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)
|
•
|
2
ND
QUARTER GAAP NET INCOME OF
$0.58
PER COMMON SHARE
|
•
|
2
ND
QUARTER CORE EARNINGS
(1)
OF
$0.59
PER COMMON SHARE
|
•
|
GAAP BOOK VALUE OF
$17.01
PER COMMON SHARE
|
CHIMERA INVESTMENT CORPORATION
|
||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||
(dollars in thousands, except share and per share data)
|
||||||
|
June 30, 2018
|
December 31, 2017
|
||||
Assets:
|
|
|
||||
Cash and cash equivalents
|
$
|
90,671
|
|
$
|
63,569
|
|
Non-Agency RMBS, at fair value
|
2,593,422
|
|
2,851,316
|
|
||
Agency MBS, at fair value
|
6,989,329
|
|
4,364,828
|
|
||
Loans held for investment, at fair value
|
13,246,521
|
|
13,678,263
|
|
||
Accrued interest receivable
|
106,877
|
|
100,789
|
|
||
Other assets
|
106,594
|
|
114,391
|
|
||
Derivatives, at fair value, net
|
129,341
|
|
48,914
|
|
||
Total assets
(1)
|
$
|
23,262,755
|
|
$
|
21,222,070
|
|
Liabilities:
|
|
|
|
|
||
Repurchase agreements ($10.6 billion and $8.8 billion, pledged as collateral, respectively)
|
$
|
9,127,048
|
|
$
|
7,250,452
|
|
Securitized debt, collateralized by Non-Agency RMBS ($1.3 billion and $1.6 billion pledged as collateral, respectively)
|
179,742
|
|
205,780
|
|
||
Securitized debt at fair value, collateralized by loans held for investment ($13.0 billion and $13.3 billion pledged as collateral, respectively)
|
9,340,368
|
|
9,388,657
|
|
||
Payable for investments purchased
|
784,425
|
|
567,440
|
|
||
Accrued interest payable
|
71,405
|
|
61,888
|
|
||
Dividends payable
|
95,807
|
|
95,365
|
|
||
Accounts payable and other liabilities
|
13,818
|
|
17,191
|
|
||
Derivatives, at fair value, net
|
—
|
|
320
|
|
||
Total liabilities
(1)
|
$
|
19,612,613
|
|
$
|
17,587,093
|
|
|
|
|
|
|
||
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
|
|
||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,006,450 and 187,809,288 shares issued and outstanding, respectively
|
1,870
|
|
1,878
|
|
||
Additional paid-in-capital
|
3,816,631
|
|
3,826,691
|
|
||
Accumulated other comprehensive income
|
671,651
|
|
796,902
|
|
||
Cumulative earnings
|
3,324,968
|
|
2,967,852
|
|
||
Cumulative distributions to stockholders
|
(4,165,166
|
)
|
(3,958,534
|
)
|
||
Total stockholders' equity
|
$
|
3,650,142
|
|
$
|
3,634,977
|
|
Total liabilities and stockholders' equity
|
$
|
23,262,755
|
|
$
|
21,222,070
|
|
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, 2018
|
June 30, 2017
|
|
June 30, 2018
|
June 30, 2017
|
||||||||
Net interest income:
|
|
|
|
|
|
||||||||
Interest income
(1)
|
$
|
306,436
|
|
$
|
288,644
|
|
|
$
|
603,567
|
|
$
|
539,988
|
|
Interest expense
(2)
|
161,266
|
|
137,955
|
|
|
310,518
|
|
248,186
|
|
||||
Net interest income
|
145,170
|
|
150,689
|
|
|
293,049
|
|
291,802
|
|
||||
Other-than-temporary impairments:
|
|
|
|
|
|
|
|
|
|
||||
Total other-than-temporary impairment losses
|
(805
|
)
|
(749
|
)
|
|
(1,099
|
)
|
(3,462
|
)
|
||||
