- GAAP Net Income of $1.32 Per Common Share
- Core Earnings(1) of $0.33 Per Common Share
- GAAP Book Value of $11.91 Per Common Share
Chimera Investment Corporation (NYSE:CIM) today announced its
financial results for the third quarter ended September 30, 2020.
The Company’s GAAP net income for the third quarter was $349
million, or $1.32 per common share. Core earnings(1) for the third
quarter was $80 million, or $0.33 per common share.
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“Over the past six months we have concentrated the company’s
efforts on strengthening the balance sheet and protecting our
valuable credit assets” said Matthew Lambiase, President and Chief
Executive Officer. “These actions contributed to this quarters
strong performance and enabled us to complete three securitizations
while purchasing $640 million loans for our portfolio.”
(1) Core earnings per adjusted diluted common share is a
non-GAAP measure. See additional discussion below.
Other Information
Chimera Investment Corporation is a publicly traded real estate
investment trust, or REIT, that is primarily engaged in the
business of investing directly or indirectly through our
subsidiaries, on a leveraged basis, in a diversified portfolio of
mortgage assets, including residential mortgage loans, Non-Agency
RMBS, Agency CMBS, Agency RMBS, and other real estate related
securities.
CHIMERA INVESTMENT
CORPORATION
CONSOLIDATED STATEMENTS OF
FINANCIAL CONDITION
(dollars in thousands, except
share and per share data)
(Unaudited)
September 30, 2020
December 31, 2019
Cash and cash equivalents
$
325,717
$
109,878
Non-Agency RMBS, at fair value (net of
allowance for credit losses of $167 thousand and $0 thousand,
respectively)
2,218,289
2,614,408
Agency RMBS, at fair value
99,988
6,490,293
Agency CMBS, at fair value
1,754,740
2,850,717
Loans held for investment, at fair
value
13,533,252
14,292,815
Receivable for investments sold
—
446,225
Accrued interest receivable
86,727
116,423
Other assets
75,155
194,301
Derivatives, at fair value, net
—
3,611
Total assets (1)
$
18,093,868
$
27,118,671
Liabilities:
Secured financing agreements ($6.7 billion
and $15.4 billion pledged as collateral, respectively)
$
4,700,037
$
13,427,545
Securitized debt, collateralized by
Non-Agency RMBS ($528 million and $598 million pledged as
collateral, respectively)
117,904
133,557
Securitized debt at fair value,
collateralized by loans held for investment ($12.4 billion and
$12.1 billion pledged as collateral, respectively)
8,757,449
8,179,608
Long term debt
70,641
—
Payable for investments purchased
614,583
1,256,337
Accrued interest payable
36,451
63,600
Dividends payable
76,362
98,568
Accounts payable and other liabilities
23,899
6,163
Total liabilities (1)
$
14,397,326
$
23,165,378
Stockholders' Equity:
Preferred Stock, par value of $0.01 per
share, 100,000,000 shares authorized:
8.00% Series A cumulative redeemable:
5,800,000 shares issued and outstanding, respectively ($145,000
liquidation preference)
$
58
$
58
8.00% Series B cumulative redeemable:
13,000,000 shares issued and outstanding, respectively ($325,000
liquidation preference)
130
130
7.75% Series C cumulative redeemable:
10,400,000 shares issued and outstanding, respectively ($260,000
liquidation preference)
104
104
8.00% Series D cumulative redeemable:
8,000,000 shares issued and outstanding, respectively ($200,000
liquidation preference)
80
80
Common stock: par value $0.01 per share;
500,000,000 shares authorized, 232,190,087 and 187,226,081 shares
issued and outstanding, respectively
2,322
1,873
Additional paid-in-capital
4,517,819
4,275,963
Accumulated other comprehensive income
554,981
708,336
Cumulative earnings
3,734,659
3,793,040
Cumulative distributions to
stockholders
(5,113,611)
(4,826,291)
Total stockholders' equity
$
3,696,542
$
3,953,293
Total liabilities and stockholders'
equity
$
18,093,868
$
27,118,671
(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 September 30,
2020, and December 31, 2019, total assets of consolidated VIEs were
$12,795,729 and $12,544,744, respectively, and total liabilities of
consolidated VIEs were $8,660,123 and $8,064,235, respectively.
