CHIMERA INVESTMENT CORPORATION REPORTS 4TH QUARTER 2022 EARNINGS

Rhea-AI Summary

Chimera Investment Corporation (NYSE:CIM) reported financial results for Q4 and full year 2022. Notable metrics include Q4 GAAP net income of $0.34 per diluted share, contrasting with a full year GAAP net loss of $587 million ($2.51 per diluted share). For the year, earnings available for distribution totaled $256 million ($1.08 per share). The company's GAAP book value stands at $7.49 per share, with a 3.8% book value return in Q4. Significant actions in Q4 included settling $463 million of fixed-rate loans and committing to purchase $900 million in residential mortgage loans to enhance future earnings. As of January 31, 2023, cash totaled approximately $365 million.

Positive

• Q4 GAAP net income of $0.34 per diluted share.
• Full year earnings available for distribution of $256 million ($1.08 per share).
• Engaged in $463 million of fixed-rate prime jumbo loans.
• Committed to purchase $900 million in residential mortgage loans.

Negative

• Full year GAAP net loss of $587 million ($2.51 per share).
• Significant decline in non-Agency RMBS portfolio value.

NEW YORK--(BUSINESS WIRE)-- Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the fourth quarter and full year ended December 31, 2022.

Financial Highlights:

• 4TH QUARTER GAAP NET INCOME OF $0.34 PER DILUTED COMMON SHARE
• 4TH QUARTER EARNINGS AVAILABLE FOR DISTRIBUTION⁽¹⁾ OF $0.11 PER DILUTED COMMON SHARE.
• FULL YEAR GAAP NET LOSS OF $587 MILLION, OR $2.51 PER DILUTED COMMON SHARE
• FULL YEAR EARNINGS AVAILABLE FOR DISTRIBUTION⁽¹⁾ OF $256 MILLION, OR $1.08 PER DILUTED COMMON SHARE.
• GAAP BOOK VALUE OF $7.49 PER COMMON SHARE
• 4TH QUARTER BOOK VALUE RETURN OF 3.8%, CHANGE IN BOOK VALUE PLUS DIVIDEND FOR THE QUARTER

Business Highlights:

Fourth Quarter

• Settled $463 million of fixed rate prime jumbo loans into a financing structure in which we borrowed $383 million for five years at an effective fixed rate with non-mark-to-market feature
• Sponsored $145 million CIM 2022-NR1 Securitization which reduced our mark-to-market mortgage loan warehouse exposure by approximately $100 million

Post Quarter

• Committed to purchase approximately $900 million of residential mortgage loans, which is expected to be accretive to future earnings
• Collapsed CIM Trust 2020-R4, CIM Trust 2020-NR1, CIM Trust 2018-R5, and CIM Trust 2018-R6 and issued CIM Trust 2023-R1 and CIM Trust 2023-NR1 reducing recourse borrowing amount by approximately $139 million and releasing approximately $90 million in equity
• As of January 31, we had approximately $365 million in cash

“Since the end of last year, we have been able to take positive actions with respect to our financing, hedging, and asset acquisitions and allocation which we believe position us to navigate potentially volatile markets in 2023, said Phillip Kardis, Chief Executive Officer.”

(1) Earnings available for distribution per adjusted diluted common share is a non-GAAP measure. See additional discussion on page 6.

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 its 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, 2022			December 31, 2021
Cash and cash equivalents	$	264,600		$	385,741
Non-Agency RMBS, at fair value (net of allowance for credit losses of $7 million and $213 thousand, respectively)		1,147,481			1,810,208
Agency RMBS, at fair value		15,148			60,487
Agency CMBS, at fair value		415,796			761,208
Loans held for investment, at fair value		11,359,236			12,261,926
Accrued interest receivable		61,768			69,513
Other assets		133,866			58,320
Derivatives, at fair value		4,096			—
Total assets (1)	$	13,401,991		$	15,407,403
Liabilities:
Secured financing agreements ($4.7 billion and $4.4 billion pledged as collateral, respectively, and includes $374 million and $0 million at fair value, respectively)	$	3,434,765		$	3,261,613
Securitized debt, collateralized by Non-Agency RMBS ($276 million and $365 million pledged as collateral, respectively)		78,542			87,999
Securitized debt at fair value, collateralized by Loans held for investment ($10.0 billion and $11.0 billion pledged as collateral, respectively)		7,100,742			7,726,043
Payable for investments purchased		9,282			477,415
Accrued interest payable		30,696			20,416
Dividends payable		64,545			86,152
Accounts payable and other liabilities		16,616			11,574
Total liabilities (1)	$	10,735,188		$	11,671,212
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, 231,824,192 and 236,951,266 shares issued and outstanding, respectively		2,318			2,370
Additional paid-in-capital		4,318,388			4,359,045
Accumulated other comprehensive income		229,345			405,054
Cumulative earnings		4,038,942			4,552,008
Cumulative distributions to stockholders		(5,922,562	)		(5,582,658	)
Total stockholders' equity	$	2,666,803		$	3,736,191
Total liabilities and stockholders' equity	$	13,401,991		$	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 December 31, 2022, and December 31, 2021, total assets of consolidated VIEs were $10,199,266 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $6,772,125 and $7,223,655, respectively.

