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)
|
(d)
|
Exhibits
|
|
|
99.1
|
Press Release, dated August 2, 2017, issued by Chimera Investment Corporation
|
99.2
|
Supplemental Financial Information for the quarter ended June 30, 2017
|
•
|
GAAP EARNINGS OF
$0.56
PER COMMON SHARE
|
•
|
CORE EARNINGS
(1)
OF
$0.60
PER COMMON SHARE
|
•
|
GAAP BOOK VALUE OF
$16.54
PER COMMON SHARE
|
•
|
ADDED $1 BILLION OF RESIDENTIAL MORTGAGE LOANS
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
|
June 30, 2017
|
December 31, 2016
|
||||
Assets:
|
|
|
||||
Cash and cash equivalents
|
$
|
168,743
|
|
$
|
177,714
|
|
Non-Agency RMBS, at fair value
|
3,111,827
|
|
3,330,063
|
|
||
Agency MBS, at fair value
|
3,994,670
|
|
4,167,754
|
|
||
Loans held for investment, at fair value
|
13,261,360
|
|
8,753,653
|
|
||
Accrued interest receivable
|
98,079
|
|
79,697
|
|
||
Other assets
|
168,883
|
|
166,350
|
|
||
Derivatives, at fair value, net
|
14,907
|
|
9,677
|
|
||
Total assets
(1)
|
$
|
20,818,469
|
|
$
|
16,684,908
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($7.6 billion and $7.0 billion, MBS pledged as collateral, respectively)
|
$
|
6,254,153
|
|
$
|
5,600,903
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.7 billion and $1.8 billion pledged as collateral, respectively)
|
264,866
|
|
334,124
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($12.7 billion and $8.8 billion pledged as collateral, respectively)
|
9,511,229
|
|
6,941,097
|
|
||
Payable for investments purchased
|
1,046,720
|
|
520,532
|
|
||
Accrued interest payable
|
54,853
|
|
48,670
|
|
||
Dividends payable
|
94,809
|
|
97,005
|
|
||
Accounts payable and other liabilities
|
13,445
|
|
16,694
|
|
||
Derivatives, at fair value
|
1,707
|
|
2,350
|
|
||
Total liabilities
(1)
|
$
|
17,241,782
|
|
$
|
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, 187,779,367 and 187,739,634 shares issued and outstanding, respectively
|
1,878
|
|
1,877
|
|
||
Additional paid-in-capital
|
3,824,680
|
|
3,508,779
|
|
||
Accumulated other comprehensive income
|
780,283
|
|
718,106
|
|
||
Cumulative earnings
|
2,721,008
|
|
2,443,184
|
|
||
Cumulative distributions to stockholders
|
(3,751,350
|
)
|
(3,548,471
|
)
|
||
Total stockholders' equity
|
$
|
3,576,687
|
|
$
|
3,123,533
|
|
Total liabilities and stockholders' equity
|
$
|
20,818,469
|
|
$
|
16,684,908
|
|
Net Income
|
|||||||||||||
(dollars in thousands, except share and per share data)
|
|||||||||||||
(unaudited)
|
|||||||||||||
|
For the Quarters Ended
|
|
For the Six Months Ended
|
||||||||||
|
June 30, 2017
|
June 30, 2016
|
|
June 30, 2017
|
June 30, 2016
|
||||||||
Net interest income:
|
|
|
|
|
|
||||||||
Interest income
(1)
|
$
|
288,644
|
|
$
|
221,096
|
|
|
$
|
539,988
|
|
$
|
422,293
|
|
Interest expense
(2)
|
137,955
|
|
83,227
|
|
|
248,186
|
|
146,208
|
|
||||
Net interest income
|
150,689
|
|
137,869
