Chimera Investment Corporation Reports 4th Quarter 2020 Earnings

Rhea-AI Summary

Chimera Investment Corporation (CIM) reported a GAAP net income of $129 million (or $0.49 per share) for Q4 2020, with annual net income at $15 million ($0.07 per share). Core earnings reached $72 million ($0.29 per share) in Q4 and $334 million ($1.46 per share) for the year. The company experienced a 22% rebound in book value since mid-2020 and completed four securitizations totaling $4.2 billion. Total assets stood at $17.5 billion as of December 31, 2020.

Positive

• GAAP net income of $129 million for Q4 2020.
• Core earnings of $334 million for the full year.
• 22% rebound in book value since mid-2020.
• Completed four securitizations totaling $4.2 billion.

Negative

• GAAP net income dropped from $413 million in 2019 to $15 million in 2020.
• Total assets decreased from $27.1 billion in 2019 to $17.5 billion in 2020.
• Significant decline in interest income from $1.03 billion in 2019 to $1.03 billion in 2020.

Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the fourth quarter ended December 31, 2020. The Company’s GAAP net income for the fourth quarter was $129 million, or $0.49 per common share and net income was $15 million, or $0.07 for the full year ended December 31, 2020. Core earnings⁽¹⁾ for the fourth quarter and full year ended December 31, 2020 was $72 million, or $0.29 per common share and $334 million, or $1.46 per common share respectively.

“Chimera’s strategy of keeping its legacy assets generated a rebound in book value and economic returns of 22% since the middle of 2020. In addition, Chimera continues to use the securitization market for term financing its credit investments completing four separate transactions this quarter,” said Mohit Marria, Chimera’s CEO and Chief Investment Officer. “For the full year 2020, Chimera sponsored eleven securitizations totaling $4.2 billion and retained $655 million investment for our portfolio.”

(1) Core earnings per adjusted diluted common share is a non-GAAP measure. See additional discussion on page 5.

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)
		December 31, 2020				December 31, 2019
Cash and cash equivalents		$	269,090			$	109,878
Non-Agency RMBS, at fair value (net of allowance for credit losses of $180 thousand and $0 thousand, respectively)		2,150,714				2,614,408
Agency RMBS, at fair value		90,738				6,490,293
Agency CMBS, at fair value		1,740,368				2,850,717
Loans held for investment, at fair value		13,112,129				14,292,815
Receivable for investments sold		—				446,225
Accrued interest receivable		81,158				116,423
Other assets		78,822				194,301
Derivatives, at fair value, net		—				3,611
Total assets (1)		$	17,523,019			$	27,118,671
Liabilities:
Secured financing agreements ($6.7 billion and $15.4 billion pledged as collateral, respectively)		$	4,636,847			$	13,427,545
Securitized debt, collateralized by Non-Agency RMBS ($505 million and $598 million pledged as collateral, respectively)		113,433				133,557
Securitized debt at fair value, collateralized by loans held for investment ($12.4 billion and $12.1 billion pledged as collateral, respectively)		8,711,677				8,179,608
Long term debt		51,623				—
Payable for investments purchased		106,169				1,256,337
Accrued interest payable		40,950				63,600
Dividends payable		77,213				98,568
Accounts payable and other liabilities		5,721				6,163
Total liabilities (1)		$	13,743,633			$	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, 230,556,760 and 187,226,081 shares issued and outstanding, respectively		2,306				1,873
Additional paid-in-capital		4,538,029				4,275,963
Accumulated other comprehensive income		558,096				708,336
Cumulative earnings		3,881,894				3,793,040
Cumulative distributions to stockholders		(5,201,311)				(4,826,291)
Total stockholders' equity		$	3,779,386			$	3,953,293
Total liabilities and stockholders' equity		$	17,523,019			$	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 December 31, 2020, and December 31, 2019, total assets of consolidated VIEs were $12,165,017 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $8,063,110 and $8,064,235, respectively.

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS
(dollars in thousands, except share and per share data)
(Unaudited)
		For the Year Ended
		December 31, 2020				December 31, 2019				December 31, 2018
Net interest income:
Interest income (1)		$	1,030,250			$	1,361,110			$	1,273,316
Interest expense (2)		516,181				758,814				679,108
Net interest income		514,069				602,296				594,208
Increase/(decrease) in provision for credit losses		180				—				$	—
Net other-than-temporary credit impairment losses		—				(4,853)				(21,791)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		201,000				(106,209)				(141,162)
Realized gains (losses) on terminations of interest rate swaps		(463,966)				(359,726)				—
Net realized gains (losses) on derivatives		(41,086)				(34,423)				18,369
Net gains (losses) on derivatives		(304,052)				(500,358)				(122,793)
Net unrealized gains (losses) on financial instruments at fair value		(110,664)				409,634				46,632
Net realized gains (losses) on sales of investments		166,946				20,360				(2,743)
Gains (losses) on extinguishment of debt		(54,418)				9,318				26,376
Total other gains (losses)		(302,188)				(61,046)				(52,528)
Other expenses:
Compensation and benefits		44,811				48,880				35,114
General and administrative expenses		25,346				26,555				22,664
Servicing fees		37,464				36,290				40,773
Transaction expenses		15,068				10,928				9,610
Total other expenses		122,689				122,653				108,161
Income (loss) before income taxes		89,012				413,744				411,728
Income taxes		158				193				91
Net income (loss)		$	88,854			$	413,551			$	411,637
Dividends on preferred stock		73,750				72,704				43,197
Net income (loss) available to common shareholders		$	15,104			$	340,847			$	368,440
Net income (loss) per share available to common shareholders:
Basic		$	0.07			$	1.82			$	1.97
Diluted		$	0.07			$	1.81			$	1.96
Weighted average number of common shares outstanding:
Basic		212,995,533				187,156,990				187,146,170
Diluted		226,438,341				188,406,444				187,748,862

