Chimera Investment Corporation Reports 3rd Quarter 2020 Earnings

Rhea-AI Summary

Chimera Investment Corporation (CIM) reported strong financial results for Q3 2020, achieving a GAAP net income of $349 million, or $1.32 per share, and core earnings of $80 million, translating to $0.33 per share. The firm focused on strengthening its balance sheet, which supported its performance and allowed for three securitizations and the acquisition of $640 million in loans. Their total assets decreased to $18.09 billion from $27.12 billion year-over-year, while total liabilities were $14.40 billion against $23.17 billion in 2019.

Positive

• GAAP net income of $349 million for Q3 2020.
• Core earnings of $80 million, reflecting operational strength.
• Completed three securitizations supporting liquidity and growth.
• Acquisition of $640 million loans enhancing asset portfolio.

Negative

• Total assets decreased to $18.09 billion from $27.12 billion year-over-year.
• Significant drop in interest income from $330 million in Q3 2019 to $248 million in Q3 2020.

NEW YORK--(BUSINESS WIRE)--Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the third quarter ended September 30, 2020. The Company’s GAAP net income for the third quarter was $349 million, or $1.32 per common share. Core earnings⁽¹⁾ for the third quarter was $80 million, or $0.33 per common share.

“Over the past six months we have concentrated the company’s efforts on strengthening the balance sheet and protecting our valuable credit assets” said Matthew Lambiase, President and Chief Executive Officer. “These actions contributed to this quarters strong performance and enabled us to complete three securitizations while purchasing $640 million loans for our portfolio.”

(1) Core earnings per adjusted diluted common share is a non-GAAP measure. See additional discussion below.

Other Information

Chimera Investment Corporation is a publicly traded real estate investment trust, or REIT, that is primarily engaged in the business of investing directly or indirectly through our subsidiaries, on a leveraged basis, in a diversified portfolio of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency CMBS, Agency RMBS, and other real estate related securities.

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
(Unaudited)
	September 30, 2020			December 31, 2019
Cash and cash equivalents	$	325,717		$	109,878
Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and $0 thousand, respectively)	2,218,289			2,614,408
Agency RMBS, at fair value	99,988			6,490,293
Agency CMBS, at fair value	1,754,740			2,850,717
Loans held for investment, at fair value	13,533,252			14,292,815
Receivable for investments sold	—			446,225
Accrued interest receivable	86,727			116,423
Other assets	75,155			194,301
Derivatives, at fair value, net	—			3,611
Total assets (1)	$	18,093,868		$	27,118,671
Liabilities:
Secured financing agreements ($6.7 billion and $15.4 billion pledged as collateral, respectively)	$	4,700,037		$	13,427,545
Securitized debt, collateralized by Non-Agency RMBS ($528 million and $598 million pledged as collateral, respectively)	117,904			133,557
Securitized debt at fair value, collateralized by loans held for investment ($12.4 billion and $12.1 billion pledged as collateral, respectively)	8,757,449			8,179,608
Long term debt	70,641			—
Payable for investments purchased	614,583			1,256,337
Accrued interest payable	36,451			63,600
Dividends payable	76,362			98,568
Accounts payable and other liabilities	23,899			6,163
Total liabilities (1)	$	14,397,326		$	23,165,378
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, 232,190,087 and 187,226,081 shares issued and outstanding, respectively	2,322			1,873
Additional paid-in-capital	4,517,819			4,275,963
Accumulated other comprehensive income	554,981			708,336
Cumulative earnings	3,734,659			3,793,040
Cumulative distributions to stockholders	(5,113,611)			(4,826,291)
Total stockholders' equity	$	3,696,542		$	3,953,293
Total liabilities and stockholders' equity	$	18,093,868		$	27,118,671

(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“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, 2020, and December 31, 2019, total assets of consolidated VIEs were $12,795,729 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $8,660,123 and $8,064,235, respectively.

