CHIMERA INVESTMENT CORPORATION RELEASES 2nd QUARTER 2016 EARNINGS

Released : August 03, 2016

  • GAAP EARNINGS OF $0.39 PER SHARE
  • CORE EARNINGS(1) OF $0.51 PER SHARE, NET OF $0.07 PER SHARE SECURITIZATION DEAL EXPENSES
  • GAAP BOOK VALUE OF $15.78 PER SHARE AND ECONOMIC BOOK VALUE(1) OF $14.65 PER SHARE
  • SPONSORED THREE RESIDENTIAL MORTGAGE LOAN SECURITIZATIONS TOTALING $5 BILLION AND RETAINED $769 MILLION OF SUBORDINATE SECURITIES
  • REDUCED $2.2 BILLION OF AGENCY MBS HOLDINGS
  • BOARD DECLARES THIRD QUARTER 2016 DIVIDEND OF $0.48 PER SHARE; EXPECTS TO MAINTAIN A $0.48 DIVIDEND FOR THE FOURTH QUARTER OF 2016

NEW YORK--(BUSINESS WIRE)-- “We have significantly reduced the investment portfolio’s interest rate exposure by reducing Agency RMBS investments and related recourse repurchase borrowings and hedges. Chimera’s ability to analyze and securitize mortgage credit is a key differentiator for our Company and we have become a leader in the risk retention space” said Matthew Lambiase, Chimera’s CEO and President.

The Board of Directors of Chimera also announced the declaration of its third quarter cash dividend of $0.48 per common share. The dividend is payable October 27, 2016, to common stockholders of record on September 30, 2016. The ex-dividend date is September 28, 2016. The Board of Directors also announced that it expects to maintain a quarterly cash dividend of $0.48 per common share for the fourth quarter of 2016.

The Company distributes dividends based on its current estimate of taxable earnings per common share, not GAAP earnings. Taxable and GAAP earnings will typically differ due to items such as differences in premium amortization, accretion of discounts, unrealized and realized gains and losses, and credit loss recognition. Portions of the dividend may be ordinary income, capital gains or a return of capital.

(1) Core earnings and economic book value are non-GAAP measures. See additional discussion on page 4.
 

Other Information

Chimera Investment Corporation is a publicly traded real estate investment trust, or REIT, that is primarily engaged in real estate finance. We were incorporated in Maryland on June 01, 2007 and commenced operations on November 21, 2007. We invest, either directly or indirectly through our subsidiaries, in RMBS, residential mortgage loans, Agency CMBS, commercial mortgage loans, real estate-related securities and various other asset classes. We have elected and believe that we are organized and have operated in a manner that enables us to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, or the Code.

Please visit www.chimerareit.com and click on Investor Relations for additional information about us.

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
(Unaudited)
 
    June 30, 2016   December 31, 2015
Assets:        
Cash and cash equivalents   $ 67,421   $ 114,062
Non-Agency RMBS, at fair value 3,491,480 3,675,841
Agency MBS, at fair value 4,481,503 6,514,824
Securitized loans held for investment, at fair value 9,212,204 4,768,416
Accrued interest receivable 109,644 66,247
Other assets 225,155 189,796
Derivatives, at fair value, net   2,832     15,460  
Total assets (1)   $ 17,590,239     $ 15,344,646  
Liabilities:
Repurchase agreements, MBS ($7.3 billion and $8.8 billion pledged as collateral, respectively) $ 5,856,263 $ 7,439,339

Securitized debt, collateralized by Non-Agency RMBS ($2.0 billion and $2.1 billion pledged
as collateral, respectively)

424,596 529,415

Securitized debt at fair value, collateralized by loans held for investment ($9.2 billion and $4.8
billion pledged as collateral, respectively)

7,534,277 3,720,496
Payable for investments purchased 642,169 560,641
Accrued interest payable 60,171 37,432
Dividends payable 90,504 90,097
Accounts payable and other liabilities 10,257 11,404
Derivatives, at fair value   8,922     9,634  
Total liabilities (1)   14,627,159     12,398,458  
 
Commitments and Contingencies
 
Stockholders' Equity:

Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and
outstanding, respectively

$ $

Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,729,765 and
187,711,868 shares issued and outstanding, respectively

1,877 1,877
Additional paid-in-capital 3,367,322 3,366,568
Accumulated other comprehensive income 907,173 773,791
Accumulated deficit   (1,313,292 )   (1,196,048 )
Total stockholders' equity   $ 2,963,080     $ 2,946,188  
Total liabilities and stockholders' equity   $ 17,590,239     $ 15,344,646  
(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 June 30, 2016 and December 31, 2015, total assets of consolidated VIEs were $11,401,484 and $7,031,278, respectively, and total liabilities of consolidated VIEs were $7,997,605 and $4,262,017, respectively.
CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
(dollars in thousands, except share and per share data)
(Unaudited)
       
