Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the third quarter ended September 30, 2023.

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Financial Highlights:

3RD QUARTER GAAP NET LOSS OF $(0.07) PER DILUTED COMMON SHARE
3RD QUARTER EARNINGS AVAILABLE FOR DISTRIBUTION⁽¹⁾ OF $0.13 PER DILUTED COMMON SHARE.
GAAP BOOK VALUE OF $6.90 PER COMMON SHARE

"Credit performance and income generation of our assets have continued to meet or exceed our initial investment expectations. We believe the recent action taken on our debt refinancing and the rightsizing of our common stock dividend will significantly benefit our shareholders over the long term." said Phil Kardis, CEO. "We expect that once interest rates moderate and ultimately begin to decline, the portfolio will benefit both in terms of reduced financing costs and improved economic portfolio performance."

(1)	Earnings available for distribution per adjusted diluted common share is a non-GAAP measure. See additional discussion on page 6.

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 its 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, 2023			December 31, 2022
Cash and cash equivalents	$	138,591		$	264,600
Non-Agency RMBS, at fair value (net of allowance for credit losses of $16 million and $7 million, respectively)		1,024,609			1,147,481
Agency MBS, at fair value		127,706			430,944
Loans held for investment, at fair value		11,426,932			11,359,236
Accrued interest receivable		72,815			61,768
Other assets		96,764			133,866
Derivatives, at fair value		—			4,096
Total assets ⁽¹⁾	$	12,887,417		$	13,401,991
Liabilities:
Secured financing agreements ($3.7 billion and $4.7 billion pledged as collateral, respectively, and includes $340 million and $374 million at fair value, respectively)	$	2,603,911		$	3,434,765
Securitized debt, collateralized by Non-Agency RMBS ($250 million and $276 million pledged as collateral, respectively)		75,819			78,542
Securitized debt at fair value, collateralized by Loans held for investment ($11.0 billion and $10.0 billion pledged as collateral, respectively)		7,598,721			7,100,742
Payable for investments purchased		6,237			9,282
Accrued interest payable		35,670			30,696
Dividends payable		49,881			64,545
Accounts payable and other liabilities		22,721			16,616
Total liabilities ⁽¹⁾	$	10,392,960		$	10,735,188


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, 226,760,148 and 231,824,192 shares issued and outstanding, respectively		2,268			2,318
Additional paid-in-capital		4,291,775			4,318,388
Accumulated other comprehensive income		181,227			229,345
Cumulative earnings		4,134,502			4,038,942
Cumulative distributions to stockholders		(6,115,687	)		(5,922,562	)
Total stockholders' equity	$	2,494,457		$	2,666,803
Total liabilities and stockholders' equity	$	12,887,417		$	13,401,991
(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or 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, 2023, and December 31, 2022, total assets of consolidated VIEs were $10,758,561 and $10,199,266, respectively, and total liabilities of consolidated VIEs were $7,337,986 and $6,772,125, respectively.


Net Income (Loss)
(dollars in thousands, except share and per share data)
(unaudited)
	For the Quarters Ended						For the Nine Months Ended
	September 30, 2023			June 30, 2023			September 30, 2023			September 30, 2022
Net interest income:
Interest income ⁽¹⁾	$	195,591		$	196,859		$	581,700		$	585,835
Interest expense ⁽²⁾		132,193			131,181			382,988			226,403
Net interest income		63,398			65,678			198,712			359,432

Increase (decrease) in provision for credit losses		3,217			2,762			9,041			3,203

Other investment gains (losses):
Net unrealized gains (losses) on derivatives		17			17,994			9,460			8,689
Realized gains (losses) on derivatives		—			(6,822	)		(40,957	)		—
Periodic interest cost of swaps, net		4,894			4,159			11,871			(122	)
Net gains (losses) on derivatives		4,911			15,331			(19,626	)		8,567
Net unrealized gains (losses) on financial instruments at fair value		(43,988	)		6,954			27,558			(848,925	)
Net realized gains (losses) on sales of investments		(460	)		(21,758	)		(27,482	)		(37,031	)
Gains (losses) on extinguishment of debt		—			4,039			6,348			(2,897	)
Other investment gains (losses)		2,381			(421	)		2,077			517
Total other gains (losses)		(37,156	)		4,145			(11,125	)		(879,769	)

