0001628280-21-008960 8-K 28 20210505 2.02 9.01 20210505 20210505 CHIMERA INVESTMENT CORP 0001409493 6798 260630461 MD 1231 8-K 34 001-33796 21891104 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-20210505.htm 8-K 0001409493false00014094932021-05-052021-05-050001409493us-gaap:CommonStockMember2021-05-052021-05-050001409493us-gaap:PreferredClassAMember2021-05-052021-05-050001409493us-gaap:PreferredClassBMember2021-05-052021-05-050001409493us-gaap:SeriesCPreferredStockMember2021-05-052021-05-050001409493us-gaap:SeriesDPreferredStockMember2021-05-052021-05-05 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 5, 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 May 5, 2021, the registrant issued a press release announcing its financial results for the quarter ended March 31, 2021. A copy of the press release is furnished as Exhibit 99.1 to this report. On May 5, 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 9.01 Financial Statements and Exhibits (d) Exhibits 99.1 Press Release, dated May 5, 2021, issued by Chimera Investment Corporation 99.2 Supplemental Financial Information for the quarter ended March 31, 2021 -------------------------------------------------------------------------------- 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 5, 2021 EX-99.1 2 pressrelease-q12021.htm EX-99.1 [[Image Removed: chimeralogoa181.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 2021 EARNINGS •1ST QUARTER GAAP NET INCOME OF $0.54 PER COMMON SHARE •1ST QUARTER CORE EARNINGS(1) OF $0.36 PER COMMON SHARE •GAAP BOOK VALUE OF $11.44 PER COMMON SHARE •BOARD INCREASED SECOND QUARTER DIVIDEND BY 10% TO $0.33 PER SHARE OF COMMON STOCK NEW YORK - (BUSINESS WIRE) - Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the first quarter ended March 31, 2021. The Company’s GAAP net income for the first quarter was $139 million, or $0.54 per common share. Core earnings(1) for the first quarter ended March 31, 2021 was $87 million, or $0.36 per common share. “This quarter we took many proactive steps towards portfolio optimization and the expansion of Chimera’s core earnings. Through re-securitization activity, we lowered the financing cost and freed up capital for future accretive investments”, said Mohit Marria, Chimera’s CEO and Chief Investment Officer. “Securitization of our mortgage assets provides Chimera with low-cost, long-term, non-recourse financing. We expect the re-securitizations from this quarter to benefit our portfolio for a long period of time.” (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) March 31, 2021 December 31, 2020 Cash and cash equivalents $ 317,489 $ 269,090 Non-Agency RMBS, at fair value (net of allowance for credit 2,013,478 2,150,714 losses of $54 thousand and $180 thousand, respectively) Agency RMBS, at fair value 86,354 90,738 Agency CMBS, at fair value 1,355,289 1,740,368 Loans held for investment, at fair value 12,808,012 13,112,129 Accrued interest receivable 77,562 81,158 Other assets 41,078 78,822 Total assets (1) $ 16,699,262 $ 17,523,019 Liabilities: Secured financing agreements ($5.7 billion and $6.7 billion $ 4,045,912 $ 4,636,847 pledged as collateral, respectively) Securitized debt, collateralized by Non-Agency RMBS ($479 107,367 113,433 million and $505 million pledged as collateral, respectively) Securitized debt at fair value, collateralized by loans held for investment ($12.1 billion and $12.4 billion pledged as 8,734,372 8,711,677 collateral, respectively) Long term debt 51,772 51,623 Payable for investments purchased 