Chimera Investment Corp. 2024 Q3 10-Q Filing

TL;DR

CIM's Q3 2024 10-Q shows portfolio details, including MBS and senior notes, with unrealized gains/losses.

AI Summary

Chimera Investment Corp. (CIM) filed its 10-Q for the period ending September 30, 2024. The company's financial statements detail various investment types, including Non-Agency Residential Mortgage-Backed Securities and Senior Notes due in 2029. The filing also references unrealized gains and losses on financial instruments, indicating market fluctuations impacting the company's portfolio.

Why It Matters

This filing provides insight into Chimera Investment Corp.'s financial health and investment portfolio performance as of Q3 2024, which can influence investor decisions.

Risk Assessment

Risk Level: medium — The filing details various financial instruments and their market performance, suggesting potential volatility and risk.

Key Numbers

• 2024-09-30 — Reporting Date (End of the fiscal quarter for this filing.)
• 2024-01-01 — Reporting Period Start Date (Beginning of the fiscal year to date for this filing.)
• 2023-12-31 — Prior Year End Date (Comparison point for financial performance.)

Key Players & Entities

• CHIMERA INVESTMENT CORP (company) — Filer
• 20240930 (date) — Period of Report
• 520 MADISON AVENUE (address) — Business Address
• Non-Agency Residential Mortgage-Backed Securities (financial_instrument) — Investment Type
• A9.000 Senior Notes Due 2029 (financial_instrument) — Debt Instrument
• A9.250 Senior Notes Due 2029 (financial_instrument) — Debt Instrument

FAQ

Key Financial Figures

• $0.01 — ch Registered Common Stock, par value $0.01 per share CIM New York Stock Exchange

Filing Documents

• cim-20240930.htm (10-Q) — 3442KB
• cim-93024exhibit311.htm (EX-31.1) — 10KB
• cim-93024exhibit312.htm (EX-31.2) — 11KB
• cim-93024exhibit321.htm (EX-32.1) — 7KB
• cim-93024exhibit322.htm (EX-32.2) — 7KB
• 0001628280-24-045708.txt ( ) — 16514KB
• cim-20240930.xsd (EX-101.SCH) — 102KB
• cim-20240930_cal.xml (EX-101.CAL) — 115KB
• cim-20240930_def.xml (EX-101.DEF) — 715KB
• cim-20240930_lab.xml (EX-101.LAB) — 929KB
• cim-20240930_pre.xml (EX-101.PRE) — 830KB
• cim-20240930_htm.xml (XML) — 3384KB

FINANCIAL INFORMATION

PART I. FINANCIAL INFORMATION ITEM 1. CONSOLIDATED FINANCIAL STATEMENTS Consolidated Statements of Financial Condition as of September 30, 2024 (Unaudited) and December 31, 2023 (Derived from the audited consolidated financial statements as of December 31, 2023) 2 Consolidated Statements of Operations (Unaudited) for the quarters and nine months ended September 30, 2024 and 202 3 3 Consolidated Statements of Comprehensive Income (Loss) (Unaudited) for the quarters and nine months ended September 30, 2024 and 202 3 4 Consolidated Statements of Changes in Stockholders' Equity (Unaudited) for the quarters and nine months ended September 30, 2024 and 202 3 5 Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2024 and 202 3 7

Notes to Consolidated Financial Statements (Unaudited) 9

Notes to Consolidated Financial Statements (Unaudited) 9

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS 46

QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK 70 ITEM 4

CONTROLS AND PROCEDURES

CONTROLS AND PROCEDURES 76

OTHER INFORMATION

PART II. OTHER INFORMATION

LEGAL PROCEEDINGS

ITEM 1. LEGAL PROCEEDINGS 77

RISK FACTORS

ITEM 1A. RISK FACTORS 77

UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS 77

EXHIBITS

ITEM 6. EXHIBITS 77

- Financial Information

Part I - Financial Information

Consolidated Financial Statements

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, 2024 December 31, 2023 Cash and cash equivalents $ 97,326 $ 221,684 Non-Agency RMBS, at fair value (net of allowance for credit losses of $ 24 million and $ 19 million, respectively) 1,121,836 1,043,806 Agency MBS, at fair value 1,018,918 102,484 Loans held for investment, at fair value 11,283,775 11,397,046 Accrued interest receivable 76,952 76,960 Other assets 103,472 87,018 Derivatives, at fair value 97 — Total assets (1) $ 13,702,376 $ 12,928,998 Liabilities: Secured financing agreements ($ 4.6 billion and $ 3.6 billion pledged as collateral, respectively, and includes $ 339 million and $ 350 million at fair value, respectively) $ 3,228,748 $ 2,432,115 Securitized debt, collateralized by Non-Agency RMBS ($ 241 million and $ 249 million pledged as collateral, respectively) 72,174 75,012 Securitized debt at fair value, collateralized by Loans held for investment ($ 10.7 billion and $ 10.7 billion pledged as collateral, respectively) 7,314,411 7,601,881 Long term debt 134,437 — Payable for investments purchased 123,902 158,892 Accrued interest payable 39,797 38,272 Dividends payable 33,961 54,552 Accounts payable and other liabilities 17,634 9,355 Total liabilities (1) $ 10,965,064 $ 10,370,079 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 p

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 1. Organization Chimera Investment Corporation, or the Company, was organized in Maryland on June 1, 2007. The Company commenced operations on November 21, 2007 when it completed its initial public offering. The Company elected to be taxed as a real estate investment trust, or REIT, under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder, or the Code. The Company is an internally managed REIT that is primarily engaged, through its subsidiaries, in the business of investing in a diversified portfolio of mortgage assets, including residential mortgage loans, Agency RMBS, Non-Agency RMBS, Agency CMBS, and other real estate-related assets. The following defines certain of the commonly used terms in this Quarterly Report on Form 10-Q: Agency refers to a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae; MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans; RMBS refers to mortgage-backed securities secured by pools of residential mortgage loans; CMBS refers to mortgage-backed securities secured by pools of commercial mortgage loans; Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency; ABS refers to asset-backed securities; Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively; Agency CMO refers to collateralized mortgage obligations guaranteed by an Agency and are included in Agency RMBS; Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency; IO refers to Interest-only securities. The Company conducts its operations through various subsidiaries including subsidiaries it treats as taxable REIT subsidiaries, or T

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