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, 2020			September 30, 2019			September 30, 2020			September 30, 2019
Net interest income:
Interest income (1)	$	247,905		$	330,144		$	794,094		$	1,020,448
Interest expense (2)	124,557			188,551			395,897			589,611
Net interest income	123,348			141,593			398,197			430,837
Increase/(decrease) in provision for credit losses	(1,650)			—			167			—
Net other-than-temporary credit impairment losses	—			—			—			(4,853)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives	—			31,620			201,000			(189,865)
Realized gains (losses) on terminations of interest rate swaps	—			(148,114)			(463,966)			(351,372)
Net realized gains (losses) on derivatives	—			(20,178)			(41,086)			(37,151)
Net gains (losses) on derivatives	—			(136,672)			(304,052)			(578,388)
Net unrealized gains (losses) on financial instruments at fair value	260,766			130,825			(172,042)			522,386
Net realized gains (losses) on sales of investments	65,041			1,596			167,275			2,673
Gains (losses) on extinguishment of debt	(55,794)			—			(55,338)			(608)
Total other gains (losses)	270,013			(4,251)			(364,157)			(53,937)
Other expenses:
Compensation and benefits	10,287			12,191			33,476			38,675
General and administrative expenses	6,811			6,528			19,050			18,569
Servicing fees	8,898			8,881			28,359			27,125
Transaction expenses	1,624			3,415			11,239			4,289
Total other expenses	27,620			31,015			92,124			88,658
Income (loss) before income taxes	367,391			106,327			(58,251)			283,389
Income taxes	62			1			130			156
Net income (loss)	$	367,329		$	106,326		$	(58,381)		$	283,233
Dividends on preferred stock	18,438			18,438			55,313			54,267
Net income (loss) available to common shareholders	$	348,891		$	87,888		$	(113,694)		$	228,966
Net income (loss) per share available to common shareholders:
Basic	$	1.50		$	0.47		$	(0.55)		$	1.22
Diluted	$	1.32		$	0.47		$	(0.55)		$	1.22
Weighted average number of common shares outstanding:
Basic	232,127,224			187,158,167			206,237,705			187,141,377
Diluted	265,346,359			188,440,171			206,237,705			188,331,109

(1) Includes interest income of consolidated VIEs of $171,442 and $192,622 for the quarters ended September 30, 2020 and 2019, respectively and $515,250 and $600,436 for the nine months ended September 30, 2020 and 2019, respectively.

(2) Includes interest expense of consolidated VIEs of $74,753 and $82,234 for the quarters ended September 30, 2020 and 2019, respectively and $210,198 and $260,790 for the nine months ended September 30, 2020 and 2019, respectively.

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, 2020			September 30, 2019			September 30, 2020			September 30, 2019
Comprehensive income (loss):
Net income (loss)	$	367,329		$	106,326		$	(58,381)		$	283,233
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net (1)	40,470			29,980			(97,334)			115,198
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses	—			—			—			4,853
Reclassification adjustment for net realized losses (gains) included in net income	(22,999)			—			(56,021)			22,187
Other comprehensive income (loss)	17,471			29,980			(153,355)			142,238
Comprehensive income (loss) before preferred stock dividends	$	384,800		$	136,306		$	(211,736)		$	425,471
Dividends on preferred stock	$	18,438		$	18,438		$	55,313		$	54,267
Comprehensive income (loss) available to common stock shareholders	$	366,362		$	117,868		$	(267,049)		$	371,204

(1) Quarter ended and nine months ended September 30, 2020 amounts includes $150 thousand and $15 million, respectively, of unrealized losses on AFS securities for which the Company has recognized an allowance for credit losses.

Core earnings

Core earnings is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains on the aggregate portfolio, provision for credit losses, interest expense on long term debt, impairment losses, realized gains on sales of investments, realized gains or losses on futures, realized gains or losses on swap terminations, gain on deconsolidation, extinguishment of debt and expenses incurred in relation to securitizations. In addition, stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (36 months) rather than reported as an immediate expense.

As defined, core earnings include interest income and expense, as well as periodic cash settlements on interest rate swaps used to hedge interest rate risk and other expenses. Core earnings is inclusive of preferred dividend charges, compensation and benefits (adjusted for awards to retirement eligible employees), general and administrative expenses, servicing fees, as well as income tax expenses incurred during the period. Management believes that the presentation of core earnings provides investors with a useful measure but has important limitations. We believe core earnings as described above helps us evaluate our financial performance period over period without the impact of certain transactions but is of limited usefulness as an analytical tool. Therefore, core earnings should not be viewed in isolation and is not a substitute for net income or net income per basic share computed in accordance with GAAP. In addition, our methodology for calculating core earnings may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our reported core earnings may not be comparable to the core earnings reported by other REITs.

The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to core earnings and related per average diluted common share amounts. The Core earnings is presented on an adjusted dilutive shares basis. The adjusted dilutive shares used for core earnings is a non-GAAP measure which includes the GAAP dilutive shares of 265 million, adjusted for the dilutive effect of approximately 20 million shares on warrants issued in second quarter of 2020. We exclude the dilutive effect of the warrants as the warrant holders do not participate in dividends. Certain prior period amounts have been reclassified to conform to the current period's presentation.

