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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, 2021
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)
(888) 895-6557
(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 such files).
Yes þ No ☐
Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a 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:
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Class | Outstanding at July 31, 2021 |
Common Stock, $0.01 par value | 235,955,784 |
CHIMERA INVESTMENT CORPORATION
FORM 10-Q
TABLE OF CONTENTS
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Part I. FINANCIAL INFORMATION | |
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Item 1. Consolidated Financial Statements: | |
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Consolidated Statements of Financial Condition as of June 30, 2021 (Unaudited) and December 31, 2020 (Derived from the audited consolidated financial statements as of December 31, 2020) | |
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Consolidated Statements of Operations (Unaudited) for the quarters and six months ended June 30, 2021 and 2020 | |
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Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and six months ended June 30, 2021 and 2020 | |
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Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and six months ended June 30, 2021 and 2020 | |
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Consolidated Statements of Cash Flows (Unaudited) for the six months ended June 30, 2021 and 2020 | |
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Notes to Consolidated Financial Statements (Unaudited) | |
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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations | |
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Item 3. Quantitative and Qualitative Disclosures about Market Risk | |
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Item 4. Controls and Procedures | |
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Part II. OTHER INFORMATION | |
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Item 1. Legal Proceedings | |
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Item 1A. Risk Factors | |
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Item 2. Unregistered Sales of Equity Securities and Use of Proceeds | |
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Item 6. Exhibits | |
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SIGNATURES | |
Part I
Item 1. Consolidated Financial Statements
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CHIMERA INVESTMENT CORPORATION |
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION |
(dollars in thousands, except share and per share data) |
(Unaudited) |
| June 30, 2021 | December 31, 2020 |
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Cash and cash equivalents | $ | 346,951 | | $ | 269,090 | |
Non-Agency RMBS, at fair value (net of allowance for credit losses of $508 thousand and $180 thousand, respectively) | 1,919,668 | | 2,150,714 | |
Agency RMBS, at fair value | 76,820 | | 90,738 | |
Agency CMBS, at fair value | 1,236,507 | | 1,740,368 | |
Loans held for investment, at fair value | 12,150,868 | | 13,112,129 | |
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Accrued interest receivable | 75,314 | | 81,158 | |
Other assets | 53,931 | | 78,822 | |
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Total assets (1) | $ | 15,860,059 | | $ | 17,523,019 | |
Liabilities: | | |
Secured financing agreements ($4.8 billion and $6.7 billion pledged as collateral, respectively) | $ | 3,554,428 | | $ | 4,636,847 | |
Securitized debt, collateralized by Non-Agency RMBS ($453 million and $505 million pledged as collateral, respectively) | 99,559 | | 113,433 | |
Securitized debt at fair value, collateralized by Loans held for investment ($11.5 billion and $12.4 billion pledged as collateral, respectively) | 8,371,511 | | 8,711,677 | |
Long term debt | 20,550 | | 51,623 | |
Payable for investments purchased | 58,467 | | 106,169 | |
Accrued interest payable | 23,128 | | 40,950 | |
Dividends payable | 87,050 | | 77,213 | |
Accounts payable and other liabilities | 17,935 | | 5,721 | |
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Total liabilities (1) | $ | 12,232,628 | | $ | 13,743,633 | |
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Commitments and Contingencies (See Note 16) | | |
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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, 235,557,640 and 230,556,760 shares issued and outstanding, respectively | 2,356 | | 2,306 | |
Additional paid-in-capital | 4,352,986 | | 4,538,029 | |
Accumulated other comprehensive income | 456,113 | | 558,096 | |
Cumulative earnings | 4,202,806 | | 3,881,894 | |
Cumulative distributions to stockholders | (5,387,202) | | (5,201,311) | |
Total stockholders' equity | $ | 3,627,431 | | $ | 3,779,386 | |
Total liabilities and stockholders' equity | $ | 15,860,059 | | $ | 17,523,019 | |
