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
|
•
|
GAAP NET LOSS OF $(2.08) PER COMMON SHARE
|
•
|
CORE EARNINGS(1) OF $0.57 PER COMMON SHARE
|
•
|
GAAP BOOK VALUE OF $12.45 PER COMMON SHARE
|
•
|
COMPLETED TWO LOAN SECURITIZATIONS IN MARCH FOR $883 MILLION
|
•
|
ISSUED $374 MILLION CONVERTIBLE SENIOR NOTES
|
•
|
PAID COMMON AND PREFERRED DIVIDENDS AS SCHEDULED
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
March 31, 2020
|
December 31, 2019
|
||||
Cash and cash equivalents
|
$
|
261,491
|
|
$
|
109,878
|
|
Non-Agency RMBS, at fair value (net of allowance for credit losses of $6 million and $0 million, respectively)
|
2,174,400
|
|
2,614,408
|
|
||
Agency RMBS, at fair value
|
105,644
|
|
6,490,293
|
|
||
Agency CMBS, at fair value
|
2,832,716
|
|
2,850,717
|
|
||
Loans held for investment, at fair value
|
13,306,818
|
|
14,292,815
|
|
||
Receivable for investments sold
|
—
|
|
446,225
|
|
||
Accrued interest receivable
|
93,343
|
|
116,423
|
|
||
Other assets
|
467,451
|
|
194,301
|
|
||
Derivatives, at fair value, net
|
—
|
|
3,611
|
|
||
Total assets (1)
|
$
|
19,241,863
|
|
$
|
27,118,671
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($8.8 billion and $15.4 billion pledged as collateral, respectively)
|
$
|
7,146,996
|
|
$
|
13,427,545
|
|
Securitized debt, collateralized by Non-Agency RMBS ($522 million and $598 million pledged as collateral, respectively)
|
128,683
|
|
133,557
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($11.9 billion and $12.1 billion pledged as collateral, respectively)
|
7,864,196
|
|
8,179,608
|
|
||
Payable for investments purchased
|
699,164
|
|
1,256,337
|
|
||
Accrued interest payable
|
45,709
|
|
63,600
|
|
||
Dividends payable
|
98,434
|
|
98,568
|
|
||
Accounts payable and other liabilities
|
14,827
|
|
6,163
|
|
||
Total liabilities (1)
|
$
|
15,998,009
|
|
$
|
23,165,378
|
|
|
|
|
|
|
||
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, 185,860,307 and 187,226,081 shares issued and outstanding, respectively
|
1,860
|
|
1,873
|
|
||
Additional paid-in-capital
|
4,255,054
|
|
4,275,963
|
|
||
Accumulated other comprehensive income
|
502,491
|
|
708,336
|
|
||
Cumulative earnings
|
3,422,285
|
|
3,793,040
|
|
||
Cumulative distributions to stockholders
|
(4,938,208
|
)
|
(4,826,291
|
)
|
||
Total stockholders' equity
|
$
|
3,243,854
|
|
$
|
3,953,293
|
|
Total liabilities and stockholders' equity
|
$
|
19,241,863
|
|
$
|
27,118,671
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
For the Quarters Ended
|
|||||
|
March 31, 2020
|
March 31, 2019
|
||||
Net interest income:
|
|
|
||||
Interest income (1)
|
$
|
300,266
|
|
$
|
350,389
|
|
Interest expense (2)
|
142,083
|
|
202,950
|
|
||
Net interest income
|
158,183
|
|
147,439
|
|
||
|
|
|
|
|
||
Provision for credit losses
|
(6,314
|
)
|
—
|
|
||
|
|
|
|
|
||
Net other-than-temporary credit impairment losses