Portion of loss recognized in other comprehensive income
|
(8,326
|
)
|
(12,760
|
)
|
|
(9,190
|
)
|
(28,748
|
)
|
||||
Net other-than-temporary credit impairment losses
|
(9,131
|
)
|
(13,509
|
)
|
|
(10,289
|
)
|
(32,210
|
)
|
||||
Other investment gains (losses):
|
|
|
|
|
|
|
|
|
|
||||
Net unrealized gains (losses) on derivatives
|
25,895
|
|
5,802
|
|
|
107,314
|
|
10,698
|
|
||||
Realized gains (losses) on terminations of interest rate swaps
|
—
|
|
(16,143
|
)
|
|
—
|
|
(16,143
|
)
|
||||
Net realized gains (losses) on derivatives
|
(1,393
|
)
|
(11,481
|
)
|
|
11,693
|
|
(20,839
|
)
|
||||
Net gains (losses) on derivatives
|
24,502
|
|
(21,822
|
)
|
|
119,007
|
|
(26,284
|
)
|
||||
Net unrealized gains (losses) on financial instruments at fair value
|
(18,364
|
)
|
67,762
|
|
|
(3,898
|
)
|
140,005
|
|
||||
Net realized gains (losses) on sales of investments
|
2,167
|
|
4,541
|
|
|
2,167
|
|
9,708
|
|
||||
Gains (losses) on extinguishment of debt
|
387
|
|
(48,014
|
)
|
|
10,057
|
|
(48,014
|
)
|
||||
Total other gains (losses)
|
8,692
|
|
2,467
|
|
|
127,333
|
|
75,415
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Other expenses:
|
|
|
|
|
|
|
|
|
|||||
Compensation and benefits
|
8,689
|
|
7,671
|
|
|
17,100
|
|
15,227
|
|
||||
General and administrative expenses
|
5,860
|
|
4,585
|
|
|
11,349
|
|
8,625
|
|
||||
Servicing fees
|
9,943
|
|
10,890
|
|
|
21,277
|
|
$
|
20,478
|
|
|||
Deal expenses
|
2,095
|
|
1,345
|
|
|
3,183
|
|
12,698
|
|
||||
Total other expenses
|
26,587
|
|
24,491
|
|
|
52,909
|
|
57,028
|
|
||||
Income (loss) before income taxes
|
118,144
|
|
115,156
|
|
|
357,184
|
|
$
|
277,979
|
|
|||
Income taxes
|
36
|
|
139
|
|
|
68
|
|
$
|
155
|
|
|||
Net income (loss)
|
$
|
118,108
|
|
$
|
115,017
|
|
|
$
|
357,116
|
|
$
|
277,824
|
|
|
|
|
|
|
|
|
|
|
|
||||
Dividend on preferred stock
|
9,400
|
|
9,400
|
|
|
18,800
|
|
14,683
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
108,708
|
|
$
|
105,617
|
|
|
$
|
338,316
|
|
$
|
263,141
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) per share available to common shareholders:
|
|
|
|
|
|
|
|
|
|
||||
Basic
|
$
|
0.58
|
|
$
|
0.56
|
|
|
$
|
1.81
|
|
$
|
1.40
|
|
Diluted
|
$
|
0.58
|
|
$
|
0.56
|
|
|
$
|
1.80
|
|
$
|
1.40
|
|
|
|
|
|
|
|
|
|
|
|
||||
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
|
||||
Basic
|
186,994,743
|
|
187,779,406
|
|
|
187,272,469
|
|
187,770,626
|
|
||||
Diluted
|
187,422,145
|
|
188,142,551
|
|
|
187,738,443
|
|
188,169,093
|
|
||||
|
|
|
|
|
|
|
|
|
|||||
Dividends declared per share of common stock
|
$
|
0.50
|
|
$
|
0.50
|
|
|
$
|
1.00
|
|
$
|
1.00
|
|
|
|
|
|
|
|
|
|
|
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, 2018
|
June 30, 2017
|
June 30, 2018
|
June 30, 2017
|
||||||||
Comprehensive income (loss):
|
|
|
|
|
||||||||
Net income (loss)
|
$
|
118,108
|
|
$
|
115,017
|
|
$
|
357,116
|
|
$
|
277,824
|
|
Other comprehensive income:
|
|
|
|
|
||||||||
Unrealized gains (losses) on available-for-sale securities, net
