MARYLAND | 26-0630461 |
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) |
Class | Outstanding at November 6, 2009 |
Common Stock, $.01 par value | 670,323,926 |
Part
I. FINANCIAL INFORMATION
|
||||
Item
1. Consolidated Financial Statements:
|
||||
1 | ||||
2 | ||||
3 | ||||
4 | ||||
6 | ||||
22 | ||||
48 | ||||
53 | ||||
Part
II. OTHER INFORMATION
|
||||
54 | ||||
54 | ||||
55 | ||||
56 | ||||
CERTIFICATIONS
|
57 |
CHIMERA
INVESTMENT CORPORATION
|
||||||||
(dollars
in thousands)
|
||||||||
(Unaudited)
|
||||||||
For
the Nine Months Ended September 30,
|
||||||||
2009
|
2008
|
|||||||
Cash
Flows From Operating Activites:
|
||||||||
Net
income (loss)
|
$ | 228,515 | $ | (128,595 | ) | |||
Adjustments
to reconcile net income (loss) to net cash provided by operating
activites:
|
||||||||
Accretion
of investment discounts
|
(38,539 | ) | (25 | ) | ||||
Unrealized
gain on interest rate swaps
|
- | (4,156 | ) | |||||
Realized
(gain) loss on sale of investments
|
(87,456 | ) | 144,304 | |||||
Realized
losses on principal write-downs
|
61 | - | ||||||
Other-than-temporary
credit impairments
|
8,680 | - | ||||||
Provision
for loan losses
|
1,410 | 600 | ||||||
Restricted
stock grants
|
322 | 1,289 | ||||||
Changes
in operating assets:
|
||||||||
Increase
in accrued interest receivable
|
(19,493 | ) | (3,874 | ) | ||||
Decrease
in other assets
|
927 | 106 | ||||||
Changes
in operating liabilities:
|
||||||||
Increase
in accounts payable and other liabilities
|
365 | 584 | ||||||
Increase
in investment management fee payable to affiliate
|
6,779 | - | ||||||
Increase
in accrued interest payable
|
734 | 2,165 | ||||||
Net
cash provided by operating activities
|
$ | 102,305 | $ | 12,398 | ||||
Cash
Flows From Investing Activities:
|
||||||||
Mortgage-Backed
Securities portfolio:
|
||||||||
Purchases
|
$ | (4,505,426 | ) | $ | (1,229,280 | ) | ||
Sales
|
1,627,996 | 567,455 | ||||||
Principal
payments
|
321,095 | 144,519 | ||||||
Loans
held for investment portfolio:
|
||||||||
Purchases
|
- | (735,271 | ) | |||||
Sales
|
- | 90,733 | ||||||
Principal
payments
|
- | 23,115 | ||||||
Securitized
loans:
|
||||||||
Principal
payments
|
82,090 | 27,549 | ||||||
Purchases
|
- | (111 | ) | |||||
Reverse
repurchase agreements
|
- | 265,000 | ||||||
Restricted
cash
|
- | 1,350 | ||||||
Net
cash used in investing activities
|
$ | (2,474,245 | ) | $ | (844,941 | ) | ||
Cash
Flows From Financing Activities:
|
||||||||
Proceeds
from repurchase agreements
|
$ | 52,976,287 | $ | 49,177,282 | ||||
Payments
on repurchase agreements
|
(51,941,087 | ) | (48,828,209 | ) | ||||
Net
proceeds from common stock offerings
|
1,372,894 | (277 | ) | |||||
Net
proceeds from common stock offerings to affiliates
|
90,079 | - | ||||||
Proceeds
from collateralized mortgage debt borrowings
|
- | 526,217 | ||||||
Payments
on collateralized mortgage debt borrowings
|
(77,379 | ) | (25,529 | ) | ||||
Dividends
paid
|
(55,311 | ) | (16,800 | ) | ||||
Net
cash provided by financing activities
|
$ | 2,365,483 | $ | 832,684 | ||||
Net
(decrease) increase in cash and cash equivalents
|
$ | (6,457 | ) | $ | 141 | |||
Cash
and cash equivalents at beginning of period
|
27,480 | 6,026 | ||||||
Cash
and cash equivalents at end of period
|
$ | 21,023 | $ | 6,167 |
September
30, 2009
|
December
31, 2008
|
|||||||||||||||
Non-Agency
RMBS
|
Agency
RMBS
|
Non-Agency
RMBS
|
Agency
RMBS
|
|||||||||||||
(dollars
in thousands)
|
||||||||||||||||
Principal
value
|
$ | 3,809,666 | $ | 1,740,406 | $ | 899,456 | $ | 233,976 | ||||||||
Unamortized
premium
|
2,677 | 61,104 | 2,105 | 6,350 | ||||||||||||
Unamortized
discount
|
(1,740,734 | ) | (29 | ) | (19,753 | ) | - | |||||||||
Gross
unrealized gain
|
