0001628280-20-006528 8-K 25 20200506 2.02 9.01 20200506 20200506 CHIMERA INVESTMENT CORP 0001409493 6798 260630461 MD 1231 8-K 34 001-33796 20851083 520 MADISON AVENUE 32ND FLOOR NEW YORK NY 10022 212-626-2300 520 MADISON AVENUE 32ND FLOOR NEW YORK NY 10022 8-K 1 chimera8-kq1x20pressre.htm 8-K Document false0001409493 0001409493 2020-05-06 2020-05-06 0001409493 us-gaap:PreferredClassBMember 2020-05-06 2020-05-06 0001409493 us-gaap:SeriesCPreferredStockMember 2020-05-06 2020-05-06 0001409493 us-gaap:PreferredClassAMember 2020-05-06 2020-05-06 0001409493 us-gaap:SeriesDPreferredStockMember 2020-05-06 2020-05-06 0001409493 us-gaap:CommonStockMember 2020-05-06 2020-05-06 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): May 6, 2020 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 CIM PRA New York Stock Exchange Preferred Stock 8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable CIM PRB New York Stock Exchange Preferred Stock 7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable CIM PRC New York Stock Exchange Preferred Stock 8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable CIM PRD New York Stock Exchange 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 May 6, 2020, the registrant issued a press release announcing its financial results for the quarter ended March 31, 2020. A copy of the press release is furnished as Exhibit 99.1 to this report. On May 6, 2020, 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 9.01 Financial Statements and Exhibits (d) Exhibits 99.1 Press Release, dated May 6, 2020, issued by Chimera Investment Corporation 99.2 Supplemental Financial Information for the quarter ended March 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: May 6, 2020 EX-99.1 2 pressrelease-q12020.htm EXHIBIT 99.1 Exhibit [[Image Removed: chimeralogoa16.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 1ST QUARTER 2020 EARNINGS • GAAP NET LOSS OF $(2.08) PER COMMON SHARE • CORE EARNINGS(1) OF $0.57 PER COMMON SHARE • GAAP BOOK VALUE OF $12.45 PER COMMON SHARE • COMPLETED TWO LOAN SECURITIZATIONS IN MARCH FOR $883 MILLION • ISSUED $374 MILLION CONVERTIBLE SENIOR NOTES • PAID COMMON AND PREFERRED DIVIDENDS AS SCHEDULED NEW YORK - (BUSINESS WIRE) - Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the first quarter ended March 31, 2020. The Company’s GAAP net loss for the first quarter was $(389) million, or $(2.08) per common share. Core earnings(1) for the first quarter was $106 million, or $0.57 per common share. The Company sponsored two residential mortgage loan securitizations during the month of March. CIM 2020-R1 is a $391 million non-rated securitization of re-performing residential mortgage loans, which closed on March 10, 2020. CIM 2020-R2 is a $492 million rated securitization of re-performing residential mortgage loans, which closed on March 24, 2020. Consistent with the Company’s business strategy of using its Agency MBS portfolio as a source of liquidity, and in light of severe market conditions resulting the COVID-19 pandemic, as of March 31, 2020 the Company has sold its Agency RMBS portfolio. The proceeds from this sale were used to pay off related financing indebtedness and to strengthen the Company’s balance sheet. Also, on April 13, 2020, the Company completed its public offering of $325 million convertible senior notes. The Underwriters exercised their option to purchase an additional $48.8 million bringing total gross proceeds to $374 million. On February 11, 2020, the Company announced its first quarter 2020 common stock cash dividend of $0.50 per common share. This dividend was paid April 30, 2020 to common stockholders of record as of March 31, 2020. The Company paid the first quarter cash dividends on the issued and outstanding shares of its preferred stock on March 31, 2020. 