chimeralogoa18.jpg
PRESS RELEASE
NYSE: CIM    
CHIMERA INVESTMENT CORPORATION
630 Fifth Ave, Ste 2400
New York, New York 10111
_________________________________________________________________________________________________

Investor Relations
888-895-6557
www.chimerareit.com

FOR IMMEDIATE RELEASE

CHIMERA INVESTMENT CORPORATION REPORTS 3RD QUARTER 2023 EARNINGS
NEW YORK - (BUSINESS WIRE) - Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the third quarter ended September 30, 2023.
Financial Highlights:
•3RD QUARTER GAAP NET LOSS OF $(0.07) PER DILUTED COMMON SHARE
•3RD QUARTER EARNINGS AVAILABLE FOR DISTRIBUTION(1) OF $0.13 PER DILUTED COMMON SHARE.
•GAAP BOOK VALUE OF $6.90 PER COMMON SHARE


“Credit performance and income generation of our assets have continued to meet or exceed our initial investment expectations. We believe the recent action taken on our debt refinancing and the rightsizing of our common stock dividend will significantly benefit our shareholders over the long term.” said Phil Kardis, CEO. “We expect that once interest rates moderate and ultimately begin to decline, the portfolio will benefit both in terms of reduced financing costs and improved economic portfolio performance.”













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

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)
September 30, 2023December 31, 2022
Cash and cash equivalents$138,591 $264,600 
Non-Agency RMBS, at fair value (net of allowance for credit losses of $16 million and $7 million, respectively)1,024,609 1,147,481 
Agency MBS, at fair value127,706 430,944 
Loans held for investment, at fair value11,426,932 11,359,236 
Accrued interest receivable72,815 61,768 
Other assets96,764 133,866 
Derivatives, at fair value— 4,096 
Total assets (1)
$12,887,417 $13,401,991 
Liabilities:  
Secured financing agreements ($3.7 billion and $4.7 billion pledged as collateral, respectively, and includes $340 million and $374 million at fair value, respectively)$2,603,911 $3,434,765 
Securitized debt, collateralized by Non-Agency RMBS ($250 million and $276 million pledged as collateral, respectively)75,819 78,542 
Securitized debt at fair value, collateralized by Loans held for investment ($11.0 billion and $10.0 billion pledged as collateral, respectively)7,598,721 7,100,742 
Payable for investments purchased6,237 9,282 
Accrued interest payable35,670 30,696 
Dividends payable49,881 64,545 
Accounts payable and other liabilities22,721 16,616 
Total liabilities (1)
$10,392,960 $10,735,188 
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, 226,760,148 and 231,824,192 shares issued and outstanding, respectively2,268 2,318 
Additional paid-in-capital4,291,775 4,318,388 
Accumulated other comprehensive income181,227 229,345 
Cumulative earnings4,134,502 4,038,942 
Cumulative distributions to stockholders(6,115,687)(5,922,562)
Total stockholders' equity$2,494,457 $2,666,803 
Total liabilities and stockholders' equity$12,887,417 $13,401,991 
(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 September 30, 2023, and December 31, 2022, total assets of consolidated VIEs were $10,758,561 and $10,199,266, respectively, and total liabilities of consolidated VIEs were $7,337,986 and $6,772,125, respectively.