(1) Includes interest income of consolidated VIEs of $683,456, $780,746 and $904,830 for the years ended December 31, 2020, 2019 and 2018, respectively.

(2) Includes interest expense of consolidated VIEs of $285,142, $337,387 and $395,255 for the years ended December 31, 2020, 2019 and 2018, respectively.

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(Unaudited)
		For the Year Ended
		December 31, 2020				December 31, 2019				December 31, 2018
Comprehensive income (loss):
Net income (loss)		$	88,854			$	413,551			$	411,637
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net		(94,136)				70,855				(185,570)
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses		—				4,853				21,791
Reclassification adjustment for net realized losses (gains) included in net income		(56,104)				5,796				(6,291)
Other comprehensive income (loss)		(150,240)				81,504				(170,070)
Comprehensive income (loss) before preferred stock dividends		$	(61,386)			$	495,055			$	241,567
Dividends on preferred stock		$	73,750			$	72,704			$	43,197
Comprehensive income (loss) available to common stock shareholders		$	(135,136)			$	422,351			$	198,370

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
		December 31, 2020				September 30, 2020				June 30, 2020				March 31, 2020				December 31, 2019
		(dollars in thousands, except per share data)
GAAP Net income available to common stockholders		$	128,797			$	348,891			$	(73,393)			$	(389,193)			$	111,881
Adjustments:
Interest expense on long term debt		1,197				1,495				4,391				—				—
Increase (decrease) in provision for credit losses		13				(1,650)				(4,497)				6,314				—
Net unrealized (gains) losses on derivatives		—				—				—				(201,000)				(83,656)
Net unrealized (gains) losses on financial instruments at fair value		(61,379)				(260,766)				171,921				260,887				112,751
Net realized (gains) losses on sales of investments		329				(65,041)				(26,380)				(75,854)				(17,687)
(Gains) losses on extinguishment of debt		(919)				55,794				(459)				—				(9,926)
Realized (gains) losses on terminations of interest rate swaps		—				—				—				463,966				8,353
Net realized (gains) losses on Futures (1)		—				—				—				34,700				(8,229)
Transaction expenses		3,827				1,624				4,710				4,906				6,639
Stock Compensation expense for retirement eligible awards		(225)				(275)				(273)				1,189				(45)
Core Earnings		$	71,640			$	80,072			$	76,020			$	105,915			$	120,081
GAAP net income per diluted common share		$	0.49			$	1.32			$	(0.37)			$	(2.08)			$	0.59
Core earnings per adjusted diluted common share (2)		$	0.29			$	0.33			$	0.32			$	0.56			$	0.64

(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 December 31, 2020 and December 31, 2019.

		December 31, 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		$	1,560,135			$	50.65			81.90			4.5	%		16.9	%
Subordinated		905,674				62.46				67.43			3.8	%		6.3	%
Interest-only		5,628,240				4.43				4.66			1.5	%		16.2	%
Agency RMBS
Interest-only		1,262,963				9.41				7.18			1.7	%		1.6	%
Agency CMBS
Project loans		1,527,621				101.81				112.23			4.1	%		3.8	%
Interest-only		1,326,665				1.78				1.95			0.6	%		8.4	%

(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 December 31, 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.

		December 31, 2020									December 31, 2019
		(dollars in thousands)
		Principal (1)				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		1,521,134				0.38%		0.20% - 2.72%			9,709,387				2.26%		1.90% - 3.62%
30 to 59 days		481,257				4.35%		2.42% - 6.61%			800,648				2.96%		2.15% - 3.52%
60 to 89 days		352,684				2.78%		1.34% - 6.30%			608,520				3.00%		2.59% - 3.35%
90 to 119 days		301,994				7.97%		7.97% - 7.97%			—				NA		NA
120 to 180 days		595,900				5.29%		2.40% - 6.26%			809,077				3.38%		3.06% - 3.46%
180 days to 1 year		345,204				3.60%		3.25% - 4.50%			580,886				3.42%		3.26% - 3.51%
1 to 2 years		—				NA		NA			427,981				3.28%		3.19% - 3.30%
2 to 3 years		642,696				4.91%		1.65% - 7.00%			—				NA		NA
Greater than 3 years		395,978				5.56%		5.56% - 5.56%			491,046				3.20%		3.19% - 3.20%
Total		$	4,636,847			3.41%					$	13,427,545			2.52%

