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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, 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 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 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 “large accelerated filer,” “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 October 31, 2020 |
Common Stock, $0.01 par value | 233,730,629 |
CHIMERA INVESTMENT CORPORATION
FORM 10-Q
TABLE OF CONTENTS
| | | | | |
Part I. FINANCIAL INFORMATION | |
| |
| |
| |
Item 1. Consolidated Financial Statements: | |
| |
Consolidated Statements of Financial Condition as of September 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 nine months ended September 30, 2020 and 2019 | |
| |
Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and nine months ended September 30, 2020 and 2019 | |
| |
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and nine months ended September 30, 2020 and 2019 | |
| |
Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2020 and 2019 | |
| |
Notes to Consolidated Financial Statements (Unaudited) | |
| |
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations | |
| |
Item 3. Quantitative and Qualitative Disclosures about Market Risk | |
| |
Item 4. Controls and Procedures | |
| |
| |
| |
Part II. OTHER INFORMATION | |
| |
| |
| |
Item 1. Legal Proceedings | |
| |
Item 1A. Risk Factors | |
| |
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds | |
| |
Item 6. Exhibits | |
| |
SIGNATURES | |
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, 2020 | December 31, 2019 |
| | |
Cash and cash equivalents | $ | 325,717 | | $ | 109,878 | |
Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and $0 thousand, respectively) | 2,218,289 | | 2,614,408 | |
Agency RMBS, at fair value | 99,988 | | 6,490,293 | |
Agency CMBS, at fair value | 1,754,740 | | 2,850,717 | |
Loans held for investment, at fair value | 13,533,252 | | 14,292,815 | |
Receivable for investments sold | — | | 446,225 | |
Accrued interest receivable | 86,727 | | 116,423 | |
Other assets | 75,155 | | 194,301 | |
Derivatives, at fair value, net | — | | 3,611 | |
Total assets (1) | $ | 18,093,868 | | $ | 27,118,671 | |
Liabilities: | | |
Secured financing agreements ($6.7 billion and $15.4 billion pledged as collateral, respectively) | $ | 4,700,037 | | $ | 13,427,545 | |
Securitized debt, collateralized by Non-Agency RMBS ($528 million and $598 million pledged as collateral, respectively) | 117,904 | | 133,557 | |
Securitized debt at fair value, collateralized by loans held for investment ($12.4 billion and $12.1 billion pledged as collateral, respectively) | 8,757,449 | | 8,179,608 | |
Long term debt | 70,641 | | — | |
Payable for investments purchased | 614,583 | | 1,256,337 | |
Accrued interest payable | 36,451 | | 63,600 | |
Dividends payable | 76,362 | | 98,568 | |
Accounts payable and other liabilities | 23,899 | | 6,163 | |
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Total liabilities (1) | $ | 14,397,326 | | $ | 23,165,378 | |
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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, 232,190,087 and 187,226,081 shares issued and outstanding, respectively | 2,322 | | 1,873 | |
Additional paid-in-capital | 4,517,819 | | 4,275,963 | |
Accumulated other comprehensive income | 554,981 | | 708,336 | |
Cumulative earnings | 3,734,659 | | 3,793,040 | |
Cumulative distributions to stockholders | (5,113,611) | | (4,826,291) | |
Total stockholders' equity | $ | 3,696,542 | | $ | 3,953,293 | |
Total liabilities and stockholders' equity | $ | 18,093,868 | | $ | 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 September 30, 2020, and December 31, 2019, total
assets of consolidated VIEs were $12,795,729 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $8,660,123 and $8,064,235, respectively. See Note 9 for further discussion.
See accompanying notes to consolidated financial statements.