2

Net Income (Loss)
(dollars in thousands, except share and per share data)
(unaudited)
For the Quarters EndedFor the Nine Months Ended
September 30, 2023June 30, 2023September 30, 2023September 30, 2022
Net interest income:
Interest income (1)
$195,591 $196,859 $581,700 $585,835 
Interest expense (2)
132,193 131,181 382,988 226,403 
Net interest income63,398 65,678 198,712 359,432 
Increase (decrease) in provision for credit losses3,217 2,762 9,041 3,203 
Other investment gains (losses):
Net unrealized gains (losses) on derivatives17 17,994 9,460 8,689 
Realized gains (losses) on derivatives— (6,822)(40,957)— 
Periodic interest cost of swaps, net4,894 4,159 11,871 (122)
Net gains (losses) on derivatives4,911 15,331 (19,626)8,567 
Net unrealized gains (losses) on financial instruments at fair value(43,988)6,954 27,558 (848,925)
Net realized gains (losses) on sales of investments(460)(21,758)(27,482)(37,031)
Gains (losses) on extinguishment of debt— 4,039 6,348 (2,897)
Other investment gains (losses)2,381 (421)2,077 517 
Total other gains (losses)(37,156)4,145 (11,125)(879,769)
Other expenses:
Compensation and benefits7,124 7,677 25,292 30,211 
General and administrative expenses5,427 6,471 17,674 16,493 
Servicing and asset manager fees8,139 8,408 24,965 27,122 
Transaction expenses90 8,456 14,955 12,872 
Total other expenses20,780 31,012 82,886 86,698 
Income (loss) before income taxes2,245 36,049 95,660 (610,238)
Income taxes75 25 100 28 
Net income (loss)$2,170 $36,024 $95,560 $(610,266)
Dividends on preferred stock18,438 18,438 55,313 55,283 
Net income (loss) available to common shareholders$(16,268)$17,586 $40,248 $(665,549)
Net income (loss) per share available to common shareholders:
Basic$(0.07)$0.08 $0.17 $(2.84)
Diluted$(0.07)$0.08 $0.17 $(2.84)
Weighted average number of common shares outstanding:
Basic226,734,643 231,628,141 230,099,867 234,671,912 
Diluted226,734,643 233,867,501 232,288,318 234,671,912 

(1) Includes interest income of consolidated VIEs of $153,710 and $139,598 for the quarters ended September 30, 2023 and 2022, respectively, and $443,286 and $410,873 for the nine months ended September 30, 2023 and 2022, respectively.

(2) Includes interest expense of consolidated VIEs of $75,902 and $50,030 for the quarters ended September 30, 2023 and 2022, respectively, and $208,678 and $142,714 for the nine months ended September 30, 2023 and 2022, respectively.





3


CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(Unaudited)
For the Quarters EndedFor the Nine Months Ended
September 30, 2023September 30, 2022September 30, 2023September 30, 2022
Comprehensive income (loss): 
Net income (loss)$2,170 $(186,145)$95,560 $(610,266)
Other comprehensive income: 
Unrealized gains (losses) on available-for-sale securities, net(29,447)(61,526)(49,431)(160,850)
Reclassification adjustment for net realized losses (gains) included in net income— — 1,313 — 
Other comprehensive income (loss)(29,447)(61,526)$(48,118)$(160,850)
Comprehensive income (loss) before preferred stock dividends$(27,277)$(247,671)$47,442 $(771,116)
Dividends on preferred stock$18,438 $18,438 $55,313 $55,283 
Comprehensive income (loss) available to common stock shareholders$(45,715)$(266,109)$(7,871)$(826,399)

























4

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, changes in the provision for credit losses, other gains or losses on equity investments, and transaction expenses incurred. Transaction expenses are primarily comprised of costs only incurred at the time of execution of our securitizations and certain structured secured financing agreements and include costs such as underwriting fees, legal fees, diligence fees, bank fees and other similar transaction related expenses. These costs are all incurred prior to or at the execution of the transaction and do not recur. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. We believe that excluding these costs is useful to investors as it is generally consistent with our peer groups treatment of these costs in their non-GAAP measures presentation, mitigates period to period comparability issues tied to the timing of securitization and structured finance transactions, and is consistent with the accounting for the deferral of debt issue costs prior to the fair value election option made by us. In addition, we believe it is important for investors to review this metric which is consistent with how management internally evaluates the performance of the Company. Stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (generally 36 months) rather than reported as an immediate expense.

Earnings available for distribution is the Economic net interest income, as defined previously, 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.

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.

5

 For the Quarters Ended
 September 30, 2023June 30, 2023March 31, 2023December 31, 2022September 30, 2022
 (dollars in thousands, except per share data)
GAAP Net income (loss) available to common stockholders$(16,268)$17,586 $38,928 $78,716 $(204,583)
Adjustments: 
Net unrealized (gains) losses on financial instruments at fair value43,988 (6,954)(64,592)(112,026)239,513 
Net realized (gains) losses on sales of investments460 21,758 5,264 39,443 37,031 
(Gains) losses on extinguishment of debt— (4,039)(2,309)— — 
Increase (decrease) in provision for credit losses3,217 2,762 3,062 3,834 (1,534)
Net unrealized (gains) losses on derivatives(17)(17,994)8,551 10,171 (10,307)
Realized gains (losses) on derivatives— 6,822 34,134 561 — 
Transaction expenses90 8,456 6,409 3,274 2,341 
Stock Compensation expense for retirement eligible awards(392)(388)2,141 (309)(310)
Other investment (gains) losses(2,381)421 (117)2,383 462 
Earnings available for distribution$28,697 $28,430 $31,471 $26,047 $62,613 
GAAP net income (loss) per diluted common share$(0.07)$0.08 $0.17 $0.34 $(0.88)
Earnings available for distribution per adjusted diluted common share$0.13 $0.12 $0.13 $0.11 $0.27 


