Maryland
|
1-33796
|
26-0630461
|
(State or Other Jursidiction
|
(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 November 1, 2016, issued by Chimera Investment Corporation
|
|
|
99.2
|
Supplemental Financial Information for the quarter and year ended September 30, 2016.
|
•
|
GAAP EARNINGS OF
$0.92
PER SHARE
|
•
|
CORE EARNINGS
(1)
OF
$0.68
PER SHARE
|
•
|
GAAP BOOK VALUE OF
$16.18
PER SHARE
|
•
|
BOARD DECLARES INCREASED FOURTH QUARTER 2016 DIVIDEND OF $0.50 PER SHARE OF COMMON STOCK
|
•
|
BOARD DECLARES A FOURTH QUARTER 2016 DIVIDEND OF $0.42222 PER SHARE OF 8% SERIES A CUMULATIVE REDEEMABLE PREFERRED STOCK
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
(Unaudited)
|
||||||
|
September 30, 2016
|
December 31, 2015
|
||||
Assets:
|
|
|
||||
Cash and cash equivalents
|
$
|
156,608
|
|
$
|
114,062
|
|
Non-Agency RMBS, at fair value
|
3,437,235
|
|
3,675,841
|
|
||
Agency MBS, at fair value
|
4,362,550
|
|
6,514,824
|
|
||
Securitized loans held for investment, at fair value
|
8,909,037
|
|
4,768,416
|
|
||
Accrued interest receivable
|
84,328
|
|
66,247
|
|
||
Other assets
|
216,790
|
|
189,796
|
|
||
Derivatives, at fair value, net
|
2,153
|
|
15,460
|
|
||
Total assets
(1)
|
$
|
17,168,701
|
|
$
|
15,344,646
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements, MBS ($7.3 billion and $8.8 billion pledged as collateral, respectively)
|
$
|
5,817,519
|
|
$
|
7,439,339
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.9 billion and $2.1 billion pledged as collateral, respectively)
|
380,715
|
|
529,415
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($8.9 billion and $4.8 billion pledged as collateral, respectively)
|
7,191,462
|
|
3,720,496
|
|
||
Payable for investments purchased
|
578,499
|
|
560,641
|
|
||
Accrued interest payable
|
49,743
|
|
37,432
|
|
||
Dividends payable
|
90,645
|
|
90,097
|
|
||
Accounts payable and other liabilities
|
15,309
|
|
11,404
|
|
||
Derivatives, at fair value
|
8,009
|
|
9,634
|
|
||
Total liabilities
(1)
|
14,131,901
|
|
12,398,458
|
|
||
|
|
|
||||
Commitments and Contingencies
|
|
|
|
|
||
|
|
|
||||
Stockholders' Equity:
|
|
|
|
|
||
Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively
|
$
|
—
|
|
$
|
—
|
|
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,729,765 and 187,711,868 shares issued and outstanding, respectively
|
1,877
|
|
1,877
|
|
||
Additional paid-in-capital
|
3,367,943
|
|
3,366,568
|
|
||
Accumulated other comprehensive income
|
897,703
|
|
773,791
|
|
||
Accumulated deficit
|
(1,230,723
|
)
|
(1,196,048
|
)
|
||
Total stockholders' equity
|
$
|
3,036,800
|
|
$
|
2,946,188
|
|
Total liabilities and stockholders' equity
|
$
|
17,168,701
|
|
$
|
15,344,646
|
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
|
||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||
(Unaudited)
|
||||||||||||
|
For the Quarter Ended
|
For the Nine Months Ended
|
||||||||||
|
September 30, 2016
|
September 30, 2015
|
September 30, 2016
|
September 30, 2015
|
||||||||
Net Interest Income:
|
|
|
|
|
||||||||
Interest income
(1)
|
$
|
250,953
|
|
$
|
211,876
|
|
$
|
673,246
|
|
$
|
670,825
|
|
Interest expense
(2)
|
94,911
|
|
67,910
|
|
241,120
|
|
194,410
|
|
||||
Net interest income
|
156,042
|
|
143,966
|
|
432,126
|
|
476,415
|
|
||||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