|
(42,341
|
)
|
41,655
|
|
(131,157
|
)
|
37,744
|
|
||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
|
9,131
|
|
13,509
|
|
10,289
|
|
32,210
|
|
||||
Reclassification adjustment for net realized losses (gains) included in net income
|
(4,383
|
)
|
(2,591
|
)
|
(4,383
|
)
|
(7,777
|
)
|
||||
Other comprehensive income (loss)
|
(37,593
|
)
|
52,573
|
|
(125,251
|
)
|
62,177
|
|
||||
Comprehensive income (loss) before preferred stock dividends
|
$
|
80,515
|
|
$
|
167,590
|
|
$
|
231,865
|
|
$
|
340,001
|
|
Dividends on preferred stock
|
$
|
9,400
|
|
$
|
9,400
|
|
$
|
18,800
|
|
$
|
14,683
|
|
Comprehensive income (loss) available to common stock shareholders
|
$
|
71,115
|
|
$
|
158,190
|
|
$
|
213,065
|
|
$
|
325,318
|
|
|
June 30, 2018
|
December 31, 2017
|
||||
|
(dollars in thousands)
|
|||||
Overnight
|
$
|
—
|
|
$
|
—
|
|
1 to 29 days
|
4,757,404
|
|
4,745,342
|
|
||
30 to 59 days
|
1,915,294
|
|
1,206,769
|
|
||
60 to 89 days
|
1,460,284
|
|
592,865
|
|
||
90 to 119 days
|
90,183
|
|
—
|
|
||
Greater than or equal to 120 days
|
903,883
|
|
705,476
|
|
||
Total
|
$
|
9,127,048
|
|
$
|
7,250,452
|
|
|
June 30, 2018
|
December 31, 2017
|
||||
Interest earning assets at period-end
(1)
|
$
|
22,829,272
|
|
$
|
20,894,407
|
|
Interest bearing liabilities at period-end
|
$
|
18,647,158
|
|
$
|
16,844,889
|
|
GAAP Leverage at period-end
|
5.1:1
|
|
4.6:1
|
|
||
GAAP Leverage at period-end (recourse)
|
2.5:1
|
|
2.0:1
|
|
||
Portfolio Composition, at amortized cost
|
|
|
|
|
||
Non-Agency RMBS
|
5.3
|
%
|
5.9
|
%
|
||
Senior
|
3.0
|
%
|
2.9
|
%
|
||
Senior, interest only
|
1.4
|
%
|
1.3
|
%
|
||
Subordinated
|
0.9
|
%
|
1.7
|
%
|
||
Subordinated, interest only
|
0.0
|
%
|
0.0
|
%
|
||
RMBS transferred to consolidated VIEs
|
3.2
|
%
|
4.6
|
%
|
||
Agency MBS
|
32.7
|
%
|
22.2
|
%
|
||
Residential
|
21.5
|
%
|
11.8
|
%
|
||
Commercial
|
10.7
|
%
|
9.8
|
%
|
||
Interest-only
|
0.5
|
%
|
0.6
|
%
|
||
Loans held for investment
|
58.8
|
%
|
67.3
|
%
|
||
Fixed-rate percentage of portfolio
|
94.7
|
%
|
93.7
|
%
|
||
Adjustable-rate percentage of portfolio
|
5.3
|
%
|
6.3
|
%
|
||
Annualized yield on average interest earning assets for the periods ended
|
6.1
|
%
|
6.3
|
%
|
||
Annualized cost of funds on average borrowed funds for the periods ended
(2)
|
3.6
|
%
|
3.6
|
%
|
|
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 June 30, 2018
|
$
|
306,436
|
|
|
$
|
161,266
|
|
$
|
(1,246
|
)
|
$
|
160,020
|
|
|
$
|
145,170
|
|
$
|
1,246
|
|
$
|
436
|
|
$
|
146,852
|
|
For the Quarter Ended March 31, 2018
|
$
|
297,132
|
|
|
$
|
149,251
|
|
$
|
2,612
|
|
$
|
151,863
|
|
|
$
|
147,881
|
|
$
|
(2,612
|
)
|
$
|
143
|
|
$
|
145,412
|
|
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
|
||||||||||||||||
|
June 30, 2018
|
|
June 30, 2017
|
||||||||||||||
|
(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
|
$
|
5,149,790
|
|
$
|
43,328
|
|
3.4
|
%
|
|
$
|
3,661,335
|
|
$
|
24,289