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

		December 31, 2020				December 31, 2019
Interest earning assets at period-end (1)		$	17,093,949			$	26,248,233
Interest bearing liabilities at period-end		$	13,513,580			$	21,740,710
GAAP Leverage at period-end		3.6:1				5.5:1
GAAP Leverage at period-end (recourse)		1.2:1				3.4:1
Portfolio Composition, at amortized cost
Non-Agency RMBS		10.2		%		7.9		%
Senior		5.0		%		4.5		%
Subordinated		3.6		%		2.2		%
Interest-only		1.6		%		1.2		%
Agency RMBS		0.7		%		25.7		%
Pass-through		—		%		25.1		%
Interest-only		0.7		%		0.6		%
Agency CMBS		10.0		%		11.0		%
Project loans		9.9		%		10.8		%
Interest-only		0.1		%		0.2		%
Loans held for investment		79.1		%		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 Year Ended December 31, 2020	$	1,030,250			$	516,181		$	6,385		$	(7,082)		$	515,484			$	514,069		$	(6,385)		$	5,755		$	513,439
For the Year Ended December 31, 2019	$	1,361,110			$	758,814		$	(3,012)		$	—		$	755,802			$	602,296		$	3,012		$	(7,938)		$	597,370
For the Year Ended December 31, 2018	$	1,273,316			$	679,108		$	1,488		$	—		$	680,596			$	594,208		$	(1,488)		$	760		$	593,480
For the Quarter Ended December 31, 2020	$	236,156			$	120,285		$	—		$	(1,197)		$	119,088			$	115,871		$	—		$	1,177		$	117,048
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

(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
		December 31, 2020												December 31, 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		$	121,440			$	479			1.6	%			$	7,417,646			$	63,108			3.4	%
Agency CMBS		1,455,855				15,400				4.2	%			2,298,601				24,856				4.3	%
Non-Agency RMBS		1,650,268				56,259				13.6	%			1,976,632				81,429				16.5	%
Loans held for investment		12,770,508				163,998				5.1	%			12,851,351				169,605				5.3	%
Total		$	15,998,071			$	236,136			5.9	%			$	24,544,230			$	338,998			5.5	%
Liabilities and stockholders' equity:
Interest-bearing liabilities:
Secured financing agreements collateralized by:
Agency RMBS		$	71,689			$	173			1.0	%			$	7,015,513			$	37,949			2.2	%
Agency CMBS		1,323,972				738				0.2	%			2,272,069				14,819				2.6	%
Non-Agency RMBS		1,069,348				13,797				5.2	%			1,404,981				11,466				3.3	%
Loans held for investment		2,200,314				26,627				4.8	%			3,786,840				33,781				3.6	%
Securitized debt		8,630,854				77,753				3.6	%			7,758,406				76,597				3.9	%
Total		$	13,296,177			$	119,088			3.6	%			$	22,237,809			$	174,612			3.1	%
Economic net interest income/net interest rate spread						$	117,048			2.3	%							$	164,386			2.4	%
Net interest-earning assets/net interest margin		$	2,701,894							2.9	%			$	2,306,421							2.7	%
Ratio of interest-earning assets to interest bearing liabilities		1.20												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 Year Ended December 31, 2020		2.46	%		14.21	%		12.43	%
For the Year Ended December 31, 2019		10.56	%		15.26	%		13.93	%
For the Year Ended December 31, 2018		11.08	%		15.98	%		14.31	%
For the Quarter Ended December 31, 2020		15.76	%		12.53	%		10.21	%
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	%

* 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)		December 31, 2020				September 30, 2020				June 30, 2020				March 31, 2020				December 31, 2019
Balance, beginning of period		$	422,981			$	410,447			$	438,232			$	494,255			$	494,780
Accretion of discount		(21,281)				(20,045)				(22,508)				(24,784)				(44,342)
Purchases		758				2,096				—				(4,336)				(12,541)
Sales and deconsolidation		98				—				(23,425)				438				(786)
Transfers from/(to) credit reserve, net		7,134				30,483				18,148				(27,341)				57,144
Balance, end of period		$	409,690			$	422,981			$	410,447			$	438,232			$	494,255

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.

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FAQ

What are Chimera Investment Corporation's Q4 2020 earnings results?

Chimera reported a GAAP net income of $129 million for Q4 2020.

How did Chimera's total assets change from 2019 to 2020?

Total assets decreased from $27.1 billion in 2019 to $17.5 billion in 2020.

What was Chimera's core earnings for the full year 2020?

Chimera's core earnings for 2020 were $334 million.

What was the impact of securitizations on Chimera in Q4 2020?

Chimera completed four securitizations totaling $4.2 billion in Q4 2020.