130,632 | 23,319 | 5,665 | 2,036 | ||||||||||||
Gross
unrealized loss
|
(205,781 | ) | (1,492 | ) | (274,368 | ) | - | |||||||||
Fair
value
|
$ | 1,996,460 | $ | 1,823,308 | $ | 613,105 | $ | 242,362 |
September
30, 2009
|
||||||||||||||||||||||||
(dollars
in thousands)
|
||||||||||||||||||||||||
Unrealized
Loss Position For:
|
||||||||||||||||||||||||
Less
than 12 Months
|
12
Months or More
|
Total
|
||||||||||||||||||||||
RMBS
|
Estimated
Fair
Value
|
Unrealized
Losses
|
Estimated
Fair
Value
|
Unrealized
Losses
|
Estimated
Fair
Value
|
Unrealized
Losses
|
||||||||||||||||||
Non-Agency
|
$ | 342,939 | $ | (78,611 | ) | $ | 543,159 | $ | (140,703 | ) | $ | 886,098 | $ | (219,314 | ) | |||||||||
Agency
|
4,300 | (1,492 | ) | - | - | 4,300 | (1,492 | ) | ||||||||||||||||
Total
|
$ | 347,239 | $ | (80,103 | ) | $ | 543,159 | $ | (140,703 | ) | $ | 890,398 | $ | (220,806 | ) | |||||||||
December
31, 2008
|
||||||||||||||||||||||||
(dollars
in thousands)
|
||||||||||||||||||||||||
Unrealized
Loss Position For:
|
||||||||||||||||||||||||
Less
than 12 Months
|
12
Months or More
|
Total
|
||||||||||||||||||||||
RMBS
|
Estimated
Fair
Value
|
Unrealized
Losses
|
Estimated
Fair
Value
|
Unrealized
Losses
|
Estimated
Fair
Value
|
Unrealized
Losses
|
||||||||||||||||||
Non-Agency
|
$ | 855,467 | $ | (274,368 | ) | $ | - | $ | - | $ | 855,467 | $ | (274,368 | ) | ||||||||||
Agency
|
- | - | - | - | - | - | ||||||||||||||||||
Total
|
$ | 855,467 | $ | (274,368 | ) | $ | - | $ | - | $ | 855,467 | $ | (274,368 | ) |
September
30, 2009
|
|||||||||||||||||
(dollars
in thousands)
|
|||||||||||||||||
Non-Agency
RMBS
|
Agency
RMBS
|
||||||||||||||||
Weighted
Average Life
|
Fair
Value
|
Amortized
Cost
|
Fair
Value
|
Amortized
Cost
|
|||||||||||||
Less
than one year
|
$ | 443,313 | $ | 411,658 | $ | 2,536 | $ | 2,470 | |||||||||
Greater
than one year and less than five years
|
1,283,237 | 1,354,241 | 598,162 | 584,945 | |||||||||||||
Greater
than five years
|
269,910 | 305,710 | 1,222,610 | 1,214,066 | |||||||||||||
Total
|
$ | 1,996,460 | $ | 2,071,609 | $ | 1,823,308 | $ | 1,801,481 | |||||||||
December
31, 2008
|
|||||||||||||||||
(dollars
in thousands)
|
|||||||||||||||||
Non-Agency
RMBS
|
Agency
RMBS
|
||||||||||||||||
Weighted
Average Life
|
Fair
Value
|
Amortized
Cost
|
Fair
Value
|
Amortized
Cost
|
|||||||||||||
Less
than one year
|
$ | - | $ | - | $ | - | $ | - | |||||||||
Greater
than one year and less than five years
|
525,801 | 735,508 | 242,362 | 240,326 | |||||||||||||
Greater
than five years
|
87,304 | 146,300 | - | - | |||||||||||||
Total
|
$ | 613,105 | $ | 881,808 | $ | 242,362 | $ | 240,326 |
September
30, 2009
|
December
31, 2008
|
|||||||||
Number
of securities in portfolio
|
179.0 | 30.0 | ||||||||
Weighted
average loan age in months
|
29.7 | 22.1 | ||||||||
Weighted
average amortized loan to value
|
73.8 | % | 74.2 | % | ||||||
Weighted
average FICO
|
715.6 | 717.5 | ||||||||
Weighted
average loan balance (in thousands)
|
429.0 | 394.3 | ||||||||
Weighted
average percentage owner occupied
|
83.0 | % | 77.8 | % | ||||||
Weighted
average percentage single family residence
|
60.5 | % | 54.8 | % | ||||||
Weighted
average current credit enhancement
|
20.8 | % | 25.4 | % | ||||||
Weighted
average geographic concentration
|
CA
|
57.7 | % |
CA
|
53.0 | % | ||||
FL
|
13.4 | % |
FL
|
10.6 | % | |||||
NY
|
4.6 | % |
AZ
|
8.2 | % | |||||
MD
|
4.0 | % |
NV
|
5.6 | % | |||||
NJ
|
3.5 | % |
NJ
|
4.1 | % |
September
30, 2009
|
December
31, 2008
|
|||||||
(dollars
in thousands)
|
||||||||
Securitized
mortgage loans, at principal balance
|
$ | 501,946 | $ | 584,967 | ||||
Less:
allowance for loan losses
|
3,031 | 1,621 | ||||||
Securitized
loans held for investment
|