1 -------------------------------------------------------------------------------- "In the last two months we have been busy on the liability side of our balance sheet," said Matthew Lambiase, "In March Chimera priced two mortgage securitizations, arranged longer-term repo facilities for our credit assets, and issued $374 million convertible debt which further diversified our liability and capital structure." (1) Core earnings is a non-GAAP measure. See additional discussion on page 6. (2) Economic return on book value is based on the change in GAAP book value per common share plus the dividend declared per common share. 2 -------------------------------------------------------------------------------- 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) March 31, 2020 December 31, 2019 Cash and cash equivalents $ 261,491 $ 109,878 Non-Agency RMBS, at fair value (net of allowance for credit losses of $6 million and $0 million, 2,174,400 2,614,408 respectively) Agency RMBS, at fair value 105,644 6,490,293 Agency CMBS, at fair value 2,832,716 2,850,717 Loans held for investment, at fair value 13,306,818 14,292,815 Receivable for investments sold — 446,225 Accrued interest receivable 93,343 116,423 Other assets 467,451 194,301 Derivatives, at fair value, net — 3,611 Total assets (1) $ 19,241,863 $ 27,118,671 Liabilities: Repurchase agreements ($8.8 billion and $15.4 $ 7,146,996 $ 13,427,545 billion pledged as collateral, respectively) Securitized debt, collateralized by Non-Agency RMBS ($522 million and $598 million pledged as 128,683 133,557 collateral, respectively) Securitized debt at fair value, collateralized by loans held for investment ($11.9 billion and $12.1 7,864,196 8,179,608 billion pledged as collateral, respectively) Payable for investments purchased 699,164 1,256,337 Accrued interest payable 45,709 63,600 Dividends payable 98,434 98,568 Accounts payable and other liabilities 14,827 6,163 Total liabilities (1) $ 15,998,009 $ 23,165,378 Stockholders' Equity: Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized: 8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively $ 58 $ 58 ($145,000 liquidation preference) 8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively 130 130 ($325,000 liquidation preference) 7.75% Series C cumulative redeemable: 10,400,000 shares issued and outstanding, respectively 104 104 ($260,000 liquidation preference) 8.00% Series D cumulative redeemable: 8,000,000 shares issued and outstanding, respectively 80 80 ($200,000 liquidation preference) Common stock: par value $0.01 per share; 500,000,000 shares authorized, 185,860,307 and 187,226,081 1,860 1,873 shares issued and outstanding, respectively Additional paid-in-capital 4,255,054 4,275,963 Accumulated other comprehensive income 502,491 708,336 Cumulative earnings 3,422,285 3,793,040 Cumulative distributions to stockholders (4,938,208 ) (4,826,291 ) Total stockholders' equity $ 3,243,854 $ 3,953,293 Total liabilities and stockholders' equity $ 19,241,863 $ 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 March 31, 2020, and December 31, 2019, total assets of consolidated VIEs were $12,334,195 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $7,777,605 and $8,064,235, respectively. 3 -------------------------------------------------------------------------------- CHIMERA INVESTMENT CORPORATION CONSOLIDATED STATEMENTS OF OPERATIONS (dollars in thousands, except share and per share data) (Unaudited) For the Quarters Ended March 31, 2020 March 31, 2019 Net interest income: Interest income (1) $ 300,266 $ 350,389 Interest expense (2) 142,083 202,950 Net interest income 158,183 147,439 Provision for credit losses (6,314 ) — Net other-than-temporary credit impairment losses — (4,853 ) Other investment gains (losses): Net unrealized gains (losses) on derivatives 201,000 (89,315 ) Realized gains (losses) on terminations of interest rate swaps (463,966 ) (108,046 ) Net realized gains (losses) on derivatives (41,086 ) (7,277 ) Net gains (losses) on derivatives (304,052 ) (204,638 ) Net unrealized gains (losses) on financial instruments at fair value (260,887 ) 200,812 Net realized gains (losses) on sales of