CHIMERA INVESTMENT
CORPORATION
CONSOLIDATED STATEMENTS OF
OPERATIONS
(dollars in thousands, except
share and per share data)
(Unaudited)
For the Quarters Ended
For the Nine Months
Ended
September 30, 2020
September 30, 2019
September 30, 2020
September 30, 2019
Net interest income:
Interest income (1)
$
247,905
$
330,144
$
794,094
$
1,020,448
Interest expense (2)
124,557
188,551
395,897
589,611
Net interest income
123,348
141,593
398,197
430,837
Increase/(decrease) in provision for
credit losses
(1,650)
—
167
—
Net other-than-temporary credit impairment
losses
—
—
—
(4,853)
Other investment gains
(losses):
Net unrealized gains (losses) on
derivatives
—
31,620
201,000
(189,865)
Realized gains (losses) on terminations of
interest rate swaps
—
(148,114)
(463,966)
(351,372)
Net realized gains (losses) on
derivatives
—
(20,178)
(41,086)
(37,151)
Net gains (losses) on
derivatives
—
(136,672)
(304,052)
(578,388)
Net unrealized gains (losses) on financial
instruments at fair value
260,766
130,825
(172,042)
522,386
Net realized gains (losses) on sales of
investments
65,041
1,596
167,275
2,673
Gains (losses) on extinguishment of
debt
(55,794)
—
(55,338)
(608)
Total other gains (losses)
270,013
(4,251)
(364,157)
(53,937)
Other expenses:
Compensation and benefits
10,287
12,191
33,476
38,675
General and administrative expenses
6,811
6,528
19,050
18,569
Servicing fees
8,898
8,881
28,359
27,125
Transaction expenses
1,624
3,415
11,239
4,289
Total other expenses
27,620
31,015
92,124
88,658
Income (loss) before income
taxes
367,391
106,327
(58,251)
283,389
Income taxes
62
1
130
156
Net income (loss)
$
367,329
$
106,326
$
(58,381)
$
283,233
Dividends on preferred stock
18,438
18,438
55,313
54,267
Net income (loss) available to common
shareholders
$
348,891
$
87,888
$
(113,694)
$
228,966
Net income (loss) per share available
to common shareholders:
Basic
$
1.50
$
0.47
$
(0.55)
$
1.22
Diluted
$
1.32
$
0.47
$
(0.55)
$
1.22
Weighted average number of common
shares outstanding:
Basic
232,127,224
187,158,167
206,237,705
187,141,377
Diluted
265,346,359
188,440,171
206,237,705
188,331,109
(1) Includes interest income of consolidated VIEs of $171,442 and
$192,622 for the quarters ended September 30, 2020 and 2019,
respectively and $515,250 and $600,436 for the nine months ended
September 30, 2020 and 2019, respectively. (2) Includes interest
expense of consolidated VIEs of $74,753 and $82,234 for the
quarters ended September 30, 2020 and 2019, respectively and
$210,198 and $260,790 for the nine months ended September 30, 2020
and 2019, respectively.