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS
(dollars in thousands, except share and per share data)
(Unaudited)
	For the Year Ended
	December 31, 2022			December 31, 2021			December 31, 2020
Net interest income:
Interest income (1)	$	773,121		$	937,546		$	1,030,250
Interest expense (2)		333,293			326,628			516,181
Net interest income		439,828			610,918			514,069
Increase/(decrease) in provision for credit losses		7,037			33			180
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		(1,482	)		—			201,000
Realized gains (losses) on terminations of interest rate swaps		(561	)		—			(463,966	)
Periodic interest cost of swaps, net		(1,752	)		—			(41,086	)
Net gains (losses) on derivatives		(3,795	)		—			(304,052	)
Net unrealized gains (losses) on financial instruments at fair value		(736,899	)		437,357			(110,664	)
Net realized gains (losses) on sales of investments		(76,473	)		45,313			166,946
Gains (losses) on extinguishment of debt		(2,897	)		(283,556	)		(54,418	)
Other investment gains (losses)		(1,866	)		—			—
Total other gains (losses)		(821,930	)		199,114			(302,188	)
Other expenses:
Compensation and benefits		49,378			46,823			44,811
General and administrative expenses		22,651			22,246			22,914
Servicing and asset manager fees		36,005			36,555			39,896
Transaction expenses		16,146			29,856			15,068
Total other expenses		124,180			135,480			122,689
Income (loss) before income taxes		(513,319	)		674,519			89,012
Income tax expense (benefit)		(253	)		4,405			158
Net income (loss)	$	(513,066	)	$	670,114		$	88,854
Dividends on preferred stock		73,765			73,764			73,750
Net income (loss) available to common shareholders	$	(586,831	)	$	596,350		$	15,104
Net income (loss) per share available to common shareholders:
Basic	$	(2.51	)	$	2.55		$	0.07
Diluted	$	(2.51	)	$	2.44		$	0.07
Weighted average number of common shares outstanding:
Basic		233,938,745			233,770,474			212,995,533
Diluted		233,938,745			245,496,926			226,438,341

(1) Includes interest income of consolidated VIEs of $551,253, $586,580, and $683,456 for the years ended December 31, 2022, 2021, and 2020, respectively.

(2) Includes interest expense of consolidated VIEs of $197,823, $203,135, and $285,142 for the years ended December 31, 2022, 2021, and 2020, 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, 2022			December 31, 2021			December 31, 2020
Comprehensive income (loss):
Net income (loss)	$	(513,066	)	$	670,114		$	88,854
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net		(175,709	)		(115,926	)		(94,136	)
Reclassification adjustment for net realized losses (gains) included in net income		—			(37,116	)		(56,104	)
Other comprehensive income (loss)		(175,709	)	$	(153,042	)	$	(150,240	)
Comprehensive income (loss) before preferred stock dividends	$	(688,775	)	$	517,072		$	(61,386	)
Dividends on preferred stock	$	73,765		$	73,764		$	73,750
Comprehensive income (loss) available to common stock shareholders	$	(762,540	)	$	443,308		$	(135,136	)

Earnings available for distribution

Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, realized gains or losses on the sales of investments, gains or losses on the extinguishment of debt, interest expense on long term debt, changes in the provision for credit losses, other gains or losses on equity investments, and transaction expenses incurred. 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.

Earnings available for distribution is the Economic net interest income, reduced by compensation and benefits expenses (adjusted for awards to retirement eligible employees), general and administrative expenses, servicing and asset manager fees, income tax benefits or expenses incurred during the period, as well as the preferred dividend charges. Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for interest expense on long term debt, net periodic interest cost of interest rate swaps and excludes interest earned on cash. See a reconciliation of Economic net interest income to the most relevant GAAP measure below.