For the Quarter Ended   For the Six Months Ended
Net Interest Income:June 30, 2016   June 30, 2015   June 30, 2016   June 30, 2015
Interest income (1) $ 221,096   $ 215,804   $ 422,293   $ 458,949
Interest expense (2)   83,227     66,044     146,208     126,500  
Net interest income   137,869     149,760     276,085     332,449  
Other-than-temporary impairments:
Total other-than-temporary impairment losses (3,139 ) (2,208 ) (7,562 ) (3,260 )
Portion of loss recognized in other comprehensive income   (17,816 )   (24,893 )   (24,071 )   (31,656 )
Net other-than-temporary credit impairment losses   (20,955 )   (27,101 )   (31,633 )   (34,916 )
Other investment gains (losses):
Net unrealized gains (losses) on derivatives 22,100 88,028 (79,010 ) 92,083
Realized gains (losses) on terminations of interest rate swaps (60,158 ) (31,124 ) (60,616 ) (99,703 )
Net realized gains (losses) on derivatives   (9,697 )   (16,777 )   (44,666 )   (58,863 )
Net gains (losses) on derivatives   (47,755 )   40,127     (184,292 )   (66,483 )
Net unrealized gains (losses) on financial instruments at fair value 30,347 (37,260 ) 47,218 (47,685 )
Net realized gains (losses) on sales of investments 6,631 9,685 3,956 39,250
Gains (losses) on Extinguishment of Debt       5,079     (1,766 )   5,079  
Total other gains (losses)   (10,777 )   17,631     (134,884 )   (69,839 )
Other income:
Other income           95,000      
Total other income           95,000      
Other expenses:
Management fees 10,196 20,522
Expense recoveries from Manager       (4,652 )       (5,765 )
Net management fees       5,544         14,757  
Compensation and benefits 6,954 36 12,176 508
General and administrative expenses 4,238 9,224 8,741 13,513
Servicing Fees of consolidated VIEs 7,773 6,388 13,351 12,776
Deal Expenses   13,022     2,911     13,022     2,911  
Total other expenses   31,987     24,103     47,290     44,465  
Income (loss) before income taxes 74,150 116,187 157,278 183,229
Income taxes   23         52     1  
Net income (loss)   $ 74,127     $ 116,187     $ 157,226     $ 183,228  
 
Net income (loss) per share available to common shareholders:                
Basic   $ 0.39     $ 0.57     $ 0.84     $ 0.89  
Diluted   $ 0.39     $ 0.57     $ 0.84     $ 0.89  
 
Weighted average number of common shares outstanding:                
Basic   187,729,765     205,492,089     187,726,618     205,509,782  
Diluted   187,925,046     205,579,639     187,882,614     205,573,297  
                 
Dividends declared per share of common stock   $ 0.48     $ 0.48     $ 1.46     $ 0.96  
 
Comprehensive income (loss):
Net income (loss) $ 74,127 $ 116,187 $ 157,226 $ 183,228
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net 53,015 (117,742 ) 112,423 (137,654 )

Reclassification adjustment for net losses included in net income
for other-than-temporary credit impairment losses

20,955 27,101 31,633 34,916

Reclassification adjustment for net realized losses (gains) included
in net income

  (9,062 )   (10,059 )   (10,674 )   (39,135 )
Other comprehensive income (loss)   64,908     (100,700 )   133,382     (141,873 )
Comprehensive income (loss)   $ 139,035     $ 15,487     $ 290,608     $ 41,355  
(1) Includes interest income of consolidated VIEs of $160,885 and $146,900 for the quarters ended June 30, 2016 and 2015, respectively, and interest income of consolidated VIEs of $292,865 and $297,518 for the six months ended June 30, 2016 and 2015, respectively.

(2) Includes interest expense of consolidated VIEs of $58,772 and $50,426 for the quarters ended June 30, 2016 and 2015, respectively, and interest expense of consolidated VIEs of $98,022 and $97,179 for the six months ended June 30, 2016 and 2015, respectively.

 

Core earnings

Core earnings is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains on the aggregate portfolio, 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 certain other non-recurring gains or losses. As defined, core earnings include interest income and expense as well as realized losses on interest rate swaps used to hedge interest rate risk. Management believes that the presentation of core earnings is useful to investors because it can provide a useful measure of comparability to our other REIT peers, but has important limitations. We believe core earnings as described above helps evaluate our financial performance 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.