CHIMERA INVESTMENT
CORPORATION
CONSOLIDATED STATEMENTS OF
COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except
share and per share data)
(Unaudited)
For the Quarters Ended
For the Nine Months
Ended
September 30, 2020
September 30, 2019
September 30, 2020
September 30, 2019
Comprehensive income (loss):
Net income (loss)
$
367,329
$
106,326
$
(58,381)
$
283,233
Other comprehensive income:
Unrealized gains (losses) on
available-for-sale securities, net (1)
40,470
29,980
(97,334)
115,198
Reclassification adjustment for net losses
included in net income for other-than-temporary credit impairment
losses
—
—
—
4,853
Reclassification adjustment for net
realized losses (gains) included in net income
(22,999)
—
(56,021)
22,187
Other comprehensive income (loss)
17,471
29,980
(153,355)
142,238
Comprehensive income (loss) before
preferred stock dividends
$
384,800
$
136,306
$
(211,736)
$
425,471
Dividends on preferred stock
$
18,438
$
18,438
$
55,313
$
54,267
Comprehensive income (loss) available
to common stock shareholders
$
366,362
$
117,868
$
(267,049)
$
371,204
(1) Quarter ended and nine months ended September 30, 2020 amounts
includes $150 thousand and $15 million, respectively, of unrealized
losses on AFS securities for which the Company has recognized an
allowance for credit losses.
Core earnings
Core earnings is a non-GAAP measure and is defined as GAAP net
income excluding unrealized gains on the aggregate portfolio,
provision for credit losses, interest expense on long term debt,
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
expenses incurred in relation to securitizations. In addition,
stock compensation expense charges incurred on awards to retirement
eligible employees is reflected as an expense over a vesting period
(36 months) rather than reported as an immediate expense.
As defined, core earnings include interest income and expense,
as well as periodic cash settlements on interest rate swaps used to
hedge interest rate risk and other expenses. Core earnings is
inclusive of preferred dividend charges, compensation and benefits
(adjusted for awards to retirement eligible employees), general and
administrative expenses, servicing fees, as well as income tax
expenses incurred during the period. Management believes that the
presentation of core earnings provides investors with a useful
measure but has important limitations. We believe core earnings as
described above helps us evaluate our financial performance period
over period 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. In addition, our methodology for calculating core earnings
may differ from the methodologies employed by other REITs to
calculate the same or similar supplemental performance measures,
and accordingly, our reported core earnings may not be comparable
to the core earnings reported by other REITs.
The following table provides GAAP measures of net income and net
income per diluted 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 diluted common share
amounts. The Core earnings is presented on an adjusted dilutive
shares basis. The adjusted dilutive shares used for core earnings
is a non-GAAP measure which includes the GAAP dilutive shares of
265 million, adjusted for the dilutive effect of approximately 20
million shares on warrants issued in second quarter of 2020. We
exclude the dilutive effect of the warrants as the warrant holders
do not participate in dividends. Certain prior period amounts have
been reclassified to conform to the current period's
presentation.
For the Quarters Ended
September 30, 2020
June 30, 2020
March 31, 2020
December 31, 2019
September 30, 2019
(dollars in thousands, except per
share data)
GAAP Net income available to common
stockholders
$
348,891
$
(73,393)
$
(389,193)
$
111,881
$
87,888
Adjustments:
Interest expense on long term debt
1,495
4,391
—
—
—
Increase (decrease) in provision for
credit losses
(1,650)
(4,497)
6,314
—
—
Net unrealized (gains) losses on
derivatives
—
—
(201,000)
(83,656)
(31,620)
Net unrealized (gains) losses on financial
instruments at fair value
(260,766)
171,921
260,887
112,751
(130,825)
Net realized (gains) losses on sales of
investments
(65,041)
(26,380)
(75,854)
(17,687)
(1,596)
(Gains) losses on extinguishment of
debt
55,794
(459)
—
(9,926)
—
Realized (gains) losses on terminations of
interest rate swaps
—
—
463,966
8,353
148,114
Net realized (gains) losses on Futures
(1)
—
—
34,700
(8,229)
19,138
Transaction expenses
1,624
4,710
4,906
6,639
3,415
Stock Compensation expense for retirement
eligible awards
(275)
(273)
1,189
(45)
(145)
Core Earnings
$
80,072
$
76,020
$
105,915
$
120,081
$
94,369
GAAP net income per diluted common
share
$
1.32
$
(0.37)
$
(2.08)
$
0.59
$
0.47
Core earnings per adjusted diluted common
share (2)
$
0.33
$
0.32
$
0.56
$
0.64
$
0.50
(1) Included in net realized gains
(losses) on derivatives in the Consolidated Statements of
Operations.