We view Earnings available for distribution as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. Earnings available for distribution is one of the metrics, but not the exclusive metric, that our Board of Directors uses to determine the amount, if any, of dividends on our common stock. Other metrics that our Board of Directors may consider when determining the amount, if any, of dividends on our common stock include (among others) REIT taxable income, dividend yield, book value, cash generated from the portfolio, reinvestment opportunities and other cash needs. In addition, Earnings available for distribution is different than REIT taxable income and the determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income (subject to certain adjustments) to our stockholders in order to maintain qualification as a REIT is not based on Earnings available for distribution. Therefore, Earnings available for distribution should not be considered as an indication of our REIT taxable income, a guaranty of our ability to pay dividends, or as a proxy for the amount of dividends we may pay. We believe Earnings available for distribution as described above helps us and investors evaluate our financial performance period over period without the impact of certain transactions. Therefore, Earnings available for distribution 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 Earnings available for distribution may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our Earnings available for distribution may not be comparable to the Earnings available for distribution 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 Earnings available for distribution and related per average diluted common share amounts. Earnings available for distribution is presented on an adjusted dilutive shares basis. Certain prior period amounts have been reclassified to conform to the current period's presentation.

	For the Quarters Ended
	December 31, 2022			September 30, 2022			June 30, 2022			March 31, 2022			December 31, 2021
	(dollars in thousands, except per share data)
GAAP Net income (loss) available to common stockholders	$	78,716		$	(204,583	)	$	(179,765	)	$	(281,202	)	$	(718	)
Adjustments:
Net unrealized (gains) losses on financial instruments at fair value		(112,026	)		239,513			239,246			370,167			108,286
Net realized (gains) losses on sales of investments		39,443			37,031			—			—			—
(Gains) losses on extinguishment of debt		—			—			2,897			—			(980	)
Increase (decrease) in provision for credit losses		3,834			(1,534	)		4,497			240			92
Net unrealized (gains) losses on derivatives		10,171			(10,307	)		1,618			—			—
Realized (gains) losses on terminations of interest rate swaps		561			—			—			—			—
Transaction expenses		3,274			2,341			6,727			3,804			4,241
Stock Compensation expense for retirement eligible awards		(309	)		(310	)		(309	)		723			(363	)
Other investment (gains) losses		2,383			462			(980	)		—			—
Earnings available for distribution	$	26,047		$	62,613		$	73,931		$	93,732		$	110,558
GAAP net income (loss) per diluted common share	$	0.34		$	(0.88	)	$	(0.76	)	$	(1.19	)	$	—
Earnings available for distribution per adjusted diluted common share	$	0.11		$	0.27		$	0.31		$	0.39		$	0.46

The following tables provide a summary of the Company’s MBS portfolio at December 31, 2022 and December 31, 2021.

	December 31, 2022
	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	$	1,153,458	$	46.09	66.05	5.3	%	16.4	%
Subordinated		439,591		68.60	65.27	4.2	%	6.8	%
Interest-only		3,286,545		4.95	3.01	0.6	%	5.3	%
Agency RMBS
Interest-only		409,940		4.58	3.70	0.9	%	5.0	%
Agency CMBS
Project loans		302,685		101.85	95.62	4.3	%	4.1	%
Interest-only		2,669,396		5.23	4.73	0.7	%	3.4	%

(1) Bond Equivalent Yield at period end.

	December 31, 2021
	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	$	1,283,788	$	48.02	$	76.78	4.5	%	18.0	%
Subordinated		845,432		68.10		77.12	3.8	%	7.1	%
Interest-only		3,904,665		4.90		4.42	1.7	%	13.2	%
Agency RMBS
Interest-only		992,978		10.37		6.09	1.3	%	0.3	%
Agency CMBS
Project loans		560,565		101.77		109.61	4.3	%	4.1	%
Interest-only		2,578,640		5.70		5.69	0.7	%	4.6	%

(1) Bond Equivalent Yield at period end.

