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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, 2020
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 July 31, 2020
Common Stock, $0.01 par value
232,020,857





CHIMERA INVESTMENT CORPORATION

FORM 10-Q
TABLE OF CONTENTS

 
 
 
 
 
 
 
 
 
 
Consolidated Statements of Financial Condition as of June 30, 2020 (Unaudited) and December 31, 2019 (Derived from the audited consolidated financial statements as of December 31, 2019)
 
 
Consolidated Statements of Operations (Unaudited) for the quarters and six months ended June 30, 2020 and 2019
 
 
Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and six months ended June 30, 2020 and 2019
 
 
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and six months ended June 30, 2020 and 2019
 
 
Consolidated Statements of Cash Flows (Unaudited) for the six months ended June 30, 2020 and 2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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, 2020
December 31, 2019
Cash and cash equivalents
$
302,553

$
109,878

Non-Agency RMBS, at fair value (net of allowance for credit losses of $2 million and $0 million, respectively)
2,184,170

2,614,408

Agency RMBS, at fair value
107,263

6,490,293

Agency CMBS, at fair value
2,612,344

2,850,717

Loans held for investment, at fair value
13,036,833

14,292,815

Receivable for investments sold

446,225

Accrued interest receivable
89,387

116,423

Other assets
115,601

194,301

Derivatives, at fair value, net

3,611

Total assets (1)
$
18,448,151

$
27,118,671

Liabilities:
 

 

Secured financing agreements ($7.8 billion and $15.4 billion pledged as collateral, respectively)
$
5,944,201

$
13,427,545

Securitized debt, collateralized by Non-Agency RMBS ($524 million and $598 million pledged as collateral, respectively)
124,414

133,557

Securitized debt at fair value, collateralized by loans held for investment ($12.2 billion and $12.1 billion pledged as collateral, respectively)
8,530,111

8,179,608

Long Term Debt
71,600


Payable for investments purchased
246,770

1,256,337

Accrued interest payable
41,336

63,600

Dividends payable
75,554

98,568

Accounts payable and other liabilities
18,286

6,163

Total liabilities (1)
$
15,052,272

$
23,165,378






Commitments and Contingencies (See Note 16)









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, 232,003,526 and 187,226,081 shares issued and outstanding, respectively
2,320

1,873

Additional paid-in-capital
4,515,043

4,275,963

Accumulated other comprehensive income
537,510

708,336

Cumulative earnings
3,367,330

3,793,040

Cumulative distributions to stockholders
(5,026,696
)
(4,826,291
)
Total stockholders' equity
$
3,395,879

$
3,953,293

Total liabilities and stockholders' equity
$
18,448,151

$
27,118,671

(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, 2020, and December 31, 2019, total assets

2



of consolidated VIEs were $12,578,835 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $8,431,077 and $8,064,235, respectively. See Note 8 for further discussion.

See accompanying notes to consolidated financial statements.

3



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, 2020
June 30, 2019
June 30, 2020
June 30, 2019
Net interest income:




Interest income (1)
$
245,922

$
339,914

$
546,189

$
690,303

Interest expense (2)
129,256

198,110

271,339

401,060

Net interest income
116,666

141,804

274,850

289,243










Increase/(decrease) in provision for credit losses
(4,497
)

1,817











Net other-than-temporary credit impairment losses



(4,853
)









Other investment gains (losses):
 







Net unrealized gains (losses) on derivatives

(132,171
)
201,000

(221,486
)
Realized gains (losses) on terminations of interest rate swaps

(95,211
)
(463,966
)
(203,257
)
Net realized gains (losses) on derivatives

(9,697
)
(41,086
)
(16,974
)
Net gains (losses) on derivatives

(237,079
)
(304,052
)
(441,717
)
Net unrealized gains (losses) on financial instruments at fair value
(171,921
)
190,748

(432,809
)
391,561

Net realized gains (losses) on sales of investments
26,380

(7,526
)
102,234

1,077

Gains (losses) on extinguishment of debt
459

(608
)
459

(608
)
Total other gains (losses)
(145,082
)
(54,465
)
(634,168
)
(49,687
)









Other expenses:
 

 