(993
|
)
|
(3,129
|
)
|
(8,555
|
)
|
(6,389
|
)
|
||||
Portion of loss recognized in other comprehensive income
|
(10,581
|
)
|
(14,703
|
)
|
(34,652
|
)
|
(46,359
|
)
|
||||
Net other-than-temporary credit impairment losses
|
(11,574
|
)
|
(17,832
|
)
|
(43,207
|
)
|
(52,748
|
)
|
||||
Other investment gains (losses):
|
|
|
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
27,628
|
|
(71,540
|
)
|
(51,382
|
)
|
20,543
|
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
—
|
|
—
|
|
(60,616
|
)
|
(99,703
|
)
|
||||
Net realized gains (losses) on derivatives
|
(14,268
|
)
|
(21,160
|
)
|
(58,934
|
)
|
(80,023
|
)
|
||||
Net gains (losses) on derivatives
|
13,360
|
|
(92,700
|
)
|
(170,932
|
)
|
(159,183
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
32,999
|
|
(40,955
|
)
|
80,217
|
|
(88,640
|
)
|
||||
Net realized gains (losses) on sales of investments
|
3,079
|
|
3,539
|
|
7,035
|
|
42,789
|
|
||||
Gains (losses) on Extinguishment of Debt
|
(45
|
)
|
(19,915
|
)
|
(1,811
|
)
|
(14,836
|
)
|
||||
Total other gains (losses)
|
49,393
|
|
(150,031
|
)
|
(85,491
|
)
|
(219,870
|
)
|
||||
Other income:
|
|
|
|
|
|
|
|
|
||||
Other income
|
—
|
|
—
|
|
95,000
|
|
—
|
|
||||
Total other income
|
—
|
|
—
|
|
95,000
|
|
—
|
|
||||
Other expenses:
|
|
|
|
|
|
|
|
|
||||
Management fees
|
—
|
|
4,088
|
|
—
|
|
24,610
|
|
||||
Expense recoveries from Manager
|
—
|
|
(1,140
|
)
|
—
|
|
(6,905
|
)
|
||||
Net management fees
|
—
|
|
2,948
|
|
—
|
|
17,705
|
|
||||
Compensation and benefits
|
6,911
|
|
3,955
|
|
19,087
|
|
4,482
|
|
||||
General and administrative expenses
|
4,332
|
|
8,534
|
|
13,073
|
|
22,028
|
|
||||
Servicing Fees of consolidated VIEs
|
9,788
|
|
6,499
|
|
23,139
|
|
19,276
|
|
||||
Deal Expenses
|
—
|
|
2,426
|
|
13,022
|
|
5,337
|
|
||||
Total other expenses
|
21,031
|
|
24,362
|
|
68,321
|
|
68,828
|
|
||||
Income (loss) before income taxes
|
172,830
|
|
(48,259
|
)
|
330,107
|
|
134,969
|
|
||||
Income taxes
|
13
|
|
—
|
|
65
|
|
—
|
|
||||
Net income (loss)
|
$
|
172,817
|
|
$
|
(48,259
|
)
|
$
|
330,042
|
|
$
|
134,969
|
|
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|
|
||||
Basic
|
$
|
0.92
|
|
$
|
(0.24
|
)
|
$
|
1.76
|
|
$
|
0.65
|
|
Diluted
|
$
|
0.92
|
|
$
|
(0.24
|
)
|
$
|
1.76
|
|
$
|
0.65
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
||||
Basic
|
187,729,765
|
|
197,787,858
|
|
187,727,667
|
|
202,891,610
|
|
||||
Diluted
|
187,919,792
|
|
197,875,408
|
|
187,917,694
|
|
202,979,160
|
|
||||
|
|
|
|
|
|
|
|
|||||
Dividends declared per share of common stock
|
$
|
0.48
|
|
$
|
0.48
|
|
$
|
1.94
|
|
$
|
1.44
|
|
|
|
|
|
|
||||||||
Comprehensive income (loss):
|
|
|
|
|
|
|
|
|
||||
Net income (loss)
|
$
|
172,817
|
|
$
|
(48,259
|
)
|
$
|
330,042
|
|
$
|
134,969
|
|
Other comprehensive income:
|
|
|
|
|
|
|
|
|
||||
Unrealized gains (losses) on available-for-sale securities, net
|
(18,364
|
)
|
16,512
|
|
94,059
|
|
(121,142
|
)
|
||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
11,574
|
|
17,832
|
|
43,207
|
|
52,748
|
|
||||
Reclassification adjustment for net realized losses (gains) included in net income
|
(2,680
|
)
|
(3,903
|
)
|
(13,354
|
)
|
(43,038
|
)
|
||||
Other comprehensive income (loss)
|
(9,470
|
)
|
30,441
|
|
123,912
|
|
(111,432
|
)
|
||||
Comprehensive income (loss)
|
$
|