At December 31, 2022 and December 31, 2021, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

	December 31, 2022				December 31, 2021
	(dollars in thousands)
	Principal (1)	Weighted Average Borrowing Rates	Range of Borrowing Rates		Principal (1)	Weighted Average Borrowing Rates	Range of Borrowing Rates
1 to 29 days	493,918	4.66%	3.63% - 6.16%		1,018,670	0.73%	0.11% - 1.95%
30 to 59 days	762,768	6.14%	4.60% - 7.34%		379,031	1.66%	1.55% - 1.70%
60 to 89 days	225,497	6.04%	4.70% - 7.12%		342,790	1.86%	0.90% - 2.35%
90 to 119 days	43,180	6.54%	5.50% - 6.70%		67,840	1.66%	1.66% - 1.66%
120 to 180 days	401,638	5.88%	5.57% - 6.92%		157,944	1.38%	0.95% - 1.45%
180 days to 1 year	402,283	6.06%	5.63% - 6.64%		895,210	3.70%	1.95% - 4.38%
1 to 2 years	251,286	13.98%	13.98% - 13.98%		143,239	3.05%	3.05% - 3.05%
2 to 3 years	480,022	8.07%	8.07% - 8.07%		—	NA	NA
Greater than 3 years	382,839	5.14%	5.10% - 6.07%		256,889	5.56%	5.56% - 5.56%
Total	$ 3,443,431	6.61%			$ 3,261,613	2.30%

(1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $3 million of deferred financing cost as of December 31, 2022 and 2021, respectively.

The following table summarizes certain characteristics of our portfolio at December 31, 2022 and December 31, 2021.

	December 31, 2022	December 31, 2021
GAAP Leverage at period-end	4.0:1	3.0:1
GAAP Leverage at period-end (recourse)	1.3:1	0.9:1

	December 31, 2022	December 31, 2021		December 31, 2022	December 31, 2021
Portfolio Composition	Amortized Cost			Fair Value
Non-Agency RMBS	7.5 %	10.1 %		8.9 %	12.1 %
Senior	4.0 %	4.5 %		5.9 %	6.5 %
Subordinated	2.3 %	4.2 %		2.2 %	4.4 %
Interest-only	1.2 %	1.4 %		0.8 %	1.2 %
Agency RMBS	0.1 %	0.8 %		0.1 %	0.4 %
Pass-through	— %	— %		— %	— %
Interest-only	0.1 %	0.8 %		0.1 %	0.4 %
Agency CMBS	3.3 %	5.3 %		3.2 %	5.2 %
Project loans	2.3 %	4.2 %		2.2 %	4.2 %
Interest-only	1.0 %	1.1 %		1.0 %	1.0 %
Loans held for investment	89.1 %	83.8 %		87.8 %	82.3 %
Fixed-rate percentage of portfolio	96.5 %	95.4 %		95.6 %	94.4 %
Adjustable-rate percentage of portfolio	3.5 %	4.6 %		4.4 %	5.6 %

Economic Net Interest Income

Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for interest expense on long term debt, net periodic interest cost of interest rate swaps and excludes interest earned on cash. 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 Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps are used to manage the increase in interest paid on secured financing 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 all components of interest expense and net interest income of our investment portfolio. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for interest payments on long term debt and any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting interest payments on long term debt, net periodic interest cost of interest rate swaps and any interest earned on cash, is referred to as Economic net interest income.

The following table reconciles the Economic net interest income to GAAP net interest income and Economic interest expense to GAAP interest expense for the periods presented.

	GAAP Interest Income			GAAP Interest Expense		Periodic Interest Cost of 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, 2022	$	773,121		$	333,293	$	1,752	$	—		$	335,045		$	439,828	$	(1,752	)	$	(2,505	)	$	435,571
For the Year Ended December 31, 2021	$	937,546		$	326,628	$	—	$	(2,274	)	$	324,354		$	610,918	$	—		$	2,208		$	613,126
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 Quarter Ended December 31, 2022	$	187,286		$	106,891	$	1,629	$	—		$	108,520		$	80,395	$	(1,629	)	$	(1,867	)	$	76,899
For the Quarter Ended September 30, 2022	$	188,303		$	83,464	$	122	$	—		$	83,586		$	104,839	$	(122	)	$	(540	)	$	104,177
For the Quarter Ended June 30, 2022	$	195,357		$	78,467	$	—	$	—		$	78,467		$	116,890	$	—		$	(81	)	$	116,809
For the Quarter Ended March 31, 2022	$	202,175		$	64,473	$	—	$	—		$	64,473		$	137,702	$	—		$	(18	)	$	137,684