Other expenses:
Compensation and benefits		7,124			7,677			25,292			30,211
General and administrative expenses		5,427			6,471			17,674			16,493
Servicing and asset manager fees		8,139			8,408			24,965			27,122
Transaction expenses		90			8,456			14,955			12,872
Total other expenses		20,780			31,012			82,886			86,698
Income (loss) before income taxes		2,245			36,049			95,660			(610,238	)
Income taxes		75			25			100			28
Net income (loss)	$	2,170		$	36,024		$	95,560		$	(610,266	)

Dividends on preferred stock		18,438			18,438			55,313			55,283

Net income (loss) available to common shareholders	$	(16,268	)	$	17,586		$	40,248		$	(665,549	)

Net income (loss) per share available to common shareholders:
Basic	$	(0.07	)	$	0.08		$	0.17		$	(2.84	)
Diluted	$	(0.07	)	$	0.08		$	0.17		$	(2.84	)

Weighted average number of common shares outstanding:
Basic		226,734,643			231,628,141			230,099,867			234,671,912
Diluted		226,734,643			233,867,501			232,288,318			234,671,912

(1) Includes interest income of consolidated VIEs of $153,710 and $139,598 for the quarters ended September 30, 2023 and 2022, respectively, and $443,286 and $410,873 for the nine months ended September 30, 2023 and 2022, respectively.

(2) Includes interest expense of consolidated VIEs of $75,902 and $50,030 for the quarters ended September 30, 2023 and 2022, respectively, and $208,678 and $142,714 for the nine months ended September 30, 2023 and 2022, 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, 2023			September 30, 2022			September 30, 2023			September 30, 2022
Comprehensive income (loss):
Net income (loss)	$	2,170		$	(186,145	)	$	95,560		$	(610,266	)
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net		(29,447	)		(61,526	)		(49,431	)		(160,850	)
Reclassification adjustment for net realized losses (gains) included in net income		—			—			1,313			—
Other comprehensive income (loss)		(29,447	)		(61,526	)	$	(48,118	)	$	(160,850	)
Comprehensive income (loss) before preferred stock dividends	$	(27,277	)	$	(247,671	)	$	47,442		$	(771,116	)
Dividends on preferred stock	$	18,438		$	18,438		$	55,313		$	55,283
Comprehensive income (loss) available to common stock shareholders	$	(45,715	)	$	(266,109	)	$	(7,871	)	$	(826,399	)

Earnings available for distribution

Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, realized gains or losses on the sales of investments, gains or losses on the extinguishment of debt, changes in the provision for credit losses, other gains or losses on equity investments, and transaction expenses incurred. Transaction expenses are primarily comprised of costs only incurred at the time of execution of our securitizations and certain structured secured financing agreements and include costs such as underwriting fees, legal fees, diligence fees, bank fees and other similar transaction related expenses. These costs are all incurred prior to or at the execution of the transaction and do not recur. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. We believe that excluding these costs is useful to investors as it is generally consistent with our peer groups treatment of these costs in their non-GAAP measures presentation, mitigates period to period comparability issues tied to the timing of securitization and structured finance transactions, and is consistent with the accounting for the deferral of debt issue costs prior to the fair value election option made by us. In addition, we believe it is important for investors to review this metric which is consistent with how management internally evaluates the performance of the Company. Stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (generally 36 months) rather than reported as an immediate expense.

Earnings available for distribution is the Economic net interest income, as defined previously, reduced by compensation and benefits expenses (adjusted for awards to retirement eligible employees), general and administrative expenses, servicing and asset manager fees, income tax benefits or expenses incurred during the period, as well as the preferred dividend charges.

