| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |------------------------------------------------------------------------------|---------------------|-------------|----------------|-------------------------------------------|-------|-------|---------------------------------------------------------------------|-------|-------|-----------------------|-------| | Q2 2023 Key Loan Statistics \nTotal Current Unpaid Principal Balance (UPB) | $12.6 Billion (1) | | have been low. | Delinque ...

Chimera Investment Corporation (NYSE:CIM) Q2 2023 Earnings Conference Call August 3, 2023 8:30 AM ET Company Participants Victor Falvo - Head, Capital Markets Phil Kardis - CEO Subra Viswanathan - CFO Dan Thakkar - Co-Chief Investment Officer Conference Call Participants Bose George - KBW Doug Harter - Credit Suisse Trevor Cranston - JMP Securities Operator Good day, ladies and gentlemen, and welcome to the Chimera Investment Second Quarter 2023 Earnings Call. All lines have been placed on a listen-only mod ...

[PART I. FINANCIAL INFORMATION](index=3&type=section&id=PART%20I.%20FINANCIAL%20INFORMATION) [Item 1. Consolidated Financial Statements](index=4&type=section&id=Item%201.%20Consolidated%20Financial%20Statements) This section presents the unaudited consolidated financial statements for the period ended June 30, 2023, including key financial positions and performance metrics Consolidated Statement of Financial Condition Highlights (as of June 30, 2023) | Metric | Amount (in thousands) | | :--- | :--- | | **Assets** | | | Cash and cash equivalents | $200,940 | | Loans held for investment, at fair value | $11,929,537 | | Non-Agency RMBS, at fair value | $1,092,205 | | Agency MBS, at fair value | $136,326 | | **Total Assets** | **$13,509,643** | | **Liabilities** | | | Secured financing agreements | $2,686,522 | | Securitized debt at fair value | $8,041,276 | | **Total Liabilities** | **$10,930,240** | | **Total Stockholders' Equity** | **$2,579,403** | Consolidated Statement of Operations Highlights (For the Quarter Ended June 30, 2023) | Metric | Amount (in thousands) | | :--- | :--- | | Net interest income | $65,678 | | Total other gains (losses) | $4,145 | | Total other expenses | $31,012 | | Net income (loss) | $36,024 | | Net income (loss) available to common shareholders | $17,586 | | **Net income (loss) per share - Basic** | **$0.08** | | **Net income (loss) per share - Diluted** | **$0.08** | [Notes to Consolidated Financial Statements](index=12&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) This section provides detailed disclosures on the company's accounting policies, investment portfolio, fair value measurements, and financing arrangements, including VIE consolidation - The company is an internally managed REIT primarily investing in a diversified portfolio of mortgage assets, including residential mortgage loans, Agency and Non-Agency RMBS, and Agency CMBS[373](index=373&type=chunk) - The company consolidates Variable Interest Entities (VIEs), primarily securitization trusts, where it is determined to be the primary beneficiary, indicating power to direct significant activities and absorb losses or benefits[348](index=348&type=chunk)[349](index=349&type=chunk) - Significant estimates are required for valuing financial instruments, including Loans held for investment and Non-Agency MBS, and in recognizing income and credit losses[241](index=241&type=chunk)[352](index=352&type=chunk)[382](index=382&type=chunk) [Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=74&type=section&id=Item%202.