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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, 2022
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 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 Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | CIM PRB | New York Stock Exchange |
7.75% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | CIM PRC | New York Stock Exchange |
8.00% Series D Fixed-to-Floating Rate Cumulative 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:
| | | | | |
Class | Outstanding at October 31, 2022 |
Common Stock, $0.01 par value | 231,754,346 |
CHIMERA INVESTMENT CORPORATION
FORM 10-Q
TABLE OF CONTENTS
| | | | | |
Part I. FINANCIAL INFORMATION |
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Item 1. Consolidated Financial Statements: | |
| |
Consolidated Statements of Financial Condition as of September 30, 2022 (Unaudited) and December 31, 2021 (Derived from the audited consolidated financial statements as of December 31, 2021) | |
| |
Consolidated Statements of Operations (Unaudited) for the quarters and nine months ended September 30, 2022 and 2021 | |
| |
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) for the quarters and nine months ended September 30, 2022 and 2021 | |
| |
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and nine months ended September 30, 2022 and 2021 | |
| |
Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2022 and 2021 | |
| |
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 | |
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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 | |
| |
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds | |
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Item 3. Defaults Upon Senior Securities | |
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Item 4. Mine Safety Disclosures | |
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Item 5. Other Information | |
| |
Item 6. Exhibits | |
| |
SIGNATURES | |
Part I - Financial Information
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, 2022 | December 31, 2021 |
| | |
Cash and cash equivalents | $ | 86,234 | | $ | 385,741 | |
Non-Agency RMBS, at fair value (net of allowance for credit losses of $3 million and $213 thousand, respectively) | 1,191,298 | | 1,810,208 | |
Agency RMBS, at fair value | 38,470 | | 60,487 | |
Agency CMBS, at fair value | 427,984 | | 761,208 | |
Loans held for investment, at fair value | 11,707,299 | | 12,261,926 | |
Receivable for investments sold | 14,118 | | — | |
Accrued interest receivable | 69,330 | | 69,513 | |
Other assets | 130,198 | | 58,320 | |
Derivatives, at fair value | 4,389 | | — | |
Total assets (1) | $ | 13,669,320 | | $ | 15,407,403 | |
Liabilities: | | |
Secured financing agreements ($3.8 billion and $4.4 billion pledged as collateral, respectively) | $ | 2,820,931 | | $ | 3,261,613 | |
Securitized debt, collateralized by Non-Agency RMBS ($281 million and $365 million pledged as collateral, respectively) | 79,967 | | 87,999 | |
Securitized debt at fair value, collateralized by Loans held for investment ($10.6 billion and $11.0 billion pledged as collateral, respectively) | 7,354,311 | | 7,726,043 | |
| | |
Payable for investments purchased | 644,120 | | 477,415 | |
Accrued interest payable | 25,773 | | 20,416 | |
Dividends payable | 63,860 | | 86,152 | |
Accounts payable and other liabilities | 26,654 | | 11,574 | |
| | |
Total liabilities (1) | $ | 11,015,616 | | $ | 11,671,212 | |
| | |
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, 231,751,256 and 236,951,266 shares issued and outstanding, respectively | 2,318 | | 2,370 | |
Additional paid-in-capital | 4,314,942 | | 4,359,045 | |
Accumulated other comprehensive income | 244,204 | | 405,054 | |
Cumulative earnings | 3,941,742 | | 4,552,008 | |
Cumulative distributions to stockholders | (5,849,874) | | (5,582,658) | |
Total stockholders' equity | $ | 2,653,704 | | $ | 3,736,191 | |
Total liabilities and stockholders' equity | $ | 13,669,320 | | $ | 15,407,403 | |
(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or 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, 2022, and December 31, 2021, total assets of consolidated VIEs were $10,790,005 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $7,005,717 and $7,223,655, respectively. See Note 9 for further discussion.