We view Earnings available for distribution as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. Earnings available for distribution is one of the metrics, but not the exclusive metric, that our Board of Directors uses to determine the amount, if any, of dividends on our common stock. Other metrics that our Board of Directors may consider when determining the amount, if any, of dividends on our common stock include (among others) REIT taxable income, dividend yield, book value, cash generated from the portfolio, reinvestment opportunities and other cash needs. In addition, Earnings available for distribution is different than REIT taxable income and the determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income (subject to certain adjustments) to our stockholders in order to maintain qualification as a REIT is not based on Earnings available for distribution. Therefore, Earnings available for distribution should not be considered as an indication of our REIT taxable income, a guaranty of our ability to pay dividends, or as a proxy for the amount of dividends we may pay. We believe Earnings available for distribution as described above helps us and investors evaluate our financial performance period over period without the impact of certain transactions. Therefore, Earnings available for distribution 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 Earnings available for distribution may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our Earnings available for distribution may not be comparable to the Earnings available for distribution 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 Earnings available for distribution and related per average diluted common share amounts. Earnings available for distribution is presented on an adjusted dilutive shares basis.

	For the Quarters Ended
	September 30, 2023			June 30, 2023			March 31, 2023			December 31, 2022			September 30, 2022
	(dollars in thousands, except per share data)
GAAP Net income (loss) available to common stockholders	$	(16,268	)	$	17,586		$	38,928		$	78,716		$	(204,583	)
Adjustments:
Net unrealized (gains) losses on financial instruments at fair value		43,988			(6,954	)		(64,592	)		(112,026	)		239,513
Net realized (gains) losses on sales of investments		460			21,758			5,264			39,443			37,031
(Gains) losses on extinguishment of debt		—			(4,039	)		(2,309	)		—			—
Increase (decrease) in provision for credit losses		3,217			2,762			3,062			3,834			(1,534	)
Net unrealized (gains) losses on derivatives		(17	)		(17,994	)		8,551			10,171			(10,307	)
Realized gains (losses) on derivatives		—			6,822			34,134			561			—
Transaction expenses		90			8,456			6,409			3,274			2,341
Stock Compensation expense for retirement eligible awards		(392	)		(388	)		2,141			(309	)		(310	)
Other investment (gains) losses		(2,381	)		421			(117	)		2,383			462
Earnings available for distribution	$	28,697		$	28,430		$	31,471		$	26,047		$	62,613

GAAP net income (loss) per diluted common share	$	(0.07	)	$	0.08		$	0.17		$	0.34		$	(0.88	)
Earnings available for distribution per adjusted diluted common share	$	0.13		$	0.12		$	0.13		$	0.11		$	0.27

The following tables provide a summary of the Company's MBS portfolio at September 30, 2023 and December 31, 2022.

	September 30, 2023
	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	$	1,091,694	$	45.58	62.64	5.6	%	17.0	%
Subordinated		588,224		50.69	45.41	3.7	%	6.8	%
Interest-only		2,926,629		5.44	2.52	0.5	%	5.5	%
Agency RMBS
Interest-only		395,197		4.82	3.52	0.2	%	4.7	%
Agency CMBS
Project loans		117,400		101.54	89.73	4.1	%	4.0	%
Interest-only		481,488		1.69	1.76	0.6	%	8.0	%
(1) Bond Equivalent Yield at period end.

	December 31, 2022
	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	$	1,153,458	$	46.09	$	66.05	5.3	%	16.4	%
Subordinated		611,206		49.79		46.94	3.1	%	6.8	%
Interest-only		3,114,930		5.14		3.17	0.7	%	5.3	%
Agency RMBS
Interest-only		409,940		4.58		3.70	0.9	%	5.0	%
Agency CMBS
Project loans		302,685		101.85		95.62	4.3	%	4.1	%
Interest-only		2,669,396		5.23		4.73	0.7	%	3.4	%
(1) Bond Equivalent Yield at period end.

