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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: September 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 September 30, 2019
Common Stock, $0.01 par value
187,158,540





CHIMERA INVESTMENT CORPORATION

FORM 10-Q
TABLE OF CONTENTS

 
 
 
 
 
 
 
 
 
 
Consolidated Statements of Financial Condition as of September 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 nine months ended September 30, 2019 and 2018
 
 
Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and nine months ended September 30, 2019 and 2018
 
 
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and nine months ended September 30, 2019 and 2018
 
 
Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 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)

September 30, 2019
December 31, 2018
Cash and cash equivalents
$
160,894

$
47,486

Non-Agency RMBS, at fair value
2,649,834

2,486,130

Agency MBS, at fair value
11,615,323

12,188,950

Loans held for investment, at fair value
13,101,728

12,572,581

Accrued interest receivable
125,601

123,442

Other assets
973,681

252,582

Derivatives, at fair value, net
5,228

37,468

Total assets (1)
$
28,632,289

$
27,708,639

Liabilities:
 

 

Repurchase agreements ($17.0 billion and $15.8 billion pledged as collateral, respectively)
$
15,002,106

$
14,030,465

Securitized debt, collateralized by Non-Agency RMBS ($612 million and $1.0 billion pledged as collateral, respectively)
139,163

159,955

Securitized debt at fair value, collateralized by loans held for investment ($11.5 billion and $12.3 billion pledged as collateral, respectively)
7,800,786

8,455,376

Payable for investments purchased
1,484,572

1,136,157

Accrued interest payable
81,232

110,402

Dividends payable
98,006

95,986

Accounts payable and other liabilities
31,380

16,469

Total liabilities (1)
$
24,637,245

$
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, 187,158,540 and 187,052,398 shares issued and outstanding, respectively
1,872

1,871

Additional paid-in-capital
4,274,721

4,072,093

Accumulated other comprehensive income
769,070

626,832

Cumulative earnings
3,662,722

3,379,489

Cumulative distributions to stockholders
(4,713,713
)
(4,376,748
)
Total stockholders' equity
$
3,995,044

$
3,703,829

Total liabilities and stockholders' equity
$
28,632,289

$
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 September 30, 2019 and December 31, 2018, total assets of consolidated VIEs were $12,356,439 and $13,392,951, respectively, and total liabilities of consolidated VIEs were $7,972,942 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 Nine Months Ended

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




Interest income (1)
$
330,144

$
321,715

$
1,020,448

$
925,282

Interest expense (2)
188,551

174,671

589,611

485,189

Net interest income
141,593

147,044

430,837

440,093

Other-than-temporary impairments:
 







Total other-than-temporary impairment losses

(772
)
(801
)
(1,871
)
Portion of loss recognized in other comprehensive income

(6,461
)
(4,052
)
(15,651
)
Net other-than-temporary credit impairment losses

(7,233
)
(4,853
)
(17,522
)
Other investment gains (losses):
 

 





Net unrealized gains (losses) on derivatives
31,620

71,197

(189,865
)
178,511

Realized gains (losses) on terminations of interest rate swaps
(148,114
)

(351,372
)

Net realized gains (losses) on derivatives
(20,178
)
2,881

(37,151
)
14,573

Net gains (losses) on derivatives
(136,672
)
74,078

(578,388
)
193,084

Net unrealized gains (losses) on financial instruments at fair value
130,825

(34,306
)
522,386

(38,204
)
Net realized gains (losses) on sales of investments
1,596

(6,123
)
2,673

(3,956
)
Gains (losses) on extinguishment of debt

9,263

(608
)
19,320

Total other gains (losses)
(4,251
)
42,912

(53,937
)
170,244










Other expenses:
 

 




Compensation and benefits
12,191

8,642

38,675

25,741

General and administrative expenses
6,528

5,576

18,569

16,351

Servicing fees
8,881

9,766

27,125

31,044

Transaction expenses
3,415

1,411

4,289

5,168

Total other expenses
31,015

25,395

88,658

78,304

Income (loss) before income taxes
106,327

157,328

283,389

514,511

Income taxes
1

7

156

76

Net income (loss)
$
106,326

$
157,321

$
283,233

$
514,435










Dividends on preferred stock
18,438

9,960

54,267

28,760










Net income (loss) available to common shareholders
$
87,888

$
147,361

$
228,966

$
485,675










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


 





