinguishment of debt
|
(35,274
|
)
|
(477
|
)
|
(5,930
|
)
|
|||
Total other gains (losses)
|
91,447
|
|
21,821
|
|
(202,182
|
)
|
|||
|
|
|
|
|
|
|
|||
Other income:
|
|
|
|
|
|
|
|||
Other income
|
—
|
|
95,000
|
|
—
|
|
|||
Total other income
|
—
|
|
95,000
|
|
—
|
|
|||
|
|
|
|
|
|
||||
Other expenses:
|
|
|
|
|
|
||||
Management fees (net of recoveries)
|
—
|
|
—
|
|
17,703
|
|
|||
Compensation and benefits
|
30,212
|
|
26,901
|
|
10,544
|
|
|||
General and administrative expenses
|
17,650
|
|
17,516
|
|
31,633
|
|
|||
Servicing fees
|
41,690
|
|
31,178
|
|
25,244
|
|
|||
Deal expenses
|
21,273
|
|
17,424
|
|
8,272
|
|
|||
Total other expenses
|
110,825
|
|
93,019
|
|
93,396
|
|
|||
Income (loss) before income taxes
|
524,776
|
|
552,026
|
|
250,350
|
|
|||
Income taxes
|
108
|
|
83
|
|
1
|
|
|||
Net income (loss)
|
$
|
524,668
|
|
$
|
551,943
|
|
$
|
250,349
|
|
|
|
|
|
|
|
||||
Dividend on preferred stock
|
33,484
|
|
2,449
|
|
—
|
|
|||
|
|
|
|
|
|
|
|||
Net income (loss) available to common shareholders
|
$
|
491,184
|
|
$
|
549,494
|
|
$
|
250,349
|
|
|
|
|
|
|
|
|
|||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|||
Basic
|
$
|
2.62
|
|
$
|
2.93
|
|
$
|
1.25
|
|
Diluted
|
$
|
2.61
|
|
$
|
2.92
|
|
$
|
1.25
|
|
|
|
|
|
|
|
|
|||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|||
Basic
|
187,780,355
|
|
187,728,634
|
|
199,563,196
|
|
|||
Diluted
|
188,287,320
|
|
188,024,838
|
|
199,650,177
|
|
|||
|
|
|
|
|
|
|
|||
Dividends declared per share of common stock
|
$
|
2.00
|
|
$
|
2.44
|
|
$
|
1.92
|
|
|
|
|
|
|
|
CHIMERA INVESTMENT CORPORATION
|
|||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
|||||||||
(dollars in thousands, except share and per share data)
|
|||||||||
|
|
|
|
||||||
|
For the Year Ended
|
||||||||
|
December 31, 2017
|
December 31, 2016
|
December 31, 2015
|
||||||
Comprehensive income (loss):
|
|
|
|
||||||
Net income (loss)
|
$
|
524,668
|
|
$
|
551,943
|
|
$
|
250,349
|
|
Other comprehensive income:
|
|
|
|
||||||
Unrealized gains (losses) on available-for-sale securities, net
|
24,218
|
|
(88,527
|
)
|
(263,049
|
)
|
|||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
61,856
|
|
57,987
|
|
67,444
|
|
|||
Reclassification adjustment for net realized losses (gains) included in net income
|
(7,278
|
)
|
(25,145
|
)
|
(77,284
|
)
|
|||
Other comprehensive income (loss)
|
78,796
|
|
(55,685
|
)
|
(272,889
|
)
|
|||
Comprehensive income (loss) before preferred stock dividends
|
$
|
603,464
|
|
$
|
496,258
|
|
$
|
(22,540
|
)
|
Dividends on preferred stock
|
$
|
33,484
|
|
$
|
2,449
|
|
$
|
—
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
569,980
|
|
$
|
493,809
|
|
$
|
(22,540
|
)
|
|
December 31, 2017
|
December 31, 2016
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
—
|
|
$
|
—
|
|
1 to 29 days
|
5,092,458
|
|
2,947,604
|
|
||
30 to 59 days
|
1,206,769
|
|
958,956
|
|
||
60 to 89 days
|
592,865
|
|
407,625
|
|
||
90 to 119 days
|
—
|
|
559,533
|
|
||
Greater than or equal to 120 days
|
358,360
|
|
727,185
|
|
||
Total
|
$
|
7,250,452
|
|
$
|
5,600,903
|
|
|
For the Year Ended
|
For the Year Ended
|
||||
|
December 31, 2017
|
December 31, 2016
|
||||
Interest earning assets at period-end
(1)
|
$
|
20,894,407
|
|
$
|
16,251,470
|
|
Interest bearing liabilities at period-end
|
$
|
16,844,889
|
|
$
|
12,876,124
|
|
GAAP Leverage at period-end
|
4.6:1
|
|
4.1:1
|
|
||
GAAP Leverage at period-end (recourse)
|
2.0:1
|
|
1.8:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
5.9
|
%
|
9.0
|
%
|
||
Senior
|
2.9
|
%
|
3.9
|
%
|
||
Senior, interest only
|
1.3
|
%
|
1.9
|
%
|
||
Subordinated
|
1.7
|
%
|
3.1
|
%
|
||
Subordinated, interest only
|
0.0
|
%
|
0.1
|
%
|
||
RMBS transferred to consolidated VIEs
|
4.6
|
%
|
7.6
|
%
|
||
Agency MBS
|
22.2
|
%
|
27.7
|
%
|
||
Residential
|
11.8
|
%
|
17.8