|
|
|
291,802
|
|
276,085
|
|
||||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
(749
|
)
|
(3,139
|
)
|
|
(3,462
|
)
|
(7,562
|
)
|
||||
Portion of loss recognized in other comprehensive income
|
(12,760
|
)
|
(17,816
|
)
|
|
(28,748
|
)
|
(24,071
|
)
|
||||
Net other-than-temporary credit impairment losses
|
(13,509
|
)
|
(20,955
|
)
|
|
(32,210
|
)
|
(31,633
|
)
|
||||
Other investment gains (losses):
|
|
|
|
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
5,802
|
|
22,100
|
|
|
10,698
|
|
(79,010
|
)
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
(16,143
|
)
|
(60,158
|
)
|
|
(16,143
|
)
|
(60,616
|
)
|
||||
Net realized gains (losses) on derivatives
|
(11,481
|
)
|
(9,697
|
)
|
|
(20,839
|
)
|
(44,666
|
)
|
||||
Net gains (losses) on derivatives
|
(21,822
|
)
|
(47,755
|
)
|
|
(26,284
|
)
|
(184,292
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
67,762
|
|
30,347
|
|
|
140,005
|
|
47,218
|
|
||||
Net realized gains (losses) on sales of investments
|
4,541
|
|
6,631
|
|
|
9,708
|
|
3,956
|
|
||||
Gains (losses) on extinguishment of debt
|
(48,014
|
)
|
—
|
|
|
(48,014
|
)
|
(1,766
|
)
|
||||
Total other gains (losses)
|
2,467
|
|
(10,777
|
)
|
|
75,415
|
|
(134,884
|
)
|
||||
Other income:
|
|
|
|
|
|
|
|
|
|
||||
Other income
|
—
|
|
—
|
|
|
—
|
|
95,000
|
|
||||
Total other income
|
—
|
|
—
|
|
|
—
|
|
95,000
|
|
||||
Other expenses:
|
|
|
|
|
|
|
|
|
|
||||
Compensation and benefits
|
7,671
|
|
6,954
|
|
|
15,227
|
|
12,176
|
|
||||
General and administrative expenses
|
4,585
|
|
4,238
|
|
|
8,625
|
|
8,741
|
|
||||
Servicing fees
|
10,890
|
|
7,773
|
|
|
20,478
|
|
13,351
|
|
||||
Deal expenses
|
1,345
|
|
13,022
|
|
|
12,698
|
|
13,022
|
|
||||
Total other expenses
|
24,491
|
|
31,987
|
|
|
57,028
|
|
47,290
|
|
||||
Income (loss) before income taxes
|
115,156
|
|
74,150
|
|
|
277,979
|
|
157,278
|
|
||||
Income taxes
|
139
|
|
23
|
|
|
155
|
|
52
|
|
||||
Net income (loss)
|
$
|
115,017
|
|
$
|
74,127
|
|
|
$
|
277,824
|
|
$
|
157,226
|
|
|
|
|
|
|
|
|
|
|
|
||||
Dividend on preferred stock
|
9,400
|
|
—
|
|
|
14,683
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
105,617
|
|
$
|
74,127
|
|
|
$
|
263,141
|
|
$
|
157,226
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|
|
|
||||
Basic
|
$
|
0.56
|
|
$
|
0.39
|
|
|
$
|
1.40
|
|
$
|
0.84
|
|
Diluted
|
$
|
0.56
|
|
$
|
0.39
|
|
|
$
|
1.40
|
|
$
|
0.84
|
|
|
|
|
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
|
||||
Basic
|
187,779,406
|
|
187,729,765
|
|
|
187,770,626
|
|
187,726,618
|
|
||||
Diluted
|
188,142,551
|
|
187,925,046
|
|
|
188,169,093
|
|
187,882,614
|
|
||||
|
|
|
|
|
|
||||||||
Dividends declared per share of common stock
|
$
|
0.50
|
|
$
|
0.48
|
|
|
$
|
1.00
|
|
$
|
1.46
|
|
|
|
|
|
|
|
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, 2017
|
June 30, 2016
|
June 30, 2017
|
June 30, 2016
|
||||||||
