Chimera Investment Corporation (NYSE:CIM) Q3 2020 Results Earnings Conference Call November 4, 2020 9:00 AM ET Company Participants Emily Mohr - Investor Relations Officer Matthew Lambiase - President and CEO Mohit Marria - Chief Investment Officer Rob Colligan - Chief Financial Officer Choudhary Yarlagadda - Chief Operating Officer Vic Falvo - Head, Capital Markets Conference Call Participants Doug Harter - Credit Suisse Bose George - KBW Kenneth Lee - RBC Capital Markets Stephen Laws - Raymond James Trevo ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q ☑ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED: June 30, 2020 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE TRANSITION PERIOD FROM _______________ TO _________________ COMMISSION FILE NUMBER: 1-33796 CHIMERA INVESTMENT CORPORATION (Exact name of Registrant as specified in its Charter) Maryland 26-06 ...

Chimera Investment Corporation (NYSE:CIM) Q2 2020 Results Earnings Conference Call August 5, 2020 9:00 AM ET Company Participants Emily Mohr - Investor Relations Matthew Lambiase - President, Chief Executive Officer Mohit Marria - Chief Investment Officer Rob Colligan - Chief Financial Officer Conference Call Participants Doug Harter - Credit Suisse Stephen Laws - Raymond James Eric Hagen - KBW Trevor Cranston - JMP Securities Operator Ladies and gentlemen, thank you for standing by. Welcome to the Chimera ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q ☑ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED: March 31, 2020 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE TRANSITION PERIOD FROM _______________ TO _________________ COMMISSION FILE NUMBER: 1-33796 CHIMERA INVESTMENT CORPORATION (Exact name of Registrant as specified in its Charter) Maryland 26-0 ...

Chimera Investment Corporation (NYSE:CIM) Q1 2020 Earnings Conference Call May 6, 2020 9:00 AM ET Company Participants Emily Mohr - Investor Relations Matthew Lambiase - President & Chief Executive Officer Mohit Marria - Chief Investment Officer Rob Colligan - Chief Financial Officer Choudhary Yarlagadda - Chief Operating Officer Vic Falvo - Head, Capital Markets Conference Call Participants Doug Harter - Credit Suisse Eric Hagen - KBW Trevor Cranston - JMP Securities Matthew Howlett - Nomura Stephen Laws - ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-K (MARK ONE) ☑ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE FISCAL YEAR ENDED: December 31, 2019 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE TRANSITION PERIOD FROM TO COMMISSION FILE NUMBER: 1-33796 CHIMERA INVESTMENT CORPORATION (Exact Name of Registrant as Specified in its Charter) Maryland 26-0630461 (State or other jur ...

Financial Data and Key Metrics Changes - Chimera reported a GAAP net income of $112 million or $0.60 per share for Q4 2019, and $341 million or $1.82 per share for the full year [32] - The economic return on GAAP book value was 1.7% for Q4 and 14.1% for the full year [31] - Economic net interest income for Q4 was $164 million, with a yield on average interest-earning assets of 5.5% and an average cost of funds of 3.1% [34] Business Line Data and Key Metrics Changes - In Q4, Chimera added $1 billion in seasoned reperforming loans, totaling $2.3 billion for the full year [15] - The company completed five securitizations totaling $1.8 billion in Q4, with a total of 10 securitizations for the year [15][23] - The average cost of repo borrowing from agency securities decreased to 2.1% at year-end, down from 2.28% in Q3 [20] Market Data and Key Metrics Changes - The average loan size for reperforming loans in the R2 deal was $136,000 with an average FICO of 644 [24] - The agency pass-throughs ended the year at $6.1 billion, down from $9 billion at the end of 2018 [20] - The market demand for fixed income spread products remains strong in 2020, with existing CIM securitizations exceeding $5 billion [30] Company Strategy and Development Direction - The company plans to adopt new CECL accounting rules in 2020, which will reduce yields on legacy non-agency bonds but is not expected to impact dividend payments [17] - Chimera's strategy focuses on optimizing its portfolio through securitization and capital allocation, with a strong emphasis on residential mortgage credit [29] - The company aims to continue sourcing new loans and believes the fundamentals of the U.S. economy will support residential mortgage credit performance [16] Management's Comments on Operating Environment and Future Outlook - Management expressed optimism about the portfolio's performance and the stability of funding costs in the low interest rate environment [16] - The company anticipates that the Federal Reserve will maintain stable funding costs, which should benefit its operations [14] - Management highlighted the importance of the strong U.S. economy, including low unemployment and attractive mortgage rates, as supportive factors for future growth [15] Other Important Information - The Board of Directors announced a first-quarter dividend of $0.50 per common share, with an expectation to pay $2 in common dividends for the full year of 2020 [17] - The company noted that $0.07 of core earnings in Q4 came from one-time gains on securities called away from the portfolio [9] Q&A Session Summary Question: Details on callable deals pipeline and pacing - Management indicated there are eight callable deals in 2020 totaling about $5 billion in loans, with potential cost savings of over 150 basis points [36] Question: Attractiveness of legacy loans vs. jumbo loans - Management finds seasoned reperforming loans attractive due to better financing terms and double-digit returns compared to new issue origination [37] Question: CECL impact on book value - Management clarified that the only impact from CECL is a forward yield adjustment, with no requirement for reserves due to unrealized gains on most impacted securities [42] Question: Size of the legacy low balance loan market - Management estimated that there is still over $100 billion of seasoned reperforming loans that GSEs need to dispose of [44] Question: Callable securities and macro assumptions - Management noted that the callability of securities is influenced by various factors, including amortization and market conditions, rather than solely interest rates [56] Question: Drivers for movements in book value per share - The primary driver for lower book value was a change in rates, with a market sell-off of about 30 basis points impacting book value [57] Question: Agency MBS portfolio management - Management confirmed that pay-down sales from the agency portfolio are being redeployed into loan investments, contributing to capital growth [59]

FINANCIAL SUPPLEMENT 4th Quarter 2019 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," "anticip ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q ☑ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED: September 30, 2019 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE TRANSITION PERIOD FROM _______________ TO _________________ COMMISSION FILE NUMBER: 1-33796 CHIMERA INVESTMENT CORPORATION (Exact name of Registrant as specified in its Charter) Common St ...

FINANCIAL SUPPLEMENT 3rd Quarter 2019 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," "anticip ...