At September 30, 2023 and December 31, 2022, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

	September 30, 2023				December 31, 2022
	(dollars in thousands)
	Principal⁽¹⁾		Weighted Average Borrowing Rates	Range of Borrowing Rates	Principal ⁽¹⁾		Weighted Average Borrowing Rates	Range of Borrowing Rates
Overnight	$	—	N/A	N/A	$	—	N/A	NA
1 to 29 days	$	200,131	7.62%	6.23% - 8.17%	$	493,918	4.66%	3.63% - 6.16%
30 to 59 days		490,698	6.57%	5.47% - 7.87%		762,768	6.14%	4.60% - 7.34%
60 to 89 days		93,144	6.46%	6.31% - 7.16%		225,497	6.04%	4.70% - 7.12%
90 to 119 days		84,854	6.54%	6.48% - 7.24%		43,180	6.54%	5.50% - 6.70%
120 to 180 days		364,014	7.27%	6.42% - 7.85%		401,638	5.88%	5.57% - 6.92%
180 days to 1 year		192,722	6.67%	6.64% - 6.67%		402,283	6.06%	5.63% - 6.64%
1 to 2 years		838,510	11.10%	9.07% - 13.98%		251,286	13.98%	13.98% - 13.98%
2 to 3 years		—	—%	0.00% - 0.00%		480,022	8.07%	8.07% - 8.07%
Greater than 3 years		367,619	5.11%	5.10% - 7.06%		382,839	5.14%	5.10% - 6.07%
Total	$	2,631,692	7.99%		$	3,443,431	6.61%
(1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively.

The following table summarizes certain characteristics of our portfolio at September 30, 2023 and December 31, 2022.

	September 30, 2023	December 31, 2022
GAAP Leverage at period-end	4.1:1	4.0:1
GAAP Leverage at period-end (recourse)	1.0:1	1.3:1

	September 30, 2023	December 31, 2022	September 30, 2023	December 31, 2022
Portfolio Composition	Amortized Cost		Fair Value
Non-Agency RMBS	7.4 %	7.5 %	8.1 %	8.9 %
Senior	3.9 %	4.0 %	5.4 %	5.9 %
Subordinated	2.3 %	2.3 %	2.1 %	2.2 %
Interest-only	1.2 %	1.2 %	0.6 %	0.8 %
Agency RMBS	0.1 %	0.1 %	0.1 %	0.1 %
Interest-only	0.1 %	0.1 %	0.1 %	0.1 %
Agency CMBS	1.0 %	3.3 %	0.9 %	3.2 %
Project loans	0.9 %	2.3 %	0.8 %	2.2 %
Interest-only	0.1 %	1.0 %	0.1 %	1.0 %
Loans held for investment	91.5 %	89.1 %	90.9 %	87.8 %
Fixed-rate percentage of portfolio	96.6 %	96.5 %	96.1 %	95.6 %
Adjustable-rate percentage of portfolio	3.4 %	3.5 %	3.9 %	4.4 %

Economic Net Interest Income

Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest cost of interest rate swaps and excludes interest earned on cash. 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 Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps are used to manage the increase in interest paid on secured financing 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 all components of interest expense and net interest income of our investment portfolio. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting net periodic interest cost of interest rate swaps and any interest earned on cash, is referred to as Economic net interest income.

The following table reconciles the Economic net interest income to GAAP net interest income and Economic interest expense to GAAP interest expense for the periods presented.