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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, 2020 | September 30, 2019 | | | September 30, 2020 | | September 30, 2019 |
Net interest income: | | | | | | | |
Interest income (1) | $ | 247,905 | | $ | 330,144 | | | | $ | 794,094 | | | $ | 1,020,448 | |
Interest expense (2) | 124,557 | | 188,551 | | | | 395,897 | | | 589,611 | |
Net interest income | 123,348 | | 141,593 | | | | 398,197 | | | 430,837 | |
| | | | | | | |
Increase/(decrease) in provision for credit losses | (1,650) | | — | | | | 167 | | | — | |
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Net other-than-temporary credit impairment losses | — | | — | | | | — | | | (4,853) | |
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Other investment gains (losses): | | | | | | | |
Net unrealized gains (losses) on derivatives | — | | 31,620 | | | | 201,000 | | | (189,865) | |
Realized gains (losses) on terminations of interest rate swaps | — | | (148,114) | | | | (463,966) | | | (351,372) | |
Net realized gains (losses) on derivatives | — | | (20,178) | | | | (41,086) | | | (37,151) | |
Net gains (losses) on derivatives | — | | (136,672) | | | | (304,052) | | | (578,388) | |
Net unrealized gains (losses) on financial instruments at fair value | 260,766 | | 130,825 | | | | (172,042) | | | 522,386 | |
Net realized gains (losses) on sales of investments | 65,041 | | 1,596 | | | | 167,275 | | | 2,673 | |
| | | | | | | |
Gains (losses) on extinguishment of debt | (55,794) | | — | | | | (55,338) | | | (608) | |
Total other gains (losses) | 270,013 | | (4,251) | | | | (364,157) | | | (53,937) | |
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Other expenses: | | | | | | | |
| | | | | | | |
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| | | | | | | |
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Compensation and benefits | 10,287 | | 12,191 | | | | 33,476 | | | 38,675 | |
General and administrative expenses | 6,811 | | 6,528 | | | | 19,050 | | | 18,569 | |
Servicing fees | 8,898 | | 8,881 | | | | 28,359 | | | 27,125 | |
Transaction expenses | 1,624 | | 3,415 | | | | 11,239 | | | 4,289 | |
Total other expenses | 27,620 | | 31,015 | | | | 92,124 | | | 88,658 | |
Income (loss) before income taxes | 367,391 | | 106,327 | | | | (58,251) | | | 283,389 | |
Income taxes | 62 | | 1 | | | | 130 | | | 156 | |
Net income (loss) | $ | 367,329 | | $ | 106,326 | | | | $ | (58,381) | | | $ | 283,233 | |
| | | | | | | |
Dividends on preferred stock | 18,438 | | 18,438 | | | | 55,313 | | | 54,267 | |
| | | | | | | |
Net income (loss) available to common shareholders | $ | 348,891 | | $ | 87,888 | | | | $ | (113,694) | | | $ | 228,966 | |
| | | | | | | |
Net income (loss) per share available to common shareholders: | | | | | | | |
Basic | $ | 1.50 | | $ | 0.47 | | | | $ | (0.55) | | | $ | 1.22 | |
Diluted | $ | 1.32 | | $ | 0.47 | | | | $ | (0.55) | | | $ | 1.22 | |
| | | | | | | |
Weighted average number of common shares outstanding: | | | | | | | |
Basic | 232,127,224 | | 187,158,167 | | | | 206,237,705 | | | 187,141,377 | |
Diluted | 265,346,359 | | 188,440,171 | | | | 206,237,705 | | | 188,331,109 | |
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(1) Includes interest income of consolidated VIEs of $171,442 and $192,622 for the quarters ended September 30, 2020 and 2019, respectively and $515,250 and $600,436 for the nine months ended September 30, 2020 and 2019, respectively. See Note 9 to consolidated financial statements for further discussion.
(2) Includes interest expense of consolidated VIEs of $74,753 and $82,234 for the quarters ended September 30, 2020 and 2019, respectively and $210,198 and $260,790 for the nine months ended September 30, 2020 and 2019, respectively. See Note 9 to consolidated financial statements for further discussion.
See accompanying notes to consolidated financial statements.