|
|
2.7
|
%
|
Non-Agency RMBS
|
1,146,623
|
|
27,133
|
|
9.5
|
%
|
|
1,335,643
|
|
29,567
|
|
8.9
|
%
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
788,432
|
|
49,209
|
|
25.0
|
%
|
|
1,069,509
|
|
58,486
|
|
21.9
|
%
|
||||
Residential mortgage loans held for investment
|
13,041,746
|
|
187,202
|
|
5.7
|
%
|
|
12,391,023
|
|
175,952
|
|
5.7
|
%
|
||||
Total
|
$
|
20,126,591
|
|
$
|
306,872
|
|
6.1
|
%
|
|
$
|
18,457,510
|
|
$
|
288,294
|
|
6.2
|
%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements collateralized by:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency MBS
(2)
|
$
|
4,780,044
|
|
$
|
20,661
|
|
1.7
|
%
|
|
$
|
3,156,501
|
|
$
|
12,190
|
|
1.5
|
%
|
Non-Agency RMBS
|
371,968
|
|
3,391
|
|
3.6
|
%
|
|
725,698
|
|
5,229
|
|
2.9
|
%
|
||||
Re-Remic repurchase agreements
|
756,931
|
|
7,780
|
|
4.1
|
%
|
|
387,493
|
|
3,573
|
|
3.7
|
%
|
||||
RMBS from loan securitizations
|
2,618,381
|
|
28,681
|
|
4.4
|
%
|
|
1,823,189
|
|
14,726
|
|
3.2
|
%
|
||||
Securitized debt, collateralized by Non-Agency RMBS
|
187,355
|
|
2,637
|
|
5.6
|
%
|
|
284,127
|
|
5,563
|
|
7.8
|
%
|
||||
Securitized debt, collateralized by loans
|
9,168,464
|
|
96,870
|
|
4.2
|
%
|
|
9,700,805
|
|
100,160
|
|
4.1
|
%
|
||||
Total
|
$
|
17,883,143
|
|
$
|
160,020
|
|
3.6
|
%
|
|
$
|
16,077,813
|
|
$
|
141,441
|
|
3.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Economic net interest income/net interest rate spread
|
|
|
$
|
146,852
|
|
2.5
|
%
|
|
|
|
$
|
146,853
|
|
2.7
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net interest-earning assets/net interest margin
|
$
|
2,243,448
|
|
|
|
2.9
|
%
|
|
$
|
2,379,697
|
|
|
|
3.2
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Ratio of interest-earning assets to interest bearing liabilities
|
1.13
|
|
|
|
|
|
|
1.15
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(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 Equity
|
|||
|
(Ratios have been annualized)
|
|||||
For the Quarter Ended June 30, 2018
|
12.91
|
%
|
16.05
|
%
|
12.02
|
%
|
For the Quarter Ended March 31, 2018
|
26.17
|
%
|
15.92
|
%
|
11.91
|
%
|
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 Quarters Ended
|
||||||||||||||
Accretable Discount (Net of Premiums)
|
June 30, 2018
|
|
March 31, 2018
|
|
December 31, 2017
|
|
September 30, 2017
|
|
June 30, 2017
|
|
|||||
|
(dollars in thousands)
|
||||||||||||||
Balance, beginning of period
|
$
|
555,444
|
|
$
|
582,193
|
|
$
|
622,982
|
|
$
|
627,724
|
|
$
|
648,659
|
|
Accretion of discount
|
(38,110
|
)
|
(37,309
|
)
|
(39,640
|
)
|
(43,502
|
)
|
(42,625
|
)
|
|||||
Purchases
|
3,098
|
|
—
|
|
(2,914
|
)
|
1,723
|
|
(108
|
)
|
|||||
Sales and deconsolidation
|
(6,439
|
)
|
174
|
|
—
|
|
5,792
|
|
212
|
|
|||||
Transfers from/(to) credit reserve, net
|
26,276
|
|
10,386
|
|
1,765
|
|
31,245
|
|
21,586
|
|
|||||
Balance, end of period
|
$
|
540,269
|
|
$
|
555,444
|
|
$
|
582,193
|
|
$
|
622,982
|
|
$
|
627,724
|
|