(2) We note that core and taxable earnings
will typically differ, and may materially differ, due to
differences on realized gains and losses on investments and related
hedges, credit loss recognition, timing differences in premium
amortization, accretion of discounts, equity compensation and other
items.
The following tables provide a summary of the Company’s MBS
portfolio at September 30, 2020 and December 31, 2019.
September 30, 2020
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
$
1,629,183
$
51.33
81.81
4.5
%
16.5
%
Subordinated
915,631
63.57
64.58
3.6
%
6.3
%
Interest-only
6,056,933
4.33
4.85
1.5
%
16.8
%
Agency RMBS
Interest-only
1,343,378
9.24
7.44
1.9
%
1.5
%
Agency CMBS
Project loans
1,538,077
101.82
112.24
4.1
%
3.9
%
Interest-only
1,383,665
1.89
2.06
0.7
%
7.9
%
(1) Bond Equivalent Yield at period
end.
December 31, 2019
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
$
2,024,564
$
52.98
$
84.01
5.0
%
20.8
%
Subordinated
876,592
63.15
71.25
3.7
%
6.9
%
Interest-only
7,458,653
4.04
3.87
1.1
%
8.4
%
Agency RMBS
Pass-through
6,080,547
102.15
104.64
4.0
%
3.4
%
Interest-only
1,539,941
9.06
8.29
1.6
%
4.0
%
Agency CMBS
Project loans
2,621,938
101.82
106.86
3.7
%
3.6
%
Interest-only
1,817,246
2.81
2.70
0.7
%
4.7
%
(1) Bond Equivalent Yield at period
end.
At September 30, 2020 and December 31, 2019, the secured
financing agreements collateralized by MBS and Loans held for
investment had the following remaining maturities and borrowing
rates.
September 30, 2020
December 31, 2019
(dollars in thousands)
Principal
Weighted Average Borrowing
Rates
Range of Borrowing
Rates
Principal
Weighted Average Borrowing
Rates
Range of Borrowing
Rates
Overnight
$
—
NA
NA
$
—
NA
NA
1 to 29 days
1,610,030
0.58%
0.20% - 3.02%
9,709,387
2.26%
1.90% - 3.62%
30 to 59 days
212,333
2.35%
1.85% - 2.55%
800,648
2.96%
2.15% - 3.52%
60 to 89 days
14,626
1.83%
1.55% - 2.45%
608,520
3.00%
2.59% - 3.35%
90 to 119 days
—
NA
NA
—
NA
NA
120 to 180 days
606,072
4.23%
1.34% - 6.61%
809,077
3.38%
3.06% - 3.46%
180 days to 1 year
1,004,318
6.02%
3.25% - 7.99%
580,886
3.42%
3.26% - 3.51%
1 to 2 years
92,695
4.50%
4.50% - 4.50%
427,981
3.28%
3.19% - 3.30%
2 to 3 years
395,829
7.00%
7.00% - 7.00%
—
NA
NA
Greater than 3 years
764,134
3.84%
1.55% - 5.56%
491,046
3.20%
3.19% - 3.20%
Total
$
4,700,037
3.44%
$
13,427,545
2.52%
The following table summarizes certain characteristics of our
portfolio at September 30, 2020 and December 31, 2019.