(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, 2021, and December 31, 2020, total assets of consolidated VIEs were $11,090,458 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,786,837 and $8,063,110, 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 Six Months Ended |
| June 30, 2021 | June 30, 2020 | | | June 30, 2021 | | June 30, 2020 |
Net interest income: | | | | | | | |
Interest income (1) | $ | 252,677 | | $ | 245,922 | | | | $ | 495,805 | | | $ | 546,189 | |
Interest expense (2) | 80,610 | | 129,256 | | | | 188,677 | | | 271,339 | |
Net interest income | 172,067 | | 116,666 | | | | 307,128 | | | 274,850 | |
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Increase/(decrease) in provision for credit losses | 453 | | (4,497) | | | | 327 | | | 1,817 | |
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Other investment gains (losses): | | | | | | | |
Net unrealized gains (losses) on derivatives | — | | — | | | | — | | | 201,000 | |
Realized gains (losses) on terminations of interest rate swaps | — | | — | | | | — | | | (463,966) | |
Net realized gains (losses) on derivatives | — | | — | | | | — | | | (41,086) | |
Net gains (losses) on derivatives | — | | — | | | | — | | | (304,052) | |
Net unrealized gains (losses) on financial instruments at fair value | 36,108 | | (171,921) | | | | 306,120 | | | (432,809) | |
Net realized gains (losses) on sales of investments | 7,517 | | 26,380 | | | | 45,313 | | | 102,234 | |
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Gains (losses) on extinguishment of debt | (21,777) | | 459 | | | | (258,914) | | | 459 | |
Total other gains (losses) | 21,848 | | (145,082) | | | | 92,519 | | | (634,168) | |
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Other expenses: | | | | | | | |
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Compensation and benefits | 9,230 | | 10,255 | | | | 22,669 | | | 23,190 | |
General and administrative expenses | 6,173 | | 5,963 | | | | 11,371 | | | 11,100 | |
Servicing and asset manager fees | 9,081 | | 10,072 | | | | 18,362 | | | 20,601 | |
Transaction expenses | 5,745 | | 4,710 | | | | 22,182 | | | 9,616 | |
Total other expenses | 30,229 | | 31,000 | | | | 74,584 | | | 64,507 | |
Income (loss) before income taxes | 163,233 | | (54,919) | | | | 324,736 | | | (425,642) | |
Income tax expense (benefit) | (88) | | 36 | | | | 3,824 | | | 68 | |
Net income (loss) | $ | 163,321 | | $ | (54,955) | | | | $ | 320,912 | | | $ | (425,710) | |
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Dividends on preferred stock | 18,438 | | 18,438 | | | | 36,875 | | | 36,875 | |
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Net income (loss) available to common shareholders | $ | 144,883 | | $ | (73,393) | | | | $ | 284,037 | | | $ | (462,585) | |
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Net income (loss) per share available to common shareholders: | | | | | | | |
Basic | $ | 0.63 | | $ | (0.37) | | | | $ | 1.23 | | | $ | (2.39) | |
Diluted | $ | 0.60 | | $ | (0.37) | | | | $ | 1.14 | | | $ | (2.39) | |
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Weighted average number of common shares outstanding: | | | | | | | |
Basic | 231,638,042 | | 199,282,790 | | | | 231,105,595 | | | 193,150,696 | |
Diluted | 241,739,536 | | 199,282,790 | | | | 251,723,940 | | | 193,150,696 | |
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(1) Includes interest income of consolidated VIEs of $149,115 and $169,127 for the quarters ended June 30, 2021 and 2020, respectively, and $307,214 and $343,809 for the six months ended June 30, 2021 and 2020, respectively. See Note 9 to consolidated financial statements for further discussion.
(2) Includes interest expense of consolidated VIEs of $50,935 and $70,816 for the quarters ended June 30, 2021 and 2020, respectively, and $116,141 and $135,445 for the six months ended June 30, 2021 and 2020, 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) |
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| For the Quarters Ended | For the Six Months Ended |
| June 30, 2021 | June 30, 2020 | | June 30, 2021 | June 30, 2020 |
Comprehensive income (loss): | | | | | |
Net income (loss) | $ | 163,321 | | $ | (54,955) | | | $ | 320,912 | | $ | (425,710) | |
Other comprehensive income: | | | | | |
Unrealized gains (losses) on available-for-sale securities, net | (26,215) | | 61,399 | | | (64,867) | | (137,805) | |
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Reclassification adjustment for net realized losses (gains) included in net income | (11,323) | | (26,380) | | | (37,116) | | (33,021) | |
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Other comprehensive income (loss) | (37,538) | | 35,019 | | | (101,983) | | (170,826) | |
Comprehensive income (loss) before preferred stock dividends | $ | 125,783 | | $ | (19,936) | | | $ | 218,929 | | $ | (596,536) | |
Dividends on preferred stock | $ | 18,438 | | $ | 18,438 | | | $ | 36,875 | | $ | 36,875 | |
Comprehensive income (loss) available to common stock shareholders | $ | 107,345 | | $ | (38,374) | | | $ | 182,054 | | $ | (633,411) | |
See accompanying notes to consolidated financial statements.