	GAAP Interest Income		GAAP Interest Expense		Periodic Interest Cost of Interest Rate Swaps			Economic Interest Expense		GAAP Net Interest Income		Periodic Interest Cost of Interest Rate Swaps			Other⁽¹⁾			Economic Net Interest Income
For the Quarter Ended September 30, 2023	$	195,591	$	132,193	$	(4,894	)	$	127,299	$	63,398	$	4,894		$	(2,301	)	$	65,991
For the Quarter Ended June 30, 2023	$	196,859	$	131,181	$	(4,159	)	$	127,022	$	65,678	$	4,159		$	(2,884	)	$	66,953
For the Quarter Ended March 31, 2023	$	189,250	$	119,615	$	(2,819	)	$	116,796	$	69,635	$	2,819		$	(3,035	)	$	69,419
For the Quarter Ended December 31, 2022	$	187,286	$	106,891	$	1,629		$	108,520	$	80,395	$	(1,629	)	$	(1,867	)	$	76,899
For the Quarter Ended September 30, 2022	$	188,303	$	83,464	$	122		$	83,586	$	104,839	$	(122	)	$	(540	)	$	104,177
(1) Primarily 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, 2023						June 30, 2023
	(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	$	18,990	$	234	4.9	%	$	18,798	$	305	6.5	%
Agency CMBS		124,094		1,701	5.5	%		165,270		1,728	4.2	%
Non-Agency RMBS		961,257		28,826	12.0	%		976,994		29,543	12.1	%
Loans held for investment		12,188,221		162,530	5.3	%		12,585,384		162,399	5.2	%
Total	$	13,292,562	$	193,290	5.8	%	$	13,746,444	$	193,975	5.6	%

Liabilities and stockholders' equity:
*Interest-bearing liabilities ⁽²⁾:*
Secured financing agreements collateralized by:
Agency RMBS	$	—	$	—	—	%	$	1,994	$	27	5.4	%
Agency CMBS		90,205		1,200	5.3	%		133,306		1,651	5.0	%
Non-Agency RMBS		742,579		17,769	9.6	%		772,486		17,438	9.0	%
Loans held for investment		1,832,445		29,896	6.5	%		2,024,638		32,652	6.5	%
Securitized debt		8,663,773		78,434	3.6	%		8,584,803		75,254	3.5	%
Total	$	11,329,002	$	127,299	4.5	%	$	11,517,226	$	127,022	4.4	%

Economic net interest income/net interest rate spread			$	65,991	1.3	%			$	66,953	1.2	%

Net interest-earning assets/net interest margin	$	1,963,560			2.0	%	$	2,229,219			1.9	%

Ratio of interest-earning assets to interest bearing liabilities		1.17						1.19

(1) Interest-earning assets at amortized cost
(2) Interest includes periodic net interest cost on swaps

The table below shows our Net Income and Economic net interest income as a percentage of average stockholders' equity and Earnings available for distribution 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 Earnings available for distribution are non-GAAP measures as defined in previous sections.

	Return on Average Equity	Economic Net Interest Income/Average Equity	Earnings available for distribution/Average Common Equity
	(Ratios have been annualized)
For the Quarter Ended September 30, 2023	0.34 %	10.40 %	7.14 %
For the Quarter Ended June 30, 2023	5.51 %	10.24 %	6.75 %
For the Quarter Ended March 31, 2023	8.63 %	10.45 %	7.28 %
For the Quarter Ended December 31, 2022	14.61 %	11.56 %	6.02 %
For the Quarter Ended September 30, 2022	(26.47) %	14.81 %	13.30 %

The following table presents changes to Accretable Discount (net of premiums) as it pertains to our Non-Agency RMBS portfolio, excluding premiums on interest-only investments, during the previous five quarters.

	For the Quarters Ended
	(dollars in thousands)
Accretable Discount (Net of Premiums)	September 30, 2023			June 30, 2023			March 31, 2023			December 31, 2022			September 30, 2022
Balance, beginning of period	$	145,322		$	157,253		$	176,635		$	207,812		$	241,391
Accretion of discount		(9,022	)		(10,620	)		(11,663	)		(11,128	)		(12,989	)
Purchases		(9	)		—			—			—			—
Sales		—			—			—			(17,935	)		—
Elimination in consolidation		—			—			—			—			—
Transfers from/(to) credit reserve, net		10,961			(1,311	)		(7,719	)		(2,114	)		(20,590	)
Balance, end of period	$	147,252		$	145,322		$	157,253		$	176,635		$	207,812

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 a pandemic or other national or international crisis on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; 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; our ability to consummate proposed transactions; 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; 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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CHIMERA INVESTMENT CORPORATION REPORTS 3RD QUARTER 2023 EARNINGS