%20Management%27s%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses the company's Q2 2023 financial performance, highlighting net income, book value changes, and strategic actions taken amidst rising interest rates and market volatility - The company's investment portfolio at June 30, 2023, based on fair value, consisted of approximately **91% residential mortgage loans**, **8% Non-Agency RMBS**, and **1% Agency MBS**[100](index=100&type=chunk) - Book value per common share slightly declined to **$7.29** as of June 30, 2023, from **$7.41** as of March 31, 2023, as higher interest rates were mostly offset by credit spread tightening[51](index=51&type=chunk) - The Board of Directors reduced the second quarter 2023 cash dividend to **$0.18 per common share** from **$0.23** in the prior quarter to better align with expected earnings performance[52](index=52&type=chunk) - During Q2 2023, the company sponsored **$1.4 billion** in securitizations to secure long-term, non-mark-to-market financing for its residential mortgage loans[101](index=101&type=chunk) [Results of Operations](index=82&type=section&id=Results%20of%20Operations) This section analyzes the company's Q2 2023 operating results, detailing changes in net income, interest income, and expenses compared to prior periods, and the impact of market conditions Quarterly Performance Comparison (Q2 2023 vs Q1 2023) | Metric (in thousands, except per share) | Q2 2023 | Q1 2023 | Change | | :--- | :--- | :--- | :--- | | Net Interest Income | $65,678 | $69,635 | ($3,957) | | Net Gains (Losses) on Derivatives | $15,331 | ($39,866) | $55,197 | | Net Unrealized Gains on Financial Instruments | $6,954 | $64,592 | ($57,638) | | Net Income Available to Common Shareholders | $17,586 | $38,928 | ($21,342) | | Basic EPS | $0.08 | $0.17 | ($0.09) | - Interest expense increased by **$12 million** quarter-over-quarter to **$131 million**, driven by higher borrowing rates on securitized debt due to the rise in the Federal Funds Rate[593](index=593&type=chunk)[616](index=616&type=chunk) - Earnings available for distribution (a non-GAAP measure) was **$28 million**, or **$0.12 per share**, for Q2 2023, down from **$31 million**, or **$0.13 per share**, in Q1 2023[128](index=128&type=chunk)[148](index=148&type=chunk) [Financial Condition](index=102&type=section&id=Financial%20Condition) This section reviews the company's financial position as of June 30, 2023, including investment portfolio composition, leverage ratios, liquidity, and share repurchase program updates Portfolio Composition by Fair Value | Asset Class | June 30, 2023 | Dec 31, 2022 | | :--- | :--- | :--- | | Loans held for investment | 90.7% | 87.8% | | Non-Agency RMBS | 8.3% | 8.9% | | Agency MBS & CMBS | 1.0% | 3.3% | Leverage Ratios | Metric | June 30, 2023 | Dec 31, 2022 | | :--- | :--- | :--- | | GAAP Leverage (Total Debt / Equity) | 4.2:1 | 4.0:1 | | Recourse Leverage (Recourse Debt / Equity) | 1.0:1 | 1.3:1 | - The company held **$201 million** in cash and cash equivalents at June 30, 2023, a decrease of **$64 million** from year-end 2022[136](index=136&type=chunk) - The share repurchase program authorization was increased to **$250 million** in June 2023, with the company repurchasing **5.8 million shares** for **$33 million** in Q2 2023, leaving **$217 million** available[177](index=177&type=chunk)[178](index=178&type=chunk) [Item 3. Quantitative and Qualitative Disclosures about Market Risk](index=118&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20about%20Market%20Risk) This section details the company's exposure to market risks, primarily credit and interest rate risks, and the strategies employed to mitigate them, including derivative use and LIBOR to SOFR transition management - The primary components of market risk are identified as credit risk, interest rate risk, prepayment risk, extension risk, basis risk, and market risk[213](index=213&type=chunk) Interest Rate Sensitivity Analysis (as of June 30, 2023) | Change in Interest Rate | Projected % Change in Net Interest Income | Projected % Change in Market Value | | :--- | :--- | :--- | | +100 Basis Points | (3.21)% | (6.07)% | | +50 Basis Points | (0.92)% | (3.13)% | | -50 Basis Points | 4.40% | 3.44% | | -100 Basis Points | 7.40% | 8.33% | - The company is managing the transition from LIBOR to SOFR, which became effective July 1, 2023, noting that differences could result in lower interest income than if LIBOR had remained[222](index=222&type=chunk)[223](index=223&type=chunk)[254](index=254&type=chunk) - The company employs a "Three Layers of Defense Approach" to Enterprise Risk Management (ERM), involving business units, an independent risk management unit, and internal or external audits[143](index=143&type=chunk) [Item 4. Controls and Procedures](index=130&type=section&id=Item%204.