investments 75,854 8,603 Total other gains (losses) (489,085 ) 4,777 Other expenses: Compensation and benefits 12,934 14,370 General and administrative expenses 5,678 5,821 Servicing fees 9,989 8,963 Transaction expenses 4,906 62 Total other expenses 33,507 29,216 Income (loss) before income taxes (370,723 ) 118,147 Income taxes 32 — Net income (loss) $ (370,755 ) $ 118,147 Dividends on preferred stock 18,438 17,392 Net income (loss) available to common shareholders $ (389,193 ) $ 100,755 Net income (loss) per share available to common shareholders: Basic $ (2.08 ) $ 0.54 Diluted $ (2.08 ) $ 0.54 Weighted average number of common shares outstanding: Basic 187,018,602 187,112,454 Diluted 187,018,602 188,199,711 (1) Includes interest income of consolidated VIEs of $174,681 and $207,112 for the quarters ended March 31, 2020 and 2019, respectively. (2) Includes interest expense of consolidated VIEs of $64,629 and $91,027 for the quarters ended March 31, 2020 and 2019, respectively. 4 -------------------------------------------------------------------------------- CHIMERA INVESTMENT CORPORATION CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except share and per share data) (Unaudited) For the Quarters Ended March 31, 2020 March 31, 2019 Comprehensive income (loss): Net income (loss) $ (370,755 ) $ 118,147 Other comprehensive income: Unrealized gains (losses) on available-for-sale securities, net (199,204 ) 26,385 Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses — 4,853 Reclassification adjustment for net realized losses (gains) included in net income (6,641 ) 14,918 Other comprehensive income (loss) (205,845 ) 46,156 Comprehensive income (loss) before preferred stock dividends $ (576,600 ) $ 164,303 Dividends on preferred stock $ 18,438 $ 17,392 Comprehensive income (loss) available to common stock shareholders $ (595,038 ) $ 146,911 5 -------------------------------------------------------------------------------- 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, 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 basic 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 basic common share amounts. Certain prior period amounts have been reclassified to conform to the current period's presentation. For the Quarters Ended March 31, 2020 December 31, 2019 September 30, 2019 June 30, 2019 March 31, 2019 (dollars in thousands, except per share data) GAAP Net income available to common stockholders $ (389,193 ) $ 111,881 $ 87,888 $ 40,322 $ 100,755 Adjustments: Provision for credit losses 6,314 — — — — Net other-than-temporary credit impairment losses — — — — 4,853 Net unrealized (gains) losses on derivatives (201,000 ) (83,656 ) (31,620 ) 132,171 89,315 Net unrealized (gains) losses on financial instruments at fair value 260,887 112,751 (130,825 ) (190,748 ) (200,812 ) Net realized (gains) losses on sales of investments (75,854 ) (17,687 ) (1,596 ) 7,526 (8,603 ) (Gains) losses on extinguishment of debt — (9,926 ) — 608 — Realized (gains) losses on terminations of interest rate swaps 463,966 8,353 148,114 95,211 108,046 Net realized (gains) losses on Futures (1) 34,700 (8,229 ) 19,138 13,544 12,579 Transaction expenses 4,906 6,639 3,415 812 62 Stock Compensation expense for retirement eligible awards 1,189 (45 ) (145 ) (144 ) 1,533 Core Earnings $ 105,915 $ 120,081 $ 94,369 $ 99,302 $ 107,728 GAAP net income per basic common share $ (2.08 ) $ 0.60 $ 0.47 $ 0.22 $ 0.54 Core earnings per basic common share (2) $ 0.57 $ 0.64 $ 0.50 $ 0.53 $ 0.58 (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. 