$ | 498,915 | $ | 583,346 |
September
30, 2009
|
September
30, 2008
|
|||||||
(dollars
in thousands)
|
||||||||
Balance,
beginning of period
|
$ | 1,621 | $ | 81 | ||||
Provision
for loan losses
|
1,410 | 600 | ||||||
Charge-offs
|
- | - | ||||||
Balance,
end of period
|
$ | 3,031 | $ | 681 |
Level
1
|
Level
2
|
Level
3
|
||||||||||
(dollars
in thousands)
|
||||||||||||
Assets:
|
||||||||||||
Non-Agency
mortgage-backed securities
|
$ | - | $ | 1,996,460 | $ | - | ||||||
Agency
mortgage-backed securities
|
$ | - | $ | 1,823,308 | $ | - |
September
30, 2009
|
December
31, 2008
|
|||||||||||||||
Carrying
Amount
|
Estimated
Fair
Value
|
Carrying
Amount
|
Estimated
Fair
Value
|
|||||||||||||
(dollars
in thousands)
|
||||||||||||||||
Non-Agency
RMBS
|
$ | 2,071,609 | $ | 1,996,460 | $ | 881,808 | $ | 613,105 | ||||||||
Agency
RMBS
|
1,801,480 | 1,823,308 | 240,326 | 242,362 | ||||||||||||
Securitized
loans held for investment
|
498,915 | 496,892 | 583,346 | 577,893 | ||||||||||||
Repurchase
agreements
|
1,597,319 | 1,598,780 | 562,119 | 562,164 | ||||||||||||
Securitized
debt
|
414,339 | 433,418 | 488,743 | 510,796 |
September
30, 2009
|
December
31, 2008
|
|||||||
(dollars
in thousands)
|
||||||||
Overnight
|
$ | 153,076 | (1) | $ | - | |||
1-30
days
|
1,444,243 | 562,119 | (1) | |||||
30
to 59 days
|
- | - | ||||||
60
to 89 days
|
- | - | ||||||
90
to 119 days
|
- | - | ||||||
Greater
than or equal to 120 days
|
- | - | ||||||
Total
|
$ | 1,597,319 | $ | 562,119 | ||||
(1)
Repurchase agreements with affiliate.
|
September
30, 2009
|
December
31, 2008
|
|||||||
(dollars
in thousands)
|
||||||||
Within
One Year
|
$ | 4,054 | $ | 65,561 | ||||
One
to Three Years
|
8,929 | 112,745 | ||||||
Three
to Five Years
|
10,110 | 85,955 | ||||||
Greater
Than or Equal to Five Years
|
410,325 | 246,535 | ||||||
Total
|
$ | 433,418 | $ | 510,796 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND
|
|
RESULTS OF
OPERATIONS
|
|
·
|
our
business and investment strategy;
|
|
·
|
our
projected financial and operating
results;
|
|
·
|
our
ability to maintain existing financing arrangements, obtain future
financing arrangements and the terms of such
arrangements;
|
|
·
|
general
volatility of the securities markets in which we
invest;
|
|
·
|
the
implementation, timing and impact of, and changes to, various government
programs, including the US Department of the Treasury’s plan to buy Agency
residential mortgage-backed securities, the Term Asset-Backed Securities
Loan Facility and the Public-Private Investment
Program;
|
|
·
|
our
expected investments;
|
|
·
|
changes
in the value of our investments;
|
|
·
|
interest
rate mismatches between our mortgage-backed securities and our borrowings
used to fund such purchases;
|
|
·
|
changes
in interest rates and mortgage prepayment
rates;
|
|
·
|
effects
of interest rate caps on our adjustable-rate mortgage-backed
securities;
|
|
·
|
rates
of default or decreased recovery rates on our
investments;
|
|
·
|
prepayments
of the mortgage and other loans underlying our mortgage-backed or other
asset-backed securities;
|
|
·
|
the
degree to which our hedging strategies may or may not protect us from
interest rate volatility;
|
|
·
|
impact
of and changes in governmental regulations, tax law and rates, accounting
guidance, and similar matters;
|
|
·
|
availability
of investment opportunities in real estate-related and other
securities;
|
|
·
|
availability
of qualified personnel;
|
|
·
|
estimates
relating to our ability to make distributions to our stockholders in the
future;
|
|
·
|
our
understanding of our competition;
and
|
|
·
|
market
trends in our industry, interest rates, the debt securities markets or the
general economy.