76,534 106,169 Accrued interest payable 24,855 40,950 Dividends payable 77,355 77,213 Accounts payable and other liabilities 14,597 5,721 Total liabilities (1) $ 13,132,764 $ 13,743,633 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, 230,553,340 and 230,556,760 shares issued and 2,306 2,306 outstanding, respectively Additional paid-in-capital 4,320,419 4,538,029 Accumulated other comprehensive income 493,651 558,096 Cumulative earnings 4,039,485 3,881,894 Cumulative distributions to stockholders (5,289,735) (5,201,311) Total stockholders' equity $ 3,566,498 $ 3,779,386 Total liabilities and stockholders' equity $ 16,699,262 $ 17,523,019 (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, 2021, and December 31, 2020, total assets of consolidated VIEs were $11,736,522 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $8,113,248 and $8,063,110, respectively. 2 -------------------------------------------------------------------------------- CHIMERA INVESTMENT CORPORATION CONSOLIDATED STATEMENTS OF OPERATIONS (dollars in thousands, except share and per share data) (Unaudited) For the Quarters Ended March 31, 2021 March 31, 2020 Net interest income: Interest income (1) $ 243,127 $ 300,266 Interest expense (2) 108,066 142,083 Net interest income 135,061 158,183 Increase/(decrease) in provision for credit losses (126) 6,314 Other investment gains (losses): Net unrealized gains (losses) on derivatives — 201,000 Realized gains (losses) on terminations of interest rate swaps — (463,966) Net realized gains (losses) on derivatives — (41,086) Net gains (losses) on derivatives — (304,052) Net unrealized gains (losses) on financial instruments at fair value 270,012 (260,887) Net realized gains (losses) on sales of investments 37,796 75,854 Gains (losses) on extinguishment of debt (237,137) — Total other gains (losses) 70,671 (489,085) Other expenses: Compensation and benefits 13,439 12,934 General and administrative expenses 5,198 5,137 Servicing and asset manager fees 9,281 10,530 Transaction expenses 16,437 4,906 Total other expenses 44,355 33,507 Income (loss) before income taxes 161,503 (370,723) Income taxes 3,912 32 Net income (loss) $ 157,591 $ (370,755) Dividends on preferred stock 18,438 18,438 Net income (loss) available to common shareholders $ 139,153 $ (389,193) Net income (loss) per share available to common shareholders: Basic $ 0.60 $ (2.08) Diluted $ 0.54 $ (2.08) Weighted average number of common shares outstanding: Basic 230,567,231 187,018,602 Diluted 261,435,081 187,018,602 (1) Includes interest income of consolidated VIEs of $158,100 and $174,681 for the quarters ended March 31, 2021 and 2020, respectively. (2) Includes interest expense of consolidated VIEs of $65,205 and $64,629 for the quarters ended March 31, 2021 and 2020, respectively. 3 -------------------------------------------------------------------------------- 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, 2021 March 31, 2020 Comprehensive income (loss): Net income (loss) $ 157,591 $ (370,755) Other comprehensive income: Unrealized gains (losses) on available-for-sale securities, net (38,652) (199,204) Reclassification adjustment for net realized losses (gains) included in net income (25,793) (6,641) Other comprehensive income (loss) (64,445) (205,845) Comprehensive income (loss) before preferred stock dividends $ 93,146 $ (576,600) Dividends on preferred stock $ 18,438 $ 18,438 Comprehensive income (loss) available to common stock shareholders $ 74,708 $ (595,038) 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. 