0001628280-21-001740 8-K 25 20210210 2.02 8.01 9.01 20210210 20210210 CHIMERA INVESTMENT CORP 0001409493 6798 260630461 MD 1231 8-K 34 001-33796 21609262 520 MADISON AVENUE 32ND FLOOR NEW YORK NY 10022 212-626-2300 520 MADISON AVENUE 32ND FLOOR NEW YORK NY 10022 8-K 1 cim-20210210.htm 8-K 0001409493false00014094932021-02-102021-02-100001409493us-gaap:CommonStockMember2021-02-102021-02-100001409493us-gaap:PreferredClassAMember2021-02-102021-02-100001409493us-gaap:PreferredClassBMember2021-02-102021-02-100001409493us-gaap:SeriesCPreferredStockMember2021-02-102021-02-100001409493us-gaap:SeriesDPreferredStockMember2021-02-102021-02-10 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 ____________ FORM 8-K CURRENT REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 Date of Report (Date of earliest event reported): February 10, 2021 CHIMERA INVESTMENT CORPORATION (Exact name of registrant as specified in its charter) Maryland 1-33796 26-0630461 (State or Other Jurisdiction (Commission (IRS Employer of Incorporation) File Number) Identification No.) 520 Madison Avenue, 32nd Fl New York New York 10022 (Address of principal executive offices) (Zip Code) Registrant’s telephone number, including area code: (212) 626-2300 Securities registered pursuant to Section 12(b) of the Act: Title of Each Class Trading Symbol(s) Name of Each Exchange on Which Registered Common Stock, par value $0.01 per share CIM New York Stock Exchange 8.00% Series A Cumulative Redeemable Preferred CIM PRA New York Stock Exchange Stock 8.00% Series B Cumulative Fixed-to-Floating Rate CIM PRB New York Stock Exchange Redeemable Preferred Stock 7.75% Series C Cumulative Fixed-to-Floating Rate CIM PRC New York Stock Exchange Redeemable Preferred Stock 8.00% Series D Cumulative Fixed-to-Floating Rate CIM PRD New York Stock Exchange Redeemable Preferred Stock Registrant's Web site address: www.chimerareit.com (Former Name or Former Address, if Changed Since Last Report) Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions: ? Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) ? Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) -------------------------------------------------------------------------------- ? Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) ? Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter). Emerging growth company ? If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ? -------------------------------------------------------------------------------- Item 2.02. Results of Operations and Financial Condition On February 10, 2021, the registrant issued a press release announcing its financial results for the quarter ended December 31, 2020. A copy of the press release is furnished as Exhibit 99.1 to this report. On February 10, 2021, the registrant posted supplemental financial information on the News & Events - Press Releases section of its website (www.chimerareit.com). A copy of the supplemental financial information is furnished as Exhibit 99.2 to this report and incorporated herein by reference. Item 8.01 Other Events On February 10, 2021, the registrant issued a press release announcing its its Board of Directors has authorized to increase the size of its share repurchase program from $150 million to $250 million (the “Share Repurchase Program”). The Share Repurchase Program is expected to be funded through the registrant’s existing capital. As of February 10, 2021, an aggregate of $228 million would be available under the Share Repurchase Program to repurchase shares of the registrant’s common stock. All other terms and conditions of the Share Repurchase Program remain in full force and effect, as previously approved by the registrant’s Board of Directors. Item 9.01 Financial Statements and Exhibits (d) Exhibits 99.1 Press Release, dated February 10, 2021, issued by Chimera Investment Corporation 99.2 Supplemental Financial Information for the quarter ended December 31, 2020 -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. Chimera Investment Corporation By: /s/ Rob Colligan Name: Rob Colligan Title: Chief Financial Officer Date: February 10, 2021 EX-99.1 2 pressrelease-q42020.htm EX-99.1 [[Image Removed: chimeralogoa181a.jpg]] PRESS RELEASE NYSE: CIM CHIMERA INVESTMENT CORPORATION 520 Madison Avenue New York, New York 10022 _________________________________________________________________________________________________ Investor Relations 888-895-6557 www.chimerareit.com FOR IMMEDIATE RELEASE CHIMERA INVESTMENT CORPORATION REPORTS 4TH QUARTER 2020 EARNINGS •4TH QUARTER GAAP NET INCOME OF $0.49 PER COMMON SHARE •4TH QUARTER CORE EARNINGS(1) OF $0.29 PER COMMON SHARE •FULL YEAR GAAP NET INCOME OF $0.07 PER COMMON SHARE •FULL YEAR CORE EARNINGS(1) OF $1.46 PER COMMON SHARE •GAAP BOOK VALUE OF $12.36 PER COMMON SHARE •BOARD OF DIRECTORS INCREASES EXISTING SHARE REPURCHASE AUTHORIZATION FOR UP TO $250 MILLION NEW YORK - (BUSINESS WIRE) - 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. 