The following tables provide a summary of the Company’s MBS portfolio at September 30, 2023 and December 31, 2022.


 September 30, 2023
 Principal or Notional Value
at Period-End
(dollars in thousands)		Weighted Average Amortized
Cost Basis		Weighted Average Fair ValueWeighted Average
Coupon
Weighted Average Yield at Period-End (1)
Non-Agency RMBS    
Senior$1,091,694 $45.58 62.64 5.6 %17.0 %
Subordinated588,224 50.69 45.41 3.7 %6.8 %
Interest-only2,926,629 5.44 2.52 0.5 %5.5 %
Agency RMBS     
Interest-only395,197 4.82 3.52 0.2 %4.7 %
Agency CMBS
Project loans117,400 101.54 89.73 4.1 %4.0 %
Interest-only481,488 1.69 1.76 0.6 %8.0 %
(1) Bond Equivalent Yield at period end.



6

 December 31, 2022
 Principal or Notional Value at Period-End
(dollars in thousands)		Weighted Average Amortized
Cost Basis		Weighted Average Fair ValueWeighted Average
Coupon
Weighted Average Yield at Period-End (1)
Non-Agency RMBS    
Senior$1,153,458 $46.09 $66.05 5.3 %16.4 %
Subordinated611,206 49.79 46.94 3.1 %6.8 %
Interest-only3,114,930 5.14 3.17 0.7 %5.3 %
Agency RMBS     
Interest-only409,940 4.58 3.70 0.9 %5.0 %
Agency CMBS
Project loans302,685 101.85 95.62 4.3 %4.1 %
Interest-only2,669,396 5.23 4.73 0.7 %3.4 %
(1) Bond Equivalent Yield at period end.

At September 30, 2023 and December 31, 2022, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

 September 30, 2023December 31, 2022
 (dollars in thousands)
Principal (1)
Weighted Average Borrowing RatesRange of Borrowing Rates
Principal (1)
Weighted Average Borrowing RatesRange of Borrowing Rates
Overnight$— N/AN/A$— N/ANA
1 to 29 days$200,131 7.62%6.23% - 8.17%$493,918 4.66%3.63% - 6.16%
30 to 59 days490,698 6.57%5.47% - 7.87%762,768 6.14%4.60% - 7.34%
60 to 89 days93,144 6.46%6.31% - 7.16%225,497 6.04% 4.70% - 7.12%
90 to 119 days84,854 6.54%6.48% - 7.24% 43,180 6.54%5.50% - 6.70%
120 to 180 days364,014 7.27% 6.42% - 7.85%401,638 5.88%5.57% - 6.92%
180 days to 1 year192,722 6.67% 6.64% - 6.67%402,283 6.06%5.63% - 6.64%
1 to 2 years838,510 11.10%9.07% - 13.98%251,286 13.98%13.98% - 13.98%
2 to 3 years— —%0.00% - 0.00%480,022 8.07%8.07% - 8.07%
Greater than 3 years367,619 5.11%5.10% - 7.06%382,839 5.14%5.10% - 6.07%
Total$2,631,692 7.99%$3,443,431 6.61%
(1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively.

7


The following table summarizes certain characteristics of our portfolio at September 30, 2023 and December 31, 2022.