6 -------------------------------------------------------------------------------- The following tables provide a summary of the Company’s MBS portfolio at March 31, 2020 and December 31, 2019. March 31, 2020 Principal or Weighted Notional Value Weighted Average Weighted Weighted Average Average Yield at Period-End Amortized Average Coupon at Period-End (dollars in Cost Basis Fair Value (1) thousands) Non-Agency RMBS Senior $ 1,924,284 $ 52.14 73.81 4.8 % 17.3 % Subordinated 900,396 62.97 58.66 3.8 % 6.8 % Interest-only 6,931,077 4.14 3.26 1.3 % 11.5 % Agency RMBS Interest-only 1,484,016 9.11 7.12 1.6 % 4.1 % Agency CMBS Project loans 2,506,241 101.77 111.18 3.8 % 3.6 % Interest-only 1,764,487 2.67 2.62 0.6 % 4.8 % December 31, 2019 Principal or Weighted Notional Value at Weighted Average Weighted Average Weighted Average Average Yield Period-End Amortized Fair Value Coupon at Period-End (dollars in Cost Basis (1) 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 % At March 31, 2020 and December 31, 2019, the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities. March 31, 2020 December 31, 2019 (dollars in thousands) Overnight $ 40,836 $ — 1 to 29 days 3,634,255 9,709,387 30 to 59 days 502,333 800,648 60 to 89 days 633,939 608,520 90 to 119 days 113,370 — Greater than or equal to 120 days 2,222,263 2,308,990 Total $ 7,146,996 $ 13,427,545 7 -------------------------------------------------------------------------------- The following table summarizes certain characteristics of our portfolio at March 31, 2020 and December 31, 2019. March 31, 2020 December 31, 2019 Interest earning assets at period-end (1) $ 18,419,578 $ 26,248,233 Interest bearing liabilities at period-end $ 15,139,875 $ 21,740,710 GAAP Leverage at period-end 4.7:1 5.5:1 GAAP Leverage at period-end (recourse) 2.2:1 3.4:1 Portfolio Composition, at amortized cost Non-Agency RMBS 10.2 % 7.9 % Senior 5.5 % 4.5 % Subordinated 3.1 % 2.2 % Interest-only 1.6 % 1.2 % Agency RMBS 0.8 % 25.7 % Pass-through — % 25.1 % Interest-only 0.8 % 0.6 % Agency CMBS 14.5 % 11.0 % Project loans 14.2 % 10.8 % Interest-only 0.3 % 0.2 % Loans held for investment 74.5 % 55.4 % Fixed-rate percentage of portfolio 94.6 % 95.9 % Adjustable-rate percentage of portfolio 5.4 % 4.1 % (1) Excludes cash and cash equivalents. 8 -------------------------------------------------------------------------------- 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 Economic GAAP Net Gains (Losses) on Net Interest Interest Interest Rate Interest Interest Interest Rate Interest Income Expense Swaps Expense Income Swaps Other (1) Income For the Quarter Ended March 31, 2020 $ 300,266 $ 142,083 $ 6,385 $ 148,468 $ 158,183 $ (6,385 ) $ (1,266 ) $ 150,532 For the Quarter Ended December 31, 2019 $ 340,662 $ 169,203 $ 5,409 $ 174,612 $ 171,459 $ (5,409 ) $ (1,664 ) $ 164,386 For the Quarter Ended September 30, 2019 $ 330,144 $ 188,551 $ 963 $ 189,514 $ 141,593 $ (963 ) $ (2,465 ) $ 138,165 For the Quarter Ended June 30, 2019 $ 339,914 $ 198,110 $ (3,923 ) $ 194,187 $ 141,804 $ 3,923 $ (2,237 ) $ 143,490 For the Quarter Ended March 31, 2019 $ 350,389 $ 202,950 $ (5,462 ) $ 197,488 $ 147,439 $ 5,462 $ (1,571 ) $ 151,330 (1) Primarily interest expense/(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 March 31, 2020 March 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 $ 4,652,843 $ 42,663 3.7 % $ 9,479,513 $ 84,645 3.6 % Agency CMBS 2,204,435 20,698 3.8 % 1,968,730 18,950 3.9 % Non-Agency RMBS 1,883,781 61,014 13.0 % 1,807,104 71,527 15.8 % Loans held for investment 13,716,833 174,625 5.1 % 12,102,993 173,696 5.7 % Total $ 22,457,892 $ 299,000 5.3 % $ 25,358,340 $ 348,818 5.5 % Liabilities and stockholders' equity: Interest-bearing liabilities: Repurchase agreements collateralized by: Agency RMBS $ 4,406,106 $ 27,114 2.5 % $ 9,007,036 $ 54,035 2.4 % Agency CMBS 2,112,244 12,361 2.3 % 1,687,980 15,276 3.6 % Non-Agency RMBS 1,384,095 9,666 2.8 % 1,191,948 12,190 4.1 % Loans held for investment 3,852,347 32,890 3.4 % 2,706,425 24,960 3.7 % Securitized debt 8,079,597 66,437 3.3 % 8,306,671 91,027 4.4 % Total $ 19,834,389 $ 148,468 3.0 % $ 22,900,059 $ 197,488 3.4 % Economic net interest income/net interest rate spread $ 150,532 2.3 % $ 151,330 2.1 % Net interest-earning assets/net interest margin $ 2,623,503 2.7 % $ 2,458,281 2.4 % Ratio of interest-earning assets to interest bearing liabilities 1.13 1.11 (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. Economic Net Interest Income/Average Equity Core Earnings/Average Return on Average Equity * Common Equity (Ratios have been annualized) For the Quarter Ended March 31, 2020 (41.21 )% 16.73 % 15.88 % For the Quarter Ended December 31, 2019 13.12 % 16.55 % 15.78 % For the Quarter Ended September 30, 2019 10.68 % 13.88 % 12.37 % For the Quarter Ended June 30, 2019 5.93 % 14.49 % 13.10 % For the Quarter Ended March 31, 2019 12.34 % 15.81 % 14.37 % * Includes effect of realized losses on interest rate swaps. 