(1) Primarily interest expense on Long term debt, periodic net interest cost on swaps 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, 2022							September 30, 2022							December 31, 2021
	(dollars in thousands)							(dollars in thousands)							(dollars in thousands)
	Average Balance		Interest		Average Yield/Cost			Average Balance		Interest		Average Yield/Cost			Average Balance		Interest		Average Yield/Cost
Assets:
Interest-earning assets (1):
Agency RMBS	$	31,542	$	346	4.4	%		$	110,260	$	274	1.0	%		$	104,684	$	71	0.3	%
Agency CMBS		441,421		4,291	3.9	%			445,191		4,784	4.3	%			851,886		27,711	13.0	%
Non-Agency RMBS		1,013,693		29,304	11.6	%			1,061,412		33,565	12.6	%			1,406,876		51,644	14.7	%
Loans held for investment		12,075,239		151,478	5.0	%			12,022,445		149,140	5.0	%			11,498,173		141,724	4.9	%
Total	$	13,561,895	$	185,419	5.5	%		$	13,639,308	$	187,763	5.5	%		$	13,861,619	$	221,150	6.4	%
Liabilities and stockholders' equity:
Interest-bearing liabilities (2):
Secured financing agreements collateralized by:
Agency RMBS	$	4,547	$	46	4.0	%		$	6,560	$	45	2.7	%		$	23,824	$	40	0.7	%
Agency CMBS		358,914		3,464	3.9	%			350,883		2,009	2.3	%			731,577		346	0.2	%
Non-Agency RMBS		788,795		13,275	6.7	%			853,768		7,368	3.5	%			839,898		5,837	2.8	%
Loans held for investment		1,971,144		33,776	6.9	%			1,845,075		21,181	4.6	%			1,872,915		13,281	2.8	%
Securitized debt		8,056,913		57,959	2.9	%			8,176,766		52,983	2.6	%			8,009,117		47,094	2.4	%
Total	$	11,180,313	$	108,520	3.9	%		$	11,233,052	$	83,586	3.0	%		$	11,477,331	$	66,598	2.3	%
Economic net interest income/net interest rate spread			$	76,899	1.6	%				$	104,177	2.5	%				$	154,552	4.1	%
Net interest-earning assets/net interest margin	$	2,381,582			2.3	%		$	2,406,256			3.1	%		$	2,384,288			4.5	%
Ratio of interest-earning assets to interest bearing liabilities		1.21							1.21							1.21
(1) Interest-earning assets at amortized cost
(2) Interest includes periodic net interest cost on swaps

The table below shows our Net Income and Economic net interest income as a percentage of average stockholders' equity and Earnings available for distribution 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 Earnings available for distribution are non-GAAP measures as defined in previous sections.

	Return on Average Equity	Economic Net Interest Income/Average Equity *	Earnings available for distribution/Average Common Equity
	(Ratios have been annualized)
For the Year Ended December 31, 2022	(16.69) %	14.17 %	11.96 %
For the Year Ended December 31, 2021	18.05 %	16.52 %	15.42 %
For the Year Ended December 31, 2020	2.46 %	14.21 %	12.43 %
For the Quarter Ended December 31, 2022	14.61 %	11.56 %	6.02 %
For the Quarter Ended September 30, 2022	(26.47) %	14.81 %	13.30 %
For the Quarter Ended June 30, 2022	(20.45) %	14.81 %	13.29 %
For the Quarter Ended March 31, 2022	(29.72) %	15.57 %	14.38 %

* 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, 2022			September 30, 2022			June 30, 2022			March 31, 2022			December 31, 2021
Balance, beginning of period	$	207,812		$	241,391		$	258,494		$	333,546		$	352,545
Accretion of discount		(11,128	)		(12,989	)		(17,408	)		(19,470	)		(22,172	)
Purchases		—			—			—			—			—
Sales		(17,935	)		—			—			—			—
Elimination in consolidation		—			—			—			(60,361	)		—
Transfers from/(to) credit reserve, net		(2,114	)		(20,590	)		305			4,779			3,173
Balance, end of period	$	176,635		$	207,812		$	241,391		$	258,494		$	333,546

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 a pandemic or other national or international crisis on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; 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; our ability to consummate proposed transactions; 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; 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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Source: Chimera Investment Corporation

FAQ

What were Chimera Investment Corporation's Q4 earnings for 2022?

Chimera reported Q4 GAAP net income of $0.34 per diluted share.

What is the full year 2022 net loss for Chimera Investment Corporation?

The full year 2022 net loss was $587 million or $2.51 per diluted share.

What are the earnings available for distribution for full year 2022?

Earnings available for distribution for 2022 amounted to $256 million, or $1.08 per diluted share.

How has Chimera Investment Corporation positioned itself for future earnings?

Chimera has committed to purchase approximately $900 million of residential mortgage loans expected to enhance future earnings.

What was the cash position of Chimera Investment Corporation as of January 31, 2023?

As of January 31, 2023, Chimera had approximately $365 million in cash.