See accompanying notes to consolidated financial statements.
| | | | | | | | | | | | | | | | | | | | |
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, 2022 | September 30, 2021 | | | September 30, 2022 | | September 30, 2021 | |
Net interest income: | | | | | | | | |
Interest income (1) | $ | 188,303 | | $ | 220,579 | | | | $ | 585,835 | | | $ | 716,384 | | |
Interest expense (2) | 83,464 | | 71,353 | | | | 226,403 | | | 260,029 | | |
Net interest income | 104,839 | | 149,226 | | | | 359,432 | | | 456,355 | | |
| | | | | | | | |
Increase/(decrease) in provision for credit losses | (1,534) | | (386) | | | | 3,203 | | | (58) | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
Other investment gains (losses): | | | | | | | | |
Net unrealized gains (losses) on derivatives | 10,307 | | — | | | | 8,689 | | | — | | |
| | | | | | | | |
Periodic interest cost of swaps, net | (122) | | — | | | | (122) | | | — | | |
Net gains (losses) on derivatives | 10,185 | | — | | | | 8,567 | | | — | | |
Net unrealized gains (losses) on financial instruments at fair value | (239,513) | | 239,524 | | | | (848,925) | | | 545,643 | | |
Net realized gains (losses) on sales of investments | (37,031) | | — | | | | (37,031) | | | 45,313 | | |
| | | | | | | | |
Gains (losses) on extinguishment of debt | — | | (25,622) | | | | (2,897) | | | (284,535) | | |
Other investment gains (losses) | (462) | | — | | | | 517 | | | — | | |
Total other gains (losses) | (266,821) | | 213,902 | | | | (879,769) | | | 306,421 | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
Other expenses: | | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
Compensation and benefits | 10,000 | | 12,694 | | | | 30,211 | | | 35,363 | | |
General and administrative expenses | 4,836 | | 5,300 | | | | 16,493 | | | 16,672 | | |
Servicing and asset manager fees | 8,516 | | 9,297 | | | | 27,122 | | | 27,659 | | |
Transaction expenses | 2,341 | | 3,432 | | | | 12,872 | | | 25,614 | | |
Total other expenses | 25,693 | | 30,723 | | | | 86,698 | | | 105,308 | | |
Income (loss) before income taxes | (186,141) | | 332,791 | | | | (610,238) | | | 657,526 | | |
Income tax expense (benefit) | 4 | | 1,323 | | | | 28 | | | 5,146 | | |
Net income (loss) | $ | (186,145) | | $ | 331,468 | | | | $ | (610,266) | | | $ | 652,380 | | |
| | | | | | | | |
Dividends on preferred stock | 18,438 | | 18,438 | | | | 55,283 | | | 55,313 | | |
| | | | | | | | |
Net income (loss) available to common shareholders | $ | (204,583) | | $ | 313,030 | | | | $ | (665,549) | | | $ | 597,067 | | |
| | | | | | | | |
Net income (loss) per share available to common shareholders: | | | | | | | | |
Basic | $ | (0.88) | | $ | 1.33 | | | | $ | (2.84) | | | $ | 2.57 | | |
Diluted | $ | (0.88) | | $ | 1.30 | | | | $ | (2.84) | | | $ | 2.42 | | |
| | | | | | | | |
Weighted average number of common shares outstanding: | | | | | | | | |
Basic | 231,750,422 | | 235,887,296 | | | | 234,671,912 | | | 232,717,010 | | |
Diluted | 231,750,422 | | 240,362,602 | | | | 234,671,912 | | | 247,358,823 | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
(1) Includes interest income of consolidated VIEs of $139,598 and $138,984 for the quarters ended September 30, 2022 and 2021, respectively, and $410,873 and $446,198 for the nine months ended September 30, 2022 and 2021, respectively. See Note 9 to consolidated financial statements for further discussion.
