Chimera Investment(US:CIM)2025-05-08 20:16PART I. FINANCIAL INFORMATION Item 1. Consolidated Financial Statements The unaudited consolidated financial statements for the quarter ended March 31, 2025 show a net income of $167.3 million and total assets of $13.2 billion Financial Metric (in thousands) | Financial Metric | March 31, 2025 | December 31, 2024 | | :--- | :--- | :--- | | Total Assets | $13,205,326 | $13,116,490 | | Total Liabilities | $10,561,262 | $10,590,301 | | Total Stockholders' Equity | $2,644,064 | $2,526,189 | Income Statement Item (in thousands) | Income Statement Item | Q1 2025 | Q1 2024 | | :--- | :--- | :--- | | Net Interest Income | $69,219 | $65,106 | | Total Other Income (Losses) | $137,284 | $88,366 | | Total Other Expenses | $34,062 | $22,663 | | Net Income | $167,297 | $129,454 | | Net Income Available to Common Shareholders | $145,940 | $111,016 | | Diluted EPS | $1.77 | $1.36 | Cash Flow Activity (in thousands) | Cash Flow Activity | Q1 2025 | Q1 2024 | | :--- | :--- | :--- | | Net Cash from Operating Activities | $48,799 | $57,274 | | Net Cash from Investing Activities | ($175,325) | $248,336 | | Net Cash from Financing Activities | $295,876 | ($358,336) | | Net Change in Cash | $169,350 | ($52,726) | Notes to Consolidated Financial Statements These notes detail accounting policies, VIE consolidation, and valuation methods for the company's mortgage assets and related financing - The company is an internally managed REIT primarily investing in a diversified portfolio of mortgage assets, including residential mortgage loans, Non-Agency RMBS, and Agency RMBS30 - The company consolidates Variable Interest Entities (VIEs) from its securitization transactions where it is determined to be the primary beneficiary; as of March 31, 2025, total assets of consolidated VIEs were $10.1 billion and total liabilities were $7.0 billion1336188 Portfolio Summary (Fair Value, in thousands) | Portfolio Summary (Fair Value) | March 31, 2025 | December 31, 2024 | | :--- | :--- | :--- | | Non-Agency RMBS | $1,059,840 | $1,064,169 | | Agency MBS | $656,335 | $519,218 | | Loans held for investment | $10,983,840 | $11,196,678 | - The allowance for credit losses on Non-Agency RMBS increased to $31.8 million as of March 31, 2025, from $28.4 million at year-end 2024, primarily due to deterioration in cash flows on certain investments6567 Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations Management discusses Q1 2025 performance, highlighting net income of $146 million, strategic securitizations, and a disciplined portfolio approach - The company's investment portfolio at fair value as of March 31, 2025, was composed of approximately 87% residential mortgage loans, 8% Non-Agency RMBS, and 5% Agency MBS249 - Key business highlights for Q1 2025 include organically generating over $187 million in capital, investing $149 million in Agency Pass-through securities, and generating $9 million in new revenue from investment management services253265278 Key Metrics | Metric | Q1 2025 | Q4 2024 | Q1 2024 | | :--- | :--- | :--- | :--- | | GAAP Net Income (Loss) to Common | $145.9M | ($168.3M) | $111.0M | | GAAP Diluted EPS | $1.77 | ($2.07) | $1.36 | | Earnings Available for Distribution | $33.5M | $30.4M | $30.6M | | EAD per Adjusted Diluted Share | $0.41 | $0.37 | $0.37 | | Dividend Declared per Common Share | $0.37 | $0.37 | $0.33 | - The company's GAAP recourse leverage ratio remained stable at 1.2:1 at the end of Q1 2025, consistent with year-end 2024353370 Results of Operations Net income available to common shareholders reached $146 million in Q1 2025, driven by significant unrealized gains on financial instruments - The QoQ increase in net income was primarily driven by a $310 million positive swing in unrealized gains on financial instruments at fair value290 - The YoY increase in net income was mainly due to a $52 million increase in net unrealized gains on financial instruments and $9 million in new investment management fees, partially offset by a $13 million decrease in net gains on derivatives291 Net Interest Income (in thousands) | (in thousands) | Q1 2025 | Q4 2024 | Q1 2024 | | :--- | :--- | :--- | :--- | | GAAP Net Interest Income | $69,219 | $65,824 | $65,106 | | Economic Net Interest Income (Non-GAAP) | $72,304 | $69,197 | $68,001 | Liquidity and Capital Resources The company's liquidity improved with cash increasing by $169 million to $253 million, supported by strong financing activities - Cash and cash equivalents increased from $84 million at Dec 31, 2024 to $253 million at March 31, 2025366 - Financing activities provided $296 million in cash, primarily from $164 million in net proceeds from secured financing agreements and $780 million in proceeds from securitized debt borrowings, offset by $597 million in repayments369 - The company has entered into non-MTM (mark-to-market) and limited-MTM financing facilities totaling $915 million and $504 million, respectively, to reduce the risk of margin calls from price volatility375 - The company has an authorized share repurchase program of $250 million, under which no shares were repurchased in Q1 2025, and an at-the-market (ATM) sales program with $426 million remaining capacity386387388 Item 3. Quantitative and Qualitative Disclosures About Market Risk The company's primary market risks include credit, interest rate, and prepayment risk, managed through hedging and diligent underwriting - The company's primary market risks are identified as credit risk, interest rate risk, prepayment risk, extension risk, basis risk, and market risk417 - Credit risk is managed through independent reviews of mortgage files, obtaining representations and warranties from sellers, and closely monitoring credit loss expectations422 Interest Rate Sensitivity Analysis | Change in Interest Rate | Projected % Change in Net Interest Income | Projected % Change in Market Value | | :--- | :--- | :--- | | +100 Basis Points | (9.23)% | (5.47)% | | +50 Basis Points | (4.56)% | (2.82)% | | -50 Basis Points | 4.78% | 3.00% | | -100 Basis Points | 9.77% | 6.23% | - The company employs a "Three Layers of Defense Approach" to Enterprise Risk Management, involving business units, an independent risk management unit, and third-party internal auditors451 Item 4. Controls and Procedures Management concluded that disclosure controls and procedures were effective as of March 31, 2025, with no material changes to internal controls - The CEO and CFO concluded that the company's disclosure controls and procedures were effective as of the end of the period covered by the report456 - There were no material changes to the company's internal control over financial reporting during the first quarter of 2025457 PART II. OTHER INFORMATION Item 1. Legal Proceedings The company reports no material legal proceedings for the period - The company reported no legal proceedings459 Item 1A. Risk Factors No material changes to the risk factors previously disclosed in the company's 2024 Form 10-K were reported - There have been no material changes to the risk factors set forth in the company's Form 10-K for the year ended December 31, 2024460 Item 2. Unregistered Sales of Equity Securities and Use of Proceeds The company did not repurchase any common stock during the quarter under its authorized $250 million share repurchase program - The company has a $250 million share repurchase program authorized by the Board of Directors, which includes both common and preferred stock461 - No common stock was repurchased during the quarter ended March 31, 2025463 Item 5. Other Information The company reports no other information for this item - None reported466 Item 6. Exhibits This section indexes all exhibits filed with the Form 10-Q, including corporate governance documents and officer certifications