|
·
|
RMBS,
consisting of:
|
|
o
|
Non-Agency
RMBS, including investment-grade and non-investment grade classes,
including the BB-rated, B-rated and non-rated
classes
|
|
o
|
Agency
RMBS
|
·
|
Whole
mortgage loans, consisting of:
|
|
o
|
Prime
mortgage loans
|
|
o
|
Jumbo
prime mortgage loans
|
|
o
|
Alt-A
mortgage loans
|
·
|
Asset
Backed Securities, or ABS, consisting
of:
|
|
o
|
Commercial
mortgage-backed securities, or CMBS
|
|
o
|
Debt
and equity tranches of collateralized debt obligations, or
CDOs
|
|
o
|
Consumer
and non-consumer ABS, including investment-grade and non-investment grade
classes, including the BB-rated, B-rated and non-rated
classes
|
|
·
|
the
length of time and the extent to which the market value has been less than
the amortized cost;
|
|
·
|
and
the financial condition and near-term prospects of the
issuer;
|
|
·
|
the
credit quality and cash flow performance of the security;
and
|
|
·
|
whether
we will be more likely than not required to sell the investment before the
expected recovery.
|
For
the Quarters Ended
|
||||||||||||
September
30, 2009
|
September
30, 2008
|
June
30, 2009
|
||||||||||
(dollars
in thousands)
|
||||||||||||
Interest
earning assets at period-end
|
$ | 4,318,683 | $ | 1,357,392 | $ | 4,166,730 | ||||||
Interest
bearing liabilities at period-end
|
$ | 2,011,658 | $ | 1,120,345 | $ | 1,943,413 | ||||||
Leverage
at period-end
|
0.9:1
|
4.6:1
|
1.0:1
|
|||||||||
Portfolio
Composition:
|
||||||||||||
Non-Agency
MBS
|
63.0 | % | 60.4 | % | 55.5 | % | ||||||
Agency
MBS
|
28.8 | % | - | 34.5 | % | |||||||
Loans
collateralizing secured debt
|
8.2 | % | 39.6 | % | 10.0 | % | ||||||
Fixed-rate
percentage of portfolio
|
59.0 | % | 18.5 | % | 59.7 | % | ||||||
Adjustable-rate
percentage of portfolio
|
41.0 | % | 81.6 | % | 40.3 | % | ||||||
Annualized
yield on average earning assets
|
||||||||||||
during
the period
|
7.71 | % | 5.35 | % | 6.83 | % | ||||||
Annualized
cost of funds on average borrowed
|
||||||||||||
funds
during the period
|
1.67 | % | 4.64 | % | 2.40 | % |
September
30, 2009
|
December
31, 2008
|
|||||||||||||||
Non-Agency
RMBS
|
Agency
RMBS
|
Non-Agency
RMBS
|
Agency
RMBS
|
|||||||||||||
(dollars
in thousands)
|
||||||||||||||||
Principal
value
|
$ | 3,809,666 | $ | 1,740,406 | $ | 899,456 | $ | 233,976 | ||||||||
Unamortized
premium
|
2,677 | 61,104 | 2,105 | 6,350 | ||||||||||||
Unamortized
discount
|
(1,740,734 | ) | (29 | ) | (19,753 | ) | - | |||||||||
Gross
unrealized gain
|
130,632 | 23,319 | 5,665 | 2,036 | ||||||||||||
Gross
unrealized loss
|
(205,781 | ) | (1,492 | ) | (274,368 | ) | - | |||||||||
Fair
value
|
$ | 1,996,460 | $ | 1,823,308 | $ | 613,105 | $ | 242,362 |
September
30, 2009
|
||||||||||||||||
(dollars
in thousands)
|
||||||||||||||||
Non-Agency
RMBS
|
Agency
RMBS
|
|||||||||||||||
Weighted
Average Life
|
Fair
Value
|
Amortized
Cost
|
Fair
Value
|
Amortized
Cost
|
||||||||||||
Less
than one year
|
$ | 443,313 | $ | 411,658 | $ | 2,536 | $ | 2,470 | ||||||||
Greater
than one year and less than five years
|
1,283,237 | 1,354,241 | 598,162 | 584,945 | ||||||||||||
Greater
than five years
|
269,910 | 305,710 | 1,222,610 | 1,214,066 | ||||||||||||
Total
|
$ | 1,996,460 | $ | 2,071,609 | $ | 1,823,308 | $ | 1,801,481 | ||||||||
December
31, 2008
|
||||||||||||||||
(dollars
in thousands)
|
||||||||||||||||
Non-Agency
RMBS
|
Agency
RMBS
|
|||||||||||||||
Weighted
Average Life
|
Fair
Value
|
Amortized
Cost
|
Fair
Value
|
Amortized
Cost
|
||||||||||||
Less
than one year
|
$ | - | $ | - | $ | - | $ | - | ||||||||
Greater
than one year and less than five years
|
525,801 | 735,508 | 242,362 | 240,326 | ||||||||||||
Greater
than five years
|
87,304 | 146,300 | - | - | ||||||||||||
Total
|
$ | 613,105 | $ | 881,808 | $ | 242,362 | $ | 240,326 |
For
the Quarter Ended September 30,
|
For
the Nine Months Ended September 30,
|
|||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||
Net
Interest Income:
|
||||||||||||||||
Interest
income
|
$ | 104,690 | $ | 23,458 | $ | 197,774 | $ | 81,603 | ||||||||
Interest
expense