September 30, 2023December 31, 2022
GAAP Leverage at period-end 4.1:1 4.0:1
GAAP Leverage at period-end (recourse) 1.0:1 1.3:1

September 30, 2023December 31, 2022September 30, 2023December 31, 2022
Portfolio CompositionAmortized CostFair Value
Non-Agency RMBS
7.4 %7.5 %8.1 %8.9 %
Senior
3.9 %4.0 %5.4 %5.9 %
Subordinated
2.3 %2.3 %2.1 %2.2 %
Interest-only
1.2 %1.2 %0.6 %0.8 %
Agency RMBS
0.1 %0.1 %0.1 %0.1 %
Interest-only
0.1 %0.1 %0.1 %0.1 %
Agency CMBS
1.0 %3.3 %0.9 %3.2 %
Project loans
0.9 %2.3 %0.8 %2.2 %
Interest-only
0.1 %1.0 %0.1 %1.0 %
Loans held for investment91.5 %89.1 %90.9 %87.8 %
Fixed-rate percentage of portfolio
96.6 %96.5 %96.1 %95.6 %
Adjustable-rate percentage of portfolio
3.4 %3.5 %3.9 %4.4 %


8

Economic Net Interest Income

Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for 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 any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting 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 SwapsEconomic Interest
Expense		GAAP Net Interest
Income		Periodic Interest Cost of Interest Rate Swaps
Other (1)
Economic
Net
Interest
Income
For the Quarter Ended September 30, 2023$195,591 $132,193 $(4,894)$127,299 $63,398 $4,894 $(2,301)$65,991 
For the Quarter Ended June 30, 2023$196,859 $131,181 $(4,159)$127,022 $65,678 $4,159 $(2,884)$66,953 
For the Quarter Ended March 31, 2023$189,250 $119,615 $(2,819)$116,796 $69,635 $2,819 $(3,035)$69,419 
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 
(1) Primarily interest income on cash and cash equivalents.







9

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, 2023June 30, 2023
(dollars in thousands)(dollars in thousands)
Average
Balance		InterestAverage
Yield/Cost		Average
Balance		InterestAverage
Yield/Cost
Assets:
Interest-earning assets (1):
Agency RMBS$18,990 $234 4.9 %$18,798 $305 6.5 %
Agency CMBS124,094 1,701 5.5 %165,270 1,728 4.2 %
Non-Agency RMBS961,257 28,826 12.0 %976,994 29,543 12.1 %
Loans held for investment12,188,221 162,530 5.3 %12,585,384 162,399 5.2 %
Total$13,292,562 $193,290 5.8 %$13,746,444 $193,975 5.6 %
Liabilities and stockholders' equity:
Interest-bearing liabilities (2): 
Secured financing agreements collateralized by:
Agency RMBS$— $— — %$1,994 $27 5.4 %
Agency CMBS90,205 1,200 5.3 %133,306 1,651 5.0 %
Non-Agency RMBS742,579 17,769 9.6 %772,486 17,438 9.0 %
Loans held for investment1,832,445 29,896 6.5 %2,024,638 32,652 6.5 %
Securitized debt8,663,773 78,434 3.6 %8,584,803 75,254 3.5 %
Total$11,329,002 $127,299 4.5 %$11,517,226 $127,022 4.4 %
Economic net interest income/net interest rate spread$65,991 1.3 %$66,953 1.2 %
Net interest-earning assets/net interest margin$1,963,560 2.0 %$2,229,219 1.9 %
Ratio of interest-earning assets to interest bearing liabilities1.17 1.19 
(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 EquityEconomic Net Interest Income/Average Equity Earnings available for distribution/Average Common Equity
 (Ratios have been annualized)
For the Quarter Ended September 30, 20230.34 %10.40 %7.14 %
For the Quarter Ended June 30, 20235.51 %10.24 %6.75 %
For the Quarter Ended March 31, 20238.63 %10.45 %7.28 %
For the Quarter Ended December 31, 202214.61 %11.56 %6.02 %
For the Quarter Ended September 30, 2022(26.47)%14.81 %13.30 %


10

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

 For the Quarters Ended
(dollars in thousands)
Accretable Discount (Net of Premiums)September 30, 2023June 30, 2023March 31, 2023December 31, 2022September 30, 2022
Balance, beginning of period$145,322 $157,253 $176,635 $207,812 $241,391 
Accretion of discount(9,022)(10,620)(11,663)(11,128)(12,989)
Purchases(9)— — — — 
Sales— — — (17,935)— 
Elimination in consolidation— — — — — 
Transfers from/(to) credit reserve, net10,961 (1,311)(7,719)(2,114)(20,590)
Balance, end of period$147,252 $145,322 $157,253 $176,635 $207,812 



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
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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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