|
%
|
||
Commercial
|
9.8
|
%
|
8.9
|
%
|
||
Interest-only
|
0.6
|
%
|
1.0
|
%
|
||
Loans held for investment
|
67.3
|
%
|
55.7
|
%
|
||
Fixed-rate percentage of portfolio
|
93.7
|
%
|
88.4
|
%
|
||
Adjustable-rate percentage of portfolio
|
6.3
|
%
|
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 |
Other
(2)
|
Economic Interest
Expense |
|
GAAP Net Interest
Income |
Net Realized
Losses on Interest Rate Swaps |
Other
(1) (2)
|
Economic
Net Interest Income |
||||||||||||||||||
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 Year Ended December 31, 2016
|
$
|
934,068
|
|
|
$
|
347,857
|
|
$
|
28,107
|
|
$
|
—
|
|
$
|
375,964
|
|
|
$
|
586,211
|
|
$
|
(28,107
|
)
|
$
|
(882
|
)
|
$
|
557,222
|
|
For the Year Ended December 31, 2015
|
$
|
872,737
|
|
|
$
|
259,365
|
|
$
|
47,227
|
|
$
|
(2,217
|
)
|
$
|
304,375
|
|
|
$
|
613,372
|
|
$
|
(47,227
|
)
|
$
|
1,218
|
|
$
|
567,363
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
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 Quarters Ended
|
||||||||||||||||
|
December 31, 2017
|
|
December 31, 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
|
$
|
3,847,658
|
|
$
|
28,812
|
|
3.0
|
%
|
|
$
|
3,730,032
|
|
$
|
38,494
|
|
4.1
|
%
|
Non-Agency RMBS
|
1,187,349
|
|
24,608
|
|
8.3
|
%
|
|
1,390,837
|
|
32,098
|
|
9.2
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
940,931
|
|
55,916
|
|
23.8
|
%
|
|
1,208,217
|
|
61,022
|
|
20.2
|
%
|
||||
Residential mortgage loans held for investment
|
13,048,375
|
|
192,560
|
|
5.9
|
%
|
|
8,693,303
|
|
129,249
|
|
5.9
|
%
|
||||
Total
|
$
|
19,024,313
|
|
$
|
301,896
|
|
6.3
|
%
|
|
$
|
15,022,389
|
|
$
|
260,863
|
|
6.9
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency MBS
(2)
|
$
|
3,090,155
|
|
$
|
15,651
|
|
2.0
|
%
|
|
$
|
3,199,755
|
|
$
|
11,340
|
|
1.4
|
%
|
Non-Agency RMBS
|
497,073
|
|
3,896
|
|
3.1
|
%
|
|
795,900
|
|
5,668
|
|
2.9
|
%
|
||||
Re-Remic repurchase agreements
|
867,882
|
|
7,193
|
|
3.3
|
%
|
|
641,137
|
|
4,761
|
|
3.0
|
%
|
||||
RMBS from loan securitizations
|
2,573,351
|
|
21,236
|
|
3.3
|
%
|
|
1,062,276
|
|
8,149
|
|
3.1
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
219,446
|
|
3,796
|
|
6.9
|
%
|
|
357,422
|
|
5,610
|
|
6.3
|
%
|
||||
Securitized debt, collateralized by loans
|
9,451,052
|
|
96,801
|
|
4.1
|
%
|
|
6,982,205
|
|
75,360
|
|
4.3
|
%
|
||||
Total
|
$
|
16,698,959
|
|
$
|
148,573
|
|
3.6
|
%
|
|
$
|
13,038,695
|
|
$
|
110,888
|
|
3.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
153,323
|
|
2.7
|
%
|
|
|
|
$
|
149,975
|
|
3.6
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,325,354
|
|
|
|
3.2
|
%
|
|
$
|
1,983,694
|
|
|
|
3.9
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.14
|
|
|
|
|
|
|
1.15
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(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 Year Ended December 31, 2017
|
15.00
|
%
|
16.85
|
%
|
12.58
|
%
|
For the Year Ended December 31, 2016
|
18.42
|
%
|
18.59
|
%
|
15.18
|
%
|
For the Year Ended December 31, 2015
|
7.52
|
%
|
17.12
|
%
|
14.20
|
%
|
|
|
|
|
|
|
|
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)
|
December 31, 2017
|
|
September 30, 2017
|
|
June 30, 2017
|
|
March 31, 2017
|
|
December 31, 2016
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
622,982
|
|
$
|
627,724
|
|
$
|
648,659
|
|
$
|
683,648
|
|
$
|
733,060
|
|
Accretion of discount
|
(39,640
|
)
|
(43,502
|
)
|
(42,625
|
)
|
(43,715
|
)
|
(44,427
|
)
|
|||||
Purchases
|
(2,914
|
)
|
1,723
|
|
(108
|
)
|
(3,642
|
)
|
(33,987
|
)
|
|||||
Sales and deconsolidation
|
—
|
|
5,792
|
|
212
|
|
(7,303
|
)
|
(2,138
|
)
|
|||||
Transfers from/(to) credit reserve, net
|
1,765
|
|
31,245
|
|
21,586
|
|
19,671
|
|
31,140
|
|
|||||
Balance, end of period
|
$
|
582,193
|
|
$
|
622,982
|
|
$
|
627,724
|
|
$
|
648,659
|
|
$
|
683,648
|
|