Compensation and benefits
10,255

12,114

23,190

26,484

General and administrative expenses
6,562

6,217

12,239

12,019

Servicing fees
9,473

9,280

19,462

18,243

Transaction expenses
4,710

813

9,616

895

Total other expenses
31,000

28,424

64,507

57,641

Income (loss) before income taxes
(54,919
)
58,915

(425,642
)
177,062

Income taxes
36

155

68

155

Net income (loss)
$
(54,955
)
$
58,760

$
(425,710
)
$
176,907










Dividends on preferred stock
18,438

18,438

36,875

35,829










Net income (loss) available to common shareholders
$
(73,393
)
$
40,322

$
(462,585
)
$
141,078










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








Basic
$
(0.37
)
$
0.22

$
(2.39
)
$
0.75

Diluted
$
(0.37
)
$
0.21

$
(2.39
)
$
0.75










Weighted average number of common shares outstanding:








Basic
199,282,790

187,153,007

193,150,696

187,132,842

Diluted
199,282,790

188,271,483

193,150,696

188,254,266


(1) Includes interest income of consolidated VIEs of $169,127 and $200,703 for the quarters ended June 30, 2020 and 2019, respectively and $343,809 and $407,814 for the six months ended June 30, 2020 and 2019, respectively. See Note 8 to consolidated financial statements for further discussion.

(2) Includes interest expense of consolidated VIEs of $70,816 and $87,529 for the quarters ended June 30, 2020 and 2019, respectively and $135,445 and $178,556 for the six months ended June 30, 2020 and 2019, respectively. See Note 8 to consolidated financial statements for further discussion.

See accompanying notes to consolidated financial statements.

4




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, 2020
June 30, 2019
June 30, 2020
June 30, 2019
Comprehensive income (loss):
 



Net income (loss)
$
(54,955
)
$
58,760

$
(425,710
)
$
176,907

Other comprehensive income:
 



Unrealized gains (losses) on available-for-sale securities, net (1)
61,399

58,833

(137,805
)
85,218

Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses



4,853

Reclassification adjustment for net realized losses (gains) included in net income
(26,380
)
7,269

(33,021
)
22,187

Other comprehensive income (loss)
35,019

66,102

(170,826
)
112,258

Comprehensive income (loss) before preferred stock dividends
$
(19,936
)
$
124,862

$
(596,536
)
$
289,165

Dividends on preferred stock
$
18,438

$
18,438

$
36,875

$
35,829

Comprehensive income (loss) available to common stock shareholders
$
(38,374
)
$
106,424

$
(633,411
)
$
253,336


(1) Quarter ended and six months ended June 30, 2020 amounts includes $8 million and $15 million, respectively, of unrealized losses on AFS securities for which the Company has recognized an allowance for credit losses.

5



CHIMERA INVESTMENT CORPORATION   
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
(dollars in thousands, except per share data)
(Unaudited)
 
For the Quarter Ended June 30, 2020
 
 
 
 
 
 
 
 
 
 
 
 
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, 2020
$
58

$
130

$
104

$
80

$
1,860

$
4,255,054

$
502,491

$
3,422,285

$
(4,938,208
)
$
3,243,854

Net income (loss)







(54,955
)

(54,955
)
Other comprehensive income (loss)






35,019



35,019

Settlement of Convertible Debt




460

292,349




292,809

Purchase of Capped Call





(33,750
)



(33,750
)
Stock based compensation





1,390




1,390

Common dividends declared








(70,050
)
(70,050
)
Preferred dividends declared








(18,438
)
(18,438
)
Balance, June 30, 2020
$
58

$
130

$
104

$
80

$
2,320

$
4,515,043

$
537,510

$
3,367,330

$
(5,026,696
)
$
3,395,879

 
 
 
 
 
 
 
 
 
 
 
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 Six Months Ended June 30, 2020
 
 
 
 
 
 
 
 
 
 
 
 
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, 2019
$
58

$
130

$
104

$
80

$
1,873

$
4,275,963

$
708,336

$
3,793,040

$
(4,826,291
)
$
3,953,293

Net income (loss)







(425,710
)

(425,710
)
Other comprehensive income (loss)






(170,826
)


(170,826
)
Repurchase of common stock




(14
)
(22,052
)



(22,066
)
Settlement of Convertible Debt




460

292,349




292,809

Purchase of Capped Call





(33,750
)



(33,750
)
Stock based compensation




1

2,533




2,534

Common dividends declared








(163,530
)
(163,530
)
Preferred dividends declared








(36,875
)
(36,875
)
Balance, June 30, 2020
$
58

$
130

$
104

$
80

$
2,320

$
4,515,043

$