Comprehensive income (loss):
|
|
|
|
|
||||||||
Net income (loss)
|
$
|
115,017
|
|
$
|
74,127
|
|
$
|
277,824
|
|
$
|
157,226
|
|
Other comprehensive income:
|
|
|
|
|
||||||||
Unrealized gains (losses) on available-for-sale securities, net
|
41,655
|
|
53,015
|
|
37,744
|
|
112,423
|
|
||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
13,509
|
|
20,955
|
|
32,210
|
|
31,633
|
|
||||
Reclassification adjustment for net realized losses (gains) included in net income
|
(2,591
|
)
|
(9,062
|
)
|
(7,777
|
)
|
(10,674
|
)
|
||||
Other comprehensive income (loss)
|
52,573
|
|
64,908
|
|
62,177
|
|
133,382
|
|
||||
Comprehensive income (loss) before preferred stock dividends
|
$
|
167,590
|
|
$
|
139,035
|
|
$
|
340,001
|
|
$
|
290,608
|
|
Dividends on preferred stock
|
$
|
9,400
|
|
$
|
—
|
|
$
|
14,683
|
|
$
|
—
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
158,190
|
|
$
|
139,035
|
|
$
|
325,318
|
|
$
|
290,608
|
|
|
June 30, 2017
|
December 31, 2016
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
—
|
|
$
|
—
|
|
1 to 29 days
|
4,194,962
|
|
2,947,604
|
|
||
30 to 59 days
|
714,705
|
|
958,956
|
|
||
60 to 89 days
|
367,734
|
|
407,625
|
|
||
90 to 119 days
|
220,797
|
|
559,533
|
|
||
Greater than or equal to 120 days
|
755,955
|
|
727,185
|
|
||
Total
|
$
|
6,254,153
|
|
$
|
5,600,903
|
|
|
For the Quarter Ended
|
For the Year Ended
|
||||
|
June 30, 2017
|
December 31, 2016
|
||||
Interest earning assets at period-end
(1)
|
$
|
20,367,857
|
|
$
|
16,251,470
|
|
Interest bearing liabilities at period-end
|
$
|
16,030,248
|
|
$
|
12,876,124
|
|
GAAP Leverage at period-end
|
4.5:1
|
|
4.1:1
|
|
||
GAAP Leverage at period-end (recourse)
|
1.7:1
|
|
1.8:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
6.9
|
%
|
9.0
|
%
|
||
Senior
|
3.0
|
%
|
3.9
|
%
|
||
Senior, interest only
|
1.4
|
%
|
1.9
|
%
|
||
Subordinated
|
2.4
|
%
|
3.1
|
%
|
||
Subordinated, interest only
|
0.1
|
%
|
0.1
|
%
|
||
RMBS transferred to consolidated VIEs
|
5.4
|
%
|
7.6
|
%
|
||
Agency MBS
|
21.0
|
%
|
27.7
|
%
|
||
Residential
|
13.0
|
%
|
17.8
|
%
|
||
Commercial
|
7.3
|
%
|
8.9
|
%
|
||
Interest-only
|
0.7
|
%
|
1.0
|
%
|
||
Loans held for investment
|
66.7
|
%
|
55.7
|
%
|
||
Fixed-rate percentage of portfolio
|
88.3
|
%
|
88.4
|
%
|
||
Adjustable-rate percentage of portfolio
|
11.7
|
%
|
11.6
|
%
|
||
Annualized yield on average interest earning assets for the periods ended
|
6.2
|
%
|
6.4
|
%
|
||
Annualized cost of funds on average borrowed funds for the periods ended
(2)
|
3.5
|
%
|
3.0
|
%
|
|
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 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 December 31, 2016
|
$
|
260,823
|
|
|
$
|
106,737
|
|
$
|
4,151
|
|
$
|
110,888
|
|
|
$
|
154,086
|
|
$
|
(4,151
|
)
|
$
|
40
|
|
$
|
149,975
|
|
For the Quarter Ended September 30, 2016
|
$
|
250,953
|
|
|
$
|
94,911
|
|
$
|
4,595
|
|
$
|
99,506
|