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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, 2020 | September 30, 2019 | | September 30, 2020 | September 30, 2019 |
Comprehensive income (loss): | | | | | |
Net income (loss) | $ | 367,329 | | $ | 106,326 | | | $ | (58,381) | | $ | 283,233 | |
Other comprehensive income: | | | | | |
Unrealized gains (losses) on available-for-sale securities, net (1) | 40,470 | | 29,980 | | | (97,334) | | 115,198 | |
| | | | | |
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 | (22,999) | | — | | | (56,021) | | 22,187 | |
| | | | | |
Other comprehensive income (loss) | 17,471 | | 29,980 | | | (153,355) | | 142,238 | |
Comprehensive income (loss) before preferred stock dividends | $ | 384,800 | | $ | 136,306 | | | $ | (211,736) | | $ | 425,471 | |
Dividends on preferred stock | $ | 18,438 | | $ | 18,438 | | | $ | 55,313 | | $ | 54,267 | |
Comprehensive income (loss) available to common stock shareholders | $ | 366,362 | | $ | 117,868 | | | $ | (267,049) | | $ | 371,204 | |
(1) Quarter ended and nine months ended September 30, 2020 amounts includes $150 thousand and $15 million, respectively, of unrealized losses on AFS securities for which the Company has recognized an allowance for credit losses.
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CHIMERA INVESTMENT CORPORATION |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY |
(dollars in thousands, except per share data) |
(Unaudited) |
|
|
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For the Quarter Ended September 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, June 30, 2020 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 2,320 | | $ | 4,515,043 | | $ | 537,510 | | $ | 3,367,330 | | $ | (5,026,696) | | $ | 3,395,879 | |
Net income (loss) | — | | — | | — | | — | | — | | — | | — | | 367,329 | | — | | 367,329 | |
Other comprehensive income (loss) | — | | — | | — | | — | | — | | — | | 17,471 | | — | | — | | 17,471 | |
| | | | | | | | | | |
Settlement of Convertible Debt | — | | — | | — | | — | | 2 | | 1,198 | | — | | — | | — | | 1,200 | |
| | | | | | | | | | |
Stock based compensation | — | | — | | — | | — | | — | | 1,578 | | — | | — | | — | | 1,578 | |
Common dividends declared | — | | — | | — | | — | | — | | — | | — | | — | | (68,477) | | (68,477) | |
Preferred dividends declared | — | | — | | — | | — | | — | | — | | — | | — | | (18,438) | | (18,438) | |
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Balance, September 30, 2020 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 2,322 | | $ | 4,517,819 | | $ | 554,981 | | $ | 3,734,659 | | $ | (5,113,611) | | $ | 3,696,542 | |
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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) | |
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Balance, September 30, 2019 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 1,872 | | $ | 4,274,721 | | $ | 769,070 | | $ | 3,662,722 | | $ | (4,713,713) | | $ | 3,995,044 | |
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For the Nine Months Ended September 30, 2020 |
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| 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) | — | | — | | — | | — | | — | | — | | — | | (58,381) | | — | | (58,381) | |
Other comprehensive income (loss) | — | | — | | — | | — | | — | | — | | (153,355) | | — | | — | | (153,355) | |
Repurchase of common stock | — | | — | | — | | — | | (15) | | (22,051) | | — | | — | | — | | (22,066) | |
Settlement of Convertible Debt | — | | — | | — | | — | | 463 | | 293,546 | | — | | — | | — | | 294,009 | |
Purchase of Capped Call | — | | — | | — | | — | | — | | (33,750) | | — | | — | | — | | (33,750) | |
Stock based compensation | — | | — | | — | | — | | 1 | | 4,111 | | — | | — | | — | | 4,112 | |
Common dividends declared | — | | — | | — | | — | | — | | — | | — | | — | | (232,007) | | (232,007) | |
Preferred dividends declared | — | | — | | — | | — | | — | | — | | — | | — | | (55,313) | | (55,313) | |
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Balance, September 30, 2020 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 2,322 | | $ | 4,517,819 | | $ | 554,981 | | $ | 3,734,659 | | $ | (5,113,611) | | $ | 3,696,542 | |
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For the Nine Months Ended September 30, 2019 |
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| 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 | |
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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 | |