|
9,197 | 15,543 | 26,552 | 49,590 | ||||||||||||
Net
interest income
|
95,493 | 7,915 | 171,222 | 32,013 | ||||||||||||
Other-than-temporary
impairments:
|
||||||||||||||||
Total
other-than-temporary credit impairment losses
|
(6,209 | ) | - | (14,784 | ) | - | ||||||||||
Non-credit
portion of loss recognized in other comprehensive income
|
4,024 | - | 6,104 | - | ||||||||||||
Net
other-than-temporary impairment losses
|
(2,185 | ) | - | (8,680 | ) | - | ||||||||||
Other
gains (losses):
|
||||||||||||||||
Unrealized
gains on interest rate swaps
|
- | 10,065 | - | 4,156 | ||||||||||||
Realized
gains (losses) on sales of investments, net
|
74,508 | (113,130 | ) | 87,456 | (144,304 | ) | ||||||||||
Realized
losses on principal write-downs
|
(61 | ) | - | (61 | ) | - | ||||||||||
Realized
losses on terminations of interest rate swaps
|
- | (10,460 | ) | - | (10,337 | ) | ||||||||||
Total
other gains (losses)
|
74,447 | (113,525 | ) | 87,395 | (150,485 | ) | ||||||||||
Net
investment income (expense)
|
167,755 | (105,610 | ) | 249,937 | (118,472 | ) | ||||||||||
Other
expenses:
|
||||||||||||||||
Management
fee
|
8,649 | 1,681 | 17,188 | 6,136 | ||||||||||||
Provision
for loan losses
|
47 | (563 | ) | 1,410 | 600 | |||||||||||
General
and administrative expenses
|
1,057 | 816 | 2,823 | 3,372 | ||||||||||||
Total
other expenses
|
9,753 | 1,934 | 21,421 | 10,108 | ||||||||||||
Income
(loss) before income taxes
|
158,002 | (107,544 | ) | 228,516 | (128,580 | ) | ||||||||||
Income
taxes
|
- | 12 | 1 | 15 | ||||||||||||
Net
income (loss)
|
$ | 158,002 | $ | (107,556 | ) | $ | 228,515 | $ | (128,595 | ) | ||||||
Net
income (loss) per share-basic and diluted
|
$ | 0.24 | $ | (2.76 | ) | $ | 0.51 | $ | (3.30 | ) | ||||||
Weighted
average number of shares outstanding-basic and diluted
|
670,324,864 | 38,992,893 | 452,016,981 | 38,994,357 | ||||||||||||
Comprehensive
income (loss):
|
||||||||||||||||
Net
income (loss)
|
$ | 158,002 | $ | (107,556 | ) | $ | 228,515 | $ | (128,595 | ) | ||||||
Other
comprehensive income (loss):
|
||||||||||||||||
Unrealized
gain (loss) on available-for-sale securities
|
238,969 | (146,456 | ) | 292,061 | (282,611 | ) | ||||||||||
Reclassification
adjustment for net losses included
in
net income for other-than-temporary impairments
|
2,185 | - | 8,680 | - | ||||||||||||
Reclassification
adjustment for realized (gains)
losses
included in net income
|
(74,447 | ) | 113,130 | (87,395 | ) | 144,304 | ||||||||||
Other
comprehensive income (loss):
|
166,707 | (33,326 | ) | 213,346 | (138,307 | ) | ||||||||||
Comprehensive
income (loss)
|
$ | 324,709 | $ | (140,882 | ) | $ | 441,861 | $ | (266,902 | ) |
Average
Cost of Funds
|
||||||||||||||||||||||||||||||||
Average
Borrowed
Funds
|
Interest
Expense
|
Average
Cost
of
Funds
|
Average
One-
Month
LIBOR
|
Average
Six-
Month
LIBOR
|
Average
One-
Month
LIBOR
Relative
to
Average
Six-
Month
LIBOR
|
Average
Cost
of
Funds
Relative
to
Average
One-
Month
LIBOR
|
Average
Cost
of
Funds
Relative
to
Average
Six-
Month
LIBOR
|
|||||||||||||||||||||||||
(Ratios
have been annualized, dollars in thousands)
|
||||||||||||||||||||||||||||||||
For
the quarter ended
|
||||||||||||||||||||||||||||||||
September
30, 2009
|
$ | 2,207,441 | $ | 9,197 | 1.67 | % | 0.27 | % | 0.84 | % | -0.57 | % | 1.40 | % | 0.83 | % | ||||||||||||||||
For
the quarter ended
|
||||||||||||||||||||||||||||||||
June
30, 2009
|
$ | 1,386,535 | $ | 8,313 | 2.40 | % | 0.37 | % | 1.39 | % | -1.02 | % | 2.03 | % | 1.01 | % | ||||||||||||||||
For
the quarter ended
|
||||||||||||||||||||||||||||||||
March
31, 2009
|
$ | 1,038,460 | $ | 9,042 | 3.48 | % | 0.46 | % | 1.74 | % | -1.28 | % | 3.02 | % | 1.74 | % | ||||||||||||||||
For
the year ended
|
||||||||||||||||||||||||||||||||
December
31, 2008
|
$ | 1,304,873 | $ | 60,544 | 4.64 | % | 2.68 | % | 3.06 | % | -0.38 | % | 1.96 | % | 1.58 | % | ||||||||||||||||
For
the quarter ended
|
||||||||||||||||||||||||||||||||
December
31, 2008
|
$ | 1,105,239 | $ | 10,954 | 3.96 | % | 2.23 | % | 2.94 | % | -0.71 | % | 1.73 | % | 1.02 | % | ||||||||||||||||