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 261 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 March 31, 2021 December 31, September 30, June 30, 2020 March 31, 2020 2020 2020 (dollars in thousands, except per share data) GAAP Net income available to common stockholders $ 139,153 $ 128,797 $ 348,891 $ (73,393) $ (389,193) Adjustments: Interest expense on long term debt 1,076 1,197 1,495 4,391 — Increase (decrease) in provision for credit losses (126) 13 (1,650) (4,497) 6,314 Net unrealized (gains) losses on derivatives — — — — (201,000) Net unrealized (gains) losses on financial instruments at fair value (270,012) (61,379) (260,766) 171,921 260,887 Net realized (gains) losses on sales of investments (37,796) 329 (65,041) (26,380) (75,854) (Gains) losses on extinguishment of debt 237,137 (919) 55,794 (459) — Realized (gains) losses on terminations of interest rate swaps — — — — 463,966 Net realized (gains) losses on Futures (1) — — — — 34,700 Transaction expenses 16,437 3,827 1,624 4,710 4,906 Stock Compensation expense for retirement eligible awards 661 (225) (275) (273) 1,189 Core Earnings $ 86,530 $ 71,640 $ 80,072 $ 76,020 $ 105,915 GAAP net income per diluted common share $ 0.54 $ 0.49 $ 1.32 $ (0.37) $ (2.08) Core earnings per adjusted diluted common share (2) $ 0.36 $ 0.29 $ 0.33 $ 0.32 $ 0.56 (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 March 31, 2021 and December 31, 2020. March 31, 2021 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 $ 1,498,212 $ 50.29 80.26 4.5 % 17.1 % Subordinated 857,925 65.62 69.26 3.8 % 6.5 % Interest-only 4,850,934 4.74 4.47 1.6 % 14.7 % Agency RMBS Interest-only 1,199,688 9.52 7.20 1.6 % 1.1 % Agency CMBS Project loans 1,196,682 101.72 111.40 4.2 % 4.1 % Interest-only 1,114,212 1.79 1.99 0.6 % 7.8 % (1) Bond Equivalent Yield at period end. December 31, 2020 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 $ 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. 6 -------------------------------------------------------------------------------- At March 31, 2021 and December 31, 2020, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. March 31, 2021 December 31, 2020 (dollars in thousands) Weighted Average Weighted Average Principal (1) Borrowing Rates Range of Borrowing Rates Principal (1) Borrowing Rates Range of Borrowing Rates Overnight $ — NA NA $ — NA NA 1 to 29 days 1,460,163 1.46% 0.10% - 7.97% 1,521,134 0.38% 0.20% - 2.72% 30 to 59 days 315,543 2.03% 1.95% - 2.44% 481,257 4.35% 2.42% - 6.61% 60 to 89 days 314,203 2.37% 1.15% - 2.61% 352,684 2.78% 1.34% - 6.30% 90 to 119 days 431,222 3.28% 1.76% - 4.50% 301,994 7.97% 7.97% - 7.97% 120 to 180 days 370,538 2.06% 1.60% - 2.40% 595,900 5.29% 2.40% - 6.26% 180 days to 1 year 44,344 2.36% 2.36% - 2.36% 345,204 3.60% 3.25% - 4.50% 1 to 2 years 746,478 4.11% 2.86% - 4.38% — NA NA 2 to 3 years — NA NA 642,696 4.91% 1.65% - 7.00% Greater than 3 years 363,421 5.56% 5.56% - 5.56% 395,978 5.56% 5.56% - 5.56% Total $ 4,045,912 2.69% $ 4,636,847 3.41% (1) The values for secured financing agreements in the table above is net of $4 million and $8 million of deferred financing cost as of March 31, 2021 and December 31, 2020, respectively. The following table summarizes certain characteristics of our portfolio at March 31, 2021 and December 31, 2020. March 31, 2021 December 31, 2020 GAAP Leverage at period-end 3.6:1 3.6:1 GAAP Leverage at period-end (recourse) 1.1:1 1.2:1 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Portfolio Composition