%20Controls%20and%20Procedures) Management, including the CEO and CFO, evaluated the company's disclosure controls and procedures and concluded they were effective as of June 30, 2023 - Management concluded that the company's disclosure controls and procedures were effective as of June 30, 2023[194](index=194&type=chunk) - No material changes to internal control over financial reporting were identified during the second quarter of 2023[194](index=194&type=chunk) [PART II. OTHER INFORMATION](index=130&type=section&id=PART%20II.%20OTHER%20INFORMATION) [Item 1. Legal Proceedings](index=130&type=section&id=Item%201.%20Legal%20Proceedings) The company reports that there are no material legal proceedings to disclose for the period - The company reports no material legal proceedings[195](index=195&type=chunk) [Item 1A. Risk Factors](index=131&type=section&id=Item%201A.%20Risk%20Factors) The company states that there have been no material changes to the risk factors previously disclosed in its Annual Report on Form 10-K for the year ended December 31, 2022 - There have been no material changes to the risk factors set forth in the Form 10-K for the year ended December 31, 2022[164](index=164&type=chunk) [Item 2. Unregistered Sales of Equity Securities and Use of Proceeds](index=132&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) This section details the company's common stock repurchase activity, including the increased authorization and shares repurchased during the second quarter of 2023 - In June 2023, the Board of Directors increased the share repurchase program authorization by **$73 million**, bringing the total to **$250 million**[165](index=165&type=chunk) Common Stock Repurchases in Q2 2023 | Period | Total Shares Repurchased | Average Price Paid | Total Cost (in millions) | | :--- | :--- | :--- | :--- | | April 2023 | 0 | N/A | $0 | | May 2023 | 0 | N/A | $0 | | June 2023 | 5,845,149 | $5.66 | $33.1 | | **Total Q2** | **5,845,149** | **$5.66** | **$33.1** | - As of June 30, 2023, the approximate dollar value of shares that may yet be purchased under the Repurchase Program is **$217 million**[166](index=166&type=chunk) [Item 6. Exhibits](index=132&type=section&id=Item%206.%20Exhibits) This section lists the exhibits filed with the quarterly report, including articles of incorporation, bylaws, descriptions of securities, the 2023 Equity Incentive Plan, and certifications by the CEO and CFO as required by the Sarbanes-Oxley Act - The report includes various exhibits, such as the 2023 Equity Incentive Plan and CEO/CFO certifications pursuant to Sections 302 and 906 of the Sarbanes-Oxley Act[173](index=173&type=chunk)[174](index=174&type=chunk)

Chimera Investment Corporation (NYSE:CIM) Q1 2023 Results Conference Call May 4, 2023 8:30 AM ET Company Participants Victor Falvo - Head, Capital Markets Phil Kardis - CEO Choudhary Yarlagadda - President and Co-CIO Dan Thakkar - Co-CIO Subra Viswanathan - CFO Conference Call Participants Doug Harter - Credit Suisse Trevor Cranston - JMP Securities Bose George - KBW Operator Good day, ladies and gentlemen and welcome to the Chimera Investment Corporation First Quarter 2023 Earnings Call. All lines have bee ...

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, 2023 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 jurisdict ...

