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 |
(d) | Exhibits | ||||
99.1 | |||||
99.2 |
CHIMERA INVESTMENT CORPORATION | ||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
(dollars in thousands, except share and per share data) | ||||||||
(Unaudited) | ||||||||
March 31, 2021 | December 31, 2020 | |||||||
Cash and cash equivalents | $ | 317,489 | $ | 269,090 | ||||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $54 thousand and $180 thousand, respectively) | 2,013,478 | 2,150,714 | ||||||
Agency RMBS, at fair value | 86,354 | 90,738 | ||||||
Agency CMBS, at fair value | 1,355,289 | 1,740,368 | ||||||
Loans held for investment, at fair value | 12,808,012 | 13,112,129 | ||||||
Accrued interest receivable | 77,562 | 81,158 | ||||||
Other assets | 41,078 | 78,822 | ||||||
Total assets (1)
|
$ | 16,699,262 | $ | 17,523,019 | ||||
Liabilities: | ||||||||
Secured financing agreements ($5.7 billion and $6.7 billion pledged as collateral, respectively) | $ | 4,045,912 | $ | 4,636,847 | ||||
Securitized debt, collateralized by Non-Agency RMBS ($479 million and $505 million pledged as collateral, respectively) | 107,367 | 113,433 | ||||||
Securitized debt at fair value, collateralized by loans held for investment ($12.1 billion and $12.4 billion pledged as collateral, respectively) | 8,734,372 | 8,711,677 | ||||||
Long term debt | 51,772 | 51,623 | ||||||
Payable for investments purchased | 76,534 | 106,169 | ||||||
Accrued interest payable | 24,855 | 40,950 | ||||||
Dividends payable | 77,355 | 77,213 | ||||||
Accounts payable and other liabilities | 14,597 | 5,721 | ||||||
Total liabilities (1)
|
$ | 13,132,764 | $ | 13,743,633 | ||||
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, 230,553,340 and 230,556,760 shares issued and outstanding, respectively | 2,306 | 2,306 | ||||||
Additional paid-in-capital | 4,320,419 | 4,538,029 | ||||||
Accumulated other comprehensive income | 493,651 | 558,096 | ||||||
Cumulative earnings | 4,039,485 | 3,881,894 | ||||||
Cumulative distributions to stockholders | (5,289,735) | (5,201,311) | ||||||
Total stockholders' equity | $ | 3,566,498 | $ | 3,779,386 | ||||
Total liabilities and stockholders' equity | $ | 16,699,262 | $ | 17,523,019 |
CHIMERA INVESTMENT CORPORATION | |||||||||||||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||||||||||||||||
(dollars in thousands, except share and per share data) | |||||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||
For the Quarters Ended | |||||||||||||||||||||||
March 31, 2021 | March 31, 2020 | ||||||||||||||||||||||
Net interest income: | |||||||||||||||||||||||
Interest income (1)
|
$ | 243,127 | $ | 300,266 | |||||||||||||||||||
Interest expense (2)
|
108,066 | 142,083 | |||||||||||||||||||||
Net interest income | 135,061 | 158,183 | |||||||||||||||||||||
Increase/(decrease) in provision for credit losses | (126) | 6,314 | |||||||||||||||||||||
Other investment gains (losses): | |||||||||||||||||||||||
Net unrealized gains (losses) on derivatives | — | 201,000 | |||||||||||||||||||||
Realized gains (losses) on terminations of interest rate swaps | — | (463,966) | |||||||||||||||||||||
Net realized gains (losses) on derivatives | — | (41,086) | |||||||||||||||||||||