Amortized Cost Fair Value Non-Agency RMBS 10.3 % 10.2 % 12.4 % 12.6 % Senior 5.0 % 5.0 % 7.4 % 7.5 % Subordinated 3.8 % 3.6 % 3.7 % 3.6 % Interest-only 1.5 % 1.6 % 1.3 % 1.5 % Agency RMBS 0.8 % 0.7 % 0.5 % 0.5 % Pass-through — % — % — % — % Interest-only 0.8 % 0.7 % 0.5 % 0.5 % Agency CMBS 8.2 % 10.0 % 8.3 % 10.2 % Project loans 8.1 % 9.9 % 8.2 % 10.0 % Interest-only 0.1 % 0.1 % 0.1 % 0.2 % Loans held for investment 80.7 % 79.1 % 78.8 % 76.7 % Fixed-rate percentage of portfolio 95.0 % 94.9 % 93.6 % 93.2 % Adjustable-rate percentage of portfolio 5.0 % 5.1 % 6.4 % 6.8 % 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 Quarter Ended March 31, 2021 $ 243,127 $ 108,066 $ — $ (1,076) $ 106,990 $ 135,061 $ — $ 1,065 $ 136,126 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 March 31, 2021 March 31, 2020 (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 $ 116,517 $ 317 1.1 % $ 4,652,843 $ 42,663 3.7 % Agency CMBS 1,360,895 26,607 7.8 % 2,204,435 20,698 3.8 % Non-Agency RMBS 1,577,137 55,800 14.2 % 1,883,781 61,014 13.0 % Loans held for investment 12,253,034 160,392 5.2 % 13,716,833 174,625 5.1 % Total $ 15,307,583 $ 243,116 6.4 % $ 22,457,892 $ 299,000 5.3 % Liabilities and stockholders' equity: Interest-bearing liabilities: Secured financing agreements collateralized by: Agency RMBS $ 66,951 $ 149 0.9 % $ 4,406,106 $ 27,114 2.5 % Agency CMBS 1,236,361 580 0.2 % 2,112,244 12,361 2.3 % Non-Agency RMBS 1,002,935 12,479 5.0 % 1,384,095 9,666 2.8 % Loans held for investment 2,253,811 24,216 4.3 % 3,852,347 32,890 3.4 % Securitized debt 8,588,423 69,566 3.2 % 8,079,597 66,437 3.3 % Total $ 13,148,481 $ 106,990 3.3 % $ 19,834,389 $ 148,468 3.0 % Economic net interest income/net interest rate spread $ 136,126 3.1 % $ 150,532 2.3 % Net interest-earning assets/net interest margin $ 2,159,102 3.6 % $ 2,623,503 2.7 % Ratio of interest-earning assets to interest bearing liabilities 1.16 1.13 (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 Quarter Ended March 31, 2021 17.16 % 14.82 % 12.62 % 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) March 31, 2021 December 31, 2020 September 30, 2020 June 30, 2020 March 31, 2020 Balance, beginning of period $ 409,690 $ 422,981 $ 410,447 $ 438,232 $ 494,255 Accretion of discount (24,023) (21,281) (20,045) (22,508) (24,784) Purchases — 758 2,096 — (4,336) Sales and deconsolidation (41,651) 98 — (23,425) 438 Transfers from/(to) credit reserve, net 14,546 7,134 30,483 18,148 (27,341) Balance, end of period $ 358,562 $ 409,690 $ 422,981 $ 410,447 $ 438,232 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-q12021xfinal.htm EX-99.2 [[Image Removed]] FINANCIAL SUPPLEMENT 1st Quarter 2021 -------------------------------------------------------------------------------- [[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 94% of Chimera's equity capital is allocated to mortgage credit Billions 3.3 2.9 1.1 8.8 Equity Recourse Non-Recourse Residential Mortgage Credit Portfolio Agency MBS Portfolio 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Total Assets: 14.8 billion Total Assets: 1.4 billion All data is shown at carrying value as of March 31, 2021 Equity Recourse Non-Recourse -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. 3 12% 9% 79% Non-Agency MBS Agency CMBS and RMBS Loan Portfolio GAAP ASSET ALLOCATION Based on fair value. 13% 11% 77% Non-Agency MBS Agency CMBS and RMBS Loan Portfolio March 31, 2021 December 31, 2020 Chimera continues to focus on its Residential Credit portfolios Total Portfolio: $16.3 billion Total Portfolio: $17.1 billion -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. 