PART I [Item 1. Business](index=6&type=section&id=Item%201.%20Business) The company operates as a REIT investing in a diversified mortgage asset portfolio to generate income and risk-adjusted returns - The company is a REIT focused on investing in a diversified portfolio of mortgage assets, including residential mortgage loans, Agency RMBS, Non-Agency RMBS, and Agency CMBS, with the goal of providing **attractive risk-adjusted returns**[298](index=298&type=chunk) - In 2022, the investment strategy centered on **acquiring and securitizing residential mortgage loans**, including exercising call options on existing securitizations to refinance at better terms[327](index=327&type=chunk) Portfolio Composition by Fair Value | Asset Class | Dec 31, 2022 | Dec 31, 2021 | | :--- | :--- | :--- | | Residential Mortgage Loans | 88% | 82% | | Non-Agency RMBS | 9% | 12% | | Agency MBS | 3% | 6% | - The company utilizes various financing sources, including securitizations, warehouse facilities, and repurchase agreements, with a key strategy modification involving **non-mark-to-market facilities to reduce financing risks** during market volatility[301](index=301&type=chunk)[346](index=346&type=chunk)[347](index=347&type=chunk) - The company operates to maintain its REIT qualification, which requires distributing at least **90% of its taxable income**, and to maintain its exemption from the 1940 Act[350](index=350&type=chunk) [Item 1A. Risk Factors](index=15&type=section&id=Item%201A.%20Risk%20Factors) The company faces significant financing, investment, operational, and regulatory risks impacting its business and REIT status - **Financing Risk**: The company's reliance on short-term repurchase agreements and warehouse facilities creates risk, as lenders may not renew financing or may impose more onerous terms, especially during market disruptions[393](index=393&type=chunk)[427](index=427&type=chunk) - **Interest Rate and Market Risk**: Rising interest rates and market volatility can decrease asset values, leading to margin calls, while a flattening yield curve compresses net interest margins[396](index=396&type=chunk)[397](index=397&type=chunk)[482](index=482&type=chunk) - **Credit Risk**: A significant portion of the portfolio consists of Non-Agency RMBS and residential loans with higher credit risk, which are exposed to losses from borrower defaults in economic downturns[455](index=455&type=chunk)[456](index=456&type=chunk)[488](index=488&type=chunk) - **Securitization and Risk Retention Risk**: Retaining the first-loss tranches of securitizations exposes the company to significant credit risk, and U.S. Risk Retention Rules limit the ability to sell or hedge these interests[451](index=451&type=chunk)[453](index=453&type=chunk) - **Regulatory and Tax Risk**: The company must comply with complex rules to maintain its REIT status and its 1940 Act exemption, with failure resulting in severe adverse effects[255](index=255&type=chunk)[521](index=521&type=chunk)[556](index=556&type=chunk) - **LIBOR Transition**: The transition from LIBOR to alternative rates like SOFR introduces uncertainty and potential risks, including higher borrowing costs and asset-liability mismatches[405](index=405&type=chunk)[438](index=438&type=chunk) PART II [Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=51&type=section&id=Item%207.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) A net loss of $587 million in 2022, driven by unrealized losses from rising rates, contrasted sharply with 2021's net income - The company's financial performance in 2022 was significantly impacted by rising interest rates and credit spread widening, leading to **substantial mark-to-market losses** on its investment portfolio[664](index=664&type=chunk)[677](index=677&type=chunk) Net Income (Loss) Summary (in thousands) | Metric | FY 2022 | FY 2021 | | :--- | :--- | :--- | | Net Interest Income | $439,828 | $610,918 | | Total Other Gains (Losses) | ($821,930) | $199,114 | | *Net Unrealized (Losses) Gains* | *($736,899)* | *$437,357* | | Total Other Expenses | $124,180 | $135,480 | | **Net (Loss) Income** | **($513,066)** | **$670,114** | | **Net (Loss) Income to Common** | **($586,831)** | **$596,350** | Per Share Data | Metric | FY 2022 | FY 2021 | | :--- | :--- | :--- | | Diluted EPS (GAAP) | ($2.51) | $2.44 | | Earnings Available for Distribution per Share (Non-GAAP) | $1.08 | $1.78 | | Dividends Declared per Common Share | $1.12 | $1.29 | - Strategic actions in 2022 included acquiring **$2.1 billion of investments**, primarily loans, while maintaining low leverage and repurchasing 5.31 million shares for $49 million[23](index=23&type=chunk)[536](index=536&type=chunk) - To manage liquidity and financing risk, the company increased its use of **non-mark-to-market facilities** and entered into $2.5 billion of interest rate hedges[626](index=626&type=chunk)[657](index=657&type=chunk) [Results of Operations](index=55&type=section&id=Results%20of%20Operations) A $587 million net loss was driven by a $1.2 billion negative swing in unrealized gains and a 28% drop in net interest income Net Interest Income Analysis (GAAP, in millions) | Component | FY 2022 | FY 2021 | Change | | :--- | :--- | :--- | :--- | | Interest Income | $773 | $938 | -18% | | Interest Expense | $333 | $327 | +2% | | **Net Interest Income** | **$440** | **$611** | **-28%** | Economic Net Interest Income (Non-GAAP, in millions) | Metric | FY 2022 | FY 2021 | | :--- | :--- | :--- | | Economic Net Interest Income | $436 | $613 | | Net Interest Rate Spread | 2.6% | 3.9% | - The company recognized total net losses on derivatives of **$4 million in 2022**, compared to none in 2021, from terminating interest rate swaps[10](index=10&type=chunk) - Net unrealized losses on financial instruments were **$737 million in 2022**, a stark contrast to net unrealized gains of $437 million in 2021[11](index=11&type=chunk)[677](index=677&type=chunk) - Compensation and benefit costs increased to **$49 million from $47 million**, primarily due to higher severance expense for the former CEO[15](index=15&type=chunk) [Financial Condition](index=64&type=section&id=Financial%20Condition) Total assets and equity declined in 2022 due to fair value losses, while the recourse leverage ratio increased to 1.3:1 Portfolio Composition (by Fair Value of Interest Earning Assets) | Asset Class | Dec 31, 2022 | Dec 31, 2021 | | :--- | :--- | :--- | | Residential mortgage loans | 88% | 82% | | Non-Agency RMBS | 9% | 12% | | Agency MBS | 3% | 6% | Leverage Ratios | Ratio | Dec 31, 2022 | Dec 31, 2021 | | :--- | :--- | :--- | | GAAP Leverage (Total Debt/Equity) | 4.0:1 | 3.0:1 | | GAAP Recourse Leverage | 1.3:1 | 0.9:1 | - During 2022, the company purchased **$2.1 billion of investments** and received $2.6 billion in principal payments, while selling $66 million of investments[23](index=23&type=chunk) [Liquidity and Capital Resources](index=67&type=section&id=Liquidity%20and%20Capital%20Resources) Cash decreased as financing activities used cash, while the company increased its use of non-mark-to-market facilities Cash Flow Summary (in millions) | Activity | FY 2022 | FY 2021 | | :--- | :--- | :--- | | Net Cash from Operating Activities | $326 | $519 | | Net Cash from Investing Activities | $510 | $2,548 | | Net Cash used in Financing Activities | ($957) | ($2,951) | | **Net (Decrease) Increase in Cash** | **($121)** | **$117** | - The company's recourse leverage increased to **1.3:1 at year-end 2022** from 0.9:1 at year-end 2021[30](index=30&type=chunk) - Weighted average haircuts on secured financing increased for Agency MBS but decreased for Non-Agency RMBS and Loans during 2022[31](index=31&type=chunk) - The company entered into new secured financing agreements in Q4 2022, including a **$383 million five-year facility** and a **$250 million two-year non-mark-to-market facility**[32](index=32&type=chunk) - As of December 31, 2022, the company had a significant counterparty risk exposure to **Nomura, representing 12% of its equity** related to collateral[34](index=34&type=chunk) [Critical Accounting Estimates](index=73&type=section&id=Critical%20Accounting%20Estimates) Critical estimates involve revenue recognition and fair value determination for Level 3 assets using significant