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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
             QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
FOR THE QUARTERLY PERIOD ENDED: June 30, 2019
OR
             TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
FOR THE TRANSITION PERIOD FROM _______________ TO _________________
COMMISSION FILE NUMBER: 1-33796
CHIMERA INVESTMENT CORPORATION
(Exact name of Registrant as specified in its Charter) 
Maryland
 
26-0630461
(State or other jurisdiction of incorporation or organization)
 
 (IRS Employer Identification No.)
                                                                                                                                             
520 Madison Avenue 32nd Floor
New York, New York
(Address of principal executive offices)
10022
(Zip Code)
(212) 626-2300
(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:
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

Indicate by check mark whether the Registrant (1) has filed all documents and reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days:
Yes þ No ☐

Indicate by check mark whether the Registrant has submitted electronically every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (Section 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes þ No ☐



Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, non-accelerated filer, a smaller reporting company, or an emerging growth company. See definition of “accelerated filer,” “large accelerated filer,” “smaller reporting company” and "emerging growth company" in Rule 12b-2 of the Exchange Act.
Large accelerated filer þ Accelerated filer ☐ Non-accelerated filer ☐ Smaller reporting company
Emerging growth company
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act
Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act)
Yes No þ

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the last practicable date:
Class
Outstanding at June 30, 2019
Common Stock, $0.01 par value
187,157,432





CHIMERA INVESTMENT CORPORATION

FORM 10-Q
TABLE OF CONTENTS

 
 
 
 
 
 
 
 
 
 
Consolidated Statements of Financial Condition as of June 30, 2019 (Unaudited) and December 31, 2018 (Derived from the audited consolidated financial statements as of December 31, 2018)
 
 
Consolidated Statements of Operations (Unaudited) for the quarters and six months ended June 30, 2019 and 2018
 
 
Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and six months ended June 30, 2019 and 2018
 
 
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and six months ended June 30, 2019 and 2018
 
 
Consolidated Statements of Cash Flows (Unaudited) for the six months ended June 30, 2019 and 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
 
 
 
 




1


Part I
Item 1. Consolidated Financial Statements

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
(Unaudited)

June 30, 2019
December 31, 2018
Cash and cash equivalents
$
54,034

$
47,486

Non-Agency RMBS, at fair value
2,699,367

2,486,130

Agency MBS, at fair value
12,154,575

12,188,950

Loans held for investment, at fair value
12,301,263

12,572,581

Receivable for investments sold
75,059


Accrued interest receivable
121,393

123,442

Other assets
231,828

252,582

Derivatives, at fair value, net
211

37,468

Total assets (1)
$
27,637,730

$
27,708,639

Liabilities:
 

 

Repurchase agreements ($16.4 billion and $15.8 billion pledged as collateral, respectively)
$
14,514,719

$
14,030,465

Securitized debt, collateralized by Non-Agency RMBS ($962 million and $1.0 billion pledged as collateral, respectively)
145,130

159,955

Securitized debt at fair value, collateralized by loans held for investment ($11.5 billion and $12.3 billion pledged as collateral, respectively)
7,881,087

8,455,376

Payable for investments purchased
921,507

1,136,157

Accrued interest payable
84,234

110,402

Dividends payable
97,091

95,986

Accounts payable and other liabilities
25,012

16,469

Total liabilities (1)
$
23,668,780

$
24,004,810






Commitments and Contingencies (See Note 15)









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 and 0 shares issued and outstanding, respectively ($200,000 liquidation preference)
80


Common stock: par value $0.01 per share; 500,000,000 and 300,000,000 shares authorized, 187,157,432 and 187,052,398 shares issued and outstanding, respectively
1,872

1,871

Additional paid-in-capital
4,272,001

4,072,093

Accumulated other comprehensive income
739,090

626,832

Cumulative earnings
3,556,396

3,379,489

Cumulative distributions to stockholders
(4,600,781
)
(4,376,748
)
Total stockholders' equity
$
3,968,950

$
3,703,829

Total liabilities and stockholders' equity
$
27,637,730

$
27,708,639

(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of June 30, 2019 and December 31, 2018, total assets of consolidated VIEs were $12,715,740 and $13,392,951, respectively, and total liabilities of consolidated VIEs were $8,060,256 and $8,652,158, respectively. See Note 8 for further discussion.

