Document


CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
(Unaudited)
	December 31, 2023		December 31, 2022

Cash and cash equivalents	$	221,684	$	264,600
Non-Agency RMBS, at fair value (net of allowance for credit losses of $19 million and $7 million, respectively)	1,043,806		1,147,481
Agency MBS, at fair value	102,484		430,944
Loans held for investment, at fair value	11,397,046		11,359,236

Accrued interest receivable	76,960		61,768
Other assets	87,018		133,866
Derivatives, at fair value	—		4,096
Total assets (1)	$	12,928,998	$	13,401,991
Liabilities:
Secured financing agreements ($3.6 billion and $4.7 billion pledged as collateral, respectively, and includes $350 million and $374 million at fair value, respectively)	$	2,432,115	$	3,434,765

Securitized debt, collateralized by Non-Agency RMBS ($249 million and $276 million pledged as collateral, respectively)	75,012		78,542
Securitized debt at fair value, collateralized by Loans held for investment ($10.7 billion and $10.0 billion pledged as collateral, respectively)	7,601,881		7,100,742

Payable for investments purchased	158,892		9,282
Accrued interest payable	38,272		30,696
Dividends payable	54,552		64,545
Accounts payable and other liabilities	9,355		16,616

Total liabilities (1)	$	10,370,079	$	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, 241,360,656 and 231,824,192 shares issued and outstanding, respectively	2,414		2,318
Additional paid-in-capital	4,368,520		4,318,388
Accumulated other comprehensive income	185,668		229,345
Cumulative earnings	4,165,046		4,038,942
Cumulative distributions to stockholders	(6,163,101)		(5,922,562)
Total stockholders' equity	$	2,558,919	$	2,666,803
Total liabilities and stockholders' equity	$	12,928,998	$	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 December 31, 2023, and December 31, 2022, total assets of consolidated VIEs were $10,501,840 and $10,199,266, respectively, and total liabilities of consolidated VIEs were $7,349,109 and $6,772,125, respectively.


Net Income (Loss)
(dollars in thousands, except share and per share data)
(unaudited)
	For the Year Ended
		December 31, 2023		December 31, 2022		December 31, 2021
Net interest income:
Interest income (1)		$	772,904	$	773,121	$	937,546
Interest expense (2)		509,541		333,293		326,628
Net interest income		263,363		439,828		610,918

Increase (decrease) in provision for credit losses		11,371		7,037		33








Other investment gains (losses):
Net unrealized gains (losses) on derivatives		(6,411)		(1,482)		—
Realized gains (losses) on derivatives		(40,957)		(561)		—
Periodic interest cost of swaps, net		17,167		(1,752)		—
Net gains (losses) on derivatives		(30,201)		(3,795)		—
Net unrealized gains (losses) on financial instruments at fair value		34,373		(736,899)		437,357
Net realized gains (losses) on sales of investments		(31,234)		(76,473)		45,313

Gains (losses) on extinguishment of debt		3,875		(2,897)		(283,556)
Other investment gains (losses)		1,091		(1,866)		—
Total other gains (losses)		(22,096)		(821,930)		199,114




Other expenses:




Compensation and benefits		30,570		49,378		46,823
General and administrative expenses		25,117		22,651		22,246
Servicing and asset manager fees		32,624		36,005		36,555
Transaction expenses		15,379		16,146		29,856
Total other expenses		103,690		124,180		135,480
Income (loss) before income taxes		126,206		(513,319)		674,519
Income taxes		102		(253)		4,405
Net income (loss)		$	126,104	$	(513,066)	$	670,114

Dividends on preferred stock		73,750		73,765		73,764

Net income (loss) available to common shareholders		$	52,354	$	(586,831)	$	596,350

Net income (loss) per share available to common shareholders:
Basic		$	0.23	$	(2.51)	$	2.55
Diluted		$	0.23	$	(2.51)	$	2.44

Weighted average number of common shares outstanding:
Basic		230,057,356		233,938,745		233,770,474
Diluted		232,617,866		233,938,745		245,496,926




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, 2023		December 31, 2022		December 31, 2021
Comprehensive income (loss):
Net income (loss)		$	126,104	$	(513,066)	$	670,114
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net		(44,990)		(175,709)		(115,926)


Reclassification adjustment for net realized losses (gains) included in net income		1,313		—		(37,116)

Other comprehensive income (loss)		$	(43,677)	$	(175,709)	$	(153,042)
Comprehensive income (loss) before preferred stock dividends		$	82,427	$	(688,775)	$	517,072
Dividends on preferred stock		$	73,750	$	73,765	$	73,764
Comprehensive income (loss) available to common stock shareholders		$	8,677	$	(762,540)	$	443,308

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.