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:

  For the Quarters Ended
June 30, 2016   March 31, 2016   December 31, 2015   September 30, 2015   June 30, 2015
(dollars in thousands, except per share data)
GAAP Net income $ 74,127     $ 83,098     $ 115,380     $ (48,259 )   $ 116,187  
Adjustments:
Net other-than-temporary credit impairment losses 20,955 10,678 14,696 17,832 27,101
Net unrealized (gains) losses on derivatives (22,100 ) 101,110 (46,842 ) 71,540 (88,028 )
Net unrealized (gains) losses on financial instruments at fair value (30,347 ) (16,871 ) 69,793 40,955 37,260
Net realized (gains) losses on sales of investments (6,631 ) 2,674 (34,285 ) (3,539 ) (9,685 )
(Gains) losses on extinguishment of debt 1,766 (8,906 ) 19,915 (5,079 )
Realized (gains) losses on terminations of interest rate swaps 60,158 458 (754 ) 31,124
Net realized (gains) losses on Futures (1) (635 ) 21,609 (9,018 ) 9,309 7,778
Total other (gains) losses 256
Other income     (95,000 )            
Core Earnings $ 95,527     $ 109,522     $ 100,320     $ 107,753     $ 116,658  
                 
GAAP net income per basic common share $ 0.39     $ 0.44     $ 0.61     $ (0.24 )   $ 0.57  
Core earnings per basic common share $ 0.51     $ 0.58     $ 0.53     $ 0.54     $ 0.57  
 
(1) Included in net realized gains (losses) on derivatives in the Consolidated Statement of Operations.

The following tables provide a summary of the Company’s RMBS portfolio at June 30, 2016 and December 31, 2015.

    June 30, 2016
   

Principal or
Notional Value
at Period-End
(dollars in
thousands)

 

Weighted
Average
Amortized
Cost Basis

 

Weighted
Average Fair
Value

 

Weighted
Average
Coupon

 

Weighted
Average Yield
at Period-End (1)

Non-Agency RMBS        
Senior   $ 3,398,933 $ 55.76 $ 77.11 4.0% 15.6%
Senior, interest-only 5,693,428 5.18 4.93 1.6% 13.3%
Subordinated 718,917 70.19 80.28 3.2% 10.2%
Subordinated, interest-only 274,357 5.30 4.58 1.1% 11.3%
Agency MBS
Residential pass-through 2,833,811 105.03 106.92 3.9% 2.6%
Commercial pass-through 1,226,725 102.57 106.76 3.5% 3.0%
Interest-only 3,077,732 4.81 4.61 0.9% 4.1%
                     
    December 31, 2015
   

Principal or
Notional Value
at Period-End
(dollars in
thousands)

 

Weighted
Average
Amortized
Cost Basis

 

Weighted
Average Fair
Value

 

Weighted
Average
Coupon

 

Weighted
Average Yield
at Period-End (1)

Non-Agency RMBS
Senior $ 3,651,869 $ 57.47 $ 77.39 3.8% 13.7%
Senior, interest-only 5,426,029 4.95 4.32 1.7% 12.9%
Subordinated 762,466 69.25 79.26 3.2% 8.8%
Subordinated, interest-only 284,931 5.34 3.95 1.2% 10.9%
Agency MBS
Residential pass-through 5,045,418 105.07 104.41 3.7% 2.8%
Commercial pass-through 952,091 102.27 102.28 3.4% 2.9%
Interest-only 6,722,472 4.17 4.06 0.8% 3.4%
                     

(1) Bond Equivalent Yield at period end.

At June 30, 2016 and December 31, 2015, the repurchase agreements collateralized by RMBS had the following remaining maturities.

  June 30, 2016   December 31, 2015
(dollars in thousands)
Overnight $ 331,855 $
1 to 29 days 2,491,293 3,312,902
30 to 59 days 804,971 2,501,513
60 to 89 days 1,086,872 246,970
90 to 119 days 432,569 430,026
Greater than or equal to 120 days   708,703   947,928
Total   $ 5,856,263   $ 7,439,339

The following table summarizes certain characteristics of our portfolio at June 30, 2016 and December 31, 2015.