See accompanying notes to consolidated financial statements.

2



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, 2019
June 30, 2018
June 30, 2019
June 30, 2018
Net interest income:




Interest income (1)
$
339,914

$
306,436

$
690,303

$
603,567

Interest expense (2)
198,110

161,266

401,060

310,518

Net interest income
141,804

145,170

289,243

293,049

Other-than-temporary impairments:
 

 





Total other-than-temporary impairment losses

(805
)
(801
)
(1,099
)
Portion of loss recognized in other comprehensive income

(8,326
)
(4,052
)
(9,190
)
Net other-than-temporary credit impairment losses

(9,131
)
(4,853
)
(10,289
)
Other investment gains (losses):
 

 





Net unrealized gains (losses) on derivatives
(132,171
)
25,895

(221,486
)
107,314

Realized gains (losses) on terminations of interest rate swaps
(95,211
)

(203,257
)

Net realized gains (losses) on derivatives
(9,697
)
(1,393
)
(16,974
)
11,693

Net gains (losses) on derivatives
(237,079
)
24,502

(441,717
)
119,007

Net unrealized gains (losses) on financial instruments at fair value
190,748

(18,364
)
391,561

(3,898
)
Net realized gains (losses) on sales of investments
(7,526
)
2,167

1,077

2,167

Gains (losses) on extinguishment of debt
(608
)
387

(608
)
10,057

Total other gains (losses)
(54,465
)
8,692

(49,687
)
127,333










Other expenses:
 

 




Compensation and benefits
12,114

8,689

26,484

17,100

General and administrative expenses
7,030

5,860

12,914

11,349

Servicing fees
9,280

9,943

18,243

21,277

Deal expenses

2,095


3,183

Total other expenses
28,424

26,587

57,641

52,909

Income (loss) before income taxes
58,915

118,144

177,062

357,184

Income taxes
155

36

155

68

Net income (loss)
$
58,760

$
118,108

$
176,907

$
357,116










Dividends on preferred stock
18,438

9,400

35,829

18,800










Net income (loss) available to common shareholders
$
40,322

$
108,708

$
141,078

$
338,316










Net income (loss) per share available to common shareholders:


 





Basic
$
0.22

$
0.58

$
0.75

$
1.81

Diluted
$
0.21

$
0.58

$
0.75

$
1.80










Weighted average number of common shares outstanding:


 





Basic
187,153,007

186,994,743

187,132,842

187,272,469

Diluted
188,271,483

187,422,145

188,254,266

187,738,443


(1) Includes interest income of consolidated VIEs of $200,703 and $229,746 for the quarters ended June 30, 2019 and 2018, respectively and $407,814 and $464,772 for the six months ended June 30, 2019 and 2018. See Note 8 to consolidated financial statements for further discussion.

(2) Includes interest expense of consolidated VIEs of $87,529 and $99,507 for the quarters ended June 30, 2019 and 2018, respectively and $178,556 and $199,121 for the six months ended June 30, 2019 and 2018. See Note 8 to consolidated financial statements for further discussion.

See accompanying notes to consolidated financial statements.

3




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, 2019
June 30, 2018
June 30, 2019
June 30, 2018
Comprehensive income (loss):
 



Net income (loss)
$
58,760

$
118,108

$
176,907

$
357,116

Other comprehensive income:
 



Unrealized gains (losses) on available-for-sale securities, net
58,833

(42,341
)
85,218

(131,157
)
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses

9,131

4,853

10,289

Reclassification adjustment for net realized losses (gains) included in net income
7,269

(4,383
)
22,187

(4,383
)
Other comprehensive income (loss)
66,102

(37,593
)
112,258

(125,251
)
Comprehensive income (loss) before preferred stock dividends
$
124,862

$
80,515

$
289,165

$
231,865

Dividends on preferred stock
$
18,438

$
9,400

$
35,829

$
18,800

Comprehensive income (loss) available to common stock shareholders
$
106,424

$
71,115

$
253,336

$
213,065




4



CHIMERA INVESTMENT CORPORATION   
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
(dollars in thousands, except per share data)
(Unaudited)
 