unobservable inputs - The most critical accounting policies relate to **revenue recognition** on investments and the determination of **fair value** for financial instruments[546](index=546&type=chunk) - Fair value for Non-Agency RMBS and Loans held for investment is determined using internal discounted cash flow models with significant **unobservable inputs (Level 3)**[45](index=45&type=chunk)[78](index=78&type=chunk)[741](index=741&type=chunk) - As of December 31, 2022, **Level 3 assets and liabilities represented approximately 95%** of total assets and liabilities measured at fair value, respectively[79](index=79&type=chunk) - The company consolidates thirty-eight VIEs where it is deemed the primary beneficiary, a determination involving significant judgment[47](index=47&type=chunk)[80](index=80&type=chunk) [Item 7A. Quantitative and Qualitative Disclosures about Market Risk](index=76&type=section&id=Item%207A.%20Quantitative%20and%20Qualitative%20Disclosures%20about%20Market%20Risk) The company is primarily exposed to credit, interest rate, and prepayment risks, which are managed via hedging and due diligence - The primary market risks are **credit risk, interest rate risk, prepayment risk**, extension risk, basis risk, and market value risk[745](index=745&type=chunk) - Credit risk is concentrated in Non-Agency RMBS and residential mortgage loans and is managed through independent reviews of mortgage files[50](index=50&type=chunk)[113](index=113&type=chunk) Interest Rate Sensitivity Analysis (as of Dec 31, 2022) | Change in Interest Rate | Projected % Change in Net Interest Income | Projected % Change in Market Value | | :--- | :--- | :--- | | -100 Basis Points | 2.35% | 5.91% | | -50 Basis Points | 1.12% | 2.51% | | +50 Basis Points | (0.97)% | (3.52)% | | +100 Basis Points | (1.80)% | (6.22)% | - The company is managing the transition from **LIBOR to SOFR** for its floating-rate borrowings and assets, a process that introduces uncertainty[54](index=54&type=chunk)[55](index=55&type=chunk) - Risk management strategies include monitoring asset/liability repricing, using derivatives for hedging, and employing securitization for long-term financing[173](index=173&type=chunk) - The company has a comprehensive cybersecurity program, including security controls, regular training, and an incident response plan[176](index=176&type=chunk) PART IV [Item 8. Financial Statements and Supplementary Data](index=83&type=section&id=Item%208.%20Financial%20Statements%20and%20Supplementary%20Data) This section contains the unqualified auditor's opinion and the core consolidated financial statements for the fiscal year - The independent auditor, Ernst & Young LLP, issued an **unqualified opinion** on the consolidated financial statements and the effectiveness of internal control over financial reporting[197](index=197&type=chunk)[259](index=259&type=chunk) - Critical Audit Matters identified were the **valuation of Level 3 financial instruments** and the **recognition of interest income** on certain assets[199](index=199&type=chunk)[229](index=229&type=chunk)[231](index=231&type=chunk) Consolidated Statement of Financial Condition Highlights (in thousands) | Account | Dec 31, 2022 | Dec 31, 2021 | | :--- | :--- | :--- | | Total Assets | $13,401,991 | $15,407,403 | | Total Liabilities | $10,735,188 | $11,671,212 | | **Total Stockholders' Equity** | **$2,666,803** | **$3,736,191** | Consolidated Statement of Operations Highlights (in thousands) | Account | FY 2022 | FY 2021 | FY 2020 | | :--- | :--- | :--- | :--- | | Net Interest Income | $439,828 | $610,918 | $514,069 | | **Net (Loss) Income** | **($513,066)** | **$670,114** | **$88,854** | | Net (Loss) Income to Common | ($586,831) | $596,350 | $15,104 | [Item 9A. Controls and Procedures](index=83&type=section&id=Item%209A.