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.


	For the Quarters Ended
	December 31, 2023		September 30, 2023		June 30, 2023		March 31, 2023		December 31, 2022
	(dollars in thousands, except per share data)
GAAP Net income (loss) available to common stockholders	$	12,104	$	(16,268)	$	17,586	$	38,928	$	78,716
Adjustments:
Net unrealized (gains) losses on financial instruments at fair value	(6,815)		43,988		(6,954)		(64,592)		(112,026)
Net realized (gains) losses on sales of investments	3,752		460		21,758		5,264		39,443
(Gains) losses on extinguishment of debt	2,473		—		(4,039)		(2,309)		—

Increase (decrease) in provision for credit losses	2,330		3,217		2,762		3,062		3,834

Net unrealized (gains) losses on derivatives	15,871		(17)		(17,994)		8,551		10,171




Realized gains (losses) on derivatives	—		—		6,822		34,134		561

Transaction expenses	425		90		8,456		6,409		3,274

Stock Compensation expense for retirement eligible awards	(391)		(392)		(388)		2,141		(309)

Other investment (gains) losses	986		(2,381)		421		(117)		2,383
Earnings available for distribution	$	30,735	$	28,697	$	28,430	$	31,471	$	26,047

GAAP net income (loss) per diluted common share	$	0.05	$	(0.07)	$	0.08	$	0.17	$	0.34
Earnings available for distribution per adjusted diluted common share	$	0.13	$	0.13	$	0.12	$	0.13	$	0.11


	December 31, 2023
	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	$	1,073,632	$	45.69	62.98	5.7	%	17.3	%
Subordinated	583,049		50.92		47.49	3.3	%	6.7	%
Interest-only	2,874,680		5.49		3.16	0.5	%	4.2	%
Agency RMBS

Interest-only	392,284		4.90		3.83	0.1	%	5.7	%
Agency CMBS
Project loans	86,572		101.44		91.46	4.0	%	3.8	%
Interest-only	478,239		1.62		1.73	0.5	%	8.2	%


	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	%


	December 31, 2023				December 31, 2022
	(dollars in thousands)
	Principal		Weighted Average Borrowing Rates	Range of Borrowing Rates	Principal (1)		Weighted Average Borrowing Rates	Range of Borrowing Rates
Overnight	$	—	N/A	N/A	$	—	N/A	NA
1 to 29 days	$	272,490	7.35%	6.30% - 8.22%	$	493,918	4.66%	3.63% - 6.16%
30 to 59 days	495,636		6.68%	5.58% - 7.87%	762,768		6.14%	4.60% - 7.34%
60 to 89 days	305,426		7.17%	5.93% - 7.85%	225,497		6.04%	4.70% - 7.12%
90 to 119 days	54,376		7.46%	6.59% - 7.80%	43,180		6.54%	5.50% - 6.70%
120 to 180 days	105,727		7.09%	6.72% - 7.80%	401,638		5.88%	5.57% - 6.92%
180 days to 1 year	39,620		7.06%	6.66% - 7.39%	402,283		6.06%	5.63% - 6.64%
1 to 2 years	808,601		9.36%	8.36% - 12.50%	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 years	362,215		5.11%	5.10% - 7.15%	382,839		5.14%	5.10% - 6.07%
Total	$	2,444,091	7.51%		$	3,443,431	6.61%


	December 31, 2023		December 31, 2022		December 31, 2023		December 31, 2022
Portfolio Composition	Amortized Cost				Fair Value
Non-Agency RMBS	7.5	%	7.5	%	8.3	%	8.9	%
Senior	4.0	%	4.0	%	5.4	%	5.9	%
Subordinated	2.3	%	2.3	%	2.2	%	2.2	%
Interest-only	1.2	%	1.2	%	0.7	%	0.8	%
Agency RMBS	0.2	%	0.1	%	0.1	%	0.1	%

Interest-only	0.2	%	0.1	%	0.1	%	0.1	%
Agency CMBS	0.7	%	3.3	%	0.7	%	3.2	%
Project loans	0.6	%	2.3	%	0.6	%	2.2	%
Interest-only	0.1	%	1.0	%	0.1	%	1.0	%
Loans held for investment	91.6	%	89.1	%	90.9	%	87.8	%
Fixed-rate percentage of portfolio	96.5	%	96.5	%	95.9	%	95.6	%
Adjustable-rate percentage of portfolio	3.5	%	3.5	%	4.1	%	4.4	%

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.