|
—
|
|
(4,853
|
)
|
||
|
|
|
|
|
||
Other investment gains (losses):
|
|
|
|
|
||
Net unrealized gains (losses) on derivatives
|
201,000
|
|
(89,315
|
)
|
||
Realized gains (losses) on terminations of interest rate swaps
|
(463,966
|
)
|
(108,046
|
)
|
||
Net realized gains (losses) on derivatives
|
(41,086
|
)
|
(7,277
|
)
|
||
Net gains (losses) on derivatives
|
(304,052
|
)
|
(204,638
|
)
|
||
Net unrealized gains (losses) on financial instruments at fair value
|
(260,887
|
)
|
200,812
|
|
||
Net realized gains (losses) on sales of investments
|
75,854
|
|
8,603
|
|
||
Total other gains (losses)
|
(489,085
|
)
|
4,777
|
|
||
|
|
|
|
|
||
Other expenses:
|
|
|
|
|
||
Compensation and benefits
|
12,934
|
|
14,370
|
|
||
General and administrative expenses
|
5,678
|
|
5,821
|
|
||
Servicing fees
|
9,989
|
|
8,963
|
|
||
Transaction expenses
|
4,906
|
|
62
|
|
||
Total other expenses
|
33,507
|
|
29,216
|
|
||
Income (loss) before income taxes
|
(370,723
|
)
|
118,147
|
|
||
Income taxes
|
32
|
|
—
|
|
||
Net income (loss)
|
$
|
(370,755
|
)
|
$
|
118,147
|
|
|
|
|
|
|
||
Dividends on preferred stock
|
18,438
|
|
17,392
|
|
||
|
|
|
|
|
||
Net income (loss) available to common shareholders
|
$
|
(389,193
|
)
|
$
|
100,755
|
|
|
|
|
|
|
||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
||
Basic
|
$
|
(2.08
|
)
|
$
|
0.54
|
|
Diluted
|
$
|
(2.08
|
)
|
$
|
0.54
|
|
|
|
|
|
|
||
Weighted average number of common shares outstanding:
|
|
|
|
|
||
Basic
|
187,018,602
|
|
187,112,454
|
|
||
Diluted
|
187,018,602
|
|
188,199,711
|
|
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, 2020
|
March 31, 2019
|
||||
Comprehensive income (loss):
|
|
|
||||
Net income (loss)
|
$
|
(370,755
|
)
|
$
|
118,147
|
|
Other comprehensive income:
|
|
|
||||
Unrealized gains (losses) on available-for-sale securities, net
|
(199,204
|
)
|
26,385
|
|
||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
—
|
|
4,853
|
|
||
Reclassification adjustment for net realized losses (gains) included in net income
|
(6,641
|
)
|
14,918
|
|
||
Other comprehensive income (loss)
|
(205,845
|
)
|
46,156
|
|
||
Comprehensive income (loss) before preferred stock dividends
|
$
|
(576,600
|
)
|
$
|
164,303
|
|
Dividends on preferred stock
|
$
|
18,438
|
|
$
|
17,392
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
(595,038
|
)
|
$
|
146,911
|
|
|
March 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
|
$
|
1,924,284
|
|
$
|
52.14
|
|
73.81
|
|
4.8
|
%
|
17.3
|
%
|
Subordinated
|
900,396
|
|
62.97
|
|
58.66
|
|
3.8
|
%
|
6.8
|
%
|
||
Interest-only
|
6,931,077
|
|
4.14
|
|
3.26
|
|
1.3
|
%
|
11.5
|
%
|
||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
||
Interest-only
|
1,484,016
|
|
9.11
|
|
7.12
|
|
1.6
|
%
|
4.1
|
%
|
||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
||
Project loans
|
2,506,241
|
|