For
the quarter ended
|
||||||||||||||||||||||||||||||||
September
30, 2008
|
$ | 1,339,531 | $ | 15,543 | 4.64 | % | 2.62 | % | 3.19 | % | -0.57 | % | 2.02 | % | 1.45 | % |
Net
Interest Income
|
||||||||||||||||||||||||||||||||
Average
Earning
Assets
Held
|
Interest
Earned
on
Assets
|
Yield
on
Average
Interest
Earning
Assets
|
Average
Debt
Balance
|
Interest
Expense
|
Average
Cost
of
Funds
|
Net
Interest
Income
|
Net
Interest
Rate
Spread
|
|||||||||||||||||||||||||
(Ratios
have been annualized, dollars in thousands)
|
||||||||||||||||||||||||||||||||
For
the quarter ended
|
||||||||||||||||||||||||||||||||
September
30, 2009
|
$ | 5,433,321 | $ | 104,690 | 7.71 | % | $ | 2,207,441 | $ | 9,197 | 1.67 | % | $ | 95,493 | 6.04 | % | ||||||||||||||||
For
the quarter ended
|
||||||||||||||||||||||||||||||||
June
30, 2009
|
$ | 3,812,897 | $ | 65,077 | 6.83 | % | $ | 1,386,535 | $ | 8,313 | 2.40 | % | $ | 56,764 | 4.43 | % | ||||||||||||||||
For
the quarter ended
|
||||||||||||||||||||||||||||||||
March
31, 2009
|
$ | 1,739,767 | $ | 28,007 | 6.44 | % | $ | 1,038,460 | $ | 9,042 | 3.48 | % | $ | 18,965 | 2.96 | % | ||||||||||||||||
For
the year ended
|
||||||||||||||||||||||||||||||||
December
31, 2008
|
$ | 1,711,705 | $ | 105,259 | 5.96 | % | $ | 1,304,873 | $ | 60,544 | 4.64 | % | $ | 44,715 | 1.32 | % | ||||||||||||||||
For
the quarter ended
|
||||||||||||||||||||||||||||||||
December
31, 2008
|
$ | 1,621,205 | $ | 23,656 | 5.74 | % | $ | 1,105,239 | $ | 10,954 | 3.96 | % | $ | 12,702 | 1.78 | % | ||||||||||||||||
For
the quarter ended
|
||||||||||||||||||||||||||||||||
September
30, 2008
|
$ | 1,751,748 | $ | 23,458 | 5.35 | % | $ | 1,339,531 | $ | 15,543 | 4.64 | % | $ | 7,915 | 0.71 | % |
Management
Fees and G&A Expenses and Operating Expense Ratios
|
||||||||||||
Total
Management
Fee
and
G&A
Expenses
|
Management
Fee
and
G&A
Expenses/Total
Assets
|
Management
Fee
and
G&A
Expenses/Average
Equity
|
||||||||||
(Ratios
have been annualized, dollars in thousands)
|
||||||||||||
For
the quarter ended September 30, 2009
|
$ | 9,753 | 0.91 | % | 1.89 | % | ||||||
For
the quarter ended June 30, 2009
|
$ | 7,946 | 1.08 | % | 2.67 | % | ||||||
For
the quarter ended March 31, 2009
|
$ | 3,722 | 0.94 | % | 3.51 | % | ||||||
For
the year ended December 31, 2008
|
$ | 14,027 | 0.85 | % | 3.50 | % | ||||||
For
the quarter ended December 31, 2008
|
$ | 3,918 | 1.10 | % | 4.78 | % | ||||||
For
the quarter ended September 30, 2008
|
$ | 1,934 | 0.46 | % | 2.46 | % |
Components
of Return on Average Equity
|
||||||||||||||||||||||||
Net
Interest
Income/Average
Equity
|
Realized
Gain
(Loss)
on Sales
and
OTTI/Average
Equity
|
Unrealized
Gain
(Loss) on
Interest
Rate
Swaps/Average
Equity
|
Total
Expenses/
Average
Equity
|
Income
Tax/Average
Equity
|
Return
on
Average
Equity
|
|||||||||||||||||||
(Ratios
have been annualized)
|
||||||||||||||||||||||||
For
the quarter ended September 30, 2009
|
18.47 | % | 13.97 | % | 0.00 | % | -1.89 | % | 0.00 | % | 30.55 | % | ||||||||||||
For
the quarter ended June 30, 2009
|
19.08 | % | 0.95 | % | 0.00 | % | -2.67 | % | 0.00 | % | 17.36 | % | ||||||||||||
For
the quarter ended March 31, 2009
|
17.91 | % | 3.42 | % | 0.00 | % | -3.51 | % | 0.00 | % | 17.82 | % | ||||||||||||
For
the year ended December 31, 2008
|
11.17 | % | -38.64 | % | 1.04 | % | -3.50 | % | 0.00 | % | -29.93 | % | ||||||||||||
For
the quarter ended December 31, 2008
|
15.50 | % | 0.00 | % | 0.00 | % | -4.78 | % | 0.00 | % | 10.72 | % | ||||||||||||
For
the quarter ended September 30, 2008
|
10.07 | % | -157.28 | % | 12.81 | % | -2.46 | % | -0.02 | % | -136.88 | % |
September
30, 2009
|
December
31, 2008
|
|||||||
(dollars
in thousands)
|
||||||||
Overnight
|
$ | 153,076 | (1) | $ | - | |||
1-30
days
|
1,444,243 | 562,119 | (1) | |||||
30
to 59 days
|
- | - | ||||||
60
to 89 days
|
- | - | ||||||
90
to 119 days
|
- | - | ||||||
Greater
than or equal to 120 days
|
- | - | ||||||
Total
|
$ | 1,597,319 | $ | 562,119 | ||||
(1)
Repurchase agreements with affiliates.