163,347
|
|
$
|
(17,818
|
)
|
$
|
453,954
|
|
$
|
23,537
|
|
|
September 30, 2016
|
December 31, 2015
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
—
|
|
$
|
—
|
|
1 to 29 days
|
2,856,171
|
|
3,312,902
|
|
||
30 to 59 days
|
432,336
|
|
2,501,513
|
|
||
60 to 89 days
|
920,977
|
|
246,970
|
|
||
90 to 119 days
|
842,876
|
|
430,026
|
|
||
Greater than or equal to 120 days
|
765,159
|
|
947,928
|
|
||
Total
|
$
|
5,817,519
|
|
$
|
7,439,339
|
|
|
|
|
||||
|
September 30, 2016
|
December 31, 2015
|
||||
Interest earning assets at period-end
(1)
|
$
|
16,708,822
|
|
$
|
14,959,081
|
|
Interest bearing liabilities at period-end
|
$
|
13,389,696
|
|
$
|
11,689,250
|
|
GAAP Leverage at period-end
|
4.4:1
|
|
4.0:1
|
|
||
GAAP Leverage at period-end (recourse)
|
1.9:1
|
|
2.5:1
|
|
||
Economic Leverage at period-end (recourse)
|
2.1:1
|
|
2.7:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
8.9
|
%
|
10.4
|
%
|
||
Senior
|
3.9
|
%
|
4.7
|
%
|
||
Senior, interest only
|
1.9
|
%
|
1.9
|
%
|
||
Subordinated
|
3.0
|
%
|
3.7
|
%
|
||
Subordinated, interest only
|
0.1
|
%
|
0.1
|
%
|
||
RMBS transferred to consolidated VIEs
|
7.9
|
%
|
10.1
|
%
|
||
Agency MBS
|
27.2
|
%
|
46.0
|
%
|
||
Residential
|
17.9
|
%
|
37.2
|
%
|
||
Commercial
|
8.3
|
%
|
6.8
|
%
|
||
Interest-only
|
1.0
|
%
|
2.0
|
%
|
||
Securitized loans held for investment
|
56.0
|
%
|
33.5
|
%
|
||
Fixed-rate percentage of portfolio
|
88.0
|
%
|
84.7
|
%
|
||
Adjustable-rate percentage of portfolio
|
12.0
|
%
|
15.3
|
%
|
||
Annualized yield on average interest earning assets for the periods ended
|
6.4
|
%
|
6.0
|
%
|
||
Annualized cost of funds on average borrowed funds for the periods ended
(2)
|
2.8
|
%
|
2.5
|
%
|
||
(1) Excludes cash and cash equivalents.
|
|
|
||||
(2) Includes the effect of realized losses on interest rate swaps.
|
|
|
September 30, 2016
|
|||
(dollars in thousands, except per share data)
|
|||
GAAP Book Value
|
$
|
3,036,800
|
|
GAAP Book Value per Share
|
$
|
16.18
|
|
|
|
|
|
Economic Adjustments:
|
|
|
|
Assets of Consolidated VIEs
|
(10,816,733
|
)
|
|
Non-Recourse Liabilities of Consolidated VIEs
|
7,572,177
|
|
|
Interests in VIEs eliminated in consolidation
|
3,004,546
|
|
|
|
|
|
|
Total Adjustments - Net
|
(240,010
|
)
|
|
Total Adjustments - Net (per share)
|
(1.28
|
)
|
|
|
|
|
|
Economic Book Value
|
$
|
2,796,790
|
|
Economic Book Value per Share
|
$
|
14.90
|
|
|
|
||
December 31, 2015
|
|||
(dollars in thousands, except per share data)
|
|||
GAAP Book Value
|
$
|
2,946,188
|
|
GAAP Book Value per Share
|
$
|
15.70
|
|
|
|
|
|
Economic Adjustments:
|
|
|
|
Assets of Consolidated VIEs
|
(6,908,910
|
)
|
|
Non-Recourse Liabilities of Consolidated VIEs
|
4,249,911
|
|
|
Interests in VIEs eliminated in consolidation
|
2,462,713
|
|
|
|
|
|
|
Total Adjustments - Net
|
(196,286
|
)
|
|
Total Adjustments - Net (per share)
|
(1.05
|
)
|
|
|
|
|
|
Economic Book Value
|
$
|
2,749,902
|
|
Economic Book Value per Share
|
$
|
14.65
|
|
|
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 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 Quarter Ended March 31, 2016
|
$
|
201,194
|
|
$
|
62,981
|
|
$
|
11,220
|
|
$
|
—
|
|
$
|
74,201
|
|
$
|
138,213
|
|
$
|
(11,220
|
)
|
$
|
(448
|
)
|
$
|
126,545
|
|
For the Quarter Ended December 31, 2015
|
$
|
201,912
|
|
$
|
64,954