101.77
|
|
111.18
|
|
3.8
|
%
|
3.6
|
%
|
||
Interest-only
|
1,764,487
|
|
2.67
|
|
2.62
|
|
0.6
|
%
|
4.8
|
%
|
|
December 31, 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
|
$
|
2,024,564
|
|
$
|
52.98
|
|
$
|
84.01
|
|
5.0
|
%
|
20.8
|
%
|
Subordinated
|
876,592
|
|
63.15
|
|
71.25
|
|
3.7
|
%
|
6.9
|
%
|
|||
Interest-only
|
7,458,653
|
|
4.04
|
|
3.87
|
|
1.1
|
%
|
8.4
|
%
|
|||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|||
Pass-through
|
6,080,547
|
|
102.15
|
|
104.64
|
|
4.0
|
%
|
3.4
|
%
|
|||
Interest-only
|
1,539,941
|
|
9.06
|
|
8.29
|
|
1.6
|
%
|
4.0
|
%
|
|||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|||
Project loans
|
2,621,938
|
|
101.82
|
|
106.86
|
|
3.7
|
%
|
3.6
|
%
|
|||
Interest-only
|
1,817,246
|
|
2.81
|
|
2.70
|
|
0.7
|
%
|
4.7
|
%
|
|
March 31, 2020
|
December 31, 2019
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
40,836
|
|
$
|
—
|
|
1 to 29 days
|
3,634,255
|
|
9,709,387
|
|
||
30 to 59 days
|
502,333
|
|
800,648
|
|
||
60 to 89 days
|
633,939
|
|
608,520
|
|
||
90 to 119 days
|
113,370
|
|
—
|
|
||
Greater than or equal to 120 days
|
2,222,263
|
|
2,308,990
|
|
||
Total
|
$
|
7,146,996
|
|
$
|
13,427,545
|
|
|
March 31, 2020
|
December 31, 2019
|
||||
Interest earning assets at period-end (1)
|
$
|
18,419,578
|
|
$
|
26,248,233
|
|
Interest bearing liabilities at period-end
|
$
|
15,139,875
|
|
$
|
21,740,710
|
|
GAAP Leverage at period-end
|
4.7:1
|
|
5.5:1
|
|
||
GAAP Leverage at period-end (recourse)
|
2.2:1
|
|
3.4:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
10.2
|
%
|
7.9
|
%
|
||
Senior
|
5.5
|
%
|
4.5
|
%
|
||
Subordinated
|
3.1
|
%
|
2.2
|
%
|
||
Interest-only
|
1.6
|
%
|
1.2
|
%
|
||
Agency RMBS
|
0.8
|
%
|
25.7
|
%
|
||
Pass-through
|
—
|
%
|
25.1
|
%
|
||
Interest-only
|
0.8
|
%
|
0.6
|
%
|
||
Agency CMBS
|
14.5
|
%
|
11.0
|
%
|
||
Project loans
|
14.2
|
%
|
10.8
|
%
|
||
Interest-only
|
0.3
|
%
|
0.2
|
%
|
||
Loans held for investment
|
74.5
|
%
|
55.4
|
%
|
||
Fixed-rate percentage of portfolio
|
94.6
|
%
|
95.9
|
%
|
||
Adjustable-rate percentage of portfolio
|
5.4
|
%
|
4.1
|
%
|
|
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 March 31, 2020
|
$
|
300,266
|
|
|
$
|
142,083
|
|
$
|
6,385
|
|
$
|
148,468
|
|
|
$
|
158,183
|
|
$
|
(6,385
|
)
|
$
|
(1,266
|
)
|
$
|
150,532
|
|
For the Quarter Ended December 31, 2019
|
$
|
340,662
|
|
|
$
|
169,203
|
|
$
|
5,409
|
|
$
|
174,612
|
|
|
$
|
171,459
|
|
$
|
(5,409
|
)
|
$
|
(1,664
|
)
|
$
|
164,386
|
|
For the Quarter Ended September 30, 2019
|
$
|
330,144
|
|
|
$
|
188,551
|
|
$
|
963
|
|
$
|
189,514
|
|
|
$
|
141,593
|
|
$
|
(963
|
)
|
$
|
(2,465
|
)
|
$
|
138,165
|
|
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
|
||||||||||||||||
|
March 31, 2020
|
|
March 31, 2019
|
||||||||||||||
|
(dollars in thousands)
|
|
(dollars in thousands)
|
||||||||||||||
|
Average