Net gains (losses) on derivatives | — | (304,052) | |||||||||||||||||||||
Net unrealized gains (losses) on financial instruments at fair value | 270,012 | (260,887) | |||||||||||||||||||||
Net realized gains (losses) on sales of investments | 37,796 | 75,854 | |||||||||||||||||||||
Gains (losses) on extinguishment of debt | (237,137) | — | |||||||||||||||||||||
Total other gains (losses) | 70,671 | (489,085) | |||||||||||||||||||||
Other expenses: | |||||||||||||||||||||||
Compensation and benefits | 13,439 | 12,934 | |||||||||||||||||||||
General and administrative expenses | 5,198 | 5,137 | |||||||||||||||||||||
Servicing and asset manager fees | 9,281 | 10,530 | |||||||||||||||||||||
Transaction expenses | 16,437 | 4,906 | |||||||||||||||||||||
Total other expenses | 44,355 | 33,507 | |||||||||||||||||||||
Income (loss) before income taxes | 161,503 | (370,723) | |||||||||||||||||||||
Income taxes | 3,912 | 32 | |||||||||||||||||||||
Net income (loss) | $ | 157,591 | $ | (370,755) | |||||||||||||||||||
Dividends on preferred stock | 18,438 | 18,438 | |||||||||||||||||||||
Net income (loss) available to common shareholders | $ | 139,153 | $ | (389,193) | |||||||||||||||||||
Net income (loss) per share available to common shareholders: | |||||||||||||||||||||||
Basic | $ | 0.60 | $ | (2.08) | |||||||||||||||||||
Diluted | $ | 0.54 | $ | (2.08) | |||||||||||||||||||
Weighted average number of common shares outstanding: | |||||||||||||||||||||||
Basic | 230,567,231 | 187,018,602 | |||||||||||||||||||||
Diluted | 261,435,081 | 187,018,602 | |||||||||||||||||||||
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, 2021 | March 31, 2020 | ||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||
Net income (loss) | $ | 157,591 | $ | (370,755) | |||||||||||||
Other comprehensive income: | |||||||||||||||||
Unrealized gains (losses) on available-for-sale securities, net | (38,652) | (199,204) | |||||||||||||||
Reclassification adjustment for net realized losses (gains) included in net income | (25,793) | (6,641) | |||||||||||||||
Other comprehensive income (loss) | (64,445) | (205,845) | |||||||||||||||
Comprehensive income (loss) before preferred stock dividends | $ | 93,146 | $ | (576,600) | |||||||||||||
Dividends on preferred stock | $ | 18,438 | $ | 18,438 | |||||||||||||
Comprehensive income (loss) available to common stock shareholders | $ | 74,708 | $ | (595,038) |
March 31, 2021 | |||||||||||||||||
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
|
$ | 1,498,212 | $ | 50.29 | 80.26 | 4.5 | % | 17.1 | % | ||||||||
Subordinated
|
857,925 | 65.62 | 69.26 | 3.8 | % | 6.5 | % | ||||||||||
Interest-only
|
4,850,934 | 4.74 | 4.47 | 1.6 | % | 14.7 | % | ||||||||||
Agency RMBS | |||||||||||||||||
Interest-only | 1,199,688 | 9.52 | 7.20 | 1.6 | % | 1.1 | % | ||||||||||
Agency CMBS | |||||||||||||||||
Project loans
|
1,196,682 | 101.72 | 111.40 | 4.2 | % | 4.1 | % | ||||||||||
Interest-only
|
1,114,212 | 1.79 | 1.99 | 0.6 | % | 7.8 | % |
December 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
|
$ | 1,560,135 | $ | 50.65 | $ | 81.90 | 4.5 | % | 16.9 | % | |||||||
Subordinated
|
905,674 | 62.46 | 67.43 | 3.8 | % | 6.3 | % | ||||||||||
Interest-only
|
5,628,240 | 4.43 | 4.66 | 1.5 | % | 16.2 | % | ||||||||||
Agency RMBS | |||||||||||||||||