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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 June 30, 2021 |
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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, March 31, 2021 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 2,306 | | $ | 4,320,419 | | $ | 493,651 | | $ | 4,039,485 | | $ | (5,289,735) | | $ | 3,566,498 | |
Net income (loss) | — | | — | | — | | — | | — | | — | | — | | 163,321 | | — | | 163,321 | |
Other comprehensive income (loss) | — | | — | | — | | — | | — | | — | | (37,538) | | — | | — | | (37,538) | |
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Settlement of convertible debt | — | | — | | — | | — | | 49 | | 31,764 | | — | | — | | — | | 31,813 | |
Settlement of warrants | — | | — | | — | | — | | — | | (1,105) | | — | | — | | — | | (1,105) | |
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Stock based compensation | — | | — | | — | | — | | 1 | | 1,908 | | — | | — | | — | | 1,909 | |
Common dividends declared | — | | — | | — | | — | | — | | — | | — | | — | | (79,029) | | (79,029) | |
Preferred dividends declared | — | | — | | — | | — | | — | | — | | — | | — | | (18,438) | | (18,438) | |
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Balance, June 30, 2021 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 2,356 | | $ | 4,352,986 | | $ | 456,113 | | $ | 4,202,806 | | $ | (5,387,202) | | $ | 3,627,431 | |
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For the Quarter Ended June 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, 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) | |
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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) | |
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Balance, June 30, 2020 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 2,320 | | $ | 4,515,043 | | $ | 537,510 | | $ | 3,367,330 | | $ | (5,026,696) | | $ | 3,395,879 | |
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For the Six Months Ended June 30, 2021 |
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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, 2020 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 2,306 | | $ | 4,538,029 | | $ | 558,096 | | $ | 3,881,894 | | $ | (5,201,311) | | $ | 3,779,386 | |
Net income (loss) | — | | — | | — | | — | | — | | — | | — | | 320,912 | | — | | 320,912 | |
Other comprehensive income (loss) | — | | — | | — | | — | | — | | — | | (101,983) | | — | | — | | (101,983) | |
Repurchase of common stock | — | | — | | — | | — | | (2) | | (1,826) | | — | | — | | — | | (1,828) | |
Settlement of warrants | — | | — | | — | | — | | — | | (220,945) | | — | | — | | — | | (220,945) | |
Settlement of convertible debt | — | | — | | — | | — | | 49 | | 31,764 | | — | | — | | — | | 31,813 | |
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Stock based compensation | — | | — | | — | | — | | 3 | | 5,964 | | — | | — | | — | | 5,967 | |
Common dividends declared | — | | — | | — | | — | | — | | — | | — | | — | | (149,016) | | (149,016) | |
Preferred dividends declared | — | | — | | — | | — | | — | | — | | — | | — | | (36,875) | | (36,875) | |
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Balance, June 30, 2021 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 2,356 | | $ | 4,352,986 | | $ | 456,113 | | $ | 4,202,806 | | $ | (5,387,202) | | $ | 3,627,431 | |
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For the Six Months Ended June 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) | — | | — | | — | | — | | — | | — | | — | | (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 | | $ | 537,510 | | $ | 3,367,330 | | $ | (5,026,696) | | $ | 3,395,879 | |
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See accompanying notes to consolidated financial statements.
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CHIMERA INVESTMENT CORPORATION |
CONSOLIDATED STATEMENTS OF CASH FLOWS |
(dollars in thousands) |
(Unaudited) | |
| For the Six Months Ended |
| June 30, 2021 | June 30, 2020 | |
Cash Flows From Operating Activities: | |
Net income (loss) | $ | 320,912 | | $ | (425,710) | | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |
(Accretion) amortization of investment discounts/premiums, net | 38,546 | | 60,974 | | |
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net | 11,179 | | (35,148) | | |
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Net unrealized losses (gains) on derivatives | — | | (201,000) | | |
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Margin (paid) received on derivatives | — | | 325,594 | | |
Net unrealized losses (gains) on financial instruments at fair value | |