Balance |
Interest
|
Average
Yield/Cost |
|
Average
Balance |
Interest
|
Average
Yield/Cost |
||||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||||
Interest-earning assets (1):
|
|
|
|
|
|
|
|
||||||||||
Agency RMBS
|
$
|
4,652,843
|
|
$
|
42,663
|
|
3.7
|
%
|
|
$
|
9,479,513
|
|
$
|
84,645
|
|
3.6
|
%
|
Agency CMBS
|
2,204,435
|
|
20,698
|
|
3.8
|
%
|
|
1,968,730
|
|
18,950
|
|
3.9
|
%
|
||||
Non-Agency RMBS
|
1,883,781
|
|
61,014
|
|
13.0
|
%
|
|
1,807,104
|
|
71,527
|
|
15.8
|
%
|
||||
Loans held for investment
|
13,716,833
|
|
174,625
|
|
5.1
|
%
|
|
12,102,993
|
|
173,696
|
|
5.7
|
%
|
||||
Total
|
$
|
22,457,892
|
|
$
|
299,000
|
|
5.3
|
%
|
|
$
|
25,358,340
|
|
$
|
348,818
|
|
5.5
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency RMBS
|
$
|
4,406,106
|
|
$
|
27,114
|
|
2.5
|
%
|
|
$
|
9,007,036
|
|
$
|
54,035
|
|
2.4
|
%
|
Agency CMBS
|
2,112,244
|
|
12,361
|
|
2.3
|
%
|
|
1,687,980
|
|
15,276
|
|
3.6
|
%
|
||||
Non-Agency RMBS
|
1,384,095
|
|
9,666
|
|
2.8
|
%
|
|
1,191,948
|
|
12,190
|
|
4.1
|
%
|
||||
Loans held for investment
|
3,852,347
|
|
32,890
|
|
3.4
|
%
|
|
2,706,425
|
|
24,960
|
|
3.7
|
%
|
||||
Securitized debt
|
8,079,597
|
|
66,437
|
|
3.3
|
%
|
|
8,306,671
|
|
91,027
|
|
4.4
|
%
|
||||
Total
|
$
|
19,834,389
|
|
$
|
148,468
|
|
3.0
|
%
|
|
$
|
22,900,059
|
|
$
|
197,488
|
|
3.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
150,532
|
|
2.3
|
%
|
|
|
|
$
|
151,330
|
|
2.1
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,623,503
|
|
|
|
2.7
|
%
|
|
$
|
2,458,281
|
|
|
|
2.4
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.13
|
|
|
|
|
|
|
1.11
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(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 March 31, 2020
|
(41.21
|
)%
|
16.73
|
%
|
15.88
|
%
|
For the Quarter Ended December 31, 2019
|
13.12
|
%
|
16.55
|
%
|
15.78
|
%
|
For the Quarter Ended September 30, 2019
|
10.68
|
%
|
13.88
|
%
|
12.37
|
%
|
For the Quarter Ended June 30, 2019
|
5.93
|
%
|
14.49
|
%
|
13.10
|
%
|
For the Quarter Ended March 31, 2019
|
12.34
|
%
|
15.81
|
%
|
14.37
|
%
|
|
For the Quarters Ended
|
||||||||||||||
Accretable Discount (Net of Premiums)
|
March 31, 2020
|
|
December 31, 2019
|
|
September 30, 2019
|
|
June 30, 2019
|
|
March 31, 2019
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
494,255
|
|
$
|
494,780
|
|
$
|
514,095
|
|
$
|
485,040
|
|
$
|
505,763
|
|
Accretion of discount
|
(24,784
|
)
|
(44,342
|
)
|
(33,256
|
)
|
(35,964
|
)
|
(35,551
|
)
|
|||||
Purchases
|
(4,336
|
)
|
(12,541
|
)
|
(13,772
|
)
|
48,736
|
|
6,638
|
|
|||||
Sales and deconsolidation
|
438
|
|
(786
|
)
|
1,536
|
|
409
|
|
127
|
|
|||||
Transfers from/(to) credit reserve, net
|
(27,341
|
)
|
57,144
|
|
26,177
|
|
15,874
|
|
8,063
|
|
|||||
Balance, end of period
|
$
|
438,232
|
|
$
|
494,255
|
|
$
|
494,780
|
|
$
|
514,095
|
|
$
|
485,040
|
|