|
|
$
|
11,673
|
|
$
|
—
|
|
$
|
76,627
|
|
$
|
136,958
|
|
$
|
(11,673
|
)
|
$
|
(13
|
)
|
$
|
125,272
|
|
For the Quarter Ended September 30, 2015
|
$
|
211,876
|
|
$
|
67,910
|
|
$
|
11,355
|
|
$
|
(2,214
|
)
|
$
|
77,051
|
|
$
|
143,966
|
|
$
|
(11,355
|
)
|
$
|
2,103
|
|
$
|
134,714
|
|
|
For the Quarter Ended
|
||||||||||||||||
|
September 30, 2016
|
|
September 30, 2015
|
||||||||||||||
|
(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
|
$
|
3,735,142
|
|
$
|
29,482
|
|
3.2
|
%
|
|
$
|
5,935,743
|
|
$
|
42,132
|
|
2.8
|
%
|
Non-Agency RMBS
|
1,404,995
|
|
25,879
|
|
7.4
|
%
|
|
1,450,827
|
|
27,579
|
|
7.6
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
1,267,633
|
|
61,272
|
|
19.3
|
%
|
|
1,527,414
|
|
65,028
|
|
17.0
|
%
|
||||
Jumbo Prime securitized residential mortgage loans held for investment
|
383,916
|
|
3,025
|
|
3.2
|
%
|
|
510,708
|
|
3,972
|
|
3.1
|
%
|
||||
Seasoned subprime securitized residential mortgage loans held for investment
|
8,590,865
|
|
131,190
|
|
6.1
|
%
|
|
4,664,014
|
|
73,054
|
|
6.3
|
%
|
||||
Total
|
$
|
15,382,551
|
|
$
|
250,848
|
|
6.5
|
%
|
|
$
|
14,088,706
|
|
$
|
211,765
|
|
6.0
|
%
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
||||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
||||||||||
Agency repurchase agreements
(2)
|
$
|
3,407,242
|
|
$
|
11,606
|
|
1.4
|
%
|
|
$
|
5,243,274
|
|
$
|
18,690
|
|
1.4
|
%
|
Non-Agency repurchase agreements
|
2,462,140
|
|
17,185
|
|
2.8
|
%
|
|
1,772,806
|
|
9,739
|
|
2.2
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
402,657
|
|
5,182
|
|
5.1
|
%
|
|
598,562
|
|
9,946
|
|
6.6
|
%
|
||||
Securitized debt, collateralized by jumbo prime residential mortgage loans
|
287,845
|
|
2,288
|
|
3.2
|
%
|
|
401,222
|
|
3,227
|
|
3.2
|
%
|
||||
Securitized debt, collateralized by seasoned subprime residential mortgage loans
|
7,025,781
|
|
63,245
|
|
3.6
|
%
|
|
3,843,969
|
|
35,449
|
|
3.7
|
%
|
||||
Total
|
$
|
13,585,665
|
|
$
|
99,506
|
|
2.9
|
%
|
|
$
|
11,859,833
|
|
$
|
77,051
|
|
2.6
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
151,342
|
|
3.6
|
%
|
|
|
|
$
|
134,714
|
|
3.4
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
1,796,886
|
|
|
|
3.9
|
%
|
|
$
|
2,228,873
|
|
|
|
3.8
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.13
|
|
|
|
|
|
|
1.19
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Interest-earning assets at amortized cost
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(2) Interest includes cash paid on swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Quarter Ended
|
For the Nine Months Ended
|
||||||||||
|
September 30, 2016
|
September 30, 2015
|
September 30, 2016
|
September 30, 2015
|
||||||||
|
(dollars in thousands)
|
(dollars in thousands)
|
||||||||||
Balance at beginning of period
|
$
|
1,714,592
|
|
$
|
1,698,323
|
|
$
|
1,742,744
|
|
$
|
1,534,497
|
|
Purchases
|
18,316
|
|
133,227
|
|
60,915
|
|
241,852
|
|
||||
Yield income earned
|
(69,850
|
)
|
(72,557
|
)
|
(141,256
|
)
|
(213,267
|
)
|
||||
Reclassification (to) from non-accretable difference
|
(29,490
|
)
|
19,205
|
|
(2,031
|
)
|
238,012
|
|
||||
Sales and deconsolidation
|
(12,907
|
)
|
(418
|
)
|
(39,711
|
)
|
(23,314
|
)
|
||||
Balance at end of period
|
$
|
1,620,661
|
|
$
|
1,777,780
|
|
$
|
1,620,661
|
|
$
|
1,777,780
|
|