|
Contractual
Obligations
|
Within
One
Year
|
One
to
Three
Years
|
Three
to
Five
Years
|
Greater
Than
or
Equal
to
Five
Years
|
Total
|
|||||||||||||||
(dollars
in thousands)
|
||||||||||||||||||||
Repurchase
agreements for RMBS (1)
|
$ | 1,597,319 | $ | - | $ | - | $ | - | $ | 1,597,319 | ||||||||||
Securitized
debt
|
4,054 | 8,929 | 10,110 | 410,325 | 433,418 | |||||||||||||||
Interest
expense on RMBS repurchase
|
||||||||||||||||||||
agreements
(2)
|
321 | - | - | - | 321 | |||||||||||||||
Interest
expense on securitized debt (2)
|
23,722 | 46,664 | 46,672 | 371,686 | 488,744 | |||||||||||||||
Total
|
$ | 1,625,416 | $ | 55,593 | $ | 56,782 | $ | 782,011 | $ | 2,519,802 | ||||||||||
(1)
Repurchase agreements with affiliates for $153.1 million are included in
balance.
|
||||||||||||||||||||
(2)
Interest is based on variable rates in effect as of September 30,
2009.
|
Change
in Interest Rate
|
Projected
Percentage Change in Net
Interest
Income %
|
Projected
Percentage Change in
Portfolio
Value %
|
||||||
-75
Basis Points
|
11.57% | 3.31% | ||||||
-50
Basis Points
|
8.62% | 2.21% | ||||||
-25
Basis Points
|
5.71% | 1.10% | ||||||
Base
Interest Rate
|
- | - | ||||||
+25
Basis Points
|
-1.61% | -1.10% | ||||||
+50
Basis Points
|
-2.64% | -2.20% | ||||||
+75
Basis Points
|
-3.66% | -3.31% |
|
·
|
monitoring
and adjusting, if necessary, the reset index and interest rate related to
our RMBS and our financings;
|
|
·
|
attempting
to structure our financing agreements to have a range of different
maturities, terms, amortizations and interest rate adjustment
periods;
|
|
·
|
using
derivatives, financial futures, swaps, options, caps, floors and forward
sales to adjust the interest rate sensitivity of our investments and our
borrowings;
|
|
·
|
using
securitization financing to lower average cost of funds relative to
short-term financing vehicles further allowing us to receive the benefit
of attractive terms for an extended period of time in contrast to short
term financing and maturity dates of the investments included in the
securitization; and
|
|
·
|
actively
managing, on an aggregate basis, the interest rate indices, interest rate
adjustment periods, and gross reset margins of our investments and the
interest rate indices and adjustment periods of our
financings.
|
Within
3
Months
|
3-12
Months
|
1
Year to
3
Years
|
Greater
than
3
Years
|
Total
|
||||||||||||||||
Rate
sensitive assets
|
$ | 3,906,846 | $ | 94,434 | $ | 1,349,548 | $ | 696,373 | $ | 6,047,201 | ||||||||||
Cash
equivalents
|
21,023 | - | - | - | 21,023 | |||||||||||||||
Total
rate sensitive assets
|
3,927,869 | 94,434 | 1,349,548 | 696,373 | 6,068,224 | |||||||||||||||
Rate
sensitive liabilities, with the the effect of swaps
|
1,597,319 | - | - | 433,418 | 2,030,737 | |||||||||||||||
Interest
rate sensitivity gap
|
$ | 2,330,550 | $ | 94,434 | $ | 1,349,548 | $ | 262,955 | $ | 4,037,487 | ||||||||||
Cumulative
rate sensitivity gap
|
$ | 2,330,550 | $ | 2,424,984 | $ | 3,774,532 | $ | 4,037,487 | $ | 4,037,487 | ||||||||||
Cumulative
interest rate sensitivity gap as a
|
||||||||||||||||||||
percentage
of total rate sensitive assets
|
38 | % | 40 | % | 62 | % | 67 | % |
CHIMERA
INVESTMENT CORPORATION
|
||
By:
|
/s/ Matthew Lambiase
|
|
Matthew
Lambiase
|
||
Chief
Executive Officer and President
|
||
November
6, 2009
|
||
By:
|
/s/ A. Alexandra Denahan
|
|
A.
