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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 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 October 31, 2022
Common Stock, $0.01 par value231,754,346



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, 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
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)
September 30, 2022December 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 value38,470 60,487 
Agency CMBS, at fair value427,984 761,208 
Loans held for investment, at fair value11,707,299 12,261,926 
Receivable for investments sold14,118  
Accrued interest receivable69,330 69,513 
Other assets130,198 58,320 
Derivatives, at fair value4,389  
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 purchased644,120 477,415 
Accrued interest payable25,773 20,416 
Dividends payable63,860 86,152 
Accounts payable and other liabilities26,654 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-capital4,314,942 4,359,045 
Accumulated other comprehensive income244,204 405,054 
Cumulative earnings3,941,742 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.
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, 2022September 30, 2021September 30, 2022September 30, 2021
Net interest income:
Interest income (1)
$188,303 $220,579 $585,835 $716,384 
Interest expense (2)
83,464 71,353 226,403 260,029 
Net interest income104,839 149,226 359,432 456,355 
Increase/(decrease) in provision for credit losses(1,534)(386)3,203 (58)
Other investment gains (losses): 
Net unrealized gains (losses) on derivatives10,307  8,689  
Periodic interest cost of swaps, net(122) (122) 
Net gains (losses) on derivatives10,185  8,567  
Net unrealized gains (losses) on financial instruments at fair value(239,513)239,524 (848,925)545,643 
Net realized gains (losses) on sales of investments(37,031) (37,031)45,313 
Gains (losses) on extinguishment of debt (25,622)(2,897)(284,535)
Other investment gains (losses)(462) 517  
Total other gains (losses)(266,821)213,902 (879,769)306,421 
Other expenses: 
Compensation and benefits10,000 12,694 30,211 35,363 
General and administrative expenses4,836 5,300 16,493 16,672 
Servicing and asset manager fees8,516 9,297 27,122 27,659 
Transaction expenses2,341 3,432 12,872 25,614 
Total other expenses25,693 30,723 86,698 105,308 
Income (loss) before income taxes(186,141)332,791 (610,238)657,526 
Income tax expense (benefit)4 1,323 28 5,146 
Net income (loss)$(186,145)$331,468 $(610,266)$652,380 
Dividends on preferred stock18,438 18,438 55,283 55,313 
Net income (loss) available to common shareholders$(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:
Basic231,750,422 235,887,296 234,671,912 232,717,010 
Diluted231,750,422 240,362,602 234,671,912 247,358,823 

(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.








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, 2022September 30, 2021September 30, 2022September 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.
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, 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, 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)
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 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 Nine Months Ended September 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)— — — — — — — (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 
5










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 

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, 2022September 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, net68,632 61,158 
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net(