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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 ClassTrading Symbol(s)Name of Each Exchange on Which Registered
  
Common Stock, par value $0.01 per shareCIMNew York Stock Exchange
8.00% Series A Cumulative Redeemable Preferred StockCIM PRANew York Stock Exchange
8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred StockCIM PRBNew York Stock Exchange
7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred StockCIM PRCNew York Stock Exchange
8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred StockCIM PRDNew 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:
ClassOutstanding at July 31, 2021
Common Stock, $0.01 par value235,955,784





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 June 30, 2021 (Unaudited) and December 31, 2020 (Derived from the audited consolidated financial statements as of December 31, 2020)
Consolidated Statements of Operations (Unaudited) for the quarters and six months ended June 30, 2021 and 2020
Consolidated Statements of Comprehensive Income (Unaudited) for the quarters and six months ended June 30, 2021 and 2020
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and six months ended June 30, 2021 and 2020
Consolidated Statements of Cash Flows (Unaudited) for the six months ended June 30, 2021 and 2020
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




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, 2021December 31, 2020
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 value76,820 90,738 
Agency CMBS, at fair value1,236,507 1,740,368 
Loans held for investment, at fair value12,150,868 13,112,129 
Accrued interest receivable75,314 81,158 
Other assets53,931 78,822 
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 debt20,550 51,623 
Payable for investments purchased58,467 106,169 
Accrued interest payable23,128 40,950 
Dividends payable87,050 77,213 
Accounts payable and other liabilities17,935 5,721 
Total liabilities (1)
$12,232,628 $13,743,633 
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, 235,557,640 and 230,556,760 shares issued and outstanding, respectively
2,356 2,306 
Additional paid-in-capital4,352,986 4,538,029 
Accumulated other comprehensive income456,113 558,096 
Cumulative earnings4,202,806 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.
2










CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS
(dollars in thousands, except share and per share data)
(Unaudited)
 For the Quarters EndedFor the Six Months Ended
June 30, 2021June 30, 2020June 30, 2021June 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 income172,067 116,666 307,128 274,850 
Increase/(decrease) in provision for credit losses453 (4,497)327 1,817 
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 value36,108 (171,921)306,120 (432,809)
Net realized gains (losses) on sales of investments7,517 26,380 45,313 102,234 
Gains (losses) on extinguishment of debt(21,777)459 (258,914)459 
Total other gains (losses)21,848 (145,082)92,519 (634,168)
Other expenses:  
Compensation and benefits9,230 10,255 22,669 23,190 
General and administrative expenses6,173 5,963 11,371 11,100 
Servicing and asset manager fees9,081 10,072 18,362 20,601 
Transaction expenses5,745 4,710 22,182 9,616 
Total other expenses30,229 31,000 74,584 64,507 
Income (loss) before income taxes163,233 (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)
Dividends on preferred stock18,438 18,438 36,875 36,875 
Net income (loss) available to common shareholders$144,883 $(73,393)$284,037 $(462,585)
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)
Weighted average number of common shares outstanding:
Basic231,638,042 199,282,790 231,105,595 193,150,696 
Diluted241,739,536 199,282,790 251,723,940 193,150,696 

(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.











3










CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(Unaudited)
For the Quarters EndedFor the Six Months Ended
June 30, 2021June 30, 2020June 30, 2021June 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)
Reclassification adjustment for net realized losses (gains) included in net income(11,323)(26,380)(37,116)(33,021)
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.
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, 2021
 Series A Preferred Stock Par ValueSeries B Preferred Stock Par ValueSeries C Preferred Stock Par ValueSeries D Preferred Stock Par ValueCommon
Stock Par
Value
Additional Paid-in CapitalAccumulated Other Comprehensive IncomeCumulative EarningsCumulative Distributions to StockholdersTotal
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)
Settlement of convertible debt— — — — 49 31,764 — — — 31,813 
Settlement of warrants— — — — — (1,105)— — — (1,105)
Stock based compensation— — — — 1 1,908 — — — 1,909 
Common dividends declared— — — — — — — — (79,029)(79,029)
Preferred dividends declared— — — — — — — — (18,438)(18,438)
Balance, June 30, 2021$58 $130 $104 $80 $2,356 $4,352,986 $456,113 $4,202,806 $(5,387,202)$3,627,431 
For the Quarter Ended June 30, 2020
 Series A Preferred Stock Par ValueSeries B Preferred Stock Par ValueSeries C Preferred Stock Par ValueSeries D Preferred Stock Par ValueCommon
Stock Par
Value
Additional Paid-in CapitalAccumulated Other Comprehensive IncomeCumulative EarningsCumulative Distributions to StockholdersTotal
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 Six Months Ended June 30, 2021
Series A Preferred Stock Par ValueSeries B Preferred Stock Par ValueSeries C Preferred Stock Par ValueSeries D Preferred Stock Par ValueCommon
Stock Par
Value
Additional Paid-in CapitalAccumulated Other Comprehensive IncomeCumulative EarningsCumulative Distributions to StockholdersTotal
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 
Stock based compensation— — — — 3 5,964 — — — 5,967 
Common dividends declared— — — — — — — — (149,016)(149,016)
Preferred dividends declared— — — — — — — — (36,875)(36,875)
Balance, June 30, 2021$58 $130 $104 $80 $2,356 $4,352,986 $456,113 $4,202,806 $(5,387,202)$3,627,431 
5










For the Six Months Ended June 30, 2020
Series A Preferred Stock Par ValueSeries B Preferred Stock Par ValueSeries C Preferred Stock Par ValueSeries D Preferred Stock Par ValueCommon
Stock Par
Value
Additional Paid-in CapitalAccumulated Other Comprehensive IncomeCumulative EarningsCumulative Distributions to StockholdersTotal
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 

See accompanying notes to consolidated financial statements.
6










CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
(Unaudited)
 For the Six Months Ended
 June 30, 2021June 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, net38,546 60,974 
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net11,179 (35,148)
Net unrealized losses (gains) on derivatives (201,000)
Margin (paid) received on derivatives 325,594 
Net unrealized losses (gains) on financial instruments at fair value