|
|
$
|
156,042
|
|
$
|
(4,595
|
)
|
$
|
(105
|
)
|
$
|
151,342
|
|
For the Quarter Ended June 30, 2016
|
$
|
221,096
|
|
|
$
|
83,227
|
|
$
|
8,141
|
|
$
|
91,368
|
|
|
$
|
137,869
|
|
$
|
(8,141
|
)
|
$
|
(367
|
)
|
$
|
129,361
|
|
|
For the Quarters Ended
|
||||||||||||||||
|
June 30, 2017
|
|
June 30, 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
|
$
|
3,661,335
|
|
$
|
24,289
|
|
2.7
|
%
|
|
$
|
4,882,776
|
|
$
|
29,376
|
|
2.4
|
%
|
Non-Agency RMBS
|
1,335,643
|
|
29,567
|
|
8.9
|
%
|
|
1,432,834
|
|
30,469
|
|
8.5
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
1,069,509
|
|
58,486
|
|
21.9
|
%
|
|
1,346,840
|
|
62,889
|
|
18.7
|
%
|
||||
Residential mortgage loans held for investment
|
12,391,023
|
|
175,952
|
|
5.7
|
%
|
|
6,625,810
|
|
97,994
|
|
5.9
|
%
|
||||
Total
|
$
|
18,457,510
|
|
$
|
288,294
|
|
6.2
|
%
|
|
$
|
14,288,260
|
|
$
|
220,728
|
|
6.2
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency MBS
(2)
|
$
|
3,156,501
|
|
$
|
12,190
|
|
1.5
|
%
|
|
$
|
4,612,205
|
|
$
|
15,795
|
|
1.4
|
%
|
Non-Agency RMBS
|
725,698
|
|
5,229
|
|
2.9
|
%
|
|
693,126
|
|
5,168
|
|
3.0
|
%
|
||||
Re-Remic repurchase agreements
|
387,493
|
|
3,573
|
|
3.7
|
%
|
|
686,606
|
|
6,701
|
|
3.9
|
%
|
||||
RMBS from loan securitizations
|
1,823,189
|
|
14,726
|
|
3.2
|
%
|
|
872,023
|
|
4,932
|
|
2.3
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
284,127
|
|
5,563
|
|
7.8
|
%
|
|
458,350
|
|
5,922
|
|
5.2
|
%
|
||||
Securitized debt, collateralized by loans
|
9,700,805
|
|
100,160
|
|
4.1
|
%
|
|
5,664,470
|
|
52,849
|
|
3.7
|
%
|
||||
Total
|
$
|
16,077,813
|
|
$
|
141,441
|
|
3.5
|
%
|
|
$
|
12,986,780
|
|
$
|
91,367
|
|
2.8
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
146,853
|
|
2.7
|
%
|
|
|
|
$
|
129,361
|
|
3.4
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,379,697
|
|
|
|
3.2
|
%
|
|
$
|
1,301,480
|
|
|
|
3.6
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.15
|
|
|
|
|
|
|
1.10
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(2) Interest includes cash paid on swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Quarters Ended
|
||||||||||||||
Accretable Discount (Net of Premiums)
|
June 30, 2017
|
|
March 31, 2017
|
|
December 31, 2016
|
|
September 30, 2016
|
|
June 30, 2016
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
648,659
|
|
$
|
683,648
|
|
$
|
733,060
|
|
$
|
769,764
|
|
$
|
778,847
|
|
Accretion of discount
|
(42,625
|
)
|
(43,715
|
)
|
(44,427
|
)
|
(44,455
|
)
|
(42,297
|
)
|
|||||
Purchases
|
(108
|
)
|
(3,642
|
)
|
(33,987
|
)
|
8,959
|
|
(1,001
|
)
|
|||||
Sales and deconsolidation
|
212
|
|
(7,303
|
)
|
(2,138
|
)
|
(14,386
|
)
|
(20,590
|
)
|
|||||
Transfers from/(to) credit reserve, net
|
21,586
|
|
19,671
|
|
31,140
|
|
13,178
|
|
54,805
|
|
|||||
Balance, end of period
|
$
|
627,724
|
|
$
|
648,659
|
|
$
|
683,648
|
|
$
|
733,060
|
|
$
|
769,764
|
|