Alexandra Denahan
|
||
Chief
Financial Officer (Principal Financial Officer)
|
||
November
6, 2009
|
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Chimera Investment Corporation; |
|
2.
|
Based
on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the
statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this
report;
|
|
3.
|
Based
on my knowledge, the financial statements, and other financial information
included in this report, fairly present in all material respects the
financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this
report;
|
|
4.
|
The
registrant’s other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as
defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal
control over financial reporting (as defined in Exchange Act Rules
13a-15(f) and 15d-15(f) for the registrant and
have:
|
|
a.
|
Designed
such disclosure controls and procedures or caused such disclosure controls
and procedures to be designed under our supervision, to ensure that
material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those
entities, particularly during the period in which this report is being
prepared;
|
|
b.
|
Designed
such internal control over financial reporting, or caused such internal
control over financial reporting to be designed under our supervision, to
provide reasonable assurance regarding the reliability of financial
reporting and the preparation of financial statements for external
purposes in accordance with generally accepted accounting
principles;
|
|
c.
|
Evaluated
the effectiveness of the registrant’s disclosure controls and procedures
and presented in this report our conclusions about the effectiveness of
the disclosure controls and procedures, as of the end of the period
covered by this report based on such evaluation;
and
|
|
d.
|
Disclosed
in this report any change in the registrant’s internal control over
financial reporting that occurred during the registrant’s most recent
fiscal quarter (the registrant’s fourth fiscal quarter in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the registrant’s internal control over financial
reporting; and
|
|
5.
|
The
registrant’s other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to
the registrant’s auditors and the audit committee of the registrant’s
board of directors (or persons performing the equivalent
functions):
|
|
a.
|
All
significant deficiencies and material weaknesses in the design or
operation of internal controls over financial reporting which are
reasonably likely to adversely affect the registrant’s ability to record,
process, summarize and report financial information;
and
|
|
b.
|
Any
fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant’s internal control
over financial reporting.
|
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Chimera Investment Corporation; |
|
2.
|
Based
on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the
statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this
report;
|
|
3.
|
Based
on my knowledge, the financial statements, and other financial information
included in this report, fairly present in all material respects the
financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this
report;
|
|
4.
|
The
registrant’s other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as
defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal
control over financial reporting (as defined in Exchange Act Rules
13a-15(f) and 15d-15(f) for the registrant and
have:
|
|
a.
|
Designed
such disclosure controls and procedures or caused such disclosure controls
and procedures to be designed under our supervision, to ensure that
material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those
entities, particularly during the period in which this report is being
prepared;
|
|
b.
|
Designed
such internal control over financial reporting, or caused such internal
control over financial reporting to be designed under our supervision, to
provide reasonable assurance regarding the reliability of financial
reporting and the preparation of financial statements for external
purposes in accordance with generally accepted accounting
principles;
|
|
c.
|
Evaluated
the effectiveness of the registrant’s disclosure controls and procedures
and presented in this report our conclusions about the effectiveness of
the disclosure controls and procedures, as of the end of the period
covered by this report based on such evaluation;
and
|
|
d.
|
Disclosed
in this report any change in the registrant’s internal control over
financial reporting that occurred during the registrant’s most recent
fiscal quarter (the registrant’s fourth fiscal quarter in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the registrant’s internal control over financial
reporting; and
|
|
5.
|
The
registrant’s other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to
the registrant’s auditors and the audit committee of the registrant’s
board of directors (or persons performing the equivalent
functions):
|
|
a.
|
All
significant deficiencies and material weaknesses in the design or
operation of internal controls over financial reporting which are
reasonably likely to adversely affect the registrant’s ability to record,
process, summarize and report financial information;
and
|
|
b.
|
Any
fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant’s internal control
over financial reporting.
|
1.
|
The
Report fully complies with the requirements of Section 13(a) or 15(d) of
the Securities Exchange Act of 1934;
and
|
2.
|
The
information contained in the Report fairly presents, in all material
respects, the financial condition and results of operations of the Company
at the dates of, and for the periods covered by, the
Report.
|
1.
|
The
Report fully complies with the requirements of Section 13(a) or 15(d) of
the Securities Exchange Act of 1934;
and
|
2.
|
The
information contained in the Report fairly presents, in all material
respects, the financial condition and results of operations of the Company
at the dates of, and for the periods covered by, the
Report.
|