(2) Includes interest expense of consolidated VIEs of $50,030 and $43,525 for the quarters ended September 30, 2022 and 2021, respectively, and $142,714 and $159,666 for the nine months ended September 30, 2022 and 2021, 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, 2022 | September 30, 2021 | | September 30, 2022 | September 30, 2021 | |
Comprehensive income (loss): | | | | | | |
Net income (loss) | $ | (186,145) | | $ | 331,468 | | | $ | (610,266) | | $ | 652,380 | | |
Other comprehensive income: | | | | | | |
Unrealized gains (losses) on available-for-sale securities, net | (61,526) | | (17,198) | | | (160,850) | | $ | (82,065) | | |
| | | | | | |
| | | | | | |
Reclassification adjustment for net realized losses (gains) included in net income | — | | — | | | — | | $ | (37,116) | | |
| | | | | | |
Other comprehensive income (loss) | (61,526) | | (17,198) | | | (160,850) | | $ | (119,181) | | |
Comprehensive income (loss) before preferred stock dividends | $ | (247,671) | | $ | 314,270 | | | $ | (771,116) | | $ | 533,199 | | |
Dividends on preferred stock | $ | 18,438 | | $ | 18,438 | | | $ | 55,283 | | $ | 55,313 | | |
Comprehensive income (loss) available to common stock shareholders | $ | (266,109) | | $ | 295,832 | | | $ | (826,399) | | $ | 477,886 | | |
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) |
| | | | | | | | | | |
For the Quarter Ended September 30, 2022 |
| | | | | | | | | | |
| 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, 2022 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 2,317 | | $ | 4,312,604 | | $ | 305,730 | | $ | 4,127,887 | | $ | (5,775,911) | | $ | 2,972,999 | |
Net income (loss) | — | | — | | — | | — | | — | | — | | — | | (186,145) | | — | | (186,145) | |
Other comprehensive income (loss) | — | | — | | — | | — | | — | | — | | (61,526) | | — | | — | | (61,526) | |
| | | | | | | | | | |
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Stock based compensation | — | | — | | — | | — | | 1 | | 2,338 | | — | | — | | — | | 2,339 | |
Common dividends declared | — | | — | | — | | — | | — | | — | | — | | — | | (55,525) | | (55,525) | |
Preferred dividends declared | — | | — | | — | | — | | — | | — | | — | | — | | (18,438) | | (18,438) | |
| | | | | | | | | | |
Balance, September 30, 2022 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 2,318 | | $ | 4,314,942 | | $ | 244,204 | | $ | 3,941,742 | | $ | (5,849,874) | | $ | 2,653,704 | |
| | | | | | | | | | |
For the Quarter Ended September 30, 2021 |
| | | | | | | | | | |
| 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, 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 Nine Months Ended September 30, 2022 |
| | | | | | | | | | |
| 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, 2021 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 2,370 | | $ | 4,359,045 | | $ | 405,054 | | $ | 4,552,008 | | $ | (5,582,658) | | $ | 3,736,191 | |
Net income (loss) | — | | — | | — | | — | | — | | — | | — | | (610,266) | | — | | (610,266) | |
| | | | | | | | | | |
Other comprehensive income (loss) | — | | — | | — | | — | | — | | — | | (160,850) | | — | | — | | (160,850) | |
Repurchase of common stock | — | | — | | — | | — | | (54) | | (48,832) | | — | | — | | — | | (48,886) | |
| | | | | | | | | | |
Stock based compensation | — | | — | | — | | | 2 | | 4,729 | | — | | — | | — | | 4,731 | |
Common dividends declared | — | | — | | — | | — | | — | | — | | — | | — | | (211,933) | | (211,933) | |
Preferred dividends declared | — | | — | | — | | — | | — | | — | | — | | — | | (55,283) | | (55,283) | |
| | | | | | | | | | |
Balance, September 30, 2022 | $ | 58 | | $ | 130 | | $ | 104 | | $ | 80 | | $ | 2,318 | | $ | 4,314,942 | | $ | 244,204 | | $ | 3,941,742 | | $ | (5,849,874) | | $ | 2,653,704 | |
| | | | | | | | | | |
| | | | | | | | | | |
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| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
For the Nine Months Ended September 30, 2021 |
| | | | | | | | | | |
| 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) | — | | — | | — | | — | | — | | — | | — | | 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 | |
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 Nine Months Ended |
| September 30, 2022 | September 30, 2021 | |
Cash Flows From Operating Activities: |
Net income (loss) | $ | (610,266) | | $ | 652,380 | | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
(Accretion) amortization of investment discounts/premiums, net | 68,632 | | 61,158 | | |
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net | (2,799) | | 9,268 | | |
| | | |
Net unrealized losses (gains) on derivatives | (8,689) | | — | | |
| | | |
Proceeds (payments) for derivative settlements | (6,200) | | — | | |
Margin (paid) received on derivatives | (2,301) | | — | | |
Net unrealized losses (gains) on financial instruments at fair value | 848,925 | | (545,643) | | |
Net realized losses (gains) on sales of investments | 37,031 | | (45,313) | | |
Other investment (gains) losses | (517) | | — | | |
Net increase (decrease) in provision for credit losses | 3,203 | | (58) | | |
| | | |
(Gain) loss on extinguishment of debt | 2,897 | | 284,535 | | |
| | | |
Equity-based compensation expense | 4,731 | | 4,993 | | |
Changes in operating assets: | | |