4 23% 9% 1% 68% Non-Agency and Loans Secured Financing (1) Agency Secured Financing Non-Recourse Debt, Securitized RMBS Non-Recourse Debt, Securitized Loans GAAP FINANCING SOURCES 24% 10% 1% 65% Non-Agency and Loans Secured Financing (1) Agency Secured Financing Non-Recourse Debt, Securitized RMBS Non-Recourse Debt, Securitized Loans (1) Includes secured financing of retained tranches from loan securitizations that are eliminated in consolidation. Chimera optimized its Non-Agency funding by reducing borrowing rates and increasing non-recourse debt March 31, 2021 December 31, 2020 Total Portfolio: $12.9 billion Total Portfolio: $13.5 billion (Rate: 2.6%) (Rate: 3.4%) (Rate: 0.2%) (Rate: 3.7%) (Rate: 0.3%) (Rate: 4.8%) -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. 5 NON-AGENCY FINANCING Chimera continues to focus on longer term and non-mark- to-market financing for its non-agency portfolio M ill io ns 1,110 225 477 562 44 Mark-to-Market Limited Mark-to-Market Non Mark-to-Market 0 - 3 Months 3 - 6 Months 6 - 12 Months Greater Than 12 Months — 250 500 750 1,000 1,250 M ill io ns 429 788 113 348694 121 347 Mark-to-Market Limited Mark-to-Market Non Mark-to-Market 0 - 3 Months 3 - 6 Months 6 - 12 Months Greater Than 12 Months — 250 500 750 1,000 1,250 March 31, 2021 December 31, 2020 Total Non-Agency Secured Financing: $2.4 billion(1) Total Non-Agency Secured Financing: $2.8 billion(1) (1) Excludes secured financing on residential mortgage loans. -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. 6 RESIDENTIAL MORTGAGE CREDIT PORTFOLIO AGENCY PORTFOLIO (1) TOTAL PORTFOLIO GROSS ASSET YIELD: 6.3% 7.3% 6.4% FINANCING COSTS 3.6% 0.2% 3.3% NET INTEREST SPREAD: 2.7% 7.1% 3.1% NET INTEREST MARGIN: 3.2% 7.1% 3.6% All data as of March 31, 2021 (1) Includes $14 million of additional income received from prepayment penalties. Gross Asset Yield is approximately 3.5% excluding these items. NET INVESTMENT ANALYSIS Strong net interest spread resulting from a reduction in financing cost -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. 7 Chimera Subsidiaries Securitization Trusts (1) Financing Trusts TotalInvestments Non-Agency RMBS, at fair value $ 1,534,936 $ 478,542 $ — $ 2,013,478 Agency RMBS, at fair value 86,354 — — 86,354 Agency CMBS, at fair value 1,355,289 — — 1,355,289 Residential Mortgage Loans — 12,141,001 667,011 12,808,012 Total Invested Assets $ 2,976,579 $ 12,619,543 $ 667,011 $ 16,263,133 Securitized Debt (Non-Recourse), collateralized by: Non-Agency RMBS $ — $ 107,367 $ — $ 107,367 Residential Mortgage Loans — 8,734,372 — 8,734,372 Total Securitized Debt (Non-recourse) $ — $ 8,841,739 $ — $ 8,841,739 Invested Assets less Securitized Debt $ 2,976,579 $ 3,777,804 $ 667,011 $ 7,421,394 Secured Financing Agreements (Recourse): Non-Agency RMBS $ 743,772 $ 117,332 $ — $ 861,104 Agency RMBS 64,952 — — 64,952 Agency CMBS 1,076,498 — — 1,076,498 Residential Mortgage Loans — 1,557,351 486,007 2,043,358 Total Secured Financing Agreements $ 1,885,222 $ 1,674,683 $ 486,007 $ 4,045,912 Net Assets $ 1,091,357 $ 2,103,121 $ 181,004 $ 3,375,482 All data as of March 31, 2021 $ in thousands (1) Includes $950 million of loans account for as secured borrowings and $749 million of securitized debt (non-recourse). NET ASSET BREAKDOWN Chimera invests in RMBS securities and securities created through the CIM Sponsored securitizations. Loans are financed through Financing Trusts. -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. 