	For the Quarters Ended
	September 30, 2020			June 30, 2020			March 31, 2020			December 31, 2019			September 30, 2019
	(dollars in thousands, except per share data)
GAAP Net income available to common stockholders	$	348,891		$	(73,393)		$	(389,193)		$	111,881		$	87,888
Adjustments:
Interest expense on long term debt	1,495			4,391			—			—			—
Increase (decrease) in provision for credit losses	(1,650)			(4,497)			6,314			—			—
Net unrealized (gains) losses on derivatives	—			—			(201,000)			(83,656)			(31,620)
Net unrealized (gains) losses on financial instruments at fair value	(260,766)			171,921			260,887			112,751			(130,825)
Net realized (gains) losses on sales of investments	(65,041)			(26,380)			(75,854)			(17,687)			(1,596)
(Gains) losses on extinguishment of debt	55,794			(459)			—			(9,926)			—
Realized (gains) losses on terminations of interest rate swaps	—			—			463,966			8,353			148,114
Net realized (gains) losses on Futures (1)	—			—			34,700			(8,229)			19,138
Transaction expenses	1,624			4,710			4,906			6,639			3,415
Stock Compensation expense for retirement eligible awards	(275)			(273)			1,189			(45)			(145)
Core Earnings	$	80,072		$	76,020		$	105,915		$	120,081		$	94,369
GAAP net income per diluted common share	$	1.32		$	(0.37)		$	(2.08)		$	0.59		$	0.47
Core earnings per adjusted diluted common share (2)	$	0.33		$	0.32		$	0.56		$	0.64		$	0.50
(1) Included in net realized gains (losses) on derivatives in the Consolidated Statements of Operations.
(2) We note that core and taxable earnings will typically differ, and may materially differ, due to differences on realized gains and losses on investments and related hedges, credit loss recognition, timing differences in premium amortization, accretion of discounts, equity compensation and other items.

The following tables provide a summary of the Company’s MBS portfolio at September 30, 2020 and December 31, 2019.

	September 30, 2020
	Principal or Notional Value at Period-End (dollars in thousands)			Weighted Average Amortized Cost Basis			Weighted Average Fair Value		Weighted Average Coupon		Weighted Average Yield at Period-End (1)
Non-Agency RMBS
Senior	$	1,629,183		$	51.33		81.81		4.5	%	16.5	%
Subordinated	915,631			63.57			64.58		3.6	%	6.3	%
Interest-only	6,056,933			4.33			4.85		1.5	%	16.8	%
Agency RMBS
Interest-only	1,343,378			9.24			7.44		1.9	%	1.5	%
Agency CMBS
Project loans	1,538,077			101.82			112.24		4.1	%	3.9	%
Interest-only	1,383,665			1.89			2.06		0.7	%	7.9	%
(1) Bond Equivalent Yield at period end.

	December 31, 2019
	Principal or Notional Value at Period-End (dollars in thousands)			Weighted Average Amortized Cost Basis			Weighted Average Fair Value			Weighted Average Coupon		Weighted Average Yield at Period-End (1)
Non-Agency RMBS
Senior	$	2,024,564		$	52.98		$	84.01		5.0	%	20.8	%
Subordinated	876,592			63.15			71.25			3.7	%	6.9	%
Interest-only	7,458,653			4.04			3.87			1.1	%	8.4	%
Agency RMBS
Pass-through	6,080,547			102.15			104.64			4.0	%	3.4	%
Interest-only	1,539,941			9.06			8.29			1.6	%	4.0	%
Agency CMBS
Project loans	2,621,938			101.82			106.86			3.7	%	3.6	%
Interest-only	1,817,246			2.81			2.70			0.7	%	4.7	%
(1) Bond Equivalent Yield at period end.

At September 30, 2020 and December 31, 2019, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

	September 30, 2020						December 31, 2019
	(dollars in thousands)
	Principal			Weighted Average Borrowing Rates	Range of Borrowing Rates		Principal			Weighted Average Borrowing Rates	Range of Borrowing Rates
Overnight	$	—		NA	NA		$	—		NA	NA
1 to 29 days	1,610,030			0.58%	0.20% - 3.02%		9,709,387			2.26%	1.90% - 3.62%
30 to 59 days	212,333			2.35%	1.85% - 2.55%		800,648			2.96%	2.15% - 3.52%
60 to 89 days	14,626			1.83%	1.55% - 2.45%		608,520			3.00%	2.59% - 3.35%
90 to 119 days	—			NA	NA		—			NA	NA
120 to 180 days	606,072			4.23%	1.34% - 6.61%		809,077			3.38%	3.06% - 3.46%
180 days to 1 year	1,004,318			6.02%	3.25% - 7.99%		580,886			3.42%	3.26% - 3.51%
1 to 2 years	92,695			4.50%	4.50% - 4.50%		427,981			3.28%	3.19% - 3.30%
2 to 3 years	395,829			7.00%	7.00% - 7.00%		—			NA	NA
Greater than 3 years	764,134			3.84%	1.55% - 5.56%		491,046			3.20%	3.19% - 3.20%
Total	$	4,700,037		3.44%			$	13,427,545		2.52%