   
    June 30, 2016   December 31, 2015
Interest earning assets at period-end (1) $ 17,185,187 $ 14,959,081
Interest bearing liabilities at period-end $ 13,815,136 $ 11,689,250
GAAP Leverage at period-end 4.7:1 4.0:1
GAAP Leverage at period-end (recourse) 2.0:1 2.5:1
Economic Leverage at period-end (recourse) 2.1:1 2.7:1
Portfolio Composition, at amortized cost
Non-Agency RMBS 8.7 % 10.4 %
Senior 3.7 % 4.7 %
Senior, interest only 1.8 % 1.9 %
Subordinated 3.1 % 3.7 %
Subordinated, interest only 0.1 % 0.1 %
RMBS transferred to consolidated VIEs 8.0 % 10.1 %
Agency MBS 26.9 % 46.0 %
Residential 18.3 % 37.2 %
Commercial 7.7 % 6.8 %
Interest-only 0.9 % 2.0 %
Securitized loans held for investment 56.4 % 33.5 %
Fixed-rate percentage of portfolio 87.9 % 84.7 %
Adjustable-rate percentage of portfolio 12.1 % 15.3 %
Annualized yield on average interest earning assets for the periods ended 6.1 % 6.0 %
Annualized cost of funds on average borrowed funds for the periods ended (2)   2.7 %   2.5 %
(1) Excludes cash and cash equivalents.
(2) Includes the effect of realized losses on interest rate swaps.

Economic Book Value

The table below presents our estimated economic book value. We believe that the presentation of economic book value is useful to our stockholders as it represents an estimate of the fair value of the assets we own or are able to dispose of, pledge, or otherwise monetize. The estimated economic book value should not be viewed in isolation and is not a substitute for book value computed in accordance with GAAP.

June 30, 2016
(dollars in thousands, except per share data)
GAAP Book Value   $ 2,963,080
GAAP Book Value per Share $ 15.78
 

Economic Adjustments:

Assets of Consolidated VIEs (11,185,498 )
Non-Recourse Liabilities of Consolidated VIEs 7,958,873
Interests in VIEs eliminated in consolidation 3,013,777
     
Total Adjustments - Net   (212,848 )
Total Adjustments - Net (per share)   (1.13 )
 
Economic Book Value   $ 2,750,232  
Economic Book Value per Share   $ 14.65  
 
December 31, 2015
(dollars in thousands, except per share data)
GAAP Book Value $ 2,946,188
GAAP Book Value per Share $ 15.70
 

Economic Adjustments:

Assets of Consolidated VIEs (6,908,910 )
Non-Recourse Liabilities of Consolidated VIEs 4,249,911
Interests in VIEs eliminated in consolidation 2,462,713
     
Total Adjustments - Net   (196,286 )
Total Adjustments - Net (per share)   (1.05 )
 
Economic Book Value   $ 2,749,902  
Economic Book Value per Share   $ 14.65  

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.

    GAAP
Interest
Income
  GAAP
Interest
Expense
 

Add: Net
Realized
Losses on
Interest
Rate
Swaps

 

Economic
Interest
Expense

 

GAAP
Net
Interest
Income

 

Less: Net
Realized
Losses on
Interest
Rate
Swaps

 

Economic
Net
Interest
Income (1)

For the Quarter Ended June 30, 2016   $ 221,096     $ 83,227     $ 8,141     $ 91,368     $ 137,869     $ 8,141     $ 129,361
For the Quarter Ended March 31, 2016   $ 201,194     $ 62,981     $ 11,220     $ 74,201     $ 138,213     $ 11,220     $ 126,545
For the Quarter Ended December 31, 2015   $ 201,912     $ 64,954     $ 11,673     $ 76,627     $ 136,958     $ 11,673     $ 125,272
For the Quarter Ended September 30, 2015   $ 211,876     $ 65,696     $ 11,355     $ 77,051     $ 146,180     $ 11,355     $ 134,714
For the Quarter Ended June 30, 2015   $ 215,804     $ 66,044     $ 9,030     $ 75,074     $ 149,760     $ 9,030     $ 140,173
(1) Excludes interest income on cash and cash equivalents.

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
June 30, 2016   June 30, 2015
(dollars in thousands) (dollars in thousands)
   

Average
Balance

  Interest  

Average
Yield/Cost

Average
Balance

  Interest  

Average
Yield/Cost

Assets:                      
Interest-earning assets (1):        
Agency MBS $ 4,882,776 $ 29,376 2.4 % $ 6,360,739 $ 44,821 2.8 %
Non-Agency RMBS 1,432,834 30,469 8.5 % 1,322,212 25,651 7.8 %
Non-Agency RMBS transferred to consolidated VIEs 1,346,840 62,889 18.7 % 1,593,971 68,885 17.3 %
Jumbo Prime securitized residential mortgage loans held for investment 411,343 3,489 3.4 % 559,150 6,250 4.5 %
Seasoned subprime securitized residential mortgage loans held for investment   6,214,467     94,505     6.1 % 4,518,897     71,765     6.4 %
Total   $ 14,288,260     $ 220,728     6.2 % $ 14,354,969     $ 217,372     6.1 %
                       