September 30, 2020
December 31, 2019
Interest earning assets at period-end
(1)
$
17,606,269
$
26,248,233
Interest bearing liabilities at
period-end
$
13,646,031
$
21,740,710
GAAP Leverage at period-end
3.7:1
5.5:1
GAAP Leverage at period-end (recourse)
1.3:1
3.4:1
Portfolio Composition, at amortized
cost
Non-Agency RMBS
10.2
%
7.9
%
Senior
5.1
%
4.5
%
Subordinated
3.5
%
2.2
%
Interest-only
1.6
%
1.2
%
Agency RMBS
0.8
%
25.7
%
Pass-through
—
%
25.1
%
Interest-only
0.8
%
0.6
%
Agency CMBS
9.7
%
11.0
%
Project loans
9.5
%
10.8
%
Interest-only
0.2
%
0.2
%
Loans held for investment
79.3
%
55.4
%
Fixed-rate percentage of portfolio
94.9
%
95.9
%
Adjustable-rate percentage of
portfolio
5.1
%
4.1
%
(1) Excludes cash and cash
equivalents.
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
Net Realized (Gains) Losses on
Interest Rate Swaps
Interest Expense on Long Term
Debt
Economic Interest Expense
GAAP Net Interest Income
Net Realized Gains (Losses) on
Interest Rate Swaps
Other (1)
Economic Net Interest Income
For the Quarter Ended September 30,
2020
$
247,905
$
124,557
$
—
$
(1,495)
$
123,062
$
123,348
$
—
$
1,487
$
124,835
For the Quarter Ended June 30, 2020
$
245,922
$
129,256
$
—
$
(4,391)
$
124,865
$
116,666
$
—
$
4,358
$
121,024
For the Quarter Ended March 31, 2020
$
300,266
$
142,083
$
6,385
$
—
$
148,468
$
158,183
$
(6,385)
$
(1,266)
$
150,532
For the Quarter Ended December 31,
2019
$
340,662
$
169,203
$
5,409
$
—
$
174,612
$
171,459
$
(5,409)
$
(1,664)
$
164,386
For the Quarter Ended September 30,
2019
$
330,144
$
188,551
$
963
$
—
$
189,514
$
141,593
$
(963)
$
(2,465)
$
138,165
(1) Primarily interest expense on Long
term debt and 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
September 30, 2020
September 30, 2019
(dollars in thousands)
(dollars in thousands)
Average Balance
Interest
Average
Yield/Cost
Average Balance
Interest
Average
Yield/Cost
Assets:
Interest-earning assets (1):
Agency RMBS
$
127,273
$
495
1.6
%
$
8,474,168
$
68,984
3.3
%
Agency CMBS
1,770,009
25,571
5.8
%
2,304,541
20,179
3.5
%
Non-Agency RMBS
1,692,702
56,311
13.3
%
1,956,631
70,374
14.4
%
Loans held for investment
12,943,898
165,520
5.1
%
12,017,663
168,142
5.6
%
Total
$
16,533,882
$
247,897
6.0
%
$
24,753,003
$
327,679
5.3
%
Liabilities and stockholders' equity:
Interest-bearing liabilities:
Secured financing agreements
collateralized by:
Agency RMBS
$
76,755
$
208
1.1
%
$
7,948,235
$
50,492
2.5
%
Agency CMBS
1,680,566
1,141
0.3
%
2,160,190
14,097
2.6
%
Non-Agency RMBS
1,171,542
17,495
6.0
%
1,376,214
12,916
3.8
%
Loans held for investment
2,340,689
27,814
4.8
%
3,112,001
29,775
3.8
%
Securitized debt
8,711,513
76,404
3.5
%
7,819,135
82,234
4.2
%
Total
$
13,981,065
$
123,062
3.5
%
$
22,415,775
$
189,514
3.4
%
Economic net interest income/net
interest rate spread
$
124,835
2.5
%
$
138,165
1.9
%
Net interest-earning assets/net
interest margin
$
2,552,817
3.0
%
$
2,337,228
2.2
%
Ratio of interest-earning assets to
interest bearing liabilities
1.18
1.10
(1) Interest-earning assets at amortized
cost
(2) Interest includes net cash
paid/received on swaps
The table below shows our Net Income and Economic Net Interest
Income as a percentage of average stockholders' equity and Core
Earnings as a percentage of average common stockholders' 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 our beginning and ending stockholders' equity balance
for the period reported. Economic Net Interest Income and Core
Earnings are non-GAAP measures as defined in previous sections.