Interest-only
|
1,262,963 | 9.41 | 7.18 | 1.7 | % | 1.6 | % | ||||||||||
Agency CMBS | |||||||||||||||||
Project loans
|
1,527,621 | 101.81 | 112.23 | 4.1 | % | 3.8 | % | ||||||||||
Interest-only
|
1,326,665 | 1.78 | 1.95 | 0.6 | % | 8.4 | % |
March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||
Principal (1)
|
Weighted Average Borrowing Rates | Range of Borrowing Rates |
Principal (1)
|
Weighted Average Borrowing Rates | Range of Borrowing Rates | ||||||||||||||||||
Overnight | $ | — | NA | NA | $ | — | NA | NA | |||||||||||||||
1 to 29 days | 1,460,163 | 1.46% | 0.10% - 7.97% | 1,521,134 | 0.38% | 0.20% - 2.72% | |||||||||||||||||
30 to 59 days | 315,543 | 2.03% | 1.95% - 2.44% | 481,257 | 4.35% | 2.42% - 6.61% | |||||||||||||||||
60 to 89 days | 314,203 | 2.37% | 1.15% - 2.61% | 352,684 | 2.78% | 1.34% - 6.30% | |||||||||||||||||
90 to 119 days | 431,222 | 3.28% | 1.76% - 4.50% | 301,994 | 7.97% | 7.97% - 7.97% | |||||||||||||||||
120 to 180 days | 370,538 | 2.06% | 1.60% - 2.40% | 595,900 | 5.29% | 2.40% - 6.26% | |||||||||||||||||
180 days to 1 year | 44,344 | 2.36% | 2.36% - 2.36% | 345,204 | 3.60% | 3.25% - 4.50% | |||||||||||||||||
1 to 2 years | 746,478 | 4.11% | 2.86% - 4.38% | — | NA | NA | |||||||||||||||||
2 to 3 years | — | NA | NA | 642,696 | 4.91% | 1.65% - 7.00% | |||||||||||||||||
Greater than 3 years | 363,421 | 5.56% | 5.56% - 5.56% | 395,978 | 5.56% | 5.56% - 5.56% | |||||||||||||||||
Total | $ | 4,045,912 | 2.69% | $ | 4,636,847 | 3.41% |
March 31, 2021 | December 31, 2020 | |||||||
GAAP Leverage at period-end | 3.6:1 | 3.6:1 | ||||||
GAAP Leverage at period-end (recourse) | 1.1:1 | 1.2:1 | ||||||
March 31, 2021 | December 31, 2020 | March 31, 2021 | December 31, 2020 | ||||||||||||||
Portfolio Composition | Amortized Cost | Fair Value | |||||||||||||||
Non-Agency RMBS
|
10.3 | % | 10.2 | % | 12.4 | % | 12.6 | % | |||||||||
Senior
|
5.0 | % | 5.0 | % | 7.4 | % | 7.5 | % | |||||||||
Subordinated
|
3.8 | % | 3.6 | % | 3.7 | % | 3.6 | % | |||||||||
Interest-only
|
1.5 | % | 1.6 | % | 1.3 | % | 1.5 | % | |||||||||
Agency RMBS
|
0.8 | % | 0.7 | % | 0.5 | % | 0.5 | % | |||||||||
Pass-through
|
— | % | — | % | — | % | — | % | |||||||||
Interest-only
|
0.8 | % | 0.7 | % | 0.5 | % | 0.5 | % | |||||||||
Agency CMBS
|
8.2 | % | 10.0 | % | 8.3 | % | 10.2 | % | |||||||||
Project loans
|
8.1 | % | 9.9 | % | 8.2 | % | 10.0 | % | |||||||||
Interest-only
|
0.1 | % | 0.1 | % | 0.1 | % | 0.2 | % | |||||||||
Loans held for investment | 80.7 | % | 79.1 | % | 78.8 | % | 76.7 | % | |||||||||
Fixed-rate percentage of portfolio
|
95.0 | % | 94.9 | % | 93.6 | % | 93.2 | % | |||||||||
Adjustable-rate percentage of portfolio
|
5.0 | % | 5.1 | % | 6.4 | % | 6.8 | % |
GAAP
Interest Income |
GAAP
Interest Expense |
Net Realized (Gains)
Losses on Interest Rate Swaps |
Interest Expense on Long Term Debt |
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, 2021 | $ | 243,127 | $ | 108,066 | $ | — | $ | (1,076) | $ | 106,990 | $ | 135,061 | $ | — | $ | 1,065 | $ | 136,126 | |||||||||||||||||
For the Quarter Ended December 31, 2020 | $ | 236,156 | $ | 120,285 | $ | — | $ | (1,197) | $ | 119,088 | $ | 115,871 | $ | — | $ | 1,177 | $ | 117,048 | |||||||||||||||||