Basic
$
0.47

$
0.79

$
1.22

$
2.59

Diluted
$
0.47

$
0.79

$
1.22

$
2.59










Weighted average number of common shares outstanding:








Basic
187,158,167

187,006,777

187,141,377

187,182,932

Diluted
188,440,171

187,584,958

188,331,109

187,705,831


(1) Includes interest income of consolidated VIEs of $192,622 and $223,948 for the quarters ended September 30, 2019 and 2018, respectively, and $600,436 and $688,720 for the nine months ended September 30, 2019 and 2018, respectively. See Note 8 to consolidated financial statements for further discussion.

(2) Includes interest expense of consolidated VIEs of $82,234 and $99,622 for the quarters ended September 30, 2019 and 2018, respectively, and $260,790 and $298,744 for the nine months ended September 30, 2019 and 2018, respectively. 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 Nine Months Ended

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



Net income (loss)
$
106,326

$
157,321

$
283,233

$
514,435

Other comprehensive income:
 



Unrealized gains (losses) on available-for-sale securities, net
29,980

(50,728
)
115,198

(181,885
)
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses

7,233

4,853

17,522

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

(220
)
22,187

(4,603
)
Other comprehensive income (loss)
29,980

(43,715
)
142,238

(168,966
)
Comprehensive income (loss) before preferred stock dividends
$
136,306

$
113,606

$
425,471

$
345,469

Dividends on preferred stock
$
18,438

$
9,960

$
54,267

$
28,760

Comprehensive income (loss) available to common stock shareholders
$
117,868

$
103,646

$
371,204

$
316,709




4



CHIMERA INVESTMENT CORPORATION   
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
(dollars in thousands, except per share data)
(Unaudited)
 
For the Quarter Ended September 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, June 30, 2019
$
58

$
130

$
104

$
80

$
1,872

$
4,272,001

$
739,090

$
3,556,396

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

Net income (loss)







106,326


106,326

Other comprehensive income (loss)






29,980



29,980

Stock based compensation





2,720




2,720

Common dividends declared








(94,494
)
(94,494
)
Preferred dividends declared








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

$
130

$
104

$
80

$
1,872

$
4,274,721

$
769,070

$
3,662,722

$
(4,713,713
)
$
3,995,044

 
 
 
 
 
 
 
 
 
 
 
For the Quarter Ended September 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, June 30, 2018
$
58

$
130

$

$

$
1,870

$
3,816,631

$
671,651

$
3,324,966

$
(4,165,166
)
$
3,650,140

Net income (loss)







157,321


157,321

Other comprehensive income (loss)






(43,715
)


(43,715
)
Stock based compensation





1,805




1,805

Common dividends declared








(93,946
)
(93,946
)
Preferred dividends declared








(9,960
)
(9,960
)
Issuance of preferred stock


104



251,432




251,536

Balance, September 30, 2018
$
58

$
130

$
104

$

$
1,870

$
4,069,868

$
627,936

$
3,482,287

$
(4,269,072
)
$
3,913,181

 
 
 
 
 
 
 
 
 
 
 
For the Nine Months Ended September 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)







283,233


283,233

Other comprehensive income (loss)






142,238



142,238

Stock based compensation




1

9,340




9,341

Common dividends declared








(282,698
)
(282,698
)
Preferred dividends declared








(54,267
)
(54,267
)
Issuance of preferred stock



80


193,288




193,368

Balance, September 30, 2019
$
58

$
130

$
104

$
80

$
1,872

$
4,274,721

$
769,070

$
3,662,722

$
(4,713,713
)
$
3,995,044

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


5



 
 
 
 
 
 
 
 
 
 
 
For the Nine Months Ended September 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)







514,435


514,435

Other comprehensive income (loss)






(168,966
)


(168,966
)
Repurchase of common stock




(8
)
(14,826
)



(14,834
)
Stock based compensation





6,571