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, 2021 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 ...

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 ...

Financial Data and Key Metrics Changes - GAAP book value at the end of Q1 2020 was $12.45 per share, with a GAAP net loss of $389 million or $2.08 per share [37] - Core net income for Q1 was $106 million or $0.57 per share, with economic net interest income of $151 million [38] - The yield on average interest-earning assets was 5.3%, while the average cost of funds was 3%, resulting in a net interest spread of 2.3% [38] - Total leverage for Q1 was 4.7:1, with recourse leverage ending at 2.2:1, a 35% reduction from the previous quarter [39][34] Business Line Data and Key Metrics Changes - The agency mortgage-backed securities portfolio was sold to pay down debt, contributing to a reduction in recourse leverage [17][34] - The company executed two mortgage securitizations totaling $883 million in March, indicating active management of its credit assets [20][29] - The agency CMBS portfolio, totaling $2.5 billion, was retained due to its favorable spread income and financing characteristics [32] Market Data and Key Metrics Changes - The 10-year treasury note yield fell from 1.92% to 0.67% during Q1, reflecting significant market volatility [25] - The COVID-19 pandemic led to record outflows from credit-focused bond funds and ETFs, causing sharp price declines across most fixed income markets [10][11] Company Strategy and Development Direction - The company aims to maintain liquidity, extend financing terms, and keep its credit portfolio intact during uncertain economic conditions [23] - There is a focus on securitization as a primary funding strategy for credit assets, with plans to explore new investment opportunities as the market stabilizes [27][75] - The management remains cautiously optimistic about the recovery of the U.S. economy and the mortgage market [21][23] Management's Comments on Operating Environment and Future Outlook - The management expressed uncertainty regarding the economic recovery, emphasizing the challenges posed by high unemployment and changes in social habits [21][22] - Earnings for the upcoming quarters are expected to be difficult to predict due to the complexities of the current environment [23] - The management highlighted the importance of monitoring liquidity and assessing opportunities to increase it while supporting the current portfolio [39] Other Important Information - The company has approximately $650 million in cash and unencumbered assets after paying dividends totaling $111 million [39] - The management noted that the high-yield credit assets have been marked down, contributing to a lower book value this quarter [35] Q&A Session Summary Question: How is the company thinking about liquidity in the absence of the Agency RMBS portfolio? - The management feels confident about current liquidity levels and is exploring opportunities in the loan space while ensuring lockdown financing [42][43] Question: What has been the rate of borrowers asking for forbearance in the portfolio? - The management indicated that forbearance requests have not materially changed but expect an uptick as government programs take effect [52][53] Question: How should the company think about principal paydown and cash flow in the portfolio? - The management stated that principal paydowns will gradually reduce portfolio leverage, and collections have remained stable [56][58] Question: What percentage of the book value impact in Q1 was realized versus unrealized losses? - The majority of the losses were unrealized, with some realized gains from agency sales [59][60] Question: Is the company considering buying back any outstanding securitization debt? - The management believes it is not a good use of capital at this time but will evaluate the situation as the market stabilizes [71][72] Question: How does the company view alternative investments in the current cycle? - The management is focused on evaluating the best investment options relative to risk and return, particularly in the loan space [73][75]

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 ...