10 -------------------------------------------------------------------------------- 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 Accretable Discount (Net of Premiums) March 31, 2020 December 31, 2019 September 30, 2019 June 30, 2019 March 31, 2019 (dollars in thousands) Balance, beginning of period $ 494,255 $ 494,780 $ 514,095 $ 485,040 $ 505,763 Accretion of discount (24,784 ) (44,342 ) (33,256 ) (35,964 ) (35,551 ) Purchases (4,336 ) (12,541 ) (13,772 ) 48,736 6,638 Sales and deconsolidation 438 (786 ) 1,536 409 127 Transfers from/(to) credit reserve, net (27,341 ) 57,144 26,177 15,874 8,063 Balance, end of period $ 438,232 $ 494,255 $ 494,780 $ 514,095 $ 485,040 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. 11 -------------------------------------------------------------------------------- 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. 12 EX-99.2 3 supplementq12020r9280d.htm EXHIBIT 99.2 [[Image Removed]] FINANCIAL SUPPLEMENT 1st Quarter 2020 -------------------------------------------------------------------------------- [[Image Removed]] 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. Information is unaudited, estimated and subject to change. -------------------------------------------------------------------------------- [[Image Removed]] PORTFOLIO COMPOSITION 91% of Chimera's equity capital is allocated to mortgage credit (2) Residential Mortgage Net Investment Analysis Credit Portfolio 17 Total Assets: 15.5 billion(1) RESIDENTIAL 16 MORTGAGE AGENCY TOTAL CREDIT PORTFOLIO PORTFOLIO 15 PORTFOLIO 14 Non-Recourse 13 GROSS ASSET 6.0% 3.7% 5.3% (Securitization) YIELD: 12 $8.0 11 FINANCING (3) 10 COSTS 3.3% 2.4% 3.0% s n 9 o i l l i NET INTEREST B 8 SPREAD: 2.7% 1.3% 2.3% 7 6 Recourse (Repo) NET INTEREST $4.9 MARGIN: 3.2% 1.4% 2.7% 5 Agency Portfolio 4 Total Assets: 2.9 billion(1) All data as of March 31, 2020 3 (1) Financing excludes unsettled trades. (2) Reflects first quarter 2020 average assets, yields, and spreads. 2 Equity Recourse (Repo) (3) Includes the interest incurred on interest rate swaps. $3.0 $2.3 1 Equity 0 $0.3 Information is unaudited, estimated and subject to change. 2 -------------------------------------------------------------------------------- [[Image Removed]] GAAP ASSET ALLOCATION Chimera added to the loan portfolio during the quarter March 31, 2020 December 31, 2019 12% 10% 1% 15% 25% 54% 72% 11% Non-Agency MBS Agency RMBS Non-Agency MBS Agency RMBS Agency CMBS Loan Portfolio Agency CMBS Loan Portfolio Total Portfolio: $18.4 billion Total Portfolio: $26.2 billion Based on fair value. Information is unaudited, estimated and subject to change. 3 -------------------------------------------------------------------------------- [[Image Removed]] GAAP FINANCING SOURCES Chimera operates at 4.7:1 total leverage and 2.2:1 recourse leverage(1) March 31, 2020 December 31, 2019 24% 32% 38% 53% 1% 29% 15% 9% Non-Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, CMBS Agency Repurchase Agreements, CMBS Non-Recourse Debt, Securitized RMBS and Loans (2) Non-Recourse Debt, Securitized RMBS and Loans (2) Total Portfolio: $15.1 billion Total Portfolio: $21.7 billion (1) Leverage ratios as of March 31, 2020 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. Information is unaudited, estimated and subject to change. 