%20Controls%20and%20Procedures) Management and the independent auditor concluded that disclosure controls and internal controls over financial reporting were effective - Management concluded that the company's disclosure controls and procedures were **effective** as of December 31, 2022[181](index=181&type=chunk) - Based on the COSO 2013 framework, management concluded that the company's internal control over financial reporting was **effective** as of December 31, 2022[183](index=183&type=chunk) - The independent registered public accounting firm, Ernst & Young LLP, audited and expressed an **unqualified opinion** on the effectiveness of the company's internal control over financial reporting[160](index=160&type=chunk) - There were **no material changes** in internal control over financial reporting during the fourth quarter of 2022[184](index=184&type=chunk)[210](index=210&type=chunk) [Item 15. Exhibits and Financial Statement Schedules](index=85&type=section&id=Item%2015.%20Exhibits%20and%20Financial%20Statement%20Schedules) This section indexes all filed exhibits, including governance documents, material contracts, and Sarbanes-Oxley certifications - The Exhibit Index lists all documents filed as part of the annual report, including corporate governance documents, material contracts, and required certifications[190](index=190&type=chunk) - Key filed documents include employment agreements, a separation agreement with the former CEO, and forms of various stock and incentive awards[220](index=220&type=chunk) - Certifications from the CEO and CFO pursuant to **Sections 302 and 906 of the Sarbanes-Oxley Act** are included as exhibits[193](index=193&type=chunk) [Notes to Consolidated Financial Statements](index=100&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) The notes detail key accounting policies, including VIE consolidation, fair value measurements, and specifics on financial instruments - The company consolidates VIEs for which it is the primary beneficiary; as of Dec 31, 2022, assets and liabilities of consolidated VIEs were **$10.2 billion and $6.8 billion**, respectively[849](index=849&type=chunk)[1120](index=1120&type=chunk) - A majority of financial instruments are carried at fair value, with **Level 3 instruments**, valued with significant unobservable inputs, constituting a large portion of the balance sheet[838](index=838&type=chunk)[957](index=957&type=chunk) - The company uses interest rate swaps and swaptions to hedge interest rate risk, holding derivative assets with a fair value of **$4.1 million** as of Dec 31, 2022[1015](index=1015&type=chunk)[1041](index=1041&type=chunk) - The company repurchased **5.4 million shares for $49 million** in 2022, with $177 million remaining available under the share repurchase program[1047](index=1047&type=chunk)

Chimera Investment Corporation (NYSE:CIM) Q4 2022 Earnings Conference Call February 15, 2023 8:30 AM ET Company Participants Victor Falvo - Head of Capital Markets Phillip Kardis - Chief Executive Officer Subra Viswanathan - Chief Financial Officer Conference Call Participants Mike Smyth - KBW Trevor Cranston - JMP Securities Lee Cooperman - Omega Family Office Operator Greetings, and welcome to the Chimera Investment Corporation Fourth Quarter 2022 Earnings Conference Call. At this time, all participants a ...

chimerareit.com GAAP ASSET ALLOCATION December 31, 2022 June 30, 2022 September 30, 2022 Loan Portfolio Based on fair value. 9% 3% 88% September 30, 2022 4% (1) Includes secured financing of retained tranches from loan securitizations that are eliminated in consolidation. | --- | --- | --- | --- | --- | --- | --- | |--------------------------|------------------------------------------|-------|--------------------|------------------------------------------|-------|------------------| | | RESIDENTIAL MORTGAGE ...

Chimera Investment Corporation (NYSE:CIM) Q3 2022 Earnings Conference Call November 3, 2022 8:30 AM ET Company Participants Victor Falvo - Head of Capital Markets Mohit Marria - CEO and Chief Investment Officer Subra Viswanathan - CFO Conference Call Participants Kenneth Lee - RBC Capital Markets Trevor Cranston - JMP Securities Mike Smyth - KBW Operator Good day, ladies and gentlemen, and welcome to the Chimera Investment's Third Quarter 2022 Earnings Conference Call. All lines have been placed on a listen ...

FINANCIAL SUPPLEMENT 3rd Quarter 2022 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 ...