For the Quarter Ended June 30, 2019
 
Series A Preferred Stock Par Value
Series B Preferred Stock Par Value
Series C Preferred Stock Par Value
Series D Preferred Stock Par Value
Common
Stock Par
Value
Additional Paid-in Capital
Accumulated Other Comprehensive Income
Cumulative Earnings
Cumulative Distributions to Stockholders
Total
Balance, March 31, 2019
$
58

$
130

$
104

$
80

$
1,871

$
4,268,063

$
672,988

$
3,497,636

$
(4,487,753
)
$
3,953,177

Net income (loss)







58,760


58,760

Other comprehensive income (loss)






66,102



66,102

Stock based compensation




1

3,938




3,939

Common dividends declared








(94,590
)
(94,590
)
Preferred dividends declared








(18,438
)
(18,438
)
Balance, June 30, 2019
$
58

$
130

$
104

$
80

$
1,872

$
4,272,001

$
739,090

$
3,556,396

$
(4,600,781
)
$
3,968,950

 
 
 
 
 
 
 
 
 
 
 
For the Quarter Ended June 30, 2018
 
Series A Preferred Stock Par Value
Series B Preferred Stock Par Value
Series C Preferred Stock Par Value
Series D Preferred Stock Par Value
Common
Stock Par
Value
Additional Paid-in Capital
Accumulated Other Comprehensive Income
Cumulative Earnings
Cumulative Distributions to Stockholders
Total
Balance, March 31, 2018
$
58

$
130

$

$

$
1,870

$
3,814,391

$
709,244

$
3,206,860

$
(4,061,809
)
$
3,670,744

Net income (loss)







118,108


118,108

Other comprehensive income (loss)






(37,593
)


(37,593
)
Stock based compensation





2,240




2,240

Common dividends declared








(93,957
)
(93,957
)
Preferred dividends declared








(9,400
)
(9,400
)
Balance, June 30, 2018
$
58

$
130

$

$

$
1,870

$
3,816,631

$
671,651

$
3,324,968

$
(4,165,166
)
$
3,650,142

 
 
 
 
 
 
 
 
 
 
 
For the Six Months Ended June 30, 2019
 
Series A Preferred Stock Par Value
Series B Preferred Stock Par Value
Series C Preferred Stock Par Value
Series D Preferred Stock Par Value
Common
Stock Par
Value
Additional Paid-in Capital
Accumulated Other Comprehensive Income
Cumulative Earnings
Cumulative Distributions to Stockholders
Total
Balance, December 31, 2018
$
58

$
130

$
104

$

$
1,871

$
4,072,093

$
626,832

$
3,379,489

$
(4,376,748
)
$
3,703,829

Net income (loss)







176,907


176,907

Other comprehensive income (loss)






112,258



112,258

Stock based compensation




1

6,620




6,621

Common dividends declared








(188,204
)
(188,204
)
Preferred dividends declared








(35,829
)
(35,829
)
Issuance of preferred stock



80


193,288




193,368

Balance, June 30, 2019
$
58

$
130

$
104

$
80

$
1,872

$
4,272,001

$
739,090

$
3,556,396

$
(4,600,781
)
$
3,968,950

 
 
 
 
 
 
 
 
 
 
 


5



For the Six Months Ended June 30, 2018
 
Series A Preferred Stock Par Value
Series B Preferred Stock Par Value
Series C Preferred Stock Par Value
Series D Preferred Stock Par Value
Common
Stock Par
Value
Additional Paid-in Capital
Accumulated Other Comprehensive Income
Cumulative Earnings
Cumulative Distributions to Stockholders
Total
Balance, December 31, 2017
$
58

$
130

$

$

$
1,878

$
3,826,691

$
796,902

$
2,967,852

$
(3,958,534
)
$
3,634,977

Net income (loss)







357,116


357,116

Other comprehensive income (loss)






(125,251
)


(125,251
)
Repurchase of common stock




(8
)
(14,826
)



(14,834
)
Stock based compensation





4,766




4,766

Common dividends declared








(187,832
)
(187,832
)
Preferred dividends declared








(18,800
)
(18,800
)
Balance, June 30, 2018
$
58

$
130

$

$

$
1,870

$
3,816,631

$
671,651

$
3,324,968

$
(4,165,166
)
$
3,650,142

 
 
 
 
 
 
 
 
 
 
 


See accompanying notes to consolidated financial statements.

6