Liabilities and stockholders' equity:                      
Interest-bearing liabilities:
Agency repurchase agreements (2) $ 4,612,205 $ 15,795 1.4 % $ 5,395,795 $ 16,580 1.2 %
Non-Agency repurchase agreements 2,251,755 16,801 3.0 % 1,508,721 8,069 2.1 %
Securitized debt, collateralized by Non-Agency RMBS 458,350 5,922 5.2 % 648,437 9,218 5.7 %
Securitized debt, collateralized by jumbo prime residential mortgage loans 313,077 2,450 3.1 % 447,975 5,157 4.6 %
Securitized debt, collateralized by seasoned subprime residential mortgage loans   5,351,393     50,399     3.8 % 3,799,069     36,050     3.8 %
Total   $ 12,986,780     $ 91,367     2.8 % $ 11,799,997     $ 75,074     2.5 %
                       
Economic net interest income/net interest rate spread       $ 129,361     3.4 %     $ 142,298     3.6 %
                       
Net interest-earning assets/net interest margin   $ 1,301,480         3.6 % $ 2,554,972         4.0 %
                       
Ratio of interest-earning assets to interest bearing liabilities   1.10           1.22          
 
(1) Interest-earning assets at amortized cost
(2) Interest includes cash paid on swaps

The table below shows our Net Income, Economic Net Interest Income and Core Earnings, each as a percentage of average 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 Company’s beginning and ending equity balance for the period reported. 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. Core Earnings is a non-GAAP measures as defined in previous section.

Return on
Average Equity

 

Economic Net
Interest
Income/Average
Equity *

 

Core
Earnings/Average
Equity

  (Ratios have been annualized)
For The Quarter Ended June 30, 2016 10.09%   17.61%   13.00%
For The Quarter Ended March 31, 2016 11.34%   17.28%   14.95%
For The Quarter Ended December 31, 2015 15.22%   16.52%   13.23%
For The Quarter Ended September 30, 2015 (5.89)%   16.43%   13.14%
For The Quarter Ended June 30, 2015 13.35%   16.10%   13.40%
For The Year Ended          
For The Year Ended December 31, 2015 7.52%   17.12%   14.20%
For The Year Ended December 31, 2014 16.99%   14.06%   12.70%

The table below presents changes in accretable yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.

  For the Quarter Ended   For the Six Months Ended
June 30, 2016   June 30, 2015   June 30, 2016   June 30, 2015
    (dollars in thousands)   (dollars in thousands)
Balance at beginning of period $ 1,726,541 $ 1,536,862 $ 1,742,744 $ 1,534,497
Purchases 22,417 23,872 42,600 108,625
Accretion (35,054 ) (71,005 ) (71,407 ) (140,710 )
Reclassification (to) from non-accretable difference 27,492 211,625 27,459 218,807
Sales and deconsolidation   (26,804 )   (3,031 )   (26,804 )   (22,896 )
Balance at end of period   $ 1,714,592     $ 1,698,323     $ 1,714,592     $ 1,698,323  

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 Annual Report on Form 10-K for the year ended December 31, 2015, and any subsequent Quarterly Reports on Form 10-Q, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: the state of credit markets and general economic conditions; changes in interest rates and the market value of our assets; the rates of default or decreased recovery on the mortgages underlying our target assets; the occurrence, extent and timing of credit losses within our portfolio; the credit risk in our underlying assets; declines in home prices; our ability to establish, adjust and maintain appropriate hedges for the risks in our portfolio; the availability and cost of our target assets; our ability to borrow to finance our assets and the associated costs; changes in the competitive landscape within our industry; our ability to manage various operational risks and costs associated with our business; interruptions in or impairments to our communications and information technology systems; our ability to acquire residential mortgage loans and successfully securitize the residential mortgage loans we acquire; our ability to oversee our third party sub-servicers; the impact of any deficiencies in the servicing or foreclosure practices of third parties and related delays in the foreclosure process; our exposure to legal and regulatory claims; legislative and regulatory actions affecting our business; the impact of new or modified government mortgage refinance or principal reduction programs; our ability to maintain our REIT qualification; and limitations imposed on our business due to our REIT status and our exempt status under the Investment Company Act of 1940.

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.

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.

Chimera Investment Corporation
Investor Relations
866-315-9930
www.chimerareit.com

Source: Chimera Investment Corporation