8 $2.3 Billion Loan Securitization with a Weighted Average Coupon of 6.3% Deal Name Securitized Debt (UPB) Average Yield Legacy Deal CIM 2016-1,2,3 $1,694,026 5.2% 2021 Securitization CIM 2021-R1, NR1 $1,946,674 2.0% Net Impact $252,648 (3.2)% $1.7 Billion Loan Securitization with a Weighted Average Coupon of 6.8% Deal Name Securitized Debt (UPB) Average Yield Legacy Deal CIM 2017-3,4 & 2018-NR1 $1,218,555 4.2% 2021 Securitization CIM 2021-R2, NR2 $1,452,948 2.2% Net Impact $234,393 (2.0)% *All secured financing on retained tranches from 2021 securitizations is Non-Mark-to-Market with a weighted average maturity of 17 months SECURITIZATION ACTIVITY Chimera achieved higher advance rates on new securitizations while reducing securitized debt expense All data as of securitization closing date. $ in thousands -------------------------------------------------------------------------------- [[Image Removed]] Information is unaudited, estimated and subject to change. 9 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 2021 CIM 2021-R2 $1,497,213 $1,272,631 $224,582 $1,497,213 $1,272,631 $224,582 2021 CIM 2021-NR2 240,425 180,318 60,107 240,425 180,318 60,107 2021 CIM 2021-R1 2,098,584 1,783,797 314,787 2,064,937 1,749,578 315,359 2021 CIM 2021-NR1 232,682 162,877 69,805 227,299 157,862 69,437 2020 CIM 2020-NR1(1) 131,860 84,165 47,695 128,042 80,629 47,413 2020 CIM 2020-R7(2) 653,192 562,023 91,169 618,510 527,338 91,172 2020 CIM 2020-R6 418,390 334,151 84,239 393,125 308,816 84,309 2020 CIM 2020-R5 338,416 257,027 81,389 284,910 203,277 81,633 2020 CIM 2020-R4 276,316 207,237 69,079 257,634 188,454 69,180 2020 CIM 2020-R3 438,228 328,670 109,558 389,016 279,490 109,526 2020 CIM 2020-R2 492,347 351,926 140,421 436,245 361,707 74,538 2020 CIM 2020-R1 390,761 317,608 73,153 354,123 281,236 72,887 2019 CIM 2019-R5 315,039 252,224 62,815 258,531 195,871 62,660 2019 CIM 2019-R4 320,802 200,000 120,802 269,484 205,323 64,161 2019 CIM 2019-R3(2) 342,633 291,237 51,396 273,184 221,548 51,636 2019 CIM 2019-R2 464,327 358,172 106,155 402,870 297,839 105,031 2019 CIM 2019-R1 371,762 297,409 74,353 317,787 243,748 74,039 2018 CIM 2018-R6(1) 478,251 334,775 143,476 331,266 189,980 141,286 2018 CIM 2018-R5(1) 380,194 266,136 114,058 250,253 138,891 111,362 2018 CIM 2018-R4(1) 387,222 271,056 116,166 277,354 163,031 114,323 2018 CIM 2018-R3 181,073 146,669 34,404 111,521 78,103 33,418 2018 CIM 2018-R2(1) 380,292 266,204 114,088 245,840 132,706 113,134 2018 CIM 2018-R1(1) 169,032 140,297 28,735 117,202 88,573 28,629 2017 CMLTI 2017-RP2(1) 421,329 341,276 80,053 284,851 245,149 39,702 2017 CIM 2017-7 512,446 341,062 171,384 332,615 175,249 157,366 2017 CIM 2017-6(1) 782,725 626,179 156,546 471,219 322,173 149,046 2017 CIM 2017-5(1) 377,034 75,407 301,627 241,961 171,671 70,290 2017 CIM 2017-1(1) 526,267 368,387 157,880 283,252 187,954 95,298 2016 CIM 2016-FRE1(1) 185,811 115,165 70,646 102,435 41,360 61,075 2012 CSMC 2012-CIM3 329,886 305,804 24,082 43,662 34,258 9,404 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 14,791 10,792 3,999 TOTAL $14,754,249 $11,389,031 $3,365,218 $11,521,557 $8,735,555 $2,786,002 All data as of March 31, 2021 $ in thousands (1) Currently callable or callable during 2021 (2) Accounted for as a secured borrowing CONSOLIDATED LOAN SECURITIZATIONS -------------------------------------------------------------------------------- [[Image Removed]] chimerareit.com --------------------------------------------------------------------------------