UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-K ☑ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE FISCAL YEAR ENDED: December 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 26-0630461 (State or other jurisdiction o ...

Financial Data and Key Metrics Changes - The company's GAAP book value at the end of Q4 was $12.36 per share, with a 6% economic return based on the quarterly change in book value and the dividend per common share [28] - GAAP net income for Q4 was $129 million or $0.49 per share, while for the full year it was $15 million or $0.07 per share [29] - Economic net interest income for Q4 was $117 million, and for the full year, it was $513 million [29] - The yield on average interest-earning assets for Q4 was 5.9%, with an average cost of funds at 3.6%, resulting in a net interest spread of 2.3% [29] Business Line Data and Key Metrics Changes - The company sponsored $4.2 billion in 11 separate securitized deals for the calendar year 2020, retaining $655 million in subordinate notes [14] - The average loan size in the R6 transaction was $102,000 with an average LTV of 71% and an average FICO score of 638 [20] - The average loan size in the R7 transaction was $81,000 with an average LTV of 60% and an average FICO score of 662 [22] Market Data and Key Metrics Changes - The housing market is robust, with December contract closings for existing homes at an annualized pace of 6.76 million units, the strongest since late 2006 [9] - The Federal Reserve's support for agency mortgage-backed securities has helped maintain low mortgage rates, benefiting home purchases and refinancing [9] Company Strategy and Development Direction - The company aims to enhance liquidity and strengthen its cash position, which has allowed it to retain a high-yielding credit portfolio [7] - The company believes its seasoned mortgage portfolio is strategically positioned to perform well amid strong housing fundamentals and a post-pandemic economic recovery [11] Management's Comments on Operating Environment and Future Outlook - Management noted that the securitization market has shown depth and resiliency, with spreads on securitized mortgage loans tightening to historically low levels [12] - The company plans to continue seeking ways to improve or lower liability costs for securitized debt and back-end financing of retained securities [25] Other Important Information - The board of directors increased the common stock repurchase authorization to $250 million, providing a tool for evaluating new investment opportunities [18] - The company has a low leverage ratio, allowing for potential increases in leverage as market conditions improve [27] Q&A Session Summary Question: Best opportunities to deploy capital - Management indicated that seasoned re-performing loans remain the core strategy, offering value due to strong housing fundamentals and a robust securitization market [32] Question: Cash yield on RPLs - Management acknowledged that yields have come in, with most loan packages trading at or above par, but with leverage, double-digit returns can still be achieved [34] Question: Economics of business purpose loans - The gross coupon on originations is just under 6%, with leveraged returns expected to be well into double digits [38] Question: Buyback authorization increase - The previous authorization was $150 million, with $228 million currently available [39] Question: Cost of financing on securitizations - The cost of funding for the recent securitizations was around 2.19%, with significant savings achieved through re-leveraging [41] Question: Appetite to lever retained pieces - Management expressed comfort in financing retained pieces, focusing on limited mark-to-market strategies [58]

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, 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 ...

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]