Return on Average Equity
Economic Net Interest
Income/Average Equity *
Core Earnings/Average Common
Equity
(Ratios have been annualized)
For the Quarter Ended September 30,
2020
41.43
%
14.08
%
12.24
%
For the Quarter Ended June 30, 2020
(6.62)
%
14.58
%
12.72
%
For the Quarter Ended March 31, 2020
(41.21)
%
16.73
%
15.88
%
For the Quarter Ended December 31,
2019
13.12
%
16.55
%
15.78
%
For the Quarter Ended September 30,
2019
10.68
%
13.88
%
12.37
%
* Includes effect of realized losses on interest rate swaps and
excludes long term debt expense.
The following table presents changes to Accretable Discount (net
of premiums) as it pertains to our Non-Agency RMBS portfolio,
excluding premiums on IOs, during the previous five quarters.
For the Quarters Ended
(dollars in thousands)
Accretable Discount (Net of Premiums)
September 30, 2020
June 30, 2020
March 31, 2020
December 31, 2019
September 30, 2019
Balance, beginning of period
$
410,447
$
438,232
$
494,255
$
494,780
$
514,095
Accretion of discount
(20,045)
(22,508)
(24,784)
(44,342)
(33,256)
Purchases
2,096
—
(4,336)
(12,541)
(13,772)
Sales and deconsolidation
—
(23,425)
438
(786)
1,536
Transfers from/(to) credit reserve,
net
30,483
18,148
(27,341)
57,144
26,177
Balance, end of period
$
422,981
$
410,447
$
438,232
$
494,255
$
494,780
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 most recent Annual Report on Form 10-K, and
any subsequent Quarterly Reports on Form 10-Q and Current Reports
on Form 8-K, under the caption “Risk Factors.” Factors that could
cause actual results to differ include, but are not limited to: our
business and investment strategy; our ability to accurately
forecast the payment of future dividends on our common and
preferred stock, and the amount of such dividends; our ability to
determine accurately the fair market value of our assets;
availability of investment opportunities in real estate-related and
other securities, including our valuation of potential
opportunities that may arise as a result of current and future
market dislocations; effect of the novel coronavirus (or COVID-19)
pandemic on real estate market, financial markets and our Company,
including the impact on the value, availability, financing and
liquidity of mortgage assets; how COVID-19 may affect us, our
operations and our personnel; our expected investments; changes in
the value of our investments, including negative changes resulting
in margin calls related to the financing of our assets; changes in
interest rates and mortgage prepayment rates; prepayments of the
mortgage and other loans underlying our mortgage-backed securities,
or RMBS, or other asset-backed securities, or ABS; rates of
default, delinquencies or decreased recovery rates on our
investments; general volatility of the securities markets in which
we invest; our ability to maintain existing financing arrangements
and our ability to obtain future financing arrangements; our
ability to effect our strategy to securitize residential mortgage
loans; interest rate mismatches between our investments and our
borrowings used to finance such purchases; effects of interest rate
caps on our adjustable-rate investments; the degree to which our
hedging strategies may or may not protect us from interest rate
volatility; the impact of and changes to various government
programs, including in response to COVID-19; impact of and changes
in governmental regulations, tax law and rates, accounting
guidance, and similar matters; market trends in our industry,
interest rates, the debt securities markets or the general economy;
estimates relating to our ability to make distributions to our
stockholders in the future; our understanding of our competition;
availability of qualified personnel; our ability to maintain our
classification as a real estate investment trust, or, REIT, for
U.S. federal income tax purposes; our ability to maintain our
exemption from registration under the Investment Company Act of
1940, as amended, or 1940 Act; our expectations regarding
materiality or significance; and the effectiveness of our
disclosure controls and procedures.
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.
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