The following table summarizes certain characteristics of our portfolio at September 30, 2020 and December 31, 2019.

	September 30, 2020			December 31, 2019
Interest earning assets at period-end (1)	$	17,606,269		$	26,248,233
Interest bearing liabilities at period-end	$	13,646,031		$	21,740,710
GAAP Leverage at period-end	3.7:1			5.5:1
GAAP Leverage at period-end (recourse)	1.3:1			3.4:1
Portfolio Composition, at amortized cost
Non-Agency RMBS	10.2		%	7.9		%
Senior	5.1		%	4.5		%
Subordinated	3.5		%	2.2		%
Interest-only	1.6		%	1.2		%
Agency RMBS	0.8		%	25.7		%
Pass-through	—		%	25.1		%
Interest-only	0.8		%	0.6		%
Agency CMBS	9.7		%	11.0		%
Project loans	9.5		%	10.8		%
Interest-only	0.2		%	0.2		%
Loans held for investment	79.3		%	55.4		%
Fixed-rate percentage of portfolio	94.9		%	95.9		%
Adjustable-rate percentage of portfolio	5.1		%	4.1		%
(1) Excludes cash and cash equivalents.

Economic Net Interest Income

Our “Economic net interest income” is a non-GAAP financial measure, that equals interest income, less interest expense and realized losses on our interest rate swaps. Realized losses on our interest rate swaps are the periodic net settlement payments made or received. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our interest rate swaps, which is presented as a part of Realized gains (losses) on derivatives in our Consolidated Statements of Operations and Comprehensive Income. Interest rate swaps are used to manage the increase in interest paid on repurchase agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate swaps with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing actual interest expense and net interest income. Where indicated, interest expense, including interest payments on interest rate swaps, is referred to as economic interest expense. Where indicated, net interest income reflecting interest payments on interest rate swaps, is referred to as economic net interest income.

The following table reconciles the GAAP and non-GAAP measurements reflected in the Management’s Discussion and Analysis of Financial Condition and Results of Operations.

	GAAP Interest Income				GAAP Interest Expense			Net Realized (Gains) Losses on Interest Rate Swaps			Interest Expense on Long Term Debt			Economic Interest Expense				GAAP Net Interest Income			Net Realized Gains (Losses) on Interest Rate Swaps			Other (1)			Economic Net Interest Income
For the Quarter Ended September 30, 2020	$	247,905			$	124,557		$	—		$	(1,495)		$	123,062			$	123,348		$	—		$	1,487		$	124,835
For the Quarter Ended June 30, 2020	$	245,922			$	129,256		$	—		$	(4,391)		$	124,865			$	116,666		$	—		$	4,358		$	121,024
For the Quarter Ended March 31, 2020	$	300,266			$	142,083		$	6,385		$	—		$	148,468			$	158,183		$	(6,385)		$	(1,266)		$	150,532
For the Quarter Ended December 31, 2019	$	340,662			$	169,203		$	5,409		$	—		$	174,612			$	171,459		$	(5,409)		$	(1,664)		$	164,386
For the Quarter Ended September 30, 2019	$	330,144			$	188,551		$	963		$	—		$	189,514			$	141,593		$	(963)		$	(2,465)		$	138,165
(1) Primarily interest expense on Long term debt and interest income on cash and cash equivalents.

The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods presented.