4 -------------------------------------------------------------------------------- [[Image Removed]] CONSOLIDATED LOAN SECURITIZATIONS TOTAL ORIGINAL TOTAL OF TOTAL OF TOTAL REMAINING REMAINING FACE OF REMAINING FACE OF VINTAGE DEAL FACE TRANCHES SOLD TRANCHES FACE TRANCHES SOLD TRANCHES RETAINED RETAINED 2020 CIM 2020-R2 $492,347 $351,926 $140,421 $492,347 $351,926 $140,421 2020 CIM 2020-R1 $390,761 $317,608 $73,153 388,145 315,081 73,064 2019 CIM 2019-R5 315,039 252,224 62,815 303,666 240,956 62,710 2019 CIM 2019-R4 320,802 200,000 120,802 308,835 244,674 64,161 2019 CIM 2019-R3(1) 342,633 291,237 51,396 323,299 271,885 51,414 2019 CIM 2019-R2 464,327 358,172 106,155 448,071 342,277 105,794 2019 CIM 2019-R1 371,762 297,409 74,353 351,060 277,047 74,013 2018 CIM 2018-NR1 257,548 — 257,548 173,349 — 173,349 2018 CIM 2018-R6 478,251 334,775 143,476 393,153 250,730 142,423 2018 CIM 2018-R5 380,194 266,136 114,058 300,803 188,428 112,375 2018 CIM 2018-R4 387,222 271,056 116,166 320,173 204,958 115,215 2018 CIM 2018-R3 181,073 146,669 34,404 134,237 100,551 33,686 2018 CIM 2018-R2 380,292 266,204 114,088 288,871 175,010 113,861 2018 CIM 2018-R1 169,032 140,297 28,735 133,104 104,235 28,869 2017 CMLTI 2017-RP2 421,329 341,276 80,053 323,752 245,316 78,436 2017 CIM 2017-8 1,148,050 688,829 459,221 853,271 404,169 449,102 2017 CIM 2017-7 512,446 341,062 171,384 382,925 216,146 166,779 2017 CIM 2017-6 782,725 626,179 156,546 556,420 403,640 152,780 2017 CIM 2017-5 377,034 75,407 301,627 280,556 57,857 222,699 2017 CIM 2017-4 830,510 710,003 120,507 449,892 345,270 104,622 2017 CIM 2017-3 2,434,640 2,113,267 321,373 1,490,917 1,189,264 301,653 2017 CIM 2017-2 331,440 248,580 82,860 227,710 148,398 79,312 2017 CIM 2017-1 526,267 368,387 157,880 337,185 186,111 151,074 2016 CIM 2016-FRE1 185,811 115,165 70,646 117,880 54,392 63,488 2016 CIM 2016-3 1,746,084 1,478,933 267,151 961,393 726,456 234,937 2016 CIM 2016-2 1,762,177 1,492,563 269,614 969,327 730,533 238,794 2016 CIM 2016-1 1,499,341 1,266,898 232,443 820,179 620,327 199,852 2012 CSMC 2012-CIM3 329,886 305,804 24,082 80,301 65,080 15,221 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 22,525 16,496 6,029 TOTAL $18,438,733 $14,215,208 $4,223,525 $12,233,346 $8,477,213 $3,756,133 All data as of March 31, 2020 $ in thousands (1) Accounted for as a secured borrowing Information is unaudited, estimated and subject to change. 5 -------------------------------------------------------------------------------- [[Image Removed]] AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of March 31, 2020 Agency Securities – As of December 31, 2019 WEIGHTED WEIGHTED (1) CURRENT WEIGHTED (1) CURRENT WEIGHTED SECURITY TYPE COUPON AVERAGE SECURITY TYPE COUPON FACE AVERAGE AVERAGE CPR FACE MARKET PRICE AVERAGE CPR MARKET PRICE 3.5% $— — — 3.5% $339,687 104.2 22.0 Agency Pass- Agency Pass- through 4.0% — — — through 4.0% 5,437,343 104.5 38.0 4.5% — — — 4.5% 303,519 106.3 44.8 Commercial 3.8% 2,506,240 111.2 0.2 Commercial 3.7% 2,621,938 106.9 — Agency IO 1.6% N/M(2) 7.1 16.9 Agency IO 1.6% N/M(2) 8.3 14.9 ACMBS IO 0.6% N/M(2) 2.6 5.3 ACMBS IO 0.7% N/M(2) 2.7 5.3 Total $2,506,240 Total $8,702.487 Repo Days to Maturity – As of March 31, 2020 Repo Days to Maturity – As of December 31, 2019 PRINCIPAL WEIGHTED AVERAGE WEIGHTED AVERAGE PRINCIPAL WEIGHTED AVERAGE WEIGHTED AVERAGE MATURITY BALANCE RATE DAYS MATURITY BALANCE RATE DAYS Within 30 days $2,262,677 1.06% Within 30 days $8,143,851 2.10% 30 to 59 days — —% 30 to 59 days 116,939 2.15% 60 to 89 days 19,422 0.60% 60 to 89 days — —% 90 to 360 days — —% 90 to 360 days — —% Total $2,282,099 1.06% 14 Days Total $8,260,790 2.10% 14 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Total Agency IO and ACMBS IO Notional was $3.2 billion and $3.2 billion as of March 31, 2020 and December 31, 2019 respectively. Information is unaudited, estimated and subject to change. 6 -------------------------------------------------------------------------------- [[Image Removed]] chimerareit.com --------------------------------------------------------------------------------