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 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 2,150,714 2,614,408 losses of $180 thousand and $0 thousand, respectively) 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 $ 4,636,847 $ 13,427,545 pledged as collateral, respectively) Securitized debt, collateralized by Non-Agency RMBS ($505 113,433 133,557 million and $598 million pledged as collateral, respectively) Securitized debt at fair value, collateralized by loans held for investment ($12.4 billion and $12.1 billion pledged as 8,711,677 8,179,608 collateral, respectively) 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 $ 58 $ 58 and outstanding, respectively ($145,000 liquidation preference) 8.00% Series B cumulative redeemable: 13,000,000 shares issued 130 130 and outstanding, respectively ($325,000 liquidation preference) 7.75% Series C cumulative redeemable: 10,400,000 shares issued 104 104 and outstanding, respectively ($260,000 liquidation preference) 8.00% Series D cumulative redeemable: 8,000,000 shares issued 80 80 and outstanding, respectively ($200,000 liquidation preference) Common stock: par value $0.01 per share; 500,000,000 shares authorized, 230,556,760 and 187,226,081 shares issued and 2,306 1,873 outstanding, respectively 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. 2 -------------------------------------------------------------------------------- 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. 3 -------------------------------------------------------------------------------- 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 4 -------------------------------------------------------------------------------- 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, September 30, June 30, 2020 March 31, 2020 December 31, 2020 2020 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. 5 -------------------------------------------------------------------------------- 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 Weighted Notional Value Average Weighted Average Fair Weighted Average Weighted Average Yield at Period-End Amortized Value Coupon at Period-End (1) (dollars in Cost Basis thousands) 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 Weighted Notional Value at Average Weighted Weighted Average Weighted Average Yield Period-End Amortized Average Fair Coupon at Period-End (1) (dollars in Cost Basis Value thousands) 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. 6 -------------------------------------------------------------------------------- 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) Weighted Average Weighted Average Principal (1) Borrowing Rates Range of Borrowing Rates Principal 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. 7 -------------------------------------------------------------------------------- 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. Net Realized (Gains) Net Realized Economic GAAP GAAP Losses on Interest Economic GAAP Net Gains (Losses) Net Interest Interest Interest Rate Expense on Long Interest Interest on Interest Interest Income Expense Swaps Term Debt Expense Income Rate Swaps Other (1) 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. 8 -------------------------------------------------------------------------------- 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 Average Average Average Balance Interest Yield/Cost Balance Interest 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 Economic Net Interest Core Earnings/Average Common Equity Income/Average Equity * 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. 9 -------------------------------------------------------------------------------- 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, September 30, December 31, 2020 2020 June 30, 2020 March 31, 2020 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. 10 -------------------------------------------------------------------------------- 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. 11 EX-99.2 3 supplement-q42020xfinal.htm EX-99.2 [[Image Removed]] FINANCIAL SUPPLEMENT 4th Quarter 2020 -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. DISCLAIMER This presentation 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 “goal” “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 Report 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. This presentation may include industry and market data obtained through research, surveys, and studies conducted by third parties and industry publications. We have not independently verified any such market and industry data from third-party sources. This presentation is provided for discussion purposes only and may not be relied upon as legal or investment advice, nor is it intended to be inclusive of all the risks and uncertainties that should be considered. This presentation does not constitute an offer to purchase or sell any securities, nor shall it be construed to be indicative of the terms of an offer that the parties or their respective affiliates would accept. Readers are advised that the financial information in this presentation 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. -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. 