For the Quarter Ended September 30, 2020 | $ | 247,905 | $ | 124,557 | $ | — | $ | (1,495) | $ | 123,062 | $ | 123,348 | $ | — | $ | 1,487 | $ | 124,835 | |||||||||||||||||
For the Quarter Ended June 30, 2020 | $ | 245,922 | $ | 129,256 | $ | — | $ | (4,391) | $ | 124,865 | $ | 116,666 | $ | — | $ | 4,358 | $ | 121,024 | |||||||||||||||||
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 | |||||||||||||||||||||||
March 31, 2021 | March 31, 2020 | ||||||||||||||||||||||
(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 | $ | 116,517 | $ | 317 | 1.1 | % | $ | 4,652,843 | $ | 42,663 | 3.7 | % | |||||||||||
Agency CMBS | 1,360,895 | 26,607 | 7.8 | % | 2,204,435 | 20,698 | 3.8 | % | |||||||||||||||
Non-Agency RMBS | 1,577,137 | 55,800 | 14.2 | % | 1,883,781 | 61,014 | 13.0 | % | |||||||||||||||
Loans held for investment | 12,253,034 | 160,392 | 5.2 | % | 13,716,833 | 174,625 | 5.1 | % | |||||||||||||||
Total | $ | 15,307,583 | $ | 243,116 | 6.4 | % | $ | 22,457,892 | $ | 299,000 | 5.3 | % | |||||||||||
Liabilities and stockholders' equity: | |||||||||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||||||||
Secured financing agreements collateralized by: | |||||||||||||||||||||||
Agency RMBS | $ | 66,951 | $ | 149 | 0.9 | % | $ | 4,406,106 | $ | 27,114 | 2.5 | % | |||||||||||
Agency CMBS | 1,236,361 | 580 | 0.2 | % | 2,112,244 | 12,361 | 2.3 | % | |||||||||||||||
Non-Agency RMBS | 1,002,935 | 12,479 | 5.0 | % | 1,384,095 | 9,666 | 2.8 | % | |||||||||||||||
Loans held for investment | 2,253,811 | 24,216 | 4.3 | % | 3,852,347 | 32,890 | 3.4 | % | |||||||||||||||
Securitized debt | 8,588,423 | 69,566 | 3.2 | % | 8,079,597 | 66,437 | 3.3 | % | |||||||||||||||
Total | $ | 13,148,481 | $ | 106,990 | 3.3 | % | $ | 19,834,389 | $ | 148,468 | 3.0 | % | |||||||||||
Economic net interest income/net interest rate spread | $ | 136,126 | 3.1 | % | $ | 150,532 | 2.3 | % | |||||||||||||||
Net interest-earning assets/net interest margin | $ | 2,159,102 | 3.6 | % | $ | 2,623,503 | 2.7 | % | |||||||||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.16 | 1.13 | |||||||||||||||||||||
(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, 2021 | 17.16 | % | 14.82 | % | 12.62 | % | |||||
For the Quarter Ended December 31, 2020 | 15.76 | % | 12.53 | % | 10.21 | % | |||||
For the Quarter Ended September 30, 2020 | 41.43 | % | 14.08 | % | 12.24 | % | |||||
For the Quarter Ended June 30, 2020 | (6.62) | % | 14.58 | % | 12.72 | % | |||||
For the Quarter Ended March 31, 2020 | (41.21) | % | 16.73 | % | 15.88 | % |
For the Quarters Ended | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Accretable Discount (Net of Premiums) | March 31, 2021 | December 31, 2020 | September 30, 2020 | June 30, 2020 | March 31, 2020 | ||||||||||||
Balance, beginning of period | $ | 409,690 | $ | 422,981 | $ | 410,447 | $ | 438,232 | $ | 494,255 | |||||||
Accretion of discount | (24,023) | (21,281) | (20,045) | (22,508) | (24,784) | ||||||||||||
Purchases | — | 758 | 2,096 | — | (4,336) | ||||||||||||
Sales and deconsolidation | (41,651) | 98 | — | (23,425) | 438 | ||||||||||||
Transfers from/(to) credit reserve, net | 14,546 | 7,134 | 30,483 | 18,148 | (27,341) | ||||||||||||
Balance, end of period | $ | 358,562 | $ | 409,690 | $ | 422,981 | $ | 410,447 | $ | 438,232 |