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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, 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.)
                                                                                                                                             

630 Fifth Ave, Ste 2400
New York, New York
(Address of principal executive offices)
10111
(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 October 31, 2021
Common Stock, $0.01 par value236,884,709





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, 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 nine months ended September 30, 2021 and 2020
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) for the quarters and nine months ended September 30, 2021 and 2020
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and nine months ended September 30, 2021 and 2020
Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 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)
September 30, 2021December 31, 2020
Cash and cash equivalents$328,455 $269,090 
Non-Agency RMBS, at fair value (net of allowance for credit losses of $122 thousand and $180 thousand, respectively)
1,890,030 2,150,714 
Agency RMBS, at fair value65,889 90,738 
Agency CMBS, at fair value1,062,131 1,740,368 
Loans held for investment, at fair value12,533,864 13,112,129 
Accrued interest receivable74,011 81,158 
Other assets49,844 78,822 
Total assets (1)
$16,004,224 $17,523,019 
Liabilities:  
Secured financing agreements ($5.0 billion and $6.7 billion pledged as collateral, respectively)
$3,788,336 $4,636,847 
Securitized debt, collateralized by Non-Agency RMBS ($424 million and $505 million pledged as collateral, respectively)
92,204 113,433 
Securitized debt at fair value, collateralized by Loans held for investment ($11.3 billion and $12.4 billion pledged as collateral, respectively)
7,947,644 8,711,677 
Long term debt 51,623 
Payable for investments purchased192,552 106,169 
Accrued interest payable20,388 40,950 
Dividends payable85,255 77,213 
Accounts payable and other liabilities29,297 5,721 
Total liabilities (1)
$12,155,676 $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, 236,883,020 and 230,556,760 shares issued and outstanding, respectively
2,369 2,306 
Additional paid-in-capital4,357,526 4,538,029 
Accumulated other comprehensive income438,915 558,096 
Cumulative earnings4,534,274 3,881,894 
Cumulative distributions to stockholders(5,484,908)(5,201,311)
Total stockholders' equity$3,848,548 $3,779,386 
Total liabilities and stockholders' equity$16,004,224 $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 September 30, 2021, and December 31, 2020, total assets of consolidated VIEs were $10,865,801 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,400,498 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 Nine Months Ended
September 30, 2021September 30, 2020September 30, 2021September 30, 2020
Net interest income:
Interest income (1)
$220,579 $247,905 $716,384 $794,094 
Interest expense (2)
71,353 124,557 260,029 395,897 
Net interest income149,226 123,348 456,355 398,197 
Increase/(decrease) in provision for credit losses(386)(1,650)(58)167 
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 value239,524 260,766 545,643 (172,042)
Net realized gains (losses) on sales of investments 65,041 45,313 167,275 
Gains (losses) on extinguishment of debt(25,622)(55,794)(284,535)(55,338)
Total other gains (losses)213,902 270,013 306,421 (364,157)
Other expenses: 
Compensation and benefits12,694 10,287 35,363 33,476 
General and administrative expenses5,300 6,236 16,672 17,335 
Servicing and asset manager fees9,297 9,473 27,659 30,074 
Transaction expenses3,432 1,624 25,614 11,239 
Total other expenses30,723 27,620 105,308 92,124 
Income (loss) before income taxes332,791 367,391 657,526 (58,251)
Income tax expense (benefit)1,323 62 5,146 130 
Net income (loss)$331,468 $367,329 $652,380 $(58,381)
Dividends on preferred stock18,438 18,438 55,313 55,313 
Net income (loss) available to common shareholders$313,030 $348,891 $597,067 $(113,694)
Net income (loss) per share available to common shareholders:
Basic$1.33 $1.50 $2.57 $(0.55)
Diluted$1.30 $1.32 $2.42 $(0.55)
Weighted average number of common shares outstanding:
Basic235,887,296 232,127,224 232,717,010 206,237,705 
Diluted240,362,602 265,346,359 247,358,823 206,237,705 

(1) Includes interest income of consolidated VIEs of $138,984 and $171,442 for the quarters ended September 30, 2021 and 2020, respectively, and $446,198 and $515,250 for the nine months ended September 30, 2021 and 2020, respectively. See Note 9 to consolidated financial statements for further discussion.

(2) Includes interest expense of consolidated VIEs of $43,525 and $74,753 for the quarters ended September 30, 2021 and 2020, respectively, and $159,666 and $210,198 for the nine months ended September 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 Nine Months Ended
September 30, 2021September 30, 2020September 30, 2021September 30, 2020
Comprehensive income (loss): 
Net income (loss)$331,468 $367,329 $652,380 $(58,381)
Other comprehensive income: 
Unrealized gains (losses) on available-for-sale securities, net(17,198)40,470 (82,065)(97,334)
Reclassification adjustment for net realized losses (gains) included in net income (22,999)(37,116)(56,021)
Other comprehensive income (loss)(17,198)17,471 (119,181)(153,355)
Comprehensive income (loss) before preferred stock dividends$314,270 $384,800 $533,199 $(211,736)
Dividends on preferred stock$18,438 $18,438 $55,313 $55,313 
Comprehensive income (loss) available to common stock shareholders$295,832 $366,362 $477,886 $(267,049)


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 September 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, June 30, 2021$58 $130 $104 $80 $2,356 $4,352,986 $456,113 $4,202,806 $(5,387,202)$3,627,431 
Net income (loss)— — — — — — — 331,468 — 331,468 
Other comprehensive income (loss)— — — — — — (17,198)— — (17,198)
Settlement of convertible debt— — — — 8 5,518 — — — 5,526 
Stock based compensation— — — — 5 (978)— — — (973)
Common dividends declared— — — — — — — — (79,268)(79,268)
Preferred dividends declared— — — — — — — — (18,438)(18,438)
Balance, September 30, 2021$58 $130 $104 $80 $2,369 $4,357,526 $438,915 $4,534,274 $(5,484,908)$3,848,548 
For the Quarter Ended September 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, 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)
Balance, September 30, 2020$58 $130 $104 $80 $2,322 $4,517,819 $554,981 $3,734,659 $(5,113,611)$3,696,542 
For the Nine Months Ended September 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)— — — — — — — 652,380 — 652,380 
Other comprehensive income (loss)— — — — — — (119,181)— — (119,181)
Repurchase of common stock— — — — (2)(1,826)— — — (1,828)
Settlement of warrants— — — — — (220,945)— — — (220,945)
Settlement of convertible debt— — — — 58 37,282 — — — 37,340 
Stock based compensation— — — — 7 4,986 — — — 4,993 
Common dividends declared— — — — — — — — (228,284)(228,284)
Preferred dividends declared— — — — — — — — (55,313)(55,313)
Balance, September 30, 2021$58 $130 $104 $80 $2,369 $4,357,526 $438,915 $4,534,274 $(5,484,908)$3,848,548 
5










For the Nine Months Ended September 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)— — — — — — — (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)
Balance, September 30, 2020$58 $130 $104 $80 $2,322 $4,517,819 $554,981 $3,734,659 $(5,113,611)$3,696,542 

See accompanying notes to consolidated financial statements.
6










CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
(Unaudited)
 For the Nine Months Ended
 September 30, 2021September 30, 2020
Cash Flows From Operating Activities:
Net income (loss)$652,380 $(58,381)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net61,158 93,365 
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net9,268 (41,102)
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(545,643)