2 PORTFOLIO COMPOSITION RESIDENTIAL MORTGAGE CREDIT PORTFOLIO AGENCY PORTFOLIO TOTAL PORTFOLIO GROSS ASSET YIELD: 6.1% 4.0% 5.9% FINANCING COSTS(3) 4.0% 0.3% 3.6% NET INTEREST SPREAD: 2.1% 3.7% 2.3% NET INTEREST MARGIN: 2.8% 3.8% 2.9% All data as of December 31, 2020 (1) Financing excludes unsettled trades. (2) Reflects fourth quarter 2020 average assets, yields, and spreads. (3) Includes the interest incurred on interest rate swaps. Net Investment Analysis(2) B ill io ns $3.5 $0.3 $3.2 $1.4 $8.8 Equity Recourse Non-Recourse 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Non-Recourse (Securitization) Recourse (Repo) Equity Agency Portfolio Total Assets: 1.8 billion(1) Residential Mortgage Credit Portfolio Total Assets: 15.3 billion(1) 91% of Chimera's equity capital is allocated to mortgage credit -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. 3 13% 1% 10% 77% Non-Agency MBS Agency RMBS Agency CMBS Loan Portfolio GAAP ASSET ALLOCATION Based on fair value. 10% 25% 11% 54% Non-Agency MBS Agency RMBS Agency CMBS Loan Portfolio December 31, 2020 December 31, 2019 Chimera’s focus in 2020 was loan acquisition and securitization Total Portfolio: $17.1 billion Total Portfolio: $26.2 billion -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. 4 24% 1% 10% 66% Non-Agency Secured Financing, RMBS Agency Secured Financing, RMBS Agency Secured Financing, CMBS Non-Recourse Debt, Securitized RMBS and Loans (2) GAAP FINANCING SOURCES 24% 29% 9% 38% Non-Agency Secured Financing, RMBS Agency Secured Financing, RMBS Agency Secured Financing, CMBS Non-Recourse Debt, Securitized RMBS and Loans (2) (1) Leverage ratios as of December 31, 2020 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. 3.6:1 total leverage and 1.2:1 recourse leverage(1) in Q4 2020 compared to 5.5:1 total leverage and 3.4:1 recourse leverage(1) in Q4 2019 December 31, 2020 December 31, 2019 Total Portfolio: $13.5 billion Total Portfolio: $21.7 billion -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. 5 28% 32% 40% 0 - 3 Months 3 - 6 Months Greater Than 12 Months NON-AGENCY FINANCING 43% 16% 41% Non Mark-to-Market Limited Mark-to-Market Mark-to-Market Chimera continues to focus on longer term and non-mark- to-market financing for its non-agency portfolio Maturity Facility Type Data based on secured financing agreements outstanding as of December 31, 2020 -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. 6 VINTAGE DEAL TOTAL ORIGINAL FACE TOTAL OF TRANCHES SOLD TOTAL OF TRANCHES RETAINED TOTAL REMAINING FACE REMAINING FACE OF TRANCHES SOLD REMAINING FACE OF TRANCHES RETAINED 2020 CIM 2020-NR1 $131,860 $84,165 $47,695 $130,664 $83,097 $47,567 2020 CIM 2020-R7 653,192 562,023 91,169 642,978 551,805 91,173 2020 CIM 2020-R6 418,390 334,151 84,239 408,175 323,886 84,289 2020 CIM 2020-R5 338,416 257,027 81,389 305,646 224,025 81,621 2020 CIM 2020-R4 276,316 207,237 69,079 264,556 195,372 69,184 2020 CIM 2020-R3 438,228 328,670 109,558 404,607 294,967 109,640 2020 CIM 2020-R2 492,347 351,926 140,421 450,379 375,590 74,789 2020 CIM 2020-R1 390,761 317,608 73,153 366,552 293,766 72,786 2019 CIM 2019-R5 315,039 252,224 62,815 267,643 205,115 62,528 2019 CIM 2019-R4 320,802 200,000 120,802 282,262 218,101 64,161 2019 CIM 2019-R3(1) 342,633 291,237 51,396 287,100 235,556 51,544 2019 CIM 2019-R2 464,327 358,172 106,155 414,682 309,600 105,082 2019 CIM 2019-R1 371,762 297,409 74,353 326,678 252,694 73,984 2018 CIM 2018-NR1 257,548 — 257,548 153,303 — 153,303 2018 CIM 2018-R6 478,251 334,775 143,476 345,676 204,467 141,209 2018 CIM 2018-R5 380,194 266,136 114,058 263,791 151,811 111,980 2018 CIM 2018-R4 387,222 271,056 116,166 288,425 173,907 114,518 2018 CIM 2018-R3 181,073 146,669 34,404 118,140 84,608 33,532 2018 CIM 2018-R2 380,292 266,204 114,088 257,813 144,278 113,535 2018 CIM 2018-R1 169,032 140,297 28,735 121,491 92,847 28,644 2017 CMLTI 2017-RP2 421,329 341,276 80,053 295,900 257,768 38,132 2017 CIM 2017-7 512,446 341,062 171,384 343,772 186,024 157,748 2017 CIM 2017-6 782,725 626,179 156,546 494,640 344,505 150,135 2017 CIM 2017-5 377,034 75,407 301,627 252,917 181,965 70,952 2017 CIM 2017-4 830,510 710,003 120,507 382,917 280,910 102,007 2017 CIM 2017-3 2,434,640 2,113,267 321,373 1,299,893 999,485 300,408 2017 CIM 2017-1 526,267 368,387 157,880 299,916 203,579 96,337 2016 CIM 2016-FRE1 185,811 115,165 70,646 106,812 44,957 61,855 2016 CIM 2016-3 1,746,084 1,478,933 267,151 844,597 609,936 234,661 2016 CIM 2016-2 1,762,177 1,492,563 269,614 849,397 610,532 238,865 2016 CIM 2016-1 1,499,341 1,266,898 232,443 717,808 517,658 200,150 2012 CSMC 2012-CIM3 329,886 305,804 24,082 49,279 38,897 10,382 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 21,014 13,494 7,520 TOTAL $19,215,645 $15,051,072 $4,164,573 $12,059,423 $8,705,202 $3,354,221 All data as of December 31, 2020 $ in thousands (1) Accounted for as a secured borrowing CONSOLIDATED LOAN SECURITIZATIONS -------------------------------------------------------------------------------- [[Image Removed]] chimerareit.com --------------------------------------------------------------------------------