	For the Quarter Ended
	September 30, 2020									September 30, 2019
	(dollars in thousands)									(dollars in thousands)
	Average Balance			Interest			Average Yield/Cost			Average Balance			Interest			Average Yield/Cost
Assets:
Interest-earning assets (1):
Agency RMBS	$	127,273		$	495		1.6	%		$	8,474,168		$	68,984		3.3	%
Agency CMBS	1,770,009			25,571			5.8	%		2,304,541			20,179			3.5	%
Non-Agency RMBS	1,692,702			56,311			13.3	%		1,956,631			70,374			14.4	%
Loans held for investment	12,943,898			165,520			5.1	%		12,017,663			168,142			5.6	%
Total	$	16,533,882		$	247,897		6.0	%		$	24,753,003		$	327,679		5.3	%
Liabilities and stockholders' equity:
Interest-bearing liabilities:
Secured financing agreements collateralized by:
Agency RMBS	$	76,755		$	208		1.1	%		$	7,948,235		$	50,492		2.5	%
Agency CMBS	1,680,566			1,141			0.3	%		2,160,190			14,097			2.6	%
Non-Agency RMBS	1,171,542			17,495			6.0	%		1,376,214			12,916			3.8	%
Loans held for investment	2,340,689			27,814			4.8	%		3,112,001			29,775			3.8	%
Securitized debt	8,711,513			76,404			3.5	%		7,819,135			82,234			4.2	%
Total	$	13,981,065		$	123,062		3.5	%		$	22,415,775		$	189,514		3.4	%
Economic net interest income/net interest rate spread				$	124,835		2.5	%					$	138,165		1.9	%
Net interest-earning assets/net interest margin	$	2,552,817					3.0	%		$	2,337,228					2.2	%
Ratio of interest-earning assets to interest bearing liabilities	1.18									1.10
(1) Interest-earning assets at amortized cost
(2) Interest includes net cash paid/received on swaps

The table below shows our Net Income and Economic Net Interest Income as a percentage of average stockholders' equity and Core Earnings as a percentage of average common stockholders' equity. Return on average equity is defined as our GAAP net income (loss) as a percentage of average equity. Average equity is defined as the average of our beginning and ending stockholders' equity balance for the period reported. Economic Net Interest Income and Core Earnings are non-GAAP measures as defined in previous sections.

	Return on Average Equity		Economic Net Interest Income/Average Equity *		Core Earnings/Average Common Equity
	(Ratios have been annualized)
For the Quarter Ended September 30, 2020	41.43	%	14.08	%	12.24	%
For the Quarter Ended June 30, 2020	(6.62)	%	14.58	%	12.72	%
For the Quarter Ended March 31, 2020	(41.21)	%	16.73	%	15.88	%
For the Quarter Ended December 31, 2019	13.12	%	16.55	%	15.78	%
For the Quarter Ended September 30, 2019	10.68	%	13.88	%	12.37	%

* Includes effect of realized losses on interest rate swaps and excludes long term debt expense.

The following table presents changes to Accretable Discount (net of premiums) as it pertains to our Non-Agency RMBS portfolio, excluding premiums on IOs, during the previous five quarters.

	For the Quarters Ended
	(dollars in thousands)
Accretable Discount (Net of Premiums)	September 30, 2020			June 30, 2020			March 31, 2020			December 31, 2019			September 30, 2019
Balance, beginning of period	$	410,447		$	438,232		$	494,255		$	494,780		$	514,095
Accretion of discount	(20,045)			(22,508)			(24,784)			(44,342)			(33,256)
Purchases	2,096			—			(4,336)			(12,541)			(13,772)
Sales and deconsolidation	—			(23,425)			438			(786)			1,536
Transfers from/(to) credit reserve, net	30,483			18,148			(27,341)			57,144			26,177
Balance, end of period	$	422,981		$	410,447		$	438,232		$	494,255		$	494,780

Disclaimer

This press release includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q and Current Reports on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: our business and investment strategy; our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends; our ability to determine accurately the fair market value of our assets; availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations; effect of the novel coronavirus (or COVID-19) pandemic on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; how COVID-19 may affect us, our operations and our personnel; our expected investments; changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets; changes in interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS; rates of default, delinquencies or decreased recovery rates on our investments; general volatility of the securities markets in which we invest; our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; our ability to effect our strategy to securitize residential mortgage loans; interest rate mismatches between our investments and our borrowings used to finance such purchases; effects of interest rate caps on our adjustable-rate investments; the degree to which our hedging strategies may or may not protect us from interest rate volatility; the impact of and changes to various government programs, including in response to COVID-19; impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; market trends in our industry, interest rates, the debt securities markets or the general economy; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; availability of qualified personnel; our ability to maintain our classification as a real estate investment trust, or, REIT, for U.S. federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act; our expectations regarding materiality or significance; and the effectiveness of our disclosure controls and procedures.

Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in Chimera’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.

Readers are advised that the financial information in this press release is based on company data available at the time of this presentation and, in certain circumstances, may not have been audited by the Company’s independent auditors.