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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, 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 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 Fixed-to-Floating Rate Cumulative Redeemable Preferred StockCIM PRBNew York Stock Exchange
7.75% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred StockCIM PRCNew York Stock Exchange
8.00% Series D Fixed-to-Floating Rate Cumulative 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, 2022
Common Stock, $0.01 par value231,751,256



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, 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 six months ended June 30, 2022 and 2021
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) for the quarters and six months ended June 30, 2022 and 2021
Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the quarters and six months ended June 30, 2022 and 2021
Consolidated Statements of Cash Flows (Unaudited) for the six months ended June 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
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 3. Defaults Upon Senior Securities
Item 4. Mine Safety Disclosures
Item 5. Other Information
Item 6. Exhibits
SIGNATURES











1


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)
June 30, 2022December 31, 2021
Cash and cash equivalents$158,455 $385,741 
Non-Agency RMBS, at fair value (net of allowance for credit losses of $5 million and $213 thousand, respectively)
1,321,775 1,810,208 
Agency RMBS, at fair value73,454 60,487 
Agency CMBS, at fair value455,637 761,208 
Loans held for investment, at fair value11,894,421 12,261,926 
Accrued interest receivable70,201 69,513 
Other assets58,811 58,320 
Total assets (1)
$14,032,754 $15,407,403 
Liabilities:  
Secured financing agreements ($4.0 billion and $4.4 billion pledged as collateral, respectively)
$3,148,832 $3,261,613 
Securitized debt, collateralized by Non-Agency RMBS ($309 million and $365 million pledged as collateral, respectively)
81,732 87,999 
Securitized debt at fair value, collateralized by Loans held for investment ($11.1 billion and $11.0 billion pledged as collateral, respectively)
7,682,291 7,726,043 
Payable for investments purchased11,555 477,415 
Accrued interest payable22,733 20,416 
Dividends payable85,675 86,152 
Accounts payable and other liabilities26,937 11,574 
Total liabilities (1)
$11,059,755 $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, 231,748,414 and 236,951,266 shares issued and outstanding, respectively
2,317 2,370 
Additional paid-in-capital4,312,604 4,359,045 
Accumulated other comprehensive income305,730 405,054 
Cumulative earnings4,127,887 4,552,008 
Cumulative distributions to stockholders(5,775,911)(5,582,658)
Total stockholders' equity$2,972,999 $3,736,191 
Total liabilities and stockholders' equity$14,032,754 $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 June 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $10,783,461 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $7,293,599 and $7,223,655, 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, 2022June 30, 2021June 30, 2022June 30, 2021
Net interest income:
Interest income (1)
$195,357 $252,677 $397,532 $495,805 
Interest expense (2)
78,467 80,610 142,939 188,677 
Net interest income116,890 172,067 254,593 307,128 
Increase/(decrease) in provision for credit losses4,497 453 4,737 327 
Other investment gains (losses): 
Net unrealized gains (losses) on derivatives(1,618) (1,618) 
Net unrealized gains (losses) on financial instruments at fair value(239,246)36,108 (609,412)306,120 
Net realized gains (losses) on sales of investments 7,517  45,313 
Gains (losses) on extinguishment of debt(2,897)(21,777)(2,897)(258,914)
Other investment gains980  980  
Total other gains (losses)(242,781)21,848 (612,947)92,519 
Other expenses: 
Compensation and benefits8,859 9,230 20,211 22,669 
General and administrative expenses5,944 6,173 11,657 11,371 
Servicing and asset manager fees9,315 9,081 18,607 18,362 
Transaction expenses6,727 5,745 10,531 22,182 
Total other expenses30,845 30,229 61,006 74,584 
Income (loss) before income taxes(161,233)163,233 (424,097)324,736 
Income tax expense (benefit)94 (88)24 3,824 
Net income (loss)$(161,327)$163,321 $(424,121)$320,912 
Dividends on preferred stock18,438 18,438 36,845 36,875 
Net income (loss) available to common shareholders$(179,765)$144,883 $(460,966)$284,037 
Net income (loss) per share available to common shareholders:
Basic$(0.76)$0.63 $(1.95)$1.23 
Diluted$(0.76)$0.60 $(1.95)$1.14 
Weighted average number of common shares outstanding:
Basic235,310,440 231,638,042 236,156,868 231,105,595 
Diluted235,310,440 241,739,536 236,156,868 251,723,940 

(1) Includes interest income of consolidated VIEs of $140,209 and $149,115 for the quarters ended June 30, 2022 and 2021, respectively, and $271,275 and $307,214 for the six months ended June 30, 2022 and 2021, respectively. See Note 9 to consolidated financial statements for further discussion.

(2) Includes interest expense of consolidated VIEs of $50,193 and $50,935 for the quarters ended June 30, 2022 and 2021, respectively, and $92,684 and $116,141 for the six months ended June 30, 2022 and 2021, 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, 2022June 30, 2021June 30, 2022June 30, 2021
Comprehensive income (loss): 
Net income (loss)$(161,327)$163,321 $(424,121)$320,912 
Other comprehensive income: 
Unrealized gains (losses) on available-for-sale securities, net(58,369)(26,215)(99,324)$(64,867)
Reclassification adjustment for net realized losses (gains) included in net income (11,323) $(37,116)
Other comprehensive income (loss)(58,369)(37,538)(99,324)$(101,983)
Comprehensive income (loss) before preferred stock dividends$(219,696)$125,783 $(523,445)$218,929 
Dividends on preferred stock$18,438 $18,438 $36,845 $36,875 
Comprehensive income (loss) available to common stock shareholders$(238,134)$107,345 $(560,290)$182,054 


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, 2022
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, 2022$58 $130 $104 $80 $2,370 $4,360,340 $364,099 $4,289,214 $(5,679,667)$3,336,728 
Net income (loss)— — — — — — — (161,327)— (161,327)
Other comprehensive income (loss)— — — — — — (58,369)— — (58,369)
Repurchase of common stock— — — — (54)(48,832)— — — (48,886)
Stock based compensation— — — — 1 1,096 — — — 1,097 
Common dividends declared— — — — — — — — (77,806)(77,806)
Preferred dividends declared— — — — — — — — (18,438)(18,438)
Balance, June 30, 2022$58 $130 $104 $80 $2,317 $4,312,604 $305,730 $4,127,887 $(5,775,911)$2,972,999 
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 Six Months Ended June 30, 2022
 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, 2021$58 $130 $104 $80 $2,370 $4,359,045 $405,054 $4,552,008 $(5,582,658)$3,736,191 
Net income (loss)— — — — — — — (424,121)— (424,121)
Other comprehensive income (loss)— — — — — — (99,324)— — (99,324)
Repurchase of common stock— — — — (54)(48,832)— — — (48,886)
Stock based compensation— — — 1 2,391 — — — 2,392 
Common dividends declared— — — — — — — — (156,408)(156,408)
Preferred dividends declared— — — — — — — — (36,845)(36,845)
Balance, June 30, 2022$58 $130 $104 $80 $2,317 $4,312,604 $305,730 $4,127,887 $(5,775,911)$2,972,999 
5










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 

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, 2022June 30, 2021
Cash Flows From Operating Activities:
Net income (loss)$(424,121)$320,912 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net53,789 38,546 
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net(2,257)11,179 
Net unrealized losses (gains) on derivatives1,618  
Proceeds (payments) for derivative settlements(6,200) 
Margin (paid) received on derivatives5,990  
Net unrealized losses (gains) on financial instruments at fair value609,412 (306,120)
Net re