	GAAP Interest Income		GAAP Interest Expense		Periodic Interest Cost of Interest Rate Swaps		Economic Interest Expense		GAAP Net Interest Income		Periodic Interest Cost of Interest Rate Swaps		Other (1)		Economic Net Interest Income
For the Year Ended December 31, 2023	$	772,904	$	509,541	$	(17,167)	$	492,374	$	263,363	$	17,167	$	(9,871)	$	270,659
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	$	—	$	324,354	$	610,918	$	—	$	2,208	$	613,126

For the Quarter Ended December 31, 2023	$	191,204	$	126,553	$	(5,296)	$	121,257	$	64,651	$	5,296	$	(1,651)	$	68,296
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, 2023						September 30, 2023						December 31, 2022
	(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	$	19,136	$	303	6.3	%	$	18,990	$	234	4.9	%	$	31,542	$	346	4.4	%
Agency CMBS	105,270		1,138		4.3	%	124,094		1,701		5.5	%	441,421		4,291		3.9	%
Non-Agency RMBS	950,366		29,611		12.5	%	961,257		28,826		12.0	%	1,013,693		29,304		11.6	%
Loans held for investment	11,882,662		158,501		5.3	%	12,188,221		162,530		5.3	%	12,075,239		151,478		5.0	%
Total	$	12,957,434	$	189,553	5.9	%	$	13,292,562	$	193,290	5.8	%	$	13,561,895	$	185,419	5.5	%

Liabilities and stockholders' equity:
Interest-bearing liabilities (2):

Secured financing agreements collateralized by:
Agency RMBS	$	—	$	—	—	%	$	—	$	—	—	%	$	4,547	$	46	4.0	%
Agency CMBS	75,847		1,071		5.6	%	90,205		1,200		5.3	%	358,914		3,464		3.9	%
Non-Agency RMBS	710,550		13,561		7.6	%	742,579		17,769		9.6	%	788,795		13,275		6.7	%
Loans held for investment	1,761,188		30,298		6.9	%	1,832,445		29,896		6.5	%	1,971,144		33,776		6.9	%
Securitized debt	8,422,017		76,327		3.6	%	8,663,773		78,434		3.6	%	8,056,913		57,959		2.9	%
Total	$	10,969,602	$	121,257	4.4	%	$	11,329,002	$	127,299	4.5	%	$	11,180,313	$	108,520	3.9	%

Economic net interest income/net interest rate spread			$	68,296	1.5	%			$	65,991	1.3	%			$	76,899	1.6	%

Net interest-earning assets/net interest margin	$	1,987,832			2.1	%	$	1,963,560			2.0	%	$	2,381,582			2.3	%

Ratio of interest-earning assets to interest bearing liabilities	1.18						1.17						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, 2023	4.87	%	10.45	%	7.19	%
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 Quarter Ended December 31, 2023	4.84	%	10.81	%	7.70	%
For the Quarter Ended September 30, 2023	0.34	%	10.40	%	7.14	%
For the Quarter Ended June 30, 2023	5.51	%	10.24	%	6.75	%
For the Quarter Ended March 31, 2023	8.63	%	10.45	%	7.28	%


	For the Quarters Ended
	(dollars in thousands)
Accretable Discount (Net of Premiums)	December 31, 2023		September 30, 2023		June 30, 2023		March 31, 2023		December 31, 2022
Balance, beginning of period	$	147,252	$	145,322	$	157,253	$	176,635	$	207,812
Accretion of discount	(12,840)		(9,022)		(10,620)		(11,663)		(11,128)
Purchases	—		(9)		—		—		—
Sales	—		—		—		—		(17,935)
Elimination in consolidation	—		—		—		—		—
Transfers from/(to) credit reserve, net	5,325		10,961		(1,311)		(7,719)		(2,114)
Balance, end of period	$	139,737	$	147,252	$	145,322	$	157,253	$	176,635

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.



	December 31, 2023	December 31, 2022


GAAP Leverage at period-end	4.0:1	4.0:1
GAAP Leverage at period-end (recourse)	1.0:1	1.3:1